CC&L DIVERSIFIED INCOME PORTFOLIO Management Report of Fund Performance For the Year Ended December 31, 2017 This annual management report of fund performance contains financial highlights but does not contain the annual financial statements of the investment fund. You can get a copy of the annual financial statements at your request, and at no cost, by calling us directly at 1.800.939.9674, by writing to us at 1400-130 King St. West, P.O. Box 240, Toronto, ON, M5X 1C8 or by visiting our website at www.cclmanagedportfolios.com, or SEDAR at www.sedar.com. Security holders may also contact us using one of these methods to request a copy of the investment fund s interim financial report, proxy voting policies and procedures, proxy voting disclosure record, or quarterly portfolio disclosure.
Management Discussion of Fund Performance Investment Objective and Strategies The CC&L Diversified Income Portfolio (the Portfolio ) seeks to generate current income while preserving capital. The Portfolio is expected to provide modest potential for growth of capital over time with modest variability of return from year over year. The Portfolio is broadly diversified across different types of fixed income and equity securities to enhance risk-adjusted returns. Equity securities are employed to offset the risk presented by inflation and to provide the potential for capital growth. To achieve these objectives the manager, Connor, Clark & Lunn Private Capital Ltd. ( CC&L PC or the Manager ), seeks to determine the appropriate asset allocation of invested funds across the various asset classes. Each of the following portfolio managers affiliated with Connor, Clark & Lunn Financial Group Ltd. have been retained to invest the assets allocated to their asset class with full authority and responsibility for security selection: Baker Gilmore & Associates Inc. ( BGA ): Fixed income (short-term) Connor, Clark & Lunn Investment Management Ltd. ( CCLIM ): Canadian equities (yield-focused equity strategy, known as Income & Growth), fixed income (core and high-yield bonds) NS Partners Canada Ltd. ( NS Partners ): Global equities including United States and Europe, Australia and Far East equities ( EAFE ) CC&L PC monitors and periodically rebalances the Portfolio s underlying investments in order to maintain the tactical target asset allocations and, may, in its sole discretion, based in part upon any modeling, testing and asset allocation services, change the tactical target allocations and/or add or remove asset classes in order to meet the objectives of the Portfolio. The Portfolio may also invest in foreign debt or equity, which may or may not be hedged back to the Canadian dollar. While we expect that such foreign investments will be a material part of the overall tactical asset mix, the degree of foreign exposure will vary over time and will be at the discretion of the Manager. Generally, it is intended that each asset class will be actively managed by the portfolio manager for such asset class. The Portfolio may also hold an interest in another mutual fund (the underlying fund ) having portfolio securities of the same asset class and managed by an affiliate of Connor, Clark & Lunn Financial Group Ltd. Risk For the twelve month period ended December 31, 2017, the risk profile of the Portfolio was managed in accordance with the goals set out in the simplified prospectus. In the view of CC&L PC, the risks associated with an investment in the Portfolio are adequately described in the simplified prospectus and have not altered as result of subsequent changes in the underlying investments. Results of Operations Over the year ended December 31, 2017 (the period ), the Portfolio held $46 million in total net assets. During the period, investors in Series A units in the Portfolio experienced a return of 4.1%. The blended benchmark for the portfolio (45% FTSE TMX Canada Bond Index, 25% S&P/TSX Composite Index, 25% MSCI World ex-cda Index (CAD$) and 5% FTSE TMX Canada 91 Day TBill Index) returned 7.2% over the period. The performance of Series F, Series I, Series O, Arbour Series and Reserve Series units varied due to the differences in their expense structures. For specific returns by series, please refer to the Past Performance section of this report.
Management Discussion of Fund Performance The Portfolio remains broadly diversified across a number of asset classes. The chart below shows the asset allocation of the portfolio as at December 31, 2017 and 2016. The changes in the composition of the Portfolio are active tactical asset allocation decisions made by CC&L PC, the manager of the Portfolio. Asset Class Portfolio Asset Allocation Asset Allocation Manager (1) (Dec 31, 2017) (Dec 31, 2016) Change Fixed income (core) CCLIM 36.1% 35.8% 0.3% Fixed income (short-term) BGA 7.3% 7.6% -0.3% Fixed income (high-yield) CCLIM 6.5% 6.6% -0.1% Canadian equity (income & CCLIM growth 24.4% 24.9% -0.5% Global equity (income & growth) NS 25.7% 25.1% 0.6% (1) Portfolio Managers BGA: Baker, Gilmore & Associates Inc. CCLIM: Connor, Clark & Lunn Investment Management Ltd. NS: NS Partners Canada Ltd. The individual portfolio managers of the different asset classes will have achieved various levels of performance throughout the period. The impact of their out or underperformance relative to their policy benchmarks will impact the Portfolio returns as a whole, but because of the active nature of the tactical asset allocation strategy, it is important to note that the magnitude of their performance relative to the Portfolio will vary depending on the asset allocation weight at any point in time. While global economic data remains robust and inflation remains low, we continue to be cautious and recognize that the economy is in the latter stages of the current business cycle. Even as the strength and optimistic sentiment of the markets have propelled valuations higher over the past year, our strategy and macroeconomic outlook have not changed from the previous update. We remain prudent with our risk allocation and do not believe the risk-adjusted returns are attractive in the current environment. The reasons for caution are becoming even more apparent and it is all the more important now to be tactical in the way we allocate risk and position the Portfolio. These reasons include equity valuations becoming more expensive, central banks decidedly withdrawing stimulus and increasing interest rates, and a general comfort level amongst investors with taking on more and more risk. With a disciplined approach, we continue to maintain a close to neutral allocation split between equities and bonds. Within equities, we are tactically overweight global equities with an underweight to Canadian equities. With the market run up that closed out 2017, we will look to further reduce the equity overweight in the new year and rebalance some of that risk back towards core bonds. We continue to see better opportunities in the dividend-growing global equity space. Within the fixed income strategy, the asset manager continues to favour higher quality corporate bonds while from an asset allocation perspective, we maintain an underweight to high yield bonds with an allocation to short term bonds.
Management Discussion of Fund Performance Recent Developments Market Developments After a relatively muted second quarter and through the better part of the summer months, global economic activity and global capital markets reaccelerated in September and that continued to the end of the year. Global economic growth was both strong and synchronized while capital markets soared to new highs. That growth has led to record corporate earnings and pushed market returns into positive territory for the year. Macroeconomic data confirmed this growth trend and central banks in major economies enacted tightening measures by drawing down outstanding stimulus and raising interest rates. For example, the Bank of Canada raised rates twice in back-to-back meetings during the third quarter while the US Federal Reserve announced it was reducing their balance sheet in October and also raised rates again in December. In Europe, the European Central Bank and the Bank of England both signaled tighter policies going forward as well. These developments did not deter investors as markets made record highs despite continued geopolitical tensions around the world and uncertainty over trade and other policies coming out of Washington, D.C. The Canadian TSX index had a strong fourth quarter and earned half of its annual return during this period. However, this still trailed most global equity indices, in Canadian dollar terms, due to the sector characteristics of the domestic equity market. In particular, energy represents a relatively larger portion of the Canadian equity market compared to most other global indices and it was the one sector that ended 2017 in negative territory. In the US, S&P 500 returns were boosted by the passage of broad tax reforms, which could greatly benefit US corporations, and helped spur higher valuations. In the Canadian bond market, rates moved modestly across the yield curve. Short rates rose slightly higher while longer 30-year yields fell, resulting in a flattening of the yield curve. However, bond indices across all durations posted positive returns for the year. New accounting standards and interpretations not yet adopted The Fund s annual financial statements have been prepared in compliance with International Financial Reporting Standards ("IFRS") as published by the International Accounting Standards Board ( IASB ). The final version of IFRS 9, Financial Instruments, was issued by the IASB in July 2014 and will replace IAS 39 Financial Instruments: Recognition and Measurement. IFRS 9 is effective for annual periods beginning on or after January 1, 2018. The Manager has determined the impact for the Fund will include additional disclosures related to changes to the classification of certain financial instruments to align to the classifications under IFRS 9. Adoption of the standard will not impact Net Assets attributable to holders of redeemable units. Caution regarding forward-looking statements Certain portions of this report, including, but not limited to, Results of Operations and Recent Developments, may contain forward-looking statements including, but not limited to, statements relating to the Portfolio, its strategy, risks, expected performance and condition. The use of any of the words anticipate, may, will, expect, estimate, should, believe and similar expressions are intended to identify forward-looking statements. In addition, any statement that is predictive in nature, that depends upon or refers to future events or conditions, or that may be made concerning future performance, strategies or prospects, and possible future action to be made by the Portfolio, CC&L PC and the Portfolio s portfolio managers, is also a forward-looking statement. Such statements reflect the opinion of CC&L PC and the Portfolio s portfolio managers regarding factors that might be reasonably expected to affect the performance and the distributions on units of the Portfolio,
Management Discussion of Fund Performance and are based on current expectations and projections about future general economic, political and relevant market factors, such as interest rates, foreign exchange rates, equity and capital markets, regulatory framework and the general business environment and other relevant information available at the time of this report. Changes in these factors may cause actual results to differ materially from the forward-looking information. CC&L PC believes that the expectations reflected in these forward-looking statements and in the analysis are reasonable, but no assurance can be given that these expectations or the analysis will prove to be correct and accordingly they should not be unduly relied on. These statements speak only as of the date of this report. Actual events and outcomes may differ materially from those described in these forward-looking statements. We stress that the above mentioned list of important factors is not exhaustive. We encourage you to consider these and other factors carefully before making any investment decisions and we urge you to avoid placing any undue reliance on forward-looking statements. Further, you should be aware of the fact that there is no specific intention of updating any forward-looking statements contained therein whether as a result of new information, future events or otherwise. Related Party Transactions CC&L PC is affiliated with Connor, Clark & Lunn Financial Group Ltd. As disclosed in the prospectus and annual information form, all of the portfolio managers retained by the Portfolio are also affiliated with Connor, Clark & Lunn Financial Group Ltd. As a manager, CC&L PC receives management fees with respect to the day-to-day business and operations of the Portfolio, calculated based on the net asset value of each respective series of units of the Portfolio, as described in the section entitled Management Fees. These management fees are charged in the normal course of business and are measured at their exchange amount. Recommendations or reports by the Independent Review Committee The Independent Review Committee tabled no special reports and made no reportable material recommendations to the manager of the Portfolio during the period ending December 31, 2017.
Financial Highlights The following tables show selected key financial information about the Portfolio and are intended to help you understand the Portfolio s financial performance for the past five years. This information is derived from the Portfolio s audited annual financial statements. Financial Highlights: Series A Dec 31'17 Dec 31'16 Dec 31'15 Dec 31'14 Dec 31'13 Net Assets, beginning of period/year (1) $ 10.90 $ 10.90 $ 11.20 $ 11.08 $ 10.11 Increase (decrease) from operations: Total revenue 0.33 0.36 0.38 0.39 0.38 Total expenses (0.30) (0.30) (0.33) (0.32) (0.28) Realized gains (losses) for the period 0.31 0.54 0.77 1.10 0.38 Unrealized gains (losses) for the period 0.04 (0.12) (0.42) (0.06) 0.61 Total Increase (decrease) from operations (2) 0.38 0.48 0.40 1.11 1.09 Distributions: From net investment income (excluding dividends) (3) (0.05) (0.01) - (0.01) (0.02) From dividends (3) - (0.07) (0.06) (0.07) (0.09) From capital gains (0.04) (0.38) (0.66) (0.93) - Return of capital - - - - - Total distributions (4) (0.09) (0.46) (0.72) (1.01) (0.11) Net assets, end of period/year (1,5) $ 11.26 $ 10.90 $ 10.90 $ 11.20 $ 11.08 Series A inception date: Feburary 1, 2006 Series F Dec 31'17 Dec 31'16 Dec 31'15 Dec 31'14 Dec 31'13 Net Assets, beginning of period/year (1) $ 12.27 $ 12.07 $ 12.30 $ 12.17 $ 11.10 Increase (decrease) from operations: Total revenue 0.37 0.40 0.42 0.43 0.42 Total expenses (0.21) (0.21) (0.23) (0.22) (0.18) Realized gains (losses) for the period 0.36 0.60 0.85 1.21 0.41 Unrealized gains (losses) for the period 0.06 (0.14) (0.46) (0.06) 0.65 Total Increase (decrease) from operations (2) 0.58 0.65 0.58 1.36 1.30 Distributions: From net investment income (excluding dividends) (3) (0.15) (0.02) - (0.02) (0.04) From dividends (3) - (0.18) (0.18) (0.20) (0.20) From capital gains - (0.25) (0.64) (1.03) - Return of capital - - - - - Total distributions (4) (0.15) (0.45) (0.82) (1.25) (0.24) Net assets, end of period/year (1,5) $ 12.74 $ 12.27 $ 12.07 $ 12.30 $ 12.17 Series F inception date: September 14, 2009
Financial Highlights Series I Dec 31'17 Dec 31'16 Dec 31'15 Dec 31'14 Dec 31'13 Net Assets, beginning of period/year (1) $ 11.67 $ 11.27 $ 11.68 $ 10.69 $ 9.73 Increase (decrease) from operations: Total revenue 0.35 0.36 0.40 0.37 0.34 Total expenses (0.07) (0.07) (0.08) (0.06) (0.06) Realized gains (losses) for the period 0.35 0.54 0.81 1.06 0.34 Unrealized gains (losses) for the period 0.09 (0.10) (0.42) 0.13 0.86 Total Increase (decrease) from operations (2) 0.72 0.73 0.71 1.50 1.48 Distributions: From net investment income (excluding dividends) (3) (0.25) (0.01) - (0.01) (0.05) From dividends (3) - (0.32) (0.28) (0.33) (0.24) From capital gains (0.13) - (0.83) - - Return of capital - - - - - Total distributions (4) (0.38) (0.33) (1.11) (0.34) (0.29) Net assets, end of period/year (1,5) $ 12.02 $ 11.67 $ 11.27 $ 11.68 $ 10.69 Series I inception date: July 11, 2007 Series O Dec 31'17 Dec 31'16 Dec 31'15 Dec 31'14 Dec 31'13 Net Assets, beginning of period/year (1) $ 12.05 $ 11.61 $ 11.59 $ 10.92 $ 9.96 Increase (decrease) from operations: Total revenue 0.36 0.38 0.39 0.38 0.38 Total expenses (0.21) (0.20) (0.22) (0.20) (0.17) Realized gains (losses) for the period 0.37 0.61 0.83 1.06 0.37 Unrealized gains (losses) for the period 0.08 (0.26) (0.39) - 0.59 Total Increase (decrease) from operations (2) 0.60 0.53 0.61 1.24 1.17 Distributions: From net investment income (excluding dividends) (3) (0.14) (0.02) - (0.01) (0.04) From dividends (3) - (0.16) (0.17) (0.18) (0.18) From capital gains - - (0.37) (0.37) - Return of capital - - - - - Total distributions (4) (0.14) (0.18) (0.54) (0.56) (0.22) Net assets, end of period/year (1,5) $ 12.52 $ 12.05 $ 11.61 $ 11.59 $ 10.92 Series O inception date: April 30, 2007
Financial Highlights Arbour Series Dec 31'17 Dec 31'16 Dec 31'15 Dec 31'14 Dec 31'13 Net Assets, beginning of period/year (1) $ 10.27 $ 10.36 $ 10.64 $ 10.79 $ 9.85 Increase (decrease) from operations: Total revenue 0.31 0.34 0.36 0.38 0.37 Total expenses (0.32) (0.32) (0.35) (0.35) (0.31) Realized gains (losses) for the period 0.31 0.52 0.74 1.06 0.37 Unrealized gains (losses) for the period 0.08 (0.13) (0.33) (0.03) 0.58 Total Increase (decrease) from operations (2) 0.38 0.41 0.42 1.06 1.01 Distributions: From net investment income (excluding dividends) (3) (0.01) (0.01) - (0.01) (0.01) From dividends (3) - (0.05) (0.04) (0.04) (0.06) From capital gains (0.09) (0.44) (0.59) (1.16) - Return of capital - - - - - Total distributions (4) (0.10) (0.50) (0.63) (1.21) (0.07) Net assets, end of period/year (1,5) $ 10.55 $ 10.27 $ 10.36 $ 10.64 $ 10.79 Arbour Series inception date: August 22, 2006
Financial Highlights Reserve Series Dec 31'17 Dec 31'16 Dec 31'15 Dec 31'14 Dec 31'13 Net Assets, beginning of period/year (1) $ 13.50 $ 13.30 $ 13.51 $ 13.16 $ 12.00 Increase (decrease) from operations: Total revenue 0.41 0.44 0.46 0.46 0.45 Total expenses (0.40) (0.39) (0.39) (0.37) (0.32) Realized gains (losses) for the period 0.38 0.67 0.95 1.28 0.46 Unrealized gains (losses) for the period 0.07 (0.21) (0.46) - 0.67 Total Increase (decrease) from operations (2) 0.46 0.51 0.56 1.37 1.26 Distributions: From net investment income (excluding dividends) (3) (0.04) (0.01) - (0.02) (0.03) From dividends (3) - (0.07) (0.07) (0.06) (0.09) From capital gains (0.07) (0.23) (0.63) (0.89) - Return of capital - - - - - Total distributions (4) (0.11) (0.31) (0.70) (0.97) (0.12) Net assets, end of period/year (1,5) $ 13.96 $ 13.50 $ 13.30 $ 13.51 $ 13.16 Reserve Series inception date: May 13, 2009 (1) This information is derived from the Portfolio s audited annual financial statements. For financial periods beginning after January 1, 2014, the financial highlights were derived from the Portfolio's financial statements prepared in accordance with International Financial Reporting Standards ("IFRS"). For the financial year ended December 31, 2013, the financial highlights numbers were restated to comply with IFRS reporting. References to "Net Assets per Unit" or "Net Assets" in this table are references to net assets attributable to holders of redeemable units determined in accordance with IFRS as presented in the financial statements of the Portfolio. (2) Net assets and distributions are based on the actual number of units outstanding at the relevant time. The increase or decrease from operations is based on the weighted average number of units outstanding over the financial period. (3) The allocation of distributions between income and dividends is an estimate and may not reflect amounts distributed for tax purposes. (4) Distributions were paid in cash or reinvested in additional units of the Portfolio, or a combination of both. (5) This is not a reconciliation between the opening and the closing values of the net assets per unit.
Financial Highlights Ratios & Supplemental Data: Series A Dec 31'17 Dec 31'16 Dec 31'15 Dec 31'14 Dec 31'13 Net asset value ('000s) (1) $ 27,253 $ 22,127 $ 21,824 $ 19,438 $ 17,880 Number of units outstanding (1) 2,421,263 2,029,604 2,002,625 1,734,786 1,613,154 Management expense ratio (2,5) 2.53% 2.54% 2.51% 2.57% 2.51% Management expense ratio before waivers or 2.53% 2.54% 2.51% 2.57% 2.51% absorptions (2,5) Portfolio turnover rate (3) 148.06% 120.39% 103.19% 88.49% 96.56% Trading expense ratio (4) 0.13% 0.11% 0.25% 0.11% 0.05% Net asset value per unit $ 11.26 $ 10.90 $ 10.90 $ 11.20 $ 11.08 Series A inception date: Feburary 1, 2006 Series F Dec 31'17 Dec 31'16 Dec 31'15 Dec 31'14 Dec 31'13 Net asset value ('000s) (1) $ 3,500 $ 4,589 $ 4,236 $ 3,837 $ 2,771 Number of units outstanding (1) 274,627 374,130 351,013 312,002 227,592 Management expense ratio (2,5) 1.50% 1.49% 1.47% 1.55% 1.48% Management expense ratio before waivers or 1.50% 1.49% 1.47% 1.55% 1.48% absorptions (2,5) Portfolio turnover rate (3) 148.06% 120.39% 103.19% 88.49% 96.56% Trading expense ratio (4) 0.13% 0.11% 0.25% 0.11% 0.05% Net asset value per unit $ 12.74 $ 12.27 $ 12.07 $ 12.30 $ 12.17 Series F inception date: September 14, 2009 Series I Dec 31'17 Dec 31'16 Dec 31'15 Dec 31'14 Dec 31'13 Net asset value ('000s) (1) $ 48 $ 40 $ 378 $ 365 $ 824 Number of units outstanding (1) 3,989 3,449 33,502 31,201 77,103 Management expense ratio (2,5) 0.37% 0.38% 0.34% 0.35% 0.49% Management expense ratio before waivers or 0.37% 0.38% 0.34% 0.35% 0.49% absorptions (2,5) Portfolio turnover rate (3) 148.06% 120.39% 103.19% 88.49% 96.56% Trading expense ratio (4) 0.13% 0.11% 0.25% 0.11% 0.05% Net asset value per unit $ 12.02 $ 11.67 $ 11.27 $ 11.68 $ 10.69 Series I inception date: July 11, 2007 Series O Dec 31'17 Dec 31'16 Dec 31'15 Dec 31'14 Dec 31'13 Net asset value ('000s) (1) $ 9,206 $ 11,204 $ 17,548 $ 23,026 $ 31,971 Number of units outstanding (1) 735,202 929,635 1,510,986 1,986,431 2,928,280 Management expense ratio (2,5) 1.52% 1.53% 1.47% 1.53% 1.48% Management expense ratio before waivers or 1.52% 1.53% 1.47% 1.53% 1.48% absorptions (2,5) Portfolio turnover rate (3) 148.06% 120.39% 103.19% 88.49% 96.56% Trading expense ratio (4) 0.13% 0.11% 0.25% 0.11% 0.05% Net asset value per unit $ 12.52 $ 12.05 $ 11.61 $ 11.59 $ 10.92 Series O inception date: April 30, 2007
Financial Highlights Arbour Series Dec 31'17 Dec 31'16 Dec 31'15 Dec 31'14 Dec 31'13 Net asset value ('000s) (1) $ 347 $ 358 $ 356 $ 406 $ 377 Number of units outstanding (1) 32,921 34,871 34,340 38,176 34,902 Management expense ratio (2,5) 2.91% 2.91% 2.85% 2.92% 2.86% Management expense ratio before waivers or 2.91% 2.91% 2.85% 2.92% 2.86% absorptions (2,5) Portfolio turnover rate (3) 148.06% 120.39% 103.19% 88.49% 96.56% Trading expense ratio (4) 0.13% 0.11% 0.25% 0.11% 0.05% Net asset value per unit $ 10.55 $ 10.27 $ 10.36 $ 10.64 $ 10.79 Arbour Series inception date: August 22, 2006 Reserve Series Dec 31'17 Dec 31'16 Dec 31'15 Dec 31'14 Dec 31'13 Net asset value ('000s) (1) $ 6,018 $ 4,646 $ 6,027 $ 7,469 $ 9,209 Number of units outstanding (1) 431,118 344,152 453,162 552,774 699,802 Management expense ratio (2,5) 2.70% 2.69% 2.44% 2.47% 2.45% Management expense ratio before waivers or 2.86% 2.85% 2.60% 2.63% 2.60% absorptions (2,5) Portfolio turnover rate (3) 148.06% 120.39% 103.19% 88.49% 96.56% Trading expense ratio (4) 0.13% 0.11% 0.25% 0.11% 0.05% Net asset value per unit $ 13.96 $ 13.50 $ 13.30 $ 13.51 $ 13.16 Reserve Series inception date: May 13, 2009 (1) This information is provided as at December 31 of the years shown. (2) 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. (3) The Portfolio s portfolio turnover rate indicates how actively the Portfolio's portfolio managers manage its portfolio investments. A portfolio turnover rate of 100% is equivalent to the Portfolio 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 period. There is not necessarily a relationship between a high turnover rate and the performance of a fund. (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 manager of the Portfolio, CC&L PC, waived certain fees or absorbed certain expenses otherwise payable by the fund. The amount of expenses waived or absorbed is determined periodically on a series by series basis at the direction of the manager and the manager can terminate the waiver or absorption at any time.
Management Fees The Portfolio is managed by CC&L PC. As consideration for providing investment advisory and management services, CC&L PC receives a management fee from the Portfolio based on the net asset value of the respective series, calculated daily and payable monthly. In respect of units of all series of the Portfolio other than Series I, the management fee is paid by the Portfolio to CC&L PC. Management fees in respect of Series I units are arranged directly and charged outside the Portfolio. Management fees on Series I units are not expenses of the Portfolio. CC&L PC uses a portion of management fees to pay for trailing commissions to registered dealers (if applicable) based on amounts invested in the Portfolio. CC&L PC uses the remaining portion of the management fees to pay for investment advice including fees charged by the Portfolio s portfolio managers and general administration and retains the balance for profit. The following table summarizes the annual management fee rates (excluding GST and HST) of each series of the Portfolio, expressed as a percentage of the Portfolio s value, and the portion of the management fee used for dealer compensation and the portion used and allocated for investment advice, general administration and profit. As a percentage of management fees Investment advice, Annual Dealer administration Rates Compensation and profit Series A 1.95% 48.7% 51.3% Series F 1.00% - 100.0% Series I - - - Series O 1.00% - 100.0% Reserve Series (1) 2.20% 45.5% 54.5% Arbour Series 2.24% 51.3% 48.7% (1) Effective November 1, 2012 the management fee on the Reserve Series changed from 2.4% to 2.2%.
Past Performance The performance information shown below assumes that all distributions made by the Portfolio in the periods shown were reinvested in additional units of the Portfolio. Note that the performance information does not take into account sales, redemption, distribution or other optional charges that would have reduced returns or performance. How the Portfolio has performed in the past does not necessarily indicate how it will perform in the future. Year-by-year Returns The following bar charts show the Portfolio s annual performance for each of the years shown and illustrate how the Portfolio s performance has changed from year to year, for each series of the Portfolio. The charts show, in percentage terms, how much an investment made on the first day of each financial year would have grown or decreased by the last day of each financial year. Series A Performance for 2006 represents returns from February 1 to December 31, 2006. Series F Performance for 2009 represents returns from September 14 to December 31, 2009.
Past Performance Series I Performance for 2007 represents returns from July 11 to December 31, 2007. Series O Performance for 2007 represents returns from April 30 to December 31, 2007.
Past Performance Arbour Series Performance for 2006 represents returns from August 22 to December 31, 2006. Reserve Series Performance for 2009 represents returns from May 13 to December 31, 2009
Past Performance Annual Compound Returns The table below shows past performance for the last one, three, five and ten year financial periods, as applicable, for each of the series of the Portfolio, relative to the performance of the Blended Benchmark during the same periods. 1 yr 3 yr 5 yr 10 yr Since Inception Inception Date Series A 4.06% 4.04% 6.57% 5.11% 4.63% February 1, 2006 25% S&P/TSX Composite Index & 25% MSCI World ex-cda Index (CAD$) & 45% FTSE TMX Canada Universe Bond Index & 5% FTSE TMX Canada 91 Day TBill Index 7.22% 6.31% 8.06% 6.30% 6.18% Series F 5.15% 5.11% 7.67% N/A 7.75% September 14, 2009 25% S&P/TSX Composite Index & 25% MSCI World ex-cda Index (CAD$) & 45% FTSE TMX Canada Universe Bond Index & 5% FTSE TMX Canada 91 Day TBill Index 7.22% 6.31% 8.06% 6.30% 7.31% Series I 6.33% 6.31% 8.85% 7.32% 6.85% July 11, 2007 25% S&P/TSX Composite Index & 25% MSCI World ex-cda Index (CAD$) & 45% FTSE TMX Canada Universe Bond Index & 5% FTSE TMX Canada 91 Day TBill Index 7.22% 6.31% 8.06% 6.30% 6.14% Series O 5.12% 5.10% 7.66% 6.17% 5.55% April 30, 2007 25% S&P/TSX Composite Index & 25% MSCI World ex-cda Index (CAD$) & 45% FTSE TMX Canada Universe Bond Index & 5% FTSE TMX Canada 91 Day TBill Index 7.22% 6.31% 8.06% 6.30% 5.96% Arbour Series 3.67% 3.66% 6.18% 4.75% 4.31% August 22, 2006 25% S&P/TSX Composite Index & 25% MSCI World ex-cda Index (CAD$) & 45% FTSE TMX Canada Universe Bond Index & 5% FTSE TMX Canada 91 Day TBill Index 7.22% 6.31% 8.06% 6.30% 6.26% Reserve Series 4.21% 3.90% 6.43% N/A 7.22% May 13, 2009 25% S&P/TSX Composite Index & 25% MSCI World ex-cda Index (CAD$) & 45% FTSE TMX Canada Universe Bond Index & 5% FTSE TMX Canada 91 Day TBill Index 7.22% 6.31% 8.06% 6.30% 7.88%
Summary of Investment Portfolio Below is a breakdown of the Portfolio s investment holdings as at December 31, 2017. The individual holdings and their relative percentage of the overall Portfolio will change between reporting periods as markets change and portfolio managers buy and sell individual securities. % of Net % of Net Asset Mix Asset Value Top 25 Investments Asset Value Canadian content 74.3% 1 CC&L High Yield Bond Fund, Series 'I' (Note 1) 6.5% Foreign content 25.7% 2 Province of Ontario, 2.600%, 2027/06/02 3.6% Cash -0.1% 3 Province of Ontario, 2.850%, 2023/06/02 2.5% 4 Toronto-Dominion Bank (The) 2.4% 5 Royal Bank of Canada 2.2% 6 Government of Canada, 5.000%, 2037/06/01 2.0% 7 Province of Quebec, 2.750%, 2027/09/01 1.6% 8 Bank of Nova Scotia 1.6% % of Net 9 Government of Canada, 1.000%, 2022/09/01 1.5% Asset Mix Asset Value 10 Province of Quebec, 3.000%, 2023/09/01 1.4% Cash -0.1% 11 Brookfield Infrastructure Partners L.P. 1.2% Fixed income (core) 36.1% 12 Manulife Financial Corp. 1.1% Fixed income (short-term) 7.3% 13 Canada Housing Trust No. 1, 1.150%, 2021/12/15 1.0% Fixed income (high-yield) 6.5% 14 Canadian National Railway Co. 1.0% Canadian equity (income & growth) 24.4% 15 Province of Quebec, 4.500%, 2020/12/01 0.9% Global equity (income & growth) 25.7% 16 Government of Canada, 0.500%, 2022/03/01 0.9% 17 Microsoft Corp. 0.8% 18 Cott Corp. 0.8% 19 Province of Quebec, 3.500%, 2022/12/01 0.8% 20 TransCanada Corp. 0.8% 21 Rogers Communications Inc., Class 'B' 0.8% 22 Bank of Nova Scotia Bankers' Acceptance, 1.255%, 2018/02/02 0.8% 23 JPMorgan Chase & Co. 0.7% 24 SNC-Lavalin Group Inc. 0.7% 25 Canada Housing Trust No. 1, 1.750%, 2022/06/15 0.7% Top long positions as a percentage of total net asset value 38.3% The investments and percentages may have changed by the time you purchase units of this Portfolio. The top 25 investment holdings are made available quarterly, 60 days after quarter end. Note 1: The CC&L High Yield Bond Fund is an investment fund managed by Connor, Clark & Lunn Fund Inc., a company affiliated to CC&L Private Capital Ltd. through Connor, Clark & Lunn Financial Group. The prospectus and other information about the CC&L High Yield Bond Fund is available on the internet at www.sedar.com