This annual management report of fund performance contains financial highlights but does not contain the complete 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 1-888-664-4784, by writing to us at United Financial, 2 Queen Street East, Twentieth Floor, Toronto, ON, M5C 3G7 or by visiting our website at www.assante.com or SEDAR at www.sedar.com. 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. INVESTMENT OBJECTIVE AND STRATEGIES Canadian Equity Small Cap Pool (the Fund ) seeks to provide long-term capital growth together with the preservation of capital by investing primarily in common shares of Canadian corporations, diversified over a broad range of companies. The primary emphasis will be on small market capitalization. The portfolio adviser employs a disciplined management style designed to capture the returns and the diversification benefits of a broad cross section of Canadian small companies. Specifically, the portfolio adviser will invest primarily in common shares of Canadian companies having a relatively small market capitalization at the time of the initial investment. In addition, the portfolio adviser will manage this Fund using quantitative and qualitative analysis techniques to select securities that it believes offer superior prospects for long-term capital appreciation. The Fund may invest up to 30% of its assets in foreign securities. This Fund may use derivatives, but only as permitted by securities regulations. This Fund may also enter into securities lending transactions, repurchase transactions and reverse repurchase transactions, to the extent permitted by securities regulations, to earn additional income. RISK The risks of investing in the Fund remain as discussed in the prospectus. This Fund is suitable for investors who want a medium risk investment focused on generating capital growth and are planning to hold their investment for the medium and/or long term. RESULTS OF OPERATIONS The net asset value of the Fund increased by $42.2 million to $271.2 million from December 31, 2016 to December 31, 2017. The Fund had net sales of $36.6 million for the year. The portfolio s performance increased assets by $5.6 million. Class W units returned 2.8%, after fees and expenses for the one-year period ended December 31, 2017. Over the same time period, the Fund s benchmark returned 6.4%. The benchmark is the BMO Small Cap Total Return Index. The performance of the Fund s other classes is substantially similar to that of Class W units, except for differences in the structure of fees and expenses. For the returns of the Fund s other classes, please refer to the Past performance section. 2017 marks yet another win for equity investors. Global stock markets generated robust gains, with many indexes posting double-digit returns. GDP growth rates topped expectations as the world economy continued to strengthen. More importantly, growth was broad-based, with even the struggling economies of Japan, Europe, Brazil and Russia contributing positively. This is the first time since 2010 that we have seen synchronized expansion and it seems reasonable to expect it to continue. This strong tailwind resulted in comparatively low volatility and high investor confidence throughout the year. The momentum continued to gain traction thanks to the all-but-perfect combination of increasingly healthy global corporate profits and monetary policy held at near-crisis levels. Headline forecasts for equity markets in 2018 are almost unanimously bullish. Notwithstanding solid absolute returns, Canada has lagged other global markets over the last twelve months and is reasonably valued compared to other parts of the world. Although equity valuations may continue to climb higher given the lower yields of alternatives, the environment is becoming increasingly fragile as multiples push further beyond historical averages. During the year the Fund underperformed its benchmark. Benchmark performance was largely driven by the materials and industrials sectors, with broad strength in commodity prices over the year. Although oil prices have also increased, many energy service providers have struggled to improve profitability, resulting in negative performance by the sector. The Fund s energy holdings also declined to a higher degree than the benchmark, contributing to underperformance over the year. The largest individual contributors to performance were Canadian Western Bank, Labrador Iron Ore Royalty Co. and Algonquin Power & Utilities Corp. The largest individual detractors from performance were Home Capital Group Inc., Secure Energy Services Inc. and Cineplex Inc. Investments in Algonquin Power & Utilities Corp., Aritzia Inc., Cominar REIT, Empire Co., EnerCare Inc., Linamar Corp., Peyto Exploration & Development Corp. and Stantec Inc., were made during the reporting year. Algonquin Power & Utilities is a growing renewable energy and regulated utility company with assets across North America. The business provides a combination of cash flow stability and dividend income, while adding to the Fund s growth characteristics. Aritzia is a retailer of women s apparel and accessories designed under exclusive internal brands. Aritzia has an impressive record of sales growth while achieving top decile revenue per square foot metric. The company is methodically growing sales internationally and online. Cominar REIT is the largest owner and manager of commercial real estate in Quebec. It has a broad customer base and diverse portfolio including office, retail and industrial properties. The investment enhances the yield of the portfolio and improves industry diversification. Empire is the food retailer operating under the Sobeys, IGA and Safeway banners. While competitive challenges have impacted performance over the last few years, a transformation strategy under the company s new leadership team is expected to significantly improve profitability. EnerCare is a leading provider of water heaters, furnaces and other HVAC products in Ontario, with a growing presence across North America. It maintains a stable business, which enhances the portfolio s dividend yield while providing moderate prospects for growth. Linamar is a diversified global manufacturer of highly engineered vehicle parts CIG - 9609
and industrial equipment. The company has a long track record of double-digit return on invested capital and book value per share growth. Linamar generates strong cash flow, supporting deleveraging and dividend growth. The valuation is reasonable today and growth from new business wins provides protection as we move deeper into the auto sales cycle. Peyto is a high-quality, low-cost natural gas producer with assets concentrated in Alberta. The company has an above-average return on capital and has delivered strong growth in reserves and production on a per share basis. We expect Peyto s assets to remain resilient in a sustained low natural gas price environment. Stantec provides professional consulting, engineering and project management services in North America and internationally. Prudent expense management and diversity in its services and end-market exposures have historically allowed it to adapt to changing market conditions. The Fund sold out of investments in DH Corp., Ensign Energy Services Inc., Finning International Inc., Home Capital Group Inc., Bell MTS (formerly Manitoba Telecom Services) and Mitel Networks Corp. Rapid share price appreciation of DH made the risk-reward profile of the transitioning financial technology firm less compelling. The company was later acquired by a private equity firm. Ensign was sold as other energy-related businesses in the portfolio exhibit stronger competitive barriers over a full cycle and present less downside risk in a more difficult environment. The valuation of Finning International began to reflect a rebound in mining activity that exceeded our expectations. Home Capital is a lending business with a large presence in the Canadian mortgage market. For years, the company maintained a resilient record of strong credit performance, stable funding access and attractive returns on equity. In late-april, Ontario s securities regulator released allegations that the company misled investors about an internal mortgage investigation several years ago. Investor and depositor confidence quickly began to erode. The outflow of deposits that ensued was far worse than any stress test we or the company had anticipated. Home Capital was forced to reach an agreement for emergency liquidity at exorbitant rates, wiping out a large portion of its earnings power. The Fund sold its investments in Bell MTS as the value of BCE s acquisition offer became increasingly reflected in the share price. Mitel is a global provider of business communications and collaboration software. Inconsistent capital deployment from the new leadership team led us to eventually exit. provided management services required in the day-to-day operations of the Fund. The Manager bears all of the operating expenses of the Fund (other than taxes, borrowing costs and new governmental fees) in return for a fixed administration fee. Management fee and fixed administration fee rates as at December 31, 2017, for each of the classes are shown below: Annual management fee rate (%) Annual fixed administration fee rate (%) Class A 2.500 0.20 Class E 1.900 0.20 Class E3 1.880 0.19 Class E4 1.800 0.15 Class E5 1.720 0.10 Class F 0.900 0.20 Class F3 0.880 0.19 Class F4 0.800 0.15 Class F5 0.720 0.10 Class I Paid directly by investor - Class OF 1.500 0.20 Class W Paid directly by investor 0.20 The Manager received $2.4 million in management fees and $0.3 million in fixed administration fees for the year. Management Fees Approximately 19% of total management fees were used to pay for sales and trailing commissions and other services required. The remaining 81% of management fees were used to pay for investment management and other general administration. RECENT DEVELOPMENTS Hints of speculative fervor continue to grow. Record low stock market volatility, healthy global equity returns and historically low corporate default rates are likely contributors to the positive market sentiment. Many of the recent top performers in the Canadian small and mid-cap space generate very little revenue or cash flow and operate in industries with little or no regulated history. We believe the heightened risk appetite signals a need for greater investor vigilance. Principal Distributor The Manager has the exclusive right to arrange for the distribution of units of the Fund. Pursuant to a series of agreements, the right to distribute such units has been granted, on a collective basis, to the following dealers, each of which is an affiliate of the Manager. Assante Capital Management Ltd. Assante Financial Management Ltd. The Fund s cash levels remain elevated, reflecting the limited set of opportunities offering both value and quality in this maturing bull market. As the cycle extends, it is important to remain focused on risk management by ensuring balance sheet and profitability advantages of the portfolio over the benchmark. We continue to focus on strengthening the portfolio by searching for underappreciated quality assets and seeking to minimize exposure to investments with limited margin for error. RELATED PARTY TRANSACTIONS Manager and Trustee CI Investments Inc. is the Manager and Trustee of the Fund. CI Investments Inc. is a subsidiary of CI Financial Corp. The Manager, in consideration of management fees, Independent Review Committee The Fund received standing instructions from the Fund s Independent Review Committee ( IRC ) with respect to the following related party transactions: a) trades in securities of CI Financial Corp.; b) purchases or sales of securities of an issuer from or to another investment fund managed by the Manager; c) purchases or sales of other investment funds managed by the Manager or their affiliates; and d) mergers involving the Fund and another fund managed by the Manager that is subject to National Instrument 81-102 - Investment Funds.
The applicable standing instructions require that related party transactions be conducted in accordance with the Manager s policies and procedures and that the Manager advise the IRC of any material breach of a condition of the standing instructions. The standing instructions require, among other things, that investment decisions in respect of related party transactions (a) are free from any influence by an entity related to the Manager and without taking into account any consideration relevant to an entity related to the Manager; (b) represent the business judgment of the Manager uninfluenced by considerations other than the best interests of the Fund; (c) are made in compliance with the Manager s policies and procedures; and (d) achieve a fair and reasonable result for the Fund. Transactions made by the Manager under the standing instructions are subsequently reviewed by the IRC on a quarterly basis to monitor compliance. The Fund relied on the IRC s standing instructions regarding Related Party Transactions during this reporting year. 3
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 the past five years, as applicable. Net Assets per Unit ($) (1) (2) (4) * Increase (decrease) from operations: Distributions: Total Realized Unrealized Total increase From net investment Net assets Net assets at the beginning Total expenses (excluding gains (losses) for gains (losses) for (decrease) from income (excluding From From capital Total at the end of the year of year (2) revenue distributions) the year the year operations (2) dividends) dividends (2, 3) gains Return of capital distributions shown (2) $ $ $ $ $ $ $ $ $ $ $ $ Class A Commencement of operations December 28, 2006 Dec. 31, 2017 18.37 0.57 (0.52) 0.43 (0.59) (0.11) - - - - - 18.38 Dec. 31, 2016 14.70 0.50 (0.47) 1.35 2.27 3.65 - - - - - 18.37 Dec. 31, 2015 16.56 0.43 (0.46) 0.51 (2.27) (1.79) - - - - - 14.70 Dec. 31, 2014 15.79 0.41 (0.49) 1.05 (0.07) 0.90 - - - - - 16.56 Dec. 31, 2013 11.88 0.58 (0.40) 1.23 2.50 3.91 - - - - - 15.79 Class E Commencement of operations September 10, 2008 Dec. 31, 2017 20.56 0.64 (0.47) 0.45 (0.63) (0.01) - - - - - 20.70 Dec. 31, 2016 16.36 0.58 (0.42) 1.45 2.65 4.26 - - - - - 20.56 Dec. 31, 2015 18.31 0.49 (0.41) 0.56 (2.61) (1.97) - - - - - 16.36 Dec. 31, 2014 17.36 0.47 (0.43) 1.12 (0.28) 0.88 - - - - - 18.31 Dec. 31, 2013 12.98 0.71 (0.35) 1.30 2.74 4.40 - - - - - 17.36 Class E3 Dec. 31, 2017 10.00 0.23 (0.15) 0.30 0.08 0.46 - - - - - 10.33 - - - - - - - - - - - - - - - - Class E4 Dec. 31, 2017 10.00 0.24 (0.14) 0.31 0.20 0.61 - - - - - 10.34 - - - - - - - - - - - - - - - - Class E5 Dec. 31, 2017 10.00 0.24 (0.13) 0.33 0.33 0.77 - - - - - 10.35 - - - - - - - - - - - - - - - - Class F Dec. 31, 2017 10.00 0.25 (0.08) 0.34 0.43 0.94 - - - - - 10.40 - - - - - - - - - - - - - - - - *Footnotes for the tables are found at the end of the Net Assets per Unit section of the Financial Highlights.
FINANCIAL HIGHLIGHTS (cont d) Net Assets per Unit ($) (1) (2) (4) * Increase (decrease) from operations: Distributions: Total Realized Unrealized Total increase From net investment Net assets Net assets at the beginning Total expenses (excluding gains (losses) for gains (losses) for (decrease) from income (excluding From From capital Total at the end of the year of year (2) revenue distributions) the year the year operations (2) dividends) dividends (2, 3) gains Return of capital distributions shown (2) $ $ $ $ $ $ $ $ $ $ $ $ Class F3 Dec. 31, 2017 10.00 0.26 (0.08) 0.35 0.53 1.06 - - - - - 10.41 - - - - - - - - - - - - - - - - Class F4 Dec. 31, 2017 10.00 0.25 (0.07) 0.39 0.20 0.77 - - - - - 10.42 - - - - - - - - - - - - - - - - Class F5 Dec. 31, 2017 10.00 0.23 (0.06) 0.31 (0.05) 0.43 - - - - - 10.43 - - - - - - - - - - - - - - - - Class I Commencement of operations September 18, 2008 Dec. 31, 2017 25.66 0.83-0.69 (0.44) 1.08 - - - - - 26.43 Dec. 31, 2016 19.94 0.73-1.74 3.37 5.84 - - - - - 25.66 Dec. 31, 2015 21.80 0.60-0.67 (3.22) (1.95) - - - - - 19.94 Dec. 31, 2014 20.19 0.56-1.32 (0.65) 1.23 - - - - - 21.80 Dec. 31, 2013 14.75 0.81-1.49 3.16 5.46 - - - - - 20.19 Class OF Commencement of operations December 12, 2007 Dec. 31, 2017 19.50 0.55 (0.37) 0.71 (0.63) 0.26 - - - - - 19.71 Dec. 31, 2016 15.44 0.56 (0.32) 1.42 2.37 4.03 - - - - - 19.50 Dec. 31, 2015 17.18 0.45 (0.30) 0.52 (2.40) (1.73) - - - - - 15.44 Dec. 31, 2014 16.21 0.47 (0.32) 0.85 (1.20) (0.20) - - - - - 17.18 Dec. 31, 2013 12.07 0.55 (0.26) 1.33 2.25 3.87 - - - - - 16.21 Class W Commencement of operations January 31, 2000 Dec. 31, 2017 51.10 1.63 (0.11) 1.27 (1.29) 1.50 - - - - - 52.53 Dec. 31, 2016 39.81 1.43 (0.10) 3.62 6.15 11.10 - - - - - 51.10 Dec. 31, 2015 43.62 1.16 (0.09) 1.35 (6.10) (3.68) - - - - - 39.81 Dec. 31, 2014 40.49 1.08 (0.10) 2.69 (0.28) 3.39 - - - - - 43.62 Dec. 31, 2013 29.64 1.53 (0.08) 3.05 6.29 10.79 - - - - - 40.49 *Footnotes for the tables are found at the end of the Net Assets per Unit section of the Financial Highlights.
FINANCIAL HIGHLIGHTS (cont d) (1) This information is derived from the Fund s audited annual financial statements. (2) Net assets per unit and distributions per unit are based on the actual number of units outstanding for the relevant class at the relevant time. The increase (decrease) in net assets from operations per unit is based on the weighted average number of units outstanding for the relevant class over the fiscal year. (3) Distributions are automatically reinvested in additional units of the Fund. (4) This information is provided for the years ended December 31.
FINANCIAL HIGHLIGHTS (cont d) Ratios and Supplemental Data (1) (5) * Total net assets (5) Number of units outstanding (5) Management expense ratio before taxes (2) Harmonized sales tax (2) Management expense ratio after taxes (2) Effective HST rate for the year Trading (%) (2) expense ratio (3) Portfolio turnover rate (4) $000 s 000 s % % % % % % Class A Commencement of operations December 28, 2006 Dec. 31, 2017 3,151 171 2.70 0.23 2.93 8.37 0.07 24.30 Dec. 31, 2016 4,054 221 2.70 0.23 2.93 8.52 0.09 27.16 Dec. 31, 2015 4,514 307 2.70 0.23 2.93 8.56 0.06 11.68 Dec. 31, 2014 5,878 355 2.70 0.24 2.94 8.79 0.04 15.40 Dec. 31, 2013 7,691 487 2.70 0.26 2.96 9.47 0.05 20.63 Class E Commencement of operations September 10, 2008 Dec. 31, 2017 102,018 4,928 2.10 0.23 2.33 11.04 0.07 24.30 Dec. 31, 2016 122,394 5,952 2.10 0.23 2.33 10.90 0.09 27.16 Dec. 31, 2015 81,451 4,979 2.10 0.23 2.33 10.82 0.06 11.68 Dec. 31, 2014 68,151 3,722 2.10 0.23 2.33 10.83 0.04 15.40 Dec. 31, 2013 55,199 3,180 2.10 0.23 2.33 11.09 0.05 20.63 Class E3 Dec. 31, 2017 23,276 2,253 2.07 0.23 2.30 11.34 0.07 24.30 Class E4 Dec. 31, 2017 3,366 325 1.95 0.22 2.17 11.22 0.07 24.30 Class E5 Dec. 31, 2017 1,406 136 1.82 0.20 2.02 10.73 0.07 24.30 Class F Dec. 31, 2017 1,441 138 1.10 0.15 1.25 13.27 0.07 24.30 *Footnotes for the tables are found at the end of the Financial Highlights section.
FINANCIAL HIGHLIGHTS (cont d) Ratios and Supplemental Data (1) (5) * Total net assets (5) Number of units outstanding (5) Management expense ratio before taxes (2) Harmonized sales tax (2) Management expense ratio after taxes (2) Effective HST rate for the year Trading (%) (2) expense ratio (3) Portfolio turnover rate (4) $000 s 000 s % % % % % % Class F3 Dec. 31, 2017 748 72 1.07 0.13 1.20 12.50 0.07 24.30 Class F4 Dec. 31, 2017 133 13 0.95 0.12 1.07 13.00 0.07 24.30 Class F5 Dec. 31, 2017 10 1 0.83 0.10 0.93 13.00 0.07 24.30 Class I Commencement of operations September 18, 2008 Dec. 31, 2017 87,819 3,322 - - - - 0.07 24.30 Dec. 31, 2016 57,472 2,240 - - - - 0.09 27.16 Dec. 31, 2015 27,978 1,403 - - - - 0.06 11.68 Dec. 31, 2014 18,453 846 - - - - 0.04 15.40 Dec. 31, 2013 12,881 638 - - - - 0.05 20.63 Class OF Commencement of operations December 12, 2007 Dec. 31, 2017 95 5 1.70 0.24 1.94 14.22 0.07 24.30 Dec. 31, 2016 198 10 1.70 0.11 1.81 6.49 0.09 27.16 Dec. 31, 2015 108 7 1.70 0.10 1.80 5.89 0.06 11.68 Dec. 31, 2014 120 7 1.70 0.18 1.88 10.45 0.04 15.40 Dec. 31, 2013 27 2 1.70 0.20 1.90 11.43 0.05 20.63 Class W Commencement of operations January 31, 2000 Dec. 31, 2017 47,748 909 0.20 0.02 0.22 10.46 0.07 24.30 Dec. 31, 2016 44,904 879 0.20 0.02 0.22 10.30 0.09 27.16 Dec. 31, 2015 30,767 773 0.20 0.02 0.22 10.13 0.06 11.68 Dec. 31, 2014 32,171 738 0.20 0.02 0.22 10.11 0.04 15.40 Dec. 31, 2013 36,375 898 0.20 0.02 0.22 10.23 0.05 20.63 *Footnotes for the tables are found at the end of the Financial Highlights section.
FINANCIAL HIGHLIGHTS (cont d) (1) This information is derived from the Fund s audited annual financial statements. (2) Management expense ratio is calculated based on expenses charged to the Fund (excluding commissions and other portfolio transaction costs) and is expressed as an annualized percentage of daily average net assets for the year, including the Fund s proportionate share of any underlying fund(s) expenses, if applicable. The Effective HST tax rate is calculated using the attribution percentage for each province based on unitholder residency and can be different from 13%. (3) The trading expense ratio represents total commissions and other portfolio transaction costs expressed as an annualized percentage of daily average net assets during the year, including the Fund s proportionate share of such expenses of any underlying fund(s), if applicable. (4) 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 fiscal year. The higher a Fund s portfolio turnover rate in a year, the greater the trading costs payable by the Fund in the year, and the greater the chance of an investor receiving taxable capital gains in the year. There is not necessarily a relationship between a higher turnover rate and the performance of a Fund. Portfolio turnover rate is calculated by dividing the lesser of the cost of purchases and the proceeds of sales of portfolio securities for the year, and excluding cash and short-term investments maturing in less than one year, and before assets acquired from a merger, if applicable, by the average of the monthly fair value of investments during the year. (5) This information is provided for the years ended December 31.
PAST PERFORMANCE This section describes how the Fund has performed in the past. Remember, past returns do not indicate how the Fund will perform in the future. The information shown assumes that distributions made by the Fund in the years shown were reinvested in additional units of the relevant classes of the Fund. In addition, the information does not take into account sales, redemption, distribution or other optional charges that would have reduced returns or performance. Year-by-Year Returns The following charts show the Fund s annual performance for each of the years shown and illustrate how the Fund s performance has changed from year to year. In percentage terms, the charts show 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, except where noted. Class A Class E Class I Class OF 50 40 30 20 10 0-10 -20-30 -40 32.9 25.0 25.0 11.9 13.9 4.9-25.7-4.5-11.2 0.1 50 40 30 20 10 0-10 -20-30 -40 33.7 25.9 25.7 12.6 14.7 5.5-17.0 1-3.8-10.6 0.7 50 40 30 20 10 0-10 -20-30 -40-13.7 2 28.5 15.1-1.6 17.3 36.9 8.0-8.5 28.7 3.0 50 40 30 20 10 0-10 -20-30 -40 34.3 26.1 26.3 13.0 15.2 6.0-24.9-3.4-10.1 1.1 Dec. 2008 Dec. 2009 Dec. 2010 Dec. 2011 Dec. 2012 Dec. 2013 Dec. 2014 Dec. 2015 Dec. 2016 Dec. 2017 Dec. 2008 Dec. 2009 Dec. 2010 Dec. 2011 Dec. 2012 Dec. 2013 Dec. 2014 Dec. 2015 Dec. 2016 Dec. 2017 Dec. 2008 Dec. 2009 Dec. 2010 Dec. 2011 Dec. 2012 Dec. 2013 Dec. 2014 Dec. 2015 Dec. 2016 Dec. 2017 Dec. 2008 Dec. 2009 Dec. 2010 Dec. 2011 Dec. 2012 Dec. 2013 Dec. 2014 Dec. 2015 Dec. 2016 Dec. 2017 Class W 50 40 36.6 28.2 28.4 30 20 14.9 17.1 7.7 10-23.7-1.8-8.7 2.8 0-10 -20-30 -40 Dec. 2008 Dec. 2009 Dec. 2010 Dec. 2011 Dec. 2012 Dec. 2013 Dec. 2014 Dec. 2015 Dec. 2016 Dec. 2017 1 2008 return is for the period from September 10, 2008 to December 31, 2008. 2 2008 return is for the period from September 18, 2008 to December 31, 2008.
Annual Compound Returns The following table shows the Fund s annual compound returns for each year indicated, compared to the BMO Small Cap Total Return Index. The BMO Small Cap Total Return Index measures the performance of the 400 largest stocks and trusts trading on the Toronto Stock Exchange or the Montreal Exchange with a market capitalization at the beginning of each month below 0.1% of the total market capitalization of the S&P/TSX Composite Index. A discussion of the performance of the Fund as compared to the benchmark is found in the Results of Operations section of this report. One Year (%) Three Years (%) Five Years (%) Ten Years (%) Since Inception (%) Class A 0.1 3.5 9.1 5.7 n/a BMO Small Cap Total Return Index 6.4 7.5 6.0 4.2 n/a Class E 0.7 4.2 9.8 n/a 8.1 BMO Small Cap Total Return Index 6.4 7.5 6.0 n/a 8.0 Class I 3.0 6.6 12.4 n/a 11.0 BMO Small Cap Total Return Index 6.4 7.5 6.0 n/a 8.0 Class OF 1.1 4.7 10.3 6.9 n/a BMO Small Cap Total Return Index 6.4 7.5 6.0 4.2 n/a Class W 2.8 6.4 12.1 8.6 n/a BMO Small Cap Total Return Index 6.4 7.5 6.0 4.2 n/a 11
SUMMARY OF INVESTMENT PORTFOLIO as at December 31, 2017 Category % of Net Assets Category % of Net Assets Top 25 Holdings % of Net Assets Country allocation Canada... 87.6 Short-Term Investments... 9.4 U.S.A.... 2.1 Other Net Assets (Liabilities)... 0.5 Cash & Equivalents... 0.4 Sector allocation Energy... 22.2 Industrials... 17.9 Financials... 16.3 Consumer Discretionary... 11.2 Utilities... 9.5 Short-Term Investments... 9.4 Materials... 5.9 Consumer Staples... 3.1 Real Estate... 1.9 Health Care... 1.7 Other Net Assets (Liabilities)... 0.5 Cash & Equivalents... 0.4 Information Technology... 0.0 Telecommunication Services... 0.0 Short-Term Investments... 9.4 Canadian Western Bank... 6.0 Atco Ltd., Class I... 5.4 Industrial Alliance Insurance and Financial Services Inc.... 5.3 Parkland Fuel Corp.... 4.9 AltaGas Ltd.... 4.1 Algonquin Power & Utilities Corp.... 4.1 SNC-Lavalin Group Inc.... 3.9 Superior Plus Corp.... 3.7 Secure Energy Services Inc.... 3.2 E-L Financial Corp., Ltd.... 3.0 Ritchie Bros. Auctioneers Inc.... 2.9 Stantec Inc.... 2.8 Labrador Iron Ore Royalty Corp.... 2.5 Gibson Energy Inc.... 2.4 Maxar Technologies Ltd.... 2.4 Leon s Furniture Ltd.... 2.4 Cineplex Inc.... 2.3 Artizia Inc.... 2.2 Linamar Corp.... 2.2 Domtar Corp.... 2.1 Mullen Group Ltd.... 2.1 Empire Co., Ltd., Class A... 2.0 Enercare Inc.... 2.0 Cominar Real Estate Investment Trust... 1.9 Total Net Assets (in $000 s) $271,211 The summary of investment portfolio may change due to ongoing portfolio transactions of the Fund and updates will be available on a quarterly basis. A NOTE ON FORWARD-LOOKING STATEMENTS This report may contain forward-looking statements about the Fund, its future performance, strategies or prospects, and possible future Fund action. The words may, could, should, would, suspect, outlook, believe, plan, anticipate, estimate, expect, intend, forecast, objective, and similar expressions are intended to identify forward-looking statements. Forward-looking statements are not guarantees of future performance. Forward-looking statements involve inherent risks and uncertainties, both about the Fund and general economic factors, so it is possible that predictions, forecasts, projections and other forward-looking statements will not be achieved. We caution you not to place undue reliance on these statements as a number of important factors could cause actual events or results to differ materially from those expressed or implied in any forward-looking statement made by the Fund. These factors include, but are not limited to, general economic, political and market factors in Canada, the United States and internationally, interest and foreign exchanges rates, global equity and capital markets, business competition, technological changes, changes in laws and regulations, judicial or regulatory judgments, legal proceedings and catastrophic events. The above list of important factors that may affect future results is not exhaustive. Before making any investment decisions, we encourage you to consider these and other factors carefully. All opinions contained in forward-looking statements are subject to change without notice and are provided in good faith but without legal responsibility. 12