Page 1

UTAM 2017 ANNUAL REPORT AND PERFORMANCE REVIEW

Daren M. Smith, CFA President and Chief Investment Officer Presentation to Business Board

April 23, 2018


Annual Report: Behind the Numbers • Theme: Provide readers with a better understanding of what goes into generating the investment returns. • Particular focus on the people at UTAM and the processes that we follow, including Responsible Investing activities. 2


Portfolio Market Values (at Dec. 31 in $Billions)

Portfolio

2017

2016

LTCAP

$2.9

$2.6

Pension

$5.0

$4.4

EFIP

$2.0

$1.8

Total

$9.9

$8.8 3


Portfolio Returns Rolling Periods ending Dec. 31, 2017

Portfolio

1 Year

5 Years 10 Years

LTCAP

12.4%

11.0%

4.3%

Pension

12.4%

10.9%

4.2%

EFIP

1.5%

1.6%

1.8%

4


Performance: Evaluating Returns 1) Were the returns generated good or bad? 2) How much did UTAM add or detract with its active management approach?

To answer these questions we need the following: Target Return: The return objective for each portfolio.

Reference Portfolio: Passive, easy to implement, public markets only, low-cost, simple and appropriate for Pension and LTCAP’s long-term risk and return objectives. 5


Performance: Actual vs Target Rolling Periods ending December 31, 2017 1 Year 5 Years Actual Portfolio Returns LTCAP 12.4% 11.0% Pension 12.4% 10.9% EFIP 1.5% 1.6% University Target Returns LTCAP & Pension: CPI + 4% 5.8% 5.5% EFIP: 365 day T-bill + 0.50% 0.8% 1.3% Actual minus Target (1) LTCAP 6.6% 5.5% Pension 6.6% 5.4% EFIP 0.8% 0.3%

10 Years 4.3% 4.2% 1.8% 5.6% 2.0% -1.2% -1.4% -0.1%

(1) Due to rounding, some values in this presentation may differ from the results of simple subtraction.

6


Performance: Reference vs Target Rolling Periods ending December 31, 2017 Reference Portfolio Returns (1) LTCAP Pension University Target Returns LTCAP & Pension: CPI + 4% Reference minus Target LTCAP Pension

1 Year

5 Years

10 Years

11.4% 11.4%

8.7% 8.7%

3.8% 3.8%

5.8%

5.5%

5.6%

5.7% 5.7%

3.2% 3.2%

-1.8% -1.8%

(1) Reference Portfolio adopted in March 2012 for LTCAP and May 2012 for Pension. Policy Portfolio used for prior periods. There is no Reference Portfolio for EFIP. 7


Performance: Actual vs Reference Rolling Periods ending December 31, 2017 1 Year

5 Years

10 Years

LTCAP

12.4%

11.0%

4.3%

Pension

12.4%

10.9%

4.2%

LTCAP

11.4%

8.7%

3.8%

Pension

11.4%

8.7%

3.8%

Actual Portfolio Returns

Reference Portfolio Returns

Actual minus Reference (UTAM value add) LTCAP

0.9%

2.3%

0.5%

Pension

1.0%

2.3%

0.4% 8


UTAM Value Add Rolling Periods ending Dec. 31, 2017

Portfolio

1 Year

5 Years 10 Years

LTCAP

0.9%

2.3%

0.5%

Pension

1.0%

2.2%

0.4%

Total Value Add

$68 Million

$625 Million

$416 Million

9


Asset Allocation & Limits Pension at Dec. 31, 2017 (LTCAP is similar) Reference Outside of Actual % Portfolio % Limit? Canadian Equity 10 10.0 No US Equity 20 20.0 No 15 14.9 No Europe, Australia, Far East Equity Emerging Markets Equity 10 9.9 No Global Equity 5 5.0 No Total Equity 60 59.8 No Credit (Corporate Credit) 20 20.1 No Rates (Government Bonds) 20 12.5 No Absolute Return Hedge Funds 7.4 Cash 0.2 Total Other 0 7.6 No Total 100 100.0 Foreign Currency Exposure 32.3 32.6 No

------- Limit ------Min. % Max. % 5 15 15 25 10 20 5 15 0 10 50 70 10 30 10 30

0

15

24.8

39.8

10


Actual Risk vs Reference Portfolio Risk December 31, 2017

Reference Portfolio LTCAP Pension LTCAP Active Risk Pension Active Risk

Risk (Volatility) 5.7% 5.8% 5.8% 0.1% 0.1%

11


Responsible Investing • Developed and Published a Responsible Investing Policy • Signatory to the UN-supported Principles for Responsible Investing • ESG Integration

• Active Ownership 12


Responsible Investing (continued) • Member of the Responsible Investment Association and Canadian Coalition for Good Governance. • Signatory to CDP (formerly the Carbon Disclosure Project) and the Montréal Carbon Pledge. • Published second annual Responsible Investing report. 13


QUESTIONS?

UTAM Annual Update – 2017  
UTAM Annual Update – 2017