Asset Mix

The actual asset class weights for Pension and Endowment as of December 31, 2017 are shown in the Table below. The weights are shown on an exposures basis, which means that the weights reflect the notional dollar value (cash equivalent value) of any derivatives used to maintain an asset class at the desired weight. The weights in the Table also incorporate the impact of mapping asset classes and strategies not in the Reference Portfolio to the most appropriate asset class within the Reference Portfolio. For example, UTAM does not view private equity or hedge funds as separate asset classes and therefore the Table below shows these investments mapped into the most appropriate Reference Portfolio asset class.

Reference Portfolio Asset ClassBenchmarkReference
Portfolio
Weight
Actual
Pension
Weight*
Actual
Endowment
Weight*
Equity60.0%59.8%59.8%
Canadian EquityS&P TSX Composite Total Return Index10.0%10.0%10.0%
US EquityS&P 500 Total Return Index
(50% hedged to Canadian dollars)
20.0%20.0%20.0%
International Developed Markets EquityMSCI EAFE Net Total Return Index
(50% hedged to Canadian dollars)
15.0%14.9%14.9%
Emerging Markets Equity MSCI Emerging Markets Net
Total Return Index
10.0%9.9%9.9%
Global EquityMSCI ACWI Net Total Return Index5.0%5.0%5.0%
Fixed Income40.0%40.2%40.2%
Canadian Corporate BondsFTSE TMX Canada All Corporate Bond
Total Return Index
20.0%20.1%20.1%
Canadian Government BondsFTSE TMX Canada All Government Bond
Total Return Index
20.0%20.1%20.1%

* Pension and Endowment weights incorporate the impact of mapping asset classes and strategies not in the Reference Portfolio to the most appropriate asset class within the Reference Portfolio. For example, the Canadian Government Bonds asset class includes 7.4% in Absolute Return hedge fund strategies for Pension and 7.7% for Endowment.

How much flexibility does UTAM have to deviate from the Reference Portfolio?

  • All constraints in the Pension Statement of Investment Policies and Procedures (SIPP) and the University Funds Investment Policy, which applies to the Endowment, must be followed.
  • Actual asset class exposures must be within the allowable allocation "bands" (i.e. within 5% for each equity asset class, within 10% for all equity asset classes combined, and within 10% for each fixed income asset class).
  • Various liquidity constraints must be met.
  • UTAM may invest in asset classes and investment strategies not in the Reference Portfolio (e.g. private equity, hedge funds) but they must be approved by the Investment Committee and permitted by the SIPP (for Pension).
  • The amount of Active Risk used in the Pension and Endowment portfolios must fall within the allowable Active Risk budget approved by the Investment Committee.