CIO Update
Performance Report
May 25, 2016
Legal Disclaimer
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Many factors may affect the applicability of any statement or comment that appear in our documents to
an individual's particular circumstances.
© Queen’s University 2016
2
CIO Update
Performance Report – Consolidated Fund
May 25, 2016
Portfolio Overview – 2016/2017 Fiscal Year (Consolidated)
The QUIC Fund currently has consolidated total assets of $1,001,424 (CAD) implying a total return for
the fiscal year of 6.1%
Portfolio Management Statistics
As at May 24, 2016
Canadian Fund
U.S. Fund
Asset Value: February 26, 2016
$657,554
Asset Value: February 26, 2016
Additional Contributions
($25,802)
Additional Contributions
Proceeds from:
Proceeds from:
Dividends
$4,944
Interest
$0
Capital Gains
Dividends
Interest
$148,627
$76,953
$0
$451
$0
Capital Gains
Realized
$6,237
Unrealized
$57,331
Less: Brokerage Fees
($1,236)
Less: Operating Expenses
$0
Current Asset Value - $CAD
$699,027
Combined - Current Asset Value - $CAD
Combined - Absolute Return
($5,542)
Unrealized
$10,672
Less: Brokerage Fees
Less: Operating Expenses
($279)
$0
Current Asset Value - $US
$230,883
Current Asset Value - $CAD (1)
$302,397
$1,001,424
6.1%
(2)
Exchange Rate - CAD/USD:
Absolute Return is net of additional contributions,
and excl. FX gains
1.310
(Note) CAD/USD
(3.3%)
(1)
Realized
(2)
appreciation since February 26, 2016:
Sources: Capital IQ.
4
CIO Update
Performance Report – Canadian Fund
May 25, 2016
Portfolio Overview – 2016/2017 Fiscal Year
The QUIC Fund currently has total assets of $699,027 implying a total return for the fiscal year of 10.2%,
with a portfolio alpha of 1.3%
Portfolio Management Statistics
As at May 24, 2016
Asset Value: February 26, 2016
$657,554
Fund Cost of Capital (to date)
Additional Contributions
($25,802)
Portfolio Yield
4% annually
0.95%
2.86%
Proceeds from:
Dividends (1)
Interest (1)
$4,944
Portfolio Beta (3)
0.91
$0
Sharpe Ratio (4)(5)
3.62
$6,237
Market Return (6)
9.83%
$57,331
Fund Outperformance (7)
0.41%
($1,236)
Portfolio Alpha
1.30%
Capital Gains
Realized
Unrealized
Less: Brokerage Fees
Less: Operating Expenses
Current Asset Value (2)
$0
$699,027
(4)(8)
Information Ratio (9)
0.12
Portfolio Return
10.24%
(1)
Dividends and interest are recognized on a cash basis
(3)
Covariance of daily returns with the TSX divided by the TSX daily variance
(2)
Does not reflect the accrual of the fund's cost of capital to date
(4)
Uses 1-year Canadian Treasury rate (rf) of
(5)
Our returns above rf divided by the standard deviation of returns
(6)
TSX Total Return Index
(7)
Our returns less the market returns
(8)
Our excess returns (above rf) less our beta times the market's excess return
(9)
Annualized outperformance divided by the fund's tracking error relative to the TSX
Sources: Capital IQ.
0.50%
6
Portfolio Overview – 2016/2017 Fiscal Year
The QUIC Fund currently has total assets of $699,027 implying a total return for the fiscal year of 10.2%,
with a portfolio alpha of 1.3%
15.0%
10.2%
9.8%
10.0%
5.0%
0.0%
29-Feb-16
14-Mar-16
28-Mar-16
QUIC Fund
Sources: Capital IQ.
11-Apr-16
25-Apr-16
9-May-16
23-May-16
TSX Benchmark
7
Portfolio Overview – Since Inception
The QUIC Fund currently has total assets of $699,027 implying a total return since inception of 42.6%,
with a portfolio alpha of 13.9%
Portfolio Management Statistics
As at May 24, 2016
Asset Value: September 17, 2010
Additional Contributions
Proceeds from:
Dividends (1)
$500,000
$135,494
Fund Cost of Capital (to date)
Portfolio Yield
nmf
2.86%
$101,315
Portfolio Beta (3)
0.81
Interest
Capital Gains
$3,542
Sharpe Ratio (4)(5)
3.35
Realized
$77,707
Market Return (6)
35.39%
Unrealized
$55,472
Fund Outperformance (7)
(1)
Less: Brokerage Fees
($24,868)
Portfolio Alpha
7.23%
13.89%
(4)(8)
Less: Operating Expenses
Less: Payments to QSB
($4,898)
($144,736)
Information Ratio (9)
Current Asset Value (2)
$699,027
Portfolio Return
0.16
42.62%
(1)
Dividends and interest are recognized on a cash basis
Covariance of daily returns with the TSX divided by the TSX daily
variance
(2)
Does not reflect the accrual of the fund's cost of capital to date
(4)
Uses 1-year Canadian Treasury rate (rf) of
(5)
Our returns above rf divided by the standard deviation of returns
(6)
TSX Total Return Index
(7)
Our returns less the market returns
(8)
Our excess returns (above rf) less our beta times the market's excess return
(9)
Annualized outperformance divided by the fund's tracking error relative to the TSX
(3)
Sources: Capital IQ.
0.50%
8
Portfolio Overview – Since Inception
The QUIC Fund currently has total assets of $699,027 implying a total return since inception of 42.6%,
with a portfolio alpha of 13.9%
60.0%
50.0%
42.6%
40.0%
35.4%
30.0%
20.0%
10.0%
0.0%
(10.0%)
17-Sep-10
17-Oct-11
17-Nov-12
QUIC Return
Sources: Capital IQ.
17-Dec-13
17-Jan-15
17-Feb-16
TSX Return
9
Current Positions
Company Name
Royal Bank of Canada
The Toronto-Dominion Bank
Manulife Financial
The Bank Of Nova Scotia
Suncor Energy
Canadian Natural Resources Limited
Loblaw Companies
Crescent Point Energy
Restaurant Brands International
Franco Nevada Corporation
Canadian Tire Corporation
TELUS Corporation
Canadian National Railway
Bell Canada Enterprises
Magna International
Fortis
ProMetic Life Sciences
Open Text Corporation
Tourmaline Oil
Agrium Inc.
DH Corporation
Enercare
Aecon Group
Tahoe Resources
Riocan REIT
Killam Properties REIT
Teck Resources Limited
Badger Daylighting
Exco Technologies
Allied Properties REIT
Canadian Energy Services
Goldcorp Inc.
Transforce Inc.
Innvest REIT
Dream Industrial REIT
Canadian REIT
Silver Wheaton Corp.
Cameco Corporation
Whitecap Resources
CCL Industries
Lundin Mining
Interfor Corporation
Smart REIT
Total
Sources: Capital IQ. As at May 24, 2016.
Symbol
RY
TD
MFC
BNS
SU
CNQ
L
CPG
QSR
FNV
CTC.A
T
CNR
BCE
MG
FTS
PLI
OTC
TOU
AGU
DH
ECI
ARE
THO
REI.UN
KMP.UN
TCK.B
BAD
XTC
AP.UN
CEU
G
TFI
INN.UN
DIR.UN
REF.UN
SLW
CCO
WCP
CCL.B
LUN
IFP
SRU.UN
Share
Units
1,112
1,389
2,637
689
971
628
307
906
329
221
123
415
200
222
246
314
3,980
159
298
76
249
494
429
347
187
420
405
194
354
119
1,353
193
164
581
445
71
135
188
286
10
325
60
11
Average
Cost
$66.97
44.45
19.84
57.17
38.43
32.97
52.62
29.88
46.49
49.71
107.13
32.90
58.16
50.85
55.11
37.30
2.38
54.97
12.67
101.04
35.68
11.40
11.19
17.31
24.80
11.98
36.22
23.08
13.07
33.27
4.60
26.76
22.43
5.04
8.51
41.86
26.46
20.18
12.67
169.80
4.47
18.53
26.35
Market
Price
$78.52
57.00
19.37
63.76
35.39
38.12
71.03
21.56
55.44
81.27
140.97
41.14
76.65
60.85
52.30
40.86
2.98
74.04
30.34
116.57
34.51
16.33
17.35
15.66
28.06
12.45
12.19
23.01
12.54
36.95
3.16
21.55
24.26
6.79
8.21
46.07
24.14
15.26
9.92
223.78
4.09
12.26
34.79
Percent
Return
17.2%
28.2%
(2.4%)
11.5%
(7.9%)
15.6%
35.0%
(27.9%)
19.3%
63.5%
31.6%
25.0%
31.8%
19.7%
(5.1%)
9.5%
25.2%
34.7%
139.4%
15.4%
(3.3%)
43.3%
55.0%
(9.5%)
13.2%
3.9%
(66.3%)
(0.3%)
(4.1%)
11.1%
(31.3%)
(19.5%)
8.1%
34.8%
(3.6%)
10.0%
(8.8%)
(24.4%)
(21.7%)
31.8%
(8.5%)
(33.8%)
32.0%
Stop-Loss
Hard
Soft
$60.00
40.00
18.00
53.00
25.00
30.00
45.00
35.00
40.00
32.00
100.00
34.00
69.70
39.50
52.50
29.00
1.50
43.00
40.00
78.00
27.50
13.10
15.00
44.00
19.00
10.18
20.00
18.50
10.00
25.00
3.00
17.00
24.30
4.00
7.50
34.00
19.00
16.50
11.00
150.00
3.50
14.50
21.25
$65.00
42.00
19.00
55.00
29.50
32.00
50.00
37.00
42.50
34.00
105.00
35.00
73.80
42.00
55.00
32.00
2.00
46.00
48.00
84.00
29.50
13.80
16.00
48.00
22.00
10.78
23.00
20.00
11.00
28.00
3.50
19.00
25.70
4.30
8.80
36.00
22.00
17.50
11.50
160.00
4.00
16.00
22.50
Target
Price
$83.00
59.00
24.00
74.00
47.00
47.00
63.00
41.00
64.00
64.00
128.00
42.00
90.50
60.00
64.50
43.00
3.00
72.00
67.00
130.00
36.00
19.00
18.00
65.00
28.50
15.00
32.20
35.00
19.00
37.00
7.00
38.50
35.50
6.00
10.50
49.50
30.70
25.00
14.00
173.50
7.00
26.00
28.00
Market
Value
$87,314
79,173
51,079
43,931
34,364
23,939
21,806
19,533
18,240
17,961
17,339
17,073
15,330
13,509
12,866
12,830
11,860
11,772
9,041
8,859
8,593
8,067
7,443
5,434
5,247
5,229
4,937
4,464
4,439
4,397
4,275
4,159
3,979
3,945
3,653
3,271
3,259
2,869
2,837
2,238
1,329
736
383
$623,003
Portfolio
Weighting
12.5%
11.3%
7.3%
6.3%
4.9%
3.4%
3.1%
2.8%
2.6%
2.6%
2.5%
2.4%
2.2%
1.9%
1.8%
1.8%
1.7%
1.7%
1.3%
1.3%
1.2%
1.2%
1.1%
0.8%
0.8%
0.7%
0.7%
0.6%
0.6%
0.6%
0.6%
0.6%
0.6%
0.6%
0.5%
0.5%
0.5%
0.4%
0.4%
0.3%
0.2%
0.1%
0.1%
89.1%
TSX
Weighting
5.8%
5.2%
1.9%
3.8%
2.8%
2.1%
0.6%
1.2%
0.6%
1.0%
0.7%
0.5%
3.0%
0.2%
0.5%
1.4%
0.1%
0.4%
0.8%
‐
‐
0.1%
0.0%
0.3%
0.5%
0.0%
0.0%
0.0%
0.2%
‐
0.2%
0.9%
0.1%
‐
0.5%
0.1%
‐
0.2%
2.6%
0.3%
0.4%
0.1%
0.3%
Active
Weighting
12.5%
11.3%
7.3%
6.3%
4.9%
3.4%
3.1%
2.8%
2.6%
2.6%
2.5%
2.4%
2.2%
1.9%
1.8%
1.8%
1.7%
1.7%
1.3%
1.3%
1.2%
1.2%
1.1%
0.8%
0.8%
0.7%
0.7%
0.6%
0.6%
0.6%
0.6%
0.6%
0.6%
0.6%
0.5%
0.5%
0.5%
0.4%
0.4%
0.3%
0.2%
0.1%
0.1%
10
Recent Trades
Trades executed since last update:

Energy & Utilities
 Dividend: WCP, CPG
 Sold 1177 shares of WCP at $10.00
 Sold 367 shares of FTS at $40.10
 Sold 308 shares of PEY at $32.32

Financials
 Dividend: RY
 Bought 107 shares of TD at $56.31
 Bought 311 shares of RY at $77.43
 Bought 741 shares of MFC at $18.57
 Bought 96 shares of BNS at $63.20

TMT
 None

Cash Yield
 Dividend: SRU.UN, MST.UN, INN.UN, DIR.UN,
AP.UN

Metals & Mining
 Bought 43 shares of THO at $16.96
 Bought 19 shares of SLW at $25.66
 Bought 25 shares of G at $23.66
 Bought 25 shares of FNV at $87.95
 Bought 27 shares of CCO at $15.00
 Bought 9 shares of AGU at $116.26

Industrials
 Dividend: BAD
 Sold 84 shares of TFI at $24.01
 Sold 181 shares of XTC at $12.58
 Sold 102 shares of CNR at $76.50
 Sold 100 shares of BAD at $22.15
 Sold 220 shares of ARE at $17.11

Consumers & Healthcare
 Sold 71 shares of QSR at $52.53
 Sold 920 shares of PLI at $3.03
 Sold 56 shares of MG at $52.03
 Sold 64 shares of L at $69.21
 Sold 127 shares of ECI at $16.10
11
CIO Update
Performance Report – U.S. Fund
May 25, 2016
Portfolio Overview – 2016/2017 Fiscal Year
The QUIC U.S. Fund currently has total assets of $230,883 implying a total return for the fiscal year of
3.6%, with a portfolio alpha of (2.2%)
Portfolio Management Statistics
As at May 24, 2016
Asset Value: February 26, 2016
Additional Contributions - Current FY
$148,627
$76,953
Fund Cost of Capital (to date)
0.00%
Portfolio Yield
1.29%
Proceeds from:
Dividends (1)
Portfolio Beta (3)
0.89
$0
Sharpe Ratio (4)(5)
2.23
Realized
($5,542)
Market Return (6)
Unrealized
$10,672
Fund Outperformance (7)
(2.86%)
Portfolio Alpha
(2.21%)
Interest (1)
$451
Capital Gains
Less: Brokerage Fees
Less: Operating Expenses
Current Asset Value (2)
($279)
6.44%
(4)(8)
$0
Information Ratio
$230,883
Portfolio Return
(1.25)
(9)
3.58%
(1)
Dividends and interest are recognized on a cash basis
(3)
Covariance of daily returns with the S&P 100 divided by the S&P 100 daily variance
(2)
Does not reflect the accrual of the fund's cost of capital to date
(4)
Uses risk-free rate (rf) of 1-year US T-bill yield:
(5)
Our returns above rf divided by the standard deviation of returns
(6)
S&P 100 Total Return Index
(7)
Our returns less the market returns
(8)
Our excess returns (above rf) less our beta times the market's excess return
(9)
Annualized outperformance divided by the fund's tracking error relative to the S&P100
Sources: Capital IQ. All figures are in USD.
0.62%
13
Portfolio Overview – 2016/2017 Fiscal Year
The QUIC U.S. Fund currently has total assets of $230,883 implying a total return for the fiscal year of
3.6%, with a portfolio alpha of (2.2%)
10.0%
6.4%
5.0%
3.6%
0.0%
(5.0%)
29-Feb-16
14-Mar-16
28-Mar-16
QUIC Return
Sources: Capital IQ. All figures are in USD.
11-Apr-16
25-Apr-16
9-May-16
23-May-16
S&P 100 Return
14
Portfolio Overview – Since Inception
The QUIC U.S. Fund currently has total assets of $230,883 implying a total return since inception of
1.9%, with a portfolio alpha of (5.1%)
Portfolio Management Statistics
As at May 24, 2016
Asset Value: October 3, 2014
Additional Contributions
$68,085
$163,692
Fund Cost of Capital (to date)
0.00%
Portfolio Yield
1.29%
Proceeds from:
Dividends (1)
Interest (1)
$742
Portfolio Beta (3)
0.94
$5
Sharpe Ratio (4)(5)
0.33
($4,331)
Market Return (6)
Capital Gains
Realized
Unrealized
Less: Brokerage Fees
Less: Operating Expenses
Current Asset Value (2)
7.43%
$3,149
Fund Outperformance (7)
(5.52%)
($455)
Portfolio Alpha
(5.14%)
(4)(8)
$0
Information Ratio
$230,883
Portfolio Return
(0.69)
(9)
1.90%
(1)
Dividends and interest are recognized on a cash basis
(3)
Covariance of daily returns with the S&P 100 divided by the S&P 100 daily variance
(2)
Does not reflect the accrual of the fund's cost of capital to date
(4)
Uses risk-free rate (rf) of 1-year US T-bill yield:
(5)
Our returns above rf divided by the standard deviation of returns
(6)
S&P 100 Total Return Index
(7)
Our returns less the market returns
(8)
Our excess returns (above rf) less our beta times the market's excess return
(9)
Annualized outperformance divided by the fund's tracking error relative to the S&P100
Sources: Capital IQ. All figures are in USD.
0.62%
15
Portfolio Overview – Since Inception
The QUIC U.S. Fund currently has total assets of $230,883 implying a total return since inception of
1.9%, with a portfolio alpha of (5.1%)
16.0%
12.0%
8.0%
6.0%
4.0%
1.5%
0.0%
(4.0%)
(8.0%)
3-Oct-14
3-Jan-15
3-Apr-15
QUIC Return
Sources: Capital IQ. All figures are in USD.
3-Jul-15
3-Oct-15
3-Jan-16
3-Apr-16
S&P 100 Return
16
Current Positions
Company Name
Microsoft Corporation
Symbol
Share
Average
Market
Percent
Dividend
Units
Cost
Price
Return
Yield
Stop-Loss
Hard
Soft
Target
Market
Portfolio
Price
Value
Weight
NASDAQ:MSFT
404
$44.80
$51.59
15.1%
2.8%
$39.00
$42.00
$52.00
$20,842
12.7%
The Walt Disney Company
NYSE:DIS
164
$99.47
$99.51
0.0%
0.0%
$77.00
$82.00
$99.00
$16,320
9.9%
CVS Health Corporation
NYSE:CVS
155
$96.02
$97.38
1.4%
1.7%
$70.00
$75.00
$90.44
$15,094
9.2%
NYSE:HD
108
$134.13
$133.36
(0.6%)
2.1%
$114.00
$120.00
$145.00
$14,403
8.8%
NASDAQ:FB
121
$90.01
$117.70
30.8%
0.0%
$75.00
$80.00
$99.00
$14,242
8.7%
NYSE:MCD
110
$126.20
$123.95
(1.8%)
2.9%
$107.00
$113.00
$139.02
$13,635
8.3%
NASDAQ:GOOG
18
$752.92
$720.09
(4.4%)
0.0%
$640.00
$675.00
$811.00
$12,962
7.9%
NYSE:MRK
229
$49.94
$55.60
11.3%
3.3%
$43.50
$45.00
$62.00
$12,732
7.8%
NASDAQ:SBUX
224
$55.68
$55.44
(0.4%)
1.4%
$45.00
$50.00
$62.00
$12,419
7.6%
Union Pacific Corporation
NYSE:UNP
151
$112.18
$81.29
(27.5%)
2.7%
$90.00
$100.00
$144.77
$12,275
7.5%
JPMorgan Chase & Co.
NYSE:JPM
182
$62.25
$64.54
3.7%
2.7%
$50.00
$55.00
$71.50
$11,746
7.2%
NYSE:C
176
$55.63
$45.86
(17.6%)
0.4%
$45.00
$50.00
$62.50
$8,071
4.9%
The Home Depot, Inc.
Facebook, Inc.
McDonald's Corp.
Google Inc.
Merck & Co. Inc.
Starbucks Corporation
Citigroup Inc.
Visa Inc.
3M Company
MetLife, Inc.
Monsanto Company
Morgan Stanley
Total
Sources: Capital IQ. As at May 24, 2016.
NYSE:V
100
$79.93
$79.38
(0.7%)
0.7%
$67.50
$70.00
$90.00
$7,938
4.8%
NYSE:MMM
37
$151.38
$168.63
11.4%
2.6%
$125.00
$130.00
$174.33
$6,239
3.8%
NYSE:MET
76
$51.34
$45.27
(11.8%)
3.3%
$42.50
$45.00
$60.00
$3,441
2.1%
NYSE:MON
26
$115.11
$109.30
(5.0%)
2.0%
$95.00
$100.00
$126.50
$2,842
1.7%
NYSE:MS
93
$36.48
$27.41
(24.9%)
2.2%
$30.00
$33.00
$41.00
$2,549
$121,090
1.6%
73.7%
17
Recent Trades

Trades executed since last update:

Energy & Utilities
 None

Financials
 Bought 34 shares of C at $45.23
 Bought 56 shares of JPM at $63.40
 Bought 38 shares of MS at $26.94
 Bought 51 shares of V at $77.44

TMT





Cash Yield
 None

Metals & Mining
 Dividend: MON
 Bought 5 shares of MON at $97.15

Industrials
 Bought 68 shares of UNP at $83.02

Consumers & Healthcare
 Dividend: SBUX
 Sold 169 shares of NKE at $56.37
 Bought 87 shares of CVS at $101.23
 Bought 68 shares of HD at $131.42
 Bought 167 shares of MRK at $54.70
 Bought 70 shares of MCD at $126.39
 Bought 161 shares of SBUX at $54.91
Sold 87 shares of AAPL at $94.63
Bought 12 shares of GOOG at $710.77
Bought 47 shares of DIS at $99.67
Bought 167 shares of MSFT at $50.86
18