September 30, 2017 Pension Quarterly Investment Report
University of Guelph Pension Plans
Pavilion Advisory Group Ltd.
1250 René-Lévesque Blvd. West, Suite 4030
H3B 4W8 Canada
Pension Plans Results Overview
(Net of fees returns for the 12 months ended September 30th, 2017)
The Total Plan gained 7.3% over the last 12 months, an outperformance of 0.4% vs its unhedged benchmark, and an underperformance of 0.3% vs its hedged benchmark.
|Canadian Equity||U.S. Equity|
|Global/Non-North American Equity||Fixed Income|
Total Pension Portfolio Vs Composite Benchmark
As of September 30, 2017 (Gross of Fees, Annualized for Periods over 1 Year)
Returns are presented gross of fees in CAD. Current Composite Benchmark: 20% S&P/TSX Comp Capped + 20% MSCI EAFE Net ($CAD) + 20% S&P 500 ($CAD) + 10% FTSE TMX ST Bond Index + 17.5% FTSE TMX LT Bond Index + 2.5% FTSE TMX 91 Day T-Bill + 5% IPD Canada Annual Property Index + 5% Barclays Global High Yield Index Hedged to CAD. 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 March 2017, 37.5% hedged from March to June 2017, 25% hedged from June to September 2017, 12.5% hedged since September 2017.
Asset Class Performance
As of September 30, 2017 (Gross of Fees)
|Allocation||Annualized Performance(%)||Annual Performance(%)|
|Market Value ($)||% of Portfolio||Quarter to Date||1 Year||3 Years||5 Years||10 Years||1 Year Ending Sep-2016||1 Year Ending Sep-2015||1 Year Ending Sep-2014||1 Year Ending Sep-2013||1 Year Ending Sep-2012|
|S&P/TSX Composite Index||3.7||9.2||4.5||8.1||4.1||14.2||-8.4||20.4||7.1||9.2|
|S&P 500 Index (CAD)||0.6||12.9||15.0||19.8||9.9||13.2||19.2||30.2||24.7||22.9|
|Non-North American Equity||249,636,483||17.3||1.5||15.2||10.1||15.0||6.6||6.2||9.2||16.4||29.4||11.8|
|MSCI EAFE Composite||1.6||13.8||9.5||14.2||4.2||4.9||10.0||13.8||29.8||7.9|
|MSCI World Ex Canada||1.0||13.2||12.8||17.5||7.4||9.7||15.5||22.7||27.3||15.9|
|Fixed Income Benchmark||-2.5||-2.2||3.1||2.8||4.8||6.3||5.3||6.3||-1.3||5.5|
|IPD Canadian Property Index||1.6||5.6||6.6||8.3||8.4||7.2||7.1||9.2||12.4||13.6|
|Dow Jones Brookfield Global Infrastructure Index||-0.4||4.7||N/A||N/A||N/A||N/A||N/A||N/A||N/A||N/A|
|Internal Cash (STIF)*||28,373,622||2.0||-0.1||2.1||2.3||2.6||1.8||4.3||0.6||6.0||-0.1||-5.6|
|FTSE TMX Canada 91 Day T-Bill||0.1||0.5||0.6||0.7||1.1||0.5||0.8||0.9||1.1||0.9|
|Total Pension(Gross of Fees)||1,440,597,251||100.0||0.5||7.9||6.5||10.1||6.6||9.4||2.5||15.5||15.8||13.5|
|Net of Fees||0.4||7.3||6.1||9.6||6.1||8.8||2.1||15.0||15.4||13.0|
|Composite Benchmark (Hedged)||0.8||7.6||6.6||9.2||5.4||9.6||2.6||14.9||11.6||11.3|
|Total Pension (Gross of Fees)||1,440,597,251||100.0||0.5||7.9||6.5||10.1||6.6||9.4||2.5||15.5||15.8||13.5|
|Total Pension ex. FX overlay||0.1||7.3||7.3||11.0||N/A||9.1||5.5||16.8||16.5||12.6|
Current Fixed Income Benchmark: 30.8% FTSE TMX ST Bond Index + 53.8% FTSE TMX LT Bond Index + 15.4% Barclays Global High Yield Hedged to CAD.
Current Composite Benchmark: 20% S&P/TSX Comp Capped + 20% MSCI EAFE Net ($CAD) + 20% S&P 500 ($CAD) + 10% FTSE TMX ST Bond Index + 17.5% FTSE TMX LT Bond Index + 2.5% FTSE TMX 91 Day T-Bill + 5% IPD Canada Annual Property Index + 5% Barclays Global High Yield Index Hedged to CAD. The Hedged Benchmark has the same composition as the Composite Benchmark, but all foreign indices are 50% hedged back to Canadian dollars from December 2011 to March 2017, 37.5% hedged from March to June 2017, 25% hedged from June to September 2017, 12.5% hedged since September 2017.
*Cash amounts and percentages presented exclude residual manager cash balances and FX overlay (currency hedging). However, they include the proceeds of the former Banyan Private Equity position, which explains its high 2-year return. All returns are reported gross of fees in CAD except for the Total Pension Plan where returns are displayed both net and gross of fees. EAFE Stands for Europe, Australasia and Far East. The IPD Canadian Property Index is published quarterly with a 2-month lag, it is approximated by CIBC Mellon.
Total Pension Plans Vs Attribution Benchmark
1 Year Ending September 30, 2017
Returns are presented gross of fees in CAD.
The Attribution Benchmark was created to account for small variations of asset allocation between the Total Pension Plans and their Composite Benchmark. Its composition is as follow: 20% S&P/TSX Comp Capped + 16% S&P 500 ($CAD) + 16% MSCI EAFE Net ($CAD) + 8% MSCI World + 10% FTSE TMX ST Bond Index + 17.5% FTSE TMX LT Bond Index + 5% IPD Canada Annual Property Index + 2.5% FTSE TMX 91 Day T-Bill + 5% Barclays Global High Yield Hedged to CAD.
“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 September 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
Over the last 12 months the Total Pension portfolio increased from $1,357.7 M to $1,440.6 M consisting of:
- -Total contributions of $61.5 M and distributions of $76.7 M.
- -1 year return (net of investment management fees) of 7.3% compared to 8.8% one year ago.