Global SERIES Page Global Income 2 Global Balanced 3 Global Growth 4 CORE SERIES Core Income 5 Core balanced 6 Core Growth 7 FOCUS SERIES 8 Special Opportunities Focus APPENDIX 9 A diversified mix of Canadian and global securities for investors with an average risk profile who are seeking to grow their capital while receiving income over the long-term A diversified mix of Canadian and global securities for investors with a higher than average risk profile who are seeking to grow their capital while receiving modest income over the long-term Thematic investment strategies designed to complement traditionally balanced portfolios (i.e. domestically-biased or benchmark-centric) A flexible “go anywhere” tactical asset allocation strategy designed to provide long-term growth and downside protection by investing in a diversified portfolio of non-correlated and opportunistic global exposures A diversified mix of Canadian and global securities for investors with a modest risk profile who are seeking to grow their capital with an emphasis on receiving income over the long-term Globally macro investment strategies designed to complement traditionally balanced portfolios (i.e. domestically-biased or benchmark-centric) A globally diversified mix of securities for investors with a modest risk profile who are seeking to grow their capital with an emphasis on receiving income over the long-term A globally diversified mix of securities for investors with an average risk profile who are seeking to grow their capital while receiving income over the long-term A globally diversified mix of securities for investors with a higher than average risk profile who are seeking to aggressively grow their capital while receiving modest income over the long-term Balanced portfolios designed as a complete solution for the core assets of Canadian investors PORTFOLIO RISK AND RETURN STATISTICS At September 30, 2020 For Financial Professional Use Only
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PORTFOLIO RISK AND RETURN STATISTICS...PORTFOLIO RISK AND RETURN STATISTICS At June 30, 2020 For Financial Professional Use Only From January 1, 2014 to June 30, 2020 Return Analysis
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Global SERIES Page
Global Income
2
Global Balanced
3
Global Growth
4
CORE SERIES
Core Income
5
Core balanced
6
Core Growth
7
FOCUS SERIES8
Special Opportunities Focus
APPENDIX 9
A diversified mix of Canadian and global securities for investors with an average risk profile who are
seeking to grow their capital while receiving income over the long-term
A diversified mix of Canadian and global securities for investors with a higher than average risk profile
who are seeking to grow their capital while receiving modest income over the long-term
Thematic investment strategies designed to complement traditionally balanced portfolios (i.e.
domestically-biased or benchmark-centric)
A flexible “go anywhere” tactical asset allocation strategy designed to provide long-term growth and
downside protection by investing in a diversified portfolio of non-correlated and opportunistic global
exposures
A diversified mix of Canadian and global securities for investors with a modest risk profile who are
seeking to grow their capital with an emphasis on receiving income over the long-term
Globally macro investment strategies designed to complement traditionally balanced
portfolios (i.e. domestically-biased or benchmark-centric)
A globally diversified mix of securities for investors with a modest risk profile who are seeking to grow
their capital with an emphasis on receiving income over the long-term
A globally diversified mix of securities for investors with an average risk profile who are seeking to grow
their capital while receiving income over the long-term
A globally diversified mix of securities for investors with a higher than average risk profile who are
seeking to aggressively grow their capital while receiving modest income over the long-term
Balanced portfolios designed as a complete solution for the core assets of Canadian investors
PORTFOLIO RISK AND RETURN STATISTICSAt September 30, 2020
¹ Benchmark performances do not include the impact of any fees. The composite benchmark for this portfolio is comprised of the following indices and weights: CAD 90-day Treasury Bill Index (5%), MSCI ACWI Index in $Cdn (25%), and Bloomberg Barclays Global Aggregate Bond Index in $Cdn (70%).² Forstrong performance statistics are calculated from documented actual investment strategies as set by Forstrong’s Investment Committee and applied to its portfolio mandates, and are intended to provide an approximation of composite results for client separately-managed accounts. Actual performance of individual separate accounts may vary with average gross “composite” performance statistics presented here due to client-specific portfolio differences with respect to size, inflow/outflow history and inception dates, as well as intra-day market volatilities versus daily closing prices. Performance figures are presented in Canadian dollar terms and net of total ETF expense ratios and custody fees, but before transaction costs, withholding taxes, and other investment management and advisor fees. Past investment results provide no indication of future performance. ³ Annualized figure presented.4 Risk and return metric definitions are available in the Appendix.
¹ Benchmark performances do not include the impact of any fees. The composite benchmark for this portfolio is comprised of the following indices and weights: CAD 90-day Treasury Bill Index (5%), MSCI ACWI Index in $Cdn (50%), and Bloomberg Barclays Global Aggregate Bond Index in $Cdn (45%).² Forstrong performance statistics are calculated from documented actual investment strategies as set by Forstrong’s Investment Committee and applied to its portfolio mandates, and are intended to provide an approximation of composite results for client separately-managed accounts. Actual performance of individual separate accounts may vary with average gross “composite” performance statistics presented here due to client-specific portfolio differences with respect to size, inflow/outflow history and inception dates, as well as intra-day market volatilities versus daily closing prices. Performance figures are presented in Canadian dollar terms and net of total ETF expense ratios and custody fees, but before transaction costs, withholding taxes, and other investment management and advisor fees. Past investment results provide no indication of future performance. ³ Annualized figure presented.4 Risk and return metric definitions are available in the Appendix.
¹ Benchmark performances do not include the impact of any fees. The composite benchmark for this portfolio is comprised of the following indices and weights: CAD 90-day Treasury Bill Index (5%), MSCI ACWI Index in $Cdn (80%), and Bloomberg Barclays Global Aggregate Bond Index in $Cdn (15%).² Forstrong performance statistics are calculated from documented actual investment strategies as set by Forstrong’s Investment Committee and applied to its portfolio mandates, and are intended to provide an approximation of composite results for client separately-managed accounts. Actual performance of individual separate accounts may vary with average gross “composite” performance statistics presented here due to client-specific portfolio differences with respect to size, inflow/outflow history and inception dates, as well as intra-day market volatilities versus daily closing prices. Performance figures are presented in Canadian dollar terms and net of total ETF expense ratios and custody fees, but before transaction costs, withholding taxes, and other investment management and advisor fees. Past investment results provide no indication of future performance. ³ Annualized figure presented.4 Risk and return metric definitions are available in the Appendix.
¹ Benchmark performance does not include the impact of any fees. The composite benchmark for this portfolio is comprised of the following indices and weights: CAD 90-day Treasury Bill Index (5%), MSCI ACWI Index in $Cdn (12.5%), S&P/TSX Composite Index (12.5%), Bloomberg Barclays Global Aggregate Bond Index in $Cdn (35%), and FTSE Canada Universe Bond Index (35%).² Forstrong performance statistics are calculated from documented actual investment strategies as set by Forstrong’s Investment Committee and applied to its portfolio mandates, and are intended to provide an approximation of composite results for client separately-managed accounts. Actual performance of individual separate accounts may vary with average gross “composite” performance statistics presented here due to client-specific portfolio differences with respect to size, inflow/outflow history and inception dates, as well as intra-day market volatilities versus daily closing prices. Performance figures are presented in Canadian dollar terms and net of total ETF expense ratios and custody fees, but before transaction costs, withholding taxes, and other investment management and advisor fees. Past investment results provide no indication of future performance. ³ Annualized figure presented.
¹ Benchmark performances do not include the impact of any fees. The composite benchmark for this portfolio is comprised of the following indices and weights: CAD 90-day Treasury Bill Index (5%), MSCI ACWI Index in $Cdn (25%), S&P/TSX Composite Index (25%), Bloomberg Barclays Global Aggregate Bond Index in $Cdn (22.5%), and FTSE Canada Universe Bond Index (22.5%). 2 Forstrong performance statistics are calculated from documented actual investment strategies as set by Forstrong’s Investment Committee and applied to its portfolio mandates, and are intended to provide an approximation of composite results for client separately-managed accounts. Actual performance of individual separate accounts may vary with average gross “composite” performance statistics presented here due to client-specific portfolio differences with respect to size, inflow/outflow history and inception dates, as well as intra-day market volatilities versus daily closing prices. Performance figures are presented in Canadian dollar terms and net of total ETF expense ratios and custody fees, but before transaction costs, withholding taxes, and other investment management and advisor fees. Past investment results provide no indication of future performance. 3 Annualized figure presented.4 Risk and return metric definitions are available in the Appendix.
¹ Benchmark performances do not include the impact of any fees. The composite benchmark for this portfolio is comprised of the following indices and weights: CAD 90-day Treasury Bill Index (5%), MSCI ACWI Index in $Cdn (40%), S&P/TSX Composite Index (40%), Bloomberg Barclays Global Aggregate Bond Index in $Cdn (7.5%), and FTSE TMX Canada Universe Bond Index (7.5%).2 Forstrong performance statistics are calculated from documented actual investment strategies as set by Forstrong’s Investment Committee and applied to its portfolio mandates, and are intended to provide an approximation of composite results for client separately-managed accounts. Actual performance of individual separate accounts may vary with average gross “composite” performance statistics presented here due to client-specific portfolio differences with respect to size, inflow/outflow history and inception dates, as well as intra-day market volatilities versus daily closing prices. Performance figures are presented in Canadian dollar terms and net of total ETF expense ratios and custody fees, but before transaction costs, withholding taxes, and other investment management and advisor fees. Past investment results provide no indication of future performance. 3 Annualized figure presented.
¹ Benchmark performances do not include the impact of any fees. The composite benchmark for this portfolio is comprised of the following indices and weights: CAD 90-day Treasury Bill Index (5%), MSCI ACWI Index in $Cdn (47.5%), and Bloomberg Barclays Global Aggregate Bond Index in $Cdn (47.5%).² Forstrong performance statistics are calculated from documented actual investment strategies as set by Forstrong’s Investment Committee and applied to its portfolio mandates, and are intended to provide an approximation of composite results for client separately-managed accounts. Actual performance of individual separate accounts may vary with average gross “composite” performance statistics presented here due to client-specific portfolio differences with respect to size, inflow/outflow history and inception dates, as well as intra-day market volatilities versus daily closing prices. Performance figures are presented in Canadian dollar terms and net of total ETF expense ratios and custody fees, but before transaction costs, withholding taxes, and other investment management and advisor fees. Past investment results provide no indication of future performance. ³ Annualized figure presented.4 Risk and return metric definitions are available in the Appendix.
Downside Deviation3
Sharpe Ratio3 Sortino Ratio3
Drawdown (Months)
0%
25%
50%
75%
2014 2015 2016 2017 2018 2019 YTD
Cumulative Performance
SOF² Benchmark¹
-18%-16%-14%-12%-10%
-8%-6%-4%-2%0%
2014 2015 2016 2017 2018 2019 2020
Benchmark¹ SOF²
0%
2%
4%
6%
8%
10%
12%
4% 5% 6% 7% 8% 9% 10% 11% 12%
Ret
urn
3
Standard Deviation3
SOF² Benchmark¹
0%
2%
4%
6%
8%
10%
12%
0% 1% 2% 3% 4% 5% 6% 7% 8% 9%
Ret
urn
3
Downside Deviation3
SOF² Benchmark¹
0%
2%
4%
6%
8%
10%
12%
0.0 0.2 0.4 0.6 0.8 1.0 1.2
Ret
urn
3
Sharpe Ratio3
SOF² Benchmark¹
0%
2%
4%
6%
8%
10%
12%
0.0 0.2 0.4 0.6 0.8 1.0 1.2 1.4
Ret
urn
3
Sortino Ratio3
SOF² Benchmark¹
SPECIAL OPPORTUNITIES FOCUS
8
Definitions of Metrics in Report
Alpha - A measure of risk-adjusted return which evaluates the active manager's performance in excess of the benchmark,
scaled for Beta (defined below).
Beta - A measure of risk which evaluates the sensitivity of portfolio returns to movements in the benchmark.
Correlation - A measure of the degree to which portfolio returns and benchmark returns move in relation to one another.
Downside Deviation - A measure of risk which evaluates the average deviations of a return series exclusively for months
in which returns fall below the Minimum Acceptable Return (defined below).
Drawdown (Months) - A chronological display of all cumulative peak-to-trough portfolio and benchmark losses within
the presented period.
Max Annual Return/Drawdown - A measure of the highest (lowest) cumulative returns over a period of 12 consecutive
months.
Minimum Acceptable Return (MAR) - The lowest return a figurative "average investor" would tolerate in his/her portfolio.
We define as the Canadian Consumer Price Index (CPI) + 2% per annum.
Sharpe Ratio - A measure of risk-adjusted return which evaluates the active manager's performance in excess of the RiskFree Rate (defined below) per unit of volatility as measured by Standard Deviation (defined below).
Sortino Ratio - A measure of risk-adjusted return which evaluates the active manager's performance in excess of the
Minimum Acceptable Return (defined above) per unit of volatility as measured by Downside Deviation (defined above).
Standard Deviation - A measure of risk which evaluates the average deviations of a return series from its mean.
Risk Free Rate - The theoretical rate of return of an investment with no risk of financial loss. We define as the 90 day
Canadian treasury bill rate.
Upside/Downside Capture Ratio - A measure of how well (poorly) an active manager performed relative to the benchmark,
when the benchmark is up (down).
Winning/Losing Months - The percentage of months with returns above (below) zero within the presented period.