June 30, 2017 Pension Quarterly Investment Report
University of Guelph Pension Plans
2nd Quarter 2017
Pavilion Advisory Group Ltd.
1250 René-Lévesque Blvd. West, Suite 4030 Montreal, Quebec
H3B 4W8 Canada
Pension Plans Results Overview
(Net of fees returns for the 12 months ended June 30th, 2017)
The Total Plan gained 11.5% over the last 12 months, an outperformance of 0.5% vs. its unhedged benchmark and 0.4% vs. its hedged benchmark.
|Pension Plan Results Overview|
|Canadian Equity||U.S. Equity|
|Global/Non-North American Equity||Fixed Income|
Total Pension Portfolio Vs Composite Benchmark
As of June 30, 2017 (Gross of Fees, Annualized for Periods over 1 Year)
Returns are presented gross of fees in CAD. Current Composite Benchmark: 25% S&P/TSX Comp Capped + 20% MSCI EAFE Net ($CAD) + 20% S&P 500 ($CAD) + 5.5% FTSE TMX Canada Bond Universe + 5% FTSE TMX ST Bond Index + 17.5% FTSE TMX LT Bond Index + 2% FTSE TMX 91 Day T-Bill + 5% IPD Canada Annual Property Index. The Hedged Benchmark has the same composition as the Composite Benchmark, but all foreign indices are 50% hedged back to Canadian dollars from December 2011 to February 2017, 37.5% hedged since March 2017, 25% hedged since June 2017.
Asset Class Performance
As of June 30, 2017 (Gross of Fees)
|Allocation||Annualized Performance (%)||Annual Performance (%)|
|Market Value ($)||% of portfolio||Quarter to Date||1 year||3 years||5 years||10 years||2016 to 2017||2015 to 2016||2014 to 2015||2013 to 2014||2012 to 2013||2011 to 2012|
|S&P/TSX Composite Index||-1.6||11.0||3.1||8.7||3.9||11.0||-0.2||-1.2||28.7||7.9||-10.3|
|S&P 500 Index (CAD)||0.4||17.9||17.1||20.3||9.3||17.9||8.2||25.9||25.8||24.8||11.4|
|Non-North American Equity||246,474,270||17.1||3.4||21.4||9.2||15.6||5.7||21.4||-2.8||10.4||27.2||24.7||-3.4|
|MSCI EAFE Composite||3.6||20.8||8.5||14.6||3.5||20.8||-6.1||12.7||25.3||23.3||-8.5|
|MSCI World Ex Canada||1.6||19.1||13.5||17.9||6.8||19.1||1.9||20.4||25.8||24.2||1.7|
|Canadian Fixed Income||373,821,640||26.0||2.3||0.5||4.0||3.4||5.1||0.5||5.3||6.3||5.3||0.0||9.5|
|Fixed Income Benchmark||2.7||1.5||4.3||3.6||5.3||1.5||5.2||6.3||5.3||-0.2||9.5|
|IPD Canadian Property Index||1.2||4.8||6.4||8.4||8.6||4.8||7.7||6.8||9.6||13.4||14.8|
|Dow Jones Brookfield Global Infrastructure Index||1.3||8.9||N/A||N/A||N/A||8.9||N/A||N/A||N/A||N/A||N/A|
|Internal Cash (STIF)*||28,261,217||2.0||1.6||2.4||2.5||2.6||1.7||2.4||4.1||1.0||5.6||0.0||-5.3|
|FTSE TMX Canada 91 Day T-Bill||0.1||0.5||0.6||0.8||1.2||0.5||0.5||0.9||1.0||1.0||1.0|
|Total Pension Gross of Fees||1,437,656,676||100.0||1.1||12.1||6.5||10.8||6.3||12.1||0.1||7.6||20.1||15.2||1.6|
|Net of Fees||1.0||11.5||6.0||10.3||5.9||11.5||-0.3||7.2||19.6||14.7||1.1|
|Composite Benchmark (Hedged)||1.3||11.1||6.6||9.9||5.2||11.1||1.4||7.6||18.7||11.5||0.2|
|Total Pension (Gross of Fees)||1,437,656,676||100.0||1.1||12.1||6.5||10.8||6.3||12.1||0.1||7.6||20.1||15.2||1.6|
|Total Pension ex. FX overlay||1.1||12.2||7.5||11.6||N/A||12.2||1.0||9.5||20.8||15.5||1.4|
Current Fixed Income Benchmark: 20% FTSE TMX Canada Bond Universe + 18% FTSE TMX ST Bond Index + 62% FTSE TMX LT Bond Index.
Current Composite Benchmark (Hedged): 25% S&P/TSX Comp Capped + 20% MSCI EAFE Net ($CAD) + 20% S&P 500 ($CAD) + 5.5% FTSE TMX Canada Bond Universe + 5% FTSE TMX ST Bond Index + 17.5% FTSE TMX LT Bond Index + 2% FTSE TMX 91 Day T-Bill + 5% IPD Canada Annual Property Index. All foreign indices are 50% hedged back to Canadian dollars from December 2011 to February 2017, 37.5% hedged since March 2017, 25% hedged since June 2017.
*Cash amounts and percentages presented exclude residual manager cash balances and FX overlay (currency hedging). However, they include the proceeds of the former Banyan Private Equity position, which explains its high 2-year return. All returns are reported gross of fees in CAD except for the Total Pension Plan where returns are displayed both net and gross of fees.
EAFE Stands for Europe, Australasia and Far East. The IPD Canadian Property Index is published quarterly with a 2-month lag, it is approximated by CIBC Mellon.
Total Pension Plans Vs Attribution Benchmark
1 Year Ending June 30, 2017
Returns are presented gross of fees in CAD.
The Attribution Benchmark was created to account for small variations of asset allocation between the Total Pension Plans and their Composite Benchmark. Its composition is as follow: 25% S&P/TSX Comp Capped
+ 16% S&P 500 ($CAD) + 16% MSCI EAFE Net ($CAD) + 8% MSCI World + 5.5% FTSE TMX Canada Bond Universe + 5% FTSE TMX ST Bond Index + 17.5% FTSE TMX LT Bond Index + 5% IPD Canada Annual Property Index + 2% FTSE TMX 91 Day T-Bill. The Benchmarks do not assume currency hedging.
“Other” includes the effects of all other factors on the Total Pensions Plans' relative return, including rebalancing and residual trading returns.
Pension Plans Asset Mix
Actual Allocation vs. Investment Policy Allocation
As of June 30, 2017
Note: This actual allocation displays the aggregate managers' holdings regardless of their mandate. Cash presented includes internal cash (STIF) and manager residual cash balances (data from CIBC Mellon).
Growth of Pension Assets
June Market Values and Net 1-year Returns to June 30th of Each Year
Over the last 12 months the Total Pension portfolio increased from $1,303 M to $1,438 M consisting of:
– Total contributions of $ 61.7 M and disbursements of $ 75.1 M.
– 1-year return (net of investment management fees) of 11.5% compared to -0.3% one year ago.