for the period ended December 31, 2016

Transcription

1 Annual Report for the period ended December 31, 2016 Canadian Equity Funds Canadian Equity Fund 1,3,5,7,9,11,13,16 Canadian Small Company Equity Fund 1,3,5,7,9,11,13 U.S. Equity Funds U.S. Large Cap Index Fund 1,3,5,6,7,9,10,13 U.S. Large Company Equity Fund 1,2,3,4,5,6,7,8,9,10,11,12,13,14,16,17 U.S. Small Company Equity Fund 1,2,3,4,5,6,7,8,9,10,11,12,13,14 International Equity Funds EAFE Equity Fund 1,3,5,7,9,11,13,16 Emerging Markets Equity Fund 1,3,5,7,9,11,13,16 Global Managed Volatility Fund 1,3,5,9,11,15,16 Canadian Fixed Income Funds Canadian Fixed Income Fund 1,3,5,7,9,11,13,16 Long Duration Bond Fund 1,3,5,7,9,11,13 Long Duration Credit Bond Fund 9 Money Market Fund 3,5,7,9,11,13 Real Return Bond Fund 1,3,5,7,9,11,13,16 Short Term Bond Fund 1,3,5,7,9,11,13,16 Short Term Investment Fund 3,5,9,11,16 U.S. Fixed Income Funds U.S. High Yield Bond Fund 1,2,3,4,5,6,7,8,9,10,11,12,13,14,16,17 Asset Allocation Funds All Equity Fund 3,5,7,9,11,13,15,16 Balanced Fund 3,5,7,9,11,13,15,16 Balanced 60/40 Fund 3,5,7,9,11,13,15 Balanced Monthly Income Fund 3,5,7,9,11,13,15,16 Conservative Fund 3,5,9,11,16 Conservative Monthly Income Fund 3,5,7,9,11,13,15,16 Growth Fund 3,5,7,9,11,13,15,16 Growth 100 Fund 3,5,7,9,11,13,15 Growth 80/20 Fund 3,5,7,9,11,13,15 Income 100 Fund 3,5,7,9,11,13,15 Income 20/80 Fund 3,5,7,9,11,13,15 Income 40/60 Fund 3,5,7,9,11,13,15 Moderate Fund 3,5,7,9,11,13,15,16 1. Class D Units offered 2. Class D(H) Units offered 3. Class E Units offered 4. Class E(H) Units offered 5. Class F Units offered 6. Class F(H) Units offered Classes of Units offered 7. Class I Units offered 8. Class I(H) Units offered 9. Class O Units offered 10. Class O(H) Units offered 11. Class P Units offered 12. Class P(H) Units offered 13. Class R Units offered 14. Class R(H) Units offered 15. Class S Units offered 16. Class Z Units offered 17. Class Z(H) Units offered MANAGED BY: SEI INVESTMENTS CANADA COMPANY Annual Report SEI 2016 seic.com

2 Table of Contents Management s Responsibility for Financial Reporting 3 Auditor s Report 4 Statements of Financial Position, Statements of Comprehensive Income, Statements of Changes in Net Assets Attributable to Holders of Redeemable Units, Statements of Cash Flows, Schedule of Investment Portfolio, and Fund Specific Notes to the Financial Statements Canadian Equity Fund Canadian Small Company Equity Fund U.S. Large Cap Index Fund U.S. Large Company Equity Fund U.S. Small Company Equity Fund EAFE Equity Fund Emerging Markets Equity Fund Global Managed Volatility Fund Canadian Fixed Income Fund Long Duration Bond Fund Long Duration Credit Bond Fund Money Market Fund Real Return Bond Fund Short Term Bond Fund Short Term Investment Fund U.S. High Yield Bond Fund All Equity Fund (formerly Global Growth 100 Fund) Balanced Fund Balanced 60/40 Fund Balanced Monthly Income Fund Conservative Fund Conservative Monthly Income Fund Growth Fund (formerly Growth 70/30 Fund) Growth 100 Fund Growth 80/20 Fund Income 100 Fund Income 20/80 Fund Income 40/60 Fund Moderate Fund (formerly Income 30/70 Fund) Notes to Financial Statements

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4 March 15, 2017 Independent Auditor s Report To the Unitholders of the SEI Investments Group of Funds Canadian Equity Fund Canadian Small Company Equity Fund U.S. Large Cap Index Fund U.S. Large Company Equity Fund U.S. Small Company Equity Fund EAFE Equity Fund Emerging Markets Equity Fund Global Managed Volatility Fund Canadian Fixed Income Fund Long Duration Bond Fund Long Duration Credit Bond Fund Money Market Fund Real Return Bond Fund Short Term Bond Fund Short Term Investment Fund (collectively the Funds) U.S. High Yield Bond Fund All Equity Fund Balanced Fund Balanced 60/40 Fund Balanced Monthly Income Fund Conservative Fund Conservative Monthly Income Fund Growth Fund Growth 100 Fund Growth 80/20 Fund Income 100 Fund Income 20/80 Fund Income 40/60 Fund Moderate Fund We have audited the accompanying financial statements of each of the Funds, which comprise the statements of financial position, comprehensive income, changes in net assets attributable to holders of redeemable units and cash flows as at and for the periods indicated in note 1, and the related notes, which comprise a summary of significant accounting policies and other explanatory information. Management s responsibility for the financial statements Management 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. PricewaterhouseCoopers LLP PwC Tower, 18 York Street, Suite 2600, Toronto, Ontario, Canada M5J 0B2 T: , F: PwC refers to PricewaterhouseCoopers LLP, an Ontario limited liability partnership.

5 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, financial performance and cash flows of each of the Funds as at and for the periods indicated in note 1 in accordance with International Financial Reporting Standards. Chartered Professional Accountants, Licensed Public Accountants Toronto, Ontario 5

6 Canadian Equity Fund Statements of Financial Position AS AT DECEMBER 31, 2016 AND 2015 (in thousands of dollars except per unit data) ASSETS Current assets Investments (non-derivative financial assets) $ 2,387,545 $ 2,147,466 Cash including foreign currency holdings 14, ,114 Accrued dividends receivable 5,538 5,815 Margin receivable on futures 3,106 6,657 Receivable for portfolio securities sold 2,917 14,882 Receivable for unit subscriptions 1,729 4,097 Receivable from manager 6 3 Prepaid expenses Derivative assets ,415,871 2,290,432 LIABILITIES Current liabilities Accrued liabilities Payable for portfolio securities purchased 8,490 1,450 Payable for unit redemptions 1,765 4,306 Distributions payable 5 Derivative liabilities ,321 7,265 NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS $ 2,404,550 $ 2,283,167 NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS PER CLASS (note 5) (Class D) $ 62,620 $ 59,194 (Class E) $ 2,350 $ 1,318 (Class F) $ 12,292 $ 9,928 (Class I) $ 54 $ 48 (Class O) $ 2,250,899 $ 2,107,718 (Class P) $ 76,324 $ 104,951 (Class Z) $ 11 $ 10 NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS PER UNIT (Class D) $ $ (Class E) $ $ (Class F) $ $ (Class I) $ $ (Class O) $ $ (Class P) $ $ (Class Z) $ $ INVESTMENTS AT AVERAGE COST $ 2,087,244 $ 2,082,860 Statements of Comprehensive Income FOR THE YEARS ENDED DECEMBER 31, 2016 AND 2015 (in thousands of dollars except per unit data) INCOME NET GAIN (LOSS) ON INVESTMENTS AND DERIVATIVES Dividends $ 57,513 $ 56,994 Interest for distribution purposes Derivative income (loss) 1,151 (18,598) Net realized gain (loss) on sale of investments 50, ,283 Foreign exchange gain (loss) on foreign currency translation (79) 369 Net change in unrealized appreciation (depreciation) on foreign exchange Net change in unrealized appreciation (depreciation) of investments and derivatives 236,474 (221,163) 345,925 (60,409) Foreign exchange gain (loss) on cash 64 1,059 TOTAL INCOME (NET) 345,989 (59,350) EXPENSES Custodian and administration fees 2,069 2,066 Legal fees Audit fees Interest expense 10 Management fees 4,209 4,838 Trustee fees Independent review committee fees Transaction costs 5,010 3,928 Securityholder reporting costs Foreign withholding taxes TOTAL EXPENSES 12,185 11,877 Waived expenses (12) (10) NET EXPENSES 12,173 11,867 REDEEMABLE UNITS $ 333,816 $ (71,217) REDEEMABLE UNITS PER CLASS (Class D) $ 7,268 $ (3,446) (Class E) $ 209 $ (80) (Class F) $ 1,559 $ (328) (Class I) $ 7 $ (1) (Class O) $ 312,808 $ (61,943) (Class P) $ 11,964 $ (5,419) (Class Z) $ 1 $ AVERAGE NUMBER OF UNITS OUTSTANDING FOR THE PERIOD PER CLASS (Class D) 3,142 2,829 (Class E) (Class F) (Class I) 2 2 (Class O) 104, ,830 (Class P) 4,830 5,816 (Class Z) REDEEMABLE UNITS PER UNIT* (Class D) $ 2.31 $ (1.21) (Class E) $ 2.68 $ (1.45) (Class F) $ 3.27 $ (0.88) (Class I) $ 2.83 $ (0.78) (Class O) $ 2.99 $ (0.61) (Class P) $ 2.48 $ (0.93) (Class Z) $ 3.03 $ (1.06) * Based on the weighted average number of units outstanding during the period. SCEF 6

7 Canadian Equity Fund Statements of Changes in Net Assets Attributable to Holders of Redeemable Units FOR THE YEARS ENDED DECEMBER 31, 2016 AND 2015 (in thousands of dollars except per unit data) Fund Total Class D REDEEMABLE UNITS AT BEGINNING OF PERIOD $ 2,283,167 $ 2,320,704 $ 59,194 $ 53,772 REDEEMABLE UNITS 333,816 (71,217) 7,268 (3,446) DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITS Out of net investment income (52,019) (22,424) Out of net realized capital gains (24,932) (134,868) (426) (3,479) (76,951) (157,292) (426) (3,479) CAPITAL UNIT TRANSACTIONS Proceeds from issue of units 370, ,268 10,946 19,760 Payments on redemption of units (582,119) (439,313) (14,788) (10,892) Reinvestment of distributions 76, , ,479 (135,482) 190,972 (3,416) 12,347 CHANGES IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS 121,383 (37,537) 3,426 5,422 REDEEMABLE UNITS AT END OF PERIOD $ 2,404,550 $ 2,283,167 $ 62,620 $ 59,194 Class E Class F REDEEMABLE UNITS AT BEGINNING OF PERIOD $ 1,318 $ 795 $ 9,928 $ 9,068 REDEEMABLE UNITS 209 (80) 1,559 (328) DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITS Out of net investment income (28) (178) (36) Out of net realized capital gains (18) (77) (94) (552) (46) (77) (272) (588) CAPITAL UNIT TRANSACTIONS Proceeds from issue of units 1, ,539 3,136 Payments on redemption of units (565) (305) (3,727) (1,934) Reinvestment of distributions ,077 1,776 CHANGES IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS 1, , REDEEMABLE UNITS AT END OF PERIOD $ 2,350 $ 1,318 $ 12,292 $ 9,928 SCEF 7

8 Canadian Equity Fund Statements of Changes in Net Assets Attributable to Holders of Redeemable Units FOR THE YEARS ENDED DECEMBER 31, 2016 AND 2015 (in thousands of dollars except per unit data) Class I Class O REDEEMABLE UNITS AT BEGINNING OF PERIOD $ 48 $ 49 $ 2,107,718 $ 2,112,674 REDEEMABLE UNITS 7 (1) 312,808 (61,943) DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITS Out of net investment income (1) (51,812) (22,388) Out of net realized capital gains (2) (3) (24,392) (124,543) (3) (3) (76,204) (146,931) CAPITAL UNIT TRANSACTIONS Proceeds from issue of units - 332, ,478 Payments on redemption of units (501,074) (353,286) Reinvestment of distributions , , (93,423) 203,918 CHANGES IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS 6 (1) 143,181 (4,956) REDEEMABLE UNITS AT END OF PERIOD $ 54 $ 48 $ 2,250,899 $ 2,107,718 Class P Class Z REDEEMABLE UNITS AT BEGINNING OF PERIOD $ 104,951 $ 144,346 $ 10 $ REDEEMABLE UNITS 11,964 (5,419) 1 DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITS Out of net realized capital gains (6,213) (1) (6,213) (1) CAPITAL UNIT TRANSACTIONS Proceeds from issue of units 21,374 38, Payments on redemption of units (61,965) (72,896) Reinvestment of distributions 6,157 1 (40,591) (27,763) 11 CHANGES IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS (28,627) (39,395) 1 10 REDEEMABLE UNITS AT END OF PERIOD $ 76,324 $ 104,951 $ 11 $ 10 SCEF 8

9 Canadian Equity Fund Statements of Cash Flows FOR THE YEARS ENDED DECEMBER 31, 2016 AND 2015 (in thousands of dollars except per unit data) CASH FLOWS FROM OPERATING ACTIVITIES Increase (decrease) in net assets attributable to holder of redeemable units $ 333,816 $ (71,217) Adjustments for: Foreign exchange (gain) loss on cash 5 (73) Net realized (gain) loss on sale of investments (50,629) (121,283) Net change in unrealized (appreciation) depreciation of investments and derivatives (236,474) 221,163 Purchases of investments (2,053,913) (2,177,958) Proceeds from the sale of investments 2,119,128 2,134,709 Change in margin receivable on futures 3,551 (4,003) Change in interest receivable 6 Change in dividends receivable 277 (1,616) Change in other assets Change in other liabilities 342 (179) 116,237 (20,309) CASH FLOWS USED IN FINANCING ACTIVITIES Amount received from the issuance of units (note 16) 269, ,545 Amount paid on redemptions of units (note 16) (481,841) (390,632) Distributions paid to unitholders (737) (1,270) (212,611) 34,643 Increase (decrease) in cash during the period (96,374) 14,334 Foreign exchange gain (loss) on cash (5) 73 Cash at beginning of period 111,114 96,707 Cash at end of period 14, ,114 CASH FLOWS INCLUDED IN OPERATING ACTIVITIES Interest received Dividends received, net of withholding taxes 57,414 54,857 SCEF 9

10 Canadian Equity Fund Schedule of Investment Portfolio AS AT DECEMBER 31, 2016 Number Average Fair of Cost Value Shares $ $ EQUITIES 97.2% Canadian Equities 92.2% Consumer Discretionary 9.4% Aimia Inc. 1,835,442 19,063,812 16,298,725 Canadian Tire Corp. Ltd., Class A 54,200 7,167,179 7,548,434 Cara Operations Ltd. 141,500 4,138,875 3,530,425 Cogeco Communications Inc. 83,397 5,551,941 5,524,217 Corus Entertainment Inc., Class B 154,500 1,709,030 1,946,700 DHX Media Ltd. 441,263 3,373,756 3,110,904 Dirtt Environmental Solutions Ltd. 113, , ,971 Dorel Industries Inc., Class B 195,576 7,281,315 7,588,349 EnerCare Inc. 584,095 8,777,430 10,420,255 Gildan Activewear Inc. 369,400 13,579,947 12,592,846 goeasy Ltd. 110,631 2,261,849 2,699,396 Hardwoods Distribution Inc. 35, , ,801 Hudson s Bay Co. 1,196,197 22,684,787 15,777,838 Intertain Group Ltd. (The) 103,765 1,299, ,316 Linamar Corp. 256,468 14,351,698 14,795,639 Magna International Inc. 772,136 38,296,231 45,015,529 Martinrea International Inc. 386,108 3,523,877 3,316,668 MTY Food Group Inc. 18, , ,691 Quebecor Inc., Class B 298,332 10,673,617 11,133,750 Restaurant Brands International Inc. 411,129 21,627,689 26,291,700 Shaw Communications Inc., Class B 970,116 23,782,406 26,134,925 Sleep Country Canada Holdings Inc. 58,851 1,701,451 1,693,732 Spin Master Corp. 39, ,279 1,266,355 Transat A.T. Inc. 388,919 3,007,817 2,142,944 Uni-Select Inc. 28, , ,342 Yellow Pages Ltd. 161,457 3,075,507 2,856, ,683, ,778,626 Consumer Staples 5.4% AGT Food and Ingredients Inc. 166,396 4,602,162 6,096,749 Alimentation Couche-Tard Inc., Class B 245,491 12,577,089 14,945,492 Andrew Peller Ltd., Class A 156,147 1,454,294 1,826,920 Clearwater Seafoods Inc. 116,292 1,207,564 1,354,802 Empire Co. Ltd., Class A 1,495,396 32,613,948 23,507,625 George Weston Ltd. 170,913 17,894,606 19,414,008 Jean Coutu Group (PJC) Inc. (The), Class A 386,847 7,797,362 8,092,839 Lassonde Industries Inc., Class A 17,678 1,463,214 3,942,371 Loblaw Cos. Ltd. 362,900 24,042,573 25,707,836 Metro Inc., Class A 16, , ,230 Premium Brands Holdings Corp. 83,937 2,797,237 5,788,296 Saputo Inc. 389,100 17,097,081 18,486, ,919, ,833,309 Energy 17.5% Advantage Oil & Gas Ltd. 206,955 1,240,383 1,887,430 Birchcliff Energy Ltd. 2,253,500 17,367,489 21,115,295 Bonavista Energy Corp. 272,951 1,279,311 1,312,894 Bonterra Energy Corp. 175,275 4,823,625 5,098,750 Cameco Corp. 329,827 4,165,500 4,630,771 Canadian Energy Services & Technology Corp. 91, , ,737 Canadian Natural Resources Ltd. 841,567 28,734,449 36,010,652 Cardinal Energy Ltd. 208,903 2,519,210 2,212,283 Cenovus Energy Inc. 1,181,400 22,922,045 23,982,420 Crew Energy Inc. 398,539 2,545,294 2,993,028 Enbridge Inc. 450,923 23,608,034 25,477,149 SCEF Number Average Fair of Cost Value Shares $ $ Enbridge Income Fund Holdings Inc. 182,855 5,807,472 6,357,868 Encana Corp. 412,000 5,194,077 6,493,120 Enerflex Ltd. 788,984 10,749,337 13,452,177 Ensign Energy Services Inc. 409,223 5,143,700 3,838,512 Freehold Royalties Ltd. 166,167 1,907,780 2,354,586 Imperial Oil Ltd. 739,396 31,680,133 34,537,187 Kelt Exploration Ltd. 213,579 1,092,208 1,445,930 Keyera Corp. 449,200 18,694,412 18,174,632 Painted Pony Petroleum Ltd., Class A 372,248 2,867,176 3,432,127 Parex Resources Inc. 257,675 1,906,235 4,354,708 Parkland Fuel Corp. 209,583 4,432,344 5,895,570 Parkland Fuel Corp., Subscription Receipts 6, , ,364 Penn West Petroleum Ltd. 620,589 1,391,100 1,470,796 Peyto Exploration & Development Corp. 179,000 5,604,919 5,944,590 PrairieSky Royalty Ltd. 894,271 21,611,468 28,563,016 Precision Drilling Corp. 1,294,400 7,477,732 9,475,008 Secure Energy Services Inc. 817,802 7,750,642 9,576,461 Seven Generations Energy Ltd., Class A 275,700 8,039,200 8,632,167 ShawCor Ltd. 482,599 15,217,219 17,296,348 Spartan Energy Corp. 368,766 1,025,137 1,227,991 Storm Resources Ltd. 510,898 2,360,163 2,707,759 Suncor Energy Inc. 908,599 35,067,525 39,887,496 Tamarack Valley Energy Ltd. 914,698 3,550,386 3,164,855 TORC Oil & Gas Ltd. 477,686 3,978,143 3,950,463 TransCanada Corp. 526,871 27,695,230 31,896,770 TransGlobe Energy Corp. 330,310 1,768, ,804 Trinidad Drilling Ltd. 433, ,169 1,447,052 Veresen Inc. 538,400 4,964,705 7,058,424 Vermilion Energy Inc. 26,000 1,290,951 1,468,740 Whitecap Resources Inc. 1,613,365 16,956,197 19,618, ,995, ,062,448 Financials 30.6% Alaris Royalty Corp. 38, , ,427 Altus Group Ltd. 166,704 3,656,361 5,161,156 American Hotel Income Properties REIT L.P. 128,171 1,391,146 1,340,669 Artis REIT 234,500 2,921,338 2,978,150 Automotive Properties REIT 65, , ,339 Bank of Montreal 231,900 19,996,317 22,394,583 Bank of Nova Scotia 1,106,615 62,289,277 82,730,537 Boardwalk REIT 436,849 21,392,053 21,252,704 Brookfield Asset Management Inc., Class A 942,873 33,776,814 41,769,274 Callidus Capital Corp. 137,800 2,172,219 2,543,788 Canaccord Genuity Group Inc. 683,233 3,086,590 3,259,021 Canadian Imperial Bank of Commerce 287,950 27,536,984 31,547,802 Canadian Western Bank 699,864 16,887,805 21,233,874 Chesswood Group Ltd. 129,668 1,535,524 1,549,533 CI Financial Corp. 406,311 11,145,540 11,730,199 Cominar REIT 257,873 3,774,476 3,795,891 Crombie REIT 271,597 3,639,510 3,688,287 Crown Capital Partners Inc. 46, , ,273 ECN Capital Corp. 660,977 2,037,157 2,181,224 Element Fleet Management Corp. 1,373,471 17,697,936 17,113,449 Fairfax Financial Holdings Ltd. 24,025 11,408,247 15,580,212 FirstService Corp. 80,155 3,450,528 5,109,080 Genworth MI Canada Inc. 54,700 1,851,384 1,841,202 Gluskin Sheff + Associates Inc. 207,083 3,921,799 3,611,528 GMP Capital Inc. 398,806 1,707,818 1,758,734 10

11 Canadian Equity Fund Schedule of Investment Portfolio AS AT DECEMBER 31, 2016 Number Average Fair of Cost Value Shares $ $ Granite REIT, Stapled Units 171,287 6,217,617 7,678,796 Great-West Lifeco Inc. 367,829 11,033,866 12,936,546 H&R REIT 121,400 2,480,125 2,715,718 Home Capital Group Inc. 101,669 2,849,808 3,186,306 IGM Financial Inc. 256,613 10,223,933 9,802,617 Industrial Alliance Insurance and Financial Services Inc. 311,300 12,828,156 16,620,307 INFOR Acquisition Corp., Class A, Restricted 336,800 3,334,320 3,361,264 INFOR Acquisition Corp., Warrants, 2023/05/27 168,400 75,780 60,624 Intact Financial Corp. 472,898 37,219,927 45,445,498 Laurentian Bank of Canada 52,277 2,542,491 3,017,951 Manulife Financial Corp. 2,546,665 52,408,042 60,890,760 National Bank of Canada 234,200 10,344,040 12,770,926 Onex Corp. 293,955 20,666,604 26,861,608 Power Corp. of Canada 874,902 25,230,832 26,290,805 Power Financial Corp. 90,500 2,947,363 3,037,180 Pure Industrial Real Estate Trust 495,300 2,189,515 2,768,727 RioCan REIT 207,027 5,371,705 5,513,129 Royal Bank of Canada 770,578 52,957,751 70,022,423 Smart REIT 226,411 6,444,179 7,310,811 Sun Life Financial Inc. 325,082 15,257,510 16,757,977 Toronto-Dominion Bank (The) 1,363,947 56,483,770 90,320,570 Tricon Capital Group Inc. 361,048 3,103,712 3,415, ,576, ,035,993 Health Care 0.3% Cipher Pharmaceuticals Inc. 186,886 2,012, ,741 CRH Medical Corp. 187, ,370 1,346,469 Knight Therapeutics Inc. 123, ,459 1,328,162 Valeant Pharmaceuticals International Inc. 129,013 8,528,350 2,511,883 12,193,606 6,102,255 Industrials 9.2% Aecon Group Inc. 105,993 1,369,951 1,616,393 AG Growth International Inc. 45,462 1,476,497 2,387,664 Air Canada 1,400,900 14,425,354 19,150,303 Badger Daylighting Ltd. 90,816 2,155,385 2,915,194 Boyd Group Income Fund 48,667 2,500,791 4,163,949 BuildDirect.com Technologies Inc. 721,910 4,626,979 1,952,191 Canadian National Railway Co. 465,102 34,597,934 42,026,617 Canadian Pacific Railway Ltd. 109,800 20,405,161 21,033,288 Exchange Income Corp. 35, ,148 1,475,862 Finning International Inc. 1,452,724 36,407,470 38,192,114 Héroux-Devtek Inc. 220,483 2,215,543 3,241,100 New Flyer Industries Inc. 68,950 1,175,977 2,815,918 Richelieu Hardware Ltd. 230,482 4,369,312 5,891,120 Russel Metals Inc. 47,500 1,046,410 1,215,050 Savaria Corp. 88, , ,723 Stantec Inc. 326,925 10,997,030 11,089,296 Superior Plus Corp. 515,694 5,712,883 6,575,098 TFI International Inc. 420,867 13,055,522 14,684,050 Transcontinental Inc., Class A 506,400 10,651,851 11,237,016 Wajax Corp. 391,520 9,541,349 9,028,451 Waste Connections Inc. 113,173 9,824,481 11,921,644 WSP Global Inc. 154,404 5,946,442 6,900, ,836, ,474,356 Number Average Fair of Cost Value Shares $ $ Information Technology 4.2% Celestica Inc. 1,836,741 24,460,062 29,222,549 CGI Group Inc., Class A 687,584 33,991,672 44,307,913 Computer Modelling Group Ltd. 60, , ,406 Descartes Systems Group Inc. (The) 121,546 1,212,804 3,479,862 DH Corp. 140,156 4,613,328 3,122,676 Enghouse Systems Ltd. 45,573 2,482,292 2,549,353 Kinaxis Inc. 71,882 2,534,614 4,492,625 Mediagrif Interactive Technologies Inc. 103,006 1,727,314 1,951,964 Mitel Networks Corp. 156,989 1,347,050 1,431,740 Open Text Corp. 94,440 6,388,924 7,830,965 Opsens Inc. 1,036,718 1,024,788 1,679,483 Solium Capital Inc. 139,832 1,000,590 1,180,182 81,392, ,798,718 Materials 9.5% Agnico Eagle Mines Ltd. 277,200 12,652,049 15,647,940 Agrium Inc. 67,764 8,277,759 9,145,429 Alacer Gold Corp. 1,481,495 4,108,676 3,318,549 Alamos Gold Inc., Class A 341,250 2,149,544 3,159,975 B2Gold Corp. 389, ,485 1,241,181 Barrick Gold Corp. 221,600 4,981,657 4,762,184 Canam Group Inc., Class A 138,605 1,561,516 1,250,217 Capstone Mining Corp. 873, ,162 1,100,857 Cascades Inc. 949,700 11,341,248 11,491,370 CCL Industries Inc., Class B 47,350 3,360,029 12,490,930 Centerra Gold Inc. 560,536 3,988,110 3,525,771 Chemtrade Logistics Income Fund 120,624 1,837,547 2,284,619 Domtar Corp. 30,200 1,483,992 1,582,782 Eldorado Gold Corp. 1,082,899 6,038,351 4,678,124 First Quantum Minerals Ltd. 631,200 7,817,747 8,426,520 Fortuna Silver Mines Inc. 551,002 3,586,750 4,182,105 Franco-Nevada Corp. 134,270 10,738,525 10,779,196 Goldcorp Inc. 172,494 3,645,141 3,153,190 Guyana Goldfields Inc. 237,692 1,552,326 1,454,675 Interfor Corp. 729,811 10,211,694 10,969,059 Intertape Polymer Group Inc. 523,976 8,562,172 13,193,716 Kinross Gold Corp. 940,040 5,557,651 3,938,768 Kirkland Lake Gold Ltd. 212,549 1,934,921 1,492,094 Klondex Mines Ltd. 51, , ,181 Methanex Corp. 437,269 19,857,035 25,750,771 Nevsun Resource Ltd. 348,752 1,587,003 1,447,321 Osisko Gold Royalties Ltd. 200,836 3,017,790 2,628,943 Potash Corp. of Saskatchewan Inc. 782,300 22,005,343 19,002,067 Q2 Gold Resources Inc. 85,045 Richmont Mines Inc. 90, , ,820 SEMAFO Inc. 901,209 3,974,031 3,983,344 SHOP.CA Network Inc., Class A 1,482,500 1,186,000 14,825 Stella-Jones Inc. 117,264 3,867,666 5,110,365 Supremex Inc. 137, , ,140 Teck Resources Ltd., Class B 323,000 4,273,839 8,679,010 Torex Gold Resources Inc. 63,244 1,139,116 1,314,843 Trevali Mining Corp. 1,097,588 1,013,700 1,240,274 Turquoise Hill Resources Ltd. 728,331 3,200,213 3,139,107 SCEF 11

12 Canadian Equity Fund Schedule of Investment Portfolio AS AT DECEMBER 31, 2016 Number Average Fair of Cost Value Shares $ $ West Fraser Timber Co. Ltd. 291,385 13,159,785 13,989,394 Western Forest Products Inc. 2,400,627 5,064,369 4,537,185 Winpak Ltd. 47,891 1,019,528 2,175, ,185, ,076,050 Telecommunication Services 3.7% BCE Inc. 616,246 32,127,134 35,760,755 Rogers Communications Inc., Class B 211,040 9,609,062 10,929,762 TELUS Corp. 1,014,792 36,716,372 43,382,358 78,452,568 90,072,875 Utilities 2.4% ATCO Ltd., Class I 299,275 11,776,874 13,365,622 Brookfield Infrastructure Partners L.P. 171,188 7,358,756 7,689,765 Brookfield Renewable Partners L.P. 113,831 3,625,396 4,536,165 Capital Power Corp. 354,300 8,167,857 8,230,389 Emera Inc. 236,965 9,828,724 10,755,841 Fortis Inc. 257,400 10,512,648 10,671,804 TransAlta Renewables Inc. 189,400 2,202,616 2,715,996 53,472,871 57,965,582 Total Canadian Equities 1,934,708,155 2,217,200,212 Number Average Fair of Cost Value Shares $ $ U.S. EQUITIES 5.0% Alphabet Inc., Class A 8,000 9,588,898 8,501,720 Alphabet Inc., Class C 12,440 3,840,929 12,876,012 AmerisourceBergen Corp. 28,393 3,035,431 2,977,196 Biogen Inc. 33,700 12,820,959 12,815,940 Bristol-Myers Squibb Co. 35,398 2,803,341 2,774,175 Currency Exchange International Corp. 64,038 1,806,016 1,932,258 CVS Health Corp. 90,800 11,141,466 9,608,661 Eli Lilly and Co. 28,305 2,779,709 2,791,842 FedEx Corp. 30,800 7,539,304 7,690,868 First Data Corp. 448,700 8,680,778 8,538,536 Level 3 Communications Inc. 126,500 6,845,860 9,561,070 McKesson Corp. 15,441 2,969,686 2,908,320 Microsoft Corp. 193,400 14,150,941 16,116,573 Morgan Stanley 110,300 3,921,253 6,249,528 Pfizer Inc. 205,812 7,686,510 8,964,616 Wal-Mart Stores Inc. 68,175 5,996,493 6,319,371 Total U.S. Equities 105,607, ,626,686 Total Equities 2,040,315,729 2,337,826,898 SCEF 12

13 Canadian Equity Fund Schedule of Investment Portfolio AS AT DECEMBER 31, 2016 Number Average Fair of Cost Value Units $ $ MUTUAL FUNDS* 0.0% SEI Money Market Fund, Class O 255 2,551 2,551 2,551 2,551 Total Short Term Notes 2.1% 49,670,185 49,715,199 Less: Transaction cost included in average cost (2,744,477) Total Non-Derivative Financial Assets 99.3% 2,087,243,988 2,387,544,648 Derivative Assets and Liabilities (1) 0.0% (99,959) Other Assets and Liabilities, Net 0.7% 17,105,800 Net Assets Attributable to Holders of Redeemable Units 100.0% 2,404,550,489 SCHEDULE OF SHORT TERM NOTES Par Interest Maturity Average Fair Value Rate Date Cost Value $ % $ $ Government of Canada Treasury Bill 700, , ,305 Government of Canada Treasury Bill 20,000, ,974,000 19,997,082 Government of Canada Treasury Bill 1,550, ,548,367 1,549,501 Government of Canada Treasury Bill 150, , ,925 Government of Canada Treasury Bill 2,200, ,197,308 2,197,674 Government of Canada Treasury Bill 3,900, ,895,440 3,896,565 Government of Canada Treasury Bill 775, , ,030 Government of Canada Treasury Bill 2,200, ,197,377 2,198,443 Government of Canada Treasury Bill 15,200, ,167,745 15,183,485 Government of Canada Treasury Bill 500, , ,270 Government of Canada Treasury Bill 800, , ,424 Government of Canada Treasury Bill 375, , ,730 Government of Canada Treasury Bill 400, , ,540 Government of Canada Treasury Bill 350, , ,726 Government of Canada Treasury Bill 650, , ,499 Total Short Term Notes 49,670,185 49,715,199 (1) DERIVATIVE ASSETS AND LIABILITIES SCHEDULE OF LONG FUTURES CONTRACTS Unrealized Number Average Cost Contracted Current Appreciation of per Contract Value Value (Depreciation) Contracts $ $ $ $ Unrealized Depreciation S&P/Toronto Stock Exchange 60 Index Expiration Date March CAD ,966,400 5,919,540 (46,860) Unrealized Appreciation (Depreciation) on Long Futures Contracts (46,860) SCEF 13

14 Canadian Equity Fund Schedule of Investment Portfolio AS AT DECEMBER 31, 2016 SCHEDULE OF FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS Unrealized Credit Appreciation Rating of Settlement Amount Amount Forward Current (Depreciation) Counterparty Counterparty 1 Date Sold Bought Rate Rate $ Canadian Imperial Bank of Commerce A CAD 18,060,272 USD 13,509, ,820 Canadian Imperial Bank of Commerce A USD 5,000,000 CAD 6,766, , ,637 Bank of Montreal A USD 20,500,000 CAD 27,370, (116,030) (116,030) Toronto-Dominion Bank (The) A USD 16,700,000 CAD 22,337, (44,706) (44,706) (160,736) 1 Commercial Paper rating per S&P Global Rating s Commercial Paper Guide. *The Fund holds units in class O of the funds listed unless otherwise noted. The above funds are also managed by the Fund s manager. SCEF 14

15 Canadian Equity Fund Fund Specific Notes to the Financial Statements AS AT DECEMBER 31, 2016 AND 2015 Investment Objective To seek to achieve a return that exceeds the performance of S&P/TSX Composite Index (the S&P/TSX Index ). The Fund invests primarily in equity securities issued by Canadian corporations. Currency Risk The table below indicates the currencies to which the Fund had exposure as at December 31, 2016 and 2015, on both its trading monetary and non-monetary assets and liabilities. Currency risk exposed holdings* Forward foreign exchange contracts Net Exposure As a % of Net Assets U.S. Dollar 116,944, ,366,134 (38,466,714) 4,106,846 78,477, ,472, % 8.61% British Pound 4,875,819 4,875, % 0.21% Euro 0.00% 0.00% Swiss Franc 66,502 69,941 66,502 69, % 0.00% *Amounts include monetary and non-monetary items. As at December 31, 2016, had the Canadian dollar strengthened or weakened by 5% (December 31, %) in relation to all currencies, with all other variables held constant, net assets would have decreased or increased, respectively, by approximately $3,927,193 (December 31, 2015 $10,070,937). In practice, the actual trading results may differ from this sensitivity analysis and the difference could be material. Interest Rate Risk As at December 31, 2016 and 2015, the interest rate risk is minimal given that the majority of the Fund s financial instruments are non-interest bearing. Other Price Risk As at December 31, 2016, a 10% (December 31, %) increase or decrease in equity prices would have increased or decreased the Fund s Net Assets by $234,374,644 (December 31, 2015 $222,984,261). In practice, the actual results may differ from this sensitivity analysis and the difference could be material. Credit Risk As at December 31, 2016 and 2015, the credit risk is minimal given that the Fund had no significant investments in debt instruments or derivatives. Concentration Risks The following is a summary of the Fund s concentration risk as at December 31, 2016 and Portfolio by Category Percentage of Net Assets (%) Consumer Discretionary Consumer Staples Energy Financials Health Care Industrials Information Technology Materials Telecommunication Services Utilities Foreign Equities 0.8 U.S. Equities Mutual Fund Short Term Notes Derivative Assets and Liabilities Other Assets and Liabilities, Net SCEF 15

16 Canadian Equity Fund Fund Specific Notes to the Financial Statements AS AT DECEMBER 31, 2016 AND 2015 Offsetting of financial instruments In the normal course of business, the Fund may enter into various master netting arrangements or other similar agreements that do not meet the criteria for offsetting in the Statement of Financial Position but still allow for the related amounts to be set off in certain circumstances, such as bankruptcy or termination of the contracts. As at December 31, 2016 and December 31, 2015, no amounts were eligible for offsetting. Fair Value Measurements The following table summarizes the inputs used as at December 31, 2016 and 2015, in valuing the Fund s investments and derivatives carried at fair values: Quoted prices in active markets Significant other observable inputs Significant unobservable inputs 2016 for identical assets (Level 1) (Level 2) (Level 3) Total Common shares $ 2,332,330,254 $ 3,361,264 $ 2,135,380 $ 2,337,826,898 Short term notes 49,715,199 49,715,199 Investments in funds 2,551 2,551 Derivative assets 107, ,637 Derivative liabilities (46,860) (160,736) (207,596) 2015 Common shares $ 2,106,971,791 $ 72,798 $ 5,923,778 $ 2,112,968,367 Short term notes 34,495,410 34,495,410 Investments in funds 2,533 2,533 Derivative assets 73,686 73,686 Derivative liabilities (938,312) (49,294) (987,606) During the year ended December 31, 2016, no investments (December 31, 2015 $2,979,018) were transferred from Level 2 to Level 1 as they began trading in an active market. During the year ended December 31, 2016, $3,310,744 (December 31, 2015 $nil) were transferred from Level 1 to Level 2 as they ceased to be traded in an active market. During the years ended December 31, 2016 and 2015, the reconciliation of investments measured at fair value using unobservable inputs (Level 3) is presented as follows: Beginning Balance $ 5,923,778 $ 2,417,707 Purchases 544,201 3,603,643 Sales (375,837) Net transfers into and/or out of level 3 Realized gains/(losses) 375,837 Change in unrealized appreciation/depreciation (4,332,599) (97,572) Ending Balance $ 2,135,380 $ 5,923,778 Total change in unrealized appreciation during the period for assets held $ (4,332,599) $ (97,572) As at December 31, 2016 and 2015, the potential impact of using reasonable possible alternative assumptions for valuing Level 3 financial instruments would have minimal impact on net assets. Net gains and losses The following table presents the net gains (losses) on financial instruments at FVTPL by category for the years ended December 31, 2016 and (in thousands of dollars) Category Net gains (losses) Financial instruments at FVTPL: Held for trading $ 1,965 $ (21,777) Designated at inception 343,960 (38,632) Total financial instruments at FVTPL $ 345,925 $ (60,409) SCEF 16

17 Canadian Equity Fund Fund Specific Notes to the Financial Statements AS AT DECEMBER 31, 2016 AND 2015 Interest in Unconsolidated Structured Entities The table below sets out interests held by the Fund in unconsolidated structured entities for the years ended December 31, 2016 and The Fund holds Class O of the Funds listed, unless otherwise noted. The maximum exposure to loss is the carrying amount of the financial assets held: Investment in open-ended Investment Funds December 31, 2016 Name of Fund Principal Place of Business Investment fair value % of ownership interest in the underlying funds Money Market Fund Canada 2, % December 31, 2015 Name of Fund Principal Place of Business Investment fair value % of ownership interest in the underlying funds Money Market Fund Canada 2, % SCEF 17

18 Canadian Small Company Equity Fund Statements of Financial Position AS AT DECEMBER 31, 2016 AND 2015 (in thousands of dollars except per unit data) ASSETS Current assets Investments (non-derivative financial assets) $ 206,770 $ 178,104 Cash including foreign currency holdings 713 3,657 Accrued dividends receivable Margin receivable on futures Receivable for portfolio securities sold 215 Receivable for unit subscriptions Receivable from manager 1 1 Prepaid expenses Derviative assets , ,302 LIABILITIES Current liabilities Accrued liabilities Payable for portfolio securities purchased Payable for unit redemptions NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS $ 208,176 $ 182,996 NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS PER CLASS (note 5) (Class D) $ 3,671 $ 3,324 (Class E) $ 190 $ 112 (Class F) $ 1,477 $ 1,306 (Class O) $ 197,280 $ 170,681 (Class P) $ 5,558 $ 7,573 NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS PER UNIT (Class D) $ $ 9.54 (Class E) $ $ (Class F) $ $ (Class O) $ $ (Class P) $ $ INVESTMENTS AT AVERAGE COST $ 160,909 $ 161,686 Statements of Comprehensive Income FOR THE YEARS ENDED DECEMBER 31, 2016 AND 2015 (in thousands of dollars except per unit data) INCOME NET GAIN (LOSS) ON INVESTMENTS AND DERIVATIVES Dividends $ 3,172 $ 3,666 Interest for distribution purposes Derivative income (loss) 435 (1,358) Net realized gain (loss) on sale of investments 8,215 10,859 Foreign exchange gain (loss) on foreign currency translation (131) Net change in unrealized appreciation (depreciation) of investments and derivatives 29,389 (16,871) 41,237 (3,796) Foreign exchange gain (loss) on cash (1) (26) TOTAL INCOME (NET) 41,236 (3,822) EXPENSES Custodian and administration fees Legal fees Audit fees Management fees Trustee fees 5 5 Independent review committee fees 1 1 Transaction costs Securityholder reporting costs Foreign withholding taxes 9 1 TOTAL EXPENSES Waived expenses (2) (2) NET EXPENSES REDEEMABLE UNITS $ 40,327 $ (4,818) REDEEMABLE UNITS PER CLASS (Class D) $ 624 $ (186) (Class E) $ 23 $ (8) (Class F) $ 291 $ (27) (Class O) $ 38,041 $ (4,178) (Class P) $ 1,348 $ (419) AVERAGE NUMBER OF UNITS OUTSTANDING FOR THE PERIOD PER CLASS (Class D) (Class E) 9 7 (Class F) (Class O) 16,716 16,633 (Class P) REDEEMABLE UNITS PER UNIT* (Class D) $ 1.82 $ (0.62) (Class E) $ 2.61 $ (1.12) (Class F) $ 2.38 $ (0.23) (Class O) $ 2.28 $ (0.25) (Class P) $ 2.66 $ (0.68) * Based on the weighted average number of units outstanding during the period. SCSC 18

19 Canadian Small Company Equity Fund Statements of Changes in Net Assets Attributable to Holders of Redeemable Units FOR THE YEARS ENDED DECEMBER 31, 2016 AND 2015 (in thousands of dollars except per unit data) Fund Total Class D REDEEMABLE UNITS AT BEGINNING OF PERIOD $ 182,996 $ 205,336 $ 3,324 $ 2,902 REDEEMABLE UNITS 40,327 (4,818) 624 (186) DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITS Out of net investment income (3,029) (1,485) Out of net realized capital gains (3,045) (8,183) (27) (169) (6,074) (9,668) (27) (169) CAPITAL UNIT TRANSACTIONS Proceeds from issue of units 32,985 33, ,162 Payments on redemption of units (48,123) (50,529) (878) (554) Reinvestment of distributions 6,065 9, (9,073) (7,854) (250) 777 CHANGES IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS 25,180 (22,340) REDEEMABLE UNITS AT END OF PERIOD $ 208,176 $ 182,996 $ 3,671 $ 3,324 Class E Class F REDEEMABLE UNITS AT BEGINNING OF PERIOD $ 112 $ 66 $ 1,306 $ 1,555 REDEEMABLE UNITS 23 (8) 291 (27) DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITS Out of net investment income (1) (10) Out of net realized capital gains (2) (5) (38) (3) (5) (10) (38) CAPITAL UNIT TRANSACTIONS Proceeds from issue of units Payments on redemption of units (38) (28) (567) (603) Reinvestment of distributions (110) (184) CHANGES IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS (249) REDEEMABLE UNITS AT END OF PERIOD $ 190 $ 112 $ 1,477 $ 1,306 SCSC 19

20 Canadian Small Company Equity Fund Statements of Changes in Net Assets Attributable to Holders of Redeemable Units FOR THE YEARS ENDED DECEMBER 31, 2016 AND 2015 (in thousands of dollars except per unit data) Class O Class P REDEEMABLE UNITS AT BEGINNING OF PERIOD $ 170,681 $ 190,393 $ 7,573 $ 10,420 REDEEMABLE UNITS 38,041 (4,178) 1,348 (419) DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITS Out of net investment income (3,018) (1,485) Out of net realized capital gains (3,016) (7,628) (343) (6,034) (9,113) (343) CAPITAL UNIT TRANSACTIONS Proceeds from issue of units 30,213 28,535 1,629 2,853 Payments on redemption of units (41,648) (44,066) (4,992) (5,278) Reinvestment of distributions 6,027 9, (5,408) (6,421) (3,363) (2,085) CHANGES IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS 26,599 (19,712) (2,015) (2,847) REDEEMABLE UNITS AT END OF PERIOD $ 197,280 $ 170,681 $ 5,558 $ 7,573 Statements of Cash Flows FOR THE YEARS ENDED DECEMBER 31, 2016 AND 2015 (in thousands of dollars except per unit data) CASH FLOWS FROM OPERATING ACTIVITIES Increase (decrease) in net assets attributable to holder of redeemable units $ 40,327 $ (4,818) Adjustments for: Net realized (gain) loss on sale of investments (8,215) (10,859) Net change in unrealized (appreciation) depreciation of investments and derivatives (29,389) 16,871 Purchases of investments (125,835) (210,674) Proceeds from the sale of investments 135, ,893 Change in margin receivable on futures 159 (474) Change in dividends receivable (26) (47) Change in other assets Change in other liabilities (2) (32) 12,151 15,879 CASH FLOWS USED IN FINANCING ACTIVITIES Amount received from the issuance of units (note 16) 19,898 30,615 Amount paid on redemptions of units (note 16) (34,984) (47,971) Distributions paid to unitholders (9) (9) (15,095) (17,365) Increase (decrease) in cash during the period (2,944) (1,486) Cash at beginning of period 3,657 5,143 Cash at end of period 713 3,657 CASH FLOWS INCLUDED IN OPERATING ACTIVITIES Interest received Dividends received, net of withholding taxes 3,137 3,618 SCSC 20

21 Canadian Small Company Equity Fund Schedule of Investment Portfolio AS AT DECEMBER 31, 2016 Number Average Fair of Cost Value Shares $ $ EQUITIES 96.5% Canadian Equities 95.9% Consumer Discretionary 11.1% Aritzia Inc. 22, , ,000 DHX Media Ltd. 253,719 1,982,000 1,788,719 Dirtt Environmental Solutions Ltd. 78, , ,148 EnerCare Inc. 57, ,137 1,034,131 goeasy Ltd. 65,356 1,355,032 1,594,686 Hardwoods Distribution Inc. 29, , ,171 Intertain Group Ltd. (The) 59, , ,382 Leon s Furniture Ltd. 41, , ,744 Linamar Corp. 54,700 1,947,098 3,155,643 Martinrea International Inc. 131,501 1,298,761 1,129,594 Merus Labs International Inc. 489, , ,052 MTY Food Group Inc. 13, , ,853 Quebecor Inc., Class B 60,400 1,005,533 2,254,128 Sleep Country Canada Holdings Inc. 45,561 1,316,202 1,311,246 Spin Master Corp. 31, ,318 1,003,362 Uni-Select Inc. 134,729 2,167,499 3,973,158 Yellow Pages Ltd. 112,737 2,108,265 1,994,318 18,741,314 23,188,335 Consumer Staples 6.4% AGT Food and Ingredients Inc. 110,606 2,949,248 4,052,604 Andrew Peller Ltd., Class A 106, ,406 1,240,411 Clearwater Seafoods Inc. 95,877 1,015,068 1,116,967 Lassonde Industries Inc., Class A 11, ,816 2,660,732 Maple Leaf Foods Inc. 50, ,251 1,431,308 Premium Brands Holdings Corp. 40,980 1,308,810 2,825,981 7,882,599 13,328,003 Energy 19.6% Advantage Oil & Gas Ltd. 141, ,002 1,286,805 Birchcliff Energy Ltd. 178,400 1,064,010 1,671,608 Bonavista Energy Corp. 223,546 1,047,741 1,075,256 Bonterra Energy Corp. 103,440 2,839,843 3,009,070 Canadian Energy Services & Technology Corp. 61, , ,587 Cardinal Energy Ltd. 119,904 1,513,761 1,269,783 Crew Energy Inc. 434,925 2,929,712 3,266,287 Denison Mines Corp. 866,600 1,077, ,620 Enerflex Ltd. 133,220 1,756,659 2,271,401 Freehold Royalties Ltd. 135,516 1,555,873 1,920,262 Kelt Exploration Ltd. 122, , ,535 Nuvista Energy Ltd. 187,700 1,212,965 1,302,638 Painted Pony Petroleum Ltd., Class A 269,064 2,097,937 2,480,770 Paramount Resources Ltd., Class A 142,400 1,929,566 2,573,168 Parex Resources Inc. 177,295 1,234,523 2,996,285 Parkland Fuel Corp. 43, ,463 1,223,908 Parkland Fuel Corp., Subscription Receipts 5, , ,273 Penn West Petroleum Ltd. 356, , ,900 Secure Energy Services Inc. 146,005 1,544,084 1,709,718 Spartan Energy Corp. 211, , ,828 Storm Resources Ltd. 322,803 1,509,838 1,710,856 Tamarack Valley Energy Ltd. 625,326 2,393,006 2,163,628 TORC Oil & Gas Ltd. 289,385 2,413,362 2,393,214 Total Energy Services Inc. 55, , ,900 Number Average Fair of Cost Value Shares $ $ TransGlobe Energy Corp. 229,536 1,152, ,047 Trinidad Drilling Ltd. 248, , ,578 Whitecap Resources Inc. 59, , ,496 35,234,718 40,790,421 Financials 16.7% Alaris Royalty Corp. 24, , ,104 Altus Group Ltd. 110,528 2,398,842 3,421,947 American Hotel Income Properties REIT L.P. 104,929 1,138,863 1,097,557 Automotive Properties REIT 54, , ,274 Boardwalk REIT 37,426 1,793,084 1,820,775 Callidus Capital Corp. 49, , ,246 Canadian Western Bank 42,700 1,147,509 1,295,518 Chesswood Group Ltd. 88,446 1,047,781 1,056,930 Colliers International Group Inc. 60,200 2,206,082 2,979,298 Crown Capital Partners Inc. 38, , ,803 ECN Capital Corp. 379,210 1,166,243 1,251,393 Element Fleet Management Corp. 163,864 1,940,385 2,041,746 Equitable Group Inc. 57,600 2,268,258 3,482,496 FirstService Corp. 74,413 2,292,352 4,743,085 Gluskin Sheff + Associates Inc. 18, , ,721 Home Capital Group Inc. 69,524 1,914,207 2,178,882 Industrial Alliance Insurance and Financial Services Inc. 52,300 1,622,948 2,792,297 Laurentian Bank of Canada 40,499 1,968,633 2,338,007 Tricon Capital Group Inc. 146,955 1,129,232 1,390,194 26,881,141 34,679,273 Health Care 1.6% Cipher Pharmaceuticals Inc. 130,856 1,400, ,194 CRH Medical Corp. 223, ,754 1,601,448 Knight Therapeutics Inc. 101, ,213 1,085,868 3,113,949 3,328,510 Industrials 15.8% Aecon Group Inc. 86,643 1,117,240 1,321,306 AG Growth International Inc. 43,407 1,484,359 2,279,736 Badger Daylighting Ltd. 74,936 1,747,253 2,405,446 Boyd Group Income Fund 35,152 1,740,437 3,007,605 BuildDirect.com Technologies Inc. 170, , ,150 Cervus Equipment Corp. 19, , ,735 Exchange Income Corp. 28, ,877 1,204,821 GDI Integrated Facility Services Inc. 44, , ,940 Héroux-Devtek Inc. 143,039 1,438,108 2,102,673 New Flyer Industries Inc. 47, ,204 1,956,318 Richelieu Hardware Ltd. 144,864 2,638,997 3,702,724 Savaria Corp. 50, , ,642 Stantec Inc. 19, , ,009 Superior Plus Corp. 231,894 2,591,363 2,956,648 TFI International Inc. 81,422 2,247,021 2,840,814 Toromont Industries Ltd. 16, , ,775 Wajax Corp. 57,000 1,420,333 1,314,420 WestJet Airlines Ltd. 126,100 2,304,059 2,905,344 WSP Global Inc. 32,471 1,321,020 1,451,129 24,068,574 32,971,235 SCSC 21

22 Canadian Small Company Equity Fund Schedule of Investment Portfolio AS AT DECEMBER 31, 2016 Number Average Fair of Cost Value Shares $ $ Information Technology 5.7% Computer Modelling Group Ltd. 42, , ,766 Descartes Systems Group Inc. (The) 88, ,705 2,534,643 Enghouse Systems Ltd. 26,162 1,412,656 1,463,502 Evertz Technologies Ltd. 22, , ,092 Kinaxis Inc. 51,530 1,792,875 3,220,625 Mediagrif Interactive Technologies Inc. 58, ,868 1,106,036 Mitel Networks Corp. 90, , ,894 Opsens Inc. 600, , ,134 Solium Capital Inc. 113, , ,480 7,970,875 11,845,172 Materials 19.0% Alamos Gold Inc., Class A 207,000 1,402,498 1,916,820 Asanko Gold Inc. 132, , ,488 AuRico Metals Inc B2Gold Corp. 223, , ,161 Canam Group Inc., Class A 79, , ,514 Capstone Mining Corp. 501, , ,782 CCL Industries Inc., Class B 13, ,839 3,680,010 Chemtrade Logistics Income Fund 100,826 1,531,088 1,909,645 Fortuna Silver Mines Inc. 396,211 2,627,405 3,007,242 Guyana Goldfields Inc. 136, , ,835 Interfor Corp. 101,891 1,379,347 1,531,422 Intertape Polymer Group Inc. 214,441 2,926,975 5,399,624 Kirkland Lake Gold Ltd. 173,115 1,579,719 1,215,267 Klondex Mines Ltd. 34, , ,419 Lundin Mining Corp. 202,800 1,081,914 1,297,920 Major Drilling Group International Inc. 206,500 1,486,239 1,449,630 Number Average Fair of Cost Value Shares $ $ Nevsun Resource Ltd. 284,596 1,297,383 1,181,073 Osisko Gold Royalties Ltd. 126,945 1,917,883 1,661,710 Richmont Mines Inc. 61, , ,748 SEMAFO Inc. 173, , ,451 SHOP.CA Network Inc., Class A 1,101, ,800 11,010 Stella-Jones Inc. 76,481 2,401,699 3,333,042 Supremex Inc. 112, , ,560 Tahoe Resources Inc. 88, ,912 1,119,070 Torex Gold Resources Inc. 36, , ,344 Trevali Mining Corp. 629, , ,589 Western Forest Products Inc. 55, , ,082 Winpak Ltd. 82,815 1,410,869 3,761,457 30,381,077 39,569,916 Total Canadian Equities 154,274, ,700,865 U.S. EQUITIES 0.6% Currency Exchange International Corp. 41,457 1,153,626 1,250,908 Total U.S. Equities 1,153,626 1,250,908 Total Equities 155,427, ,951,773 Total Short Term Notes 2.8% 5,815,001 5,817,740 Less: Transaction cost included in average cost (333,754) Total Non-Derivative Financial Assets 99.3% 160,909, ,769,513 Derivative Assets and Liabilities (1) 0.0% (170) Other Assets and Liabilities, Net 0.7% 1,407,077 Net Assets Attributable to Holders of Redeemable Units 100.0% 208,176,420 SCHEDULE OF SHORT TERM NOTES Par Interest Maturity Average Fair Value Rate Date Cost Value $ % $ $ Government of Canada Treasury Bill 125, , ,856 Government of Canada Treasury Bill 175, , ,822 Government of Canada Treasury Bill 475, , ,846 Government of Canada Treasury Bill 450, , ,528 Government of Canada Treasury Bill 675, , ,155 Government of Canada Treasury Bill 925, , ,179 Government of Canada Treasury Bill 1,350, ,348,380 1,349,042 Government of Canada Treasury Bill 25, ,967 24,982 Government of Canada Treasury Bill 525, , ,621 Government of Canada Treasury Bill 350, , ,598 Government of Canada Treasury Bill 250, , ,804 Government of Canada Treasury Bill 500, , ,307 Total Short Term Notes 5,815,001 5,817,740 SCSC 22