McGill University Pension Plan as at March 31, Investment Options Performance

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1 Investment Options Performance Q1 Return (%) 2015 Year to date Return (%) Annualized Returns (%) Assets under management Q1 1 year 5 years 10 years (in millions $) Long term objective (%) Balanced Account Composite Balanced Account Benchmark (1) Value added vs benchmark Equity Pool Composite Equity Pool Benchmark (2) Value added vs benchmark Fixed Income Pool FTSE TMX Universe Bond Value added vs benchmark Socially Responsible Investment (SRI) Pool SRI Balanced Fund Benchmark Value added vs benchmark Money Market Pool FTSE TMX 30 Day T Bill Value added vs benchmark * Hedging of es with U.S. Investments and U.S. Benchmarks effective October 1, Performance returns have been calculated by an independent performance measurement firm, are reported in Canadian dollars and are gross of fees. Different benchmarks indices were used in the five and ten year periods, where applicable. (1) 65% Composite Equity Pool Benchmark + 35% FTSE TMX Universe Bond, effective October 1, 2012 (2) 23.1% S&P/TSX Composite % S&P 500 (50% Hedged) % MSCI AC World ex US Net % Alternative Investments Benchmark, 'effective October 1, /12

2 Balanced Account Performance Q1 Return (%) 2015 Annualized Returns (%) Assets under Year to date Return (%) management Q1 1 year 5 years 10 years (in millions $) Long term objective (%) Equity Pool Composite Equity Pool Benchmark (1) Value added vs benchmark Fixed Income Pool FTSE TMX Universe Bond Value added vs benchmark Balanced Account Composite Balanced Account Benchmark (2) Value added vs benchmark (1) 23.1% S&P/TSX Composite % S&P 500 (50% Hedged) % MSCI AC World ex US Net % Alternative Investments Benchmark, 'effective October 1, 2014 (2) 65% Composite Equity Pool Benchmark + 35% FTSE TMX Universe Bond, effective October 1, 2012 Balanced Account Asset Allocation Actual Allocation (%) Strategic Asset Min % Max % Equity Pool Public Equity Canadian Equities Global Equities Cash, Cash Equivalents & Currency Forward Contracts Alternative Investments Real Assets Private Equity Absolute Return Strategies Total Equity Pool Fixed Income Pool Bonds Cash & Cash Equivalents Total Fixed Income Pool Balanced Account /12

3 Balanced Account Composition Investment Objective To optimize capital accumulation over the long term through allocations to the Equity Pool and Fixed Income Pool 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 in pursuit of long term capital appreciation. Such short term return volatility will be moderated through the diversification of assets in a prudent manner. Investment Style Using active and passive investment strategies, the investments of the Balanced Account shall include the following major asset classes: Canadian 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. Administrative and Investment Management Fees Administrative and Investment Management Fees as a percentage of the Investment Pool s Assets were 0.85 % for the year /12

4 Equity Pool Performance Q1 Return (%) 2015 Year to date Return (%) Annualized Returns (%) Assets under management Q1 1 year 5 years 10 years (in millions $) Equity Pool Canadian Equities S&P/TSX Composite Value added vs benchmark Global Equities Composite Global Equity Benchmark (1) Value added vs benchmark Alternative Assets Composite Alternative Assets Benchmark Value added vs benchmark Cash, Cash Equivalents & Currency Overla FTSE TMX 30 Day T Bill Value added vs benchmark Total Equity Pool Composite Equity Pool Benchmark (3) Value added vs benchmark Performance returns have been calculated by an independent performance measurement firm, reported in Canadian dollars and are gross of fees. Different benchmarks indices were used in the five and ten year periods, where applicable. (1) 50% S&P500 (50% Hedged) + 50% MSCI ACWI x US Net, effective October 1, 2014 (2) 40% (4% + CPI) + 25% (2/3 S&P 500 (50% Hedged) + 1/3 MSCI Europe + 3%) + 35% (US T Bill + 5% (50% Hedged)), effective October 1,2014 (3) 23.1% S&P/TSX Composite % S&P 500 (50% Hedged) % MSCI AC World ex US Net % Alternative Investments Benchmark, 'effective October 1, 2014 Equity Pool Composition 0.36% Canadian Equities 22.70% 22.34% Global Equities Alternative Assets 54.60% Cash, Cash Equivalents & Currency Overlay 4/12

5 Equity Pool - Ten Largest Publicly traded Holdings Market Value % of Equity % of Balanced Security Name (in millions) Pool Account TORONTO DOMINION BANK $ % 0.79% JOHNSON & JOHNSON $ % 0.67% CHEVRON CORP $ % 0.55% ALIMENTATION COUCHE TARD INC $ % 0.54% SUNCOR ENERGY INC $ % 0.53% MERCK & CO INC $ % 0.52% NESTLE SA $ % 0.48% NOVARTIS AG $ % 0.47% ROYAL BANK OF CANADA $ % 0.47% CCL INDUSTRIES INC $ % 0.44% Investment Objective To provide long term capital appreciation and income by investing in a diversified portfolio of Canadian, foreign equity securities and Alternatives assets. Risk Tolerance In order to attain the investment objectives outlined above, a high degree of short term return volatility, mitigated by diversification, will be accepted in the Equity Pool in pursuit of long term capital appreciation and higher expected return. Investment Style Using active and passive investment strategies, the investments of the Equity Pool shall include the following major asset classes: Canadian 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. Administrative and Investment Management Fees Administrative and Investment Management Fees as a percentage of the Investment Pool s Assets were 1.03 % for the year /12

6 Fixed Income Pool Performance Q (%) 2015 Year to date Return (%) Annualized Returns (%) Asset under management Q1 1 year 5 years 10 years (in millions $) Long term objective (%) Total Fixed Income Pool FTSE TMX Universe Bond Value added vs benchmark Performance returns have been calculated by an independent performance measurement firm, are reported in Canadian dollars and are gross of fees. Different benchmarks indices were used in the five and ten year periods, where applicable. Fixed Income Pool Composition 1.24% Federal Bonds 10.04% Provinicial Bonds 33.10% Municipal Bonds 22.46% Corporate Bnds 0.05% Foreign Bonds 33.10% Cash & Cash Equivalents 6/12

7 Fixed Income Pool - Ten Largest Fixed Income Holdings Market Value % of Fixed % of Balanced Security Name (in millions) Income Pool Account Province of Ontario 6.50% 2029/03/08 $ % 0.9% Province of Ontario 3.45% 2045/06/02 $ % 0.8% US Treasury Note 0.75% 2017/03/15 $ % 0.8% US Treasury Note 0.875% 2018/01/15 $ % 0.7% Govt of Can 5.75% 2033/06/01 $ % 0.6% Province of Ontario 7.60% 2027/06/02 $ % 0.6% Province of Quebec 5.00% 2041/12/01 $ % 0.5% US Treasury Note 1.125% 2020/04/30 $ % 0.5% Royal Bank of Canada VAR RT 2020/03/203 $ % 0.5% Govt of Can 1.50% 2017/02/01 $ % 0.4% Investment Objective 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 Canadian fixed income and floating rate securities. An allocation to real return bonds may be used to 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 Pool. Investment Style Using active and passive investment strategies, the investments of the Fixed Income Pool 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. Administrative and Investment Management Fees Administrative and Investment Management Fees as a percentage of the Investment Pool s Assets were 0.43 % for the year /12

8 Socially Responsible Investment ( SRI ) Pool Performance Q1 Return (%) 2015 Annualized Returns (%) Asset under Year to date Return (%) management Q1 1 year 5 years 10 years (in millions $) Long term objective SRI Pool SRI Balanced Fund Benchmark Value added vs benchmark Performance returns have been calculated by an independent performance measurement firm, are reported in Canadian dollars and are gross of fees SRI Pool Composition 4.90% Canadian Equity 30.40% US Equity 33.20% Non-North American Equity Canadian Fixed Income 14.30% 17.20% Cash & Cash Equivalents 8/12

9 SRI Pool - Ten Largest Holdings Market Value % of Security Name (in $000) SRI Pool ONTARIO PROV 6.50% MAR $ % ONTARIO PROV 7.60% JUN $ % TORONTO DOMINION BANK $ % ROYAL BANK OF CANADA $ % THE BANK OF NOVA SCOTIA $ % VALEANT PHARMACEUTICALS $ % CANADIAN NATIONAL RAILWAY $ % UNITED HEALTH GROUP $ % TOYOTA MOTOR $ % FIRST REPUBLIC BANK $ % Investment Objective To optimize capital accumulation over the long term, while following an investment framework that incorporates issues related to socially responsible investing. 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 Socially Responsible Investment Pool in pursuit of long term capital appreciation. Investment Style The investments of the Socially Responsible Investment Pool shall include the following major asset classes: Canadian 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. Administrative and Investment Management Fees Administrative and Investment Management Fees as a percentage of the Investment Pool s Assets were 0.48 % for the year /12

10 Money Market Pool Performance Q1 Return (%) 2015 Annualized Returns (%) Asset under Year to date Return (%) management Q1 1 year 5 years 10 years (in millions $) Long term objective Money Market Pool FTSE TMX 30 Day T Bill Value added vs benchmark Performance returns have been calculated by an independent performance measurement firm, are reported in Canadian dollars and are gross of fees. Money Market Pool Composition 13.82% 8.96% 1.02% 18.66% Government Issued T-Bills Federal Agency Commerial Paper Canadian Banker's Acceptances 57.55% Corporate Commercial Paper Fixed Income 10/12

11 Money Market Pool - Ten Largest Holdings % of Money Security Name Market Value Market Pool Government of Canada Treasury Bill 15/04/06 $ 813, % Government of Canada Treasury Bill 15/04/01 $ 248, % Imperial Oil 15/04/07 $ 203, % The Bank of Nova Scotia 2.25% 2015/05/08 $ 203, % Royal Bank of Canada 3.36% 2016/01/11 $ 200, % Bank of Montreal 1.89% 2015/10/05 $ 199, % Storm King Funding 15/04/27 $ 152, % National Bank of Canada 2.05% 2016/01/11 $ 149, % Storm King Funding 15/08/06 $ 142, % CIBC 2015/05/04 $ 137, % Investment Objective The investment objective of the money market pool is to maintain 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 Pool. Investment Style The investments of the Money Market Pool 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. Administrative and Investment Management Fees Administrative and Investment Management Fees as a percentage of the Investment Pool s Assets were 0.30 % for the year /12

12 Glide Path Options Glide Path Profiles Funds / Age 66 and Age 60 Age 50 Age 40 Age 30 Below Age Bands above to 65 to 59 to 49 to 39 Age 30 Conservative Risk Profile Fixed Income Pool 65% 65% 50% 40% 30% 20% Equity Pool 35% 35% 50% 60% 70% 80% Allocation A A B C D E Moderate Risk Profile Fixed Income Pool 65% 50% 40% 30% 20% 10% Equity Pool 35% 50% 60% 70% 80% 90% Allocation A B C D E F Aggressive Risk Profile Fixed Income Pool 50% 40% 30% 20% 10% 10% Equity Pool 50% 60% 70% 80% 90% 90% Allocation B C D E F F Glide Path Return Allocation A B C D E F Q1 Return 4.8% 4.8% 5.3% 5.6% 5.9% 6.2% Year to date Return % 4.8% 5.3% 5.6% 5.9% 6.2% One Year Annualized Return 11.0% 11.4% 11.7% 12.0% 12.2% 12.5% Performance returns are reported in Canadian dollars and are gross of fees. Glide paths were introduced in 2014 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. 12/12