McGill University Pension Plan

Transcription

1 Investment Option Performance 2015 Annualized Returns Return date Return 1 year 5 years 10 years Balanced Account Composite Balanced Account Benchmark (1) added vs benchmark Equity Composite Equity Benchmark (2) added vs benchmark Fixed Income FTSE TMX Universe Bond added vs benchmark SRI SRI Balanced Fund Benchmark added vs benchmark Money FTSE TMX 30-Day T-Bill added vs benchmark * Asset and or Benchmark calculated with hedging effect as of October 1, 201. Performance returns have been calculated by an independent performance measurement firm, are reported in dollars and are gross of fees. Different benchmarks indices were used in the five and ten-year periods, where applicable. (1) 65% Composite Equity Benchmark + 35% FTSE TMX Universe Bond, effective October 1, (2) 1/3 S&P/TSX Composite + 1/3 S&P 500 (50% Hedged) + 1/3 MSCI ACWI x US Net, effective October 1, 201. Effective January 15, 2016 Alternative Assets which include Absolute Return Strategies, Private Equity and Real Assets will no longer form part of the Equity. Those wishing to continue to hold Alternative AssetscandosoviatheBalancedAccountorGlidePathOptions.For additional information, please refer to the document titled "Segregation of Alternative Assets from the Equity and Glide Path Options".

2 Glide Path Options Glide paths were introduced in 201 as an alternative to constructing a personalized portfolio using the investment options available under the Plan. A glide path is an evolving asset mix based on a member s age and risk tolerance. As a member approaches retirement, the asset mix becomes more conservative. Table provides the asset mix, age bands for the available glide path profiles as well as the performance of each glide path combination. Effective January 15, 2016 Alternative Assets which include Absolute Return Strategies, Private Equity and Real Assets will no longer form part of the Equity. Those wishing to continue to hold Alternative AssetscandosoviatheBalancedAccountorGlidePathOptions.For additional information, please refer to the document titled "Segregation of Alternative Assets from the Equity and Glide Path Options". Glide Path Options - Profiles Funds / Age Bands Age 66 and above Age 60 to 65 Age 50 to 59 Age 0 to 9 Age 30 to 39 Below Age 30 Conservative Risk Profile Fixed Income 65% 65% 50% 0% 30% 20% Equity 35% 35% 50% 60% 0% 80% Allocation A A B C D E Moderate Risk Profile Fixed Income 65% 50% 0% 30% 20% 10% Equity 35% 50% 60% 0% 80% 90% Allocation A B C D E F Aggressive Risk Profile Fixed Income 50% 0% 30% 20% 10% 10% Equity 50% 60% 0% 80% 90% 90% Allocation B C D E F F Glide Path Return Allocation A B C D E F Return 2.2% 2.% 3.1% 3.% 3.8%.1% date Return 5.3% 6.3% 6.9%.5% 8.1% 8.8% One-Year Annualized Return 5.3% 6.3% 6.9%.5% 8.1% 8.8% Performance returns are reported in dollars and are gross of fees.

3 Balanced Account To optimize capital accumulation over the long-term through allocations to the Equity and Fixed Income with a target asset mix of 65% equity securities and 35% fixed income securities. In order to attain the investment s outlined above, a moderate to high degree of short-term return volatility will be accepted in the Balanced Account in pursuit of long-term capital appreciation. Such short-term return volatility will be moderated through the diversification of assets in a prudent manner. Using active and passive investment strategies, the investments of the Balanced Account shall include the following major asset classes: equities, US equities, non-north American equities, Global equities, real assets, private equity holdings, absolute return funds exposures, bonds, mortgage loans, cash and cash equivalents. 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 Statement of Investment Policy., excluding record keeping fees, expressed as a percentage of the Investment s Assets were 0.85 % for the year 201. Balanced Account Performance 2015 Annualized Returns Return date Return 1 year 5 years 10 years Balanced Account Composite Balanced Account Benchmark (1) added vs benchmark Equity (2) Composite Equity Benchmark (3) added vs benchmark Fixed Income (2) FTSE TMX Universe Bond added vs benchmark (1) 65% Composite Equity Benchmark + 35% FTSE TMX Universe Bond, effective October 1, (2) Represents the Balanced Account's share of Equity and Fixed Income assets under. (3) 1/3 S&P/TSX Composite + 1/3 S&P 500 (50% Hedged) + 1/3 MSCI ACWI x US Net, effective October 1, 201. Balanced Account Asset Allocation Actual Allocation Strategic Asset Allocation Min Max Equity Public Equity Alternative Assets Total Equity Fixed Income Balanced Account Composition Nominal Bonds, 29% Listed Real Assets, 2% Absolute Return Strategies, 8% Private Equity, 5% Cash*, 1% Equities, 1% Real Assets, 5% Global Equities, 36% Balanced Account *Cash and Cash Equivalents included in Equity

4 Equity To provide long-term capital appreciation and income by investing in a diversified portfolio of, foreign equity securities and Alternatives assets. In order to attain the investment s outlined above, a high degree of short-term return volatility, mitigated by diversification, will be accepted in the Equity in pursuit of long-term capital appreciation and higher expected return. Using active and passive investment strategies, the investments of the Equity shall include the following major asset classes: equities, US equities, non-north American equities, Global equities, Alternative assets, cash and cash equivalents. Alternative Investments shall include real estate and infrastructure, private equity, absolute return. 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 Statement of Investment Policy., excluding record keeping fees, expressed as a percentage of the Investment s Assets were 1.03 % for the year 201. Effective January 15, 2016 Alternative Assets which include Absolute Return Strategies, Private Equity and Real Assets will no longer form part of the Equity. Those wishing to continue to hold Alternative Assets can do so via the Balanced Account or Glide Path Options. For additional information, please refer to the document titled "Segregation of Alternative Assets from the Equity and Glide Path Options". Equity Performance 2015 Return Annualized Returns date Return 1 year 5 years 10 years Equity Composite Equity Benchmark (1) added vs benchmark Equities S&P/TSX Composite added vs benchmark Global Equities Composite Global Equity Benchmark (2) added vs benchmark Alternative Assets Composite Alternative Assets Benchmark (3) added vs benchmark Cash & Cash Equivalents FTSE TMX 30-Day T-Bill added vs benchmark Performance returns have been calculated by an independent performance measurement firm, reported in dollars and are gross of fees. Different benchmarks indices were used in the five and ten-year periods, where applicable. (1) 1/3 S&P/TSX Composite + 1/3 S&P 500 (50% Hedged) + 1/3 MSCI ACWI x US Net, effective October 1, 201. (2) 50% S&P500 (50% Hedged) + 50% MSCI ACWI x US Net, effective October 1, 201. (3) 0% (% + CPI) + 25% (2/3 S&P 500 (50% Hedged) + 1/3 MSCI Europe + 3%) + 35% (US T-Bill + 5% (50% Hedged)), effective October 1, 201. Equity - Ten Largest Publicly Traded Holdings % Equity % Balanced Account TORONTO DOMINION BANK. 0.8% 0.62% JOHNSON & JOHNSON 6. 0.% 0.53% EXXON MOBIL CORP % 0.52% ROCHE HOLDING AG % 0.51% ALIMENTATION COUCHE-TARD INC % 0.50% SUNCOR ENERGY INC % 0.9% CANADIAN NATIONAL RAILWAY CO % 0.9% COCA-COLA CO/THE % 0.% CHEVRON CORP % 0.3% MERCK & CO INC % 0.2% Equity Composition Absolute Return Strategies, 12% Private Equity, 8% Real Assets, % Listed Real Assets, 2% Cash & Cash Equivalents, 1% Equities, 19% Global Equities, 51%

5 Fixed Income To provide a predictable source of interest income, to reduce volatility of investment returns and to provide a hedge against deflation, by investing in a diversified portfolio of primarily fixed income and floating rate securities. An allocation to real-return bonds maybeusedtoprovideahedgeagainstinflation. In order to attain the investment s outlined above, a moderate degree of short-term return volatility will be accepted in the Fixed Income. Using active and passive investment strategies, the investments of the Fixed Income shall include the following major asset classes: Nominal 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 Statement of Investment Policy., excluding record keeping fees, expressed as a percentage of the Investment s Assets were 0.3 % for the year 201. Fixed Income Performance 2015 Annualized Returns Return date Return 1 year 5 years 10 years Long term Fixed Income FTSE TMX Universe Bond added vs benchmark Performance returns have been calculated by an independent performance measurement firm, are reported in dollars and are gross of fees. Different benchmarks indices were used in the five and ten-year periods, where applicable. Fixed Income - Ten Largest Publicly Traded Holdings Fixed Income Composition % Fixed Income % Balanced Account Mortgages, 9% Cash & other, 3% Federal Bonds, 23% PH&N MORTGAGE PENSION TRUST % 0.56% PROV OF QUEBEC 3.500% 01-DEC-205 MTN % 0.55% GOVERNMENT OF CANADA 2.250% 01-JUN-2025 SER D % 0.55% PROV OF ONTARIO 6.500% 08-MAR % 0.50% PROV OF ONTARIO 3.50% 02-JUN-205 BDS % 0.% PROV OF QUEBEC 5.000% 01-DEC-201 MTN % 0.6% PROV OF ONTARIO 2.900% 02-DEC-206 SER DMTN % 0.5% GOVERNMENT OF CANADA 5.50% 01-JUN-2033 SER XG % 0.% ROYAL BANK OF CANADA VAR RT 23-MAR-2020 SER CB % 0.2% PROV OF ONTARIO 5.600% 02-JUN % 0.35% Corporate Bonds, 1% Provincial Bonds, 2%

6 Socially Responsible Investment (SRI) To optimize capital accumulation over the long-term, while following an investment framework that incorporates issues related to socially responsible investing. In order to attain the investment s outlined above, a moderate to high degree of short-term return volatility will be accepted in the Socially Responsible Investment in pursuit of long-term capital appreciation. The investments of the Socially Responsible Investment shall include the following major asset classes: equities, US equities, non-north American equities, bonds, 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 Statement of Investment Policy., excluding record keeping fees, expressed as a percentage of the Investment s Assets were 0.8 % for the year 201. SRI Performance 2015 Annualized Returns Return date Return 1 year 5 years 10 years SRI SRI Balanced Fund Benchmark added vs benchmark Performance returns have been calculated by an independent performance measurement firm, are reported in dollars and are gross of fees. SRI - Ten Largest Publicly Traded Holdings Government of Canada 0.50% Sep % Toronto-Dominion Bank % Royal Bank of Canada % Province of Ontario.600% Jun % Bank of Nova Scotia % Province of Ontario 6.500% Mar % ITC Holdings Corp % Estée Lauder Companies Inc., Class A % Manulife Financial Corporation % International Flavors & Fragrances Inc % % SRI SRI Composition Fixed Income, 3% NNA Equities, 1% Cash & Shortterm, 2% Equities, 30% U.S. Equities, 1%

7 Money ("MMP") The investment of the money market pool is to maintain capital, provide stable returns and maintain liquidity. In order to attain the investment s outlined above, a low degree of short-term return volatility will be accepted in the Money. The investments of the Money shall include the following major asset classes: cash, 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 Statement of Investment Policy., excluding record keeping fees, expressed as a percentage of the Investment s Assets were 0.30 % for the year 201. Money Performance 2015 Annualized Returns Return date Return 1 year 5 years 10 years Money FTSE TMX 30-Day T-Bill added vs benchmark Performance returns have been calculated by an independent performance measurement firm, are reported in dollars and are gross of fees. Money - Ten Largest Publicly Traded Holdings Money Composition Repurchase Agreement due 01/05/2016 Government of Canada 0.80% % Repurchase Agreement due 01/05/2016 Government of Canada Treasury Bill 0.0% % 2016/05/09 Bank of Nova Scotia (The) 1.800% % 2016/02/22 Bank of Nova Scotia (The) 3.610% % 2016/08/02 Toronto-Dominion Bank (The) 2.98% % 2016/01/19 Imperial Oil Limited % 2016/03/31 Royal Bank of Canada % 2016/01/11 National Bank of Canada 2.050% % 2016/03/10 Bank of Montreal 3.103% % 2016/01/21 OMERS Finance Trust % % MMP Fixed Income, 18% Corporate Commercial Paper, 50% Government Issued T-Bills, 12% Banker's Acceptances, 20%