McGill University Pension Plan

Transcription

1 Investment Option Performance management Q2 Return 2018 Annualized Returns Balanced Account 1, Composite Balanced Account Benchmark (1) added vs benchmark Equity Pool Composite Equity Pool Benchmark (2) added vs benchmark Fixed Income Pool FTSE TMX Canada Universe Bond added vs benchmark Alternative Assets - Net Alternative Assets Benchmark (3) Net value added vs benchmark SRI Pool SRI Pool Benchmark added vs benchmark Money Pool FTSE TMX 30-Day T-Bill added vs benchmark * Asset Pool and/or Benchmark are 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 except alternative assets which are net of fees. Different benchmarks indices were used in the one, five and ten-year periods, where applicable. (1) 5% Composite Equity Pool Benchmark + 35% FTSE TMX Canada Universe Bond + 20% Alternative Assets Benchmark, 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 January 1, (3) 50% (% + CPI) + 25% (50% (1/2 S&P 500 (50% USD Hedged) + 1/2 MSCI Europe (Local) + 3%) + 50% (US T-Bills (50% USD Hedged) + 5%)) + 25% (US T-Bills (50% USD Hedged) + 5%), effective April 1, Starting January 2016, Alternative Assets which include Diversifying Assets, Private Investments, Listed Real Assets and Real Assets no longer form part of the Equity Pool. 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 Pool 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. The following table provides the asset mix, age bands for the available glide path profiles as well as the performance of each glide path Starting January 2016, Alternative Assets which include Diversifying Assets, Private Investments, Listed Real Assets and Real Assets no longer form part of the Equity Pool. Those wishing to continue to hold Alternative Assets can do so via the Balanced Account or Glide Path ptions. For additional information, please refer to the document titled "Segregation of Alternative Assets from the Equity Pool 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 Pool 65% 65% 50% 0% 30% 20% Equity Pool 25% 25% 35% 5% 55% 65% Alternative Assets 10% 10% 15% 15% 15% 15% Allocation A A B C D E Moderate Risk Profile Fixed Income Pool 65% 50% 0% 30% 20% 10% Equity Pool 25% 35% 5% 55% 65% 5% Alternative Assets 10% 15% 15% 15% 15% 15% Allocation A B C D E F Aggressive Risk Profile Fixed Income Pool 50% 0% 30% 20% 10% 10% Equity Pool 35% 5% 55% 65% 5% 5% Alternative Assets 15% 15% 15% 15% 15% 15% Allocation B C D E F F Glide Path Performance Allocation A B C D E F Q2 Return 0.5% 0.9% 1.2% 1.% 1.% 1.9% date Return 1.0% 1.3% 1.% 1.5% 1.6% 1.% One-Year Annualized Return 3.6%.% 5.3% 6.0% 6.6%.3% Performance returns are reported in dollars and are gross of fees except alternative assets which are net of fees.

3 Balanced Account To optimize capital accumulation over the long-term through allocations to the Equity Pool, Fixed Income Pool and Alternative Assets with a target asset mix of 5% equity securities, 35% fixed income securities and 20% alternative investments. 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, global equities, real assets, private investments, absolute return strategies, other alternative investments, bonds, cash and cash equivalents or any security resulting from the conversion, reorganization or arrangement related to an original investment in any securities. 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., expressed as a percentage of the Investment Pool s Assets were 1.00% for the year 201. Balanced Account Performance 2018 management Q2 Return Annualized Returns Balanced Account 1, Composite Balanced Account Benchmark (1) added vs benchmark (2) Equity Pool Composite Equity Pool Benchmark (3) added vs benchmark (2) Fixed Income Pool FTSE TMX Canada Universe Bond added vs benchmark (2) Alternative Assets - Net Alternative Assets Benchmark () Net value added vs benchmark Performance returns have been calculated by an independent performance measurement firm, reported in dollars and are gross of fees except alternative assets which are net of fees. (1) 5% Composite Equity Pool Benchmark + 35% FTSE TMX Canada Universe Bond + 20% Alternative Assets Benchmark, effective October 1, (2) Represents the Balanced Account's share of Equity Pool, Fixed Income Pool and Alternative management. (3) 1/3 S&P/TSX Composite + 1/3 S&P 500 (50% Hedged) + 1/3 MSCI ACWI x US Net, effective January 1, () 50% (% + CPI) + 25% (50% (1/2 S&P 500 (50% USD Hedged) + 1/2 MSCI Europe (Local) + 3%) + 50% (US T-Bills (50% USD Hedged) + 5%)) + 25% (US T-Bills (50% USD Hedged) + 5%), effective April 1, Balanced Account Asset Allocation Current Allocation Strategic Asset Allocation Min Max Equity Pool Fixed Income Pool Alternative Assets Balanced Account Balanced Account Composition Fixed Income 29% Listed Real Assets 2% Diversifying Assets 6% Cash* 1% Private Investments 6% 15% Global 32% Real Assets 9% * Cash and Cash Equivalents included in Equity Pool, Fixed Income Pool and Alternative Assets.

4 Equity Pool To provide long-term capital appreciation and income by investing in a diversified portfolio of and foreign equity securities. 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 Pool in pursuit of long-term capital appreciation and higher expected return. Using active and passive investment strategies, the investments of the Equity Pool shall include the following major asset classes: equities, US equities, non-north American equities, Global equities, cash and cash equivalents or any security resulting from the conversion, reorganization or arrangement related to an original investment in equities or in money market securities. Investments may be made in the above asset 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., expressed as a percentage of the Investment Pool s Assets were 0.68% for the year 201. Starting January 2016, Alternative Assets which include Diversifying Assets, Private Investments, Listed Real Assets and Real Assets no longer form part of the Equity Pool. 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 Pool and Glide Path Options". Equity Pool Performance 2018 management Q2 Return Annualized Returns Equity Pool Composite Equity Pool Benchmark (1) added vs benchmark S&P/TSX Composite added vs benchmark Global Composite Global Equity Benchmark (2) added vs benchmark In addition to and Global, the Equity Pool also contain $1.M in Cash and Cash Equivalent. 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 one, 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 January 1, (2) 50% S&P 500 (50% Hedged) + 50% MSCI ACWI x US Net, effective October 1, 201. Equity Pool - Ten Largest Publicly Traded Holdings Security Name % Equity Pool % Balanced Account TORONTO DOMINION BANK % 0.62% CANADIAN NATIONAL RAILWAY CO % 0.60% CANADIAN NATURAL RESOURCES LTD % 0.% NIKE INC % 0.2% CGI GROUP INC % 0.2% TENCENT HOLDINGS LTD % 0.1% SUNCOR ENERGY INC % 0.1% ROYAL BANK OF CANADA % 0.0% LOBLAW COMPANIES LTD % 0.0% ABRDN GL-CHINA A SE-Z ACCUSD % 0.0% Equity Pool Composition Global 68% 32%

5 Fixed Income Pool To provide a predictable source of interest income, to improve the match between assets and liabilities, 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 may be used to provide a hedge against inflation. In order to attain the investment s outlined above, a moderate degree of short-term return volatility will be accepted in the Fixed Income Pool. Using active and passive investment strategies, the investments of the Fixed Income Pool shall include the following major asset classes: nominal and real return bonds, loans including mortgage loans, cash and cash equivalents or any security resulting from the conversion, reorganization or arrangement related to an original investment in fixed income or in money market securities. Investments may be made in the above asset 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., expressed as a percentage of the Investment Pool s Assets were 0.51% for the year 201. Fixed Income Pool Performance management 2018 Annualized Returns Q2 Return date Return 1 year 5 years 10 years Long term Fixed Income Pool FTSE TMX Canada 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 Pool - Ten Largest Publicly Traded Holdings Fixed Income Pool Composition Security Name % Fixed Income Pool % Balanced Account Mortgages 10% Federal Bonds 21% GOLDMAN SACHS GBL FIX INC PLUS %.03% PROV OF ONTARIO 2.600% 02-JUN % 2.36% COLCHESTER LOCAL MKT BD HEDGED % 1.36% COLCHESTER LOCAL MKT BD UNHEDG % 1.32% AMP CAPITAL INFRA DEBT FUND III % 0.5% ROYAL BANK OF CANADA VAR RT 23-MAR-2020 SER CB % 0.3% WALT DISNEY CO (THE) 2.58% 0-OCT-202 RESTRICTED % 0.3% APPLE INC 2.513% 19-AUG-202 RESTRICTED % 0.31% PROV OF ALBERTA 2.550% 01-JUN-202 BDS SER DO % 0.28% PH&N MORTGAGE PEN TR #30 SER O % 0.2% Corporate Bonds 1% Provincial Bonds 12% Municipal Bonds 16%

6 Alternative Assets To provide long-term capital appreciation and income with a focus on capital preservation, by investing in a diversified portfolio of alternative assets. In order to attain the investment s outlined above, a moderate to high degree of short-term return volatility, mitigated by diversification, will be accepted in the Alternative Assets in pursuit of long-term capital appreciation and higher expected return. The alternative investments shall be classified as follows: real assets (real estate and infrastructure), private investments, absolute return strategies, other alternative investments, cash and cash equivalents or investment resulting from the conversion, reorganization or arrangement within these particular asset classes. Investments may be made in the above asset 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., expressed as a percentage of the Investment Pool s Assets were 2.19% for the year 201. Starting January 2016, Alternative Assets which include Diversifying Assets, Private Investments, Listed Real Assets and Real Assets no longer form part of the Equity Pool. 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 Pool and Glide Path Options". Alternative Assets Performance management 2018 Annualized Returns Q2 Return Alternative Assets - Net Alternative Assets Benchmark (1) Net value added vs benchmark Performance returns have been calculated by an independent performance measurement firm, reported in dollars and are net of fees. Different benchmarks indices were used in the five and ten-year periods, where applicable. (1) 50% (% + CPI) + 25% (50% (1/2 S&P 500 (50% USD Hedged) + 1/2 MSCI Europe (Local) + 3%) + 50% (US T-Bills (50% USD Hedged) + 5%)) + 25% (US T-Bills (50% USD Hedged) + 5%), effective April 1, Strategies in Alternative Assets Alternative Assets Composition Strategy Listed Real Assets 8% Cash & Cash Equivalents 5% Diversifying Assets 2% Diversifying Assets 69.8 Real Assets Private Investments 6.1 Listed Real Assets 23.9 Cash & Cash Equivalents 12.8 Private Investments 2% Real Assets 39%

7 Socially Responsible Investment (SRI) Pool 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 Pool in pursuit of long-term capital appreciation. The investments of the Socially Responsible Investment Pool 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. 0 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., expressed as a percentage of the Investment Pool s Assets were 0.3% for the year 201. Effective June 26, 201, the SRI Pool is invested in a customized portfolio having the following target asset mix: - Cash & Cash Equivalents 0% - RBC Vision Bond Fund 0% - RBC Vision Equity Fund 20% - RBC Vision Global Equity Fund 0% SRI Pool Performance management Q2 Return 2018 Annualized Returns SRI Pool SRI Pool 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 Pool - Ten Largest Publicly Traded Holdings Security Name % SRI Pool EOG Resources Inc % UnitedHealth Group Incorporated % TJX Companies Inc % Estee Lauder Companies Inc. Class A % Alphabet Inc. Class A % Fortive Corp % Danaher Corp % Roche Holdings AG Genusscheine % First Republic Bank % Unilever N.V % SRI Pool Composition Fixed Income 3% NNA 16% Cash & Short-term 2% 20% U.S. 25%

8 Money Pool ("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 Pool. The investments of the Money 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., expressed as a percentage of the Investment Pool s Assets were 0.23% for the year 201. Money Pool Performance management 2018 Annualized Returns Q2 Return Money Pool 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 Pool - Ten Largest Publicly Traded Holdings Money Pool Composition Security Name % MMP Pool 2018/11/19 Federation des caisses Desjardins du Quebec 2.95% % 2018/08/02 bcimc Realty Corporation 2.90% % 2018/09/13 Bank of Montreal 3.210% % 2019/0/02 Toronto-Dominion Bank (The) 2.% % 2019/03/0 bcimc Realty Corporation 2.960% % 2019/03/0 Bank of Montreal 2.30% % 2018/11/21 Toyota Credit Canada Inc % % 2019/03/1 Bank of Nova Scotia (The) 2.62% % 2019/05/23 Toyota Credit Canada Inc % % 2018/0/18 Toyota Credit Canada Inc. 2.50% % Cash & Cash Equivalents 2% Short-term Bonds 2% Repurchase Agreements 1% Government Issued T-Bills 5% Banker's Acceptances 21% Corporate Commercial Paper %