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Q3 2020 Performance Review the Beedie Endowment Asset Management Fund at SFU’S Beedie School of Business

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Q3 2020 Performance Review the Beedie Endowment Asset Management Fund at SFU’S Beedie School of Business Q3 2020 Performance Review The Beedie Endowment Asset Management Fund at SFU’s Beedie School of Business November 17, 2020 8888 University Drive | Burnaby | British Columbia | Canada | www.beedie.sfu.ca/beam Agenda Marisa Sun I. Executive Summary Equity Analyst (Energy) Emily Ong II. Fixed Income Update Fixed Income Analyst Laurel Dao III. Equity Update Equity Analyst (TMT & Health Care) Michael Le IV. Operations Update Risk Analyst Questions Appendix I. Executive Summary Marisa Sun | Equity Analyst (Energy) [email protected] BEAM’s Objectives BEAM has four distinct objectives 1 To preserve inflation-adjusted invested capital 2 To outperform the equity benchmark by 150 basis points and outperform the fixed 2 income benchmark by 40 basis points on a rolling four-year average 3 Use ESG as a tool to conform to SFU endowment responsibilities and the UN’s 3 Principles for Responsible Investment 4 Provide an engaging educational experience that trains the next generation of 4 responsible and ethical finance professionals 4 BEAM’s AUM Has Grown at a 4.1% CAGR Since Inception BEAM’s AUM has declined 0.9% from the beginning of 2020 to the end of Q3 2020 1st 2nd 3rd 4th 5th 6th 7th 8th 9th 10th Cohort(1) Cohort Cohort Cohort Cohort Cohort Cohort Cohort Cohort Cohort $8.00 10.0% $7.15 $7.08 $6.69 $6.37 $6.21 $5.91 $6.00 $5.67 7.5% $5.38 CAGR Since Inception (%) $5.00 $5.03 5.7% 5.0% 5.0% $4.00 4.6% 5.0% 4.1% 3.7% AUM AUM ($mm) 3.2% 3.1% $2.00 2.5% 0.7% - - Jan-2012 Sep-2012 Dec-2013 Dec-2014 Dec-2015 Dec-2016 Dec-2017 Dec-2018 Dec-2019 Sep-2020 1. As of September 30, 2012 5 Q3 2020 Balanced Portfolio Return BEAM’s balanced portfolio outperformed by 37 basis points in the third quarter Relative Return Tracking Error Information Ratio Q3 2020 0.37% 1.55% 0.24 Portfolio vs. Benchmark Total Return 6.0% 4.0% 3.43% 2.0% 3.06% 0.0% (2.0%) Portfolio Benchmark 1.5% 1.0% 0.37% 0.5% 0.0% (0.5%) Jun 30 Jul 31 Aug 31 Sep 30 6 Compliance Summary BEAM did not breach any of its compliance constraints throughout the quarter Current IPS Guidelines and Constraints Compliance General • Asset Mix within IPS Range ✓ • Limits on equity security holdings ✓ • Micro Cap, prohibited ✓ Equity • 7 Sectors, with 50% allocation relative to benchmark ✓ • At least 25 stocks ✓ • 15 largest stocks, at most 70% of equity value ✓ • Less than 5% per issuer, excluding federal and provincials ✓ Fixed Income • Allocation limits based on bond ratings ✓ • Duration within ± 1 year of the DEX ✓ 7 Portfolio Positioning BEAM has deployed excess cash to continue strategically overweighting equities Weights 62.5% 60.0% Asset Benchmark IPS Range Class Equity 60% 50% - 70% 38.0% Fixed Income 38% 30% - 50% 35.4% Cash 2% 0 - 10% Portfolio Benchmark 2.1% 2.0% Cash Fixed Income Equities $0.15mm $2.50mm $4.43mm Note: As of September 30, 2020 8 BEAM Has Been Executing on its Strategy BEAM is maintaining its previously outlined strategy moving forward Identify Sector Allocation Duration Management & Overweight Equities Prioritize Stock Selection Opportunities Prudent Credit Selection ✓ End of quarter weight in ✓ Following partial Energy ✓ Maintain overweight in the ✓ Increased allocation to equities was 62.5% divestment in Q1 2020 and Materials and Utilities essential services and 3 businesses swapped in sectors reduced weight in ✓ While evaluating the Q2 2020, BEAM sold discretionary companies current economic backdrop, Manulife for TMX Group in ✓ Currently underweight in we continue to overweight Q3 2020 Financials, Telecoms, ✓ Repositioned and equities as expansionary Energy, and Health Care, maintained negative monetary & fiscal policies ✓ Sector teams continue to with plans to further reduce duration in sovereign bonds continue, and anticipate a be active in identifying & weight in Energy further rally in equities once researching new ✓ Continue to hunt unfavored COVID-19 fears subside opportunities to find quality ✓ Research the potential to parts of corporate bond companies at favourable gain alpha through more market for individual alpha- valuations aggressive sector plays generating opportunities 62.5% Over (Under) Weight (bps) Active CTD Federal Energy (195) (0.58) 35.4% Telecom (114) Provincial 0.31 Healthcare (91) Municipal (0.21) 2.1% Financials (90) Corporate 0.03 Utilities Equity Fixed Cash 137 Income Materials 245 Total (0.46) BEAM Benchmark Note: As of September 30, 2020 9 II. Fixed Income Update Emily Ong | Fixed Income Analyst [email protected] Overview of Strategy 1. Use Federal bonds as duration tool ✓ 2. Gain long-end exposure through Provincial bonds ✓ 3. Generate alpha through positive selection performance and duration decisions ✓ 4. Prudently increase allocation to corporate bonds ✓ 11 Outlook at End of Q2 We looked to reduce solvency risk and add inflation protection on the back of our outlook Corporate Credit Outlook and Strategy Actions Taken Through Q3 ▪ Expectation: • Further spread tightening in corporate credit albeit at a reduced pace to H1 2020 Bought: ▪ Strategy: • Reduce allocation to issuers linked to discretionary spending • Rotate into “essential services” like utilities, transportation, etc. and into entities that are subsidized by government agencies Generic Sovereign Credit Outlook and Strategy Swapped: ▪ Expectation: Inflation • Further curve steepening over the long-run as inflation expectations Indexed rise partly from economic rebound and partly from large-scale fiscal stimulus ▪ Strategy: Sold: • Maintain at least a neutral duration in sovereign bonds with a tilt towards negative duration • Increase weight in inflation-linked sovereign bonds (Canadian Real Return Bonds) 12 Canadian Bond Market Performance The market traded in-line with our expectations leading to outperformance Credit Market Over the Past Quarter Yield Per Unit of Duration (1) ▪ Yields bottomed in late August and have trended 0.5 higher since 0.4 ▪ Sovereign curve has steepened as in previous recessions; we believe the short end of the curve is 0.3 locked in place 0.2 ▪ We believe a short duration strategy is necessary in FTSE Canada Universe this environment with a high allocation to short-term 0.1 Bond Index corporate bonds 0.0 Sep-17 Mar-18 Sep-18 Mar-19 Sep-19 Mar-20 Sep-20 iShares Canadian Corporate Bond Index(2) 2-Year 10-Year Spread $23.00 $22.80 300bps 200bps $22.00 100bps $21.00 0bps $20.55 $20.00 -100bps Jan 01 Mar 01 May 01 Jul 01 Sep 01 Nov 01 1999 2003 2007 2011 2015 2019 Reccesionary Period Spread Source: Bloomberg LP Note: As of November 11, 2020 13 1. Using iShares Canadian Universe Bond Index ETF as an index proxy 2. Using iShares Canadian Corporate Bond Index ETF as a proxy for Canadian corporate credit Fund Performance The BEAM Fixed Income Fund gained 71 bps on its benchmark through Q3 2020 and 77 bps YTD Performance Comparison as of September 30, 2020 (%) 3 Mo 6 Mo YTD 1 Yr 2 Yr 3 Yr 4 Yr BEAM Fixed Income Fund 1.19 7.38 8.78 7.73 8.62 6.31 3.63 FTSE Canada Universe Bond Index 0.48 6.52 8.01 7.11 8.41 6.13 3.79 Relative Performance +0.71 +0.86 +0.77 +0.62 +0.21 +0.18 -0.16 Periods less than one year are not annualized. Duration decisions and prudent credit allocation have led to outperformance Total Q3 Return (%) 0.80% +0.71% 0.60% 0.40% 0.20% 0.00% (0.20%) Jun 30 Jul 31 Aug 31 Sep 30 14 Fund Attribution & Maturity Through Q3 our strategy generated alpha in all areas Attribution to September 30, 2020 (%)(1) Relative Performance 3 Mo 6 Mo YTD 1 Yr Interest Rate Anticipation Duration & Yield Curve +0.42 +0.63 +0.36 +0.40 Credit & Liquidity Provincial & Government Agency Bonds +0.20 +0.78 -0.21 -0.15 Investment Grade Corporate Bonds +0.09 -0.54 +0.62 +0.37 Total +0.71 +0.86 +0.77 +0.62 BEAM Fixed Income Portfolio as of September 30, 2020 Modified Duration (Yrs) Effective Maturity (Yrs) Yield to Maturity (%) BEAM Fixed Income Portfolio 7.87 9.95 1.22 FTSE Canada Universe Bond Index 8.40 11.36 1.27 1. Values in attribution are subject to rounding error. May be slightly different than reported performance 15 Dollar-Weighted Fund Characteristics Large allocation to highly rated corporate bonds 40.5% 37.8% 33.2% 34.7% 26.8% 24.8% 2.2% 0.0% Federal Provincial Municipal Corporate 37.0% 36.2% 37.0% 32.8% 28.6% 14.1% 12.0% 2.4% AAA AA A BBB+ & Below BEAM Fixed Income Portfolio FTSE Canada Universe Bond Index Source: Bloomberg LP, BlackRock Note: As of September 30, 2020 16 Note: Federal Agency bonds were included within the Federal asset class Active Contribution to Duration Reduced duration from federal bonds and reinvested on the short end of corporate curve Active Contribution to Duration Medium Sector Short Term Long Term Term (1-5 Years) (6-10 Years) (10+ Years) Total Total Active Contribution to Duration Federal (0.26) (0.30) (0.03) (0.58) (0.58) Provincial (0.18) (0.18) 0.67 0.31 0.31 Municipal (0.02) (0.05) (0.15) (0.21) (0.21) Corporate 0.15 0.05 (0.17) 0.03 0.03 Total (0.30) (0.47) 0.31 (0.46) (0.46) Source: Bloomberg LP, BlackRock Note: As of September 30, 2020 17 Note: Federal Agency bonds were included within the Federal asset class Outlook and Strategy Remains Largely Unchanged Maintain portfolio positioning and reinvest on the short end of the curve as maturities come due We expect marginal further corporate spread tightening 1 Keep the bulk of our credit allocation on the short end of the corporate curve as yield per unit of duration is still low; maintain slight overweight in credit duration at max 2 We still perceive solvency risk as elevated 2 “Essential services” are still preferred; however, we are looking at unfavoured sectors (i.e.
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