Q Performance Review

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Q3 2020 Performance Review

The Beedie

Endowment Asset Management Fund at SFU’s Beedie School of Business

November 17, 2020

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I.

Executive Summary

Marisa Sun

Equity Analyst (Energy)

II.

Fixed Income Update

Emily Ong

Fixed Income Analyst

III.

Equity Update

Laurel Dao

Equity Analyst (TMT & Health Care)

IV.

Operations Update

Michael Le

Risk Analyst

Questions

Appendix

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I. Executive Summary

Marisa Sun | Equity Analyst (Energy)

[email protected]

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To preserve inflation-adjusted invested capital

4

BEAM has four distinct objectives

BEAM’s Objectives

2

3

4

1

To outperform the equity benchmark by 150 basis points and outperform the fixed

income benchmark by 40 basis points on a rolling four-year average

2

Use ESG as a tool to conform to SFU endowment responsibilities and the UN’s

Principles for Responsible Investment

3

Provide an engaging educational experience that trains the next generation of

responsible and ethical finance professionals

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$5.00 $5.03 $5.38 $5.91 $5.67 $6.37 $6.69 $6.21 $7.15 _$7.08 0.7% 3.7% 5.7% 3.2% 5.0% 5.0% 3.1% 4.6% 4.1% -2.5% 5.0% 7.5% 10.0% -$2.00 $4.00 $6.00 $8.00

Jan-2012 Sep-2012 Dec-2013 Dec-2014 Dec-2015 Dec-2016 Dec-2017 Dec-2018 Dec-2019 Sep-2020

CA G R S ince Incept ion ( % ) A UM ( $mm ) 5

BEAM’s AUM has declined 0.9% from the beginning of 2020 to the end of Q3 2020

BEAM’s AUM Has Grown at a 4.1% CAGR Since Inception

1st Cohort(1) 2nd Cohort 3rd Cohort 4th Cohort 5th Cohort 6th Cohort 7th Cohort 8th Cohort 9th Cohort 10th Cohort 1. As of September 30, 2012

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6

BEAM’s balanced portfolio outperformed by 37 basis points in the third quarter

Q3 2020 Balanced Portfolio Return

Portfolio vs. Benchmark Total Return

Relative Return Tracking Error Information Ratio

Q3 2020 0.37% 1.55% 0.24 3.43% 3.06% (2.0%) 0.0% 2.0% 4.0% 6.0% Portfolio Benchmark (0.5%) 0.0% 0.5% 1.0% 1.5%

Jun 30 Jul 31 Aug 31 Sep 30

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7

BEAM did not breach any of its compliance constraints throughout the quarter

Compliance Summary

IPS Guidelines and Constraints

Current

Compliance

General

•

Asset Mix within IPS Range

✓

Equity

•

Limits on equity security holdings

✓

•

Micro Cap, prohibited

✓

•

7 Sectors, with 50% allocation relative to benchmark

✓

•

At least 25 stocks

✓

•

15 largest stocks, at most 70% of equity value

✓

Fixed Income

•

Less than 5% per issuer, excluding federal and

provincials

✓

•

Allocation limits based on bond ratings

✓

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2.1% 35.4% 62.5% 2.0% 38.0% 60.0%

Cash Fixed Income Equities

$0.15mm $2.50mm

8

BEAM has deployed excess cash to continue strategically overweighting equities

Portfolio Positioning

$4.43mm

Weights

Asset

Class Benchmark IPS Range

Equity 60% 50% - 70% Fixed Income 38% 30% - 50% Cash 2% 0 - 10% Portfolio Benchmark Note: As of September 30, 2020

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9

BEAM is maintaining its previously outlined strategy moving forward

BEAM Has Been Executing on its Strategy

Overweight Equities Prioritize Stock Selection Identify Sector Allocation Opportunities

Duration Management & Prudent Credit Selection ✓End of quarter weight in

equities was 62.5%

✓While evaluating the

current economic backdrop, we continue to overweight equities as expansionary monetary & fiscal policies continue, and anticipate a further rally in equities once COVID-19 fears subside

✓Following partial Energy divestment in Q1 2020 and 3 businesses swapped in Q2 2020, BEAM sold Manulife for TMX Group in Q3 2020

✓Sector teams continue to be active in identifying & researching new

opportunities to find quality companies at favourable valuations

✓Maintain overweight in the Materials and Utilities sectors

✓Currently underweight in Financials, Telecoms, Energy, and Health Care, with plans to further reduce weight in Energy

✓Research the potential to gain alpha through more aggressive sector plays

✓Increased allocation to essential services and reduced weight in discretionary companies

✓Repositioned and maintained negative

duration in sovereign bonds

✓Continue to hunt unfavored parts of corporate bond market for individual alpha-generating opportunities 62.5% 35.4% 2.1% Equity Fixed Income Cash BEAM Benchmark 245 137 (90) (91) (114) (195) Materials Utilities Financials Healthcare Telecom Energy

Over (Under) Weight (bps)

Note: As of September 30, 2020 (0.46) 0.03 (0.21) 0.31 (0.58) Total Corporate Municipal Provincial Federal Active CTD

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II. Fixed Income Update

Emily Ong | Fixed Income Analyst

[email protected]

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11

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

✓

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▪

Expectation:

• Further spread tightening in corporate credit albeit at a reduced pace to H1 2020

▪

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

12

We looked to reduce solvency risk and add inflation protection on the back of our outlook

Outlook at End of Q2

Corporate Credit Outlook and Strategy

Sovereign Credit Outlook and Strategy

▪

Expectation:

• Further curve steepening over the long-run as inflation expectations rise partly from economic rebound and partly from large-scale fiscal stimulus

▪

Strategy:

• 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)

Actions Taken Through Q3

Bought:

Swapped:

Sold:

Generic Inflation Indexed

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Credit Market Over the Past Quarter

▪ Yields bottomed in late August and have trended higher since

▪ Sovereign curve has steepened as in previous recessions; we believe the short end of the curve is locked in place

▪ We believe a short duration strategy is necessary in this environment with a high allocation to short-term corporate bonds -100bps 0bps 100bps 200bps 300bps 1999 2003 2007 2011 2015 2019 Reccesionary Period Spread

13

The market traded in-line with our expectations leading to outperformance

Canadian Bond Market Performance

2-Year 10-Year Spread

iShares Canadian Corporate Bond Index

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$20.55 $22.80 $20.00 $21.00 $22.00 $23.00

Jan 01 Mar 01 May 01 Jul 01 Sep 01 Nov 01

Yield Per Unit of Duration

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0.0 0.1 0.2 0.3 0.4 0.5

Sep-17 Mar-18 Sep-18 Mar-19 Sep-19 Mar-20 Sep-20 FTSE Canada Universe

Bond Index

Source: Bloomberg LP Note: As of November 11, 2020

1. Using iShares Canadian Universe Bond Index ETF as an index proxy

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Fund Performance

14 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

Duration decisions and prudent credit allocation have led to outperformance

The BEAM Fixed Income Fund gained 71 bps on its benchmark through Q3 2020 and 77 bps YTD

(0.20%) 0.00% 0.20% 0.40% 0.60% 0.80%

Total Q3 Return (%)

Periods less than one year are not annualized.

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Fund Attribution & Maturity

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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

Through Q3 our strategy generated alpha in all areas

1. Values in attribution are subject to rounding error. May be slightly different than reported performance

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Large allocation to highly rated corporate bonds

Dollar-Weighted Fund Characteristics

24.8% 34.7% 0.0% 40.5% 33.2% 37.8% 2.2% 26.8%

Federal Provincial Municipal Corporate

28.6% 36.2% 32.8% 2.4% 37.0% 37.0% 14.1% 12.0%

AAA AA A BBB+ & Below

BEAM Fixed Income Portfolio FTSE Canada Universe Bond Index

Source: Bloomberg LP, BlackRock Note: As of September 30, 2020

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Active Contribution to Duration

Sector Short Term Medium

Term Long Term

(1-5 Years) (6-10 Years) (10+ Years) Total

Federal (0.26) (0.30) (0.03) (0.58)

Provincial (0.18) (0.18) 0.67 0.31

Municipal (0.02) (0.05) (0.15) (0.21)

Corporate 0.15 0.05 (0.17) 0.03

Total (0.30) (0.47) 0.31 (0.46)

Active Contribution to Duration

17 (0.46) 0.03 (0.21) 0.31 (0.58)

Total Active Contribution to Duration

Reduced duration from federal bonds and reinvested on the short end of corporate curve

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We expect marginal further corporate spread tightening

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

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Maintain portfolio positioning and reinvest on the short end of the curve as maturities come due

Outlook and Strategy Remains Largely Unchanged

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3

4

1

We still perceive solvency risk as elevated

“Essential services” are still preferred; however, we are looking at unfavoured sectors (i.e. real estate) for individual opportunities

2

We expect further curve steepening

Maintain our negative duration position in federal bonds

3

We remain bullish on long-term inflation expectations

We continue to like Canadian Real Return Bonds; however, we are not looking to actively increase our allocation

4

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III. Equity Update

Laurel Dao | Equity Analyst (TMT & Health Care)

[email protected]

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Outperformance was as high as 150 basis points in Q3, with relative return tightening in the final weeks

BEAM’s Equity Portfolio Outperformed in Q3 2020

Portfolio vs. Benchmark Total Return

Relative Return Tracking Error Information Ratio

Q3 2020 0.19% 2.54% 0.07 4.92% 4.73% (2.0%) -2.0% 4.0% 6.0% 8.0% 10.0% Portfolio Benchmark (1.0%) (0.5%) -0.5% 1.0% 1.5% 2.0%

Source: Bloomberg LP

Note: As of September 30, 2020

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Favourable economic conditions and attractive renewable energy growth attracted investor demand

Power & Utilities Outperformance in Q3 2020

Sector Attractiveness in Q3 2020

▪

Economic turmoil acted as a catalyst for the sector, as investors sought safe-haven equities with strong defensive characteristics and low reactivity to market fluctuations

▪

Investors found comfort in the essential nature of the industry’s operations, which sheltered operations from government-forced shutdowns and ensured ongoing cash flow generation

▪

The sector’s stable and predictable dividends attracted yield-seeking investors during the preceding period of all-time low interest rates in Q3

Renewables Rally

▪

Renewable companies produced the greatest total return in Q3 2020, with Boralex, Northland Power, Innergex, and Brookfield Renewable leading returns

▪

Optimism towards renewable power expansion arises from government-implemented clean energy targets, ESG targets for corporations, and plummeting costs of renewable energy generation

▪

Canadian renewables benefit from early mover

advantage – all four of the aforementioned companies operate across different jurisdictions and hold

international expertise to capture growth opportunities

Q3 2020 Total Return: Sector Holdings vs. Sector Benchmark and TSX Composite

15.7% 11.1% 4.7% (4.0%) -4.0% 8.0% 12.0% 16.0% 20.0%

P&U Holdings P&U Benchmark TSX

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Strong selection led our Utilities portfolio to generate +0.38% CTR in Q3 2020

BEAM’s P&U Holdings and Selection Methodology

Selection Methodology

▪

The P&U team seeks to invest in companies with:

•

Justified valuation metrics

•

Proven capabilities of efficient capital allocation and value-creation for shareholders

•

Strong dividend growth to maintain attractiveness in the low interest rate environment

•

Exposure to renewable energy, due to the secular trend towards clean energy adoption and foreseeable catalysts in the medium to long term

•

Above-average MSCI Environmental scores

BEAM P&U Research

Q3 2020 P&U Coverage List CTR

(0.12%) (0.10%) (0.07%) (0.04%) (0.03%) (0.03%) (0.02%) (0.01%) (0.01%) (0.01%) (0.01%) 0.00% 0.00% 0.01% 0.26% 0.56% (0.30%) (0.10%) 0.10% 0.30% 0.50% 0.70% Brookfield Ren. Brookfield Infra.

Fortis Hydro One Boralex Innergex Emera Altagas Capital Power

Superior Plus

Transalta Ren.

Atco Transalta Canadian Utilities

Algonquin Northland Power

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27.4 17.9 13.4 10.3 8.8 6.7 5.3 4.1 3.1 3.1 0.0 28.3 15.5 12.4 10.3 10.7 5.3 4.4 5.2 3.5 _3.2 0.9

Financials Materials Industrials Information Technology

Energy Utilities Consumer

Staples

Communication Services

Consumer Discretionary

Real Estate Health Care

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Our largest overweight is within Materials, while Energy makes up our largest underweight

Our Equity Portfolio Classified by GICS

Portfolio Weights (%)

Benchmark Weight(1)

Portfolio Weight

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BEAM’s largest overweight’s in Materials, Utilities & Industrials, with NPI, CNR, BAM & ATZ as largest bets

Diversified Materials & Utilities Dominate Within Benchmark

T ot a l Return (% )

▪As of end of Q3, Energy remains largest active underweight (-1.95%) with research being conducted to further divest an integrated name into a pure midstream business ▪Materials (1), Utilities (2), Industrials

(3) were largest active overweight’s

▪I.T. YTD led by SHOP (+150% return YTD slowed to +5% in Q3) ▪Holdings Wheaton and Franco

represent two of top 20 YTD TSX names

▪Divested Health Care into I.T. during Q2; have not added back

▪Diversified Materials began positive momentum following suit with Gold & Silver equities, while NPI, CNR, BAM & ATZ represent largest bets ▪Swapped Manulife for TMX while

increasing weight in Aritzia, Brookfield & First Quantum in Q3

T a k e a w a y s (14%) (8%) 2% 4% 4% 4% 5% 8% 9% 9% 11% 14% Healthcare Energy Telecom IT Financials Real Estate TSX Discretionary Staples Materials Utilities Industrials (42%) (36%) (15%) (13%) (7%) (5%) (3%) 8% 10% 10% 26% 65% Healthcare Energy Real Estate Financials Telecom Discretionary TSX Industrials Utilities Staples Materials IT 10% 10% 11% 11% 11% 17% 17% 19% 19% 21% 21% 25% Wheaton First Quantam Intact Finning Algonquin Kirkland Lake Premium Brands CNRL Northland Power Nutrien Tricon Intertape

Q3 2020 YTD 2020 Q3 2020 Top Holdings

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Q3 outperformance driven by selection in the Real Estate, Utilities, and Materials sectors

Q3 2020 Portfolio Attribution Analysis

Q3 Active Contribution to Return by Sector (bps)

(52) (35) (22) (15) (9) 6 15 17 36 38 41 Consumer Discretionary Information Technology Financials Energy Industrials Communication Services Health Care Consumer Staples Materials Utilities Real Estate Source: Bloomberg LP Note: As of September 30, 2020

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(0.36%) (0.36%)

(0.20%) (0.19%) (0.18%)

0.05% 0.06% 0.06% 0.12% 0.13%

Holdings: Lowest Active CTRs

(1)(2)

Holdings: Highest Active CTRs

26

Performance from our holdings fueled BEAM’s positive active return in Q3 2020

Q3 2020 Active Contribution to Return Breakdown

Non-Holdings: Lowest Active CTRs

Non-Holdings: Highest Active CTRs

(0.34%) (0.24%)

(0.17%) (0.09%) (0.07%)

0.34% 0.43%

0.52% 0.53% 0.56%

1. Active CTR = Portfolio CTR - Benchmark CTR

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Sold

Bought

Thesis in Q2 2020

Q2&3 Performance (%)

• Diverse, clean energy generation in N. America, Europe, Asia and L. America

• Foreseeable catalysts arising from Northland’s growth pipeline, international clean energy mandates, plummeting renewable costs and on-going climate change concerns • Stable and predictable cash flows sourced from PPAs with state-owned entities and a

utility operation (EBSA)

• Comprehensive growth strategy through customer-focused approached and unique boutique experience

• Methodical and logical expansion into the US acts as catalyst for future growth • Strong balance sheet and liquidity to persevere through COVID-19 related headwinds

• Well-diversified exposure to small-cap software across different vertical software markets • Strong management team with a proven track record of disciplined capital allocation and

delivery of shareholder value

• Expectations of lowered valuations after the pandemic and economic downturn will present an opportunistic time for CSU’s M&A-focused strategy

27

After divesting certain Energy holdings in Q1 & improving selection in Q2, Q3 saw replacement in Financials

Aligning to Philosophy: Reviewing Q2 Moves & Move in Q3

Sold

Bought

Thesis in Q3 2020

Q3 Performance (%)

• Monopoly in the Canadian financial exchange industry, with returns that are uncorrelated with typical drivers within Financials (e.g. interest rates and equity markets appreciation) • Defensive attributes from stable & recurring data subscription revenue sources

• Proprietary possession of data and technology that is inherent within financial exchange operations which can be leveraged as a catalyst for growth opportunities in the fast-growing data services industry

• Strong balance sheet and growth/risk profile that is consistent with peers, while maintaining superior operational efficiency and free cash flow conversion

TSX:NPI TSX:CU

TSX:ATZ TSX:GIL

TSX:CSU TSX:SIA

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0.24% 0.18% 0.04% _0.03% (0.07%) (0.12%) (0.18%) _(0.19%) 28

BEAM added TMX Group Limited and divested from Manulife Financial Corporation in Q3

Financials Were Largest Average Underweight During Q3

▪

Low interest rate environments have created a headwind against the balance sheets of both banks and life insurance companies

▪

Commoditized insurance products makes the life insurance sector unattractive

▪

Elevated volatility in the public markets have

contributed to unprecedented levels of equity, fixed income, and derivatives trading activity

▪

Currently underweight in Financials with seven holdings

•

Added TMX Group Limited to portfolio in Q3

•

Now hold four diversified banks and have

exposure to alternative asset management, P&C insurance, and financial exchange sub-sectors

▪

Keeping a balanced exposure with the capacity to achieve returns in all stages of the market cycle

▪

TMX Group Limited well positioned to benefit from elevated trading and capital markets activities

3.39% 3.99% 4.73% (4.0%) 0.0% 4.0% 8.0% 12.0%

Jul 01 Aug 15 Sep 29

Financials Holdings Financials Benchmark TSX

What’s Happening in the Market?

Strategy Going Forward

Active Contribution to Return

Financials Performance

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0.3% 0.3% 0.3% _0.3% 0.0% 0.0% 0.0% (0.0%) (0.1%) (0.1%) (0.1%) (0.2%)

What’s Happening in the Market?

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Materials was BEAM’s largest sector overweight and generated the third highest CTR

BEAM’s Stance on Materials

Strategy Going Forward

Materials Performance

▪

Copper mine strikes in Chile foreshadow possible supply constraints

▪

China’s demand for copper better than anticipated driving prices to two-year highs

▪

Lumber futures taper-off from September records but remain well above historical levels – forestry

companies have surprised analysts with earnings

▪

Precious metals prices remain elevated following a bull run, with mine shutdowns leading to a weakening metal supply despite record investor demand

▪

Increased active weight in FM as we are bullish in the outlook for demand as government stimulus picks up

▪

Low forecasted fertilizer prices over the coming years are a sign to decrease active weight in Nutrien

▪

Large active weights in top quality gold names to hedge against US election outcome uncertainty and potential for long-term currency devaluation

▪

High commodity prices are a bullish sign for junior producers; research is ongoing for a junior royalty & streaming company to gain upside exposure

10.5% 9.1% 4.7% (4.0%) 0.0% 4.0% 8.0% 12.0% 16.0% 20.0%

Materials Holdings Materials Benchmark TSX

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Outperformance Drivers

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Single-family housing proved to be resilient during the pandemic

Real Estate Generated the Highest Positive CTR in Q3

Strategy Going Forward

Real Estate Performance

Source: Bloomberg LP Note: As of September 30, 2020 0.52% 0.02% _0.01% _0.01% _0.01% (0.01%) (0.02%) (0.03%) (0.05%) (0.06%)

▪

Strong demand for single-family homes driven by

WFH trends and low interest rates

▪

Real estate sector weighed down by companies with large exposure to retail and office properties

▪

Blackstone’s $300M preferred equity investment

▪

Latest quarter saw strong fundamentals in single-family portfolio, proving its resilience in this pandemic – occupancy above historical average and rental increases on renewed/new leases

▪

We expect continued tailwinds for industrial assets fueled by increased investments from retailers into their online distribution capabilities

•

In contrast, we believe the demand for retail space will continue to diminish

▪

Single-family housing should continue to benefit from WFH trends and lower interest rate for longer

▪

Multi-family and office space could be bold well as attractive long-term plays

20.7% 4.1% 4.7% (5.0%) 0.0% 5.0% 10.0% 15.0% 20.0% 25.0%

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Equity portfolio turnover peaked in 2018, expecting similar to lower levels for 2020

Portfolio Characteristics

Portfolio Benchmark Weighted Avg. Market Cap ($B) 40.23 (2) _52.73 Dividend Yield 2.92% 3.23% P / E (Trailing) 22.61x 24.70x Profit Margin 6.73% 5.57% Return on Equity (Trailing) 7.06% 5.92% Debt / EBITDA(3) _4.48x _4.30x Debt / Equity(3) _111.76% _106.48% Beta 0.97 1.00

Portfolio Turnover (Including Rebalancing)

(1)

Portfolio Characteristics

1. Calculated as minimum of buy or sell transaction value divided by the average equity value over the period 2. Excludes holding in XIC

3. Excludes the financials sector

6.5% 6.8% 5.0% 28.5% 18.0% 2018 2019 2020 Q1 Q2 Q3

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IV. Operations Update

Michael Le | Risk Analyst

[email protected]

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Portfolio vs Benchmark Rating

33

ESG Analysts have contributed to all equity research reports while access to MSCI reveals superior rating

We Continue to Integrate ESG in our Investment Decisions

Portfolio Carbon Footprint

(1)

Example of ESG Integration Into a Stock Pitch

Letter Rating Industry Adjusted Score AAA 8.57 - 10.00 AA 7.14 - 8.57 A 5.71 - 7.14 BBB 4.29 - 5.71 BB 2.86 - 4.29 B 1.43 - 2.86 CCC 0.0 - 1.43 6.11 _5.93 Portfolio Benchmark Source: MSCI Note: As of September 30, 2020

1. Carbon footprint measured as tCO2e per $mm invested

▪

Evaluated Gibson’s ESG using a variety of sources and on several elements including carbon

emissions, land management, employee safety, board independence, and executive pay

368 464 ₄₅₇ 2016 Q2 2020 Q3 2020 6.6M 3.7M _3.4M 1.6M 1.2M 2.6M 2.0M

ENB TRP ALA IPL KEY PPL GEI

CEO Comp 17.5M 13.9M 2.4M 1.1M 2.1M 2.3M 2.1M 514 1,388 758 589 772 425 420

ENB TRP ALA IPL KEY PPL GEI

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Following the BEAM Advisory Panel’s recommendation, we met with TC Energy to discuss concerns

Increasing our Shareholder Engagement for Better Decisions

Social Concerns

Environmental Concerns

Outcome of Meeting

▪

From a valuation standpoint the Coastal Gas Link controversy is not expected to significantly affect the valuation of TC Energy

•

Route is not in question

•

Non-compliance orders don’t point to a systemic issue with surveying or addressing environmental concerns

▪

On going monitoring will be required for several unaddressed concerns

•

Still considerable opportunity for disruptive protests depending on handling of further issues

•

Potential ethical concerns and potential conflict with the UN Declaration of the Rights of Indigenous People

•

TC Energy ranked 2nd lowest globally on MSCI for biodiversity and land use – largely due to ongoing controversies on

the Keystone XL pipeline and Potomac pipeline

▪ Recent non-compliance orders issued for failure to survey wetlands

• Used an accepted method (inferred

methodology) but dates of completed work didn’t match permit

• Did not significantly delay project but did create a lot of extra work to be completed in a short amount of time

▪ Effect of changing land title on pipeline route

• The MOU being provincially decided right now will not be retrospective

• Land use permits given in 2014/2015 were given by the government and are binding • Construction of the pipeline is not in question ▪ Right of indigenous groups

• Did get permission from 20 elected indigenous groups – expected to provide $865M in income to various groups

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35

BEAM welcomed a record number of attendees at the annual information session

High Engagement Is Leading to Robust Interest

Engagement Rate on LinkedIn

(1)

Coming Soon: Team Introductions BEAM Recruitment Events

BEAM Info Session Event Registrants

26

80

108

2018 2019 2020

BEAM 2020-21 Cohort Recruitment Is Underway

1. From LinkedIn Analytics as of July 1 to Sept 30, 2020

27%

16% _15%

15% _14%

11% _10%

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2020 Continues to Be a Transformative Year for BEAM

36

BEAM continues to diligently manage assets while collaborating in a virtual environment

Continue to examine changing ESG trends and the impact of the fund’s holdings on SFU’s ESG commitments while actively voting on proxies Increase cross functional collaboration between analysts in different sectors, asset classes, and operational roles

Ensure our portfolio continues to meet compliance requirements, while seeking investment opportunities at attractive valuations to add to our portfolio

Continue thorough recruitment efforts into the end of the year as applications

for the 2020-2021 cohort open in the

beginning of December

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Performance Since Inception

39

BEAM Has Returned 44.5% Since Inception

0% 10% 20% 30% 40% 50% 60% 70% Ma r-1 2 J un -12 S e p -1 2 De c -12 Ma r-1 3 J un -13 S ep -13 De c -13 Ma r-1 4 J un -14 S ep -14 De c -14 Ma r-1 5 J un -15 S ep -15 De c -15 Ma r-1 6 J un -16 S ep -16 De c -16 Ma r-1 7 J un -17 S ep -17 De c -17 Ma r-1 8 J un -18 S ep -18 De c -18 Ma r-1 9 J un -19 S ep -19 De c -19 Ma r-2 0 J un -20 S ep -20 Portfolio Benchmark 59.1% 44.5% 2011 – 2012 Cohort 2012 – 2013 Cohort 2013 – 2014 Cohort 2014 – 2015 Cohort 2015 – 2016 Cohort 2016 – 2017 Cohort 2017 – 2018 Cohort 2018 – 2019 Cohort 2019 – 2020 Cohort 1. Note: As at September 30, 2020

2. Total benchmark is composed of S&P/TSX Total Return Index (60%); FTSE TMX Canada Universe Bond Index (38%); 91-day T-Bill Index (2%) 3. Assumes inception date of July 1, 2012, which marks the date at which the portfolio was fully constructed

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The BEAM Fixed Income Fund has underperformed by 70 bps over the last four years

Four-Year Fixed Income Performance

16.03% 15.33% 41 (0.70%) (5.0%) -5.0% 10.0% 15.0% 20.0% Portfolio Benchmark

Relative Return Tracking Error Information Ratio

Since Sep 30, 2016 (0.70%) 0.56% (1.26)

Portfolio vs. Benchmark Total Return

(1)

1. Fixed Income Benchmark is the FTSE Canada Universe Bond Index

(2.0%) (1.6%) (1.2%) (0.8%) (0.4%)

(42)

The BEAM Fixed Income Fund has outperformed by 62 bps over the last twelve months

LTM Fixed Income Performance

42

Relative Return Tracking Error Information Ratio

Since Sep 30, 2019 0.62% 0.59% 1.11

Portfolio vs. Benchmark Total Return

(1)

(2.5%) -2.5% 5.0% 7.5% 10.0% Portfolio Benchmark (0.4%) (0.2%) -0.2% 0.4% 0.6% 0.8%

Sep-19 Nov-19 Jan-20 Mar-20 May-20 Jul-20 Sep-20

0.62%

7.11%

(43)

The BEAM Fixed Income Fund has outperformed by 77 bps year to date

YTD Fixed Income Performance

43

Relative Return Tracking Error Information Ratio

Since Dec 31, 2019 0.77% 0.72% 1.13

Portfolio vs. Benchmark Total Return

(1)

(2.0%) -2.0% 4.0% 6.0% 8.0% 10.0% Portfolio Benchmark (0.2%) -0.2% 0.4% 0.6% 0.8%

Jan 01 Jan 31 Mar 01 Mar 31 Apr 30 May 30 Jun 29 Jul 29 Aug 28 Sep 27

8.78%

8.01%

(44)

Contribution to Duration

Sector

Benchmark

Portfolio

Short Term

Medium

Short Term

Medium

(1-5 Years) (6-10 Years)

(10+

Years) Total (1-5 Years)

(6-10 Years) (10+ Years) Total Federal 0.54 0.59 1.04 2.16 0.28 0.29 1.01 1.58 Provincial 0.27 0.64 3.25 4.16 0.09 0.46 3.92 4.47 Municipal 0.02 0.05 0.15 0.21 0.00 0.00 0.00 0.00 Corporate 0.32 0.41 1.13 1.86 0.47 0.46 0.96 1.89 Total 1.14 1.68 5.58 8.40 0.84 1.21 5.89 7.94

Contribution to Duration

44

BEAM Fixed Income Fund maintains a strategic underweight in duration

(45)

(46)

46

The Equity Portfolio underperformed significantly over the last four years

Four-Year Equity Portfolio Return

Relative Return Tracking Error Information Ratio

Since Sep 30, 2016 (13.70%) 3.02% (4.54) 10.15% 23.84% (30.0%) (20.0%) (10.0%) -10.0% 20.0% 30.0% 40.0% Portfolio Benchmark (16.0%) (14.0%) (12.0%) (10.0%) (8.0%) (6.0%) (4.0%) (2.0%) -2.0%

Sep-16 Mar-17 Sep-17 Mar-18 Sep-18 Mar-19 Sep-19 Mar-20 Sep-20

Note: As at September 30, 2020

1. Equity benchmark is the S&P/TSX Total Return Index

Portfolio vs. Benchmark Total Return

(1)

(47)

47

The Equity Portfolio underperformed by 517 basis points over the last twelve months

LTM Equity Portfolio Return

Portfolio vs. Benchmark Total Return

(1)

Relative Return Tracking Error Information Ratio

Since Sep 30, 2019 (5.17%) 5.10% (1.01) (5.08%) 0.09% (40.0%) (30.0%) (20.0%) (10.0%) -10.0% 20.0% Portfolio Benchmark (6.0%) (5.0%) (4.0%) (3.0%) (2.0%) (1.0%) -1.0%

Sep 30 Oct 31 Nov 30 Dec 31 Jan 31 Feb 29 Mar 31 Apr 30 May 31 Jun 30 Jul 31 Aug 31 Sep 30

Note: As at September 30, 2020

(48)

48

The Equity Portfolio underperformed by 504 basis points over the last twelve months

YTD Equity Portfolio Return

Relative Return Tracking Error Information Ratio

Since Dec 31, 2019 (5.04%) 5.48% (0.92) (8.01%) (2.97%) (40.0%) (30.0%) (20.0%) (10.0%) -10.0% Portfolio Benchmark (6.0%) (5.0%) (4.0%) (3.0%) (2.0%) (1.0%)

-Dec 31 Jan 31 Feb 29 Mar 31 Apr 30 May 31 Jun 30 Jul 31 Aug 31 Sep 30

1. Equity benchmark is the S&P/TSX Total Return Index

Portfolio vs. Benchmark Total Return

(1)

(49)

49

BEAM’s Equity Portfolio outperformed by 19 bps in Q3 2020

Equity Portfolio Summary

Source: Bloomberg LP Note: As at September 30, 2020

1. Total Relative Contribution for the Utilities portfolio had a positive contribution of 1 bps in Q3 2020 due to a currency effect

Average Weight (%) Contribution to Return (%) Total Return (%) Contribution to Relative Returns (bps)

Sector Port Bench Relative Port Bench Relative Port Bench Relative Sector Allocation Stock Selection Relative Contri-bution Communication Services 4.1 5.3 (1.2) 0.2 0.1 0.1 4.1 2.0 2.0 4 8 12 Consumer Discretionary 2.8 3.4 (0.6) (0.2) 0.3 (0.5) (7.7) 8.4 (16.1) (2) (48) (50) Consumer Staples 5.6 4.3 1.4 0.6 0.4 0.2 10.2 9.1 1.1 3 6 9 Energy 10.6 12.0 (1.5) (1.1) (1.0) (0.2) (10.8) (8.1) (2.7) 21 (31) (10) Financials 27.0 28.5 (1.5) 0.9 1.1 (0.2) 3.4 4.0 (0.6) - (16) (16) Health Care - 1.0 (1.0) - (0.2) 0.2 (14.3) (14.3) (0.0) 20 - 20 Industrials 13.0 11.8 1.2 1.4 1.5 (0.1) 11.5 13.6 (2.1) 10 (26) (16) Information Technology 10.5 10.1 0.4 0.1 0.4 (0.4) 0.3 3.6 (3.4) 8 (46) (38) Materials 17.5 15.4 2.1 1.7 1.3 0.4 10.5 9.1 1.4 10 17 27 Real Estate 2.8 3.1 (0.3) 0.5 0.1 0.4 20.7 4.1 16.6 1 44 45 Utilities (1) 6.1 5.0 1.1 0.9 0.6 0.4 15.7 11.1 4.5 8 17 34 Not Classified - 0.2 (0.2) - - - 0.1 0.1 - 1 - 1 Equity Portfolio 100.0 100.0 - 4.9 4.7 0.2 4.9 4.7 0.2 84 (65) 19

(50)

50

Energy, Industrials, Materials and Utilities holdings were the largest contributors to our carbon intensity

Highest Carbon Contributors to Our Fund

Carbon Intensity (Scope 1+2 Emissions per US$MMs Sales Weighted to Portfolio Weights)

55.7 51.3 _50.4 _50.0 45.6 25.7 15.6 15.4 13.9 3.5

AQN TRP CNQ NPI CNR NTF SU KL FM ITP

Source: MSCI ESG Manager Note: As of September 30, 2020

(51)

51

Exclusionary Screening

Principle 2:

no human rights abuses

Principle 4:

elimination of forced and compulsory labor

Principle 5:

abolition of child labor

Principle 10:

no corruption or bribery

▪

Companies producing

cluster munitions

or

nuclear weapons

are

excluded

▪

Companies earning greater than 5% of revenues from the manufacture,

distribution, or sale of

tobacco

are excluded

(52)

Equity Holdings

V. Appendix

52

Company Name # of Shares Price Market Value % of Total

ALGONQUIN POWER & UTIL CORP 6,527 $19.34 $126,232.18 1.78%

ARITZIA INC 7,600 $17.43 $132,468.00 1.87%

BANK OF NOVA SCOTIA 2,768 $55.32 $153,125.76 2.16%

BROOKFIELD ASSET MGMT INC 5,800 $44.06 $255,548.00 3.61%

CGI INC 1,590 $90.38 $143,704.20 2.03%

CANADIAN NATIONAL RAILWAY CO 2,356 $141.81 $334,104.36 4.72%

CANADIAN NATURAL RESOURCES LTD 6,406 $21.34 $136,704.04 1.93%

CONSTELLATION SOFTWARE INC 100 $1,479.63 $147,963.00 2.09%

FINNING INTERNATIONAL INC 5,462 $20.36 $111,206.32 1.57%

FIRST QUANTUM MINERALS LTD 8,839 $11.87 $104,918.93 1.48%

FRANCO-NEVADA CORP 922 $186.07 $171,556.54 2.42%

INTACT FINANCIAL CORP 972 $142.58 $138,587.76 1.96%

INTERTAPE POLYMER GROUP INC 3,600 $14.83 $53,388.00 0.75%

ISHARES CORE S&P/TSX CAPPED 5,250 $25.58 $134,295.00 1.90%

KIRKLAND LAKE GOLD LTD 2,000 $65.00 $130,000.00 1.84%

(53)

Equity Holdings Cont.

V. Appendix

53

Company Name # of Shares Price Market Value % of Total

NATIONAL BANK OF CANADA 2,150 $66.14 $142,201.00 2.01%

NORTHLAND POWER INC 4,000 $40.28 $161,120.00 2.28%

NUTRIEN LTD 2,597 $52.21 $135,589.37 1.91%

OPEN TEXT CORPORATION 2,650 $56.28 $149,142.00 2.11%

PREMIUM BRANDS HOLDINGS CORP 1,326 $100.53 $133,302.78 1.88%

ROYAL BANK OF CANADA 1,984 $93.49 $185,484.16 2.62%

SAPUTO INC 2,883 $33.40 $96,292.20 1.36%

STANTEC INC 3,250 $40.43 $131,397.50 1.86%

SUNCOR ENERGY INC 5,137 $16.26 $83,527.62 1.18%

TMX GROUP LTD 600 $136.94 $82,164.00 1.16%

TC ENERGY CORP 2,756 $55.90 $154,060.40 2.18%

TELUS CORP 7,348 $23.43 $172,163.64 2.43%

TORONTO DOMINION BANK 3,562 $61.65 $219,597.30 3.10%

TRICON CAPITAL GROUP INC 11,893 $11.04 $131,298.72 1.85%

WHEATON PRECIOUS METALS CORP 2,700 $65.33 $176,391.00 2.49%

(54)

Equity Transactions

V. Appendix

54

Date Name Buy/Sell # of Shares Fill Price Amount

07/07/2020 MANULIFE FINANCIAL CORP SELL -7,683 $18.54 $142,321.65

07/07/2020 TMX GROUP LIMITED BUY 600 $134.64 -$80,934.00

09/15/2020 ARITZIA INC BUY 1,300 $17.87 -$23,389.00

09/15/2020 BROOKFIELD ASSET MANAGEMENT BUY 1,000 $44.04 -$44,190.00

09/15/2020 CANADIAN NATURAL RESOURCES BUY 500 $24.22 -$12,260.00

09/15/2020 FIRST QUANTUM MINERALS LTD BUY 3,300 $12.99 -$43,017.00

09/15/2020 CGI INC SELL -160 $91.74 $14,528.40

09/15/2020 OPEN TEXT CORP BUY 300 $56.45 -$17,086.00

09/15/2020 SAPUTO INC SELL -800 $32.68 $26,000.00

09/15/2020 TORONTO-DOMINION BANK SELL -100 $63.44 $6,194.00

09/15/2020 TC ENERGY CORP SELL -550 $60.91 $33,355.50

09/15/2020 ISHARES CORE S&P/TSX CAPPED SELL -750 $26.36 $19,620.00

(55)

Fixed Income Holdings

V. Appendix

55

Issuer Maturity # of Shares Coupon

Rate Market Value % of Total PROV OF ALBERTA 2040-12-01 42,000 4.50% $58,017.62 0.82% PROV OF ALBERTA 2024-06-01 60,000 3.10% $65,364.28 0.92% PROV OF ALBERTA 2048-12-01 65,000 3.05% $75,405.32 1.06% ALTALINK L P 2026-05-29 65,000 2.75% $70,887.73 1.00%

BRITISH COLUMBIA FERRY SVCS 2034-10-13 49,000 6.25% $71,263.52 1.01%

PROV OF BRITISH COLUMBIA 2020-12-18 44,000 3.70% $44,327.50 0.63%

GOVERNMENT OF CANADA 2024-06-01 56,000 2.50% $60,579.10 0.86% GOVERNMENT OF CANADA 2026-06-01 65,000 1.50% $69,241.08 0.98% GOVERNMENT OF CANADA 2050-12-01 39,000 0.50% $50,284.06 0.71% GOVERNMENT OF CANADA 2024-03-01 143,000 2.25% $152,653.81 2.16% GOVERNMENT OF CANADA 2027-06-01 41,000 8.00% $61,466.90 0.87% GOVERNMENT OF CANADA 2031-12-01 49,000 4.00% $112,872.95 1.59%

CANADA HOUSING TRUST 2029-11-15 64,000 2.10% $70,640.58 1.00%

CONSUMERS GAS CO LTD 2023-07-05 46,000 6.05% $52,261.05 0.74%

FARM CREDIT CORPORATION 2020-10-05 45,000 4.30% $45,012.13 0.64%

407 INTERNATIONAL INC 2030-03-06 110,000 3.14% $124,267.07 1.75%

(56)

Fixed Income Holdings Cont.

V. Appendix

56

Issuer Maturity # of Shares Coupon

Rate

Market

Value % of Total

HYDRO ONE INC 2022-01-13 72,000 3.20% $74,433.42 1.05%

HYDRO ONE INC 2029-04-05 42,000 3.02% $47,175.53 0.67%

IGM FINANCIAL INC 2027-01-26 76,000 3.44% $83,465.06 1.18%

LAURENTIAN BANK OF CANADA 2022-09-12 50,000 3.00% $51,479.13 0.73%

PROV OF MANITOBA 2038-03-05 81,000 4.60% $112,359.37 1.59%

PROV OF MANITOBA 2042-03-05 97,000 4.40% $135,386.31 1.91%

MUNICIPAL FINANCE AUTH OF BC 2027-12-01 74,000 4.95% $93,810.16 1.32%

NATIONAL BANK OF CANADA 2022-06-30 80,000 1.96% $81,934.11 1.16%

OMERS REALTY CORP 2030-06-05 71,000 3.63% $83,738.01 1.18%

PROV OF ONTARIO 2041-06-02 20,000 4.65% $29,222.46 0.41%

PROV OF ONTARIO 2046-12-02 46,000 2.90% $54,105.08 0.76%

ROYAL BANK OF CANADA 2023-12-05 110,000 2.33% $115,374.44 1.63%

SNC-LAVALIN GROUP INC 2020-11-24 60,000 2.69% $60,076.52 0.85%

PROV OF SASKATCHEWAN 2033-09-05 58,000 5.80% $85,876.50 1.21%

PROV OF SASKATCHEWAN 2040-06-01 80,000 4.75% $114,954.68 1.62%

TORONTO DOMINION BANK 2024-07-24 91,000 3.23% $99,154.28 1.40%

(57)

Fixed Income Transactions

V. Appendix

57

Date Name Buy/Sell Shares/Par Fill Price Amount

07/09/2020 HYDONE 3.02 4/5/29 MTN BUY 42,000 $112.401 -$47,552.45

07/09/2020 CANRRB 4 12/1/31 CPI BUY 10,000 $150.2 -$22,398.06

07/09/2020 ALTALK 2.747 5/29/26 MTN BUY 65,000 $108.745 -$70,904.39 07/09/2020 BCFERR 6.25 10/13/34 BUY 49,000 $147.61 -$73,092.43 07/09/2020 CANHOU 2.1 9/15/29 BUY 64,000 $110.59 -$71,219.46 07/09/2020 CAN 2.25 3/1/24 BUY 93,000 $107.08 -$100,356.33 07/09/2020 OMERS 3.628 6/5/30 11 SELL 19,000 $117.028 $22,307.08 07/09/2020 ATDBCN 4.214 8/21/20 SELL 42,000 $100.37 $42,208.85 07/09/2020 CAN 5 6/1/37 SELL 50,000 $164.7 $82,637.67 07/09/2020 YORKMU 2.6 12/15/25 SELL 107,000 $108.65 $116,468.91 Note: As of September 30, 2020