interim report - scotiabank · dynamic core funds dynamicedge balanced portfolio 309 ... dynamic...

INTERIM REPORTPeriod ended December 31, 2017

TABLE OF CONTENTSManagement Responsibility for Financial Reporting 1 DynamicEdge Trust Portfolios

DynamicEdge Balanced Growth Portfolio 300DynamicEdge Balanced Income Portfolio

DYNAMIC TRUST FUNDS (formerly Dynamic Strategic Income Portfolio) 305Dynamic Core Funds DynamicEdge Balanced Portfolio 309Dynamic Asia Pacific Equity Fund DynamicEdge Defensive Portfolio 313

(formerly Dynamic Far East Value Fund) 2 DynamicEdge Equity Portfolio 317Dynamic Blue Chip Balanced Fund 7 DynamicEdge Growth Portfolio 321Dynamic Blue Chip Equity Fund 14Dynamic European Equity Fund

(formerly Dynamic European Value Fund) 19 DYNAMIC GLOBAL FUND CORPORATON LTD.Dynamic Global Balanced Fund 24 Corporate Class Core FundsDynamic Global Equity Fund 29 Dynamic Blue Chip U.S. Balanced Class 325Dynamic International Equity Fund

Corporate Class Equity Income Funds(formerly Dynamic Global Value Fund) 34Dynamic Dividend Income Class 332

Dynamic Equity Income Funds Dynamic Preferred Yield Class 340Dynamic Dividend Fund 40 Dynamic Strategic Yield Class 348Dynamic Dividend Income Fund 45

Corporate Class Fixed Income FundsDynamic Equity Income Fund 53Dynamic Advantage Bond Class 356Dynamic Global Equity Income Fund 58Dynamic Corporate Bond Strategies Class 363Dynamic Global Strategic Yield Fund 63Dynamic Money Market Class 369Dynamic Small Business Fund 69Dynamic Total Return Bond ClassDynamic Strategic Yield Fund 75

(formerly Dynamic Aurion Total Return Bond Class) 372Dynamic U.S. Equity Income Fund 84Dynamic U.S. Strategic Yield Fund 90 Corporate Class Power Funds

Dynamic Power American Growth Class 379Dynamic Fixed Income FundsDynamic Power Global Balanced Class 382Dynamic Advantage Bond Fund 97Dynamic Power Global Growth Class 385Dynamic Canadian Bond Fund 104Dynamic Power Global Navigator Class 390Dynamic Corporate Bond Strategies Fund 111

Dynamic Credit Spectrum Fund 118 Corporate Class Value FundsDynamic High Yield Bond Fund 126 Dynamic American Class 395Dynamic Investment Grade Floating Rate Fund 134 Dynamic Canadian Value Class 398Dynamic Money Market Fund 141 Dynamic Dividend Advantage Class 403Dynamic Short Term Bond Fund 144 Dynamic Global Asset Allocation Class 409Dynamic Total Return Bond Fund Dynamic Global Discovery Class 413

(formerly Dynamic Aurion Total Return Bond Fund) 150 Dynamic Global Dividend Class 417Dynamic Value Balanced Class 422Dynamic Power Funds

Dynamic Power American Growth Fund 157 Corporate Class Specialty FundsDynamic Power Balanced Fund 163 Dynamic Alternative Yield Class 429Dynamic Power Canadian Growth Fund 170 Dynamic Global Infrastructure Class 435Dynamic Power Global Growth Fund 176 Dynamic Premium Yield Class 439Dynamic Power Small Cap Fund 180 Dynamic Strategic Energy Class 446

Dynamic Strategic Gold Class 451Dynamic Specialty FundsDynamic Strategic Resource Class 454Dynamic Alternative Yield Fund 185Dynamic U.S. Sector Focus Class 459Dynamic Diversified Real Asset Fund 194

Dynamic Dollar-Cost Averaging Fund 199 DynamicEdge Corporate Class PortfoliosDynamic Energy Income Fund 202 DynamicEdge Balanced Class Portfolio 464Dynamic Financial Services Fund 208 DynamicEdge Balanced Growth Class Portfolio 468Dynamic Global All-Terrain Fund 214 DynamicEdge Conservative Class Portfolio 473Dynamic Global Infrastructure Fund 219 DynamicEdge Equity Class Portfolio 477Dynamic Global Real Estate Fund 225 DynamicEdge Growth Class Portfolio 481Dynamic Precious Metals Fund 232Dynamic Premium Yield Fund 237

DYNAMIC MANAGED PORTFOLIOS LTD.Dynamic Value Funds DMP Power Global Growth Class 485Dynamic American Fund 245 DMP Resource Class 489Dynamic Canadian Dividend Fund 250 DMP Value Balanced Class 494Dynamic Dividend Advantage Fund 255Dynamic Global Asset Allocation Fund 260Dynamic Global Discovery Fund 265 Notes to the Financial Statements 498Dynamic Global Dividend Fund 270Dynamic U.S. Dividend Advantage Fund 275Dynamic U.S. Monthly Income Fund 281Dynamic Value Balanced Fund 288Dynamic Value Fund of Canada 295

17FEB201708245873 16SEP201622081309

Dynamic FundsMANAGEMENT RESPONSIBILITY FOR FINANCIAL REPORTING

The accompanying financial statements of the Funds (as defined in Note 1) have been prepared by 1832 Asset Management L.P., in itscapacity as manager (the ‘‘Manager’’) of the Funds, and have been approved by the Boards of Directors of Dynamic Global FundCorporation (‘‘DGFC’’) and Dynamic Managed Portfolios Ltd. (‘‘DMPL’’), with respect to the Funds that are corporate funds(the ‘‘Corporate Funds’’), and by the Board of Directors of 1832 Asset Management G.P. Inc., as general partner for and on behalf of1832 Asset Management L.P., in its capacity as trustee (the ‘‘Trustee’’) of the Funds, with respect to the Funds that are trust funds(the ‘‘Trust Funds’’). The Boards of Directors of DGFC and DMPL, with respect to the Corporate Funds, and the Board of Directors of1832 Asset Management G.P. Inc., as general partner for and on behalf of 1832 Asset Management L.P., with respect to the Trust Funds,are responsible for the information and representations contained in these financial statements and the management report of fundperformance.

The Manager maintains appropriate processes to ensure that relevant and reliable financial information is produced. The financialstatements have been prepared in accordance with International Financial Reporting Standards (‘‘IFRS’’) and include certain amountsthat are based on estimates and judgments made by the Manager. The significant accounting policies which the Manager believes areappropriate for the Funds are described in Note 2 to the financial statements.

The Board of Directors of 1832 Asset Management G.P. Inc. has delegated responsibility for oversight of the financial reporting process tothe Finance Committee of the Board of Directors of 1832 Asset Management G.P. Inc. (the ‘‘Finance Committee’’). The FinanceCommittee is responsible for reviewing the financial statements and the management report of fund performance and recommendingthem to the Boards of Directors of DGFC, DMPL and 1832 Asset Management G.P. Inc. for approval, in addition to meeting withmanagement, internal auditors and external auditors to discuss internal controls over the financial reporting process, auditing mattersand financial reporting issues.

PricewaterhouseCoopers LLP is the external auditor of the Funds, appointed by the shareholders of the Corporate Funds and the Trusteeof the Trust Funds. The auditor of the Funds has not reviewed these financial statements. Applicable securities laws require that if anexternal auditor has not reviewed the Funds’ financial statements, this must be disclosed in an accompanying notice.

GLEN GOWLAND ABDURREHMAN MUHAMMADIPresident Chief Financial Officer1832 Asset Management L.P. 1832 Asset Management L.P.

February 15, 2018

1

Dynamic Asia Pacific Equity Fund (Unaudited)(formerly Dynamic Far East Value Fund)

STATEMENTS OF F INANCIAL POSIT ION STATEMENTS OF COMPREHENSIVE INCOMEAs at For the periods ended December 31 (note 1),

December 31, June 30,(in $000s except per unit amounts) 2017 2017 (in $000s except per unit amounts and average units) 2017 2016ASSETS INCOMECurrent assets Net gain (loss) on investmentsInvestments Dividends 648 1,219

Non-derivative financial assets 125,983 103,401 Interest for distribution purposes 1 –Unrealized gain on currency forward contracts – 72 Net realized gain (loss) on non-derivative financial assets (2,905) 3,604

Cash 765 2,929 Net realized gain (loss) on currency forward contracts 6 (146)Receivable for securities sold – 2,406 Change in unrealized gain (loss) on non-derivative financialSubscriptions receivable 217 70 assets 20,692 (1,890)Accrued investment income and other 83 207 Change in unrealized gain (loss) on currency forward contracts (11) 25

Change in unrealized gain (loss) on currency spot contracts 4 –127,048 109,085Net gain (loss) on investments 18,435 2,812LIABILITIESSecurities lending (note 11) 29 –Current liabilitiesNet realized and unrealized foreign currency translation gain (loss) (126) 174Management fee payable 93 86

Payable for securities purchased – 391 Total income (loss), net 18,338 2,986Redemptions payable 168 214Accrued expenses 15 12 EXPENSESDistributions payable 1 – Management fees (note 5) 497 549Unrealized loss on currency forward contracts – 61 Fixed administration fees (note 6) 79 122Unrealized loss on currency spot contracts – 4 Independent Review Committee fees 1 1

277 768 Interest expense 6 3Foreign withholding taxes/tax reclaims 40 120Net assets attributable to holders of redeemable units 126,771 108,317Harmonized Sales Tax/Goods and Services Tax 60 69Transaction costs 178 206

NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS PER SERIES Total expenses 861 1,070Series A 48,079 44,617 Expenses absorbed by the Manager (1) –Series F 7,042 6,208

Net expenses 860 1,070Series I 429 360Series O 71,221 57,132 Net increase (decrease) in net assets attributable to holders

of redeemable units from operations 17,478 1,916NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS PER UNITSeries A 25.33 24.32 INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OFSeries F 11.43 10.90 REDEEMABLE UNITS FROM OPERATIONS PER SERIESSeries I 12.74 12.72 Series A 6,686 567Series O 13.41 12.84 Series F 934 95

Series I 62 38NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS PER UNIT – USD Series IP – 57Series A 20.23 18.73 Series O 9,796 1,159Series F 9.13 8.40 Series OP – –

INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OFREDEEMABLE UNITS FROM OPERATIONS PER UNIT†

Series A 3.75 0.25Series F 1.72 0.16Series I 2.12 0.44Series IP – 2.09Series O 2.16 0.23Series OP 0.24

WEIGHTED AVERAGE NUMBER OF UNITS PER SERIESSeries A 1,778,836 2,259,889Series F 542,662 575,640Series I 29,252 86,336Series IP – 27,296Series O 4,553,206 4,965,706Series OP – 535

† The increase (decrease) in net assets attributable to holders of redeemable units from operationsper unit is calculated by dividing the increase (decrease) in net assets attributable to holders ofredeemable units from operations per series by the weighted average number of units per series.

The accompanying notes are an integral part of these financial statements.

2


STATEMENTS OF CHANGES IN NET ASSETS STATEMENTS OF CASH FLOWSATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS For the periods ended December 31 (note 1),For the periods ended December 31 (note 1), (in $000s) 2017 2016(in $000s) 2017 2016 CASH FLOWS FROM OPERATING ACTIVITIES

Increase (decrease) in net assets attributable to holders ofNET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS, BEGINNING OF PERIODredeemable units 17,478 1,916Series A 44,617 53,247

Adjustments for:Series F 6,208 5,434Net realized (gain) loss on non-derivative financial assets 2,905 (3,604)Series I 360 1,127Unrealized foreign currency translation (gain) loss (230) (71)Series IP – 689Change in unrealized (gain) loss on non-derivative financialSeries O 57,132 59,551

assets (20,692) 1,890Series OP – 8Change in unrealized (gain) loss on currency forward contracts 11 (25)

108,317 120,056 Change in unrealized (gain) loss on currency spot contracts (4) –Purchases of portfolio investments (38,822) (26,381)Proceeds from sale of portfolio investments 36,042 35,218INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITSAccrued investment income and other 124 237FROM OPERATIONSAccrued expenses and other payables 10 (13)Series A 6,686 567

Series F 934 95 Net cash provided by (used in) operating activities (3,178) 9,167Series I 62 38Series IP – 57 CASH FLOWS FROM FINANCING ACTIVITIESSeries O 9,796 1,159 Proceeds from issue of redeemable units 9,109 3,530

Amounts paid on redemption of redeemable units (7,967) (16,521)17,478 1,916Distributions to unitholders of redeemable units (358) (6)Net cash provided by (used in) financing activities 784 (12,997)DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITS

From net investment incomeUnrealized foreign currency translation gain (loss) 230 71Series F (17) (37)Net increase (decrease) in cash (2,394) (3,759)Series I (5) (17)Cash (bank overdraft), beginning of period 2,929 5,602Series IP – (1)

Series O (639) (1,012) CASH (BANK OVERDRAFT), END OF PERIOD 765 1,843From net realized gains on investments

Series A (4,858) –Interest paid(1) 6 3Series F (694) –Interest received, net of withholding taxes(1) 1 –Series I (58) –Dividends received, net of withholding taxes(1) 790 1,405Series O (7,035) –

(13,306) (1,067)(1) Classified as operating items.

REDEEMABLE UNIT TRANSACTIONSProceeds from issue

Series A 2,041 1,052Series F 809 2,170Series I 51 95Series IP – 32Series O 6,812 1,995

Reinvested distributionsSeries A 4,601 –Series F 617 32Series I 55 16Series IP – 1Series O 7,674 1,012

Payments on redemptionSeries A (5,008) (8,137)Series F (815) (2,264)Series I (36) (538)Series IP – (757)Series O (2,519) (7,020)

14,282 (12,311)

INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITSSeries A 3,462 (6,518)Series F 834 (4)Series I 69 (406)Series IP – (668)Series O 14,089 (3,866)

18,454 (11,462)

NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS, END OF PERIODSeries A 48,079 46,729Series F 7,042 5,430Series I 429 721Series IP – 21Series O 71,221 55,685Series OP – 8

126,771 108,594


3


SCHEDULE OF INVESTMENT PORTFOLIOAs at December 31, 2017

Par Value Par Value($000s)/ Average Carrying ($000s)/ Average Carrying

Number of Cost Value Number of Cost ValueShares/Units ($000s) ($000s) Shares/Units ($000s) ($000s)

EQUITIES (99.4%) CASH AND SHORT TERM INSTRUMENTSAustralia (1.6%) (BANK OVERDRAFT) (0.6%)BHP Billiton Limited, Sponsored ADR 34,600 1,665 1,992 Canadian (44) (44)

Foreign 840 809China (40.1%)AAC Technologies Holdings Inc. 74,000 198 1,647 796 765Alibaba Group Holding Limited, Sponsored ADR 20,600 3,394 4,446 OTHER NET ASSETS (LIABILITIES) (0.0%) 23ANTA Sports Products Limited 410,000 2,003 2,328

NET ASSETS ATTRIBUTABLE TO HOLDERS OFBaidu, Inc., Sponsored ADR 16,600 4,248 4,867REDEEMABLE UNITS (100.0%) 126,771BEST Inc., Class ‘‘A’’ ADS 90,000 1,050 1,012

BYD Company Limited, Series ‘‘H’’ 330,000 2,753 3,585 * These securities have no quoted market values and are classified as Level 3 securities.Ctrip.com International, Ltd., ADR 17,000 1,074 938Fosun International Limited 1,630,000 3,491 4,506Fuyao Glass Industry Group Co., Ltd., Series ‘‘H’’ 540,000 2,365 2,847Hangzhou Hikvision Digital Technology Co., Ltd. 360,001 2,400 2,697Industrial and Commercial Bank of China (Asia) Limited,

Series ‘‘H’’ 3,900,000 3,465 3,915JinkoSolar Holding Co., Ltd., ADR 77,000 2,588 2,318Kweichow Moutai Co., Ltd., Class ‘‘A’’ 9,137 281 1,223Li Ning Company Limited 3,950,000 3,163 4,002NetEase, Inc., ADR 7,300 2,649 3,153Ping An Insurance (Group) Company of China Ltd.,

Series ‘‘H’’ 266,000 2,659 3,466Tsingtao Brewery Co., Ltd., Series ‘‘H’’ 605,000 3,092 3,903

40,873 50,853Hong Kong (10.3%)AIA Group Limited 217,000 1,620 2,317China High Precision Automation Group Limited* 6,779,000 4,205 43Hengan International Group Company Limited 290,000 2,896 4,029Sands China Ltd. 530,500 3,228 3,418Tencent Holdings Limited 50,500 2,584 3,268

14,533 13,075India (3.4%)Indiabulls Housing Finance Limited 90,800 1,227 2,122LIC Housing Finance Limited 196,366 247 2,166

1,474 4,288Indonesia (2.9%)PT Bank Central Asia Tbk 976,100 272 1,970PT Bank Rakyat Indonesia (Persero) Tbk 5,224,960 287 1,751

559 3,721Japan (13.9%)Nidec Corporation 5,300 282 931SMC Corporation 7,000 2,251 3,608Sony Corporation, Sponsored ADR 71,000 3,430 3,995Square Enix Holdings Co., Ltd. 70,000 3,033 4,160TechnoPro Holdings, Inc. 43,300 1,696 2,944Unicharm Corporation 60,600 1,643 1,972

12,335 17,610Philippines (2.3%)BDO Unibank, Inc. 703,658 1,959 2,893Singapore (0.9%)Mapletree Logistics Trust 960,000 1,072 1,187South Korea (7.5%)AmorePacific Corporation 10,400 3,337 3,698Samsung Electronics Co., Ltd. 1,190 3,254 3,539SK hynix Inc. 23,000 1,835 2,033Vitzrocell Co., Ltd* 76,320 1,065 272

9,491 9,542Switzerland (3.5%)Swatch Group Ltd. (The), Series ‘‘B’’ 8,600 4,258 4,390Taiwan (3.5%)Airtac International Group 60,591 892 1,360Taiwan Semiconductor Manufacturing Company Limited 314,000 1,948 3,020

2,840 4,380Thailand (4.3%)Airports of Thailand Public Company Limited 860,000 1,472 2,242Minor International PCL 1,924,000 2,764 3,229

4,236 5,471United States (2.9%)Yum China Holdings, Inc. 73,500 3,520 3,682Vietnam (2.3%)Vietnam Dairy Products Joint Stock Company 252,632 387 2,899AVERAGE COST AND CARRYING VALUE

OF INVESTMENTS (99.4%) 99,202 125,983TRANSACTION COSTS (0.0%) (240) –TOTAL AVERAGE COST AND CARRYING VALUE

OF INVESTMENTS (99.4%) 98,962 125,983


4


FUND SPECIF IC NOTESFor the periods indicated in note 1

net assets of the Fund could possibly have decreased or increased,The Fund (note 1)respectively, by $12,687,000 or approximately 10.0% (June 30, 2017 –

The Fund’s investment objective is to seek to achieve long-term $11,179,000 or approximately 10.3%). In practice, actual results maycapital growth primarily through investments in equity securities of differ from this sensitivity analysis and the difference couldbusinesses in the Far East. be material.

Risks associated with financial instruments (note 4) Price riskInterest rate risk Price risk is the risk that the carrying value of financial instruments

will fluctuate as a result of changes in market prices (other thanThe majority of the Fund’s financial instruments were non-interestthose arising from interest rate risk or currency risk) caused bybearing as at December 31, 2017 and June 30, 2017. Accordingly, thefactors specific to a security, its issuer or all factors affecting aFund is not directly subject to significant risk due to fluctuations inmarket or a market segment. Exposure to price risk is mainly inthe prevailing levels of market interest rates.equities, underlying funds, derivatives and commodities, asapplicable. As at December 31, 2017, approximately 99.4% (June 30,Currency risk2017 – 95.6%) of the Fund’s net assets were exposed to price risk. IfThe Fund’s exposure to currency risk is summarized in the tablesprices of these instruments had decreased or increased by 10%, withbelow. Amounts shown are based on the carrying value of monetaryall other variables held constant, net assets of the Fund would haveand non-monetary assets and liabilities of the Fund net of currencydecreased or increased, respectively, by approximately $12,598,000contracts, as applicable.(June 30, 2017 – $10,340,000). In practice, actual results may differ

December 31, 2017 from this sensitivity analysis and the difference could be material.Gross

currency Currency Net currency Percentage of Credit riskexposure contracts exposure net assets

Currency ($000s) ($000s) ($000s) (%) The Fund had no significant exposure to bonds and debentures,Hong Kong Dollar 43,284 – 43,284 34.1 money market instruments or preferred shares as at December 31,US Dollar 26,406 – 26,406 20.8Japanese Yen 13,640 – 13,640 10.8 2017 or June 30, 2017.South Korean Won 9,542 – 9,542 7.5Thailand Baht 5,598 – 5,598 4.4

Concentration riskNew Taiwan Dollar 4,921 – 4,921 3.9Swiss Franc 4,390 – 4,390 3.5 Concentration risk arises as a result of the concentration of financialIndian Rupee 4,288 – 4,288 3.4Chinese Yuan 4,079 – 4,079 3.2 instruments within the same category, geographical location, assetIndonesian Rupiah 3,721 – 3,721 2.9 type or industry sector, as applicable. The table below is a summaryVietnamese Dong 2,920 – 2,920 2.3

of the Fund’s concentration risk by carrying value as a percentage ofPhilippine Peso 2,897 – 2,897 2.3Singapore Dollar 1,187 – 1,187 0.9 net assets:

126,873 – 126,873 100.0December 31, 2017 June 30, 2017

EQUITIES 99.4 95.6June 30, 2017Australia 1.6 3.0

Gross China 40.1 29.5currency Currency Net currency Percentage of Hong Kong 10.3 11.7exposure contracts exposure net assets India 3.4 6.9

Currency ($000s) ($000s) ($000s) (%) Indonesia 2.9 5.3Hong Kong Dollar 27,589 – 27,589 25.5 Italy – 2.8US Dollar 24,899 (1) 24,898 23.0 Japan 13.9 13.7Japanese Yen 11,327 – 11,327 10.5 Philippines 2.3 2.1Chinese Yuan 8,810 – 8,810 8.1 Singapore 0.9 –Indian Rupee 7,441 – 7,441 6.9 South Korea 7.5 4.5New Taiwan Dollar 6,606 – 6,606 6.1 Switzerland 3.5 2.5Indonesian Rupiah 5,700 – 5,700 5.3 Taiwan 3.5 3.4South Korean Won 4,888 – 4,888 4.5 Thailand 4.3 4.0Thailand Baht 4,406 – 4,406 4.1 United States 2.9 2.6Vietnamese Dong 3,925 – 3,925 3.6 Vietnam 2.3 3.6Philippine Peso 2,732 – 2,732 2.5 CASH AND SHORT TERM INSTRUMENTSSwiss Franc 2,689 – 2,689 2.5 (BANK OVERDRAFT) 0.6 2.7Australian Dollar 615 – 615 0.6Pakistani Rupee 166 – 166 0.2

Fair value classification (note 2)111,793 (1) 111,792 103.4

The tables below illustrate the classification of the Fund’s financialIf the Canadian dollar strengthened or weakened by 10% in relation instruments within the fair value hierarchy.to all other foreign currencies, with all other variables held constant,


5



CarryingLevel 1 Level 2 Level 3 Total value as at Reasonable

December 31, 2017 ($000s) ($000s) ($000s) ($000s) Significant December 31, possibleunobservable 2017 shift (+/–)Equities 26,403 99,265 315 125,983

Security Valuation technique input ($000s) ($000s)26,403 99,265 315 125,983Equities Fundamental model Discount to 315 –

analysis based on company NAVLevel 1 Level 2 Level 3 Total financial data

June 30, 2017 ($000s) ($000s) ($000s) ($000s) 315Equities 24,042 79,137 222 103,401Unrealized gain on currency forward contracts – 72 – 72

Carrying Reasonable24,042 79,209 222 103,473Significant value as at possible

Unrealized loss on currency forward contracts – (61) – (61) unobservable June 30, 2017 shift (+/–)Unrealized loss on currency spot contracts – (4) – (4) Security Valuation technique input ($000s) ($000s)

24,042 79,144 222 103,408 Equities Fundamental model Discount to 222 –analysis based on company NAVfinancial data

Transfers between levels 222During the periods ended December 31, 2017 and June 30, 2017,there were no significant transfers between Level 1 and Level 2. Offsetting of financial assets and liabilities (note 2)

Reconciliation of Level 3 financial instruments The following tables present offsetting of financial assets andliabilities and collateral amounts that would occur if future events,The following table presents the movement in the Fund’s Level 3such as bankruptcy or termination of contracts, were to arise. As atfinancial instruments for the periods ended:December 31, 2017, the Fund did not enter into any agreement

December 31, 2017 June 30, 2017 whereby the financial instruments were eligible for offset.($000s) ($000s)

Beginning of period 222 45 June 30, 2017Purchases – –

Gross Master CollateralSales (5) –amount of netting pledged/Transfers into Level 3 – 1,090

assets offset received Net amountTransfers out of Level 3 – –Financial assets – by type ($000s) ($000s) ($000s) ($000s)Net realized gains (losses) (3,746) –Currency forward contracts 72 (61) – 11Net changes in unrealized gain (loss)* 3,844 (913)Options contracts – OTC – – – –End of period 315 222Swap contracts – OTC – – – –

* Net change in unrealized gain (loss) for Level 3 financial instruments held as at 72 (61) – 11December 31, 2017 and June 30, 2017 was $94,000 and $(913,000), respectively.

June 30, 2017During the period ended December 31, 2017, investments of nilGross Master Collateral(June 30, 2017 – $1,090,000) were transferred from Level 1 to 3 as amount of netting pledged/

the fair value of these securities are now determined using internal liabilities offset received Net amountFinancial liabilities – by type ($000s) ($000s) ($000s) ($000s)valuation models that required the use of assumptions, of which oneCurrency forward contracts 61 (61) – –of the main ones was not observable in the market. Options contracts – OTC – – – –Swap contracts – OTC – – – –

61 (61) – –Level 3 valuation techniques

The table below summarizes the valuation techniques and theInterest in Underlying Funds (note 2)significant unobservable inputs used in the fair value measurement

of Level 3 financial instruments. The significant unobservable inputsThe Fund did not hold any interest in Underlying Funds as at

used in valuation of Level 3 financial instruments can varyDecember 31, 2017 or June 30, 2017.

considerably over time depending on company specific factors andeconomic or market conditions. The table also illustrates the Comparison of net asset value per unit and netpotential impact on the Fund if the significant unobservable inputs assets per unit (note 2)used in the valuation techniques had increased or decreased by 5%,with all other variables held constant. Certain significant As at December 31, 2017 and June 30, 2017, there were nounobservable inputs used in the valuation techniques are not differences between the net asset value per unit and the net assetsreasonably expected to shift and are indicated in the tables below as per unit for any series of the Fund.‘‘n/a’’. Securities where the reasonable possible shift in thesignificant unobservable input did not result in a material impact onthe Fund are indicated in the table below as nil.


6

Dynamic Blue Chip Balanced Fund (Unaudited)


December 31, June 30,(in $000s except per unit amounts) 2017 2016 (in $000s except per unit amounts and average units) 2017 2016ASSETS INCOMECurrent assets Net gain (loss) on investmentsInvestments Dividends 3,884 5,117

Non-derivative financial assets 800,292 793,080 Interest for distribution purposes 4,295 5,620Unrealized gain on currency forward contracts 1,090 1,091 Net realized gain (loss) on non-derivative financial assets 6,920 32,587Unrealized gain on futures contracts 174 911 Net realized gain (loss) on currency forward contracts 1,405 (799)

Cash 11,123 11,537 Net realized gain (loss) on futures contracts 1,198 1,347Margin deposited on derivatives 347 (67) Change in unrealized gain (loss) on non-derivative financialReceivable for securities sold 4,171 21,144 assets 26,916 (20,218)Subscriptions receivable 362 297 Change in unrealized gain (loss) on currency forward contracts (34) (131)Accrued investment income and other 2,499 2,900 Change in unrealized gain (loss) on currency spot contracts 7 (35)

Change in unrealized gain (loss) on futures contracts (737) 2,875820,058 830,893Net gain (loss) on investments 43,854 26,363LIABILITIESSecurities lending (note 11) 20 25Current liabilitiesNet realized and unrealized foreign currency translation gain (loss) (37) (213)Management fee payable 1,340 1,344

Payable for securities purchased 1,622 5,366 Total income (loss), net 43,837 26,175Redemptions payable 512 1,522Accrued expenses 108 108 EXPENSESDistributions payable 1 70 Management fees (note 5) 7,101 8,208Unrealized loss on currency forward contracts 80 47 Fixed administration fees (note 6) 574 690Unrealized loss on currency spot contracts 1 8 Independent Review Committee fees 1 1

3,664 8,465 Interest expense 1 4Foreign withholding taxes/tax reclaims 364 511Net assets attributable to holders of redeemable units 816,394 822,428Other fund costs – 1Harmonized Sales Tax/Goods and Services Tax 829 957Transaction costs 148 242NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS PER SERIES

Series A 533,657 540,025 Total expenses 9,018 10,614Series F 44,072 37,943 Expenses absorbed by the Manager (1) –Series FT 1,882 1,553

Net expenses 9,017 10,614Series G 131,377 140,656Series I 17,263 16,889 Net increase (decrease) in net assets attributable to holdersSeries O 71,251 68,910 of redeemable units from operations 34,820 15,561Series T 16,892 16,452

INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OFNET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS PER UNIT REDEEMABLE UNITS FROM OPERATIONS PER SERIESSeries A 14.80 14.20 Series A 21,882 9,298Series F 9.06 8.69 Series F 1,884 764Series FT 10.71 10.46 Series FT 78 20Series G 14.91 14.30 Series G 5,714 2,610Series I 7.17 6.89 Series I 881 548Series O 13.16 12.63 Series O 3,699 2,026Series T 4.55 4.47 Series T 682 295


Series A 0.60 0.23Series F 0.42 0.20Series FT 0.49 0.27Series G 0.61 0.24Series I 0.36 0.19Series O 0.68 0.37Series T 0.18 0.07

WEIGHTED AVERAGE NUMBER OF UNITS PER SERIESSeries A 37,033,775 40,532,494Series F 4,524,196 3,916,328Series FT 158,169 73,023Series G 9,385,670 10,850,487Series I 2,412,253 2,915,102Series O 5,423,510 5,457,734Series T 3,682,237 4,133,680



7


STATEMENTS OF CHANGES IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITSFor the periods ended December 31 (note 1),(in $000s) 2017 2016 (in $000s) 2017 2016NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS, BEGINNING OF PERIOD NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS, END OF PERIOD

Series A 540,025 633,208 Series A 533,657 576,872Series F 37,943 34,943 Series F 44,072 35,771Series FT 1,553 996 Series FT 1,882 517Series G 140,656 170,646 Series G 131,377 156,134Series I 16,889 21,484 Series I 17,263 18,810Series O 68,910 74,432 Series O 71,251 67,641Series T 16,452 19,489 Series T 16,892 17,549

822,428 955,198 816,394 873,294

INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITSFROM OPERATIONSSeries A 21,882 9,298Series F 1,884 764 STATEMENTS OF CASH FLOWSSeries FT 78 20

For the periods ended December 31 (note 1),Series G 5,714 2,610Series I 881 548

(in $000s) 2017 2016Series O 3,699 2,026Series T 682 295 CASH FLOWS FROM OPERATING ACTIVITIES

Increase (decrease) in net assets attributable to holders of34,820 15,561redeemable units 34,820 15,561

Adjustments for:DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSNet realized (gain) loss on non-derivative financial assets (6,920) (32,587)From net investment incomeUnrealized foreign currency translation (gain) loss – 14Series F (259) –Change in unrealized (gain) loss on non-derivative financialSeries FT (7) –

assets (26,916) 20,218Series G (37) –Change in unrealized (gain) loss on currency forward contracts 34 131Series I (209) –Change in unrealized (gain) loss on currency spot contracts (7) 35Series O (842) –Change in unrealized (gain) loss on futures contracts 737 (2,875)From net realized gains on investmentsPurchases of portfolio investments (81,542) (120,940)Series A – (69,253)Proceeds from sale of portfolio investments 121,395 179,663Series F – (4,163)Margin deposited on derivatives (414) 1,009Series FT – (107)Accrued investment income and other 401 432Series G – (18,879)Accrued expenses and other payables (4) (96)Series I – (2,868)

Net cash provided by (used in) operating activities 41,584 60,565Series O – (9,696)Series T – (1,603)

CASH FLOWS FROM FINANCING ACTIVITIESFrom return of capitalProceeds from issue of redeemable units 18,519 20,159Series FT (34) –Amounts paid on redemption of redeemable units (60,036) (116,106)Series T (399) –Distributions to unitholders of redeemable units (481) (4,273)(1,787) (106,569)Net cash provided by (used in) financing activities (41,998) (100,220)

REDEEMABLE UNIT TRANSACTIONSUnrealized foreign currency translation gain (loss) – (14)Proceeds from issueNet increase (decrease) in cash (414) (39,669)Series A 15,132 10,696Cash (bank overdraft), beginning of period 11,537 56,179Series F 8,440 7,760CASH (BANK OVERDRAFT), END OF PERIOD 11,123 16,510Series FT 288 289

Series G 303 3,606Series I 855 1,599

Interest paid(1) 1 4Series O 2,157 5,216Interest received, net of withholding taxes(1) 4,280 5,743Series T 609 555Dividends received, net of withholding taxes(1) 3,919 4,979Reinvested distributions

Series A – 67,536(1) Classified as operating items.Series F 209 3,359

Series FT 10 19Series G 37 18,536Series I 208 2,842Series O 842 9,696Series T 69 275

Payments on redemptionSeries A (43,382) (74,613)Series F (4,145) (6,892)Series FT (6) (700)Series G (15,296) (20,385)Series I (1,361) (4,795)Series O (3,515) (14,033)Series T (521) (1,462)

(39,067) 9,104

INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITSSeries A (6,368) (56,336)Series F 6,129 828Series FT 329 (479)Series G (9,279) (14,512)Series I 374 (2,674)Series O 2,341 (6,791)Series T 440 (1,940)

(6,034) (81,904)


8





BONDS AND DEBENTURES (34.8%) BONDS AND DEBENTURES (34.8%) (cont’d)Canadian Bonds and Debentures (29.0%) Canadian Bonds and Debentures (29.0%) (cont’d)Federal (8.4%) Corporate (9.3%) (cont’d)CPPIB Capital Inc., 1.10% Jun. 10 19, Series ‘‘C’’ 2,512 2,511 2,489 Canadian Imperial Bank of Commerce, 1.85%CPPIB Capital Inc., 1.40% Jun. 04 20, Series ‘‘A’’ 2,958 2,952 2,922 Jul. 14 20 2,420 2,431 2,396Government of Canada, 1.25% Sep. 01 18 3,222 3,216 3,220 Canadian Imperial Bank of Commerce, 2.47%Government of Canada, 1.75% Mar. 01 19 186 194 186 Dec. 05 22 100 100 100Government of Canada, 0.75% May 01 19 15,359 15,310 15,186 Canadian National Railway Company, 2.80%Government of Canada, 3.50% Jun. 01 20 1,856 1,977 1,934 Jun. 22 25 678 680 682Government of Canada, 0.75% Mar. 01 21 10,350 10,332 10,027 Canadian Natural Resources Limited, 2.05%Government of Canada, 3.25% Jun. 01 21 8,542 9,596 8,955 Jun. 01 20 830 830 821Government of Canada, 0.75% Sep. 01 21 375 369 361 Canadian Natural Resources Limited, 3.31%Government of Canada, 2.75% Jun. 01 22 4,060 4,295 4,218 Feb. 11 22 210 217 214Government of Canada, 1.00% Sep. 01 22 5,150 5,000 4,953 Canadian Natural Resources Limited, 3.55%Government of Canada, 2.50% Jun. 01 24 3,325 3,588 3,436 Mar. 03 24 241 240 246Government of Canada, 1.50% Jun. 01 26 3,240 3,191 3,109 Canadian Utilities Limited, 3.122% Nov. 09 22 670 670 690Government of Canada, 1.00% Jun. 01 27 2,100 1,898 1,914 Centra Gas Ontario Inc., 8.65% Oct. 19 18 932 1,212 980Government of Canada, 5.75% Jun. 01 29 849 1,133 1,162 CI Financial Corp., 2.645% Dec. 07 20 357 357 358Government of Canada, 3.50% Dec. 01 45 3,718 4,967 4,649 CI Financial Corp., 3.904% Sep. 27 27 99 99 101

Emera Incorporated, 4.83% Dec. 02 19, Series ‘‘G’’ 2,300 2,446 2,40670,529 68,721Enbridge Gas Distribution Inc., 4.04% Nov. 23 20 1,435 1,516 1,508

Provincial (11.3%) Enbridge Inc., 3.19% Dec. 05 22 330 344 333Ontario Electricity Financial Corporation, 8.25% Enbridge Income Fund Holdings Inc., 3.94%

Jun. 22 26 2,464 3,775 3,489 Jan. 13 23 515 515 534Province of Alberta, 3.10% Jun. 01 24 1,210 1,326 1,257 Enbridge Pipelines Inc., 8.20% Feb. 15 24,Province of British Columbia, 3.70% Dec. 18 20 1,444 1,451 1,517 Series ‘‘K’’ 811 1,098 1,038Province of British Columbia, 2.70% Dec. 18 22 1,454 1,529 1,488 Enbridge Southern Lights LP, 4.014% Jun. 30 40 752 752 740Province of British Columbia, 3.30% Dec. 18 23 400 433 422 First Capital Realty Inc., 4.50% Mar. 01 21,Province of British Columbia, 2.30% Jun. 18 26 1,500 1,515 1,476 Series ‘‘N’’ 2,937 3,179 3,093Province of British Columbia, 6.35% Jun. 18 31 5,772 8,174 8,113 Fortis Inc., 2.85% Oct. 12 23 509 510 509Province of Manitoba, 2.55% Jun. 02 23 1,172 1,066 1,185 H&R Real Estate Investment Trust, 4.45%Province of Manitoba, 3.30% Jun. 02 24 1,351 1,451 1,419 Mar. 02 20, Series ‘‘F’’ 267 278 276Province of Manitoba, 2.45% Jun. 02 25 2,993 2,985 2,973 H&R Real Estate Investment Trust, 3.369%Province of Manitoba, 6.30% Mar. 05 31 1,470 2,118 2,017 Nov. 30 23 238 238 236Province of New Brunswick, 4.50% Jun. 02 20 1,340 1,523 1,421 Institutional Mortgage Securities Canada Inc.,Province of New Brunswick, 3.35% Dec. 03 21 890 968 930 4.697% Feb. 12 21, Series 2011-1, Class ‘‘A2’’ 1,462 1,462 1,544Province of New Brunswick, 3.65% Jun. 03 24 2,013 2,212 2,151 Inter Pipeline (Corridor) Inc., 4.897% Feb. 03 20,Province of Nova Scotia, 4.10% Jun. 01 21 125 140 133 Series ‘‘C’’ 365 373 383Province of Nova Scotia, 6.60% Dec. 01 31 1,288 1,835 1,836 Inter Pipeline Fund, 4.967% Feb. 02 21 937 1,039 1,001Province of Ontario, 4.20% Jun. 02 20 10,057 11,129 10,598 Lower Mattagami Energy Limited Partnership,Province of Ontario, 4.00% Jun. 02 21 3,635 3,997 3,867 3.416% Jun. 20 24, Series 2014-1 1,883 1,937 1,969Province of Ontario, 3.15% Jun. 02 22 3,700 3,842 3,849 Merrill Lynch Canada Inc., NHA MBS CanadianProvince of Ontario, 2.85% Jun. 02 23 7,153 7,553 7,351 Mortgage Pools, 1.37% Nov. 01 21 757 747 740Province of Ontario, 3.50% Jun. 02 24 912 995 971 Merrill Lynch Financial Assets Inc., 1.84%Province of Ontario, 2.60% Jun. 02 25 3,681 3,730 3,705 Dec. 01 22 819 811 806Province of Ontario, 6.50% Mar. 08 29 4,383 6,097 5,968 North West Redwater Partnership/NWRProvince of Ontario, 6.20% Jun. 02 31 823 1,130 1,136 Financing Co. Ltd., 3.20% Apr. 23 24, Series ‘‘A’’ 1,838 1,873 1,870Province of Quebec, 4.50% Dec. 01 20 6,175 7,173 6,613 North West Redwater Partnership/NWRProvince of Quebec, 3.00% Sep. 01 23 3,657 3,819 3,791 Financing Co. Ltd., 3.20% Jan. 24 26 114 114 115Province of Quebec, 3.75% Sep. 01 24 3,327 3,734 3,600 OMERS Realty Corporation, 2.971% Apr. 05 21,Province of Quebec, 2.75% Sep. 01 25 8,772 8,973 8,925 Series 4 2,275 2,293 2,319

Pembina Pipeline Corporation, 3.77% Oct. 24 22 770 777 79694,673 92,201Pembina Pipeline Corporation, 2.99% Nov. 22 23 900 895 887Corporate (9.3%)Rogers Communications Inc., 5.34% Mar. 22 21 2,450 2,513 2,665Alectra Inc., 2.488% Feb. 17 27, Series ‘‘A’’ 521 521 506Royal Bank of Canada, 1.92% Jul. 17 20 1,506 1,500 1,493Algonquin Power Co., 4.09% Nov. 17 26 191 191 197Royal Bank of Canada, 2.86% Mar. 04 21 1,163 1,222 1,181Alimentation Couche-Tard Inc., 3.056% May 26 24 248 248 247Royal Bank of Canada, 2.36% Dec. 05 22 643 643 637Alliance Pipeline Limited Partnership, 6.765%Royal Bank of Canada, 2.333% Dec. 05 23 396 396 389Dec. 31 25 975 1,143 1,111Royal Bank of Canada, 3.04% Jul. 17 19 1,233 1,248 1,245AltaGas Ltd., 4.07% Jun. 01 20 500 521 518Saputo Inc., 1.939% May 13 22 314 308 305AltaGas Ltd., 3.72% Sep. 28 21, Series 8 1,000 1,036 1,032Shaw Communications Inc., 3.15% Feb. 19 21 236 241 240AltaLink, L.P., 3.265% Mar. 05 20, Series 13-1 950 995 969SmartCentres Real Estate Investment Trust, 3.73%AltaLink, L.P., 2.978% Nov. 28 22, Series 2012-2 3,196 3,195 3,280

Jul. 22 22, Series ‘‘M’’ 870 896 893AltaLink, L.P., 3.668% Nov. 06 23, Series 2013-4 817 899 868SmartCentres Real Estate Investment Trust,Bank of Montreal, 2.10% Oct. 06 20 716 716 713

3.985% May 30 23, Series ‘‘I’’ 70 73 72Bank of Montreal, 3.40% Apr. 23 21 1,087 1,161 1,122TELUS Corporation, 5.05% Jul. 23 20, Series ‘‘CH’’ 1,716 1,712 1,830Bank of Montreal, 1.61% Oct. 28 21 1,491 1,472 1,447TELUS Corporation, 3.60% Jan. 26 21, Series ‘‘CM’’ 360 374 372Bank of Montreal, 2.70% Sep. 11 24 287 287 287Toronto-Dominion Bank (The), 2.563% Jun. 24 20 1,071 1,111 1,080Bank of Montreal, 3.12% Sep. 19 19 263 267 266Toronto-Dominion Bank (The), 2.621% Dec. 22 21 2,019 2,097 2,035Bank of Nova Scotia (The), 2.27% Jan. 13 20 514 527 515Toronto-Dominion Bank (The), 1.994% Mar. 23 22 70 70 69Bank of Nova Scotia (The), 1.90% Dec. 02 21 399 399 391Toronto-Dominion Bank (The), 1.909% Jul. 18 23 91 91 88Bank of Nova Scotia (The), 2.36% Nov. 08 22 961 962 952Toronto-Dominion Bank (The), 3.226% Jul. 24 24 1,619 1,705 1,672bcIMC Realty Corporation, 2.10% Jun. 03 21 1,073 1,073 1,063Union Gas Limited, 3.79% Apr. 10 23 1,450 1,450 1,539bcIMC Realty Corporation, 3.51% Jun. 29 22 635 666 661Union Gas Limited, 3.19% Jun. 17 25, Series 13 31 31 32Bell Canada, 4.95% May 19 21, Series ‘‘M-24’’ 100 109 108Ventas Canada Finance Limited, 3.00% Sep. 01 19,Bell Canada, 3.15% Aug. 29 21 539 553 550

Series ‘‘A’’ 194 194 196Bell Canada, 3.00% Sep. 03 22 356 359 360Ventas Canada Finance Limited, 2.55% Feb. 15 23,Bell Canada, 2.70% Dec. 27 23, Series ‘‘M-44’’ 1,876 1,876 1,845

Series ‘‘D’’ 470 470 460Brookfield Asset Management Inc., 5.30%Ventas Canada Finance Limited, 4.125%Mar. 01 21 1,753 1,752 1,890

Jun. 30 24, Series ‘‘B’’ 1,279 1,274 1,342Brookfield Asset Management Inc., 5.04%Westcoast Energy Inc., 3.12% Dec. 05 22 1,263 1,256 1,288Dec. 08 23 160 161 175

75,596 75,560Brookfield Infrastructure Finance ULC, 3.315%Dec. 22 23 1,558 1,567 1,552 Foreign Bonds and Debentures (5.8%)

Brookfield Renewable Partners L.P., 3.63% Belgium (0.2%)Oct. 15 26 810 810 808 Anheuser-Busch InBev Finance Inc., 3.375%

Brookfield Renewable Partners ULC, 4.79% Jan. 25 23 1,374 1,428 1,413Feb. 07 22, Series 8 1,222 1,222 1,313


9





BONDS AND DEBENTURES (34.8%) (cont’d) EQUITIES (63.3%) (cont’d)Netherlands (3.6%)Foreign Bonds and Debentures (5.8%) (cont’d)

United Kingdom (0.3%) Koninklijke Philips Electronics NV 316,000 12,305 14,995Heathrow Funding Limited, 3.00% Jun. 17 23 244 251 247 Wolters Kluwer NV 215,600 12,027 14,082Heathrow Funding Limited, 3.25% May 21 25, 24,332 29,077

Class ‘‘A’’ 2,274 2,279 2,299Norway (1.5%)

2,530 2,546 Protector Forsikring ASA 860,700 9,478 11,851United States (5.3%) Singapore (4.3%)Aetna Inc., 2.75% Aug. 15 22 USD 641 793 796 DBS Group Holdings Ltd. 814,200 13,077 18,886Aetna Inc., 2.80% Apr. 15 23 USD 380 510 469 United Overseas Bank Limited 654,000 12,232 16,163Amazon.com, Inc., 2.80% Jun. 22 24 USD 226 286 282

25,309 35,049Anheuser Busch InBev Finance Inc., 2.60%Mar. 15 24 271 271 265 Sweden (0.5%)

Apple Inc., 2.75% Nov. 13 24 USD 624 794 775 Hexagon AB, Series ‘‘B’’ 67,400 4,105 4,237Bank of America Corporation, 3.228% Jun. 22 22 226 232 231 Switzerland (2.5%)Bank of America Corporation, 4.10% Jul. 24 23 USD 555 775 738 Nestlé SA 190,700 19,502 20,520Boston Properties Limited Partnership, 5.625%

United Kingdom (8.9%)Nov. 15 20 USD 550 834 745Admiral Group PLC 318,800 11,001 10,783Crown Castle Towers LLC, 6.113% Jun. 15 19 USD 979 1,319 1,293Diageo PLC 386,000 13,652 17,718Federal Realty Investment Trust, 2.75% Mar. 01 23 USD 637 841 789JUST EAT PLC 360,700 4,039 4,746Goldman Sachs Group, Inc. (The), 3.307%RELX PLC 440,200 12,497 12,935Oct. 31 24 743 744 743Unilever NV 251,800 14,965 17,745JPMorgan Chase & Co., 3.25% Sep. 23 22 USD 1,372 1,859 1,760WPP PLC 397,700 11,524 9,040Kimco Realty Corporation, 2.70% Jan. 01 24 USD 400 499 485

McDonald’s Corporation, 3.125% Jan. 04 25 615 618 620 67,678 72,967Medtronic, Inc., 3.50% Mar. 15 25 USD 1,549 1,996 2,013 United States (28.1%)Simon Property Group, L.P., 2.75% Mar. 01 23 USD 500 643 624 3M Company 71,000 14,904 20,919Thermo Fisher Scientific Inc., 3.30% Feb. 15 22 USD 170 222 218 Alphabet Inc., Class ‘‘C’’ 16,961 6,366 22,217Union Pacific Corporation, 4.163% Apr. 15 22 USD 133 183 179 Cognizant Technology Solutions Corporation,United Parcel Service, Inc., 2.125% Mar. 21 24 708 701 686 Class ‘‘A’’ 243,000 16,213 21,603United States Treasury, 2.375% May 31 18 USD 4,760 6,439 5,981 Deere & Company 55,000 5,929 10,776United States Treasury, 0.875% Sep. 15 19 USD 3,075 4,020 3,785 Johnson & Johnson 112,300 15,927 19,641United States Treasury, 1.125% Feb. 28 21 USD 5,620 7,350 6,842 Microsoft Corporation 227,400 6,449 24,350United States Treasury, 2.00% Feb. 15 22 USD 115 151 143 Nielsen Holdings PLC 259,700 16,991 11,833United States Treasury, 1.625% Feb. 15 26 USD 5,855 7,487 6,923 Omnicom Group Inc. 97,400 9,948 8,880UnitedHealth Group Incorporated, 2.875% Oracle Corporation 335,200 17,828 19,839

Dec. 15 21 USD 1,543 2,051 1,957 Progressive Corporation (The) 282,700 11,919 19,931Visa Inc., 2.80% Oct. 14 22 USD 926 1,234 1,177 Ross Stores, Inc. 128,100 9,992 12,869Visa Inc., 3.15% Sep. 14 25 USD 353 497 452 Union Pacific Corporation 112,200 5,942 18,835Walt Disney Company (The), 2.758% Oct. 07 24 434 434 434 Visa Inc., Class ‘‘A’’ 126,300 2,335 18,020Wells Fargo & Company, 2.509% Oct. 27 23 262 257 256

140,743 229,713Wells Fargo & Company, 3.00% Feb. 19 25,Series ‘‘N’’ USD 871 1,116 1,082 AVERAGE COST AND CARRYING VALUE

Wells Fargo & Company, 2.975% May 19 26 262 256 255 OF INVESTMENTS (98.1%) 669,202 800,29245,412 42,998 TRANSACTION COSTS (0.0%) (573) –

EQUITIES (63.3%) TOTAL AVERAGE COST AND CARRYING VALUEDenmark (2.2%) OF INVESTMENTS (98.1%) 668,629 800,292Topdanmark A/S 328,670 11,081 17,776 UNREALIZED GAIN (LOSS) ON DERIVATIVES (0.1%) 1,184France (4.7%) CASH AND SHORT TERM INSTRUMENTSLVMH Moët Hennessy Louis Vuitton SA 54,200 12,829 19,970 (BANK OVERDRAFT) (1.4%)Schneider Electric SA 175,300 16,184 18,648 Canadian 10,667 10,667

29,013 38,618 Foreign 463 456Germany (1.9%) 11,130 11,123Fresenius SE & Co. KGaA 156,600 14,629 15,294 OTHER NET ASSETS (LIABILITIES) (0.4%) 3,795Hong Kong (0.6%) NET ASSETS ATTRIBUTABLE TO HOLDERS OFTechtronic Industries Company Limited 603,600 4,845 4,925 REDEEMABLE UNITS (100.0%) 816,394Japan (4.5%)Fanuc Corporation 63,900 13,116 19,216Kuraray Co., Ltd. 745,400 15,203 17,610

28,319 36,826

Schedule of Derivative Instruments

Unrealized Gain on Currency Forward ContractsPar Value of Par Value of Unrealized

Credit Delivery Currency Bought Currency Sold Contract Market GainCounterparty Rating Date ($000s) ($000s) Price ($) Price ($) ($000s)State Street Bank & Trust Company A-1+ 24-Jan-18 CAD 484 (USD) (380) 0.786 0.799 8Toronto-Dominion Bank (The) A-1+ 24-Jan-18 CAD 891 (USD) (700) 0.786 0.799 15Canadian Imperial Bank of Commerce A-1 24-Jan-18 CAD 318 (USD) (250) 0.786 0.799 5Bank of Montreal A-1 24-Jan-18 CAD 255 (USD) (200) 0.785 0.799 4Royal Bank of Canada A-1+ 24-Jan-18 CAD 5,524 (USD) (4,340) 0.786 0.799 93Bank of Montreal A-1 24-Jan-18 CAD 1,915 (USD) (1,500) 0.783 0.799 38Toronto-Dominion Bank (The) A-1+ 24-Jan-18 CAD 1,528 (USD) (1,200) 0.785 0.799 27Bank of Montreal A-1 24-Jan-18 CAD 634 (USD) (500) 0.789 0.799 8Canadian Imperial Bank of Commerce A-1 24-Jan-18 CAD 102 (USD) (80) 0.788 0.799 1Bank of Montreal A-1 21-Feb-18 CAD 9,427 (USD) (7,330) 0.778 0.799 258Royal Bank of Canada A-1+ 21-Feb-18 CAD 6,293 (USD) (4,900) 0.779 0.799 163Canadian Imperial Bank of Commerce A-1 21-Feb-18 CAD 5,125 (USD) (3,990) 0.779 0.799 134Toronto-Dominion Bank (The) A-1+ 21-Feb-18 CAD 12,257 (USD) (9,530) 0.778 0.799 336

1,090


10



Unrealized Loss on Currency Forward ContractsPar Value of Par Value of Unrealized

Credit Delivery Currency Bought Currency Sold Contract Market LossCounterparty Rating Date ($000s) ($000s) Price ($) Price ($) ($000s)Bank of Montreal A-1 24-Jan-18 USD 710 (CAD) (900) 1.267 1.251 (11)Toronto-Dominion Bank (The) A-1+ 24-Jan-18 USD 1,390 (CAD) (1,778) 1.279 1.251 (38)Bank of Montreal A-1 21-Feb-18 USD 150 (CAD) (193) 1.284 1.251 (5)Bank of Montreal A-1 24-Jan-18 USD 460 (CAD) (591) 1.284 1.251 (15)Bank of Montreal A-1 24-Jan-18 USD 520 (CAD) (661) 1.272 1.251 (11)

(80)

Unrealized Gain (Loss) on Futures ContractsNumber of Notional Carrying UnrealizedContracts Delivery Cost Value Gain (Loss)

Futures Contracts Bought (Sold) Price ($) Date ($000s) ($000s) ($000s)Government of Canada 10 Year Bond Futures, Mar. 20 18 (83) CAD 134.78 20-Mar-18 (11,341) (11,187) 154United States Treasury 10 Year Bond Futures, Mar. 20 18 (5) USD 155.28 20-Mar-18 (802) (797) 5United States Treasury Ultra 10-Year Treasury Note Futures, Mar. 20 18 (19) USD 167.19 20-Mar-18 (3,239) (3,224) 15

(15,382) (15,208) 174


11



June 30, 2017The Fund (note 1)Gross

The Fund’s investment objective is to maximize returns and provide currency Currency Net currency Percentage ofexposure contracts exposure net assetslong-term growth of capital consistent with preserving capital and

Currency ($000s) ($000s) ($000s) (%)providing income by investing primarily in a full range of equity and US Dollar 266,636 (43,071) 223,565 27.2

Euro 97,605 – 97,605 11.9fixed income securities.Pound Sterling 47,818 – 47,818 5.8Japanese Yen 43,765 – 43,765 5.3

Risks associated with financial instruments (note 4) Singapore Dollar 30,194 – 30,194 3.7Swiss Franc 26,044 – 26,044 3.2Danish Krone 16,246 – 16,246 2.0Interest rate riskHong Kong Dollar 11,512 – 11,512 1.4

The table below summarizes the Fund’s exposure to interest rate Norwegian Krone 8,055 – 8,055 1.0547,875 (43,071) 504,804 61.5risk by the remaining term to maturity of the Fund’s portfolio,

excluding underlying funds, preferred shares, cash and overdrafts,If the Canadian dollar strengthened or weakened by 10% in relationas applicable.to all other foreign currencies, with all other variables held constant,

December 31, 2017 June 30, 2017net assets of the Fund could possibly have decreased or increased,Interest rate exposure ($000s) ($000s)

Less than 1 year 10,355 10,439 respectively, by $52,061,000 or approximately 6.4% (June 30, 2017 –1-3 years 62,858 56,065 $50,480,000 or approximately 6.2%). In practice, actual results may3-5 years 87,821 90,429

differ from this sensitivity analysis and the difference could5-10 years 95,665 106,258> 10 years 26,914 27,775 be material.

283,613 290,966

Price riskAs at December 31, 2017, had the prevailing interest rates increased

Price risk is the risk that the carrying value of financial instrumentsor decreased by 0.25%, assuming a parallel shift in the yield curve

will fluctuate as a result of changes in market prices (other thanand all other variables held constant, net assets attributable to

those arising from interest rate risk or currency risk) caused byholders of redeemable units would have decreased or increased,

factors specific to a security, its issuer or all factors affecting arespectively, by $3,287,000 or approximately 0.4% (June 30, 2017 –

market or a market segment. Exposure to price risk is mainly in$3,555,000 or approximately 0.4%). In practice, actual results may

equities, underlying funds, derivatives and commodities, asdiffer from this sensitivity analysis and the difference could

applicable. As at December 31, 2017, approximately 63.3% (June 30,be material.

2017 – 61.1%) of the Fund’s net assets were exposed to price risk. Ifprices of these instruments had decreased or increased by 10%, withCurrency riskall other variables held constant, net assets of the Fund would have

The Fund’s exposure to currency risk is summarized in the tables decreased or increased, respectively, by approximately $51,685,000below. Amounts shown are based on the carrying value of monetary (June 30, 2017 – $50,303,000). In practice, actual results may differand non-monetary assets and liabilities of the Fund net of currency from this sensitivity analysis and the difference could be material.contracts, as applicable.

Credit riskDecember 31, 2017Gross The table below summarizes the credit ratings of bonds and

currency Currency Net currency Percentage of debentures, money market instruments and preferred shares held byexposure contracts exposure net assetsthe Fund, as applicable.Currency ($000s) ($000s) ($000s) (%)

US Dollar 270,309 (39,620) 230,689 28.3December 31, 2017 June 30, 2017Euro 100,855 – 100,855 12.4

Pound Sterling 55,792 – 55,792 6.8 Percentage of Percentage ofJapanese Yen 36,981 – 36,981 4.5 total credit total creditSingapore Dollar 35,049 – 35,049 4.3 rated Percentage of rated Percentage ofSwiss Franc 22,823 – 22,823 2.8 instruments net assets instruments net assetsDanish Krone 18,222 – 18,222 2.2 Credit ratings (%) (%) (%) (%)Norwegian Krone 11,851 – 11,851 1.5 AAA 38.1 13.2 35.6 12.7Swedish Krona 4,237 – 4,237 0.5 AA 13.5 4.7 16.8 5.9Hong Kong Dollar 4,114 – 4,114 0.5 A 35.1 12.2 33.0 11.6

560,233 (39,620) 520,613 63.8 BBB 12.8 4.5 14.3 5.0Unrated 0.5 0.2 0.3 0.1

100.0 34.8 100.0 35.3


12



Concentration risk Offsetting of financial assets and liabilities (note 2)Concentration risk arises as a result of the concentration of financial The following tables present offsetting of financial assets andinstruments within the same category, geographical location, asset liabilities and collateral amounts that would occur if future events,type or industry sector, as applicable. The table below is a summary such as bankruptcy or termination of contracts, were to arise.of the Fund’s concentration risk by carrying value as a percentage of

December 31, 2017net assets:Gross Master Collateral

December 31, 2017 June 30, 2017 amount of netting pledged/assets offset received Net amountBONDS AND DEBENTURES 34.8 35.3

Financial assets – by type ($000s) ($000s) ($000s) ($000s)Canadian Bonds and DebenturesFederal 8.4 7.6 Currency forward contracts 1,090 (80) – 1,010Provincial 11.3 11.4 Options contracts – OTC – – – –Corporate 9.3 10.5 Swap contracts – OTC – – – –Foreign Bonds and Debentures 1,090 (80) – 1,010Belgium 0.2 –United Kingdom 0.3 0.3

December 31, 2017United States 5.3 5.5EQUITIES 63.3 61.1 Gross Master CollateralDenmark 2.2 2.0 amount of netting pledged/France 4.7 5.0 liabilities offset received Net amountGermany 1.9 2.1 Financial liabilities – by type ($000s) ($000s) ($000s) ($000s)Hong Kong 0.6 1.2 Currency forward contracts 80 (80) – –Japan 4.5 5.3 Options contracts – OTC – – – –Netherlands 3.6 4.8 Swap contracts – OTC – – – –Norway 1.5 1.0

80 (80) – –Singapore 4.3 3.7Sweden 0.5 –Switzerland 2.5 3.1 June 30, 2017United Kingdom 8.9 5.9

Gross Master CollateralUnited States 28.1 27.0amount of netting pledged/CASH AND SHORT TERM INSTRUMENTS

assets offset received Net amount(BANK OVERDRAFT) 1.4 1.4Financial assets – by type ($000s) ($000s) ($000s) ($000s)Currency forward contracts 1,091 (47) – 1,044

Fair value classification (note 2) Options contracts – OTC – – – –Swap contracts – OTC – – – –

The tables below illustrate the classification of the Fund’s financial 1,091 (47) – 1,044instruments within the fair value hierarchy.

June 30, 2017Level 1 Level 2 Level 3 TotalDecember 31, 2017 ($000s) ($000s) ($000s) ($000s) Gross Master Collateral

amount of netting pledged/Equities 229,713 287,140 – 516,853liabilities offset received Net amountBonds and debentures – 283,439 – 283,439

Financial liabilities – by type ($000s) ($000s) ($000s) ($000s)Unrealized gain on currency forward contracts – 1,090 – 1,090Unrealized gain on futures contracts 174 – – 174 Currency forward contracts 47 (47) – –

Options contracts – OTC – – – –229,887 571,669 – 801,556Swap contracts – OTC – – – –Unrealized loss on currency forward contracts – (80) – (80)

47 (47) – –Unrealized loss on currency spot contracts – (1) – (1)229,887 571,588 – 801,475

Interest in Underlying Funds (note 2)Level 1 Level 2 Level 3 Total

June 30, 2017 ($000s) ($000s) ($000s) ($000s) The Fund did not hold any interest in Underlying Funds as atEquities 222,377 280,648 – 503,025

December 31, 2017 or June 30, 2017.Bonds and debentures – 290,055 – 290,055Unrealized gain on currency forward contracts – 1,091 – 1,091Unrealized gain on futures contracts 911 – – 911 Comparison of net asset value per unit and net223,288 571,794 – 795,082

assets per unit (note 2)Unrealized loss on currency forward contracts – (47) – (47)Unrealized loss on currency spot contracts – (8) – (8)

As at December 31, 2017 and June 30, 2017, there were no223,288 571,739 – 795,027differences between the net asset value per unit and the net assetsper unit for any series of the Fund.Transfers between levels

During the periods ended December 31, 2017 and June 30, 2017,there were no significant transfers between Level 1 and Level 2.


13

Dynamic Blue Chip Equity Fund (Unaudited)


December 31, June 30,(in $000s except per unit amounts) 2017 2017 (in $000s except per unit amounts and average units) 2017 2016ASSETS INCOMECurrent assets Net gain (loss) on investmentsInvestments Dividends 2,197 3,622

Non-derivative financial assets 282,142 273,561 Interest for distribution purposes 52 89Cash 6,929 14,912 Net realized gain (loss) on non-derivative financial assets 1,966 20,356Receivable for securities sold 1,321 12,655 Change in unrealized gain (loss) on non-derivative financialSubscriptions receivable 87 347 assets 19,623 42Accrued investment income and other 421 626 Change in unrealized gain (loss) on currency spot contracts 4 (24)

290,900 302,101 Net gain (loss) on investments 23,842 24,085Securities lending (note 11) 5 6LIABILITIESNet realized and unrealized foreign currency translation gain (loss) (29) 470Current liabilities

Management fee payable 399 391 Total income (loss), net 23,818 24,561Payable for securities purchased 970 2,584Redemptions payable 3,217 699 EXPENSESAccrued expenses 22 22 Management fees (note 5) 2,080 2,169Unrealized loss on currency spot contracts 1 5 Fixed administration fees (note 6) 121 249

4,609 3,701 Independent Review Committee fees 1 1Foreign withholding taxes/tax reclaims 188 356Net assets attributable to holders of redeemable units 286,291 298,400Harmonized Sales Tax/Goods and Services Tax 231 255Transaction costs 81 145

NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS PER SERIES Total expenses 2,702 3,175Series A 169,881 165,202 Expenses absorbed by the Manager – –Series E – 2,719

Net expenses 2,702 3,175Series F 12,030 10,945Series G 32,905 33,111 Net increase (decrease) in net assets attributable to holdersSeries I 5,339 4,197 of redeemable units from operations 21,116 21,386Series O 66,136 82,226

INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OFNET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS PER UNIT REDEEMABLE UNITS FROM OPERATIONS PER SERIESSeries A 18.40 17.17 Series A 11,504 7,264Series E – 14.96 Series E 106 75Series F 11.38 10.59 Series F 850 519Series G 18.65 17.40 Series FI – 25Series I 9.72 9.03 Series G 2,269 1,461Series O 10.03 9.36 Series I 373 180

Series O 6,014 11,862


Series A 1.23 0.78Series E 0.59 0.50Series F 0.81 0.55Series FI – 0.54Series G 1.24 0.79Series I 0.75 0.51Series O 0.77 0.56

WEIGHTED AVERAGE NUMBER OF UNITS PER SERIESSeries A 9,428,186 9,344,913Series E 181,273 148,769Series F 1,040,285 941,968Series FI – 46,684Series G 1,838,566 1,838,551Series I 497,078 356,340Series O 7,815,774 21,196,442



14




Adjustments for:Series E 2,719 1,621Net realized (gain) loss on non-derivative financial assets (1,966) (20,356)Series F 10,945 10,070Unrealized foreign currency translation (gain) loss 1 43Series FI – 866Change in unrealized (gain) loss on non-derivative financialSeries G 33,111 34,220

assets (19,623) (42)Series I 4,197 3,172Change in unrealized (gain) loss on currency spot contracts (4) 24Series O 82,226 225,952Purchases of portfolio investments (21,934) (65,894)

298,400 450,652 Proceeds from sale of portfolio investments 44,662 54,914Accrued investment income and other 205 167Accrued expenses and other payables 8 (4)INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS

FROM OPERATIONS Net cash provided by (used in) operating activities 22,465 (9,762)Series A 11,504 7,264Series E 106 75 CASH FLOWS FROM FINANCING ACTIVITIESSeries F 850 519 Proceeds from issue of redeemable units 4,695 11,412Series FI – 25 Amounts paid on redemption of redeemable units (35,134) (57,271)Series G 2,269 1,461 Distributions to unitholders of redeemable units (8) (846)Series I 373 180

Net cash provided by (used in) financing activities (30,447) (46,705)Series O 6,014 11,86221,116 21,386 Unrealized foreign currency translation gain (loss) (1) (43)

Net increase (decrease) in cash (7,982) (56,510)Cash (bank overdraft), beginning of period 14,912 82,218DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITS

From net investment income CASH (BANK OVERDRAFT), END OF PERIOD 6,929 25,708Series F (34) (27)Series I (36) (29)

Interest received, net of withholding taxes(1) 54 109Series O (756) (2,003)Dividends received, net of withholding taxes(1) 2,212 3,451From net realized gains on investments

Series A – (27,033)(1) Classified as operating items.Series E – (271)

Series F – (1,829)Series G – (5,287)Series I – (536)Series O – (36,798)

(826) (73,813)

REDEEMABLE UNIT TRANSACTIONSProceeds from issue

Series A 7,112 4,130Series E 5 1,023Series F 1,409 2,364Series G 127 811Series I 936 606Series O – 5,936

Reinvested distributionsSeries A – 26,581Series E – 271Series F 31 1,605Series G – 5,242Series I 31 464Series O 756 38,801

Payments on redemptionSeries A (13,937) (16,480)Series E (2,830) (249)Series F (1,171) (1,055)Series FI – (891)Series G (2,602) (2,431)Series I (162) (475)Series O (22,104) (39,214)

(32,399) 27,039

INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITSSeries A 4,679 (5,538)Series E (2,719) 849Series F 1,085 1,577Series FI – (866)Series G (206) (204)Series I 1,142 210Series O (16,090) (21,416)

(12,109) (25,388)

NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS, END OF PERIODSeries A 169,881 169,213Series E – 2,470Series F 12,030 11,647Series FI – –Series G 32,905 34,016Series I 5,339 3,382Series O 66,136 204,536

286,291 425,264


15



Par Value($000s)/ Average Carrying

Number of Cost ValueShares/Units ($000s) ($000s)

EQUITIES (98.5%)Denmark (2.3%)Topdanmark A/S 123,700 4,173 6,690France (7.2%)LVMH Moët Hennessy Louis Vuitton SA 27,000 6,391 9,948Schneider Electric SA 100,700 9,297 10,712

15,688 20,660Germany (3.4%)Fresenius SE & Co. KGaA 100,000 9,316 9,766Hong Kong (1.0%)Techtronic Industries Company Limited 360,700 2,895 2,943Japan (6.1%)Fanuc Corporation 29,700 6,157 8,931Kuraray Co., Ltd. 359,400 7,330 8,491

13,487 17,422Mexico (0.5%)Grupo Aeroportuario del Sureste, SA de CV, Sponsored

ADR, Series ‘‘B’’ 6,500 1,545 1,485Netherlands (6.7%)Koninklijke Philips Electronics NV 222,200 8,857 10,544Wolters Kluwer NV 130,536 7,282 8,526

16,139 19,070Norway (1.5%)Protector Forsikring ASA 318,850 3,485 4,390Singapore (8.1%)DBS Group Holdings Ltd. 518,500 8,328 12,027United Overseas Bank Limited 446,100 8,343 11,025

16,671 23,052Sweden (0.5%)Hexagon AB, Series ‘‘B’’ 24,100 1,468 1,515Switzerland (3.3%)Nestlé SA 88,100 9,009 9,480United Kingdom (13.1%)Admiral Group PLC 137,000 4,728 4,634Diageo PLC 226,600 7,993 10,401JUST EAT PLC 127,800 1,378 1,681RELX PLC 266,400 7,563 7,828Unilever NV 132,800 7,892 9,359WPP PLC 158,400 4,590 3,600

34,144 37,503United States (44.8%)3M Company 38,100 7,998 11,226Alphabet Inc., Class ‘‘C’’ 8,987 3,761 11,772Cognizant Technology Solutions Corporation, Class ‘‘A’’ 128,500 8,573 11,424Deere & Company 29,000 3,126 5,682Johnson & Johnson 57,800 8,198 10,109Microsoft Corporation 115,800 3,196 12,400Nielsen Holdings PLC 177,700 11,574 8,097Omnicom Group Inc. 39,400 4,024 3,592Oracle Corporation 162,200 8,626 9,600Progressive Corporation (The) 175,700 7,408 12,387Ross Stores, Inc. 91,900 7,116 9,232Union Pacific Corporation 69,000 3,595 11,583Visa Inc., Class ‘‘A’’ 77,500 1,438 11,062

78,633 128,166AVERAGE COST AND CARRYING VALUE

OF INVESTMENTS (98.5%) 206,653 282,142TRANSACTION COSTS (0.0%) (277) –TOTAL AVERAGE COST AND CARRYING VALUE

OF INVESTMENTS (98.5%) 206,376 282,142UNREALIZED GAIN (LOSS) ON DERIVATIVES (0%) –CASH AND SHORT TERM INSTRUMENTS

(BANK OVERDRAFT) (2.4%)Canadian 6,861 6,861Foreign 69 68

6,930 6,929OTHER NET ASSETS (LIABILITIES) (–0.9%) (2,780)NET ASSETS ATTRIBUTABLE TO HOLDERS OF

REDEEMABLE UNITS (100.0%) 286,291


16



Price riskThe Fund (note 1)Price risk is the risk that the carrying value of financial instrumentsThe Fund’s investment objective is to achieve long-term capitalwill fluctuate as a result of changes in market prices (other thangrowth by investing primarily in equity securities of businessesthose arising from interest rate risk or currency risk) caused byaround the world.factors specific to a security, its issuer or all factors affecting amarket or a market segment. Exposure to price risk is mainly inRisks associated with financial instruments (note 4)equities, underlying funds, derivatives and commodities, as

Interest rate risk applicable. As at December 31, 2017, approximately 98.6% (June 30,2017 – 91.7%) of the Fund’s net assets were exposed to price risk. IfThe majority of the Fund’s financial instruments were non-interestprices of these instruments had decreased or increased by 10%, withbearing as at December 31, 2017 and June 30, 2017. Accordingly, theall other variables held constant, net assets of the Fund would haveFund is not directly subject to significant risk due to fluctuations indecreased or increased, respectively, by approximately $28,214,000the prevailing levels of market interest rates.(June 30, 2017 – $27,356,000). In practice, actual results may differ

Currency risk from this sensitivity analysis and the difference could be material.

The Fund’s exposure to currency risk is summarized in the tablesCredit riskbelow. Amounts shown are based on the carrying value of monetaryThe Fund had no significant exposure to bonds and debentures,and non-monetary assets and liabilities of the Fund net of currencymoney market instruments or preferred shares as at December 31,contracts, as applicable.2017 or June 30, 2017.

December 31, 2017

Gross Concentration riskcurrency Currency Net currency Percentage ofexposure contracts exposure net assets Concentration risk arises as a result of the concentration of financial

Currency ($000s) ($000s) ($000s) (%)instruments within the same category, geographical location, assetUS Dollar 129,803 – 129,803 45.3

Euro 59,502 – 59,502 20.8 type or industry sector, as applicable. The table below is a summaryPound Sterling 28,144 – 28,144 9.8 of the Fund’s concentration risk by carrying value as a percentage ofSingapore Dollar 23,052 – 23,052 8.1

net assets:Japanese Yen 17,497 – 17,497 6.1Swiss Franc 10,365 – 10,365 3.6

December 31, 2017 June 30, 2017Danish Krone 6,690 – 6,690 2.3Norwegian Krone 4,390 – 4,390 1.5 EQUITIES 98.5 91.7Hong Kong Dollar 2,458 – 2,458 0.9 Denmark 2.3 1.7Swedish Krona 1,515 – 1,515 0.5 France 7.2 7.0

Germany 3.4 3.5283,416 – 283,416 98.9Hong Kong 1.0 1.8Japan 6.1 8.2

June 30, 2017 Mexico 0.5 –Netherlands 6.7 8.5GrossNorway 1.5 1.2currency Currency Net currency Percentage ofSingapore 8.1 6.7exposure contracts exposure net assetsSweden 0.5 –Currency ($000s) ($000s) ($000s) (%)Switzerland 3.3 3.7US Dollar 119,534 – 119,534 40.1United Kingdom 13.1 9.4Euro 56,043 – 56,043 18.8United States 44.8 40.0Pound Sterling 27,641 – 27,641 9.3CASH AND SHORT TERM INSTRUMENTSJapanese Yen 24,572 – 24,572 8.2

(BANK OVERDRAFT) 2.4 5.0Singapore Dollar 19,875 – 19,875 6.7Swiss Franc 11,287 – 11,287 3.8Hong Kong Dollar 6,422 – 6,422 2.2 Fair value classification (note 2)Danish Krone 5,124 – 5,124 1.7Norwegian Krone 3,458 – 3,458 1.2 The tables below illustrate the classification of the Fund’s financial

273,956 – 273,956 92.0instruments within the fair value hierarchy.

Level 1 Level 2 Level 3 TotalIf the Canadian dollar strengthened or weakened by 10% in relationDecember 31, 2017 ($000s) ($000s) ($000s) ($000s)

to all other foreign currencies, with all other variables held constant, Equities 129,651 152,491 – 282,142net assets of the Fund could possibly have decreased or increased, 129,651 152,491 – 282,142

Unrealized loss on currency spot contracts – (1) – (1)respectively, by $28,342,000 or approximately 9.9% (June 30, 2017 –129,651 152,490 – 282,141$27,396,000 or approximately 9.2%). In practice, actual results may

differ from this sensitivity analysis and the difference couldbe material.


17



Level 1 Level 2 Level 3 TotalJune 30, 2017 ($000s) ($000s) ($000s) ($000s)Equities 119,374 154,187 – 273,561

119,374 154,187 – 273,561Unrealized loss on currency spot contracts – (5) – (5)

119,374 154,182 – 273,556

Transfers between levels


Offsetting of financial assets and liabilities (note 2)

As at December 31, 2017 and June 30, 2017, the Fund did not enterinto any agreement whereby the financial instruments were eligiblefor offset.

Interest in Underlying Funds (note 2)

The Fund did not hold any interest in Underlying Funds as atDecember 31, 2017 or June 30, 2017.

Comparison of net asset value per unit and netassets per unit (note 2)

As at December 31, 2017 and June 30, 2017, there were nodifferences between the net asset value per unit and the net assetsper unit for any series of the Fund.


18

Dynamic European Equity Fund (Unaudited)(formerly Dynamic European Value Fund)


December 31, June 30,(in $000s except per unit amounts) 2017 2017 (in $000s except per unit amounts and average units) 2017 2016ASSETS INCOMECurrent assets Net gain (loss) on investmentsInvestments Dividends 474 704

Non-derivative financial assets 96,997 75,857 Interest for distribution purposes 2 –Cash 836 657 Net realized gain (loss) on non-derivative financial assets 547 4,463Subscriptions receivable 229 510 Net realized gain (loss) on currency forward contracts 74 747Accrued investment income and other 290 299 Change in unrealized gain (loss) on non-derivative financial

assets 5,198 5,51798,352 77,323Change in unrealized gain (loss) on currency forward contracts 32 (452)

LIABILITIES Change in unrealized gain (loss) on currency spot contracts – 1Current liabilities

Net gain (loss) on investments 6,327 10,980Management fee payable 152 127Securities lending (note 11) 1 –Redemptions payable 81 180Net realized and unrealized foreign currency translation gain (loss) 7 (49)Accrued expenses 19 15

Unrealized loss on currency forward contracts – 32 Total income (loss), net 6,335 10,931252 354

EXPENSESNet assets attributable to holders of redeemable units 98,100 76,969Management fees (note 5) 786 640Fixed administration fees (note 6) 91 96Independent Review Committee fees 1 1NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS PER SERIESInterest expense 1 2Series A 68,898 61,560Foreign withholding taxes/tax reclaims 29 51Series F 27,611 15,215Harmonized Sales Tax/Goods and Services Tax 93 78Series I 1,445 58Transaction costs 99 167Series O 146 136Total expenses 1,100 1,035Expenses absorbed by the Manager (3) –NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS PER UNIT

Series A 32.44 30.61 Net expenses 1,097 1,035Series F 10.82 10.22

Net increase (decrease) in net assets attributable to holdersSeries I 11.68 11.01of redeemable units from operations 5,238 9,896Series O 12.57 11.86

NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS PER UNIT – USD INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OFSeries A 25.91 23.58 REDEEMABLE UNITS FROM OPERATIONS PER SERIES

Series A 3,775 7,377Series F 1,453 993Series I – 134Series O 10 1,392


Series A 1.82 3.03Series F 0.66 1.10Series I (0.02) 1.20Series O 0.87 1.29

WEIGHTED AVERAGE NUMBER OF UNITS PER SERIESSeries A 2,074,172 2,436,816Series F 2,195,149 906,198Series I 36,708 111,976Series O 11,468 1,078,652



19




Adjustments for:Series F 15,215 7,964Net realized (gain) loss on non-derivative financial assets (547) (4,463)Series I 58 977Unrealized foreign currency translation (gain) loss – (5)Series O 136 9,998Change in unrealized (gain) loss on non-derivative financial

76,969 79,973 assets (5,198) (5,517)Change in unrealized (gain) loss on currency forward contracts (32) 452Change in unrealized (gain) loss on currency spot contracts – (1)INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITSPurchases of portfolio investments (34,137) (36,643)FROM OPERATIONSProceeds from sale of portfolio investments 18,742 48,365Series A 3,775 7,377Accrued investment income and other 9 244Series F 1,453 993Accrued expenses and other payables 29 (10)Series I – 134

Series O 10 1,392 Net cash provided by (used in) operating activities (15,896) 12,3185,238 9,896

CASH FLOWS FROM FINANCING ACTIVITIESProceeds from issue of redeemable units 24,451 1,671DISTRIBUTIONS TO HOLDERS OF REDEEMABLE UNITSAmounts paid on redemption of redeemable units (8,273) (15,948)From net investment incomeDistributions to unitholders of redeemable units (103) (73)Series A – (299)Net cash provided by (used in) financing activities 16,075 (14,350)Series F (187) (149)

Series I (16) (27)Unrealized foreign currency translation gain (loss) – 5Series O (2) (289)Net increase (decrease) in cash 179 (2,027)(205) (764)Cash (bank overdraft), beginning of period 657 1,864CASH (BANK OVERDRAFT), END OF PERIOD 836 (163)REDEEMABLE UNIT TRANSACTIONS

Proceeds from issueSeries A 11,478 1,059 Interest paid(1) 1 2Series F 12,060 1,118 Interest received, net of withholding taxes(1) 3 –Series I 1,428 40 Dividends received, net of withholding taxes(1) 382 823Series O – 102

Reinvested distributions (1) Classified as operating items.Series A – 260Series F 84 115Series I 16 27Series O 2 289

Payments on redemptionSeries A (7,915) (12,562)Series F (1,014) (3,031)Series I (41) (180)Series O – (1,049)

16,098 (13,812)

INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITSSeries A 7,338 (4,165)Series F 12,396 (954)Series I 1,387 (6)Series O 10 445

21,131 (4,680)

NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS, END OF PERIODSeries A 68,898 56,869Series F 27,611 7,010Series I 1,445 971Series O 146 10,443

98,100 75,293


20





EQUITIES (98.8%) AVERAGE COST AND CARRYING VALUEAustria (2.7%) OF INVESTMENTS (98.8%) 81,143 96,997ams AG 23,300 1,113 2,644 TRANSACTION COSTS (0.0%) (224) –Denmark (2.6%) TOTAL AVERAGE COST AND CARRYING VALUEPandora A/S 19,000 2,329 2,593 OF INVESTMENTS (98.8%) 80,919 96,997France (26.8%) CASH AND SHORT TERM INSTRUMENTSAccor SA 43,500 2,369 2,812 (BANK OVERDRAFT) (0.9%)AXA SA 66,000 1,878 2,454 Canadian 811 811BNP Paribas 30,900 2,188 2,890 Foreign 25 25Dassault Systèmes SA 22,500 2,794 2,997

Money Market Instruments – –Kering 4,000 1,259 2,365LVMH Moët Hennessy Louis Vuitton SA 8,150 2,815 3,003 836 836Pernod Ricard SA 14,700 2,248 2,919 OTHER NET ASSETS (LIABILITIES) (0.3%) 267Société Générale SA 46,500 3,148 3,007

NET ASSETS ATTRIBUTABLE TO HOLDERS OFTotal SA, Sponsored ADR 14,500 908 1,003REDEEMABLE UNITS (100.0%) 98,100Ubisoft Entertainment SA 29,000 1,478 2,799

21,085 26,249Germany (18.4%)Axel Springer Aktiengesellschaft 20,500 1,563 2,004Bayer Aktiengesellschaft 19,200 2,661 2,995Bayerische Motoren Werke Aktiengesellschaft 7,100 828 925Fresenius Medical Care AG 5,500 732 727Hugo Boss AG 28,100 2,466 2,990Infineon Technologies AG 86,000 2,104 2,946SAP SE 20,200 2,706 2,841Stabilus SA 23,400 860 2,640

13,920 18,068Greece (3.4%)Fourlis SA 206,000 1,003 1,786Jumbo SA 68,500 839 1,533

1,842 3,319Ireland (2.4%)Ryanair Holdings PLC, Sponsored ADR 18,300 1,836 2,387Israel (1.2%)Teva Pharmaceutical Industries Ltd., Sponsored ADR 50,000 1,779 1,186Italy (5.6%)Intesa Sanpaolo SPA 650,000 2,795 2,704UniCredit SPA 121,000 2,411 2,827

5,206 5,531Netherlands (7.9%)ASML Holding NV, ADR 12,500 2,460 2,720Heineken NV 23,300 2,557 3,046Yandex N.V., Class ‘‘A’’ 48,000 1,287 1,968

6,304 7,734Sweden (2.8%)Atlas Copco AB, Series ‘‘A’’ 42,700 1,778 2,312Hexagon AB, Series ‘‘B’’ 7,000 353 440

2,131 2,752Switzerland (5.4%)Compagnie Financière Richemont SA 16,000 1,823 1,814Swatch Group Ltd. (The), Series ‘‘B’’ 6,900 3,444 3,522

5,267 5,336United Kingdom (19.6%)Burberry Group PLC 30,000 897 910Carnival PLC 25,000 1,674 2,062GlaxoSmithKline PLC, Sponsored ADR 11,400 647 506IHS Markit Ltd. 42,000 2,384 2,374JUST EAT PLC 230,000 2,058 3,026Meggitt PLC 317,000 2,768 2,574NEXT PLC 33,500 2,894 2,573Shire PLC 31,000 1,984 2,017Whitbread PLC 46,600 3,025 3,156

18,331 19,198


21



those arising from interest rate risk or currency risk) caused byThe Fund (note 1)factors specific to a security, its issuer or all factors affecting a

The Fund’s investment objective is to seek to achieve long-term market or a market segment. Exposure to price risk is mainly incapital growth by investing primarily in equity securities of equities, underlying funds, derivatives and commodities, asbusinesses which are expected to benefit from the economic applicable. As at December 31, 2017, approximately 98.8% (June 30,rationalization of the European markets. 2017 – 98.5%) of the Fund’s net assets were exposed to price risk. If

prices of these instruments had decreased or increased by 10%, withRisks associated with financial instruments (note 4) all other variables held constant, net assets of the Fund would have

decreased or increased, respectively, by approximately $9,700,000Interest rate risk(June 30, 2017 – $7,586,000). In practice, actual results may differThe majority of the Fund’s financial instruments were non-interestfrom this sensitivity analysis and the difference could be material.bearing as at December 31, 2017 and June 30, 2017. Accordingly, the

Fund is not directly subject to significant risk due to fluctuations in Credit riskthe prevailing levels of market interest rates.

The Fund had no significant exposure to bonds and debentures,money market instruments or preferred shares as at December 31,Currency risk2017 or June 30, 2017.The Fund’s exposure to currency risk is summarized in the tables

below. Amounts shown are based on the carrying value of monetary Concentration riskand non-monetary assets and liabilities of the Fund net of currency

Concentration risk arises as a result of the concentration of financialcontracts, as applicable.instruments within the same category, geographical location, asset

December 31, 2017 type or industry sector, as applicable. The table below is a summaryGross of the Fund’s concentration risk by carrying value as a percentage ofcurrency Currency Net currency Percentage of

net assets:exposure contracts exposure net assetsCurrency ($000s) ($000s) ($000s) (%)

December 31, 2017 June 30, 2017Euro 55,406 – 55,406 56.5EQUITIES 98.8 98.5Pound Sterling 16,358 – 16,358 16.7Austria 2.7 2.6US Dollar 12,174 – 12,174 12.4Denmark 2.6 –Swiss Franc 8,014 – 8,014 8.2France 26.8 29.4Swedish Krona 2,752 – 2,752 2.8Germany 18.4 14.5Danish Krone 2,606 – 2,606 2.7Greece 3.4 4.497,310 – 97,310 99.3Ireland 2.4 2.9Israel 1.2 1.2

June 30, 2017 Italy 5.6 3.3Netherlands 7.9 5.1GrossSweden 2.8 4.6currency Currency Net currency Percentage ofSwitzerland 5.4 5.0exposure contracts exposure net assetsUnited Kingdom 19.6 22.1Currency ($000s) ($000s) ($000s) (%)United States – 3.4Euro 42,528 – 42,528 55.3 CASH AND SHORT TERM INSTRUMENTSPound Sterling 15,046 (5,893) 9,153 11.9 (BANK OVERDRAFT) 0.9 0.9US Dollar 9,405 – 9,405 12.2

Swiss Franc 5,902 – 5,902 7.7Swedish Krona 3,579 – 3,579 4.6 Fair value classification (note 2)Danish Krone 9 – 9 0.0

76,469 (5,893) 70,576 91.7 The tables below illustrate the classification of the Fund’s financialinstruments within the fair value hierarchy.

If the Canadian dollar strengthened or weakened by 10% in relation Level 1 Level 2 Level 3 Totalto all other foreign currencies, with all other variables held constant, December 31, 2017 ($000s) ($000s) ($000s) ($000s)

Equities 12,144 84,853 – 96,997net assets of the Fund could possibly have decreased or increased,12,144 84,853 – 96,997respectively, by $9,731,000 or approximately 9.9% (June 30, 2017 –

$7,058,000 or approximately 9.2%). In practice, actual results mayLevel 1 Level 2 Level 3 Total

differ from this sensitivity analysis and the difference could June 30, 2017 ($000s) ($000s) ($000s) ($000s)be material. Equities 9,364 66,493 – 75,857

9,364 66,493 – 75,857Unrealized loss on currency forward contracts – (32) – (32)Price risk

9,364 66,461 – 75,825Price risk is the risk that the carrying value of financial instrumentswill fluctuate as a result of changes in market prices (other than


22



Transfers between levels


Offsetting of financial assets and liabilities (note 2)

The following tables present offsetting of financial assets andliabilities and collateral amounts that would occur if future events,such as bankruptcy or termination of contracts, were to arise. As atDecember 31, 2017, the Fund did not enter into any agreementwhereby the financial instruments were eligible for offset.

June 30, 2017

Gross Master Collateralamount of netting pledged/

assets offset received Net amountFinancial assets – by type ($000s) ($000s) ($000s) ($000s)Currency forward contracts – – – –Options contracts – OTC – – – –Swap contracts – OTC – – – –

– – – –

June 30, 2017

Gross Master Col

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