Student Investment Advisory Service. Q Performance Review. February 24 th, Economics & Strategy. Compliance & A=ribu>on.

Transcription

1 Student Investment Advisory Service Q Performance Review February 24 th, /2/11 1 Segal Graduate School of Business

2 Agenda Compliance & Performance Risk Metrics Economics & Conclusion and Q&A Edward Lee Helen Yin Elif Boz Aldaris Zhong Ashkan Ziabakhshdeylami Ayla Yang SIAS Team Presentation Intermission Q&A (30 Minutes) (15 Minutes) (15 Minutes) 2

3 80% 70% 60% 50% 40% Compliance Historical Return of SIAS since m 10.5m 30% 20% 10% 0% 7.5m 7.3m 3

4 About the SIAS Fund Inves>ng mandate set by the SFU Treasurer, Mr. Michael Murdock, the client AUM as of February 18, 2011: $10.7M Four Asset Classes: 1. CDN SP TSX 2. MSCI All Countries Index, ex Canada 3. DEX Universe Bond Index 4. Cash 3/2/11 4 Segal Graduate School of Business

5 % /01/ /19/ /04/ /22/ /10/ /26/ /13/ /29/ /17/ /02/ /18/ /06/ /22/ /09/ /25/ /10/ /28/ /14/ /01/ /17/ /03/ /21/2010 5

6 20% Return of SIAS for % 10.5m 10% 5% 0% 9.3m - 5% 1/1/14 2/1/14 3/1/14 4/1/14 5/1/14 6/1/14 7/1/14 8/1/14 9/1/14 10/1/14 11/1/14 12/1/14-10% Adjusted End of Month Net Balance 6

7 % /01/ /19/ /04/ /22/ /10/ /26/ /13/ /29/ /17/ /02/ /18/ /06/ /22/ /09/ /25/ /10/ /28/ /14/ /01/ /17/ /03/ /21/2010 7

8 % /02/ /03/ /04/ /05/ /06/ /07/ /08/ /09/ /10/ /11/ /12/ /01/2015 8

9 Compliance and Performance Edward Lee 9

10 IPS Guidelines and Constraints Compliance Comments 1. Asset Mix within IPS Range Yes Equi>es a) Minimum 25 holdings Yes 35 holdings b) Single holding < 10% Yes Largest holding 7% c) Small Cap < 5% Yes No Small Cap a) Minimum 20 holdings Yes 29 holdings b) Minimum 10 non- ETFs Yes 16 non- ETF posi>ons 21 holdings (only issues) a) Credit ra>ng: < 10% BBB, and 0% below BBB Yes b) Dura>on within ± 1 year of the DEX Yes year Loans and Borrowing a) No margin or short selling Yes b) No deriva>ves trading Yes Notes Everything in Compliance Yes 3/2/11 10 Segal Graduate School of Business

11 SIAS Porkolio Q Performance Cash; 1% Porkolio excess return: Difference=Actual- benchmark - 3 bp Cash; 2% ; 36% 26% ; 35% ; 28% 37% ; 35% Actual return on porkolio: weight(p)*return(p) 5.00% Actual return on benchmark: weight(b)*return(b) 5.03% 11

12 Porkolio A=ribu>on Analysis PorLolio excess return: Difference=Actual- benchmark - 3 bp Cash Total Alloca>on Selec>on Interac>on Return Contribu>on (bp) Cash Total Return Porkolio Benchmark Ac>ve Return

13 A=ribu>on Excess Return: 81 bp (all sectors) Financials Energy Materials Alloca>on Selec>on Interac>on Return Contribu>on (bp) Financials Energy Materials Ac>ve Return

14 Excess Return: bp Return Contribu>on (bp) 0 Compliance A=ribu>on U.S. Europe Asia ex Japan Japan Emerging Market U.S. Europe Asia Pacific ex. Japan Japan Emerging Market Porkolio Benchmark Ac>ve Return Alloca>on Selec>on Interac>on 14

15 A=ribu>on Excess Return: 3.77 bp Yield Shiq Twist Bu=erfly Credit Convexity Total Return Contribu>on (bp) Yield Shi\ Twist Bu]erfly Credit Convexity Total Ac>ve Return

16 34, $ TECK RESOURCES LTD Top/Bo=om Overall Assets $ 38,940 FIRST QUANTUM MINERALS LTD INMET MINING CORP LOCKHEED MARTIN CORP ENCANA CORPORATION ROGERS COMMUNICATIONS INC $ 44,625 $ 34,895 $ - 1,828 $ - 6,600 $ - 5, % % 0.00% 10.00% 20.00% 30.00% 40.00% 50.00% 16

17 Next Steps for Compliance &Performance Team 2010Q4 Improvement of the A=ribu>on Analysis Automate Daily Compliance 2011Q1 SOP Implementa>on Incorporate Risk Metrics into Trade Review 17

18 Risk Metrics Helen Yin 18

19 Porkolio Vola>lity Porkolio: 11.0% TSX: 10.3% Value At Risk (99% Daily) Porkolio: $77K (2.0%) TSX: 1.9% 19

20 Porkolio: VaR decomposi>on by sector Information Technology 2% [3%] Materials 40% [27%] Risk Weight Holding Weight Financials 21% [28%] Energy 29% [26%] Telecommunicati on Services 2% [5%] Utilities 2% [3%] Consumer Discretionary 2% [5%] Consumer Staples 2% [5%] 20

21 Porkolio: Risk A=ribu>on 0.40% 0.30% 0.20% 0.10% 0.00% % Energy Financials Materials Total Alloca>on Selec>on Interac>on (bp) Energy Financials Materials Total Risk added Ac>ve return

22 Porkolio: Holding Highlights Top 3 Most Vola>le stocks Sector Beta First Quantum Minerals Ltd Materials 2.6 Inmet Mining Corpora>on Materials 2.2 Teck Resources Ltd Materials 2.1 Top 3 Least Vola>le stocks Sector Beta Reitmans Canada Ltd Consumer Discre>onary 0.3 Tim Hortons Inc. Consumer Discre>onary 0.4 BCE Inc. Telecommunica>ons

23 Porkolio Vola>lity Porkolio: 11.0% MSCI All Countries : 12.0% Value At Risk (99% Daily) Porkolio: $70K (1.9%) MSCI All Countries: 2.3% 23

24 Porkolio: VaR decomposi>on by Region Europe 20% [14%] Asian Pacific 12% [10%] US 51% [64%] Risk Weight Emerging 17% [12%] Holding Weight 24

25 Porkolio: Risk A=ribu>on 0.75% 0.50% 0.25% 0.00% % % US North America Emerging Asian Pacific Europe Total Alloca>on Selec>on Interac>on US Emerging Asian Pacific Europe PorLolio Risk added Ac>ve return (bp)

26 Porkolio: Holding Highlights Top 3 most vola>le stocks Sector Beta ishares South Korea Index Fund Emerging 1.6 Corning Inc. US 1.5 ishares Australia Index Fund Asian Pacific 1.5 Top 3 least vola>le stocks Sector Beta Wal- Mart Stores Inc. US 0.5 Procter & Gamble Company US 0.5 Johnson & Johnson US

27 Risk Analysis of Manulife and REIT Transac>on Scenario 1: Sell $40K of Manulife(MFC) to market posi>on and purchase $100K of REIT(REF- U) Scenario 2: Sell $100K of Manulife (full posi>on) and purchase $100K of REIT 0.49 Diversifica>on Effect No Trade Scenario 1 Scenario /10/ /10/ /11/ /11/

28 Porkolio Elif Boz 28

29 Alloca>on Benchmark 31 Dec 2010 Cash 2.0% 1.1% 0.8% 28.0% 25.9% 25.9% 35.0% 36.8% 36.5% Non- US 18.5% 12.7% 12.8% US 16.5% 23.5% 24.0% 29

30 SIAS Alloca>on Porkolio as of 31 December 2010 Benchmark 36.8% 35.0% 36.5% 28.0% 25.9% 25.9% 23.5% 24.0% 16.5% 3.7% 5.0% 3.7% 5.0% 3.3% 3.2% 5.7% 8.5% 5.9% Canada US Emerging Markets Asia Pacific, Japan Europe 30

31 Markets Correla>on 31

32 Looking Forward Advanced and Emerging Economies GDP Growth World Emerging and Developing Economies Advanced Economies US Canada 32

33 Unemployment 33

34 Consumer Confidence and Consump>on 34

35 Composite Home Price Indexes, Canada and US 250 US: S&P/Case Shiller Composite 20 Canada: Teranet- Na>onal Bank Index Source: CREA 35

36 Commodi>es Rela>ve to Dollar 36

37 China Top 5 China Export Partners US 20% "Trade Surplus'' Hong Kong 12% 10 Japan 8% 0 South Korea 5% Germany 4% Source: US Department of Commerce - 10 Jan2008 Mar2008 May2008 Jul2008 Sep2008 Nov2008 Jan2009 Mar2009 May2009 Jul2009 Sep2009 Nov2009 Jan2010 Mar2010 May2010 Jul2010 Sep2010 Nov2010 Lower Exchange Rate High Trade Surplus 37

38 Sovereign Debt Crisis of Europe and Japan 38

39 Aldaris Zhong 2/24/2011 Segal Graduate School of Business 39

40 Quarterly Performance 36.8% of SIAS porkolio S&P/TSX Q4 Return: 9.44% Ac>ve return of : 81 bps Ac>ve return of Materials sector: 154 bps 3/2/11 40 Segal Graduate School of Business

41 Q4 Cumula>ve Returns 10.25% 9.44% 8.25% 0 09/30/ /21/ /11/ /02/ /23/2010 CDN S&P/TSX S&P/TSX 60 Q4 Performance: 10.25% vs. 9.44% vs. 8.25% 41

42 Q4 Sector Summary MATERIALS HEALTHCARE INDUSTRIALS INFO TECH. UTILITIES Ac>ve Return FINANCIALS OTHER CONSUMER STAPLES TELECOMM. CONSUMER DISC. ENERGY % % % 0.25% 0.75% 1.25% 1.75% 42

43 Security Purchased ishares S&P/TSX REIT Yamana Gold Security Sold Valeant Pharmaceu>cals Manulife Financial ishares S&P/TSX Q4 Transac>on Summary Jus>fica>on 1. U>lize excess cash 2. Capture short- term market apprecia>on 1. Maintain Financials Sector Weight 2. Diversify through sector 1. Decrease underweight in gold sector given posi>ve outlook Jus>fica>on 1. Price target achieved 2. Concerns over fundamental changes in the company 1. Lack of predictability in earnings 2. Concerns over management strategies 1. Short- term gains captured 2. Cash needed for other transac>ons 43

44 Price/$ 20 Manulife Financial Corpora>on S 10 8 Sold 2,100 shares at $ /06/ /07/ /07/ /08/ /08/ /08/ /09/ /09/ /10/ /10/ /10/ /11/ /11/ /12/ /12/ /12/ /01/

45 ishares S&P/TSX Capped Composite Fund Price/$ B S Holding Period Return (60 days): 5.21% 8/16/10 8/28/10 9/9/10 9/21/10 10/3/10 10/15/10 10/27/10 11/8/10 11/20/10 12/2/10 12/14/10 12/26/10 1/7/11 45

46 Future Strategies for Major Sectors Sector Q4 SIAS Weight Q4 TSX Weight Q4 Ac>ve Weight Tac>cal Asset Alloca>on Long Term View Energy 25.45% 26.56% % Overweight Overweight Financials 27.83% 27.92% % Marketweight Marketweight Materials 26.85% 24.08% 2.77% Overweight Overweight Marketweight: Benchmark +/- 1% 46

47 Sector Consumer Staples Future Strategies for Other Sectors Q4 SIAS Weight Q4 TSX Weight Q4 Ac>ve Weight Tac>cal Asset Alloca>on Long Term View 4.68% 2.52% 2.16% Overweight Marketweight U>li>es 2.92% 1.66% 1.26% Overweight Marketweight Telecom 4.89% 4.04% 0.85% Marketweight Marketweight Consumer Discre>onary 4.82% 4.45% 0.37% Marketweight Marketweight Info Tech. 2.56% 2.44% 0.11% Marketweight Marketweight Healthcare 0% 0.83% % Marketweight Underweight Industrials 0% % % Underweight Underweight 47

48 Porkolio Summary PorLolio Porkolio Weigh>ng % Number of Posi>ons 29 Return 4.18 % Start Value Porkolio Return New Purchases PorLolio $3.39 M $142 K $277 K Returns Per Sector (%) US Europe Asia ex Japan Japan Emerging Markets Return Weight

49 Ashkan Ziabakhshdeylami 49

50 70% 60% 50% 40% 30% 20% 10% 0% North America Alloca>on Europe Asia ex Japan Japan Emerging Market Porkolio 63% 15% 9% 3% 10% Benchmark 42.2% 22.8% 5.2% 17.6% 12.3% 50

51 Ac>ve Return MXWD Ac>ve Absolute $142K 10/01/ /12/ /21/ /01/ /10/ /19/ /30/ /09/ /20/ /29/

52 Japan (EWJ) Return /09/ /10/ /11/ /12/2010 Japan (EWJ) BENCHMARK (MXWD) 52

53 Top/Bo=om Performers SOUTH KOREA INDEX JAPAN INDEX AUSTRALIA INDEX HONG KONG INDEX EUROPE 350 INDEX BRIC INDEX

54 South Korea /09/ /09/ /09/ /09/ /09/ /10/ /10/ /10/ /10/ /11/ /11/ /11/ /11/ /12/ /12/ /12/ /12/ /12/2010 BENCHMARK (MXWD) South Korea (EWJ) 54

55 European Trades /09/ /10/ /10/ /10/ /10/ /11/ /11/ /11/ /11/ /12/2010 Europe Germany UK 08/12/ /12/ /12/ /12/

56 US Sector Alloca>on Technology 7% Communica>ons 7% Basic Materials 3% Industrial 9% Consumer, Cyclical 9% Consumer, Non- cyclical 17% Broad Market Funds 48% 56

57 Top/Bo=om American Performers DOW CHEMICAL CO UNION PACIFIC CORP COCA- COLA CO/THE JOHNSON & JOHNSON 3M CO LOCKHEED MARTIN 57

58 Markets Underperform due to increasing poli>cal instability Underweight Europe Overweight South American, India, Russia Q US Market Outperform with significant market expansion Decrease broad market exposure Increase sector specific ETFs for ac>ve weigh>ng in likely to outperform sectors Con>nue to stock pick in Sectors such as Consumer cyclical/non and industrials Weights US Europe Asia ex Japan Japan Emerging Markets Benchmark SIAS Overweight Underweight Overweight Underweight Market weight 58 Student Investment Advisory Service

59 Ayla Yang 59

60 Sector Holding Comparison Federal Provincial Municipal Corporate Benchmark weights 46.13% 25.45% 1.43% 26.99% PorLolio weights 19.66% 52.34% 3.24% 24.76% 60

61 Quarterly Performance Total return of %, 4bp more than DEX Adjusted key rate dura>on closer to the benchmark 61

62 Weight(%) 25 Dura>on Structure before Transac>ons Port DEX Weight(%) (10) (20) Difference Duration Duration

63 Purchased Q4 Bond Maturity Coupon Sold Q4 Modified Dura>on OMERS Realty CTT HLDG Long 4.75% 4.68 York Region District Sch. Mid 5.30% 6.51 Bond Maturity Coupon Modified Dura>on Ontario Mid 5.35% 6.83 Jus>fica>on Increase key rate dura>on for the range 4 to 5 Increase key rate dura>on for the range 6 to 7 Jus>fica>on Decrease key rate dura>on for the range 6 to 7 63

64 Weight(%) 25 Dura>on Structure a\er Transac>ons Weight(%) Difference Port DEX Dura>on Dura>on 64

65 A=ribu>on Calcula>ons (bp) Total Return Yield Return Shi\ Twist Bu]erfly Credit Spread Convexity Porkolio Bench Ac>ve Return Porkolio outperformed the benchmark by 3.77bp Most of our total return came from yield Return Least return came from Yield Curve Movement 65

66 4.00 Yield Curve Oct 1st Dec 31st Quarterly Change

67 Sector Alloca>on Weight coupon dura>on Federal Provincial Municipal Corporate Coupons Dura>ons Bench Port Bench Port

68 Future Q4 10 Reduce mismatch of sector dura>on between porkolio and benchmark Q1 11 Rebalance the porkolio every quarter 68

69 Appendix 3/2/11 69 Segal Graduate School of Business

70 Holdings 3/2/11 70 Segal Graduate School of Business

71 Holdings (in CAD) 3/2/11 71 Segal Graduate School of Business

72 Holdings 3/2/11 72 Segal Graduate School of Business

73 Sector Asset Selec>on Intera>on Value Added = Ac>ve Alloca>on Decision Return Financials 0.10% % 0.01% 0.00% Health Care 0.20% 0.01% 0.06% 0.27% U>li>es % 0.05% 0.03% 0.02% Consumer Discre>onary % % % % Consumer Staples % 0.04% 0.03% % Energy % % 0.02% % Informa>on Technology % 0.08% 0.00% 0.07% Materials % 1.65% % 1.54% Telecomm Svcs % % % % Industrials 0.26% 0.00% 0.00% 0.26% Other % 0.00% 0.00% % Total 0.23% 0.56% 0.02% 0.81% 73

74 : Historical Returns PorLolio Benchmark CIBC Mellon Benchmark Bloomberg Ac>ve 3- months 10.26% 9.44% 9.45% 0.82% 6- months 24.00% 20.69% 21.64% 3.31% 1- year 18.39% 17.64% 17.62% 0.75% 3- years* 3.15% 2.15% 2.11% 1.00% 3- years 9.75% 6.59% 6.46% 3.16% 5- years* 7.07% 6.55% 6.50% 0.52% 5- years 41.37% 37.44% 37.01% 3.93% * Annualized 74

75 Major Materials Holdings Company Q4 Weights Quarterly Return Q4 Price Current Price * BARRICK GOLD CORP 4.95% 11.71% FIRST QUANTUM 4.19% 38.02% INMET MINING CORP 3.50% 35.99% * As of February 18 th,

76 Major Energy Holdings Company Q4 Weights Quarterly Return Q4 Price Current Price * SUNCOR 5.67% 14.27% CANADIAN NATURAL 4.94% 24.61% CANADIAN OIL SANDS 3.73% 3.89% * As of February 18 th,

77 Major Financials Holdings Company Q4 Weights Quarterly Return Q4 Price Current Price * RBC 7.04% % TD BANK 5.73% % BANK OF SCOTIA 4.73% 3.97% * As of February 18 th,