Statistiques Financières Et Rétrospective
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ANNUAL REPORT 2008 ADDITIONAL INFORMATION Annual Report 2008 – Additional Information I. Tables of returns 1. Auditors’ Report ................................................................................................... 1 2. General Notes ...................................................................................................... 2 3. Short Term Investments ......................................................................................... 4 4. Real Return Bonds ................................................................................................. 6 5. Long Term Bonds ................................................................................................... 8 6. Bonds ................................................................................................................ 10 7. Fixed Income - Bonds .......................................................................................... 12 8. Canadian Equity ................................................................................................. 14 9. Canadian Equity Publicly Traded Markets .............................................................. 16 10. U.S. Equity (Hedged) .......................................................................................... 18 11. U.S. Equity (Unhedged) ........................................................................................ 20 12. U.S. Equity Publicly Traded Markets ..................................................................... 22 13. EAFE Foreign Equity (Hedged) ............................................................................. 24 14. EAFE Foreign Equity (Unhedged) ......................................................................... 26 15. EAFE Foreign Equity Publicly Traded Markets ......................................................... 28 16. Emerging Markets Equity ...................................................................................... 30 17. Emerging Markets Equity Publicly Traded Markets .................................................. 32 18. Québec International ............................................................................................ 34 19. Investments and Infrastructures ............................................................................ 36 20. Private Equity ..................................................................................................... .39 21. Real Estate Debt ................................................................................................ 41 22. Real Estate ......................................................................................................... 43 23. Hedge Funds ....................................................................................................... 46 24. Commodities ....................................................................................................... 48 25. Balanced Fund ................................................................................................... 50 II. Financial statistics and review 1. Returns on Specialized Portfolios by Market Indexes or recognized Indexes ............... 55 2. Changes in net assets .......................................................................................... 56 3. Statement of income and changes in net assets under management .......................... 57 4. Changes in depositors’ holdings ........................................................................... 58 5. Breakdown of depositors’ holdings ........................................................................ 63 6. Annual interest or income paid out on average deposits .......................................... 64 7. Summary of investments ....................................................................................... 65 8. Breakdown of investments ................................................................................... 66 9. Real Estate Group – Mortgages of $5 million and over ............................................ 68 10. Investments in shares and bonds of publicly traded companies ................................. 76 11. Investments in shares and bonds of privately held compa nies .................................. 182 12. Statement of real estate holdings ......................................................................... 200 13. Statement of properties held for resale ................................................................. 203 III. Code of Ethics and Conduct for Directors IV. Code of Ethics and Professional Conduct for Officers and Employees I. Table of returns Caisse de dépôt et placement du Québec for the period ended December 31, 2008 GIPS® compliant presentation Samson Bélair/Deloitte & Touche s.e.n.c.r.l. 1 Place Ville Marie Suite 3000 Montreal QC H3B 4T9 Canada Tel: 514-393-5321 Fax: 514-390-4111 www.deloitte.ca Auditors’ Report To: The Directors of Caisse de dépôt et placement du Québec We have examined whether Caisse de dépôt et placement du Québec – Depositors accounts (the “Company”) complied with the Global Investment Performance Standards (“GIPS®”), on a firm-wide basis. We have also examined the performance calculation included in the accompanying Schedules (the “Schedules”) of the Company for the year ended December 31, 2008. The Company’s management is responsible for compliance with the GIPS® Standards and for the Schedules. Our responsibility is to express an opinion based on our audit. We conducted our audit in accordance with standards for assurance engagements established by the Canadian Institute of Chartered Accountants, and in accordance with the requirements for a firm-wide basis and Performance Examination verifications as defined by the GIPS® Standards. Those standards require that we plan and perform the procedures for a Verification and Performance Examination set forth by the GIPS® Standards and such other procedures as we considered necessary in the circumstances. In our opinion, the Company has, in all material respects, for the year ended December 31, 2008 complied on a firm-wide basis and presented the Schedule in conformity with the requirements of the GIPS® Standards. February 18, 2009 ____________________ 1 Chartered accountant auditor permit No. 8845 General Notes 1. Presentation of the firm The Caisse de dépôt et placement du Quebec (hereinafter referred to as "the Caisse") is a financial institution that manages funds for public and private pension and insurance plans (hereinafter referred to as " the Depositors"). The Caisse invests in liquid markets, private equity and real estate. The Depositors’ assets in the individual funds totalled $118 billion as at December 31, 2008. This document presents the performances related to the funds managed by the Caisse for the Depositors. 2. Compliance statement The Caisse has prepared and presented this report in compliance with the Global Investment Performance Standards (GIPS®) for the period from January 1, 1999 to December 31, 2008. Deloitte & Touche LLP has performed an audit of this presentation in accordance with the Global Investment Performance Standards (GIPS®) as well as a performance examination of each composite for the period ending on December 31, 2008. Results reflect past performance and are no indication of future returns. 3. Performance calculations Performance calculations are based on monthly calculations using the modified Dietz formula. All deposits or withdrawals are performed on the first day of the month. Consequently the calculated returns are in no way distorted by the cash flows which occur during the month. The gross returns are calculated before all applicable fees (management & administration fees) are taken into account. Each discretionary fee-paying portfolio is included in at least one composite. These composites are valued according to transaction date and their returns are calculated monthly. The quarterly and annual returns are then calculated using the geometric mean method. Total returns, including realized and unrealized gains plus income, are used to calculate the performance. These returns include any income generated on cash or cash equivalents. Interest income is accrued and is included in the market value used to calculate returns. Dividend income is accrued as of its ex- dividend date. The fair value of fixed-income securities is determined by valuation methods used in capital markets, such as discounting future annual cash flows at the current interest rate, the closing prices of such securities at other major brokers as well as closing prices provided by recognized financial institutions. In addition, certain valuations are made according to commonly used valuation methods or on the basis of similar arm's-length transactions. The fair value of fixed-income securities is determined by valuation methods used in capital markets, such as discounting future annual cash flows at the current interest rate, the closing prices of such securities at other major brokers as well as closing prices provided by recognized financial institutions. In addition, certain valuations are made according to commonly used valuation methods or on the basis of similar arm's-length transactions. For details on the valuation methodology for third-party and bank-sponsored ABCP, see note 4b of the combined financial statements. Derivative products are valued using their fair value at year-end. These values are determined from closing prices on the major stock exchanges as well as those provided by recognized