Semi-Annual Management Report of Fund Performance

Transcription

1 June 30, 2017 Semi-Annual Management Report of Fund Performance This semi-annual management report of fund performance contains financial highlights but does not contain the complete financial statements of the investment fund. If you have not received a copy of the semi-annual financial statements with this report, you can get a copy of the semi-annual financial statements at your request, and at no cost, by calling , by writing to us at 5000 Yonge Street, Suite 900, Toronto ON M2N 0A7, or by visiting our website at or SEDAR at Securityholders may also contact us using one of these methods to request a copy of the investment fund s proxy voting policies and procedures, proxy voting disclosure record, or quarterly portfolio disclosure.

2 Dear Investor, We are pleased to provide you with the Semi-Annual Management Report of Fund Performance (MRFP) for the six-month period ended June 30, The MRFP includes: Commentary on funds or portfolios investments and performances; Recent trends that could affect future performance; Summary information on your funds or portfolios holdings; Financial highlights for your funds or portfolios. You and your investment advisor can use the information contained in the MRFP to assess how your investments in the funds or portfolios align with your overall financial plan. You can also view the MRFP and other reports online at If you have any questions or concerns, please feel free to contact our Client Relations team at Thank you for your continued support. Sincerely, Duane Green President and Chief Executive Officer Corp.

3 Co-Lead Manager Stephen Lingard, CFA, MBA Fiduciary Trust Company of Canada Industry Experience: 23 years Location: Toronto, ON Co-Lead Manager Michael Greenberg, CFA Fiduciary Trust Company of Canada Industry Experience: 15 years Location: Toronto, ON RESULTS OF OPERATIONS As at June 30, 2017, total net asset value of the Fund was $2.4 billion, a decrease of 2.7% from December 31, This was primarily driven by $147.0 million in net redemptions and partially offset by an $82.8 million increase in net assets from operations. The Fund paid out $2.9 million in cash distributions to unitholders. During the past six months, the Fund s Series A units generated total returns of 2.8%. Over the same time period, the S&P/TSX Composite Total Return Index returned 0.7%, in Canadian-dollar terms. As the Fund is composed of a diversified mix of fixed income and equity funds, it employs a customized benchmark, the Custom Franklin Quotential Balanced Growth Benchmark (the Benchmark ), which returned 4.3% for the period in review. The performance of the Fund s other series is substantially similar to that of its Series A units, except for differences in expense structure. For the return of the Fund s other series (if applicable), please refer to the Past Performance section. From a broad asset class- and sector-level perspective, underperformance in US equity strategies detracted from returns relative to the customized Benchmark. Underperformance in Canadian and European equity strategies also dampened results. On the other hand, the Fund s fixed income holdings benefitted performance, as did its emerging-market equity strategies. Equity markets generated robust returns for the first half of 2017, though there were considerable differences across regions and sectors. Developed Europe and emerging markets exhibited strong performances, with each regional category showing some resilience to geopolitical uncertainty during the six-month period and benefitting from encouraging economic indicators out of the United States, Europe, China and Japan. Canada, however, lagged world equity markets, with weakness in the Energy sector weighing on returns. Oil prices in the first half of 2017 were under pressure as it appeared agreements on limiting production, reached by members of the Organization of the Petroleum Exporting Countries and other nations, would not be enough to fix the supply-and-demand issues affecting the industry. In particular, the prospect of increased production from the United States created uncertainty. Meanwhile, the US equity market continued to generate solid returns, with expectations over the reflationary policies of the Donald Trump administration overcoming any political turmoil in the country. The US Federal Reserve also increased interest rates twice this year so far, cementing the expectation that investors are now in a rising-rate environment. At least one more rate increase is expected in Fixed income markets were generally in positive territory for the six-month period, with the Canadian market outperforming the non-canadian space overall. Looking at the Fund at the individual holdings level, in Canadian equities, underperformance in positions such as Franklin Bissett Small Cap Fund and Franklin Templeton Canadian Large Cap Fund was negative for returns. This was partially offset by performance in positions such as Franklin Bissett Canadian Equity Fund. In US equities, gains from Franklin U.S. Opportunities Fund were more than offset by underperformance in positions such as Franklin U.S. Core Equity Fund and targetted exposure to the United States through exchange-traded funds. In European equities, negative effects from underperformance in Franklin Mutual European Fund, and targetted exposure to the region through a hedged equity strategy and an exchange-traded fund, were only partially offset by performance in Franklin European Small-Mid Cap Growth Fund. In Japanese equities, underperformance in Franklin Japan Fund and targetted exposure to Japan through an exchange-traded fund weighed on performance. In fixed income holdings, global positions supported relative performance, including exposure to Templeton Global Bond Fund and Franklin Strategic Income Fund. These contributions were partially offset by underperformance in Franklin U.S. Low Duration Fund. On the domestic front, performance in positions such as Franklin Bissett Core Plus Bond Fund was partially offset by the Fund s exposure to Franklin Bissett Canadian Short Term Bond Fund. Over the six-month period in review, the portfolio manager increased the Fund s proportional allocation to Canadian equity strategies. This move included increasing exposure to Franklin Bissett Canadian Equity Fund. The Fund s allocation to Canadian fixed income was also increased. Conversely, exposure to Japanese equities and global fixed income was decreased. The portfolio manager also liquidated the Fund s position in Franklin European Small-Mid Cap Growth Fund. Index performance comparison information is provided for reference only. It is important to note that the Fund s return reflects the effect of fees and expenses for professional management, while an index does not have such costs. Average net assets of the series of the Fund that bear expenses have remained relatively flat for the six months ended June 30, 2017, resulting in expenses remaining relative unchanged during the period. Income increased due to the results of the Fund s investment activities, including, but not limited to, those previously discussed for the period in review. RECENT DEVELOPMENTS The portfolio manager believes receding political headwinds have allowed an increasing number of investors to focus more on the eurozone s economic growth and emerging inflation as the economic backdrop continues to improve, which has led the portfolio manager to maintain a favourable view of European stocks. After an extended period of political uncertainty weighing on European equities, investor concerns surrounding populist politics in the region have largely faded. Following

4 French presidential runoff election results in May and parliamentary election results in June, along with encouraging economic data, European equities began and sustained a healthy rally. Though some uncertainty surfaced in early June following an election setback for UK Prime Minister Theresa May s Conservative Party, a setback that could affect Brexit negotiations and timing, continued reversal of the significant investor outflows from European equities in 2016 could further support performance potential for European stocks. Higher gross domestic product forecasts for countries in the European Economic and Monetary Union reflect improving macroeconomic conditions, and Ifo Survey data signalled optimism amongst businesses. Consumer confidence also recently climbed in several countries. In core European markets such as Germany, France, the Netherlands and Spain, earnings growth, momentum and revisions have shown improvement in recent months. The portfolio manager is also encouraged by the significant potential for the profit margins of European firms to converge with those of their US peers. In fixed income, the portfolio manager evaluates global bond markets employing a model that considers factors such as the business cycle, the slope of the yield curve across markets, momentum for 10-year government bonds and price momentum in equity markets (viewed as a contrarian indicator for bonds). These indicators are evaluated to assess the performance potential for global bonds over the next one to two months. While bond-price momentum appeared to support most major markets, other areas suggested caution with regard to duration. For example, the business cycle appeared as a headwind in countries such as Japan, Australia and the United Kingdom, based on this analysis. The combination of low-term premiums for global government bonds and the persistent momentum for global equity markets also suggested caution with regards to bond performance potential. The portfolio manager s base case scenarios for monetary policy from major central banks were generally supportive for global equities, and neutral or slightly bearish for global government bonds. The potential for expansionary fiscal policy in the United States and Europe, which could bolster interest rates, represents another headwind for global government bonds. After evaluating these factors and weighing related considerations, the portfolio manager maintained a preference for short duration in global bond markets. FORWARD-LOOKING STATEMENTS Investors should take note that certain statements in this report about a fund, including its strategy and expected future performance, are forward-looking. Forward-looking statements are statements that are predictive in nature, depend upon or refer to future events or conditions, or that include words such as may, will, should, could, expect, anticipate, intend, plan, believe, or estimate or other similar expressions. Any statement that is made concerning future strategies or performance is also a forward-looking statement. Statements that look forward in time or include anything other than historical information are subject to risks and uncertainties, and actual results, actions or events could differ materially from those set forth in the forward-looking statements. The forward-looking statements are by their nature based on numerous assumptions, which include, amongst other things, that (i) the Fund can attract and maintain investors and has sufficient capital under management to effect its investment strategies, (ii) the investment strategies will produce the results intended by the portfolio manager, and (iii) the markets will react and perform in a manner consistent with the investment strategies. Although the forward-looking statements contained herein are based upon what the portfolio manager believes to be reasonable assumptions, the portfolio manager cannot assure that actual results will be consistent with these forward-looking statements. Forward-looking statements are not guarantees of future performance. Any number of factors could contribute to differing results, including, among other things, general economic, political and market factors, interest and foreign exchange rates, global equity and capital markets, business competition, technological change, changes in government regulations, unexpected judicial or regulatory proceedings and catastrophic events. This list of factors is not exhaustive. Investors should not place undue reliance on forward-looking information and should be aware that the Fund may not update any forward-looking statements, whether as a result of new information, future events or otherwise. RELATED PARTY TRANSACTIONS The Manager is an indirect wholly-owned subsidiary of Franklin Resources, Inc., a global investment management organization known as. The Manager is the manager, registrar and transfer agent and a principal distributor of the Fund. The Manager provides or arranges for the provision of these services for day-to-day Fund operations, including the marketing, promotion and distribution of the Fund and portfolio advisory services. In consideration of management and administrative services, the Fund pays the Manager a monthly management fee based on the average net asset value of each series of the Fund (except Series O and OT as applicable), calculated daily, as set out under Management Fees below. During the six months ended June 30, 2017, the Fund paid management fees of $14.4 million (2016 $15.9 million). Franklin Templeton Services, LLC (FTS) provides the Manager with fund accounting and portfolio valuation services in connection with the Fund, and provides certain back office administration services to the Manager. The Administration Fee, as discussed below, covers the cost of the services provided by FTS. The Manager pays the operating expenses of the Fund, other than certain fund costs which include, but are not limited to, the cost of compliance with new governmental and regulatory requirements, fees and expenses of the Fund s Independent Review Committee (IRC), borrowing and interest costs and investor meeting costs (as permitted by Canadian securities regulation) in exchange for the payment by the Fund of an annual fixed-rate administration fee of 0.24% applied against the average daily net assets of the Fund ( Administration Fee ), except for Series PF and PFT, which have an annual Administration Fee of 0., and Series O and OT, which have no annual Administration Fee. The Manager will pay all operating expenses of Series O and OT, as

5 applicable, as part of its agreement with each investor. The Manager may, at its discretion, waive a portion of a series Administration Fee or absorb certain fund costs. During the six months ended June 30, 2017, the Fund paid Administration Fees of $1.9 million (2016 $2.1 million). During the six months ended June 30, 2017, the Manager waived operating expenses of $302,000 (2016 $357,000). Portfolio Advisor Fiduciary Trust Company of Canada (the Portfolio Advisor ), a wholly owned subsidiary of the Manager, provides investment analysis and recommendations. A portion of the management fee paid to the Manager is payable to the Portfolio Advisor with respect to portfolio advisory services. Principal Distributor As a principal distributor of the Fund, the Manager markets the Fund and arranges for the sale of the Fund through dealers across Canada. The Manager may retain companies to assist in the sale of certain series of shares of the Fund. The Manager s affiliate, FTC Investor Services Inc. ( FTC ISI ), also acts as a principal distributor for Series F, O, OT, FT, PF and PF (Hedged) shares of the Fund, as applicable. For acting as a principal distributor of the applicable series, FTC ISI receives an inter-company service fee of 0.2 of the assets under management of the applicable series from the Manager with respect to those series of units. Registrar and Transfer Agent portfolio advisory and administrative services related to the provision of portfolio advisory services. The table below outlines the Fund s annual management fee, as well as the portion of the management fee used to pay for Dealer Compensation and for portfolio advisory services as an approximate percentage of the management fee for each series: Series Management Fee (%) Dealer Compensation (%)* A F FT I PF PFT T Investment management, investment management expenses, and other (%) *Dealer compensation may include other fees related to distribution, which are not payable directly to dealers. The management and administration fees for Series O and OT are paid for by the unitholder directly to the Manager as follows: First C$200,000 to under $2.5 million 0.85% Next C$2.5 million to under $5 million 0.75% C$5 million and over 0.65 Certain institutional investors may negotiate the management and administration fees by written agreement with Franklin Templeton Investments. In addition to management and portfolio advisory services, the Manager acts as the registrar and transfer agent of the Fund. These services are in the normal course of operations and are covered by the Administration Fee paid by the Fund to the Manager. Standing Instructions from the Independent Review Committee The Manager relied on standing instructions from the IRC with respect to the allocation of any operating expenses not covered by the Administration Fee. The Manager relied, or may rely, on standing instructions from the IRC in respect of securities trades amongst mutual funds, investment funds or managed accounts managed by the Manager or an affiliate of the Manager. In both cases, the standing instructions require the Manager to comply with the policies and procedures presented to the IRC with respect to the above matters and to provide periodic reports to the IRC in accordance with NI MANAGEMENT FEES A portion of the management fee paid by the Fund to the Manager is for trail fees and sales commissions the Manager pays to dealers ( Dealer Compensation ). The trail fees are a percentage of the daily average net asset value of each series of the Fund, which is held by the dealer s clients. The remaining portion of the management fee is used to pay for

6 Summary of Investment Portfolio (AS AT JUNE 30, 2017) REGIONAL WEIGHTINGS (%)* North America Europe Asia Latin America & Caribbean 2.21 Middle East & Africa 0.54 Supranational 0.24 Australia & New Zealand 0.17 ASSET CLASS WEIGHTINGS (%) Equity (Exchange Traded Funds and exposure from Underlying Funds) Fixed Income (Exchange Traded Funds and exposure from Underlying Funds) Other assets (of Underlying Funds) 3.06 Short-term securities and all other assets, net 2.42 TOP 25 HOLDINGS (%) Franklin Bissett Core Plus Bond Fund, Series O Franklin Bissett Canadian Equity Fund, Series O 6.97 Franklin U.S. Core Equity Fund, Series O 6.57 Franklin Mutual European Fund, Series O 5.85 Franklin U.S. Rising Dividends Fund, Series O 5.82 Franklin ActiveQuant Canadian Fund, Series O 5.12 Franklin Strategic Income Fund, Series O 4.78 Franklin Templeton Canadian Large Cap Fund, Series O 4.24 Franklin U.S. Opportunities Fund, Series O 3.96 Templeton Global Bond Fund, Series O 3.90 ishares Russell 1000 Value ETF 3.56 BMO MSCI Europe High Quality Hedge to CAD Index ETF 3.38 Franklin Bissett Canadian Government Bond Fund, Series O 3.13 Templeton Asian Growth Fund, Series O 3.10 Franklin Japan Fund, Series I 3.02 Franklin U.S. Low Duration Fund, Series I 2.12 Franklin Bissett Small Cap Fund, Series O 2.07 ishares S&P/TSX 60 Index ETF 2.04 S&P Depositary Receipt EURO STOXX 50 ETF 2.04 ishares MSCI Japan ETF 1.96 Franklin Bissett Canadian Short Term Bond Fund, Series O 1.72 Templeton Emerging Markets Smaller Companies Fund, Series I 1.26 S&P Depositary Receipt Gold Trust ETF 0.98 ishares Core MSCI Emerging Markets ETF 0.95 Templeton Frontier Markets Fund, Series O 0.68 TOTAL NET ASSET VALUE: $2,423,670,000 * Excluding short-term securities and all other assets, net. A sub-fund of funds, which are managed by an affiliate of the Manager and organized under the laws of Luxembourg as a Société d Investissement à Capital Variable (SICAV), an open-ended investment company. The Fund invests substantially all of its assets in other investment funds. Above is an outline of the investments held in the Fund as a percentage of its net assets. Due to ongoing portfolio transactions, the investments and percentages may have changed by the time you purchase units of the Fund. The top 25 holdings are made available quarterly, 60 days after the quarter-end. To obtain a copy, please contact a member of our client services team at or visit The simplified prospectus and other information about the underlying funds are available at or at

7 Series A (AS AT JUNE 30, 2017) Net assets per unit (1) Jun. 30, Net assets beginning of period $7.92 $7.90 $8.06 $7.58 $6.66 $6.30 Total revenue Total expenses (0.09) (0.18) (0.20) (0.18) (0.16) (0.15) Realized gains (losses) for the period Unrealized gains (losses) for the period 0.11 (0.08) (0.32) Total increase (decrease) from operations (2) From income (excluding dividends) (0.03) From dividends (0.10) (0.10) (0.08) (0.07) (0.04) From capital gains (0.06) (0.46) Returns of capital Total annual distributions (3) (0.16) (0.59) (0.08) (0.07) (0.04) Net assets end of period $8.14 $7.92 $7.90 $8.06 $7.58 $6.66 Ratios and supplemental data: Jun. 30, Total net asset value ($ millions) (1) $1, $1, $1, $1, $1, $1, Number of units outstanding 134,092, ,646, ,710, ,015, ,513, ,798,693 Management expense ratio (2) 2.32% 2.31% % 2.28% 2.27% Management expense ratio before waivers or absorptions (3) 2.45% 2.46% 2.48% 2.36% 2.42% 2.41% Trading expense ratio (4) 0.05% 0.07% 0.07% 0.07% 0.13% 0.11% Portfolio turnover rate (5) 21.18% 50.06% 51.65% 35.45% 51.67% 42.49% Net asset value per unit $8.14 $7.92 $7.90 $8.06 $7.58 $6.66 The opening net assets have been adjusted in accordance with IFRS without restatement of prior periods. Information pertaining to year 2012 was derived from the audited annual financial statements prepared under Canadian GAAP * -0.2% -25.4% 25.5% 9.6% -4.5% 6.4% 14.9% 7.4% 5.2% 2.2% 2.8% - -3 *For the period January 1 to June 30, 2017

8 Series F (AS AT JUNE 30, 2017) Net assets per unit (1) Jun. 30, Net assets beginning of period $9.26 $9.12 $9.21 $8.57 $7.44 $6.96 Total revenue Total expenses (0.06) (0.11) (0.12) (0.10) (0.09) (0.08) Realized gains (losses) for the period Unrealized gains (losses) for the period 0.12 (0.01) (0.50) (0.01) Total increase (decrease) from operations (2) From income (excluding dividends) (0.03) From dividends (0.11) (0.12) (0.09) (0.08) (0.04) From capital gains (0.07) (0.53) Returns of capital Total annual distributions (3) (0.18) (0.68) (0.09) (0.08) (0.04) Net assets end of period $9.57 $9.26 $9.12 $9.21 $8.57 $7.44 Ratios and supplemental data: Jun. 30, Total net asset value ($ millions) (1) $27.08 $26.08 $64.19 $48.38 $40.18 $34.90 Number of units outstanding 2,828,953 2,816,975 7,034,751 5,252,248 4,691,140 4,689,750 Management expense ratio (2) 1.21% 1.21% % 1.17% 1.16% Management expense ratio before waivers or absorptions (3) 1.34% 1.35% 1.37% 1.25% 1.29% 1.29% Trading expense ratio (4) 0.05% 0.07% 0.07% 0.07% 0.13% 0.11% Portfolio turnover rate (5) 21.18% 50.06% 51.65% 35.45% 51.67% 42.49% Net asset value per unit $9.57 $9.26 $9.12 $9.21 $8.57 $7.44 The opening net assets have been adjusted in accordance with IFRS without restatement of prior periods. Information pertaining to year 2012 was derived from the audited annual financial statements prepared under Canadian GAAP * 0.8% -24.6% 26.5% % 7.5% 16.3% 8.5% 6.3% 3.5% 3.4% - -3 *For the period January 1 to June 30, 2017

9 Series FT (AS AT JUNE 30, 2017) Net assets per unit (1) Jun. 30, Net assets beginning of period $8.31 $8.92 $9.73 $9.79 $9.19 $9.31 Total revenue Total expenses (0.05) (0.10) (0.12) (0.11) (0.11) (0.11) Realized gains (losses) for the period Unrealized gains (losses) for the period 0.11 (0.06) (0.47) Total increase (decrease) from operations (2) From income (excluding dividends) (0.03) From dividends (0.10) (0.12) (0.10) (0.09) (0.06) From capital gains (0.06) (0.52) Returns of capital (0.33) (0.71) (0.78) (0.78) (0.74) (0.74) Total annual distributions (3) (0.33) (0.87) (1.45) (0.88) (0.83) (0.80) Net assets end of period $8.27 $8.31 $8.92 $9.73 $9.79 $9.18 Ratios and supplemental data: Jun. 30, Total net asset value ($ millions) (1) $1.13 $0.85 $1.51 $1.25 $1.72 $1.43 Number of units outstanding 136, , , , , ,109 Management expense ratio (2) 1.21% 1.22% % 1.16% Management expense ratio before waivers or absorptions (3) 1.34% 1.36% 1.38% 1.25% 1.23% 1.26% Trading expense ratio (4) 0.05% 0.07% 0.07% 0.07% 0.13% 0.11% Portfolio turnover rate (5) 21.18% 50.06% 51.65% 35.45% 51.67% 42.49% Net asset value per unit $8.27 $8.31 $8.92 $9.73 $9.79 $9.19 The opening net assets have been adjusted in accordance with IFRS without restatement of prior periods. Information pertaining to year 2012 was derived from the audited annual financial statements prepared under Canadian GAAP * 0.9% -24.5% 26.6% 10.9% -3.5% 7.7% 16.2% 8.6% 6.4% 3.3% 3.5% - -3 *For the period January 1 to June 30, 2017

10 Series I (AS AT JUNE 30, 2017) Net assets per unit (1) Jun. 30, Net assets beginning of period $8.68 $8.59 $8.71 $8.13 $7.10 $6.67 Total revenue Total expenses (0.07) (0.14) (0.15) (0.14) (0.13) (0.11) Realized gains (losses) for the period Unrealized gains (losses) for the period 0.11 (0.03) (0.54) (0.11) Total increase (decrease) from operations (2) From income (excluding dividends) (0.03) From dividends (0.11) (0.11) (0.09) (0.08) (0.04) From capital gains (0.06) (0.49) Returns of capital Total annual distributions (3) (0.17) (0.63) (0.09) (0.08) (0.04) Net assets end of period $8.96 $8.68 $8.59 $8.71 $8.13 $7.10 Ratios and supplemental data: Jun. 30, Total net asset value ($ millions) (1) $ $ $ $67.90 $29.29 $7.50 Number of units outstanding 15,338,372 16,310,113 12,981,777 7,797,492 3,602,263 1,056,738 Management expense ratio (2) % 1.64% 1.63% Management expense ratio before waivers or absorptions (3) 1.69% % 1.59% 1.75% 1.73% Trading expense ratio (4) 0.05% 0.07% 0.07% 0.07% 0.13% 0.11% Portfolio turnover rate (5) 21.18% 50.06% 51.65% 35.45% 51.67% 42.49% Net asset value per unit $8.96 $8.68 $8.59 $8.71 $8.13 $7.10 The opening net assets have been adjusted in accordance with IFRS without restatement of prior periods. Information pertaining to year 2012 was derived from the audited annual financial statements prepared under Canadian GAAP * 0.4% -25.1% 26.1% 10.4% -3.9% 7.1% 15.6% 8.2% 5.9% % - -3 *For the period January 1 to June 30, 2017

11 Series O (AS AT JUNE 30, 2017) Net assets per unit (1) Jun. 30, Net assets beginning of period $10.97 $10.69 $10.66 $9.80 $8.42 $7.78 Total revenue Total expenses Realized gains (losses) for the period Unrealized gains (losses) for the period 0.14 (0.09) (0.47) Total increase (decrease) from operations (2) From income (excluding dividends) (0.03) From dividends (0.13) (0.14) (0.11) (0.09) (0.05) From capital gains (0.08) (0.62) Returns of capital Total annual distributions (3) (0.21) (0.79) (0.11) (0.09) (0.05) Net assets end of period $11.41 $10.97 $10.69 $10.66 $9.80 $8.41 Ratios and supplemental data: Jun. 30, Total net asset value ($ millions) (1) $ $ $ $ $ $ Number of units outstanding 87,418,195 87,945,681 90,390,827 86,760,810 90,160,771 92,501,785 Management expense ratio (2) Management expense ratio before waivers or absorptions (3) 0.09% % Trading expense ratio (4) 0.05% 0.07% 0.07% 0.07% 0.13% 0.11% Portfolio turnover rate (5) 21.18% 50.06% 51.65% 35.45% 51.67% 42.49% Net asset value per unit $11.41 $10.97 $10.69 $10.66 $9.80 $8.42 The opening net assets have been adjusted in accordance with IFRS without restatement of prior periods. Information pertaining to year 2012 was derived from the audited annual financial statements prepared under Canadian GAAP * 2.1% -23.8% 28.2% 12.2% -2.3% 8.9% 17.5% 9.9% 7.7% 4.6% *For the period January 1 to June 30, 2017

12 Series OT (AS AT JUNE 30, 2017) Net assets per unit (1) Jun. 30, Net assets beginning of period $9.46 $10.02 $10.80 $10.74 $9.97 $9.98 Total revenue Total expenses Realized gains (losses) for the period Unrealized gains (losses) for the period 0.09 (0.12) (0.49) Total increase (decrease) from operations (2) From income (excluding dividends) (0.03) From dividends (0.12) (0.13) (0.11) (0.10) (0.06) From capital gains (0.07) (0.58) Returns of capital (0.38) (0.80) (0.86) (0.86) (0.80) (0.80) Total annual distributions (3) (0.38) (0.99) (1.60) (0.97) (0.90) (0.86) Net assets end of period $9.47 $9.46 $10.02 $10.80 $10.74 $9.96 Ratios and supplemental data: Jun. 30, Total net asset value ($ millions) (1) $7.33 $5.50 $3.33 $2.93 $2.87 $2.66 Number of units outstanding 774, , , , , ,962 Management expense ratio (2) Management expense ratio before waivers or absorptions (3) 0.09% % % Trading expense ratio (4) 0.05% 0.07% 0.07% 0.07% 0.13% 0.11% Portfolio turnover rate (5) 21.18% 50.06% 51.65% 35.45% 51.67% 42.49% Net asset value per unit $9.47 $9.46 $10.02 $10.80 $10.74 $9.97 The opening net assets have been adjusted in accordance with IFRS without restatement of prior periods. Information pertaining to year 2012 was derived from the audited annual financial statements prepared under Canadian GAAP * ** -2.1% -23.8% 28.4% 12.1% -2.4% 8.9% 17.5% 9.8% 7.7% 4.6% 4.1% - -3 * 2007 Series OT return: June 14 to December 31 ** For the period January 1 to June 30, 2017

13 Series PF (AS AT JUNE 30, 2017) Net assets per unit (1) Jun. 30, Net assets beginning of period $9.93 $10.00 Total revenue Total expenses (0.05) (0.02) Realized gains (losses) for the period Unrealized gains (losses) for the period 0.09 (0.25) Total increase (decrease) from operations (2) From income (excluding dividends) From dividends (0.12) From capital gains (0.07) Returns of capital Total annual distributions (3) (0.19) Net assets end of period $10.29 $9.93 Ratios and supplemental data: Jun. 30, Total net asset value ($ millions) (1) $60.26 $47.68 Number of units outstanding 5,857,005 4,800,034 Management expense ratio (2) 0.89% 0.92% Management expense ratio before waivers or absorptions (3) 1.02% 1.06% Trading expense ratio (4) 0.05% 0.07% Portfolio turnover rate (5) 21.18% 50.06% Net asset value per unit $10.29 $ * 2017** 1.2% 3.6% - -3 * 2016 Series PF return: October 3 to December 31 ** For the period January 1 to June 30, 2017

14 Series PFT (AS AT JUNE 30, 2017) Net assets per unit (1) Jun. 30, Net assets beginning of period $14.71 $15.00 Total revenue Total expenses (0.07) (0.03) Realized gains (losses) for the period Unrealized gains (losses) for the period (0.14) (0.35) Total increase (decrease) from operations (2) From income (excluding dividends) From dividends From capital gains (0.10) Returns of capital (0.20) Total annual distributions (3) (0.30) Net assets end of period $14.64 $14.71 Ratios and supplemental data: Jun. 30, Total net asset value ($ millions) (1) $9.29 $1.90 Number of units outstanding 634, ,967 Management expense ratio (2) % Management expense ratio before waivers or absorptions (3) 1.03% 1.08% Trading expense ratio (4) 0.05% 0.07% Portfolio turnover rate (5) 21.18% 50.06% Net asset value per unit $14.64 $ * 2017** 1.3% 3.5% - -3 * 2016 Series PFT return: October 3 to December 31 ** For the period January 1 to June 30, 2017

15 Series T (AS AT JUNE 30, 2017) Net assets per unit (1) Jun. 30, Net assets beginning of period $7.24 $7.85 $8.67 $8.83 $8.39 $8.60 Total revenue Total expenses (0.08) (0.17) (0.20) (0.20) (0.20) (0.19) Realized gains (losses) for the period Unrealized gains (losses) for the period 0.10 (0.08) (0.31) Total increase (decrease) from operations (2) From income (excluding dividends) (0.03) From dividends (0.09) (0.10) (0.09) (0.08) (0.05) From capital gains (0.05) (0.46) Returns of capital (0.29) (0.63) (0.69) (0.71) (0.67) (0.69) Total annual distributions (3) (0.29) (0.77) (1.28) (0.80) (0.75) (0.74) Net assets end of period $7.15 $7.24 $7.85 $8.67 $8.83 $8.39 Ratios and supplemental data: Jun. 30, Total net asset value ($ millions) (1) $91.64 $ $ $ $ $ Number of units outstanding 12,808,684 14,033,117 15,164,096 15,648,596 17,152,584 20,179,640 Management expense ratio (2) 2.31% 2.31% 2.29% 2.26% 2.28% 2.27% Management expense ratio before waivers or absorptions (3) 2.44% 2.45% 2.47% 2.36% 2.43% 2.41% Trading expense ratio (4) 0.05% 0.07% 0.07% 0.07% 0.13% 0.11% Portfolio turnover rate (5) 21.18% 50.06% 51.65% 35.45% 51.67% 42.49% Net asset value per unit $7.15 $7.24 $7.85 $8.67 $8.83 $8.39 The opening net assets have been adjusted in accordance with IFRS without restatement of prior periods. Information pertaining to year 2012 was derived from the audited annual financial statements prepared under Canadian GAAP * -0.2% -25.4% 25.3% 9.7% -4.6% 6.5% 14.9% 7.4% 5.2% 2.3% 2.8% - -3 *For the period January 1 to June 30, 2017

16 EXPLANATORY NOTES TO NOTES TO Net Assets per Unit: (1) This information is derived from the Fund s unaudited interim financial statements and audited annual financial statements. In the period a portfolio or series is established, the financial information is provided from the date of inception to the end of the period. In cases where the net assets per unit presented in the financial statements differ from the net asset value calculated for Fund pricing purposes, an explanation of these differences can be found in the notes to the financial statements. OTHER FUND INFORMATION Reported year-by-year returns for past years may be revised, based on the results of recalculations, audits and/or other historical review processes. Such revisions are considered immaterial to performance disclosure unless otherwise stated. (2) Net assets and distributions are based on the actual number of units outstanding at the relevant time. The increase/decrease in net assets from operations is based on the weighted average number of units outstanding over the fiscal period. This table is not intended to be a reconciliation of opening and closing net assets per unit. (3) Distributions were paid in cash or reinvested in additional units of the Portfolio or both, and exclude distributions of management fee reductions to unitholders. Ratios and Supplemental Data: (1) This information is provided as at the period-end of the year shown. (2) Management expense ratio is based on total expenses for the stated period and is expressed as an annualized percentage of daily average net asset value during the period. (3) Management expense ratio before waivers or absorptions for years 2015 onwards has been adjusted to include the costs associated with the Fund s investments in exchange traded funds and Funds managed by affiliates of the Manager. (4) The trading expense ratio represents total commissions and other portfolio transaction costs expressed as an annualized percentage of net asset value during the period. For funds that invest in multiple Underlying Funds, the trading expense ratio represents the Fund s proportionate share of total commissions and other portfolio costs of the Underlying Fund as an annualized percentage of its daily average net assets during the period. (5) The Fund s portfolio turnover rate indicates how actively the Fund s portfolio manager manages its portfolio investments. A portfolio turnover rate of 10 is equivalent to the Fund buying and selling each security in its portfolio once in the course of the relevant period. The higher the portfolio turnover rate in the period, the greater the trading costs payable by the Fund and the greater the chance of an investor receiving taxable capital gains in the year. There is not necessarily a relationship between a high turnover rate and the performance of the Fund. Where a fund has invested in Underlying Funds for the entire period the portfolio turnover rate is zero. CFA and Chartered Financial Analyst are trademarks owned by CFA Institute.