McGill University Pension Plan Balanced Account as at December 31, 2014

Transcription

1 McGill University ension lan Balanced Account as at December 31, 2014 Investor rofile: This pool may appeal to investors seeking: to hold a well diversified portfolio of Canadian, U.., and non-north American common, preferred, and other securities generally considered to be equity securities as well as bonds, debentures, mortgage loans, notes and other securities generally considered to be debt instruments; long-term capital appreciation and interest income. Investment Objective: To optimize capital accumulation over the long-term through allocations to the Equity and Fixed Income ools with a target asset mix of 65% equity securities and 35% fixed income securities. Risk Tolerance: In order to attain the investment objectives outlined above, a moderate to high degree of short-term return volatility will be accepted in the Balanced Account. Investment tyle: Using active and/or passive investment strategies, the investments of the Balanced Account shall include the following major asset classes: Canadian equities, U equities, non-north American equities, Global equities, real estate holdings, private equity holdings, absolute return strategies, bonds, mortgage loans, cash and cash equivalents. Investments may be made in the above classes by direct investment or through pooled funds, commingled funds or mutual funds investing in one or more of such asset classes. Asset class weights within the portfolio shall be appropriately diversified with respect to source of return, geographic dependence, industry and marketability as indicated in the tatement of Investment olicy.

2 Managers in Balanced Account Manager Mandate ()/() Date Hired Equities Canadian (incl. Cash Equivalents) yramis Global Advisors Van Berkom & Associates QV Investors U.. Wellington Management Company embroke Management Ltd. Non-North American William Blair & Company Aberdeen Asset Management Hexavest Active - &/TX Composite Index Active &/TX mallcap Index Active FTE TMX 30-Day Treasury Bill Index Active hort Term FTE TMX 91-Day T-Bill Index Active - &/TX Composite Index Index - &500 Index Active U.. mall & Mid Cap Russell 2000 Index Active Growth MCI EAFE + EM Index Active Emerging Markets MCI EM Index Active MCI EAFE Index October 2011 July 1992 December 2014 February 2014 June 2013 February 2006 October 2008 March 2011 Global tate treet Global Advisors Index MCI World High Yield Dividend Index June 2012 Alternative Investments Real Estate ooled funds in Canadian real estate. N/A Infrastructure ooled fund in Global infrastructure fund. May 2013 rivate Equity Three non-canadian private equity funds and six non- Canadian private equity fund of funds. / N/A Absolute Return trategies Eight non-canadian managers employing a variety of different direct investment strategies. Nov./Dec. 2011; Jan./Feb Other U Dollar Currency Overlay N/A August 2009 Fixed Income & Cash Equivalents Canso Investment Counsel hillips, Hager & North Ltd. Fiera Capital Active - FTE TMX Universe All Corporate Bond Index Active - FTE TMX Universe Bond Index Index - FTE TMX Universe Bond Index Active - FTE TMX Universe Bond Index Active FTE TMX 30-Day Treasury Bill Index Active hort Term FTE TMX 91-Day T-Bill Index eptember 2011 July 2012 July 2003 May 2013 () egregated; () ooled The ension Administration Committee may, from time to time, make changes to the selection of investment managers. Interested members can learn more about the investment funds offered under the McGill University ension lan or keep abreast of any changes by accessing these quarterly investment profile sheets or the annual report of the McGill University ension lan.

3 Balanced Account Composition erformance Returns Notes: ast performance is not necessarily an indication of future performance. erformance returns are before fees. Rates of Return 2 Q year 5 years 10 years Balanced Account 2.1% 10.1% 10.1% 7.6% Balanced Benchmark 1 2.2% 10.8% 8.8% 6.9% 1 Current benchmark: 65% Equity ool Benchmark, 35% Fixed Income ool Benchmark, where: Equity ool: 23.1% &/TX Composite, 23.1% &500 (50% Hedged), 23.1% MCI AC World ex U Net, 30.7% Alternative Assets Benchmark; and Fixed ool: 100% FTE TMX Universe Bond 2 Annualized for periods greater than one year Expected Rate of Return: 3.70% plus the annual change in the Canadian Consumer rice Index. Management Expense Ratio (MER): measures the annual management and administrative fees of the Balanced Account as a percentage of the investment s market value. Fees include investment management and administrative expenses not covered by the University and are incorporated directly into the net values of the respective investment pools. Actual expenses may vary over time. The MER for the Balanced Account is projected to be approximately 0.73 of 1% or 73 basis points for the year.

4 Top 5 Equity & Fixed Income Holdings ecurity Name Canadian Toronto-Dominion Bank Alimentation Couche-Tard uncor Energy Royal Bank of Canada CGI group U.. Johnson & Johnson Chevron Merck & Co fizer McDonald s Non-North American Nestle (witzerland) Novartis (witzerland) Roche Holdings (witzerland) Royal Dutch hell (United Kingdom) AIA Group (Hong Kong) Fixed Income Government of Canada 1.50% 2017/02/01 rovince of Ontario 3.45% 2045/06/02 rovince of Ontario 2.85% 2023/06/02 rovince of Ontario 3.50% 2024/06/02 rovince of Ontario 6.50% 2029/03/08 Market Value (in $millions CAD) % of Balanced Account

5 McGill University ension lan Equity ool as at December 31, 2014 Investor rofile: This pool may appeal to investors seeking: to hold a well diversified portfolio of Canadian, U.., and non-north American common, preferred, and other securities generally considered to be equity securities; long-term capital appreciation. Investment Objective: To provide long-term capital appreciation and dividend income by investing in a diversified portfolio of Canadian and foreign equity securities, and absolute return strategies. Risk Tolerance: In order to attain the investment objectives outlined above, a high degree of short-term return volatility will be accepted in the Equity ool. Investment tyle: Using active and/or passive investment strategies, the investments of the Equity ool shall include the following major asset classes: Canadian equities, U equities, non-north American equities, Global equities, real estate holdings, private equity holdings, absolute return strategies, cash and cash equivalents. Investments may be made in the above classes by direct investment or through pooled funds, commingled funds or mutual funds investing in one or more of such asset classes. Asset class weights within the portfolio shall be appropriately diversified with respect to source of return, geographic dependence, industry and marketability as indicated in the tatement of Investment olicy. Investment Managers in Equity ool Manager Mandate ()/() Date Hired Canadian(incl. Cash Equivalents) yramis Global Advisors Van Berkom & Associates QV Investors U.. Wellington Management Company embroke Management Ltd. Non-North American William Blair & Company Aberdeen Asset Management Hexavest Active - &/TX Composite Index Active &/TX mallcap Index Active DEX 30-Day Treasury Bill Index Active DEX 91-Day Treasury Bill Index Active - &/TX Composite Index Index - &500 Index Active U.. mall & Mid Cap Russell 2000 Index Active Growth MCI EAFE + EM Index Active Emerging Markets MCI EM Index Active MCI EAFE Index October 2011 July 1992 December 2014 February 2014 June 2013 February 2006 October 2008 March 2011 Global tate treet Global Advisors Index MCI World High Yield Dividend Index June 2012 Alternative Investments Real Estate ooled funds in Canadian real estate. N/A Infrastructure ooled fund in Global infrastructure fund. May 2013 rivate Equity Three non-canadian private equity funds and six non- Canadian private equity fund of funds. / N/A Absolute Return trategies Eight non-canadian managers employing a variety of different direct investment strategies. Nov./Dec. 2011; Jan./Feb Other U Dollar Currency Overlay N/A August 2009 () egregated; () ooled

6 The ension Administration Committee may, from time to time, make changes to the selection of investment managers. Interested members can learn more about the investment funds offered under the McGill University ension lan or keep abreast of any changes by accessing these quarterly investment profile sheets or the annual report of the McGill University ension lan. Equity ool Composition as at December 31, 2014 (unaudited) erformance Returns as at December 31, 2014 (unaudited) Notes: ast performance is not necessarily an indication of future performance. erformance returns are before fees. Rates of Return 2 Q year 5 years 10 years Equity ool 1.9% 10.3% 11.7% 8.0% Equity Benchmark 1 1.9% 11.9% 10.2% 7.5% 1 Current benchmark: 23.1% &/TX Composite, 23.1% &500 (50% Hedged), 23.1% MCI AC World ex U Net, 30.7% Alternative Assets Benchmark 2 Annualized for periods greater than one year Expected Rate of Return: 5.00% plus the annual change in the Canadian Consumer rice Index. Management Expense Ratio (MER): measures the annual management and administrative fees of the Equity ool as a percentage of the investment s market value. Fees include investment management and administrative expenses not covered by the University and are incorporated directly into the net values of the respective investment pools. Actual expenses may vary over time. The MER for the Equity ool is projected to be approximately 0.87 of 1% or 87 basis points for the year.

7 Top 5 Holdings ecurity Name Canadian Toronto-Dominion Bank Alimentation Couche-Tard uncor Energy Royal Bank of Canada CGI group U.. Johnson & Johnson Chevron Merck & Co fizer McDonald s Non-North American Nestle (witzerland) Novartis (witzerland) Roche Holdings (witzerland) Royal Dutch hell (United Kingdom) AIA Group (Hong Kong) Market Value (in $000s CAD) % of Equity ool

8 Investor rofile: McGill University ension lan Fixed Income ool As at December 31, 2014 This pool may appeal to investors seeking: a well diversified portfolio of bonds, debentures, mortgage loans, notes and other securities generally considered to be debt instruments; interest income rather than price appreciation. Investment Objective: To provide a predictable source of interest income, reduced volatility of investment returns and a hedge against deflation, by investing in a diversified portfolio of primarily Canadian fixed income and floating rate securities. An allocation to real-return bonds will provide a hedge against inflation. Risk Tolerance: In order to attain the investment objectives outlined above, a moderate degree of short-term return volatility will be accepted in the Fixed Income ool. Investment tyle: Using various active and/or passive investment strategies, the investments of the Fixed Income ool shall include the following major asset classes: nominal bonds (e.g. Federal, rovincial, corporate), mortgage loans, cash and cash equivalents. Investments may be made in the above classes by direct investment or through pooled funds, commingled funds or mutual funds investing in one or more of such asset classes. Asset class weights within the portfolio shall be appropriately diversified with respect to source of return, geographic dependence, industry and marketability as indicated in the tatement of Investment olicy. Managers in Fixed Income ool Manager Mandate ()/() Date Hired Fixed Income (incl. Cash Equivalents) Canso Investment Counsel hillips, Hager & North Ltd. Fiera Capital () egregated; () ooled Active FTE TMX Corporate Bond Index Active - FTE TMX Universe Bond Index Index - FTE TMX Universe Bond Index Active - FTE TMX Universe Bond Index Active FTE TMX 30-Day Treasury Bill Index Active FTE TMX 91-Day Treasury Bill Index eptember 2011 July 2012 July 2003 May 2013 The ension Administration Committee may, from time to time, make changes to the selection of investment managers. Interested members can learn more about the investment funds offered under the McGill University ension lan or keep abreast of any changes by accessing these quarterly investment profile sheets or the annual report of the McGill University ension lan.

9 Fixed Income ool Composition erformance Returns Notes: ast performance is not necessarily an indication of future performance. erformance returns are before fees. Q year 5 years 10 years Fixed Income ool 2.5% 9.3% 6.0% 5.4% Fixed Income Benchmark 1 2.7% 8.8% 5.9% 5.4% 1 Current benchmark: 100% FTE TMX Universe Bond 2 Annualized for periods greater than one year Expected Rate of Return: 1.50% plus the annual change in the Canadian Consumer rice Index. Management Expense Ratio (MER): measures the annual management and administrative fees of the Fixed Income ool as a percentage of the investment s market value. Fees include investment management and administrative expenses not covered by the University and are incorporated directly into the net values of the respective investment pools. Actual expenses may vary over time. The MER for the Fixed Income ool is projected to be approximately 0.40 of 1% or 40 basis points for the year. Top 5 Holdings ecurity Name Government of Canada 1.50% 2017/02/01 rovince of Ontario 3.45% 2045/06/02 rovince of Ontario 2.85% 2023/06/02 rovince of Ontario 3.50% 2024/06/02 rovince of Ontario 6.50% 2029/03/08 Market Value (in $millions CAD) % of Fixed Income ool

10 Investor rofile: This ool may appeal to investors seeking: McGill University ension lan ocially Responsible Investment ( RI ) ool as at December 31, 2014 to hold a well diversified portfolio of Canadian, U.., and non-north American common, preferred, and other securities generally considered to be equity securities as well as bonds, debentures, notes and other securities generally considered to be debt instruments; long-term capital appreciation and interest income; an investment portfolio managed in a socially responsible manner Investment Objective: To optimize capital accumulation over the long-term in a socially responsible manner through allocations to equity and fixed income investments with a target asset mix of 60% equity securities and 40% fixed income securities including a maximum cash limit of 15%. Risk Tolerance: In order to attain the investment objectives outlined above, a high degree of short-term return volatility will be accepted in the ocially Responsible Investment ool. Investment tyle: Using active investment strategies, the investments of the ocially Responsible Investment ool shall include the following major asset classes: Canadian equities, U equities, non-north American equities, fixed income and cash and cash equivalents. Investments may be made in the above classes by direct investment or through pooled funds, commingled funds or mutual funds investing in one or more of such asset classes. Asset class weights within the portfolio shall be appropriately diversified with respect to source of return, geographic dependence, industry and marketability as indicated in the tatement of Investment olicy. Minimum Threshold requirement: hould the total holdings within the RI ool fall below a minimum threshold of 8 million for a prolonged period (3 to 6 consecutive months), the RI ool investment option would then be discontinued. The current total holdings are 22.9 million at December 31, Investment Managers: Manager Mandate egregated/ ooled Date Hired hillips, Hager & North Community Values (CV) Balanced Fund January 2014 The ension Administration Committee may, from time to time, make changes to the selection of investment managers. Interested members can learn more about the investment funds offered under the McGill University ension lan or keep abreast of any changes by accessing these quarterly investment profile sheets or the annual report of the McGill University ension lan. 1

11 Background of RI ool Manager The ocially Responsible Investment ool invests in the hillips, Hager & North ( H&N ) Community Values Balanced Fund. H&N is a division of RBC Global Asset Management Inc. H&N, in consultation with ustainalytics Inc., has developed screening criteria by which the environmental, social and governance ( EG ) performance of companies is assessed. ustainalytics Inc., a global leader in sustainability research and analysis, is responsible for assessing the EG performance of the companies suggested by H&N against its screening criteria. Companies who score poorly against the screening criteria are not permitted into the H&N Community Values Balanced Fund. In addition, companies who derive more than 10% their revenues from the following products and / or services are not permitted: alcohol, gaming, military weapons, pornography and tobacco. RI ool Composition as at December 31, 2014 (unaudited) RI ool erformance Returns as at December 31, 2014 (unaudited) Notes: ast performance is not necessarily an indication of future performance. erformance returns are before fees. Rates of Return 3 Q year 3 years 5 years RI ool 1 2.9% 11.4% 10.8% 7.9% RI ool Benchmark 2 1.7% 10.7% 10.4% 8.2% 1 RI ool Allocation olicy: H&N CV Canadian Equity Fund, 30%; H&N CV Global Equity Fund, 25%; H&N CV Bond Fund, 45% 2 RI ool Benchmark: &/TX Capped Composite, 30%; MCI World Index (Net) ex. Canada, 30%; FTE TMX Bond Universe Index, 38%; FTE TMX 30-Day T-Bill Index, 2% 3 Annualized for periods greater than one year Expected Rate of Return: 3.60% plus the annual change in the Canadian Consumer rice Index. Management Expense Ratio (MER): measures the annual management and administrative fees of the RI ool as a percentage of the investment s market value. Fees include investment management and administrative expenses not covered by the University and are incorporated directly into the net values of the respective investment pools. Actual expenses may vary over time. The MER for the RI ool is projected to be approximately 0.50 of 1% or 50 basis points for the year. 2

12 RI ool - Top 10 Holdings in the RI ool as at December 31, 2014 (unaudited) ecurity Name ONTARIO ROV 6.50% MAR ROYAL BANK OF CANADA TORONTO DOMINION BANK THE BANK OF NOVA COTIA ONTARIO ROV 7.60% JUN CANADIAN NATIONAL RAILWAY ONTARIO ROV 3.45% JUN AMGEN TJX UNITED HEALTH GROU Market Value (in 000 CAD) % of the RI ool

13 McGill University ension lan Money Market ool As at December 31, 2014 Investor rofile: This pool may appeal to investors seeking to preserve capital. Investment Objective: The investment objective of the money market pool is to preserve capital, provide stable returns and maintain liquidity. Risk Tolerance: In order to attain the investment objectives outlined above, a low degree of short-term return volatility will be accepted in the Money Market ool. Investment tyle: An internally managed fund benchmarked against the FTE TMX 30-Day T-Bill*, the investments of the Money Market ool shall include the following major asset classes: cash and cash equivalents, and bonds. Investments may be made in the above classes by direct investment or through pooled funds, commingled funds or mutual funds investing in one or more of such asset classes. Asset class weights within the portfolio shall be appropriately diversified with respect to source of return, industry and marketability as indicated in the tatement of Investment olicy. The minimum quality standard for the Money Market ool for individual bonds and debentures is A or equivalent and for cash equivalents is R-1 or equivalent. Managers in Money Market ool Manager Mandate ()/() Date Hired Active FTE TMX 30-Day Treasury Bill Index Active hort Term FTE TMX 91-Day Treasury Bill Index eptember 2014 eptember 2014 () egregated; () ooled The ension Administration Committee may, from time to time, make changes to the selection of investment managers. Interested members can learn more about the investment funds offered under the McGill University ension lan or keep abreast of any changes by accessing these quarterly investment profile sheets or the annual report of the McGill University ension lan.

14 Money Market ool Composition ** erformance Returns Notes: ast performance is not necessarily an indication of future performance. erformance returns are before fees. Rates of Return 2 Q year 5 years 10 years Money Market ool 0.4% 1.0% 0.9% 1.9% MM Benchmark 1 0.2% 0.9% 0.8% 1.8% 1 Current benchmark: FTE TMX 30-Day T-Bill. 2 Annualized for periods greater than one year Expected Rate of Return: the return on the FTE TMX 30-Day Treasury Bill Index. Management Expense Ratio (MER): measures the annual management and administrative fees of the Money Market ool as a percentage of the investment s market value. Fees include investment management and administrative expenses not covered by the University and are incorporated directly into the net values of the respective investment pools. Actual expenses may vary over time. The MER for the Money Market ool is projected to be 0.28 of 1% or 28 basis points for the year. Top 5 Holdings ** ecurity Name Government of Canada Treasury Bill 15/04/09 Government of Canada Treasury Bill 15/05/01 The Bank of Nova cotia 2.25% 2015/05/08 Royal Bank of Canada 2.05% 2015/01/13 Bank of Montreal 1.89% 2015/10/05 Market Value (in $millions) % of Money Market ool **ince eptember 30, 2014, the Money Market ool s holdings include Federal and rovincial T-Bills, major Canadian bank s Asset Backed Commercial aper, Commercial aper, Federal and Corporate Bonds and Banker s Acceptances / Bank Deposit Notes.