DIM Private Funds Annual Financial Statements

Transcription

1 DIM Private Funds Annual Financial Statements as at December 31, 2015

2 Discretionary portfolio management is offered by Desjardins Wealth Management, Private Wealth Management and is provided by Desjardins Investment Management Inc., a wholly-owned subsidiary of the Fédération des caisses Desjardins du Québec. Desjardins Investment Management Inc. is registered as a portfolio manager and investment fund manager with the Autorité des marchés financiers (AMF).

3 TABLE OF CONTENTS Management s Responsibility... 2 Independent Auditor s Report... 3 Financial Statements and Schedules of Investment Portfolio Fixed Income Funds DIM Private Bond Fund... 4 DIM Private Government Bond Fund... 7 DIM Private Corporate Bond Fund Canadian Equity Funds DIM Private Canadian Large Cap Equity Fund DIM Private Canadian Equity Growth Fund DIM Private Canadian Small Cap Equity Fund Foreign Equity Funds DIM Private U.S. Equity Fund (for taxable accounts) DIM Private U.S. Equity Fund (for non taxable accounts) DIM Private International Equity Fund Completion Strategy Fund DIM Private Completion Strategy Fund Balanced Funds DIM Private Balanced Fund DIM Private Monthly Distribution Income Fund DIM Private Monthly Distribution Growth Fund Notes to the Financial Statements... 62

4 MANAGEMENT S RESPONSIBILITY FOR FINANCIAL REPORTING IN THE ANNUAL AUDITED FINANCIAL STATEMENTS The accompanying financial statements of DIM Private Funds have been prepared by Desjardins Investment Management Inc. (the Manager ), as Manager of the Funds, and have been approved by the Manager s Board of Directors. The Manager is responsible for the information and representations contained in these financial statements. The Manager has taken the necessary measures to ensure that relevant and reliable financial information is reported. The financial statements have been prepared in accordance with International Financial Reporting Standards and necessarily include certain amounts that are based on estimates and judgments. The significant accounting policies which the Manager believes are appropriate are described in Note 2 to the financial statements. The Board of Directors is responsible for reviewing and approving the financial statements, the audit process, as well as overseeing the Manager s performance of its financial reporting responsibilities. The Board of Directors meets with the external auditors of DIM Private Funds to review the financial statements, the audit process and financial reporting. PricewaterhouseCoopers LLP are the external auditors of the DIM Private Funds. They have audited the financial statements in accordance with Canadian generally accepted auditing standards for the purpose of expressing to the unitholders their opinion on these financial statements. Their Report is found on the following page. Desjardins Investment Management Inc., Manager of the DIM Private Funds Vincent P. Hogue President and CEO Desjardins Investment Management Sylvain Thériault Vice President and General Director Desjardins Investment Management March 9,

5 INDEPENDENT AUDITOR S REPORT Independent Auditor s Report To the Unitholders of: DIM Private Bond Fund DIM Private Government Bond Fund DIM Private Corporate Bond Fund DIM Private Canadian Large Cap Equity Fund DIM Private Canadian Equity Growth Fund DIM Private Canadian Small Cap Equity Fund DIM Private U.S Equity Fund (for taxable accounts) DIM Private U.S Equity Fund (for non-taxable accounts) DIM Private International Equity Fund DIM Private Completion Strategy Fund DIM Private Balanced Fund DIM Private Monthly Distribution Income Fund DIM Private Monthly Distribution Growth Fund (collectively, the Funds ) We have audited the accompanying financial statements of each of the Funds, which comprise the statement of financial position as at December 31, 2015 and December 31,, the statements of comprehensive income, changes in financial position and cash flows for the years then ended, and the related notes, which comprise a summary of significant accounting policies and other explanatory information. Manager s responsibility for the financial statements The manager is responsible for the preparation and fair presentation of the financial statements of each of the Funds in accordance with International Financial Reporting Standards, and for such internal control as management determines is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error. Auditor s responsibility Our responsibility is to express an opinion on the financial statements of each of the Funds based on our audits. We conducted our audits in accordance with Canadian generally accepted auditing standards. Those standards require that we comply with ethical requirements and plan and perform the audit to obtain reasonable assurance about whether the financial statements are free from material misstatement. An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the auditor s judgment, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the auditor considers internal control relevant to the entity s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity s internal control. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of accounting estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that the audit evidence we have obtained in each of our audits is sufficient and appropriate to provide a basis for our audit opinion. Opinion In our opinion, the financial statements of each of the Funds present fairly, in all material respects, the financial position of each of the Funds as at December 31, 2015 and December 31, and the financial performance and cash flows of each of the Funds for the years then ended in accordance with International Financial Reporting Standards. 1 March 9, 2016 Montreal, Quebec 1 CPA auditor, CA, public accountancy permit No. A

6 Fixed FIXED Income INCOME FUNDS Funds DIM Private Bond Fund STATEMENT OF FINANCIAL POSITION As at December ASSETS Current Assets Cash 527, ,786 Investments at fair value through profit or loss (FVTPL) 201,602, ,056,487 Interest, dividends and other receivables 2, ,133, ,350,273 LIABILITIES Current Liabilities Accrued expenses 5,644 Net Assets Attributable to Holders of Redeemable Units 202,133, ,344,629 per unit (Note 4) Approved on behalf of the Board of Directors of Desjardins Investment Management Inc., Manager of the DIM Private Funds Vincent P. Hogue, President of the Board of Directors and Sylvain Thériault, Director STATEMENT OF COMPREHENSIVE INCOME Income Interest for distribution purposes 4,785,670 4,627,715 Changes in fair value: Net realized gain (loss) on investments 3,197, ,159 Net unrealized gain (loss) on investments (2,395,183) 4,099,313 5,587,709 9,145,187 Expenses Audit fees 8,044 10,500 Unitholders reporting costs Filing fees 13,414 3,313 Administration fees 17,109 25,820 38,594 39,654 Increase (Decrease) in Net Assets Attributable to Holders of Redeemable Units 5,549,115 9,105,533 per unit Average Redeemable Units 18,126,035 16,219,488 STATEMENT OF CHANGES IN FINANCIAL POSITION Net Assets Attributable to Holders of Redeemable Units, Beginning of Year 166,344, ,274,479 Increase (Decrease) in Net Assets Attributable to Holders of Redeemable Units 5,549,115 9,105,533 Redeemable Unit Transactions Proceeds from sale of redeemable units 50,709,135 10,246,790 Reinvested distributions 7,759,399 4,585,997 Amounts paid for redeemable units redeemed (20,469,702) (28,282,173) 37,998,832 (13,449,386) Distributions to Holders of Redeemable Units Net investment income (4,728,954) (4,585,997) Net realized gain on sale of investments and derivatives (3,030,485) (7,759,439) (4,585,997) Net Assets Attributable to Holders of Redeemable Units, End of Year 202,133, ,344,629 4

7 Fixed Income Funds DIM Private Bond Fund STATEMENT OF CASH FLOWS Cash Flows from/used in Operating Activities Increase (decrease) in net assets attributable to holders of redeemable units 5,549,115 9,105,533 Adjustments for: Net realized gain (loss) (3,197,222) (418,159) Net unrealized gain (loss) 2,395,183 (4,099,313) Proceeds from sale/maturity of investments 22,297,478 18,555,472 Investments purchased (57,041,628) (5,118,765) Interest, dividends and other receivables (2,641) Accrued expenses (5,644) (2,054) Net Cash Flows from/used in Operating Activities (30,005,359) 18,022,714 SCHEDULE OF INVESTMENT PORTFOLIO AS AT December 31, 2015 INVESTMENT FUNDS (99.7%) Number Fair of Units Cost Value DIM Private Corporate Bond Fund 7,899,889 79,306,863 80,555,168 DIM Private Government Bond Fund 11,724, ,671, ,047,508 TOTAL INVESTMENTS 198,978, ,602,676 OTHER NET ASSETS (0.3%) 530,461 NET ASSETS (100%) 202,133,137 Cash Flows from/used in Financing Activities Proceeds from sale of redeemable units 50,709,135 10,246,790 Amounts paid for redeemable units redeemed (20,469,702) (28,282,173) Distributions paid to holders of redeemable units, net of reinvested distributions (40) Net Cash Flows from/used in Financing Activities 30,239,393 (18,035,383) Increase (decrease) in cash/bank overdraft 234,034 (12,669) Cash (bank overdraft), beginning of year 293, ,455 Cash (Bank Overdraft), End of Year 527, ,786 Supplemental Information on Cash Flows from/used in Operating Activities Interest received 6,954 5,471 Interest paid 751 3,833 5

8 Fixed Income Funds DIM Private Bond Fund NOTES TO THE FINANCIAL STATEMENTS SPECIFIC INFORMATION AS AT December 31, 2015 Strategy in Using Financial Instruments Investment Objective Provide both a regular income and long-term capital appreciation while emphasizing risk management. In order to meet the investment objective, the Fund invests in Canadian fixed income funds. Financial Instruments Fair Value Measurement (Note 8) Hierarchy of Financial Instruments at Fair Value Measurement The following tables categorize the Fund s financial assets fair value measurement according to a three-level hierarchy. The methodology used for valuing securities is not necessarily an indication of the risk associated with investing in those securities. The fair value measurement is described in the Significant Accounting Policies section of Note 2. Investment Fair Value Measurement at the End of the Year, within the Following Levels: December 31, 2015 Level 1 Level 2 Level 3 Total Financial Assets at FVTPL Investment Funds 201,602, ,602,676 Total 201,602, ,602,676 December 31, Level 1 Level 2 Level 3 Total Financial Assets at FVTPL Investment Funds 166,056, ,056,487 Total 166,056, ,056,487 Transfers between Levels 1 and 2 During the years ended December 31, 2015 and, there were no transfers of securities between Levels 1 and 2. Investments in Entities (Note 2) Total values of index-based investments, mortgage-backed securities, asset-backed securities, investment funds and limited partnerships in the table Investment Fair Value Measurement within the Levels also represent the fair value of investments in structured entities. Financial Instruments Risks (Note 8) As the majority of the Fund s Net Assets Attributable to Holders of Redeemable Units are invested in underlying funds, the Fund may be indirectly exposed to currency, interest, concentration or credit risk. Thus, only direct exposure to risks arising from the Fund s financial instruments is presented. Underlying Funds Risk Management The Fund s portfolio advisor makes sure that the underlying funds portfolio advisor manages financial risks. Each month, the Fund s portfolio advisor receives the underlying funds investment portfolios to analyze the management style and compares performance against the Fund s benchmarks. Every quarter, the Fund s portfolio advisor receives detailed quarterly documents featuring an analysis of performance, sector allocations and the underlying funds top positions. Currency Risk As at December 31, 2015 and, the majority of the Fund s financial assets and liabilities are denominated in Canadian dollars. As a result, the Fund is not significantly exposed to currency risk. Interest Rate Risk As at December 31, 2015 and, the majority of the Fund s financial assets and liabilities are non-interest bearing. As a result, the Fund is not significantly exposed to interest rates risk. Concentration Risk As at December 31, 2015 and, the majority of the Fund s financial assets and liabilities are invested in underlying funds. Price Risk The Manager s estimate of the impact on Net Assets Attributable to Holders of Redeemable Units as a result of a reasonably possible change in benchmarks, using a historical beta coefficient (a measure of the sensitivity of a security in comparison to the market) between the Fund s return as compared to the return of the Fund s benchmarks, with all other variables held constant, is included in the following table. A 36-month regression analysis has been utilized to estimate the historical beta coefficient. The regression analysis uses data based on the monthly returns of the Fund. Change in Price Benchmarks % Impact on Net Assets Attributable to Holders of Redeemable Units December 31, 2015 December 31, FTSE TMX Canada Short Term Government ,246 N/A FTSE TMX Canada Mid Term Government ,246 N/A FTSE TMX Canada Short Term Corporate ,477 N/A FTSE TMX Canada Mid Term Corporate ,477 N/A Barclays Euro Aggregate Corporate 3-5 Year (CAD Hedged) ,708 N/A FTSE TMX Canada Short Term 1.00 N/A 770,197 FTSE TMX Canada Mid Term 1.00 N/A 770,197 In practice, actual trading results may differ from these sensitivity analyses and the differences could be significant. Credit Risk As at December 31, 2015 and, the Fund had no significant investments in either fixed-income securities, money market securities and derivative financial instruments. As a result, the Fund is not significantly exposed to credit risk. Liquidity Risk For further information on maturity of financial liabilities and liquidity risk management of the Fund, please refer to Note 8 Financial Instruments Disclosures. 6

9 Fixed Income Funds DIM Private Government Bond Fund STATEMENT OF FINANCIAL POSITION As at December ASSETS Current Assets Cash 3,025, ,425 Investments at fair value through profit or loss (FVTPL) 1,077,481, ,242,620 Interest, dividends and other receivables 3,157,545 1,563,813 1,083,664, ,211,858 LIABILITIES Current Liabilities Accrued expenses 79,871 67,474 Net Assets Attributable to Holders of Redeemable Units 1,083,584, ,144,384 per unit (Note 4) Approved on behalf of the Board of Directors of Desjardins Investment Management Inc., Manager of the DIM Private Funds Vincent P. Hogue, President of the Board of Directors and Sylvain Thériault, Director STATEMENT OF COMPREHENSIVE INCOME Income Interest for distribution purposes 23,533,520 21,720,432 Changes in fair value: Net realized gain (loss) on investments 18,725,538 1,302,394 Net unrealized gain (loss) on investments (9,968,973) 21,593,205 32,290,085 44,616,031 Expenses Audit fees 8,044 10,500 Custodian fees 126, ,862 Unitholders reporting costs 26,718 35,550 Filing fees 84,835 39,268 Administration fees 1,894,885 1,661,127 2,140,719 1,862,307 Expenses absorbed by the Manager (414,101) (360,218) 1,726,618 1,502,089 Increase (Decrease) in Net Assets Attributable to Holders of Redeemable Units 30,563,467 43,113,942 per unit Average Redeemable Units 95,143,941 84,653,162 STATEMENT OF CHANGES IN FINANCIAL POSITION Net Assets Attributable to Holders of Redeemable Units, Beginning of Year 894,144, ,005,018 Increase (Decrease) in Net Assets Attributable to Holders of Redeemable Units 30,563,467 43,113,942 Redeemable Unit Transactions Proceeds from sale of redeemable units 338,350, ,730,770 Reinvested distributions 41,303,482 20,192,045 Amounts paid for redeemable units redeemed (179,268,458) (128,705,162) 200,385,604 45,217,653 Distributions to Holders of Redeemable Units Net investment income (21,830,181) (20,192,229) Net realized gain on sale of investments and derivatives (19,678,775) (41,508,956) (20,192,229) Net Assets Attributable to Holders of Redeemable Units, End of Year 1,083,584, ,144,384 7

10 Fixed Income Funds DIM Private Government Bond Fund STATEMENT OF CASH FLOWS Cash Flows from/used in Operating Activities Increase (decrease) in net assets attributable to holders of redeemable units 30,563,467 43,113,942 Adjustments for: Net realized gain (loss) (18,725,538) (1,302,394) Net unrealized gain (loss) 9,968,973 (21,593,205) Proceeds from sale/maturity of investments 6,169,754,733 1,125,712,897 Investments purchased (6,346,237,164) (1,171,945,847) Interest, dividends and other receivables (1,593,732) 1,297,403 Accrued expenses 12,397 5,055 Net Cash Flows from/used in Operating Activities (156,256,864) (24,712,149) Cash Flows from/used in Financing Activities Proceeds from sale of redeemable units 338,350, ,730,770 Amounts paid for redeemable units redeemed (179,268,458) (128,705,162) Distributions paid to holders of redeemable units, net of reinvested distributions (205,474) (184) Net Cash Flows from/used in Financing Activities 158,876,648 25,025,424 Increase (decrease) in cash/bank overdraft 2,619, ,275 Cash (bank overdraft), beginning of year 405,425 92,150 Cash (Bank Overdraft), End of Year 3,025, ,425 Supplemental Information on Cash Flows from/used in Operating Activities Interest received 21,910,811 22,296,680 Interest paid 733 1,059 8

11 Fixed Income Funds DIM Private Government Bond Fund SCHEDULE OF INVESTMENT PORTFOLIO AS AT December 31, 2015 Par Fair Value Cost Value BONDS (55.8%) Government of Canada (10.8%) Canada Housing Trust 1.200%, CAD 11,000,000 11,001,390 11,017,128 Government of Canada 2.250%, CAD 99,000, ,384, ,437, ,386, ,454,150 Provincial Governments and Crown Corporations (39.8%) CDP Financial 4.600%, CAD 66,500,000 75,925,599 75,525,927 Hydro-Québec stripped, CAD 6,200,000 6,038,452 6,060,624 stripped, CAD 1,800,000 1,752,606 1,757,575 stripped, CAD 1,450,000 1,403,281 1,407,341 stripped, CAD 1,486,000 1,432,578 1,436,103 floating rate, CAD 22,600,000 22,471,260 22,453,552 OPB Finance Trust Series D, 1.880%, CAD 44,153,000 43,965,230 43,739,360 Series C, 2.900%, CAD 17,000,000 17,578,850 17,734,386 Province of British Columbia Series BCCD-32, 3.300% CAD 30,000,000 33,064,500 32,903,724 Province of Manitoba 2.450%, CAD 8,000,000 7,857,700 8,008,019 Province of Nova Scotia 2.150%, CAD 41,110,000 40,736,426 40,083,446 Province of Ontario stripped, CAD 30,000,000 28,890,200 29,011, %, CAD 65,000,000 70,250,250 71,592,592 Province of Québec stripped, CAD 2,039,000 2,000,646 2,002, %, CAD 63,500,000 69,685,670 70,075,894 Province of Saskatchewan 3.200%, CAD 6,000,000 6,446,460 6,462, ,499, ,255,451 Municipalities and Semi-Public Institutions (5.2%) City of Montreal 4.500%, CAD 50,000,000 56,339,900 56,655,105 Total Bonds 602,225, ,364,706 MORTGAGE-BACKED SECURITIES (42.2%) NHA MBS First National Financial 1.750%, CAD 66,000,000 60,693,300 60,631,890 NHA MBS of Merrill Lynch 1.850%, CAD100,000,000 93,314,707 93,007, %, CAD109,681, ,646, ,551, %, CAD171,500, ,725, ,286, %, CAD 38,300,000 36,880,614 37,150,464 Total Mortgage-Backed Securities 457,260, ,628,395 MONEY MARKET SECURITIES (1.4%) Ontario Treasury Bills CAD 15,500,000 15,488,515 15,488,515 TOTAL INVESTMENTS (99.4%) 1,074,975,264 1,077,481,616 OTHER NET ASSETS (0.6%) 6,102,883 NET ASSETS (100%) 1,083,584,499 9

12 Fixed Income Funds DIM Private Government Bond Fund NOTES TO THE FINANCIAL STATEMENTS SPECIFIC INFORMATION AS AT December 31, 2015 Strategy in Using Financial Instruments Investment Objective Provide regular income while emphasizing risk management. Financial Instruments Fair Value Measurement (Note 8) December 31, Level 1 Level 2 Level 3 Total Financial Assets at FVTPL Bonds 865,028,098 21,026, ,054,958 Money Market Securities 6,187,662 6,187,662 Total 871,215,760 21,026, ,242,620 Hierarchy of Financial Instruments at Fair Value Measurement The following tables categorize the Fund s financial assets fair value measurement according to a three-level hierarchy. The methodology used for valuing securities is not necessarily an indication of the risk associated with investing in those securities. The fair value measurement is described in the Significant Accounting Policies section of Note 2. Investment Fair Value Measurement at the End of the Year, within the Following Levels: December 31, 2015 Level 1 Level 2 Level 3 Total Financial Assets at FVTPL Bonds 547,709,601 56,655, ,364,706 Mortgage-Backed Securities 457,628, ,628,395 Money Market Securities 15,488,515 15,488,515 Total 1,020,826,511 56,655,105 1,077,481,616 Transfers between Levels 1 and 2 During the year ended December 31, 2015, securities having an approximate value of 17,734,000 were transferred from Level 2 to Level 1 because new information available led to changes in the fair value measurement method. During the year ended December 31,, there were no transfers of securities between Levels 1 and 2. Investments in Entities (Note 2) Total values of index-based investments, mortgage-backed securities, asset-backed securities, investment funds and limited partnerships in the table Investment Fair Value Measurement within the Levels also represent the fair value of investments in structured entities. Financial Instruments Risks (Note 8) Currency Risk As at December 31, 2015 and, the majority of the Fund s financial assets and liabilities are denominated in Canadian dollars. As a result, the Fund is not significantly exposed to currency risk. Interest Rate Risk The following table summarizes the Fund s exposure to interest rate risk. It includes the Fund s financial assets and liabilities at fair value, categorized by the earlier of contractual re-pricing or maturity dates. The table also illustrates the impact on the Net Assets Attributable to Holders of Redeemable Units, had prevailing interest rates changed by 0.25%, assuming a parallel shift in the yield curve, with all other variables held constant. Less than 1 Year 1 to 5 Years 5 to 10 Years Greater than 10 Years Impact on Net Assets Attributable to Holders of Total Redeemable Units December 31, ,967, ,847, ,692,174 1,080,506,825 12,817,288 December 31, 70,037, ,379, ,230, ,648,045 10,061,315 In practice, actual trading results may differ from these sensitivity analyses and the differences could be significant. Concentration Risk The following table summarizes the concentration risk, as in percentages of the Fund s Net Assets Attributable to Holders of Redeemable Units: December 31, 2015 December 31, Market Segment % Market Segment % Bonds Provincial Governments and Crown Corporations 39.8 Government of Canada 10.8 Municipalities and Semi-Public Institutions 5.2 Mortgage-Backed Securities 42.2 Money Market Securities 1.4 Other Net Assets 0.6 Bonds Government of Canada 55.8 Provincial Governments and Crown Corporations 40.9 Municipalities and Semi-Public Institutions 2.4 Money Market Securities 0.7 Other Net Assets 0.2 Total 100 Total

13 Fixed Income Funds DIM Private Government Bond Fund NOTES TO THE FINANCIAL STATEMENTS SPECIFIC INFORMATION AS AT December 31, 2015 (continued) Price Risk The Fund may trade in financial instruments and take positions in over-the-counter instruments. The Manager s estimate of the impact on Net Assets Attributable to Holders of Redeemable Units as a result of a reasonably possible change in benchmarks, using a historical beta coefficient (a measure of the sensitivity of a security in comparison to the market) between the Fund s return as compared to the return of the Fund s benchmarks, with all other variables held constant, is included in the following table. A 36-month regression analysis has been utilized to estimate the historical beta coefficient. The regression analysis uses data based on the monthly returns of the Fund. Change in Price Benchmarks % Impact on Net Assets Attributable to Holders of Redeemable Units December 31, 2015 December 31, FTSE TMX Canada Short Term Government ,994,763 3,975,485 FTSE TMX Canada Mid Term Government ,994,763 3,975,485 In practice, actual trading results may differ from these sensitivity analyses and the differences could be significant. Credit Risk The Fund s credit risk is mainly concentrated in fixed-income securities. Their fair values include consideration of the issuers creditworthiness and accordingly, represent the Fund s maximum exposure to credit risk. Portfolio s Fixed-Income Securities by Credit Rating Category Credit Rating Percentage of Fixed-Income Securities December 31, 2015 % December 31, % AAA AA A Total Liquidity Risk For further information on maturity of financial liabilities and liquidity risk management of the Fund, please refer to Note 8 Financial Instruments Disclosures. 11

14 Fixed Income Funds DIM Private Corporate Bond Fund STATEMENT OF FINANCIAL POSITION As at December ASSETS Current Assets Cash 9,299, ,458 Investments at fair value through profit or loss (FVTPL) 1,048,976, ,945,326 Interest, dividends and other receivables 6,412,728 4,115,864 1,064,688, ,956,648 LIABILITIES Current Liabilities Accrued expenses 443,213 27,746 Net Assets Attributable to Holders of Redeemable Units 1,064,244, ,928,902 per unit (Note 4) Approved on behalf of the Board of Directors of Desjardins Investment Management Inc., Manager of the DIM Private Funds Vincent P. Hogue, President of the Board of Directors and Sylvain Thériault, Director STATEMENT OF COMPREHENSIVE INCOME Income Interest for distribution purposes 28,957,762 20,688,384 Changes in fair value: Net realized gain (loss) on investments 2,293,611 2,544,329 Net unrealized gain (loss) on investments (8,101,635) 10,835,043 23,149,738 34,067,756 Expenses Audit fees 8,044 10,500 Custodian fees 113,969 76,582 Unitholders reporting costs 25,380 22,551 Filing fees 133,171 27,024 Administration fees 1,801,864 1,070,504 2,082,428 1,207,161 Increase (Decrease) in Net Assets Attributable to Holders of Redeemable Units 21,067,310 32,860,595 per unit Average Redeemable Units 92,576,320 54,592,107 STATEMENT OF CHANGES IN FINANCIAL POSITION Net Assets Attributable to Holders of Redeemable Units, Beginning of Year 570,928, ,236,681 Increase (Decrease) in Net Assets Attributable to Holders of Redeemable Units 21,067,310 32,860,595 Redeemable Unit Transactions Proceeds from sale of redeemable units 531,001, ,015,488 Reinvested distributions 26,869,275 19,464,498 Amounts paid for redeemable units redeemed (58,692,174) (90,183,772) 499,178,266 34,296,214 Distributions to Holders of Redeemable Units Net investment income (26,929,657) (19,464,588) Net Assets Attributable to Holders of Redeemable Units, End of Year 1,064,244, ,928,902 12

15 Fixed Income Funds DIM Private Corporate Bond Fund STATEMENT OF CASH FLOWS Cash Flows from/used in Operating Activities Increase (decrease) in net assets attributable to holders of redeemable units 21,067,310 32,860,595 Adjustments for: Net realized gain (loss) (2,293,611) (2,544,329) Net unrealized gain (loss) 8,101,635 (10,835,043) Proceeds from sale/maturity of investments 1,269,129, ,507,025 Investments purchased (1,757,968,386) (630,565,423) Interest, dividends and other receivables (2,296,864) (417,886) Accrued expenses 415,467 (31,434) Net Cash Flows from/used in Operating Activities (463,844,993) (14,026,495) Cash Flows from/used in Financing Activities Proceeds from sale of redeemable units 531,001, ,015,488 Amounts paid for redeemable units redeemed (58,692,174) (90,183,772) Distributions paid to holders of redeemable units, net of reinvested distributions (60,382) (90) Net Cash Flows from/used in Financing Activities 472,248,609 14,831,626 Increase (decrease) in cash/bank overdraft 8,403, ,131 Cash (bank overdraft), beginning of year 895,458 90,327 Cash (Bank Overdraft), End of Year 9,299, ,458 Supplemental Information on Cash Flows from/used in Operating Activities Interest received 24,466,561 20,262,570 Interest paid 4,

16 Fixed Income Funds DIM Private Corporate Bond Fund SCHEDULE OF INVESTMENT PORTFOLIO AS AT December 31, Par Fair Value Cost Value BONDS (85.3%) Government of Canada (0.6%) Government of Canada 1.500%, CAD 6,000,000 6,108,730 6,139,768 Corporations (84.7%) Algonquin Power & Utilities Corp %, CAD 4,500,000 4,866,555 4,820, %, CAD 2,300,000 2,316,236 2,426,595 Alimentation Couche-Tard 3.319%, CAD 3,930,000 4,143,783 4,098, %, CAD 2,000,000 2,156,020 2,114,140 Series 5, 3.600%, CAD 11,500,000 11,481,856 11,585,643 Alliance Pipeline 4.928%, CAD 1,186,000 1,305,431 1,279,969 AltaGas 3.720%, CAD 9,000,000 9,364,220 9,317, %, CAD 2,000,000 2,007,880 1,987,122 AltaLink 3.668%, CAD 16,000,000 17,055,450 17,334,846 Bank of Montreal 2.390%, CAD 24,000,000 24,536,000 24,420, %, CAD 20,250,000 21,413,075 21,069, %, CAD 18,700,000 18,696,447 18,815, %, CAD 5,000,000 4,998,050 4,950,537 Bell Canada 3.350%, CAD 15,840,000 16,385,510 16,530, %, CAD 17,200,000 17,874,240 17,714, %, CAD 6,500,000 6,649,790 6,652,698 Brookfield Asset Management 5.290%, CAD 6,687,000 6,988,408 6,970, %, CAD 8,000,000 8,500,650 8,546, %, CAD 3,500,000 3,570,530 3,825,285 Brookfield Renewable Energy 3.752%, CAD 10,600,000 10,572,266 10,522,654 BRP Finance 4.790%, CAD 6,809,000 7,514,663 7,437,795 Canadian Imperial Bank of Commerce 2.350%, CAD 29,000,000 29,571,800 29,531, %, CAD 2,155,000 2,151,013 2,152,405 Canadian Natural Resources 2.890%, CAD 19,000,000 18,821,099 19,125,978 Canadian Tire Real Estate Investment Trust Series B, 3.527%, CAD 6,000,000 6,000,000 5,947,324 Choice Properties Real Estate Investment Trust 3.498%, CAD 11,195,000 11,483,680 11,721,388 Series D, 4.293%, CAD 8,000,000 8,406,835 8,533,011 Cominar Real Estate Investment Trust Series 7, 3.620%, CAD 5,135,000 5,202,312 5,183,441 Series 9, 4.164%, CAD 4,970,000 4,970,000 4,945,735 Crombie Real Estate Investment Trust Series A, Restricted, 3.986% CAD 8,000,000 8,152,040 8,284,559 Daimler Canada Finance 1.420%, CAD 12,000,000 11,998,830 11,863,114 Enbridge Gas Distribution 3.310%, CAD 4,000,000 4,035,195 4,093,833 Enbridge Income Fund 4.100%, CAD 5,352,000 5,807,830 5,559, %, CAD 8,500,000 8,402,015 8,551,642 Par Fair Value Cost Value Corporations (suite) First Capital Realty Series M, 5.600%, CAD 8,026,000 8,933,139 9,070,533 Series Q, 3.900%, CAD 4,000,000 4,146,480 4,157,094 Series R, 4.790%, CAD 5,000,000 5,514,260 5,471,627 Ford Credit Canada 3.320%, CAD 15,160,000 15,456,133 15,498, %, CAD 5,000,000 5,201,050 5,073, %, CAD 3,500,000 3,497,000 3,457,912 FortisAlberta 3.300%, CAD 4,000,000 4,060,138 4,212,466 GE Capital Canada Funding Company 4.600%, CAD 15,900,000 17,386,896 18,006,010 General Motors Financial Company 3.250%, CAD 4,000,000 4,066,250 4,059,444 GM Financial 3.080%, CAD 4,900,000 4,897,991 4,909,654 Greater Toronto Airports Authority 3.040%, CAD 4,600,000 4,913,616 4,910,944 Great-West Lifeco 5.691%, (floating rate from ), CAD 8,500,000 8,230,970 8,944,864 Industrial Alliance Insurance and Financial Services 2.800%, (floating rate from ), CAD 1,750,000 1,756,790 1,791, %, (floating rate from ), CAD 4,785,000 4,784,809 4,783,984 Inter Pipeline 3.448%, CAD 5,400,000 5,767,319 5,658, %, CAD 4,000,000 4,595,920 4,462, %, CAD 4,000,000 4,000,000 3,874,527 Loblaw Companies 4.860%, CAD 15,000,000 16,774,340 16,863,947 Lower Mattagami Energy 4.331%, CAD 11,000,000 12,283,330 12,318,573 Magna International 3.100%, CAD 3,800,000 3,808,166 3,853,121 Manufacturers Life Insurance Company 4.165%, (floating rate from ), CAD 2,500,000 2,614,287 2,586, %, (floating rate from ), CAD 5,000,000 5,222,100 5,116, %, (floating rate from ), CAD 10,750,000 10,738,645 10,664, %, (floating rate from ), CAD 6,500,000 6,499,805 6,483,659 National Bank of Canada 1.951%, CAD 8,000,000 8,027,840 8,087, %, CAD 5,400,000 5,404,200 5,367, %, CAD 6,600,000 6,600,000 6,507,543 NAV CANADA 1.949%, CAD 5,000,000 5,103,050 5,086,644 NBC Asset Trust 7.235%, (floating rate from ), Perpetual CAD 8,500,000 9,341,760 9,502, %, (floating rate from ), Perpetual CAD 3,900,000 4,798,404 4,638,299 North West Redwater Partnership Series C, 2.100%, CAD 10,500,000 10,331,160 10,347,845 Pembina Pipeline Corporation 3.770%, CAD 2,000,000 2,035,800 2,055,030 Reliance Series 2, 5.187%, CAD 6,037,000 6,037,000 6,391, %, CAD 3,400,000 3,372,520 3,425,269 RioCan Real Estate Investment Trust Series R, 3.716%, CAD 10,180,000 10,255,155 10,640,297

17 Fixed Income Funds DIM Private Corporate Bond Fund SCHEDULE OF INVESTMENT PORTFOLIO AS AT December 31, 2015 (continued) Par Fair Value Cost Value Corporations (suite) Rogers Communications 4.000%, CAD 10,000,000 10,204,152 10,642, %, CAD 15,800,000 16,435,693 16,569,769 Royal Bank of Canada 2.260%, CAD 11,000,000 11,190,400 11,197, %, CAD 7,000,000 7,234,400 7,237, %, CAD 10,000,000 10,037,000 9,997, %, CAD 19,700,000 20,154,254 20,449, %, CAD 23,000,000 22,868,094 22,530,350 Scotiabank 2.370%, CAD 28,500,000 29,008,720 29,044, %, CAD 30,000,000 30,721,890 30,634,925 Shaw Communications 5.650%, CAD 5,500,000 6,223,715 6,112,634 Sun Life Financial 4.570%, CAD 6,400,000 7,023,290 7,154,504 Series 14-1, 2.770%, (floating rate from ), CAD 3,450,000 3,469,803 3,505,825 TD Capital Trust III 7.243%, (floating rate from ), Perpetual CAD 9,700,000 11,272,538 11,088,952 TELUS Corporation 1.500%, CAD 10,000,000 9,986,004 9,950,462 Series CO, 3.200%, CAD 10,050,000 10,242,386 10,387, %, CAD 8,950,000 8,755,754 8,734, %, CAD 12,500,000 12,262,560 12,752,502 Teranet Income Fund 4.807%, CAD 4,250,000 4,716,915 4,668,062 Thomson Reuters Corporation 4.350%, CAD 13,000,000 13,918,660 14,068, %, CAD 11,000,000 11,199,040 11,283,573 Toronto-Dominion Bank 2.563%, CAD 11,000,000 11,187,650 11,325, %, CAD 32,600,000 33,475,745 33,314, %, CAD 9,000,000 9,042,014 9,398, %, (floating rate from ), CAD 6,800,000 7,430,540 7,287,838 Toyota Credit Canada 1.800%, CAD 6,900,000 6,927,257 6,896,839 Union Gas 3.190%, CAD 2,825,000 2,823,785 2,856,413 West Edmonton Mall Property Series B1, 4.309%, CAD 3,600,000 3,600,000 3,846,161 Westcoast Energy 3.770%, CAD 2,800,000 2,798,852 2,836, ,067, ,969,885 Number Fair of Units Cost Value INVESTMENT FUNDS (12.8%) CM-CIC Corporate Euro 3-5 1, ,153, ,700,478 Par Value ASSET-BACKED SECURITIES (0.5%) Master Credit Card Trust II Series 13-4, 2.723%, CAD 5,000,000 5,244,600 5,166,101 TOTAL INVESTMENTS (98.6%) 1,046,574,416 1,048,976,232 OTHER NET ASSETS (1.4%) 15,268,589 NET ASSETS (100%) 1,064,244,821 Total Bonds 904,175, ,109,653 15

18 Fixed Income Funds DIM Private Corporate Bond Fund NOTES TO THE FINANCIAL STATEMENTS SPECIFIC INFORMATION AS AT December 31, 2015 Strategy in Using Financial Instruments Investment Objective Provide higher return than government bonds while emphasizing risk management. Financial Instruments Fair Value Measurement (Note 8) Hierarchy of Financial Instruments at Fair Value Measurement The following tables categorize the Fund s financial assets fair value measurement according to a three-level hierarchy. The methodology used for valuing securities is not necessarily an indication of the risk associated with investing in those securities. The fair value measurement is described in the Significant Accounting Policies section of Note 2. Investment Fair Value Measurement at the End of the Year, within the Following Levels: December 31, 2015 Level 1 Level 2 Level 3 Total Financial Assets at FVTPL Bonds 6,139, ,969, ,109,653 Investment Funds 135,700, ,700,478 Asset-Backed Securities 5,166,101 5,166,101 Total 6,139,768 1,042,836,464 1,048,976,232 December 31, Level 1 Level 2 Level 3 Total Financial Assets at FVTPL Bonds 562,751, ,751,694 Money Market Securities 3,193,632 3,193,632 Total 3,193, ,751, ,945,326 Transfers between Levels 1 and 2 During the years ended December 31, 2015 and, there were no transfers of securities between Levels 1 and 2. Investments in Entities (Note 2) Total values of index-based investments, mortgage-backed securities, asset-backed securities, investment funds and limited partnerships in the table Investment Fair Value Measurement within the Levels also represent the fair value of investments in structured entities. Financial Instruments Risks (Note 8) As at December 31, 2015, as a portion of the Fund s net assets attributable to holders of redeemable units are invested in underlying fund, the Fund may be indirectly exposed to currency, interest, concentration or credit risk. Thus, only direct exposure to risks arising from the Fund s financial instruments is presented. Currency Risk As at December 31, 2015 and, the majority of the Fund s financial assets and liabilities are denominated in Canadian dollars. As a result, the Fund is not significantly exposed to currency risk. Interest Rate Risk The following table summarizes the Fund s exposure to interest rate risk. It includes the Fund s financial assets and liabilities at fair value, categorized by the earlier of contractual re-pricing or maturity dates. The table also illustrates the impact on the Net Assets Attributable to Holders of Redeemable Units, had prevailing interest rates changed by 0.25%, assuming a parallel shift in the yield curve, with all other variables held constant. Less than 1 Year 1 to 5 Years 5 to 10 Years Greater than 10 Years Impact on Net Assets Attributable to Holders of Total Redeemable Units December 31, ,299, ,974, ,301, ,574,828 9,973,005 December 31, 4,089, ,635, ,116, ,840,784 6,039,814 In practice, actual trading results may differ from these sensitivity analyses and the differences could be significant. 16

19 Fixed Income Funds DIM Private Corporate Bond Fund NOTES TO THE FINANCIAL STATEMENTS SPECIFIC INFORMATION AS AT December 31, 2015 (continued) Concentration Risk The following table summarizes the concentration risk, as in percentages of the Fund s Net Assets Attributable to Holders of Redeemable Units: December 31, 2015 December 31, Market Segment % Market Segment % Bonds Corporations 84.7 Government of Canada 0.6 Investment Funds 12.8 Asset-Backed Securities 0.5 Other Net Assets 1.4 Bonds Corporations 98.5 Money Market Securities 0.6 Other Net Assets 0.9 Total 100 Total 100 Price Risk The Fund may trade in financial instruments and take positions in over-the-counter instruments. The Manager s estimate of the impact on Net Assets Attributable to Holders of Redeemable Units as a result of a reasonably possible change in benchmarks, using a historical beta coefficient (a measure of the sensitivity of a security in comparison to the market) between the Fund s return as compared to the return of the Fund s benchmarks, with all other variables held constant, is included in the following table. A 36-month regression analysis has been utilized to estimate the historical beta coefficient. The regression analysis uses data based on the monthly returns of the Fund. Credit Risk The Fund s credit risk is mainly concentrated in fixed-income securities. Their fair values include consideration of the issuers creditworthiness and accordingly, represent the Fund s maximum exposure to credit risk. Portfolio s Fixed-Income Securities by Credit Rating Category Credit Rating Percentage of Fixed-Income Securities December 31, 2015 % December 31, % AAA 1 AA A BBB B 2 Total Liquidity Risk For further information on maturity of financial liabilities and liquidity risk management of the Fund, please refer to Note 8 Financial Instruments Disclosures. Change in Price Benchmarks % Impact on Net Assets Attributable to Holders of Redeemable Units December 31, 2015 December 31, FTSE TMX Canada Short Term Corporate ,731,528 2,966,735 FTSE TMX Canada Mid Term Corporate ,731,528 2,966,735 Barclays Euro Aggregate Corporate 3-5 Year (CAD Hedged) ,351,865 N/A In practice, actual trading results may differ from these sensitivity analyses and the differences could be significant. 17

20 Canadian Equity Funds DIM Private Canadian Large Cap Equity Fund STATEMENT OF FINANCIAL POSITION As at December ASSETS Current Assets Cash 5,782,130 2,741,490 Investments at fair value through profit or loss (FVTPL) 554,675, ,628,978 Interest, dividends and other receivables 1,552, , ,009, ,279,815 LIABILITIES Current Liabilities Accrued expenses 41,916 41,012 Net Assets Attributable to Holders of Redeemable Units 561,967, ,238,803 per unit (Note 4) Approved on behalf of the Board of Directors of Desjardins Investment Management Inc., Manager of the DIM Private Funds Vincent P. Hogue, President of the Board of Directors and Sylvain Thériault, Director STATEMENT OF COMPREHENSIVE INCOME Income Interest for distribution purposes 439,927 13,645 Dividends 16,952,079 15,701,591 Foreign exchange gain (loss) on cash 506 Changes in fair value: Net realized gain (loss) on investments 13,318,457 16,660,551 Net unrealized gain (loss) on investments (60,259,070) 5,828,602 (29,548,607) 38,204,895 Expenses Audit fees 8,044 10,500 Custodian fees 69,812 75,793 Unitholders reporting costs 14,153 20,982 Filing fees 41,356 36,883 Administration fees 1,021, ,239 1,154,402 1,143,397 Expenses absorbed by the Manager (239,770) (256,875) 914, ,522 Commissions and other portfolio transaction costs 520, ,883 1,435,407 1,351,405 Increase (Decrease) in Net Assets Attributable to Holders of Redeemable Units (30,984,014) 36,853,490 per unit (0.87) 1.12 Average Redeemable Units 35,436,502 33,043,584 STATEMENT OF CHANGES IN FINANCIAL POSITION Net Assets Attributable to Holders of Redeemable Units, Beginning of Year 547,238, ,873,157 Increase (Decrease) in Net Assets Attributable to Holders of Redeemable Units (30,984,014) 36,853,490 Redeemable Unit Transactions Proceeds from sale of redeemable units 163,406, ,484,890 Reinvested distributions 24,556,136 18,008,489 Amounts paid for redeemable units redeemed (117,538,690)(117,972,155) 70,424,129 44,521,224 Distributions to Holders of Redeemable Units Net investment income (15,256,758) (15,247,606) Net realized gain on sale of investments and derivatives (9,454,234) (2,761,462) (24,710,992) (18,009,068) Net Assets Attributable to Holders of Redeemable Units, End of Year 561,967, ,238,803 18

21 Canadian Equity Funds DIM Private Canadian Large Cap Equity Fund STATEMENT OF CASH FLOWS Cash Flows from/used in Operating Activities Increase (decrease) in net assets attributable to holders of redeemable units (30,984,014) 36,853,490 Adjustments for: Foreign exchange gain (loss) on cash (506) Net realized gain (loss) (13,318,457) (16,660,551) Net unrealized gain (loss) 60,259,070 (5,828,602) Proceeds from sale/maturity of investments 242,458, ,713,369 Investments purchased (300,446,059) (246,534,089) Interest, dividends and other receivables (642,796) 191,863 Accrued expenses 904 3,735 Net Cash Flows from/used in Operating Activities (42,672,497) (25,261,291) Cash Flows from/used in Financing Activities Proceeds from sale of redeemable units 163,406, ,484,890 Amounts paid for redeemable units redeemed (117,538,690) (117,972,155) Distributions paid to holders of redeemable units, net of reinvested distributions (154,856) (579) Net Cash Flows from/used in Financing Activities 45,713,137 26,512,156 Effect of exchange rate changes on foreign cash 506 Increase (decrease) in cash/bank overdraft 3,040,640 1,251,371 Cash (bank overdraft), beginning of year 2,741,490 1,490,119 Cash (Bank Overdraft), End of Year 5,782,130 2,741,490 Supplemental Information on Cash Flows from/used in Operating Activities Interest received 150,884 33,383 Dividends received, net of withholding taxes 16,309,283 15,893,452 Interest paid 24,329 19

22 Canadian Equity Funds DIM Private Canadian Large Cap Equity Fund SCHEDULE OF INVESTMENT PORTFOLIO AS AT December 31, 2015 Number Fair of Shares Cost Value EQUITIES (98.7%) Energy (17.0%) ARC Resources 362,520 8,638,940 6,054,084 Canadian Natural Resources 620,780 21,468,942 18,759,972 Enbridge 635,200 34,650,255 29,219,200 Suncor Energy 724,320 25,609,943 25,872,696 Vermilion Energy 151,105 7,363,475 5,683,059 Whitecap Resources 1,117,015 13,148,242 10,131, ,879,797 95,720,337 Materials (7.1%) Agrium 155,540 14,817,087 19,235,632 First Quantum Minerals 956,475 12,467,407 4,954,540 Franco-Nevada Corporation 246,380 14,728,677 15,595,854 42,013,171 39,786,026 Industrials (9.9%) Canadian National Railway Company 480,155 27,306,772 37,139,989 Russel Metals 279,105 7,390,859 4,485,217 WSP Global 325,220 11,485,222 13,825,102 46,182,853 55,450,308 Consumer Discretionary (9.9%) Gildan Activewear 474,280 10,474,711 18,658,175 Magna International, Class A 304,820 18,569,657 17,106,498 Quebecor, Class B 357,475 9,943,017 12,111,253 Thomson Reuters Corporation 144,180 5,695,451 7,556,474 44,682,836 55,432,400 Consumer Staples (4.4%) Loblaw Companies 382,576 19,920,999 24,997,516 Financials (39.9%) Brookfield Asset Management, Class A 408,315 18,316,507 17,822,950 Canadian Imperial Bank of Commerce 226,160 21,276,161 20,623,530 Cominar Real Estate Investment Trust Class U 448,190 7,974,077 6,592,875 Element Financial Corporation 442,000 8,215,136 7,381,400 Intact Financial Corporation 199,290 13,762,973 17,673,037 Manulife Financial Corporation 1,464,405 30,327,653 30,371,760 Royal Bank of Canada 571,707 37,771,589 42,392,074 Scotiabank 651,946 37,159,388 36,489,418 Toronto-Dominion Bank 829,260 36,083,472 44,979, ,886, ,326,106 Information Technology (2.0%) Open Text Corporation 168,280 10,337,330 11,163,695 Telecommunication Services (4.9%) BCE 405,030 22,748,960 21,652,904 TELUS Corporation 151,150 5,009,845 5,782,999 27,758,805 27,435,903 Utilities (3.6%) Fortis 306,280 10,053,737 11,457,935 Superior Plus Corp. 827,634 9,641,851 8,905,343 19,695,588 20,363,278 Total Equities 532,358, ,675,569 Portfolio Transaction Costs Included in the Securities Cost (359,460) TOTAL INVESTMENTS (98.7%) 531,998, ,675,569 OTHER NET ASSETS (1.3%) 7,292,357 NET ASSETS (100%) 561,967,926 20

23 Canadian Equity Funds DIM Private Canadian Large Cap Equity Fund NOTES TO THE FINANCIAL STATEMENTS SPECIFIC INFORMATION AS AT December 31, 2015 Strategy in Using Financial Instruments Investment Objective Provide long-term capital appreciation while generating income. Financial Instruments Fair Value Measurement (Note 8) Hierarchy of Financial Instruments at Fair Value Measurement The following tables categorize the Fund s financial assets fair value measurement according to a three-level hierarchy. The methodology used for valuing securities is not necessarily an indication of the risk associated with investing in those securities. The fair value measurement is described in the Significant Accounting Policies section of Note 2. Investment Fair Value Measurement at the End of the Year, within the Following Levels: December 31, 2015 Level 1 Level 2 Level 3 Total Financial Assets at FVTPL Equities 554,675, ,675,569 Total 554,675, ,675,569 December 31, Level 1 Level 2 Level 3 Total Financial Assets at FVTPL Equities 543,628, ,628,978 Total 543,628, ,628,978 Transfers between Levels 1 and 2 During the years ended December 31, 2015 and, there were no transfers of securities between Levels 1 and 2. Financial Instruments Risks (Note 8) Currency Risk As at December 31, 2015 and, the majority of the Fund s financial assets and liabilities are denominated in Canadian dollars. As a result, the Fund is not significantly exposed to currency risk. Interest Rate Risk As at December 31, 2015 and, the majority of the Fund s financial assets and liabilities are non-interest bearing. As a result, the Fund is not subject to significant amounts of risk arising from fluctuations in the prevailing levels of market interest rates. Concentration Risk The following table summarizes the concentration risk, as in percentages of the Fund s Net Assets Attributable to Holders of Redeemable Units: December 31, 2015 December 31, Market Segment % Market Segment % Equities Financials 39.9 Energy 17.0 Industrials 9.9 Consumer Discretionary 9.9 Materials 7.1 Telecommunication Services 4.9 Consumer Staples 4.4 Utilities 3.6 Information Technology 2.0 Other Net Assets 1.3 Equities Financials 39.6 Energy 21.4 Consumer Discretionary 9.7 Industrials 9.0 Materials 7.2 Consumer Staples 4.4 Telecommunication Services 3.2 Information Technology 2.9 Utilities 1.9 Other Net Assets 0.7 Total 100 Total 100 Price Risk The Fund may trade in financial instruments and take positions in traded and over-the-counter instruments. The Manager s estimate of the impact on Net Assets Attributable to Holders of Redeemable Units as a result of a reasonably possible change in benchmarks, using a historical beta coefficient (a measure of the sensitivity of a security in comparison to the market) between the Fund s return as compared to the return of the Fund s benchmarks, with all other variables held constant, is included in the following table. A 36-month regression analysis has been utilized to estimate the historical beta coefficient. The regression analysis uses data based on the monthly returns of the Fund. Change in Price Impact on Net Assets Attributable to Holders of Redeemable Units December 31, December 31, Benchmarks % 2015 S&P/TSX Dividend ,988,354 17,297,546 In practice, actual trading results may differ from these sensitivity analyses and the differences could be significant. Credit Risk As at December 31, 2015 and, the Fund had no significant investments in either fixed-income securities, money market securities and derivative financial instruments. As a result, the Fund is not significantly exposed to credit risk. Liquidity Risk For further information on maturity of financial liabilities and liquidity risk management of the Fund, please refer to Note 8 Financial Instruments Disclosures. 21