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SIAS Fund Performance Review Q2 2010 August 13, 2010

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aspen-rowland
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SIAS Fund Performance Review Q2 2010 August 13, 2010. Agenda. 1. Compliance and Performance 2. Risk Metrics 3. Economics and Strategy 4. Canadian Equity 5. Global Equity 6. Fixed Income 7. Transition to Next Cohort 8. Conclusion and Q&A. SIAS Portfolio Q2 2010 Performance.

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  1. SIAS Fund Performance ReviewQ2 2010August 13, 2010 Segal Graduate School of Business SIAS Fund

  2. Agenda 1. Compliance and Performance2. Risk Metrics 3. Economics and Strategy 4. Canadian Equity 5. Global Equity 6. Fixed Income7. Transition to Next Cohort 8. Conclusion and Q&A Segal Graduate School of Business SIAS Fund

  3. Segal Graduate School of Business SIAS Fund

  4. SIAS Portfolio Q2 2010 Performance Portfolio excess return: Difference=Actual-benchmark 66 bp Actual return on portfolio: weight(p)*return(p) -392bp Actual return on benchmark: weight(b)*return(b) -458 bp Segal Graduate School of Business SIAS Fund

  5. Attribution Analysis Portfolio excess return: 66 bp Segal Graduate School of Business SIAS Fund

  6. Canadian Equity Attribution by Selected Sectors (%) Total Excess Return: -111 bp (all sectors) Segal Graduate School of Business SIAS Fund

  7. Global Equity Attribution (%) Total Excess Return: 185 bp Segal Graduate School of Business SIAS Fund

  8. Fixed Income Attribution Total Excess Return: -4 bp Segal Graduate School of Business SIAS Fund

  9. Top performers vs. losers Segal Graduate School of Business SIAS Fund

  10. Risk Metrics & Attribution Ted Hsieh sth4@sfu.ca Segal Graduate School of Business SIAS Fund

  11. Segal Graduate School of Business SIAS Fund

  12. Segal Graduate School of Business SIAS Fund

  13. Daily portfolio losses exceed 2.5% and 3.1% on May 20 & June 29 • Daily portfolio volatility rapidly increases by 35 b.p. (15.4% ) and 43 b.p. (18.4%) • Financial, Energy, and Material sectors attribute to over 75% and 83% of the losses Segal Graduate School of Business SIAS Fund

  14. Quarterly Average VaR is 2.8% and the 6 individual stocks make up over 50% of portfolio risk Segal Graduate School of Business SIAS Fund

  15. Relatively riskier than S&P/TSX index by 16 b.p. Segal Graduate School of Business SIAS Fund

  16. Canadian Equity Q2 Return Attribution Canadian Equity Q2 Risk Attribution Canadian Equity Q2 Risk Adjusted Attribution Segal Graduate School of Business SIAS Fund

  17. Relatively riskier than MSCI index by 25 b.p. Segal Graduate School of Business SIAS Fund

  18. Segal Graduate School of Business SIAS Fund

  19. Sharpe (VaR) Ratio Canadian Equity in Q2 Global Equity in Q2 Return (%) Return (%) Portfolio: 3.095 MSCI: 5.643 TSX:2.386 Portfolio: 1.589 0.813 (Rf) 0.688 (Rf) VaR (%) VaR (%) • Canadian Equity is 44% Diversified • Global Equity is 32% Diversified • Correlation between the two is 0.98+, • so the diversification is less than 1% Segal Graduate School of Business SIAS Fund

  20. Economics & Portfolio Strategy Jerry Su Jerry_su@sfu.ca Segal Graduate School of Business SIAS Fund

  21. Segal Graduate School of Business SIAS Fund

  22. Slower than expected recovery Segal Graduate School of Business SIAS Fund

  23. LEI for United States Segal Graduate School of Business SIAS Fund

  24. Duration of Unemployment Segal Graduate School of Business SIAS Fund

  25. Inflection Point Sentiment back on track, US Unemployment remains high Segal Graduate School of Business SIAS Fund

  26. Consumer Confidence Segal Graduate School of Business SIAS Fund

  27. Savings Rate Segal Graduate School of Business SIAS Fund

  28. LEI for Canada Segal Graduate School of Business SIAS Fund

  29. How Attractive do Equities Look? • P/B ratio at historic lows for both US & Canada (around 2) • Not much room to bottom-out if double dip in fact occurs Segal Graduate School of Business SIAS Fund

  30. Spread between S&P500 Earnings Yield & 10 Year Government Bond Yield 1990 - 1994 1995-1999 2000-2004 2005-2009 2010 Segal Graduate School of Business SIAS Fund

  31. Euro-Zone Segal Graduate School of Business SIAS Fund

  32. Segal Graduate School of Business SIAS Fund

  33. Segal Graduate School of Business SIAS Fund

  34. China & ROW Segal Graduate School of Business SIAS Fund

  35. GDP of World’s Three Largest Economies Trillion USD Segal Graduate School of Business SIAS Fund

  36. Segal Graduate School of Business SIAS Fund

  37. Segal Graduate School of Business SIAS Fund

  38. Most of China is still a Less Developed Country Inner Mongolia Beijing Tianjin Shandong Jiangsu Shanghai Zhejiang Guangdong Segal Graduate School of Business SIAS Fund

  39. Risks Associated with our China Bet Segal Graduate School of Business SIAS Fund

  40. End of Q2 2010 Target IPS Range 2% 0-10% 1-3% Cash Cash 26% 22-26% Fixed Income 20-40% Fixed Income 13% Other 34-36% Global Equity 30-40% Global Equity US 22% Canadian Equity 36-38% Canadian Equity 30-40% 37% Segal Graduate School of Business SIAS Fund

  41. Canadian Equity Jerry Chen jerryc@sfu.ca Segal Graduate School of Business SIAS Fund

  42. Canadian Equity Strategy • 37.69% of SIAS portfolio • S&P/TSX was down about 6% • SIAS Canadian Equity 110 b.p. worse • Materials, Materials, Materials: -150 b.p. alpha Segal Graduate School of Business SIAS Fund

  43. Problem stocks, sub-sector allocation • Materials sector outperformed TSX in Q2; our holdings did not • Mining: First Quantum, Teck, Inmet (-94 b.p.) • Gold: Gold stocks outperformed, but we didn’t have (-43 b.p.) Gold and Copper Spot Price, Indexed to 100 at 3/31/2010 Market Weights 19.9% 20.0% SIAS Bench Segal Graduate School of Business SIAS Fund

  44. First Quantum (TSE:FM) • Q2 Performance: - 35.9%Post Q2: + 14% Segal Graduate School of Business SIAS Fund

  45. Teck Resources (TSE:TCK/B) • Q2 Performance: - 28.9%Post Q2: + 8.84% Segal Graduate School of Business SIAS Fund

  46. Inmet Mining (TSE:IMN) • Q2 Performance: - 28.6%Post Q2: + 18.94% Segal Graduate School of Business SIAS Fund

  47. Materials Holdings Segal Graduate School of Business SIAS Fund

  48. Materials Strategy • Monitor allocations WITHIN the sector more carefully • Continue to underweight gold, but less extreme? Segal Graduate School of Business SIAS Fund

  49. Energy Strategy Market Weights 27.4% 26.3% • Short-term demand is in question, bullish on long-term • Overall economy, inventory level, shipping/pipeline show support • Tighter offshore drilling rules make oil sands more appealing SIAS Bench Segal Graduate School of Business SIAS Fund

  50. Major Financials Holdings • Financials down 19 b.p. Segal Graduate School of Business SIAS Fund