Student Investment Advisory Service (SIAS)

One of the largest student-run investment funds in North America

Q3 2022 Presentation: July 1, 2022 – September 30, 2022

Wednesday, November 16, 2022
Agenda

1. SIAS Fund Performance

2. Compliance / Operations

3. Macro Outlook

4. Global Equity

5. Canadian Equity

6. Canadian Fixed Income

7. Risk

8. ESG

9. Q&A
SIAS Fund Performance
Arun Subbiah | Compliance and Operations Co-Lead
arun_subbiah@sfu.ca

Aliakbar Abshar| Compliance and Operations Co-Lead

aliakbar_abshar@sfu.ca
Q3 2022: SIAS Underperformed by 0.04%

SIAS Total Portfolio

Begin Value: $21,236,060
End Value: $21,018,365

Portfolio Benchmark
Return: -0.46% Return: -0.42%
Active Return: -0.60%
* Tracking Error: 1.82%

Global Equity Canadian Equity Canadian Fixed Income

Begin Value: $10,778,273 Begin Value: $4,638,319 Begin Value: $4,578,503
End Value: $10,591,056 End Value: $4,540.304 End Value: $4,602,624
Portfolio Benchmark Portfolio Benchmark
Portfolio Benchmark
Return: -2.60% Return: -1.40% Duration: 6.93 Duration: 7.42
Return: -1.50% Return: -0.63%
Return: 0.49% Return: 0.44%

Active Return: -0.87% Active Return: -1.24% Active Return: 0.05%

Active Risk: 2.64% Active Risk: 4.62% Active Risk: 0.37%

* Annualized

4
Trailing 12 Months : SIAS Outperformed by 0.01%
Data: Trailing 12 Months Ending September 30, 2022

SIAS Cumulative Return vs. Benchmark

SIAS Benchmark

20.0%
15.0%
10.0%
5.0%
0.0%
-5.0%
-10.0%
-15.0%
-20.0%

Percentage Difference
1.5%

1.0%

0.5%

0.0%

-0.5%

-1.0%
00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 0 0 00 00 0 0 0 0 00 00 0 0 00 00 00 0 0 00 00 0 0 0 0 00 00 0 0 00 00 00 0 0 00 00 0 0 0 0 00 00
0: 0: 0 : 0 : 0: 0 : 0 : 0 : 0: 0 : 0 : 0 : 0: 0: 0: 0: 0: 0: 0: 0: 0: 0: 0: 0: 0: 0: 0: 0: 0: 0: 0: 0: 0: 0: 0: 0: 0: 0: 0: 0: 0: 0: 0: 0:
2 1 21 2 1 2 1 21 2 1 2 1 2 1 21 2 1 2 1 2 1 22 22 22 2 2 22 22 2 2 2 2 22 22 2 2 22 22 22 2 2 22 22 2 2 2 2 22 22 2 2 22 22 22 2 2 22 22 2 2 2 2 22 22
0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
/2 /2 /2 /2 /2 /2 /2 /2 /2 /2 /2 /2 /2 /2 /2 /2 /2 /2 /2 /2 /2 /2 /2 /2 /2 /2 /2 /2 /2 /2 /2 /2 /2 /2 /2 /2 /2 /2 /2 /2 /2 /2 /2 /2
/ 3 0 0 /8 /1 8 /2 6 1 /3 /1 1 /1 9 /2 9 2 /7 /1 5 /2 3 /3 1 /1 0 /1 8 /2 6 2 /3 /1 1 /2 1 3 /1 3 /9 /1 7 /2 5 4 /4 /1 2 /2 0 /2 8 5 /6 /1 6 /2 4 6 /1 6 /9 /1 7 /2 7 7 /5 /1 3 /2 1 /2 9 8 /8 /1 6 /2 4 9 /1 9 /9 /1 9 /2 7
9 1 10 10 1 11 11 11 1 12 12 12 1 1 1 2 2 3 3 4 4 4 5 5 6 6 7 7 7 8 8 9 9

5
10-Year Cumulative: SIAS Underperformed by -0.11% (Annualized)
Based on Year-End Values

10-Year Cumulative Return

SIAS Benchmark
150%
130% 120.0%
121.5%
110%
102.0% 93.0%
90% 81.6% 84.2%
86.8% 86.0%
70% 59.6% 63.2%
61.7% 58.8%
46.5%
50% 36.8%
45.6%
28.9%
33.6%
30% 29.1%
15.8%
16.9%
10% 0.0% 0.0%
0.0%
-10%
2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022

Year End Market Value (in millions)

$30.0
$25.1
$25.0
$20.7 $22.0 $21.0
$20.0 $18.2 $18.6
$15.6 $16.7
$14.7
$15.0 $13.2
$11.4
$10.0

$5.0
2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022
Q3

* Units of figures presented are in $CAD millions. 2022 data as of September 30, 2022.

6
Q3 2022 - Breakdown

7
Compliance and Operations Update
Arun Subbiah | Compliance and Operations Co-Lead
arun_subbiah@sfu.ca

Aliakbar Abshar| Compliance and Operations Co-Lead

aliakbar_abshar@sfu.ca
Compliance Updates

No breaches this quarter

9
Macroeconomics Overview & Asset Allocation
Current Economic Stage and Future Expectations

US Canada

Observations Observations
• Decreasing Consumer Spending • Decreasing Consumer Spending
• Decreasing Investing Activities • Decreasing Investing Activities
• Decreasing Manufacturing • Decreasing Manufacturing
Confidence Index Confidence Index
• The unemployment rate has • The unemployment rate has
decreased but higher future rates decreased but higher future rates
• Increasing the Current Account • Decreasing the Current Account
Balance (less negative) Balance
• Increasing the Financial Balance • Reversed Yield Curve
(Less negative)
• Reversed Yield Curve

Conclusion:
Conclusion: • Current: Stagnation Stage
• Current: Recession Stage

11
US & Canada Overnight Rate

US

• Increasing six times:

persistent inflation
• The economy will slow much
faster than the inflation

Canada

• Increasing six times:

persistent inflation

12
Asset Allocation of SIAS

Cash

6% Canadian
22% Equity
2% Benchmark (IPS) Allocation
24%
• Global Equity: 50%

52% • Canadian Equity: 20%

Global 50% 22%
22% • Canadian Fixed Income: 28%
Equity

Canadian
Fixed
• Cash: 2%
Income

SIAS Asset Allocation as of 30th September 2022

SIAS Asset Allocation proposed for year end 2022

13
Global Equity

Emerging Markets

10%
Pacific
8% 12% • US: Overweight
9%
• Europe & Middle East:
Overweight
17% 17%
Europe & 60% US
Middle East 63% • Emerging Markets: Underweight
3%
2%

Canada

Global Equity as of 30th September 2022

Benchmark (ISHARES MSCI ACWI INDEX)

14
PE Analysis

• All markets have decreasing PE ratio

15
Europe & Energy

• Better than
Expectations

• Saving Energy

• China Lockdowns

16
Global Equity Update
US Equity

Yash Desai | Global Equity Co-Lead

yash_desai@sfu.ca

Sarang Gill | Global Equity Co-Lead

sga127@sfu.ca

Macro/ROW Team

Ronak Tahazadeh | Global Equity Co-Lead

ronak_tahazadeh@sfu.ca

Yixuan Xia | Global Equity Co-Lead

martin_xia@sfu.ca
Persistent Inflation

18
Volatility of USD GDP and CPI

19
Manufacturing PMI going south

20
Strengthening US Dollar

21
Investment Approach

US Equity Rest of World (RoW) Equity

• Active Management • Macro Analysis (Economic,

Political, Social)
• Top-down approach
• Specific Country and region
• Sector Rotation Strategy to take bets
advantage of business cycle

• Picking fundamentally strong

companies

22
Global Equity at the End of Q3 2022

Active Return: -0.87% Active Risk: 3.92%

Active Allocation(As of 09/30)

30

25

20

15

10

0
le
s s
ar
y ls ls te y ls es gy re
ice cia tri
a ta og ia iti er Ca
tap rv on an
s ol er l
En
S S e e ti n dus lE hn at Uti lth
er on s cr F i In Re
a
T ec M
He
a
um ti Di n
ons nica er a tio
C u m
m su rm
m n fo
Co Co In

Portfolio Benchmark

23
Global Equities Return Drivers

Country Selection: United

States (-126 bps) ROW(-27
BPS)

Industry Selection: Real Estate (34

bps), Communication (- 133 bps),
Healthcare (-36 bps)

Stock Selection: VICI (20 bps), ALPHABET (-

56 bps), MSCI (25 bps)

24
Canadian Equity Update
Phoebe Wang | Canadian Equity Co-Lead
Xu_wang_9@sfu.ca@sfu.ca

Siddarth Gupta | Canadian Equity Co-Lead

Siddarth_gupta@sfu.ca
Canadian Equity- Underperformed in Q3 2022
Ending Value(1) Relative Return Tracking Error

$ 4,391,866 -1.21% 4.62%

Portfolio vs. Benchmark Total Return(2)(3)
10
8
6
4
2
0
-2
-4

Total Return (P) Total Return (B)

Return Summary (%) Portfolio

Portfolio Benchmark
Characteristics
Portfolio Return -2.61%
Benchmark Return -1.40% Dividend Yield 3.33% 3.60%

Active Return -1.21% Price/Book 1.85x 1.75x

Active Return Attribution Summary (%) Price/Earnings
12.23x 12.48x
Active Return -1.21% (trailing)

Allocation -0.15% Debt/Equity 148.74% 147.11%

Selection -1.00% Return on Equity 15.55% 14.56%
(1) Ending Value as of September 30, 2022
(2) Performance Benchmark: S&P/TSX Capped Composite Index ETF # of Holdings 38 240
(3) Performance Period: June 30, 2022– September 30, 2022
Portfolio Strategy
Macroeconomic Environment Overweight
Interest Rate Hike Majorly 3 sectors

• The bank continues its policy of quantitative tightening. Set its target • Follow a defensive strategy focused on
for overnight lending rate to 3.75%. established companies in defensive sectors.
• Inflation was at 7.6% in July, 7% in August, and 6.9% in September.
• With decreasing inflationary pressure, BOC is starting to ease up • Value oriented approach with focus on low PE
where it increased interest rates by 0.5% as of October in comparison and PB ratios and high dividend yield.
to 0.75% in September and 1% in July.
• Overweighted Financials sector
GDP Growth
• Overweighted Utilities sector
• The Canadian economy is starting to slow down with growth rate from
1.6% in Q4 2021. Expected to fall to 0.5% in Q4 2022 down from 0.8% • Overweighted Communication Services sector
in Q1 and Q2 2022.
• Final consumption expenditure grew by 1.7%. Strong contribution • Decreased underweights on Materials,
from household spending on semi-durable goods of 5.6% and services Consume Staples, Consumer Discretionary and
of 3.9%. Industrials.

Moving Forward
• Overall environment comprises of elevated commodity prices caused by supply chain disruptions and Russia – Ukraine crisis and
high inflation in an increasing interest rates environment.

• Current inversion of the yield curve adds to market fears of looming recession, therefore investors look for low risk securities.

• In such an environment, the Canadian Equity team plans to maintain its value oriented, defensive strategy going forward.
Selection Rationale: Canadian Equity Selection Model
ESG Integrated Selection Model
Value 35%

Factor-based
Quality

Screener
25%
1. Factor-based screener : ESG The top 3 stocks are
Growth selected as filtered by
20%
Select the top 3 stock that score Sentiment the factor-based
positive on Value Quality and ESG screener to move to
15%
the second step
5%

The business model analysis helps

Business Model Analysis
diversify the portfolio in-terms of the
2. Three-way analysis: goods and services invested in while
the sustainability analysis matches the
Fundamental Analysis
Conduct an in-depth assessment of company’s plans and progress on its
the 3 selected stocks goals and material issues to assess its
Sustainability Analysis pace and seriousness with relevant
and material ESG issues

potential
ESG
violations &
3. ESG impact considerations: expected impact of
impact impact of
Conduct a project-by-project past ESG past
ESG-related
qualitative assessment of ESG risks violations & violations or
government
added in the portfolio by adding penalties issues on
resilience to regulations
the stock company’s stock price
the
response to
transition to
past issues
clean energy
Canadian Equity- Return Attribution Summary

Active Weight % Allocation Attribution % Selection Attribution %

0.16 -0.07 0.30
Utilities

0.58 -0.03 -0.10

Real Estate

0.11 0.18 -0.24

Materials

Information Technology -0.04 0.06 -0.16

-0.12 -0.07 0.00

Industrials

Health Care -0.34 0.02 0.00

Financials 2.20 0.00 0.17

Energy -0.15 -0.40

-2.03

Consumer Staples -0.10 -0.01 -0.31

Consumer Discretionary -0.26 -0.03 -0.31

Communication Services
0.06 -0.04 0.06

Figures for the Quarter June. 30th, 2022– Sep. 30th, 2022
Proxy Benchmark : iShares Core S&P/TSX Capped Composite Index ETF
FFF Initiative - Energy Sector Divestment
Overview Divestment
• Our aim to make the Canadian Equity portfolio Fossil Fuel Free is Companies
complete.
• Sold 7 companies. Increased stake in 6 new companies and 2 existing, • ENBRIDGE INC 4.27%
BCE Inc and Metro Inc in keeping with a defensive strategy.
• TC ENERGY Corp 2.14%

• IMPERIAL OIL LTD 2.88%

Divestment - Energy Sector
• CANADA NATURAL RESOURCES 2.32%
16.7% of Total Canadian Portfolio
DIVESTMENT Market Value – $724,737 • PAREX RESOURCES INC 1.42%

Reinvestment • SUNCOR ENERGY INC 3.25%

• ALTAGAS 0.38%
Across 7 sectors – $743,586

All trades listed in “Appendix: Canadian Equity”

Implications
• Significantly underweight the Energy sector adds considerably to the
active risk of the portfolio. ACTIVE RISK
4.62% > 3.5%
• Materials weight was brought up to Neutral and Financials was Q3, 2022
overweighted which paid off in Q3.
• Underweights on other sectors was reduced.
• No significant impact on returns ACTIVE RISK
2.57% < 3.5%
New Benchmark
Energy Divestment Implications
Portfolio vs. Benchmark - Total Return – Last 2 weeks Q3 – 2022 (5)
5 2
4 1
3 0
2
-1
1
-2
0
-3
-1
-2 -4

-3 -5
-4 -6

Total Return (P) Total Return (B) Total Return (P) Total Return (NB)

F3 Portfolio vs. Benchmark - Total Return – Last 2 weeks Q3 – 2022 (5)

0 0

-1 -1
-2
-2
-3
-3
-4
-4
-5

-6 -5

-7 -6

Total Return (F3P) Total Return (B) Total Return (F3P) Total Return (NB)

(1) Canadian Equity Portfolio Including Energy

(2) Performance Benchmark: S&P/TSX Capped Composite Index ETF (4) Performance Benchmark: S&P/TSX Capped Composite Index ETF – Excluding Energy
(3) Canadian Equity Portfolio Excluding Energy (5) Performance Period: September 16, 2022– September 30, 2022
Canadian Fixed Income
Usman Ali Khan | Canadian Fixed Income Co-Lead
Usman_Khan@sfu.ca

Hem Jani| Canadian Fixed Income Co-Lead

Hem_Jani@sfu.ca
Canadian Fixed Income underperformed in Q3 2022
Ending Value Relative Return

$4,602,624 0.05%
Portfolio vs. Benchmark Total Return(2)
4.5
Total Return (P) Total Return (B)
3.75

2.25

1.5

0.75

0
7/1/2022 7/11/2022 7/21/2022 7/31/2022 8/10/2022 8/20/2022 8/30/2022 9/9/2022 9/19/2022 9/29/2022
-0.75

Portfolio Positioning: Active Return Attribution Summary (%)

 Underweight in overall duration Portfolio Benchmark Return
 Underweight key rate durations in most Income 0.91 0.73 0.18
tenors
Yield curve 0.30 0.29 0.01
 Underweight corporate duration
Spread (0.58) (0.58) 0.00
 Underweight provincials duration
Selection (0.14) - (0.14)
Total 0.49 0.44 0.05
(1) Ending value as of September 30, 2022

33
Performance Breakdown: Active Curve Return I
Active Curve Return Components (%) Yield Curve Change
1-Jul-22 30-Sep-22
Portfolio Benchmark Change
4.50
Parallel shift (10.98) (12.79) 1.81 4.00

Non-parallel 3.50
10.48 12.31 (1.83)
shift 3.00
2.50
Carry 0.78 0.76 0.02
2.00
Total 0.28 0.28 0.01 1.50
1.00
0.50
-
3M 6M 1Y 2Y 3Y 4Y 5Y 6Y 7Y 8Y 9Y 10Y 20Y 30Y

Duration Key Rate Duration (Portfolio–Benchmark)

0.8
1-July-2022 30-Sep-2022 0.6
0.4
Portfolio 7.13 6.93
0.2
Benchmark 7.39 7.42 0

Difference (0.27) (0.49) -0.2

-0.4
-0.6
-0.8
6M 1Y 2Y 3Y 5Y 7Y 10Y 20Y 30Y

30-Jun-22 30-Sep-22

34
Performance Breakdown: Active Spread Return I
Contribution to Active Spread Duration
30-Jun-22 30-Sep-22
Provincial (2.46) (1.69)
Corporate 5.89 5.66

G-spread Provincials AA- AA AA+ G-spread Corporates A- A A+

120.00 200.00

180.00
100.00
160.00
80.00
140.00
60.00 120.00

40.00 100.00

80.00
20.00
60.00
- 40.00
3M 6M 1Y 2Y 3Y 4Y 5Y 7Y 8Y 9Y 10Y 15Y 20Y 25Y 30Y
(20.00) 20.00

-
(40.00) 3M 6M 1Y 2Y 3Y 4Y 5Y 7Y 8Y 9Y 10Y 15Y 20Y 25Y 30Y

1-Jul-22 30-Sep-22 1-Jul-22 30-Sep-22

35
Portfolio Construction

Interest rate G-spread -

expectations Corporate and
& Provincials
Portfolio
duration

Yield Curve Spread Curve

analysis Analysis

Income
Selection
Return

Coupon Maturity
payment Bond Feature
Option adjusted
spread

36
Portfolio Strategy

Interest rate Selection

Interest rate hike of 50bps Overweight in Treasury
Underweight in the short term duration Underweight in Industrials and Utility
Underweight in the OAD

Portfolio Strategy
Future Strategy
Market Expectation
Under weight short term duration
Inflation is approaching its peak Overweight in Financials
Unemployment has gone down and GDP decline Selection will focus on looking for value and quality
Yield curve inversions suggests probable recession In the interim, invest in money market securities

37
Risk Update
Tong(Cecilia) Hong | Risk Co-Lead
tong_hong@sfu.ca

Sharvani Divekar | Risk Co-Lead

sharvani_divekar@sfu.ca
 Active Risk & Weekly VaR

Q3 Active Risk Trend for SIAS

Active Risk
2.5
2.02 1.97 1.94 1.94
2
1.89 1.89 1.82

1.5
Axis Title

0.5

0
Friday, July 1, 2022 Thursday, July 14, 2022 Monday, August 1, 2022 Monday, August 15, 2022 Thursday, September 1, 2022 Wednesday, September 14, Friday, September 30, 2022
2022

ES @95% Weekly VaR for each Asset Class

Weekly VaR Weekly VaR Expected Shortfall Expected Shortfall

in CAD in % in CAD in %

Consolidated Portfolio 660,632 2.67 924,529 3.73

Global Equity 413,679 3.91 572,461 5.41

Canadian Equity 143,022 3.26 202,043 4.6

Fixed Income 63,407 1.38 90,379 1.96

Active Risk Decomposition

Sensitivity of Style Factors towards Active Risk of US&CA Equity

0.15
0.12
0.1 0.08
0.07
0.05 0.04

0
US Size US Profit US Growth US Beta US Momentum US Mid-cap US Valuation CA Variability
-0.05 -0.03
-0.04
-0.06 -0.06
-0.1

Sensitivity of Country & Region Factors towards Active Risk of Macro

0.025
0.02 0.02
0.02
0.015
0.01 0.01 0.01
0.01
0.005
0
Australia Switzerland Taiwan Denmark Germany Japan UK France
-0.005
-0.01
-0.01 -0.01 -0.01
-0.015

40
Forecasting Models Fixed Income

1-Week Forward Active Duration Forecasting

● The model helps identify IPS breach with

respect to the condition that the duration of
the portfolio should lie within -1 to +1 of
the benchmark

● The result of model shows that there is less

than 0% chance of breaching IPS in 10000
simulations based on 6-month active
duration data

41
ESG Update
Mrunal Desai | ESG Co-Lead
mad24@sfu.ca

Gur Simar Preet Kaur | ESG Co-Lead

gsk12@sfu.ca
 Progress of the Quarter
F3 Initiative
• Successful Transition to a low carbon intensive portfolio and
compliance with the implementation of the F3 initiative.

ESG ratings
• AAA for Canadian Equity
• AA for Global Equity

Proxy Voting
• Completed proxy votes for the current quarter along with
BEAM’s ESG team.
 ESG Score Cards
ESG Quality Score

Canadian Equities Global Equities

Portfolio as of 30th September 2022

High rating Contributors

Canadian Equities
High rating Contributors

Global Equities
 Way Forward

Work on enhancing the ESG integration in Canadian Fixed Income

Currently we base our ESG integration to the overall ratings for Corporate Bonds

Adjustment required to compare with the Benchmark

Active risk has to be adjusted to fairly compare with the benchmark post the F3
implementation

Consider making a draft Proxy Voting Guideline

Since most of the methodology used by SIAS and BEAM is similar, we can consider making a
common official Proxy Voting Guideline for both the teams .
 Compliance & Operations
Ali Abshar
Risk Arun Subbiah ESG
Sharvani Divekar Gur Simar Preet Kaur
Cecilia Hong Mrunal Desai

Macro & RoW Equity

Yixuan (Martin) Xia
Ronak Tahazadeh
Q&A United States Equity
Yash Desai
Sarang Gill

Canadian Equity Fixed Income

Xu (Phoebe) Wang Hem Jani
Siddharth Gupta Usman Khan

Upcoming Performance Reviews

 Q4 2022: February 15, 2023
 Q1 2023: May 17, 2023
 Q2 2023: August 16, 2023
Appendix: Global Equity
Global Equity Holdings
# of Px Close
Name instruments % Wgt MV Pos (P) (P) Crncy Ticker
SIAS GLOBAL EQUITY (IN USE)40 100 11134766.18
› Communication Services 4 7.794822892 867935.303
ALPHABET INC-CL A 3.797526343 422845.6788 3280 94.51 USD GOOGL US
META PLATFORMS INC-CLASS A 1.120702023 124787.5498 982 93.16 USD META US
VERIZON COMMUNICATIONS INC 0.858825874 95628.25299 1876 37.37 USD VZ US
WALT DISNEY CO/THE 2.017768651 224673.8213 1546 106.54 USD DIS US
› Consumer Discretionary 5 11.4738481 1277586.158
AMAZON.COM INC 3.287910972 366101.1988 2620 102.44 USD AMZN US
HOME DEPOT INC 2.651850104 295277.3085 731 296.13 USD HD US
LULULEMON ATHLETICA INC 2.237128178 249098.9917 555 329.04 USD LULU US
MCDONALD'S CORP 1.984070335 220921.5926 594 272.66 USD MCD US
TESLA INC 1.312888515 146187.0663 471 227.54 USD TSLA US
› Consumer Staples 4 9.35588809 1041756.263
COCA-COLA CO/THE 1.909945921 212668.0125 2605 59.85 USD KO US
COSTCO WHOLESALE CORP 2.660161612 296202.7755 433 501.5 USD COST US
PROCTER & GAMBLE CO/THE 2.796338557 311365.7599 1695 134.67 USD PG US
WALMART INC 1.989441999 221519.7148 1141 142.33 USD WMT US
› Financials 3 8.755891575 974948.0537
BANK OF AMERICA CORP 2.927608494 325982.3604 6631 36.04 USD BAC US
JPMORGAN CHASE & CO 2.939197834 327272.8063 1906 125.88 USD JPM US
MSCI INC 2.889085247 321692.8869 503 468.86 USD MSCI US
› Health Care 2 3.160603294 351925.7866
ABBVIE INC 2.157525277 240235.3948 1203 146.4 USD ABBV US
PFIZER INC 1.003078018 111690.3919 1759 46.55 USD PFE US
Global Equity Holdings

# of Px Close
Name instruments % Wgt MV Pos (P) (P) Crncy Ticker
› Industrials 3 6.109603751 680290.0921
3M CO 0.795142574 88537.26634 516 125.79 USD MMM US
CATERPILLAR INC 3.01765165 336008.4553 1138 216.46 USD CAT US
EMERSON ELECTRIC CO 2.296809528 255744.3705 2165 86.6 USD EMR US
› Information Technology 7 16.31565229 1816709.733
ADOBE INC 1.170522806 130334.9775 300 318.5 USD ADBE US
ADVANCED MICRO DEVICES 0.96163465 107075.7698 1307 60.06 USD AMD US
APPLE INC 5.346130343 595279.1132 2846 153.34 USD AAPL US
MICROSOFT CORP 3.216200126 358116.3639 1131 232.13 USD MSFT US
PAYPAL HOLDINGS INC 1.344362164 149691.5836 1313 83.58 USD PYPL US
TAIWAN SEMICONDUCTOR-SP ADR 1.084266729 120730.565 1438 61.55 USD TSM US
VISA INC-CLASS A SHARES 3.192535475 355481.3603 1258 207.16 USD V US
› Real Estate 1 1.586678883 176672.9836
VICI PROPERTIES INC 1.586678883 176672.9836 4045 32.02 USD VICI US
› Not Classified 11 35.44701112 3946941.805
ISHARES ESG MSCI EM LEADERS 6.388129622 711303.2966 13112 39.77 USD LDEM US
ISHARES EUROPE ETF 10.83284421 1206211.873 21626 40.89 USD IEV US
ISHARES MSCI AUSTRALIA ETF 3.820360052 425388.1589 15051 20.72 USD EWA US
ISHARES MSCI CHINA ETF 1.454056138 161905.7511 3336 35.58 USD MCHI US
ISHARES MSCI DENMARK ETF 1.271937135 141627.2259 1259 82.469 USD EDEN US
ISHARES MSCI GERMANY ETF 0.982606058 109410.887 3676 21.82 USD EWG US
ISHARES MSCI JAPAN ETF 3.757661681 418406.8419 6136 49.99 USD EWJ US
ISHARES MSCI SINGAPORE ETF 0.211318874 23529.8625 1000 17.25 USD EWS US
ISHARES MSCI SWEDEN ETF 1.227046011 136628.7042 3400 29.46 USD EWD US
ISHARES MSCI SWITZERLAND ETF 2.108571697 234784.5282 4401 39.11 USD EWL US
ISHARES MSCI WORLD ETF 3.392479636 377744.6751 2578 107.42 USD URTH US
Appendix: Canadian Equity
Portfolio Holdings
As on SEPTEMBER 30, 2022
Company/Sector Name # of Shares Price Market Value % of Total

Financials $1,595,041 36.32%

BANK OF MONTREAL 1,331 $121.07 $161,144 3.67%

BANK OF NOVA SCOTIA 1,000 $65.70 $65,700 1.50%

BROOKFIELD ASSET MANAGEMENT - CLASS A 2,300 $56.51 $129,973 2.96%

CANADIAN IMPERIAL BANK OF COMMERCE 1,150 $60.46 $69,529 1.58%

CI FINANCIAL CORP 5,225 $13.24 $69,179 1.58%

GOEASY LTD 870 $107.52 $93,542 2.13%

IGM FINANCIAL INC 690 $34.42 $23,750 0.54%

MANULIFE FINANCIAL CORP 6,760 $21.68 $146,557 3.34%

ROYAL BANK OF CANADA 2,767 $124.37 $344,132 7.84%

SUN LIFE FINANCIAL INC 3,450 $54.93 $189,509 4.31%

TORONTO-DOMINION BANK 3,565 $84.72 $302,027 6.88%

(1) Shares of BAMR obtained as a result of Spin-Off carried out by BAM/A on 28 th June,
2021 53
Portfolio Holdings
As on SEPTEMBER 30, 2022
Company/Sector Name # of Shares Price Market Value % of Total

Communication Services $244,610 5.57%

BCE INC 3,134 $57.92 $181,521 4.13%

TELUS CORP 2300 $27.43 $63,089 1.44%

Industrials $658,289 14.99%

CANADIAN NATL RAILWAY CO 2,000 $149.18 $298,360 6.79%

CANADIAN PACIFIC RAILWAY LTD 1,712 $92.21 $157,864 3.59%

THOMSON REUTERS CORP 1,425 $141.80 $202,065 4.60%

Materials $588,845 13.41%

AGNICO EAGLE MINES LTD 1,330 $58.36 $77,619 1.77%

BARRICK GOLD CORP 1,700 $21.41 $36,397 0.83%

CCL INDUSTRIES INC - CLASS B 1,323 $66.96 $88,588 2.02%

TECK RESOURCES LTD - CLASS B 1,150 $42.01 $48,312 1.10%

WHEATON PRECIOUS METALS CORP 3,400 $44.73 $152,082 3.46%

54
Portfolio Holdings
As on SEPTEMBER 30, 2022

Company/Sector Name # of Shares Price Market Value % of Total

NUTRIEN LTD 676 $115.20 $77,875 1.77%

SANDSTORM GOLD LTD 15,101 $7.15 107,972 2.46%

Consumer Discretionary $181,080 4.12%

CANADIAN TIRE CORP 800 $147.05 $117,640 2.68%

DOLLARAMA INC 800 $79.30 $63,440 1.44%

Utilities $255,704 5.82%

BORALEX INC 1,601 $43.87 $70,236 1.60%

EMERA INC 2,070 $55.89 $115,692 2.63%

NORTHLAND POWER INC 1,725 $40.45 $69,776 1.59%

Consumer Staples $210,941 4.80%

EMPIRE CO LTD ‘A’ 1,815 $34.36 $62,363 1.42%

METRO INC 2148 $69.17 $148,577 3.38%

55
Portfolio Holdings
As on SEPTEMBER 30, 2022

Company/Sector Name # of Shares Price Market Value % of Total

Information Technology $166,504 3.79%

CGI INC 1,150 $103.99 $119,589 2.72%

OPEN TEXT CORP 1,285 $36.51 $46,915 1.07%

Real Estate $119,056 2.71%

CHOICE PROPERTIES REIT 4,600 $12.59 $57,914 1.32%

GRANITE REIT 450 $66.67 $30,002 0.68%

SMARTCENTRES REIT 1,200 $25.95 $31,140 0.71%

ETFs $371,836 8.47%

ISHARES CORE S&P/TSX CAPPED COMPOSITE INDEX 8500 $29.29 $248,965 5.67%

ISHARE S&P/TSX COMPLETION INDEX 2,880 $27.35 $78,768 1.79%

ISHARES S&P/TSX CAPPED INFORMATION TECHNOLOGY INDEX 1,475 $29.90 $44,103 1%

56
Canadian Equity Trades

7 Sell Trades for Q3 2022

# of
Market Current
Company/Sector Name BUY/SELL Share Price
Value Weight
s

Energy – Divestment

CANADIAN NATURAL RESOURCES SELL 1,323 $68.54 $90,678 0%

ENBRIDGE INC SELL 3,738 $54.05 $202,039 0%

IMPERIAL OIL LTD SELL 1,820 $60.84 $110,729 0%

PAREX RESOURCES INC SELL 3,160 $19.91 $62,916 0%

SUNCOR ENERGY INC SELL 3,290 $40.72 $133,969 0%

TC ENERGY CORPORATION SELL 1,668 $62.51 $104,267 0%

Utilities

ALTAGAS LTD SELL 700 $28.77 $20,139 0%

Divestment Total $724,737

57
Canadian Equity Trades

8 Buy Trades for Q3 2022

# of
Market Current
Company/Sector Name BUY/SELL Share Price
Value Weight
s

Communication Services

BCE INC BUY 834 $61.59 $51,366 4.13%

Financials

BANK OF MONTREAL BUY 1,331 $120.70 $160,651 3.67%

CI FINANCIAL BUY 5,225 $13.53 $70,694 1.58%

Consumer Discretionary

DOLLARAMA BUY 800 $76.93 $61,544 0.85%

Consumer Staples

METRO INC BUY 748 $69.93 $52,307 0.62%

Industrials

CANADIAN PACIFIC RAILWAY BUY 1,712 $94.91 $162,486 3.59%

58
Canadian Equity Trades

8 Buy Trades for Q3 2022

# of
Market Current
Company/Sector Name BUY/SELL Share Price
Value Weight
s

Utilities

BORALEX INC BUY 1,601 $43.58 $69,771 1.60%

Materials

SANDSTORM GOLD LTD BUY 15,101 $7.60 $114,767 2.46%

Reinvestment Total $743,586

59
Appendix: Canadian Fixed Income
Total Return Breakdown

Performance breakdown (in %)

Selection
(0.14)

(0.58)
Spread
(0.58)

0.29
Yield curve
0.30

0.73
Income
0.91

(0.80) (0.60) (0.40) (0.20) - 0.20 0.40 0.60 0.80 1.00

Benchmark Portfolio

61
Allocation Breakdown
Sector Allocation (%)
60
46.81 49.31
50
38.54
40
30 25.2 25.11
20 14.23
10
0.26 0.39
0
Corporate Government Related Securitized Treasury
Maturity Allocation (%)
45 39.41
40
35 30.88
30
25 23.52
19.08 17.05 18.92
20
15 13.38 12.99
10.58 9.64
10 4.54
5 0
0
0-1 YR 1-3 YR 3-5 YR 5-7 YR 7-10 YR 10+ YR
Rating Allocation (%)
60
51.43
50
40 35.99 36.89
30
21.72
20 14.67 14.08
9.54 6.74
10 5.61
0.11 0.69 2.53
0
AAA AA AA BBB NR Not Classified

SIAS FI Benchmark

62
Key Rate Duration by Segments
Key Rate Duration (Portfolio – Benchmark)(1)
Corporate KRD
0.40
0.20
0.00
-0.20
-0.40
-0.60
-0.80
-1.00
6M 1Y 2Y 3Y 5Y 7Y 10Y 20Y 30Y

Government-Related
4.00
3.00
2.00
1.00
0.00
-1.00
-2.00
6M 1Y 2Y 3Y 5Y 7Y 10Y 20Y 30Y

Treasury
4.00
3.00
2.00
1.00
0.00
-1.00
-2.00
6M 1Y 2Y 3Y 5Y 7Y 10Y 20Y 30Y

(1) Ending value as of September 30 ,2022

63
 Further Duration Analysis
Duration Weights
7.13 6.93

Corporate 20.11% 25.35%

19.66%
25.86%

56.65% 56.31%
54.29% 54.59%
Provincial
19.77% 23.11% 23.89
19.96
Portfolio Benchmark
Portfolio Benchmark
Treasury Jun 30, 2022 September 30, 2022

Contribution to Active Duration

June 30, 2022 September 30, 2022

Corporate 0.36 Corporate 0.30

Provincial (0.32) Provincial (0.40)

Treasury (0.30) Treasury (0.39)

64
Portfolio Holdings
As on June 30th, 2022
Name % of Total Market value ($) Position Price ($)
ETF
8.23 378,734
BMI HIQ CORP BND
8.23 378,734 14,048.00 26.96
Financial Institutions
14.93 687,249
BANK OF MONTREAL
1.52 69,999 73,000.00 95.49
CAN IMPERIAL BK
1.86 85,793 97,000.00 88.22
CT REIT
1.40 64,602 82,000.00 78.22
INVESTORS GROUP
1.89 87,,021 80,000.00 106.77
ROYAL BK CANADA
2.08 95,877 100,000.00 95.37
ROYAL BK CANADA
1.46 67,241 66,000.00 100.84
TORONTO DOM BANK
2.29 105,219 123,000.00 85.42
TORONTO DOM BANK
1.06 48,688 50,000.00 97.20
WELLS FARGO CO
1.36 62,810 67,000.00 92.65
Industrial
9.12 421,802.89
407 INTL INC
2.43 111,702 100,000.00 109.74
LOBLAW CO LTD
0.45 20,767 20,000.00 102.62
PEMBINA PIPELINE
2.07 95,095 100,000.00 94.58
SAPUTO INC
2.14 98,663 100,000.00 97.63
TELUS CORP
2.03 93,353 100,000.00 91.55

65
 Portfolio Holdings
As on June 30th 2022

Name % of Total Market value ($) Position Price ($)

Local Authority 46.59 2,144,486
ALBERTA PROVINCE 2.00 91,851 109,000.00 83.72
ALBERTA PROVINCE 2.18 99,726.57 123,000.00 80.84
ALBERTA PROVINCE 1.22 56,277.46 56,000.00 100.22
ALBERTA PROVINCE 2.19 100,571 100,000.00 99.82
BRIT COL MUN FIN 1.15 53,143 55,000.00 95.49
BRIT COLUMBIA 4.41 202,876 180,000.00 111.07
BRIT COLUMBIA 2.61 119,990 100,000.00 118.16
BRIT COLUMBIA 2.48 113,972 100,000.00 112.42
CITY OF MONTREAL 1.34 61,475 64,000.00 95.80
CITY OF TORONTO 1.09 83,410 109,000.00 75.29
HYDRO-QUEBEC 0.87 39,890 64,000.00 62.06
MANITOBA (PROV) 3.17 145,681 150,000.00 96.31
MANITOBA (PROV) 1.27 58,667 50,000.00 116.88
NOVA SCOTIA 0.99 45,640 39,000.00 115.09
ONTARIO PROVINCE 5.04 232,114 200,000.00 115.15
ONTARIO PROVINCE 1.76 80,984 106,000.00 74.78
SASKATCHEWAN CDA 4.34 199,549 200,000.00 98.72
SASKATCHEWAN CDA 1.19 54,876 70,000.00 77.47
TRANSLINK 5.59 257,382 250,000.00 101.64
YORK REGION DIST 0.99 45,744 210,000.00 100.79

66
Portfolio Holdings
As on June 30th 2022

Name % of Total Market value ($) Position Price ($)

Treasury 14.10 654,901

CANADA-GOV'T 2.20 101,221 116,000.00 86.84

CANADA-GOV'T 4.63 212,910 200,000.00 105.29

CANADA-GOV'T 2.14 98,480 110,000.00 89.51

CANADA-GOV'T 5.26 242,291 194,000.00 122.97

Utility 6.90 318,923.14

ALTALINK LP 2.51 115,517 111,000.00 103,94

BRUCE POWER LP 1.45 66,815 71,000.00 92,99

CANADIAN UTILITI 2.20 101,146 100,000.00 99.91

HYDRO ONE INC 0.74 34,196 40,000.00 85.29

67
Appendix: ESG
APPENDIX
APPENDIX
APPENDIX