McGill University Pension Plan Balanced Account as at September 30, 2013

Transcription

1 McGill University ension lan Balanced Account as at eptember 30, 2013 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 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, 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. Note: The information and descriptions of the fund are as at eptember 30, 2013 and may vary in the future.

2 Managers in Balanced Account Manager Mandate ()/() Date Hired Canadian yramis Global Advisors Van Berkom & Associates TD Asset Management tate treet Global Advisors U.. tate treet Global Advisors 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 Index &/TX60 Index Index - &500 Large Cap 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 eptember 2011 June 1992 March 2008 October 2010 eptember 2010 June 2013 June 2006 November 2008 March 2011 Global tate treet Global Advisors Index MCI World High Yield Dividend Index June 2012 Alternative Investments Real Estate External ooled funds in Canadian real estate. N/A rivate Equity External Three non-canadian private equity funds and six non-canadian private equity fund of funds / N/A Absolute Return trategies External Ten non-canadian managers employing a variety of different direct investment strategies Nov./Dec. 2011; Jan./Feb Other TD Asset Management U Dollar Currency Overlay N/A August 2009 Canadian Bonds Canso Investment Counsel hillips, Hager & North Ltd. TD Asset Management Fiera Capital TD Asset Management () egregated; () ooled Active - DEX Corporate Bond Index Active - DEX Universe Bond Index Index - DEX Universe Bond Index Active - DEX Universe Bond Index Active DEX 30-Day Treasury Bill Index August 2011 July 2012 July 2003 May 2013 eptember 2007 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. Balanced Account Composition (as at eptember 30, unaudited) Note: The information and descriptions of the fund are as at eptember 30, 2013 and may vary in the future.

3 erformance Returns (as at eptember 30, unaudited) Notes: ast performance is not necessarily an indication of future performance. Market performance can be different from unit value performance, as the latter is calculated net of expenses and is presented using a one-month lag. erformance returns are before fees. Rates of Return 2 Q year 5 years 10 years Balanced Account 3.2% 12.2% 7.7% 7.9% Balanced Benchmark 1 3.0% 9.5% 6.8% 7.2% 1 Current benchmark: 65% Equity ool Benchmark, 35% Fixed Income ool Benchmark, where: Equity ool: 23.1% &/TX Composite, 16.9% &500, 9.2% MCI EM, 7.7% MCI EAFE, 12.3% MCI World High Dividend Yield, 30.8% Alternative Assets Benchmark; and Fixed ool: 71.4% DEX Universe Bond, 14.3% DEX Real-Return Bond, 14.3% ML Global High Yield (Hedged) 2 Annualized for periods greater than one year Expected Rate of Return: 3.30% 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 0.60 of 1% or 60 basis points for the year. Top 5 Equity & Fixed Income Holdings (as at eptember 30, unaudited) ecurity Name Canadian Royal Bank of Canada Toronto-Dominion Bank The Bank of Nova cotia uncor Energy Bank of Montreal U.. Johnson & Johnson Chevron fizer AT&T Merck & Co. Non-North American Roche Holdings (witzerland) Nestle (witzerland) Novartis (witzerland) Vodafone (United Kingdom) China Mobile (Hong Kong) Fixed Income Govt of Canada 1.00% 2015/02/01 Govt of Canada 1.00% 2015/11/01 Ontario rov 2.85% 2023/06/02 Ontario rov 7.60% 2027/06/02 Can Housing Trust 3.80% 2021/06/15 Market Value (in $millions CAD) % of Balanced Account Note: The information and descriptions of the fund are as at eptember 30, 2013 and may vary in the future.

4 McGill University ension lan Equity ool as at eptember 30, 2013 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, 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 yramis Global Advisors Van Berkom & Associates TD Asset Management tate treet Global Advisors U.. tate treet Global Advisors 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 Index &/TX60 Index Index - &500 Large Cap 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 eptember 2011 June 1992 March 2008 October 2010 eptember 2010 June 2013 June 2006 November 2008 March 2011 Global tate treet Global Advisors Index MCI World High Yield Dividend Index June 2012 Alternative Investments Real Estate External ooled funds in Canadian real estate. N/A rivate Equity External Three non-canadian private equity funds and six non- Canadian private equity fund of funds / N/A Absolute Return trategies External Ten non-canadian managers employing a variety of different direct investment strategies Nov./Dec. 2011; Jan./Feb Other TD Asset Management U Dollar Currency Overlay N/A August 2009 () egregated; () ooled Note: The information and descriptions of the fund are as at eptember 30, 2013 and may vary in the future.

5 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 eptember 30, 2013 (unaudited) erformance Returns as at eptember 30, 2013 (unaudited) Notes: ast performance is not necessarily an indication of future performance. Market performance can be different from unit value performance, as the latter is calculated net of expenses and is presented using a one-month lag. erformance returns are before fees. Rates of Return 2 Q year 5 years 10 years Equity ool 4.5% 18.3% 7.9% 8.3% Equity Benchmark 1 4.4% 16.0% 6.8% 7.7% 1 Current benchmark: 23.1% &/TX Composite, 16.9% &500, 9.2% MCI EM, 7.7% MCI EAFE, 12.3% MCI World High Dividend Yield, 30.8% Alternative Assets Benchmark 2 Annualized for periods greater than one year Expected Rate of Return: 4.00% 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 0.75 of 1% or 75 basis points for the year. Note: The information and descriptions of the fund are as at eptember 30, 2013 and may vary in the future.

6 Top 5 Holdings (as at eptember 30, unaudited) ecurity Name Canadian Royal Bank of Canada Toronto-Dominion Bank The Bank of Nova cotia uncor Energy Bank of Montreal U.. Johnson & Johnson Chevron fizer AT&T Merck & Co. Non-North American Roche Holdings (witzerland) Nestle (witzerland) Novartis (witzerland) Vodafone (United Kingdom) China Mobile (Hong Kong) Market Value (in $000s CAD) % of Equity ool Note: The information and descriptions of the fund are as at eptember 30, 2013 and may vary in the future.

7 McGill University ension lan Fixed Income ool As at eptember 30, 2013 Investor rofile: 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 Canso Investment Counsel hillips, Hager & North Ltd. TD Asset Management Fiera Capital TD Asset Management Active - DEX Corporate Bond Index Active - DEX Universe Bond Index Index - DEX Universe Bond Index Active - DEX Universe Bond Index Active DEX 30-Day Treasury Bill Index August 2011 July 2012 July 2003 May 2013 eptember 2007 () 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. Note: The information and descriptions of the fund are as at eptember 30, 2013 and may vary in the future.

8 Fixed Income ool Composition (as at eptember 30, unaudited) erformance Returns (as at eptember 30, unaudited) Notes: ast performance is not necessarily an indication of future performance. Market performance can be different from unit value performance, as the latter is calculated net of expenses and is presented using a one-month lag. erformance returns are before fees. Rates of Return 2 Q year 5 years 10 years Fixed Income ool 0.3% -0.5% 5.9% 5.6% Fixed Income Benchmark 1 % -1.7% 6.3% 5.7% 1 Current benchmark: 71.4% DEX Universe Bond, 14.3% DEX Real-Return Bond, 14.3% ML Global High Yield (Hedged) 2 Annualized for periods greater than one year Expected Rate of Return: 2.00% 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 of 1% or 40 basis points for the year. Top 5 Holdings (as at eptember 30, unaudited) ecurity Name Govt of Canada 1.00% 2015/02/01 Govt of Canada 1.00% 2015/11/01 Ontario rov 2.85% 2023/06/02 Ontario rov 7.60% 2027/06/02 Can Housing Trust 3.80% 2021/06/15 Market Value (in $millions CAD) % of Fixed Income ool Note: The information and descriptions of the fund are as at eptember 30, 2013 and may vary in the future.

9 McGill University ension lan ocially Responsible Investment ( RI ) ool as at eptember 30, 2013 Investor rofile: This ool 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, 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 65% equity securities and 35% fixed income securities including a maximum cash limit of 10%. 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 $17.7 million at eptember 30, Investment Managers: Manager Mandate egregated/ ooled Date Hired Guardian Ethical Management Inc. Guardian Ethical Management Balanced ool March 2008 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. Background of RI ool Manager The ocially Responsible Investment ool invests in the Guardian Ethical Management ( GEM ) Balanced ool. GEM is equally owned by Guardian Capital L ( Guardian ) and the Northwest & Ethical Investments L ( NEI ). Guardian focuses on investment management governed by a sustainable discipline, whereas NEI focuses on Note: The information and descriptions of the fund are as at eptember 30, 2013 and may vary in the future. 1

10 ongoing shareholder engagement and the evaluation of environmental, social, and governance performance of holdings and investment prospects. NEI operates the Ethical Funds of Canada which is one of Canada s largest socially responsible mutual funds. In addition to evaluating all investments according to their financial, social and environmental performance, NEI promotes corporate accountability. Guardian presents proposed acquisitions to NEI for sustainability review and will not invest if such review is negative. GEM s focus is on providing institutional investors with an integrated RI solution. NEI believes that a company s management of environmental, social, and governance issues is critical to long-term business success. Companies that ignore environmental, social, and governance issues are subject to heightened business risks: legal, operational, and reputational. The fundamental goal of NEI is to ensure that companies manage activities to produce an overall positive impact on society and minimize negative impacts on the environment, put in place market incentives that encourage corporate managers and directors to operate companies responsibly, and foster the creation of a just and sustainable world. GEM is a member of the ocial Investment Organization ( IO ), the Canadian association for socially responsible investment. RI ool Composition as at eptember 30, 2013 (unaudited) RI ool erformance Returns as at eptember 30, 2013 (unaudited) Notes: ast performance is not necessarily an indication of future performance. Market performance can be different from unit value performance, as the latter is calculated net of expenses and is presented using a one-month lag. erformance returns are before fees. Rates of Return 3 Q year 3 years 5 years RI ool 1 3.3% 7.7% 5.9% 5.8% RI ool Benchmark 2 4.0% 8.5% 6.0% 6.0% 1 RI ool Allocation olicy: GEM Canadian Equity ool, 40%; GEM Global Equity ool, 25%; GEM Fixed Income ool, 35% 2 RI ool Benchmark: &/TX Composite, 40%; MCI World Index ex. Canada, 25%; DEX Bond Universe Index, 35% 3 Annualized for periods greater than one year Expected Rate of Return: 3.30% 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 0.95 of 1% or 95 basis points for the year. Note: The information and descriptions of the fund are as at eptember 30, 2013 and may vary in the future. 2

11 RI ool - Top 10 Holdings in the RI ool as at eptember 30, 2013 (unaudited) ecurity Name CANADA HOUING TRUT 3.35% DEC TORONTO DOMINION BANK ROYAL BANK OF CANADA UNCOR ENERGY THE BANK OF NOVA COTIA GOVT OF CANADA 5.75% JUN GOVT OF CANADA 5.75% JUN CANADA HOUING TRUT 1.85% DEC ONTARIO ROV 8.50% DEC CANADIAN NATIONAL RAILWAY Market Value (in $000 CAD) 1, % of the RI ool Note: The information and descriptions of the fund are as at eptember 30, 2013 and may vary in the future. 3

12 McGill University ension lan Money Market ool As at eptember 30, 2013 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 DEX 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 TD Asset Management Active DEX 30-Day Treasury Bill Index eptember 2007 () 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. Note: The information and descriptions of the fund are as at eptember 30, 2013 and may vary in the future.

13 Money Market ool Composition (as at eptember 30, unaudited) erformance Returns (as at eptember 30, unaudited) Notes: ast performance is not necessarily an indication of future performance. Market performance can be different from unit value performance, as the latter is calculated net of expenses and is presented using a one-month lag. erformance returns are before fees. Rates of Return 2 Q year 5 years 10 years Money Market ool 0.2% 1.0% 0.8% 2.1% MM Benchmark 1 0.3% 1.0% 0.8% 2.0% 1 Current benchmark: DEX 30-Day T-Bill. 2 Annualized for periods greater than one year Expected Rate of Return: the return on the DEX 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 0.27 of 1% or 27 basis points for the year. Top 5 Holdings (as at eptember 30, unaudited) ecurity Name Government of Canada Treasury Bill 10/01/13 Government of Canada Treasury Bill 11/07/13 Government of Canada Treasury Bill 12/05/13 Government of Canada Treasury Bill 01/03/14 Government of Canada Treasury Bill 11/21/13 Market Value (in $millions) % of Money Market ool Note: The information and descriptions of the fund are as at eptember 30, 2013 and may vary in the future.