MACKENZIE STRATEGIC INCOME FUND

Transcription

1 Interim Management Report of Fund Performance For the Six-Month Period Ended September 30, This Interim Management Report of Fund Performance contains financial highlights but does not contain either the interim financial report or annual financial statements of the investment fund. You may obtain a copy of the interim financial report or annual financial statements, at no cost, by contacting us using one of the methods noted under Fund Formation and Series Information or by visiting the SEDAR website 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. Every effort has been made to ensure that the information contained in this report is accurate as of the dates indicated in the report; however, the Fund cannot guarantee the accuracy or the completeness of this material. For more information, please refer to the Fund s Simplified Prospectus, Annual Information Form and Fund Facts, which may also be obtained, at no cost, using any of the methods outlined above. For the Fund s current net asset values per security and for more recent information on general market events, please visit our website. A NOTE ON FORWARD-LOOKING STATEMENTS This report may contain forward-looking statements that reflect our current expectations or forecasts of future events. Forward-looking statements include statements that are predictive in nature, depend upon or refer to future events or conditions, or include words such as expects, anticipates, intends, plans, believes, estimates, preliminary, typical and other similar expressions. In addition, these statements may relate to future corporate actions, future financial performance of a fund or a security and their future investment strategies and prospects. Forward-looking statements are inherently subject to, among other things, risks, uncertainties and assumptions that could cause actual events, results, performance or prospects to differ materially from those expressed in, or implied by, these forward-looking statements. These risks, uncertainties and assumptions include, without limitation, general economic, political and market factors in North America and internationally, interest and foreign exchange rates, the volatility of global equity and capital markets, business competition, technological change, changes in government regulations, changes in securities laws and regulations, changes in tax laws, unexpected judicial or regulatory proceedings, catastrophic events and the ability of Mackenzie to attract or retain key employees. The foregoing list of important risks, uncertainties and assumptions is not exhaustive. Please consider these and other factors carefully and do not place undue reliance on forward-looking statements. The forward-looking information contained in this report is current only as of the date of this report. There should not be an expectation that such information will in all circumstances be updated, supplemented or revised whether as a result of new information, changing circumstances, future events or otherwise.

2 INTERIM MANAGEMENT REPORT OF FUND PERFORMANCE For the Period Ended September 30, Management Discussion of Fund Performance November 14, This Management Discussion of Fund Performance presents the portfolio management team s view on the significant factors and developments during the period ended September 30,, that have affected the Fund s performance and outlook. If the Fund was established during the period, period represents the period from inception to the end of the fiscal period. For information on the Fund s longer-term performance, as applicable, please refer to the Past Performance section of the report. In this report, Mackenzie refers to Mackenzie Financial Corporation, the manager of the Fund. In addition, net asset value ( NAV ) refers to the value of the Fund as calculated for transaction purposes, on which the discussion of Fund performance is based. Results of Operations Investment Performance The performance of the Fund s Series A, Quadrus Series and Series LB securities is discussed below. The performance of all series is shown in the Past Performance section of the report. Where series returns differ, it is primarily because different levels of fees and expenses were charged to each series, or because securities of a series were not issued and outstanding for the entire reporting period. Please refer to the Fund Formation and Series Information section of this report for the varying management and administration fees payable by each series. During the period, the Fund s Series A and Quadrus Series securities returned 1.1%, and Series LB securities returned 1.0% (after deducting fees and expenses paid by the series). This compares with a return of 0.6% for a blended index composed of a 50% weighting in the Fund s broadbased index, the S&P/TSX Composite Index (returned 2.0%), and a 50% weighting in the FTSE TMX Canada Universe Bond Index (returned 0.7%). All index and series returns are calculated on a total return basis in Canadian dollar terms. Investors cannot invest in the index without incurring fees, expenses and commissions, which are not reflected in the index returns. Despite robust economic growth, as measured by gross domestic product, Canadian equity markets were up only modestly over the period. Oil demand and supply came closer into balance, but the West Texas Intermediate crude oil price ended the period lower, and overall sentiment toward energy equities was poor. The Bank of Canada raised its policy rate for the first time in seven years, which benefited banks and insurance companies more than defensive sectors that are less sensitive to economic changes, such as utilities and consumer staples. Within the S&P/TSX Composite Index, consumer discretionary, industrials and information technology were the strongest sectors, while materials, energy and consumer staples were the weakest. Global economic growth was positive over the period as a range of indicators suggested that expansion is under way in most developed nations. Despite geopolitical tensions with respect to North Korea, global equity markets rose in response to increasing corporate earnings. Given improved growth and lower deflation risks, the European Central Bank hinted that it may tighten its accommodative monetary policy by further reducing asset purchases. The Canadian bond market was one of the weakest bond markets globally during the period. This was because domestic economic data was strong, and the Bank of Canada shifted to a tightening policy tone. In anticipation of further policy rate increases, the Canadian yield curve flattened as yields of shorter- and medium-term bonds rose significantly relative to longerterm bonds. The Canadian high-yield bond market saw price appreciation and interest payments contribute to its total return. Within the FTSE TMX Canada Universe Bond Index, corporate bonds rated A were the strongest segment, while non-agency federal bonds were the weakest segment. The Fund underperformed the broad-based index primarily because of its exposure to foreign equities. Given the Fund s mandate, the return of the blended index is a more meaningful comparison. The Fund outperformed the blended index primarily because of the performance of its fixed income portfolio. Within the equity portion of the Fund, stock selection in Canada and exposure to China and France contributed to performance, as did stock selection in the financials and materials sectors. Conversely, exposure to the United States detracted from performance primarily because the U.S. dollar depreciated relative to the Canadian dollar. At the sector level, stock selection in industrials detracted. Within the fixed income portion of the Fund, a shorter duration than the FTSE TMX Canada Universe Bond Index contributed to performance as yields rose and prices fell. Exposure to term loans and security selection in corporate bonds also contributed, as did an underweight position in government bonds. The Fund s strategy of hedging most of the foreign currency exposure of its fixed income holdings contributed to absolute performance as foreign currencies in the portfolio depreciated relative to the Canadian dollar. Over the period, portfolio activity and market effect resulted in decreased exposure primarily to Canada. Within the equity portfolio, exposure to the financials sector increased most. Within the fixed income portfolio, exposure increased primarily to corporate bonds and term loans, while exposure to federal bonds and foreign government bonds declined. Net Assets The Fund s NAV increased by 1.5% to $1.82 billion at September 30,, from $1.79 billion at March 31,. This change was composed primarily of $24.8 million in net income (including dividend and interest income) from investment performance, after deducting fees and expenses, $12.4 million in net sales, and $10.2 million in cash distributions. See Other Related Party Transactions for the percentage of the Fund s NAV owned by Mackenzie and funds managed by Mackenzie. As a result of these investments, the Fund is subject to large transaction risk as discussed in the Prospectus. Mackenzie manages this risk to reduce the possibility of any adverse effect on the Fund or on its investors.

3 INTERIM MANAGEMENT REPORT OF FUND PERFORMANCE For the Period Ended September 30, Fees and Expenses The annualized management expense ratios ( MERs ) for Series A of 2.27%, for Quadrus Series of 2.29% and for Series LB of 2.37% during the period ended September 30,, were unchanged from the MERs for the year ended March 31,. The MERs (before and after waivers or absorptions, if any) for each series are presented in the Financial Highlights section of this report. The MER for H5 Series decreased due to a decrease in fund costs and a decrease in the management fee rate effective June 29,, as noted in the Fund Formation and Series Information section of the report. Recent Developments The Canadian equity portfolio management team believes that valuations in Canada are generally high. In the team s opinion, a potentially lower corporate tax rate and deregulation of lending, borrowing and other financial market activity in the United States could benefit equity markets in both Canada and the United States. The team expects corporate earnings to grow moderately as economic activity improves. The global equity portfolio management team believes that, given its longterm time horizon and focus on high-quality companies, the Fund may ultimately benefit from market volatility. The team will continue to take advantage of market volatility going forward. The fixed income portfolio management team expects the U.S. Federal Reserve to start reducing its balance sheet and raise the federal funds rate one more time in. The team expects two further increases in 2018, which are likely to be mirrored by the Bank of Canada. The team believes developed countries globally are shifting toward reduced monetary policy accommodation, which could cause yields to rise modestly and curves to steepen. However, the team believes that yields are likely to stay low because of significant amounts of debt outstanding and low inflation. On January 4, 2018, investors in Quadrus Trimark Balanced Fund will vote on merging into the Fund. If approved by investors and by regulators, this merger would be effective on or about January 19, Mackenzie does not consider the proposed merger to be a material change from the Fund s perspective. Other Related Party Transactions Mackenzie is wholly owned by IGM Financial Inc. ( IGM ). IGM is a subsidiary of Power Financial Corp., which in turn is a subsidiary of Power Corp. of Canada. Companies related to Power Financial Corp. are therefore considered affiliates of Mackenzie. At September 30,, the Fund held the following investment(s) in companies affiliated with Mackenzie: $3.6 million invested in securities issued by Great-West Lifeco Inc. The investment(s) represented 0.2% of the Fund s NAV. In making these investments, Mackenzie relied on the approval of the Mackenzie Funds Independent Review Committee. The Independent Review Committee issued the approval on the basis that the investments would be made in compliance with Mackenzie s policies. Mackenzie s policies are designed to ensure that the related party transaction (i) is made free from any influence by an entity related to Mackenzie and without taking into account any considerations relevant to an entity related to Mackenzie; (ii) represents the business judgment of Mackenzie, uninfluenced by considerations other than the best interests of the Fund; and (iii) achieves a fair and reasonable result for the Fund. Investment funds managed by Mackenzie invest in Series R securities of the Fund on a prospectus-exempt basis in accordance with the investment objectives of those funds. At September 30,, funds managed by Mackenzie owned 15.0% of the Fund s NAV. All related party transactions are based on the NAV per security on each transaction day. At September 30,, Mackenzie had an investment of $0.1 million in the Fund (less than 0.1% of the Fund s NAV). Related Party Transactions The following arrangements result in fees paid by the Fund to Mackenzie or to companies affiliated with the Fund. Management and Administration Services For each applicable series, the Fund paid management fees and administration fees to Mackenzie at the annual rates specified under Fund Formation and Series Information in this report and as more fully described in the Prospectus. In return for the administration fees, Mackenzie pays all costs and expenses (other than certain specified fund costs) required to operate the Fund that are not otherwise included in management fees. See also Management Fees.

4 MACKENZIE STRATEGIC INCOME FUND INTERIM MANAGEMENT REPORT OF FUND PERFORMANCE For the Period Ended September 30, Past Performance The following bar charts present the performance of each series of the Fund for each of the fiscal periods shown. The charts show, in percentage terms, how much an investment made on the first day of each fiscal period, or on the series inception or reinstatement date, as applicable, would have increased or decreased by the last day of the fiscal period presented. Series inception or reinstatement dates can be found under Fund Formation and Series Information. On October 30, 2009, the Fund changed its mandate from a Canadian income trust mandate to a Canadian high-income balanced mandate. The past performance before this date was achieved under the previous objectives.

5 MACKENZIE STRATEGIC INCOME FUND INTERIM MANAGEMENT REPORT OF FUND PERFORMANCE For the Period Ended September 30,

6 MACKENZIE STRATEGIC INCOME FUND INTERIM MANAGEMENT REPORT OF FUND PERFORMANCE For the Period Ended September 30,

7 MACKENZIE STRATEGIC INCOME FUND INTERIM MANAGEMENT REPORT OF FUND PERFORMANCE For the Period Ended September 30,

8 INTERIM MANAGEMENT REPORT OF FUND PERFORMANCE For the Period Ended September 30,

9 INTERIM MANAGEMENT REPORT OF FUND PERFORMANCE For the Period Ended September 30, Summary of Investment Portfolio at September 30, Effective Portfolio Allocation % of NAV Equities 50.4 Bonds 46.2 Bonds 46.2 Short futures* 0.0 Purchased options** 0.0 Cash and short-term investments 2.4 Mutual funds 0.9 Other assets (liabilities) 0.1 Effective Regional Allocation % of NAV Canada 46.0 United States 35.3 Other 3.9 United Kingdom 2.5 Cash and short-term investments 2.4 France 1.8 Germany 1.6 Switzerland 1.6 Netherlands 1.4 Japan 1.0 Denmark 0.9 China 0.8 Hong Kong 0.7 Other assets (liabilities) 0.1 Effective Sector Allocation % of NAV Corporate bonds 27.1 Financials 14.8 Term loans 12.3 Energy 6.7 Industrials 6.5 Other 5.9 Consumer staples 4.7 Information technology 4.2 Health care 3.7 Consumer discretionary 3.3 Materials 3.0 Federal bonds 2.7 Foreign government bonds 2.6 Cash and short-term investments 2.4 Other assets (liabilities) 0.1 Effective Net Currency Exposure % of NAV Canadian dollar 70.8 U.S. dollar 17.6 Other 5.4 Euro 4.6 Swiss franc 1.6 Bonds by Credit Rating % of NAV AAA 4.8 AA 3.1 A 2.2 BBB 5.7 BB 5.3 B 13.8 Less than B 3.7 Unrated 1.0 Top 25 Long Holdings Issuer/Underlying Fund % of NAV Mackenzie Global High Yield Fixed Income ETF 6.8 Government of Canada 1.00% Cash and short-term investments 2.2 The Toronto-Dominion Bank 2.1 Royal Bank of Canada 1.7 The Bank of Nova Scotia 1.7 Fairfax Financial Holdings Ltd. 5.84% TransCanada Corp. 1.3 Manulife Financial Corp. 1.3 Brookfield Asset Management Inc. 1.0 Canadian Pacific Railway Ltd. 1.0 Canadian Imperial Bank of Commerce 1.0 United States Treasury 0.89% Canadian Natural Resources Ltd. 0.8 SNC-Lavalin Group Inc. 0.7 Rogers Communications Inc. 0.7 Enbridge Inc. 0.7 Gibson Energy Inc. 5.25% Callable Fortis Inc. 0.6 Mackenzie Global Tactical Bond Fund Series R 0.6 Alimentation Couche-Tard Inc. 0.6 Microsoft Corp. 0.6 Deutsche Boerse AG 0.5 United States Treasury 1.50% Comber Wind Financial Corp % Top long positions as a percentage of total net asset value 32.2 Top 25 Short Holdings Issuer % of NAV Canadian 10-Year Bond Futures* 0.0 CME Ultra Long-Term U.S. Treasury Bond Futures* 0.0 Top short positions as a percentage of total net asset value 0.0 * Notional principal values represent 1.4% of NAV for Canadian 10-Year Bond Futures and 0.8% of NAV for CME Ultra Long-Term U.S. Treasury Bond Futures. ** Notional principal values represent 3.9% of NAV for purchased options. Credit ratings and rating categories are based on Standard & Poor s or DBRS (or equivalent ratings issued by other designated rating organizations). This table includes only bonds directly held by the Fund. The effective allocation shows the portfolio, regional, sector or net currency exposure of the Fund calculated by combining the Fund s proportionate share of the underlying funds investments and other net assets with those directly held by the Fund. The prospectuses and other information about the underlying funds and the exchange-traded funds are available on the SEDAR website at or, when those funds are Mackenzie funds, at www. mackenzieinvestments.com. The investments and percentages may have changed since September 30,, due to the ongoing portfolio transactions of the Fund. Quarterly updates of holdings are available within 60 days of the end of each quarter except for March 31, the Fund s fiscal year end, when they are available within 90 days.

10 INTERIM MANAGEMENT REPORT OF FUND PERFORMANCE For the Period Ended September 30, Financial Highlights The following tables show selected key financial information about the Fund and are intended to help you understand the Fund s financial performance for each of the fiscal periods presented below. If during the period a fund or series was established or reinstated, period represents the period from inception or reinstatement to the end of that fiscal period. Series inception or reinstatement dates can be found under Fund Formation and Series Information. THE FUND S NET ASSETS PER SECURITY ($) 1 Series A Net assets, beginning of period Total revenue Total expenses 4 (0.11) (0.21) (0.21) (0.23) (0.24) (0.23) Realized gains (losses) for the period (0.21) Unrealized gains (losses) for the period (0.23) 0.45 (0.47) operations (0.42) (excluding dividends) (0.02) (0.02) (0.03) (0.03) (0.10) From dividends (0.09) (0.17) (0.24) (0.23) (0.23) (0.10) From capital gains (0.22) (0.21) (0.04) Return of capital (0.18) (0.37) (0.30) (0.34) (0.34) (0.39) Total annual distributions 3 (0.27) (0.56) (0.56) (0.82) (0.81) (0.63) Net assets, end of period Series AR Net assets, beginning of period n/a Total revenue n/a Total expenses 4 (0.13) (0.26) (0.24) (0.26) (0.11) n/a Realized gains (losses) for the period (0.17) n/a Unrealized gains (losses) for the period (0.29) 0.55 (0.55) n/a operations (0.41) n/a (excluding dividends) (0.03) (0.02) (0.03) (0.02) n/a From dividends (0.10) (0.16) (0.26) (0.17) (0.03) n/a From capital gains (0.15) (0.02) n/a Return of capital n/a Total annual distributions 3 (0.10) (0.19) (0.28) (0.35) (0.07) n/a Net assets, end of period n/a Series B Net assets, beginning of period n/a Total revenue n/a Total expenses 4 (0.13) (0.24) (0.23) (0.25) (0.22) n/a Realized gains (losses) for the period (0.27) n/a Unrealized gains (losses) for the period (0.28) 0.53 (0.54) n/a operations (0.51) n/a (excluding dividends) (0.03) (0.03) (0.03) (0.03) n/a From dividends (0.10) (0.21) (0.27) (0.21) (0.09) n/a From capital gains (0.21) (0.10) n/a Return of capital n/a Total annual distributions 3 (0.10) (0.24) (0.30) (0.45) (0.22) n/a Net assets, end of period n/a Series D Net assets, beginning of period n/a Total revenue n/a Total expenses 4 (0.10) (0.20) (0.21) (0.23) (0.05) n/a Realized gains (losses) for the period (0.40) n/a Unrealized gains (losses) for the period (0.37) 0.72 (0.75) n/a operations (0.62) n/a (excluding dividends) (0.04) (0.04) (0.04) (0.01) n/a From dividends (0.19) (0.35) (0.46) (0.34) (0.04) n/a From capital gains (0.29) n/a Return of capital (0.25) (0.49) (0.40) (0.54) (0.18) n/a Total annual distributions 3 (0.44) (0.88) (0.90) (1.21) (0.23) n/a Net assets, end of period n/a (1) These calculations are prescribed by securities regulations and are not intended to be a reconciliation between opening and closing net assets per security. Information for the fiscal periods ended after March 31,, is derived from the Fund s unaudited interim financial report and audited annual financial statements prepared in accordance with International Financial Reporting Standards ( IFRS ). Information for any previous fiscal periods is derived from the Fund s audited annual financial statements prepared in accordance with Canadian generally accepted accounting principles as defined in Part V of the Chartered Professional Accountants Handbook ( Canadian GAAP ). The net assets per security presented in the financial statements may differ from the net asset value per security calculated for fund pricing purposes. An explanation of these differences can be found in the Notes to Financial Statements. (2) Net assets and distributions are based on the actual number of securities outstanding at the relevant time. The increase/decrease from operations is based on the weighted average number of securities outstanding over the fiscal period. (3) Distributions were paid in cash/reinvested in additional securities of the Fund, or both. (4) Effective April 1,, commissions and other portfolio transaction costs are included in total expenses. For any previous fiscal periods, these costs were reported within realized and unrealized gains (losses) for the purposes of these tables.

11 INTERIM MANAGEMENT REPORT OF FUND PERFORMANCE For the Period Ended September 30, THE FUND S NET ASSETS PER SECURITY ($) 1 (cont d) Series E Net assets, beginning of period n/a n/a Total revenue n/a n/a Total expenses 4 n/a n/a (0.10) (0.10) (0.11) (0.10) Realized gains (losses) for the period n/a n/a (0.18) Unrealized gains (losses) for the period n/a n/a (0.50) operations 2 n/a n/a (0.29) (excluding dividends) n/a n/a (0.04) (0.04) (0.04) (0.16) From dividends n/a n/a (0.37) (0.46) (0.27) (0.13) From capital gains n/a n/a (0.39) (0.25) (0.05) Return of capital n/a n/a (0.19) (0.14) (0.31) (0.34) Total annual distributions 3 n/a n/a (0.60) (1.03) (0.87) (0.68) Net assets, end of period n/a n/a Series F Net assets, beginning of period Total revenue Total expenses 4 (0.06) (0.11) (0.11) (0.13) (0.14) (0.13) Realized gains (losses) for the period (0.24) Unrealized gains (losses) for the period (0.25) 0.50 (0.51) operations (0.35) (excluding dividends) (0.04) (0.04) (0.04) (0.04) (0.16) From dividends (0.14) (0.28) (0.36) (0.29) (0.27) (0.14) From capital gains (0.28) (0.25) (0.06) Return of capital (0.16) (0.29) (0.22) (0.31) (0.33) (0.33) Total annual distributions 3 (0.30) (0.61) (0.62) (0.92) (0.89) (0.69) Net assets, end of period Series F8 Net assets, beginning of period n/a Total revenue n/a Total expenses 4 (0.08) (0.15) (0.16) (0.18) (0.15) n/a Realized gains (losses) for the period (0.17) (0.03) 1.46 n/a Unrealized gains (losses) for the period (0.35) 0.69 (0.73) n/a operations (0.34) n/a (excluding dividends) (0.05) (0.06) (0.06) (0.04) n/a From dividends (0.20) (0.39) (0.51) (0.32) (0.19) n/a From capital gains (0.35) (0.15) n/a Return of capital (0.35) (0.69) (0.60) (0.84) (0.69) n/a Total annual distributions 3 (0.55) (1.13) (1.17) (1.57) (1.07) n/a Net assets, end of period n/a Series FB Net assets, beginning of period n/a n/a n/a Total revenue n/a n/a n/a Total expenses 4 (0.06) (0.12) (0.05) n/a n/a n/a Realized gains (losses) for the period (0.00) n/a n/a n/a Unrealized gains (losses) for the period (0.27) 0.53 (0.24) n/a n/a n/a operations (0.06) n/a n/a n/a (excluding dividends) (0.05) (0.04) n/a n/a n/a From dividends (0.15) (0.25) (0.08) n/a n/a n/a From capital gains n/a n/a n/a Return of capital n/a n/a n/a Total annual distributions 3 (0.15) (0.30) (0.12) n/a n/a n/a Net assets, end of period n/a n/a n/a

12 INTERIM MANAGEMENT REPORT OF FUND PERFORMANCE For the Period Ended September 30, THE FUND S NET ASSETS PER SECURITY ($) 1 (cont d) Series FB5 Net assets, beginning of period n/a n/a n/a Total revenue n/a n/a n/a Total expenses 4 (0.10) (0.18) (0.07) n/a n/a n/a Realized gains (losses) for the period 0.43 (0.09) (0.26) n/a n/a n/a Unrealized gains (losses) for the period (0.39) 0.80 (0.35) n/a n/a n/a operations (0.33) n/a n/a n/a (excluding dividends) (0.06) (0.05) n/a n/a n/a From dividends (0.21) (0.42) (0.15) n/a n/a n/a From capital gains n/a n/a n/a Return of capital (0.17) (0.31) (0.15) n/a n/a n/a Total annual distributions 3 (0.38) (0.79) (0.35) n/a n/a n/a Net assets, end of period n/a n/a n/a Series I Net assets, beginning of period Total revenue Total expenses 4 (0.08) (0.16) (0.16) (0.17) (0.18) (0.16) Realized gains (losses) for the period (0.18) Unrealized gains (losses) for the period (0.24) 0.48 (0.50) operations (0.35) (excluding dividends) (0.04) (0.03) (0.03) (0.03) (0.15) From dividends (0.11) (0.22) (0.30) (0.28) (0.30) (0.13) From capital gains (0.28) (0.31) (0.05) Return of capital (0.18) (0.33) (0.26) (0.31) (0.30) (0.34) Total annual distributions 3 (0.29) (0.59) (0.59) (0.90) (0.94) (0.67) Net assets, end of period Series J Net assets, beginning of period Total revenue Total expenses 4 (0.10) (0.19) (0.20) (0.21) (0.21) (0.20) Realized gains (losses) for the period (0.28) Unrealized gains (losses) for the period (0.25) 0.49 (0.51) operations (0.49) (excluding dividends) (0.03) (0.03) (0.03) (0.03) (0.13) From dividends (0.10) (0.22) (0.30) (0.32) (0.25) (0.11) From capital gains (0.32) (0.26) (0.04) Return of capital (0.20) (0.36) (0.28) (0.30) (0.36) (0.40) Total annual distributions 3 (0.30) (0.61) (0.61) (0.97) (0.90) (0.68) Net assets, end of period Series O Net assets, beginning of period Total revenue Total expenses 4 (0.01) (0.01) (0.01) (0.01) Realized gains (losses) for the period (0.29) Unrealized gains (losses) for the period (0.32) 0.61 (0.63) operations (0.31) (excluding dividends) (0.08) (0.05) (0.06) (0.04) (0.27) From dividends (0.25) (0.45) (0.57) (0.39) (0.35) (0.21) From capital gains (0.42) (0.31) (0.09) Return of capital (0.12) (0.23) (0.14) (0.33) (0.37) (0.29) Total annual distributions 3 (0.37) (0.76) (0.76) (1.20) (1.07) (0.86) Net assets, end of period

13 INTERIM MANAGEMENT REPORT OF FUND PERFORMANCE For the Period Ended September 30, THE FUND S NET ASSETS PER SECURITY ($) 1 (cont d) Series PW Net assets, beginning of period n/a Total revenue n/a Total expenses 4 (0.16) (0.31) (0.31) (0.34) (0.16) n/a Realized gains (losses) for the period (0.33) n/a Unrealized gains (losses) for the period (0.37) 0.73 (0.77) n/a operations (0.65) n/a (excluding dividends) (0.04) (0.04) (0.04) (0.03) n/a From dividends (0.14) (0.28) (0.39) (0.29) (0.06) n/a From capital gains (0.28) (0.04) n/a Return of capital (0.30) (0.58) (0.48) (0.62) (0.37) n/a Total annual distributions 3 (0.44) (0.90) (0.91) (1.23) (0.50) n/a Net assets, end of period n/a Series PWB Net assets, beginning of period n/a n/a n/a n/a n/a Total revenue 0.20 n/a n/a n/a n/a n/a Total expenses 4 (0.10) n/a n/a n/a n/a n/a Realized gains (losses) for the period 0.21 n/a n/a n/a n/a n/a Unrealized gains (losses) for the period (0.25) n/a n/a n/a n/a n/a operations n/a n/a n/a n/a n/a (excluding dividends) n/a n/a n/a n/a n/a From dividends (0.09) n/a n/a n/a n/a n/a From capital gains n/a n/a n/a n/a n/a Return of capital n/a n/a n/a n/a n/a Total annual distributions 3 (0.09) n/a n/a n/a n/a n/a Net assets, end of period n/a n/a n/a n/a n/a Series PWF Net assets, beginning of period n/a Total revenue n/a Total expenses 4 (0.08) (0.16) (0.15) (0.16) (0.08) n/a Realized gains (losses) for the period (0.29) n/a Unrealized gains (losses) for the period (0.39) 0.76 (0.78) n/a operations (0.45) n/a (excluding dividends) (0.05) (0.06) (0.06) (0.04) n/a From dividends (0.29) (0.44) (0.54) (0.33) (0.09) n/a From capital gains (0.28) (0.05) n/a Return of capital (0.17) (0.44) (0.35) (0.56) (0.33) n/a Total annual distributions 3 (0.46) (0.93) (0.95) (1.23) (0.51) n/a Net assets, end of period n/a Series PWF8 Net assets, beginning of period n/a n/a Total revenue n/a n/a Total expenses 4 (0.07) (0.14) (0.15) (0.09) n/a n/a Realized gains (losses) for the period (0.36) 0.20 n/a n/a Unrealized gains (losses) for the period (0.34) 0.68 (0.72) 0.22 n/a n/a operations (0.52) 0.73 n/a n/a (excluding dividends) (0.05) (0.04) (0.05) n/a n/a From dividends (0.25) (0.37) (0.47) (0.10) n/a n/a From capital gains (0.10) n/a n/a Return of capital (0.29) (0.68) (0.63) (0.54) n/a n/a Total annual distributions 3 (0.54) (1.10) (1.14) (0.79) n/a n/a Net assets, end of period n/a n/a

14 INTERIM MANAGEMENT REPORT OF FUND PERFORMANCE For the Period Ended September 30, THE FUND S NET ASSETS PER SECURITY ($) 1 (cont d) Series PWFB Net assets, beginning of period n/a n/a n/a n/a n/a Total revenue 0.20 n/a n/a n/a n/a n/a Total expenses 4 (0.05) n/a n/a n/a n/a n/a Realized gains (losses) for the period 0.33 n/a n/a n/a n/a n/a Unrealized gains (losses) for the period (0.25) n/a n/a n/a n/a n/a operations n/a n/a n/a n/a n/a (excluding dividends) n/a n/a n/a n/a n/a From dividends (0.15) n/a n/a n/a n/a n/a From capital gains n/a n/a n/a n/a n/a Return of capital n/a n/a n/a n/a n/a Total annual distributions 3 (0.15) n/a n/a n/a n/a n/a Net assets, end of period n/a n/a n/a n/a n/a Series PWFB5 Net assets, beginning of period n/a n/a n/a n/a n/a Total revenue 0.30 n/a n/a n/a n/a n/a Total expenses 4 (0.05) n/a n/a n/a n/a n/a Realized gains (losses) for the period 0.35 n/a n/a n/a n/a n/a Unrealized gains (losses) for the period (0.37) n/a n/a n/a n/a n/a operations n/a n/a n/a n/a n/a (excluding dividends) n/a n/a n/a n/a n/a From dividends (0.25) n/a n/a n/a n/a n/a From capital gains n/a n/a n/a n/a n/a Return of capital (0.13) n/a n/a n/a n/a n/a Total annual distributions 3 (0.38) n/a n/a n/a n/a n/a Net assets, end of period n/a n/a n/a n/a n/a Series PWT8 Net assets, beginning of period n/a Total revenue n/a Total expenses 4 (0.15) (0.29) (0.30) (0.33) (0.13) n/a Realized gains (losses) for the period (0.32) n/a Unrealized gains (losses) for the period (0.34) 0.67 (0.72) n/a operations (0.63) n/a (excluding dividends) (0.04) (0.03) (0.04) (0.03) n/a From dividends (0.13) (0.24) (0.37) (0.28) (0.06) n/a From capital gains (0.33) (0.02) n/a Return of capital (0.41) (0.82) (0.72) (0.90) (0.42) n/a Total annual distributions 3 (0.54) (1.10) (1.12) (1.55) (0.53) n/a Net assets, end of period n/a Series PWX Net assets, beginning of period n/a Total revenue n/a Total expenses 4 (0.01) (0.01) (0.01) (0.01) n/a Realized gains (losses) for the period (0.43) n/a Unrealized gains (losses) for the period (0.39) 0.76 (0.78) n/a operations (0.45) n/a (excluding dividends) (0.10) (0.06) (0.07) (0.04) n/a From dividends (0.30) (0.56) (0.70) (0.36) (0.09) n/a From capital gains (0.35) (0.12) n/a Return of capital (0.16) (0.28) (0.19) (0.51) (0.26) n/a Total annual distributions 3 (0.46) (0.94) (0.95) (1.29) (0.51) n/a Net assets, end of period n/a

15 INTERIM MANAGEMENT REPORT OF FUND PERFORMANCE For the Period Ended September 30, THE FUND S NET ASSETS PER SECURITY ($) 1 (cont d) Series PWX8 Net assets, beginning of period n/a Total revenue n/a Total expenses 4 (0.01) (0.01) (0.01) (0.01) n/a Realized gains (losses) for the period (0.23) 0.57 n/a Unrealized gains (losses) for the period (0.36) 0.71 (0.74) n/a operations (0.25) n/a (excluding dividends) (0.11) (0.07) (0.07) (0.05) n/a From dividends (0.28) (0.50) (0.63) (0.42) (0.11) n/a From capital gains (0.43) (0.08) n/a Return of capital (0.29) (0.55) (0.49) (0.74) (0.35) n/a Total annual distributions 3 (0.57) (1.16) (1.19) (1.66) (0.59) n/a Net assets, end of period n/a Series R Net assets, beginning of period Total revenue Total expenses 4 (0.01) Realized gains (losses) for the period (0.20) Unrealized gains (losses) for the period (0.24) 0.47 (0.48) operations (0.21) (excluding dividends) (0.07) (0.04) (0.04) (0.03) (0.22) From dividends (0.19) (0.32) (0.49) (0.36) (0.34) (0.17) From capital gains (0.40) (0.36) (0.07) Return of capital (0.06) (0.10) (0.20) (0.23) (0.22) Total annual distributions 3 (0.19) (0.45) (0.63) (1.00) (0.96) (0.68) Net assets, end of period Series T8 Net assets, beginning of period n/a Total revenue n/a Total expenses 4 (0.15) (0.30) (0.31) (0.34) (0.32) n/a Realized gains (losses) for the period (0.31) n/a Unrealized gains (losses) for the period (0.33) 0.66 (0.70) n/a operations (0.63) n/a (excluding dividends) (0.04) (0.03) (0.04) (0.04) n/a From dividends (0.11) (0.24) (0.35) (0.28) (0.13) n/a From capital gains (0.25) (0.14) n/a Return of capital (0.42) (0.80) (0.73) (0.87) (0.94) n/a Total annual distributions 3 (0.53) (1.08) (1.11) (1.44) (1.25) n/a Net assets, end of period n/a Quadrus Series Net assets, beginning of period n/a Total revenue n/a Total expenses 4 (0.13) (0.26) (0.25) (0.26) (0.19) n/a Realized gains (losses) for the period (0.23) n/a Unrealized gains (losses) for the period (0.29) 0.55 (0.56) n/a operations (0.49) n/a (excluding dividends) (0.04) (0.02) (0.03) (0.03) n/a From dividends (0.09) (0.17) (0.25) (0.21) (0.06) n/a From capital gains (0.20) (0.07) n/a Return of capital n/a Total annual distributions 3 (0.09) (0.21) (0.27) (0.44) (0.16) n/a Net assets, end of period n/a

16 INTERIM MANAGEMENT REPORT OF FUND PERFORMANCE For the Period Ended September 30, THE FUND S NET ASSETS PER SECURITY ($) 1 (cont d) H Series Net assets, beginning of period n/a Total revenue n/a Total expenses 4 (0.06) (0.13) (0.14) (0.15) (0.11) n/a Realized gains (losses) for the period (0.17) n/a Unrealized gains (losses) for the period (0.29) 0.55 (0.55) n/a operations (0.32) n/a (excluding dividends) (0.05) (0.03) (0.04) (0.03) n/a From dividends (0.14) (0.26) (0.33) (0.35) (0.08) n/a From capital gains (0.25) (0.09) n/a Return of capital n/a Total annual distributions 3 (0.14) (0.31) (0.36) (0.64) (0.20) n/a Net assets, end of period n/a H5 Series Net assets, beginning of period n/a n/a Total revenue n/a n/a Total expenses 4 (0.07) (0.17) (0.20) (0.09) n/a n/a Realized gains (losses) for the period (0.31) 0.31 n/a n/a Unrealized gains (losses) for the period (0.39) 0.75 (0.77) 0.18 n/a n/a operations (0.52) 0.73 n/a n/a (excluding dividends) (0.06) (0.04) (0.04) n/a n/a From dividends (0.23) (0.42) (0.42) (0.08) n/a n/a From capital gains (0.12) n/a n/a Return of capital (0.15) (0.30) (0.31) (0.26) n/a n/a Total annual distributions 3 (0.38) (0.78) (0.77) (0.50) n/a n/a Net assets, end of period n/a n/a L Series Net assets, beginning of period n/a Total revenue n/a Total expenses 4 (0.11) (0.21) (0.20) (0.22) (0.13) n/a Realized gains (losses) for the period (0.00) n/a Unrealized gains (losses) for the period (0.29) 0.55 (0.57) n/a operations (0.21) n/a (excluding dividends) (0.04) (0.02) (0.03) (0.03) n/a From dividends (0.10) (0.21) (0.28) (0.24) (0.06) n/a From capital gains (0.20) (0.05) n/a Return of capital n/a Total annual distributions 3 (0.10) (0.25) (0.30) (0.47) (0.14) n/a Net assets, end of period n/a L5 Series Net assets, beginning of period n/a n/a n/a Total revenue n/a n/a n/a Total expenses 4 (0.15) (0.30) (0.16) n/a n/a n/a Realized gains (losses) for the period n/a n/a n/a Unrealized gains (losses) for the period (0.40) 0.77 (0.48) n/a n/a n/a operations (0.10) n/a n/a n/a (excluding dividends) (0.05) (0.05) n/a n/a n/a From dividends (0.17) (0.32) (0.19) n/a n/a n/a From capital gains n/a n/a n/a Return of capital (0.22) (0.43) (0.23) n/a n/a n/a Total annual distributions 3 (0.39) (0.80) (0.47) n/a n/a n/a Net assets, end of period n/a n/a n/a

17 INTERIM MANAGEMENT REPORT OF FUND PERFORMANCE For the Period Ended September 30, THE FUND S NET ASSETS PER SECURITY ($) 1 (cont d) N Series Net assets, beginning of period n/a Total revenue n/a Total expenses 4 (0.01) (0.01) n/a Realized gains (losses) for the period (0.20) n/a Unrealized gains (losses) for the period (0.29) 0.55 (0.56) n/a operations (0.21) n/a (excluding dividends) (0.06) (0.04) (0.06) (0.03) n/a From dividends (0.19) (0.37) (0.44) (0.29) (0.10) n/a From capital gains (0.33) (0.14) n/a Return of capital n/a Total annual distributions 3 (0.19) (0.43) (0.48) (0.68) (0.27) n/a Net assets, end of period n/a N5 Series Net assets, beginning of period n/a n/a Total revenue n/a n/a Total expenses 4 (0.01) (0.01) n/a n/a Realized gains (losses) for the period (0.25) 0.60 n/a n/a Unrealized gains (losses) for the period (0.40) 0.77 (0.79) 0.18 n/a n/a operations (0.27) 1.11 n/a n/a (excluding dividends) (0.10) (0.06) (0.06) n/a n/a From dividends (0.32) (0.56) (0.61) (0.10) n/a n/a From capital gains (0.16) n/a n/a Return of capital (0.07) (0.14) (0.13) (0.23) n/a n/a Total annual distributions 3 (0.39) (0.80) (0.80) (0.55) n/a n/a Net assets, end of period n/a n/a D5 Series Net assets, beginning of period n/a Total revenue n/a Total expenses 4 (0.17) (0.34) (0.34) (0.37) (0.21) n/a Realized gains (losses) for the period (0.31) (0.10) 1.03 n/a Unrealized gains (losses) for the period (0.38) 0.75 (0.78) n/a operations (0.66) n/a (excluding dividends) (0.05) (0.04) (0.04) (0.03) n/a From dividends (0.14) (0.25) (0.35) (0.29) (0.08) n/a From capital gains (0.23) (0.10) n/a Return of capital (0.24) (0.48) (0.38) (0.46) (0.34) n/a Total annual distributions 3 (0.38) (0.78) (0.77) (1.02) (0.55) n/a Net assets, end of period n/a QF Series Net assets, beginning of period n/a n/a n/a n/a Total revenue n/a n/a n/a n/a Total expenses 4 (0.06) (0.09) n/a n/a n/a n/a Realized gains (losses) for the period n/a n/a n/a n/a Unrealized gains (losses) for the period (0.27) 0.38 n/a n/a n/a n/a operations n/a n/a n/a n/a (excluding dividends) (0.03) n/a n/a n/a n/a From dividends (0.13) (0.16) n/a n/a n/a n/a From capital gains n/a n/a n/a n/a Return of capital n/a n/a n/a n/a Total annual distributions 3 (0.13) (0.19) n/a n/a n/a n/a Net assets, end of period n/a n/a n/a n/a

18 INTERIM MANAGEMENT REPORT OF FUND PERFORMANCE For the Period Ended September 30, THE FUND S NET ASSETS PER SECURITY ($) 1 (cont d) QF5 Series Net assets, beginning of period n/a n/a n/a n/a Total revenue n/a n/a n/a n/a Total expenses 4 (0.09) (0.11) n/a n/a n/a n/a Realized gains (losses) for the period 0.45 (0.75) n/a n/a n/a n/a Unrealized gains (losses) for the period (0.39) 0.60 n/a n/a n/a n/a operations n/a n/a n/a n/a (excluding dividends) (0.09) n/a n/a n/a n/a From dividends (0.20) (0.30) n/a n/a n/a n/a From capital gains n/a n/a n/a n/a Return of capital (0.18) (0.24) n/a n/a n/a n/a Total annual distributions 3 (0.38) (0.63) n/a n/a n/a n/a Net assets, end of period n/a n/a n/a n/a Series LX Net assets, beginning of period Total revenue Total expenses 4 (0.17) (0.33) (0.36) (0.40) (0.41) (0.37) Realized gains (losses) for the period (0.33) Unrealized gains (losses) for the period (0.35) 0.69 (0.73) operations (0.70) (excluding dividends) (0.04) (0.04) (0.04) (0.04) (0.13) From dividends (0.12) (0.25) (0.32) (0.34) (0.32) (0.12) From capital gains (0.32) (0.29) (0.04) Return of capital (0.30) (0.57) (0.50) (0.54) (0.55) (0.67) Total annual distributions 3 (0.42) (0.86) (0.86) (1.24) (1.20) (0.96) Net assets, end of period Series LB Net assets, beginning of period Total revenue Total expenses 4 (0.14) (0.27) (0.27) (0.29) (0.29) (0.07) Realized gains (losses) for the period (0.28) Unrealized gains (losses) for the period (0.29) 0.56 (0.55) operations (0.55) (excluding dividends) (0.07) (0.02) (0.02) (0.03) From dividends (0.03) (0.21) (0.24) (0.17) (0.02) From capital gains (0.23) (0.16) Return of capital Total annual distributions 3 (0.10) (0.23) (0.49) (0.36) (0.02) Net assets, end of period

19 INTERIM MANAGEMENT REPORT OF FUND PERFORMANCE For the Period Ended September 30, RATIOS AND SUPPLEMENTAL DATA Series A Total net asset value ($000) 1, 2 937,195 1,070,643 1,059,638 1,391,011 1,319,391 1,049,105 Securities outstanding (000) 1 102, , , , , ,949 Management expense ratio (%) waivers or absorptions (%) Trading expense ratio (%) Portfolio turnover rate (%) Net asset value per security ($) Series AR Total net asset value ($000) 1, 2 14,652 11,969 5,957 3, n/a Securities outstanding (000) 1 1,277 1, n/a Management expense ratio (%) n/a waivers or absorptions (%) n/a Net asset value per security ($) n/a Series B Total net asset value ($000) 1, 2 3,645 3,719 4,618 5,957 2,991 n/a Securities outstanding (000) n/a Management expense ratio (%) n/a waivers or absorptions (%) n/a Net asset value per security ($) n/a Series D Total net asset value ($000) 1, n/a Securities outstanding (000) n/a Management expense ratio (%) n/a waivers or absorptions (%) n/a Net asset value per security ($) n/a Series E Total net asset value ($000) 1, 2 n/a n/a ,215 Securities outstanding (000) 1 n/a n/a Management expense ratio (%) 3 n/a n/a waivers or absorptions (%) 3 n/a n/a Trading expense ratio (%) 4 n/a n/a Portfolio turnover rate (%) 5 n/a n/a Net asset value per security ($) 2 n/a n/a Series F Total net asset value ($000) 1, 2 84,334 81,581 46,221 52,257 39,568 23,166 Securities outstanding (000) 1 8,354 7,979 4,917 5,058 3,763 2,234 Management expense ratio (%) waivers or absorptions (%) Trading expense ratio (%) Portfolio turnover rate (%) Net asset value per security ($) (1) This information is provided as at the end of the fiscal period shown. (2) The net asset value figures presented in this table are used for fund pricing and calculating returns by series. For any fiscal periods prior to the adoption of IFRS, the net asset values may differ from the figures in the annual financial statements, and the net asset value per security in this table may differ from the end of period figure in the Fund s Net Assets per Security table in this section. This difference is due to the requirements of Canadian GAAP. The adoption of IFRS for the fiscal periods ended after March 31,, has eliminated the difference between the net asset value and net assets per security, in most cases. (3) Management expense ratio is based on total expenses (excluding commissions and other portfolio transaction costs) for the stated period and is expressed as an annualized percentage of daily average net asset value during the period. If in the period a series was established or reinstated, the management expense ratio is annualized from the date of inception or reinstatement. Mackenzie and Quadrus may waive or absorb operating expenses at their discretion and stop waiving or absorbing such expenses at any time without notice. (4) The trading expense ratio represents total commissions and other portfolio transaction costs expressed as an annualized percentage of daily average net asset value during the period. (5) The Fund s portfolio turnover rate indicates how actively the Fund s portfolio advisor manages its portfolio investments. A portfolio turnover rate of 100% is equivalent to the Fund buying and selling all of the securities in its portfolio once in the course of the period. The higher a fund s portfolio turnover rate in a period, the greater the trading costs payable by the fund in the period, 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 a fund. The portfolio turnover rate is not provided when the Fund is less than one year old. The value of any trades to realign the Fund s portfolio after a fund merger, if any, is excluded from the portfolio turnover rate.

20 INTERIM MANAGEMENT REPORT OF FUND PERFORMANCE For the Period Ended September 30, RATIOS AND SUPPLEMENTAL DATA (cont d) Series F8 Total net asset value ($000) 1, 2 2,668 2,419 1, n/a Securities outstanding (000) n/a Management expense ratio (%) n/a waivers or absorptions (%) n/a Net asset value per security ($) n/a Series FB Total net asset value ($000) 1, 2 1, n/a n/a n/a Securities outstanding (000) n/a n/a n/a Management expense ratio (%) n/a n/a n/a waivers or absorptions (%) n/a n/a n/a Trading expense ratio (%) n/a n/a n/a Portfolio turnover rate (%) n/a n/a n/a Net asset value per security ($) n/a n/a n/a Series FB5 Total net asset value ($000) 1, n/a n/a n/a Securities outstanding (000) n/a n/a n/a Management expense ratio (%) n/a n/a n/a waivers or absorptions (%) n/a n/a n/a Trading expense ratio (%) n/a n/a n/a Portfolio turnover rate (%) n/a n/a n/a Net asset value per security ($) n/a n/a n/a Series I Total net asset value ($000) 1, Securities outstanding (000) Management expense ratio (%) waivers or absorptions (%) Trading expense ratio (%) Portfolio turnover rate (%) Net asset value per security ($) Series J Total net asset value ($000) 1, 2 2,147 2,205 2,260 5,140 7,577 6,846 Securities outstanding (000) Management expense ratio (%) waivers or absorptions (%) Trading expense ratio (%) Portfolio turnover rate (%) Net asset value per security ($) Series O Total net asset value ($000) 1, 2 14,723 15,539 18,500 25,310 16,651 6,147 Securities outstanding (000) 1 1,162 1,218 1,594 2,005 1, Management expense ratio (%) 3 waivers or absorptions (%) 3 Trading expense ratio (%) Portfolio turnover rate (%) Net asset value per security ($) Series PW Total net asset value ($000) 1, 2 214,174 87,675 64,043 66,390 24,757 n/a Securities outstanding (000) 1 14,524 5,841 4,593 4,289 1,572 n/a Management expense ratio (%) n/a waivers or absorptions (%) n/a Net asset value per security ($) n/a Series PWB Total net asset value ($000) 1, n/a n/a n/a n/a n/a Securities outstanding (000) 1 32 n/a n/a n/a n/a n/a Management expense ratio (%) n/a n/a n/a n/a n/a waivers or absorptions (%) n/a n/a n/a n/a n/a Trading expense ratio (%) n/a n/a n/a n/a n/a Portfolio turnover rate (%) n/a n/a n/a n/a n/a Net asset value per security ($) n/a n/a n/a n/a n/a