internationalequityfund...internationalequityfund...

International Equity Fund

(The accompanying notes are an integral part of these financial statements)

1

Semi-Annual Report (unaudited)

FortheperiodendedJune30,2020

Statements of Financial Position

AS AT JUNE 30, 2020 (UNAUDITED) AND DECEMBER 31, 2019

(inthousandsofdollarsexceptperunitdata)

2020

2019

x

x

ASSETS

x

CurrentAssets

x

Investments(non-derivativefinancialassets)

$ 700,093

$ 744,508

x

Cashincludingforeigncurrencyholdings

23,376

15,906

x

Accrueddividendsreceivable

3,516

2,816

x

Marginreceivableonfutures

1,555

3,078

x

Receivableforportfoliosecuritiessold

1,075

240

x

Receivableforunitsubscriptions

339

4,082

x

Prepaidexpenses

111

76

x

Receivablefrommanager

1

1

x

Derivativeassets

17

1

x

x

x

730,083

770,708

x

x

x

LIABILITIES

x

CurrentLiabilities

x

Accruedliabilities

291

299

x

Payableforportfoliosecuritiespurchased

539

560

x

Payableforunitredemptions

457

1,402

x

Derivativeliabilities

4

10

x

x

x

1,291

2,271

x

x

x

NETASSETSATTRIBUTABLETOHOLDERSOF

REDEEMABLEUNITS $ 728,792

$ 768,437

x

x

x

NETASSETSATTRIBUTABLETOHOLDERSOFREDEEMABLEUNITSPERCLASS(note5)

x

(ClassE) $ 8,039

$ 8,934

x

(ClassF) $ 5,620

$ 7,242

x

(ClassI) $ 49

$ 52

x

(ClassO) $ 715,084

$ 752,209

x

(ClassZ)* $ —

$ —

x

x

x

NETASSETSATTRIBUTABLETOHOLDERSOFREDEEMABLEUNITSPERUNIT

x

(ClassE) $ 6.46

$ 6.92

x

(ClassF) $ 7.11

$ 7.58

x

(ClassI) $ 7.06

$ 7.54

x

(ClassO) $ 6.88

$ 7.30

x

(ClassZ)* $ —

$ —

x

x

x

* ClassZunitswereterminatedasofendofdayJuly2,2019,seeNote5.

Statements of Comprehensive Income (Loss)

FOR THE PERIODS ENDED JUNE 30, 2020 AND 2019 (UNAUDITED)


2020

2019

INCOME

NET GAIN (LOSS) ON INVESTMENTS AND DERIVATIVES

x

Dividends

$ 10,270

$ 15,754

x

Interestfordistributionpurposes

14

82

x

Derivativeincome(loss)

959

1,593

x

Netrealizedgain(loss)onsaleofinvestments

319

14,415

x

Foreignexchangegain(loss)onforeigncurrency

translation

(91)

185

x

Netchangeinunrealizedappreciation(depreciation)

onforeignexchange

223

(544)

x

Netchangeinunrealizedappreciation(depreciation)of

investmentsandderivatives

(48,430)

37,931

x

x

x

(36,736)

69,416

x

Foreignexchangegain(loss)oncash

403

(429)

x

x

x

TOTALINCOME(NET) (36,333)

68,987

x

x

EXPENSES

x

Custodianandadministrationfees

398

434

x

Legalfees

28

32

x

Auditfees

15

13

x

Interestexpense

23

—

x

Managementfees(note7)

105

135

x

Trusteefees

12

13

x

Independentreviewcommitteefees(note7)

2

2

x

Transactioncosts

762

409

x

Securityholderreportingcosts

23

24

x

Foreignwithholdingtaxes

867

2,245

x

x

x

TOTALEXPENSES 2,235

3,307

x

Waivedexpenses(note7)

(4)

(6)

x

x

x

NETEXPENSES 2,231

3,301

x

x

x

INCREASE(DECREASE)INNETASSETS

ATTRIBUTABLETOHOLDERSOFREDEEMABLE

UNITS $ (38,564)

$ 65,686

x

x

INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF

REDEEMABLE UNITS PER CLASS

x

(ClassE) $ (531)

$ 753

x

(ClassF) $ (449)

$ 740

x

(ClassI) $ (3)

$ 4

x

(ClassO) $ (37,581)

$ 64,188

x

(ClassZ)* $ —

$ 1

x

x

AVERAGE NUMBER OF UNITS OUTSTANDING FOR THE PERIOD PER CLASS

x

(ClassE) 1,264

1,506

x

(ClassF) 882

1,249

x

(ClassI) 7

7

x

(ClassO) 104,482

107,424

x

(ClassZ)* —

2

x

x

INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF

REDEEMABLE UNITS PER UNIT^

x

(ClassE) $ (0.42)

$ 0.50

x

(ClassF) $ (0.51)

$ 0.59

x

(ClassI) $ (0.48)

$ 0.55

x

(ClassO) $ (0.36)

$ 0.60

x

(ClassZ)* $ —

$ 0.58

x

x

x

^ Basedontheweightedaveragenumberofunitsoutstandingduringtheperiod.

x




2

Statements of Changes in Net Assets Attributable to Holders of Redeemable Units



x

Fund Total

2020 2019

x

x

x

x


REDEEMABLEUNITSATBEGINNINGOFPERIOD $ 768,437 $ 753,434

x

x

x



UNITS (38,564) 65,686

x

x

x

DISTRIBUTIONSTOHOLDERSOFREDEEMABLE

UNITS

x

Outofnet investment income — (2,727)

x

x

x

— (2,727)

x

x

x

CAPITALUNITTRANSACTIONS

x

Proceeds fromissueofunits 62,913 36,943

x

Paymentsonredemptionofunits (63,994) (116,569)

x

Reinvestmentsofdistributions — 2,701

x

x

x

(1,081) (76,925)

x

x

x

CHANGESINNETASSETATTRIBUTABLETO

HOLDERSOFREDEEMABLEUNITS (39,645) (13,966)

x

x

x


REDEEMABLEUNITS ATENDOFPERIOD $ 728,792 $ 739,468

x

xx

Class E Class F

2020 2019 2020 2019

x

x

x

x


REDEEMABLEUNITSATBEGINNINGOFPERIOD $ 8,934 $ 9,718 $ 7,242 $ 8,898

x

x

x



UNITS (531) 753 (449) 740

x

x

x


UNITS

x

Outofnet investment income — (1) — (16)

x

x

x

— (1) — (16)

x

x

x


x

Proceeds fromissueofunits 651 149 475 463

x

Paymentsonredemptionofunits (1,015) (1,167) (1,648) (1,930)

x

Reinvestmentofdistributions — 1 — 9

x

x

x

(364) (1,017) (1,173) (1,458)

x

x

x


HOLDERSOFREDEEMABLEUNITS (895) (265) (1,622) (734)

x

x

x


REDEEMABLEUNITS ATENDOFPERIOD $ 8,039 $ 9,453 $ 5,620 $ 8,164

x

x



3

Statements of Changes in Net Assets Attributable to Holders of Redeemable Units



x

Class I Class O

2020 2019 2020 2019

x

x

x

x


REDEEMABLEUNITSATBEGINNINGOFPERIOD $ 52 $ 45 $ 752,209 $ 734,762

x

x

x



UNITS (3) 4 (37,581) 64,188

x

x

x


UNITS

x

Outofnet investment income — — — (2,710)

x

x

x

— — — (2,710)

x

x

x


x

Proceeds fromissueofunits — — 61,787 36,331

x

Paymentsonredemptionofunits — — (61,331) (113,472)

x

Reinvestmentofdistributions — — — 2,691

x

x

x

— — 456 (74,450)

x

x

x


HOLDERSOFREDEEMABLEUNITS (3) 4 (37,125) (12,972)

x

x

x


REDEEMABLEUNITS ATENDOFPERIOD $ 49 $ 49 $ 715,084 $ 721,790

x

xx

Class Z*

2020 2019

x

x

x

x


REDEEMABLEUNITSATBEGINNINGOFPERIOD $ — $ 11

x

x

x



UNITS — 1

x

x

x


UNITS

x

x

x

— —

x

x

x


x

x

x

— —

x

x

x


HOLDERSOFREDEEMABLEUNITS — 1

x

x

x


REDEEMABLEUNITS ATENDOFPERIOD $ — $ 12

x

x

x




4

Statements of Cash Flows



2020 2019

x

x

CASHFLOWSFROMOPERATINGACTIVITIES

x

Increase (Decrease) inNetAssetsAttributable toHolderofRedeemableUnits $ (38,564) $ 65,686

x

Adjustments for:

x

Foreignexchange (gain) lossoncash (60) 227

x

Netrealized(gain) lossonsaleof investments (319) (14,415)

x

Netchange inunrealized(appreciation)depreciationof investmentsandderivatives 48,430 (37,931)

x

Purchasesof investments (309,376) (120,755)

x

Proceeds fromthesaleof investments 304,802 188,932

x

Marginreceivableonfutures 1,523 (2)

x

Interest receivable — 16

x

Dividends receivable (700) (114)

x

Otherassets (35) 47

x

Other liabilities (8) (98)

x

x

x

5,693 81,593

x

x

x

CASHFLOWSUSEDINFINANCINGACTIVITIES

x

Amountreceivedfromthe issuanceofunits* 66,561 25,663

x

Amountpaidonredemptionsofunits* (64,844) (105,765)

x

Distributionspaidtounitholders — (26)

x

x

x

1,717 (80,128)

x

x

x

Increase (decrease) incashduring theperiod 7,410 1,465

x

Foreignexchangegain(loss)oncash 60 (227)

x

CashatBeginningofPeriod 15,906 27,472

x

x

x

CashatEndofPeriod 23,376 28,710

x

x

x

CASHFLOWSINCLUDEDINOPERATINGACTIVITIES

x

Interest received 14 98

x

Dividends received,netofwithholding taxes 8,703 13,395

x

Interestpaid 23 —

x

* Non-cashtransfersof$94,639wereexcludedfromproceedsfromissue/paymentonredemptionsfortheperiodendedJune30,2020.


Schedule of Investment Portfolio

AS AT JUNE 30, 2020 (UNAUDITED)

Numberof

Shares AverageCost$ FairValue$

EQUITIES-96.1%

x

Australia -3.1%

x

AristocratLeisureLtd. 84,566 1,342,248 2,057,670

x

ASXLtd. 4,262 197,652 344,230

x

AvitaMedicalLtd. 104,318 813,182 888,557

x

BGPHoldingsPLC 73,834 – –

x

BHPGroupLtd. 44,660 1,227,286 1,510,951

x

BHPGroupPLC 71,770 1,628,517 1,994,630

x

BluescopeSteelLtd. 92,567 1,258,677 1,036,189

x

Coca-ColaAmatilLtd. 11,936 117,030 97,696

x

CochlearLtd. 4,562 666,330 813,866

x

ColesGroupLtd. 38,178 551,711 616,692

x

CSLLtd. 12,256 1,322,487 3,312,291

x

CSRLtd. 128,565 438,417 449,646

x

EvolutionMiningLtd. 149,169 719,191 805,212

x

FortescueMetalsGroupLtd. 214,545 1,402,596 2,834,187

x

GoodmanGroup 3,719 35,814 52,144

x

IGOLtd. 45,159 210,091 209,378

x

InsuranceAustraliaGroupLtd. 7,275 38,966 39,674

x

LendLeaseGroup 14,826 210,935 174,129

x

MacquarieGroupLtd. 1,904 186,271 214,720

x

MagellanFinancialGroupLtd. 3,049 136,368 169,186

x

NewcrestMiningLtd. 45,600 1,387,938 1,373,977

x

OricaLtd. 49,795 838,661 782,503

x

OroraLtd. 155,996 442,589 374,784

x

OZMineralsLtd. 31,104 246,089 324,749

x

QantasAirwaysLtd. 153,803 430,999 553,812

x

REAGroupLtd. 667 63,138 68,297

x

SeekLtd. 3,036 52,439 63,115

x

SonicHealthcareLtd. 2,864 77,031 82,181

x

South32Ltd. 594,280 1,420,191 1,143,244

x

SydneyAirport 1,897 14,897 10,173

x

TechnologyOneLtd. 16,491 141,806 137,328

x

WesfarmersLtd. 2,014 70,488 85,090

x

WoolworthsGroupLtd. 3,777 131,672 132,295

x

x

x

17,821,707 22,752,596

x

x

Austria -0.4%

x

AndritzAG 718 37,278 35,645

x

BAWAGGroupAG 49,764 2,817,941 2,344,548

x

ErsteGroupBankAG 2,195 97,592 70,585

x

ImmofinanzAG 476 – 11,078

x

RaiffeisenBank InternationalAG 7,607 167,198 185,123

x

VoestalpineAG 1,231 33,610 36,196

x

x

x

3,153,619 2,683,175

x

x

Belgium-1.3%

x

AgeasSA/NV 72,647 3,389,417 3,505,501

x

bpostSA 15,594 141,848 143,512

x

ColruytNV 4,432 340,241 331,653

x

GalapagosNV 4,388 1,294,245 1,179,252

x

GroupeBruxellesLambertSA 14,627 1,387,561 1,668,147

x

KBCGroupNV 11,180 1,094,238 874,547

x

ProximusSA 1,687 46,778 46,806

Numberof


x

UCBSA 9,640 1,061,429 1,523,178

x

x

x

8,755,757 9,272,596

x

x

Bermuda-0.3%

x

AxisCapitalHoldingsLtd. 40,859 2,363,679 2,257,162

x

x

x

2,363,679 2,257,162

x

x

Canada -1.8%

x

AlimentationCouche-TardInc.,

Class 'B' 10,982 212,992 467,504

x

CanadianNaturalResourcesLtd. 32,558 749,604 766,741

x

CanadianPacificRailwayLtd. 6,947 1,360,636 2,398,938

x

ManulifeFinancialCorp. 62,954 1,650,069 1,162,760

x

NutrienLtd. 45,160 2,463,404 1,969,879

x

PowerCorp.ofCanada 8,000 266,556 191,040

x

Shopify Inc.,Class 'A' 3,185 485,170 4,107,918

x

Stantec Inc. 15,400 637,642 645,414

x

SunLifeFinancial Inc. 20,700 1,199,825 1,032,723

x

x

x

9,025,898 12,742,917

x

x

Chile -0.0%

x

AntofagastaPLC 2,086 31,989 32,791

x

x

x

31,989 32,791

x

x

China -2.0%

x

AlibabaGroupHoldingLtd.,ADR 4,377 552,523 1,285,890

x

BaiduInc.,ADR 39,452 6,960,107 6,442,124

x

BeiGeneLtd.,ADR 256 58,699 65,690

x

BeijingCapital InternationalAirport

Co.Ltd.,Class 'H' 690,000 698,387 588,155

x

ChinaCommunicationsServices

Corp.Ltd.,Class 'H' 272,416 274,691 232,521

x

ChinaLessoGroupHoldingsLtd. 112,000 150,013 200,228

x

ChinaRailwayGroupLtd.,Class 'H' 238,000 190,258 167,327

x

CountryGardenServicesHoldings

Co.Ltd. 84,952 394,845 540,154

x

IndustrialandCommercialBankof

China,Class 'H' 1,150,000 1,093,184 946,941

x

ShuiOnLandLtd. 447,500 105,869 102,767

x

TencentHoldingsLtd. 30,012 967,026 2,619,288

x

VipshopHoldingsLtd.,ADR 40,374 545,550 1,094,839

x

WestChinaCementLtd. 822,000 209,500 205,219

x

ZoomlionHeavy IndustryScience

andTechnologyCo.Ltd. 190,800 175,460 201,204

x

x

x

12,376,112 14,692,347

x

x

Denmark -2.2%

x

CarlsbergAS,Series 'B' 9,465 1,620,849 1,708,607

x

ColoplastAS,Class 'B' 4,217 822,741 894,771

x

DemantAS 12,792 443,986 461,481

x

DSVPanalpinaAS 14,680 1,854,971 2,454,705

x

GenmabAS,Bearer 1,797 594,558 824,856

x

H.LundbeckAS 24,458 1,402,397 1,258,012

x

NovoNordiskAS,Series 'B' 49,214 4,206,767 4,364,548

x

NovozymesAS,Class 'B' 5,434 397,803 428,863

x

OrstedAS 4,594 413,096 722,866




Numberof


x

PandoraAS 4,365 328,140 324,521

x

Rockwool InternationalAS,Class

'B' 1,711 584,138 633,894

x

ScandinavianTobaccoGroupAS 85,730 1,687,391 1,723,322

x

TrygAS 817 31,217 32,314

x

x

x

14,388,054 15,832,760

x

x

Finland-0.5%

x

ElisaOYJ 3,745 227,162 310,288

x

FortumOYJ 11,467 352,439 297,871

x

KoneOYJ,Class 'B' 1,292 114,909 121,328

x

MetsoOYJ 2,588 129,568 115,803

x

NesteOilOYJ 1,582 25,888 84,601

x

NokiaOYJ 153,328 695,046 912,287

x

OrionOYJ,Class 'B' 20,298 1,035,858 1,340,252

x

UPM-KymmeneCorp.OYJ 7,026 234,204 277,089

x

WartsilaOYJAbp 18,751 184,414 211,781

x

x

x

2,999,488 3,671,300

x

x

France -8.3%

x

AirFrance-KLM 115,976 1,473,789 717,241

x

AirLiquideSA 4,924 712,215 969,368

x

AirbusSE 15,763 1,351,327 1,537,871

x

AlstomSA 2,438 157,869 154,693

x

AmundiSA 1,487 149,562 159,166

x

Arkema 3,326 297,293 435,307

x

BioMerieux 196 34,716 36,650

x

BNPParibasSA 81,938 5,048,883 4,457,461

x

BolloreSA 354,272 1,712,406 1,522,050

x

BouyguesSA 665 32,009 31,016

x

CapgeminiSE 4,752 714,841 746,672

x

CarrefourSA 157,866 3,504,338 3,333,403

x

CasinoGuichardPerrachonSA 632 30,344 31,881

x

Covivio 1,068 145,811 105,476

x

CreditAgricoleSA 145,760 1,884,329 1,884,546

x

CriteoSA,ADR 7,572 217,355 117,466

x

Danone 18,824 1,978,198 1,779,081

x

Edenred 5,430 310,142 324,259

x

EiffageSA 2,198 322,753 274,335

x

Engie 150,651 2,726,718 2,543,919

x

EssilorLuxottica 7,079 1,166,704 1,239,605

x

GecinaSA 1,190 274,151 200,116

x

HermesInternational 791 495,570 904,263

x

ICADE 761 101,199 72,353

x

IliadSA 124 31,000 32,958

x

IngenicoGroup 1,474 208,848 322,467

x

IpsenSA 4,168 509,206 481,423

x

Ipsos 3,271 102,610 112,278

x

Kering 600 286,570 446,640

x

LaFrancaisedesJeuxSAEM 5,307 182,968 223,339

x

LegrandSA 2,286 231,731 236,500

x

L'OréalSA 1,900 506,148 834,944

x

LVMHMoëtHennessy-Louis

VuittonSA 4,292 1,114,424 2,580,047

x

Pernod-RicardSA 13,080 2,333,473 2,804,384

Numberof


x

PeugeotSA 61,074 1,282,517 1,363,701

x

PublicisGroupe 50,739 3,521,959 2,244,228

x

RémyCointreauSA 224 35,074 41,609

x

RenaultSA 15,035 372,353 523,935

x

RexelSA 45,617 689,850 711,863

x

SafranSA 5,803 676,921 794,795

x

Sanofi 65,022 7,833,810 9,028,947

x

SartoriusStedimBiotech 3,670 881,092 1,266,923

x

SchneiderElectricSE 12,128 1,321,735 1,836,873

x

SEBSA 255 43,557 57,594

x

SuezSA 8,391 167,519 134,285

x

Teleperformance 7,065 2,243,655 2,449,922

x

ThalesSA 19,377 2,152,729 2,135,341

x

TOTALSA 58,789 3,990,621 3,086,435

x

UbiSoftEntertainmentSA 11,655 1,355,046 1,314,133

x

ValeoSA 1,248 44,537 44,818

x

VeoliaEnvironnementSA 8,474 292,985 260,541

x

VinciSA 4,345 456,582 548,555

x

VivendiSA 18,876 699,197 664,109

x

x

x

58,411,239 60,161,785

x

x

Germany -10.6%

x

AdidasAG 1,868 576,892 670,578

x

AllianzAG,Registered 25,667 6,391,762 7,141,272

x

BASFSE 61,123 6,548,128 4,674,614

x

BayerAG,Registered 70,752 7,457,616 7,140,635

x

BeiersdorfAG 3,557 514,367 550,732

x

BrenntagAG 16,162 862,631 1,166,749

x

CarlZeissMeditecAG 275 44,504 36,459

x

CECONOMYAG 38,166 130,838 181,315

x

ContinentalAG 3,556 377,817 476,000

x

CTSEventimAG&CoKGaA 15,089 771,599 857,870

x

DeliveryHeroSE 1,454 155,793 203,452

x

DeutscheBoerseAG 5,858 725,968 1,443,491

x

DeutschePostAG,Registered 129,694 5,316,971 6,484,298

x

FreseniusMedicalCareAG 29,136 2,522,260 3,412,880

x

FUCHSPETROLUBSE,Preferred 539 28,245 29,498

x

GerresheimerAG 17,053 1,744,141 2,145,791

x

HannoverRueckversicherungsSE 1,482 286,134 348,734

x

HelloFreshSE 12,658 693,643 921,976

x

HenkelAG&Co.KGaA,Preferred 15,820 2,013,969 2,009,559

x

InfineonTechnologiesAG 121,331 3,207,811 3,871,029

x

KIONGroupAG 18,985 1,565,417 1,591,552

x

Knorr-BremseAG 225 30,508 31,091

x

LanxessAG 1,091 96,699 78,555

x

MTUAeroEnginesHoldingAG 1,215 360,773 288,017

x

Muenchener

Rueckversicherungs-Gesellscha

ftAG,Registered 3,549 1,295,337 1,258,289

x

PumaSE 1,878 177,878 198,260

x

RheinmetallAG 4,614 420,762 545,916

x

RWEAG 19,305 712,030 920,169

x

SAPAG 37,140 3,966,470 7,069,005

x

SAPSE,ADR 10,821 1,193,407 2,063,348




Numberof


x

SartoriusAG 498 127,337 223,794

x

Scout24AG 11,653 721,715 1,227,551

x

SiemensAG,Registered 63,996 8,685,090 10,276,507

x

TelefonicaDeutschlandHolding

AG 6,891 27,671 27,671

x

UniperSE 5,362 205,987 235,589

x

UnitedInternetAG,Registered 681 38,829 39,395

x

VolkswagenAG,Preferred 36,712 8,240,903 7,597,905

x

x

x

68,237,902 77,439,546

x

x

HongKong -1.5%

x

AeonCreditService (Asia)Co.Ltd. 90,000 90,713 86,529

x

AIAGroupLtd. 246,100 2,248,016 3,136,579

x

ASMPacificTechnologyLtd. 7,100 114,160 102,195

x

ChaodaModernAgriculture

HoldingsLtd. 900,000 459,705 6,033

x

ChinaMerchantsChinaDirect

InvestmentsLtd. 31,025 73,442 48,322

x

ChinaStarchHoldingsLtd. 1,445,000 74,754 31,102

x

CITICLtd. 168,000 250,575 216,069

x

CKAssetHoldingsLtd. 42,500 325,672 347,127

x

GalaxyEntertainmentGroupLtd. 62,000 559,890 579,269

x

HangLungPropertiesLtd. 9,000 27,024 29,141

x

HendersonLandDevelopmentCo.

Ltd. 6,000 30,432 31,166

x

HKElectric Investments&HK

Electric InvestmentsLtd. 74,500 89,090 105,396

x

HKTTrustandHKTLtd. 99,000 170,126 197,872

x

HongKong&ChinaGasCo.Ltd. 120,980 275,181 256,089

x

HongkongLandHoldingsLtd. 50,500 284,258 286,096

x

KingboardHoldingsLtd. 35,500 122,910 126,207

x

MTRCorp.Ltd. 5,000 33,902 35,417

x

NineDragonsPaperHoldingsLtd. 260,000 387,400 323,774

x

OrientalWatchHoldingsLtd. 158,000 60,240 55,133

x

PowerAssetsHoldingsLtd. 41,000 366,636 305,126

x

SJMHoldingsLtd. 1,177,643 1,807,135 1,798,257

x

SwirePacificLtd.,Class 'A' 43,500 395,017 314,887

x

Techtronic IndustriesCo.Ltd. 180,900 1,249,073 2,437,894

x

WingTaiPropertiesLtd. 64,000 55,821 44,047

x

x

x

9,551,172 10,899,727

x

x

India -0.3%

x

HDFCBankLtd.,ADR 23,292 1,015,821 1,442,159

x

InfosysTechnologiesLtd.,ADR 78,758 984,556 1,036,213

x

x

x

2,000,377 2,478,372

x

x

Indonesia -0.0%

x

PTBankMandiri (Persero)TBK 442,100 200,877 209,081

x

x

x

200,877 209,081

x

x

Ireland-3.0%

x

AccenturePLC,Class 'A' 8,699 1,310,548 2,544,011

x

AonPLC 6,261 618,382 1,642,393

x

CRHPLC 48,314 2,136,862 2,253,235

x

DCCPLC 19,065 1,823,475 2,160,623

x

ExperianPLC 65,946 1,738,284 3,143,620

Numberof


x

ICONPLC 13,110 914,870 3,007,991

x

JamesHardie IndustriesSE,ADR 8,777 229,007 229,808

x

KerryGroupPLC,Class 'A' 10,139 1,408,542 1,714,961

x

KeywordsStudiosPLC 9,376 243,175 285,766

x

KingspanGroupPLC 1,554 123,601 136,594

x

RyanairHoldingsPLC,ADR 28,364 2,469,091 2,562,831

x

SmurfitKappaGroupPLC 14,788 664,425 676,651

x

STERISPLC 7,298 1,568,997 1,525,175

x

x

x

15,249,259 21,883,659

x

x

IsleofMan-0.0%

x

GVCHoldingsPLC 2,602 39,188 32,391

x

x

x

39,188 32,391

x

x

Israel -1.5%

x

AzrieliGroupLtd. 862 87,067 53,556

x

BankHapoalimLtd. 64,133 545,271 522,640

x

BankLeumiLe Israel 260,595 1,519,768 1,786,107

x

CheckPointSoftwareTechnologies

Ltd. 28,237 3,388,805 4,131,628

x

ElbitSystemsLtd. 567 120,709 106,217

x

ICLGroupLtd. 14,725 65,572 59,791

x

IsracardLtd. 1 5 4

x

IsraelDiscountBank,Class 'A' 14,101 84,215 58,627

x

MizrahiTefahotBankLtd. 8,181 244,868 209,551

x

NICELtd. 3,576 539,988 918,898

x

NICELtd.,ADR 6,792 1,028,042 1,750,603

x

Wix.comLtd. 3,801 943,061 1,326,441

x

x

x

8,567,371 10,924,063

x

x

Italy -2.2%

x

A2ASPA 153,647 284,275 297,367

x

AssicurazioniGeneraliSPA 77,298 1,774,864 1,598,732

x

BancaMediolanumSpA 34,987 289,616 342,832

x

EnelSPA 120,390 1,291,087 1,417,654

x

ERGSPA 6,687 204,759 196,742

x

FerrariNV 7,097 1,294,917 1,655,245

x

HeraSPA 106,135 473,118 542,602

x

IntesaSanpaoloSPA 377,487 818,818 987,705

x

Leonardo-FinmeccanicaSPA 40,406 388,621 366,755

x

MediobancaSPA 15,254 227,894 149,983

x

NexiSPA 50,065 679,696 1,182,058

x

Poste ItalianeSPA 10,934 130,224 130,046

x

PrysmianSPA 1,026 28,523 32,408

x

RecordatiSPA 25,294 1,022,548 1,723,317

x

SnamSPA 2,988 20,160 19,834

x

TelecomItaliaSPA 60,232 31,717 32,340

x

TelecomItaliaSPA,RSP 61,047 33,327 32,350

x

TernaSPA 10,155 89,139 95,371

x

UniCreditSPA 389,877 6,357,143 4,899,304

x

x

x

15,440,446 15,702,645

x

x




Numberof


Japan-15.6%

x

AdvantestCorp. 4,900 320,604 381,195

x

AirWater Inc. 1,600 32,116 30,816

x

AlfresaHoldingsCorp. 1,000 28,464 28,573

x

AmadaCo.Ltd. 1,800 26,524 20,090

x

AsahiGroupHoldingsLtd. 4,800 287,501 229,807

x

ASAHIINTECCCO.LTD. 800 30,528 31,124

x

AstellasPharmaInc. 15,800 363,042 359,668

x

BridgestoneCorp. 30,500 1,591,201 1,341,873

x

Brother IndustriesLtd. 1,600 41,154 39,405

x

Calbee Inc. 700 27,329 26,374

x

CanonMarketingJapanInc. 21,000 499,247 585,358

x

CapcomCo.Ltd. 26,900 932,366 1,342,197

x

CasioComputerCo.Ltd. 4,600 95,119 109,391

x

ChugaiPharmaceuticalCo.Ltd. 5,400 249,194 394,104

x

ChugokuElectricPowerCo. Inc.

(The) 1,800 33,522 32,712

x

CONEXIOCorp. 4,900 82,804 88,421

x

DaiNipponPrintingCo.Ltd. 68,400 1,678,589 2,143,588

x

Dai-ichiLifeHoldings Inc. 35,700 593,671 582,508

x

DaiichiSankyoCo.Ltd. 3,500 166,058 390,226

x

DaikinIndustriesLtd. 6,000 693,666 1,323,333

x

DaitoTrustConstructionCo.Ltd. 11,000 1,507,531 1,381,914

x

DaiwaHouse IndustryCo.Ltd. 40,300 1,044,253 1,297,270

x

DaiwaHouseREITInvestment

Corp. 45 165,843 144,311

x

DiscoCorp. 700 203,431 232,717

x

DMGMoriSeikiCo.Ltd. 23,300 314,561 388,091

x

EastJapanRailwayCo. 17,100 1,794,213 1,615,247

x

EisaiCo.Ltd. 6,000 562,001 649,798

x

FANUCCorp. 14,600 3,456,885 3,567,794

x

FastRetailingCo.Ltd. 100 70,420 78,349

x

FujifilmHoldingsCorp. 28,400 1,132,134 1,656,986

x

FujitsuLtd. 16,300 1,259,928 2,601,489

x

GLORYLTD. 9,700 306,779 301,609

x

HakuhodoDYHoldings Inc. 10,500 219,167 170,824

x

HasekoCorp. 74,200 1,271,462 1,277,081

x

HikariTsushinInc. 200 47,701 62,336

x

HiroseElectricCo.Ltd. 600 98,267 89,810

x

HitachiLtd. 57,300 2,678,539 2,482,640

x

HitachiMetalsLtd. 5,300 105,724 86,593

x

HOSHIZAKIELECTRICCO.LTD. 1,400 169,342 163,569

x

HoyaCorp. 12,400 1,121,507 1,618,604

x

HulicCo.Ltd. 7,900 123,040 101,668

x

HurxleyCorp. 4,400 62,083 58,071

x

IdemitsuKosanCo.Ltd. 1,900 59,957 55,275

x

ITOCHUCorp. 26,500 565,443 781,625

x

ITOCHUTechno-SolutionsCorp. 1,600 60,837 82,021

x

JapanAirlinesCo.Ltd. 42,400 1,199,551 1,042,977

x

JapanPostBankCo.Ltd. 2,800 32,505 28,386

x

JapanPostHoldingsCo.Ltd. 31,700 485,550 308,386

x

JapanPrimeRealty Investment

Corp. 6 30,337 23,994

Numberof


x

JapanRealEstate Investment

Corp. 7 50,397 48,970

x

JFEHoldings Inc. 2,700 30,219 26,608

x

Kakaku.comInc. 1,200 38,941 41,670

x

KansaiPaintCo.Ltd. 3,900 103,506 112,341

x

KaoCorp. 6,800 461,324 735,594

x

KDDICorp. 47,100 1,854,430 1,915,656

x

KeihanHoldingsCo.Ltd. 1,300 73,982 79,140

x

KeikyuCorp. 1,800 42,438 37,546

x

KeiseiElectricRailwayCo.Ltd. 400 20,852 17,089

x

KeyenceCorp. 3,600 599,732 2,056,457

x

KintetsuGroupHoldingsCo.Ltd. 2,700 195,283 165,141

x

KobayashiPharmaceuticalCo.Ltd. 500 61,678 59,927

x

KokuyoCo.Ltd. 18,700 333,653 309,065

x

KomatsuLtd. 86,400 2,570,805 2,412,094

x

KonamiHoldingsCorp. 20,100 856,574 914,275

x

KOSECorp. 100 18,619 16,500

x

KurarayCo.Ltd. 1,900 29,972 27,103

x

KuritaWater IndustriesLtd. 800 29,701 30,336

x

KyowaKirinCo.Ltd. 1,300 41,011 46,649

x

KyushuElectricPowerCo. Inc. 3,300 37,821 37,701

x

LawsonInc. 500 38,369 34,283

x

LINECorp. 600 40,003 41,163

x

LionCorp. 1,300 38,899 42,621

x

LixilGroupCorp. 6,500 159,644 124,438

x

M3Inc. 9,600 346,095 555,913

x

MabuchiMotorCo.Ltd. 51,700 2,179,295 2,248,943

x

MarubeniCorp. 4,000 37,917 24,768

x

MaruiGroupCo.Ltd. 4,900 139,114 120,825

x

MeitecCorp. 1,800 104,990 118,710

x

MinebeaMitsumiInc. 7,400 179,510 183,866

x

MitsubishiElectricCorp. 33,100 580,472 589,322

x

MitsubishiMaterialsCorp. 1,000 31,167 28,783

x

Mitsui&Co.Ltd. 6,800 145,499 137,340

x

MitsuiChemicals Inc. 900 27,895 25,660

x

mixi Inc. 16,700 735,635 402,634

x

MS&ADInsuranceGroupHoldings

Inc. 84,300 2,406,114 3,164,538

x

MurataManufacturingCo.Ltd. 25,700 1,831,089 2,065,119

x

NagoyaRailroadLtd. 1,900 78,516 72,999

x

NexonCo.Ltd. 41,900 1,290,021 1,288,320

x

NGKInsulatorsLtd. 1,700 39,178 32,108

x

NHFoodsLtd. 900 49,886 49,368

x

NihonM&ACenter Inc. 4,127 155,864 255,844

x

NihonUnisysLtd. 23,500 840,104 1,007,179

x

NikonCorp. 29,700 570,995 340,007

x

NintendoCo.Ltd. 4,300 2,422,679 2,620,488

x

NipponBuildingFundInc. 11 87,092 85,396

x

NipponPaintHoldingsCo.Ltd. 3,600 260,480 357,922

x

NipponPrologisREITInc. 45 152,127 186,393

x

NipponShinyakuCo.Ltd. 400 45,956 44,505

x

NipponTelegraph&Telephone

Corp. 62,100 1,623,665 1,972,316




Numberof


x

NipponTelegraphandTelephone

Corp.,ADR 111,616 2,150,206 3,532,968

x

NitoriHoldingsCo.Ltd. 400 83,432 106,908

x

NJSCo.Ltd. 3,700 70,335 81,565

x

NomuraRealEstateHoldings Inc. 800 23,600 20,302

x

NomuraRealEstateMasterFund

Inc. 100 227,531 163,263

x

NomuraResearchInstituteLtd. 7,500 217,309 279,232

x

NTTDOCOMOINC. 53,900 1,942,124 1,950,564

x

ObicCo.Ltd. 1,000 117,950 240,238

x

OdakyuElectricRailwayCo.Ltd. 800 26,348 26,781

x

OjiHoldingsCorp. 4,700 31,315 29,890

x

OmronCorp. 2,900 227,781 264,771

x

OracleCorp.Japan 400 48,642 64,674

x

OrientalLandCo.Ltd. 3,100 425,546 558,413

x

ORIXJREITInc. 17 47,018 30,546

x

OsakaGasCo.Ltd. 1,100 30,046 29,640

x

OTSUKACORP. 21,100 1,214,440 1,519,094

x

PanPacific InternationalHoldings

Corp. 1,200 33,165 36,014

x

PanasonicCorp. 132,200 1,523,181 1,580,241

x

PersolHoldingsCo.Ltd. 17,200 237,376 323,246

x

PigeonCorp. 600 32,154 31,656

x

RecruitHoldingsCo.Ltd. 11,400 372,593 534,415

x

RinnaiCorp. 200 22,823 22,831

x

RohmCo.Ltd. 26,800 1,641,098 2,429,067

x

SankyoCo.Ltd. 9,600 341,850 316,755

x

SantenPharmaceuticalCo.Ltd. 1,500 36,655 37,642

x

SanwaShutterCorp. 110,400 1,576,460 1,352,394

x

SCSKCorp. 7,000 469,035 466,838

x

SECOMCo.Ltd. 5,800 687,422 693,710

x

SeikoCorp. 5,000 112,635 108,671

x

SekisuiHouseLtd. 129,100 2,880,404 3,359,856

x

Seven&IHoldingsCo.Ltd. 51,900 2,080,903 2,314,376

x

SGHoldingsCo.Ltd. 1,400 60,196 62,278

x

ShimadzuCorp. 1,600 61,594 58,227

x

Shin-EtsuChemicalsCo.Ltd. 11,600 1,735,621 1,855,765

x

ShinseiBankLtd. 5,100 102,256 84,086

x

Shionogi&Co. 12,400 842,036 1,060,375

x

ShizuokaBankLtd. (The) 3,200 29,348 28,061

x

SMCCorp. 400 237,150 280,218

x

SoftBankCorp. 9,900 172,218 172,011

x

SompoHoldings Inc. 19,600 933,206 919,759

x

SonyCorp.,ADR 10,765 880,901 1,013,579

x

SonyFinancialHoldings Inc. 4,500 118,733 148,108

x

SUMCOCorp. 6,500 117,837 136,221

x

SumitomoCorp. 20,700 366,910 324,535

x

SumitomoMitsuiFinancialGroup

Inc. 70,500 3,181,027 2,712,146

x

SumitomoMitsuiTrustHoldings

Inc. 48,462 1,974,193 1,861,604

x

SUNDRUGCO.LTD. 1,500 67,331 67,671

x

SuzukiMotorCorp. 31,850 1,682,395 1,482,484

x

T&DHoldings Inc. 20,400 235,141 238,849

Numberof


x

TaiyoNipponSansoCorp. 1,500 39,757 34,193

x

TakedaPharmaceuticalCo.Ltd. 119,000 6,848,543 5,827,991

x

TeijinLtd. 2,500 63,808 54,258

x

TerumoCorp. 16,700 654,443 866,475

x

THKCo.Ltd. 1,700 61,143 57,696

x

TISInc. 36,100 514,469 1,041,888

x

TobuRailwayCo. 3,500 166,358 157,630

x

TOHOGASCo.Ltd. 500 33,627 34,067

x

TohokuElectricPowerCo. Inc. 2,200 30,560 28,488

x

TokioMarineHoldings Inc. 18,000 1,083,577 1,074,035

x

TokyoElectricPowerCo.Holdings

Inc. 154,100 907,262 646,182

x

TokyoElectronLtd. 6,200 1,714,473 2,085,341

x

TokyoGasCo.Ltd. 1,000 32,286 32,640

x

TokyuFudosanHoldingsCorp. 5,700 49,470 36,553

x

TomyCo.Ltd. 16,200 183,930 174,587

x

ToppanPrintingCo.Ltd. 21,800 530,675 496,826

x

ToshibaCorp. 20,700 702,137 905,192

x

ToyoSuisanKaishaLtd. 400 28,120 30,466

x

Toyota IndustriesCorp. 2,200 169,303 159,400

x

ToyotaMotorCorp. 16,900 1,057,770 1,448,661

x

ToyotaMotorCorp.,ADR 15,307 1,901,780 2,619,151

x

TsuruhaHoldings Inc. 900 148,817 169,440

x

UniversalEntertainmentCorp. 44,028 1,384,671 1,171,729

x

WelciaHoldingsCo.Ltd. 1,000 90,567 110,124

x

YakultHonshaCo.Ltd. 500 41,125 40,099

x

YamadaDenkiCo.Ltd. 4,300 27,799 29,075

x

YamazakiBakingCo.Ltd. 2,100 50,707 49,171

x

YASKAWAElectricCorp. 4,200 200,354 199,024

x

ZHoldingsCorp. 8,700 42,940 58,202

x

x

x

102,500,839 113,792,953

x

x

Luxembourg -0.2%

x

ArcelorMittalSA 43,582 646,426 628,523

x

EurofinsScientificSE 112 76,324 96,185

x

SESSA 2,892 31,258 26,548

x

TenarisSA 117,895 1,946,679 1,043,178

x

x

x

2,700,687 1,794,434

x

x

Malaysia -0.0%

x

Magni-TechIndustriesBHD 124,500 75,501 83,596

x

x

x

75,501 83,596

x

x

Mexico -0.5%

x

ArcaContinentalSABdeCV 275,687 1,897,297 1,639,612

x

BecleSABdeCV 188,265 384,120 490,263

x

GrupoFinancieroBanorteSABde

CV 156,800 990,582 735,039

x

Wal-MartdeMexicoSABdeCV,

Series 'V' 324,261 929,613 1,050,640

x

x

x

4,201,612 3,915,554

x

x




Numberof


Netherlands -5.5%

x

Aalberts IndustriesNV 4,432 150,372 197,876

x

AegonNV 111,035 364,316 446,891

x

AerCapHoldingsNV 10,706 606,246 449,112

x

AkzoNobelNV 44,690 4,411,832 5,466,697

x

AlticeEuropeNV 17,225 153,475 90,706

x

ArcadisNV 4,046 87,980 99,859

x

ASMLHoldingNV 5,655 807,228 2,816,656

x

ASMLHoldingNV,Registered 4,535 1,136,683 2,273,200

x

ASRNederlandNV 28,118 1,471,896 1,177,922

x

EXORNV 12,703 646,117 992,749

x

HeinekenHoldingNV 5,046 564,795 561,941

x

HeinekenNV 12,830 1,565,195 1,610,780

x

INGGroepNV 677,772 7,643,057 6,433,020

x

KoninklijkeAholdDelhaizeNV 71,892 2,180,267 2,667,803

x

KoninklijkeDSMNV 12,717 1,690,844 2,403,656

x

KoninklijkePhilipsNV 58,139 3,257,901 3,698,223

x

KoninklijkeVopakNV 423 30,744 30,486

x

NNGroupNV 15,029 600,890 687,720

x

NXPSemiconductorsNV 7,220 859,531 1,121,428

x

PostNLNV 109,082 219,240 320,304

x

QIAGENNV 12,573 446,040 737,985

x

RandstadNV 19,363 1,154,511 1,178,876

x

WoltersKluwerNV 40,824 2,557,475 4,344,754

x

x

x

32,606,635 39,808,644

x

x

NewZealand-0.3%

x

a2MilkCo.Ltd. 86,048 1,360,367 1,515,809

x

Fisher&PaykelHealthcareCorp.

Ltd. 19,926 356,145 623,699

x

MeridianEnergyLtd. 5,217 19,841 22,097

x

x

x

1,736,353 2,161,605

x

x

Norway -1.0%

x

AdevintaASA,Class 'B' 36,490 521,848 501,895

x

EquinorASA 77,661 1,460,476 1,520,314

x

GjensidigeForsikringASA 2,619 68,925 65,757

x

Kahoot!AS 633,907 1,762,226 2,870,561

x

KaleraAS 770,620 814,390 1,816,944

x

MowiASA 6,369 177,849 164,979

x

OrklaASA 2,568 30,726 30,639

x

VaccibodyAS 28,848 399,798 596,276

x

x

x

5,236,238 7,567,365

x

x

Portugal -0.1%

x

EnergiasdePortugalSA 35,790 200,057 232,605

x

JeronimoMartinsSGPSSA 21,326 504,379 508,145

x

x

x

704,436 740,750

x

x

Russia -0.1%

x

EvrazPLC 153,260 949,648 737,495

x

NovolipetskSteelPJSC,GDR 6,739 159,297 182,687

x

x

x

1,108,945 920,182

x

x

Numberof


Singapore -1.0%

x

CityDevelopmentsLtd. 248,600 2,146,919 2,067,018

x

DBSGroupHoldingsLtd. 72,900 1,665,923 1,492,444

x

Flextronics InternationalLtd. 135,838 1,719,433 1,896,366

x

MapletreeCommercialTrust 39,700 85,855 75,579

x

Oversea-ChineseBankingCorp.

Ltd. 136,782 1,146,607 1,212,984

x

PECLtd. 83,300 55,394 39,055

x

SingaporeExchangeLtd. 13,100 106,089 107,257

x

UOLGroupLtd. 11,800 90,643 78,937

x

VentureCorp.Ltd. 17,900 282,608 284,623

x

WilmarInternationalLtd. 24,700 95,287 99,400

x

x

x

7,394,758 7,353,663

x

x

SouthAfrica -0.1%

x

InvestecPLC 146,385 705,808 398,800

x

x

x

705,808 398,800

x

x

SouthKorea -2.3%

x

BNKFinancialGroupInc. 52,320 331,218 299,324

x

ChosunRefractoriesCo.Ltd. 550 53,094 44,813

x

HyundaiMotorCo.Ltd.,Preferred 17,605 2,012,663 1,110,069

x

KangwonLandInc. 49,424 1,464,001 1,213,127

x

KTCorp.,ADR 48,294 959,507 640,662

x

KUMHOPETROCHEMICALCo.

Ltd. 13,520 1,190,357 1,151,611

x

LGElectronics Inc. 5,366 473,322 387,319

x

NCsoftCorp. 264 178,295 267,493

x

SamsungElectronicsCo.Ltd. 67,795 2,595,369 4,087,531

x

SamsungElectronicsCo.Ltd.,

Preferred 50,666 1,175,895 2,688,123

x

SKTelecomCo.Ltd. 8,003 1,917,955 1,919,705

x

SKTelecomCo.Ltd.,ADR 104,483 2,747,948 2,749,349

x

YoungoneCorp. 1,145 46,811 50,329

x

x

x

15,146,435 16,609,455

x

x

Spain-1.5%

x

AenaSMESA 4,355 736,670 793,043

x

Amadeus ITGroupSA 34,064 2,729,016 2,435,088

x

BancoBilbaoVizcayaArgentaria

SA 332,219 2,143,613 1,557,396

x

BancoSantanderSA 532,539 1,881,544 1,773,910

x

CaixaBankSA 479,243 2,082,887 1,395,941

x

CellnexTelecomSAU 6,996 406,135 581,801

x

EndesaSA 18,143 551,737 612,790

x

FerrovialSA 11,538 446,184 419,925

x

GrifolsSA 2,495 109,552 103,300

x

UnicajaBancoSA 1,443,720 2,609,307 1,005,012

x

x

x

13,696,645 10,678,206

x

x

Sweden-1.9%

x

AssaAbloyAB,Class 'B' 56,310 1,517,750 1,570,000

x

AtlasCopcoAB,Class 'A' 33,636 1,592,264 1,951,259

x

AtlasCopcoAB,Class 'B' 2,320 99,009 117,433

x

AxfoodAB 5,334 155,313 158,852

x

BetssonAB 21,058 199,455 199,991




Numberof


x

CibusNordicRealEstateAB 14,799 299,493 302,045

x

EpirocAktiebolagAB,Class 'A' 14,678 217,365 250,542

x

EpirocAktiebolagAB,Class 'B' 8,143 109,516 136,230

x

EssityAB,Class 'B' 13,360 571,559 590,048

x

FastighetsABBalder,Class 'B' 1,735 87,933 90,429

x

GetingeAB,Series 'B' 15,655 384,395 397,390

x

Hennes&MauritzAB,Series 'B' 24,366 485,861 484,481

x

ICAGruppenAB 15,977 799,211 1,034,556

x

IndustrivardenAB,Series 'C' 1,351 43,229 41,949

x

InvestorAB,Series 'B' 3,046 219,829 220,114

x

LELundbergforetagenAB,Series

'B' 1,835 102,293 113,945

x

NCCAB,Series 'B' 20,920 477,110 463,262

x

SandvikAB 25,846 625,466 662,819

x

SkanskaAB,Series 'B' 7,773 215,719 216,169

x

SKFAB,Series 'B' 23,558 582,046 599,900

x

SwedbankAB,Series 'A' 25,912 544,357 453,258

x

SwedishMatchAB 24,528 1,668,978 2,357,454

x

Tele2AB,Class 'B' 2,947 56,071 53,440

x

TelefonaktiebolagetLMEricsson,

Series 'B' 61,991 703,870 782,775

x

VolvoAB,Series 'B' 41,476 707,843 889,017

x

x

x

12,465,935 14,137,358

x

x

Switzerland-9.8%

x

ABBLtd.,Registered 142,321 4,130,053 4,396,424

x

AdeccoSA,Registered 46,918 3,421,377 3,011,756

x

AlconInc. 24,083 1,849,211 1,884,524

x

BaloiseHoldingAG,Registered 1,295 262,917 265,688

x

BarryCallebautAG 79 189,098 205,365

x

ChocoladefabrikenLindt&Sprüngli

AG 28 255,361 314,945

x

ChocoladefabrikenLindt&Sprüngli

AG,Registered 2 217,921 234,939

x

Coca-ColaHBCAG 63,040 2,399,608 2,143,283

x

CompagnieFinanciereRichemont

SA,Registered 46,506 4,112,474 4,085,095

x

CreditSuisseGroupAG,Registered 82,461 928,511 1,168,467

x

dormakabaHoldingAG 420 329,491 312,362

x

Ems-ChemieHoldingAG,

Registered 29 28,921 30,683

x

FerrexpoPLC 62,553 238,905 182,453

x

ForboHoldingAG,Registered 40 72,083 79,080

x

GeberitAG,Registered 225 153,523 153,741

x

GivaudanSA,Registered 96 332,894 488,696

x

JuliusBaerGroupLtd. 20,654 1,166,565 1,181,299

x

Kuehne+Nagel InternationalAG,

Registered 445 87,758 100,945

x

LogitechInternationalSA,

Registered 3,470 269,057 309,668

x

LonzaGroupAG,Registered 2,233 807,993 1,610,824

x

NestléSA,Registered 33,835 4,406,160 5,108,742

x

NovartisAG,Registered 88,791 9,501,477 10,534,730

x

PartnersGroupHoldingAG 1,444 450,878 1,790,896

x

RocheHoldingAGGenusscheine 23,787 7,402,009 11,223,051

Numberof


x

SchindlerHoldingAG 2,547 802,557 820,886

x

SchindlerHoldingAG,Registered 101 31,864 32,609

x

SGSSA,Registered 352 673,374 1,174,295

x

SIGCombiblocGroupAG 65,710 995,182 1,456,113

x

SikaAG,Registered 9,198 1,433,192 2,414,736

x

SonovaHoldingAG,Registered 8,992 1,792,638 2,451,309

x

STMicroelectronicsNV 15,319 543,309 568,553

x

StraumannAG,Registered 144 136,567 169,532

x

SwatchGroupAG(The) 4,970 1,350,173 1,358,503

x

SwissLifeHoldingAG,Registered 3,448 1,164,136 1,746,881

x

SwissPrimeSiteAG,Registered 5,124 710,293 647,331

x

SwissReAG 7,695 834,082 812,522

x

SwisscomAG 355 241,733 253,526

x

TemenosGroupAG,Registered 3,680 674,359 778,927

x

UBSGroupAG 146,046 2,668,181 2,295,475

x

UBSGroupAG,Registered 162,912 2,641,490 2,562,307

x

ZurichInsuranceGroupAG 2,171 917,904 1,047,610

x

x

x

60,625,279 71,408,771

x

x

Taiwan-1.1%

x

ASEIndustrialHoldingCo.Ltd.,

ADR 111,627 637,315 690,243

x

ChipMOSTECHNOLOGIESINC.,

ADR 6,628 174,000 204,650

x

ChunghwaTelecomCo.Ltd.,ADR 14,980 764,344 803,257

x

HonHaiPrecisionIndustryCo.

Ltd.,GDR 15,766 115,443 125,728

x

MediaTek Inc. 99,000 1,242,255 2,665,832

x

SiliconMotionTechnologyCorp.,

ADR 3,667 227,567 243,579

x

TaiwanSemiconductor

ManufacturingCo.Ltd.,ADR 40,478 1,802,983 3,129,789

x

x

x

4,963,907 7,863,078

x

x

UnitedArabEmirates -0.0%

x

AbuDhabiIslamicBankPJSC 45,888 81,687 63,167

x

x

x

81,687 63,167

x

x

UnitedKingdom-13.1%

x

3iGroupPLC 23,706 280,780 331,526

x

AdmiralGroupPLC 2,344 90,335 90,281

x

AggrekoPLC 25,474 202,704 190,268

x

AngloAmericanPLC 33,575 842,366 1,051,226

x

AshteadGroupPLC 8,858 308,153 405,826

x

AssociatedBritishFoodsPLC 4,494 138,468 144,313

x

AstraZenecaPLC 12,187 948,186 1,722,619

x

AtlassianCorp.PLC 5,577 1,143,908 1,369,308

x

AvevaGroupPLC 1,665 140,266 114,656

x

AvivaPLC 548,712 3,321,121 2,525,881

x

B&MEuropeanValueRetailSA 192,623 1,166,790 1,287,758

x

BAESystemsPLC 19,020 193,356 154,462

x

BalfourBeattyPLC 306,761 1,363,121 1,341,314

x

BarclaysPLC 2,124,350 5,501,322 4,070,424

x

BarrattDevelopmentsPLC 172,508 2,049,115 1,439,992

x

BPPLC 319,547 2,092,439 1,662,649

x

BritishAmericanTobaccoPLC 64,433 4,021,889 3,356,249




Numberof


x

BTGroupPLC 236,427 635,618 454,122

x

BunzlPLC 68,542 1,790,064 2,496,976

x

Coca-ColaEuropeanPartnersPLC 20,422 1,128,694 1,050,285

x

CompassGroupPLC 93,759 1,834,373 1,751,989

x

ComputacenterPLC 8,997 209,600 247,655

x

Croda InternationalPLC 2,231 180,112 196,804

x

DartGroupPLC 8,847 85,921 124,845

x

DiageoPLC 18,099 1,000,334 817,014

x

DialogSemiconductorPLC 4,989 293,178 310,494

x

easyJetPLC 65,241 772,298 748,050

x

ElectrocomponentsPLC 136,644 1,394,332 1,544,865

x

FergusonPLC 24,485 2,370,758 2,719,095

x

FevertreeDrinksPLC 44,813 1,641,309 1,542,842

x

FiatChryslerAutomobilesNV 71,782 1,062,381 988,910

x

GlaxoSmithKlinePLC 89,033 2,347,726 2,442,555

x

HalmaPLC 8,725 308,460 337,606

x

HaysPLC 211,199 610,343 424,751

x

HowdenJoineryGroupPLC 53,469 502,122 497,163

x

HSBCHoldingsPLC 8,976 58,683 56,658

x

ImperialBrandsPLC 12,983 350,778 335,671

x

InchcapePLC 37,615 383,333 310,466

x

InterContinentalHotelsGroupPLC 553 43,119 33,156

x

InternationalConsolidatedAirlines

GroupSA 104,414 357,445 391,136

x

IntertekGroupPLC 3,575 302,366 327,016

x

JSainsburyPLC 159,467 539,851 560,501

x

JDSportsFashionPLC 1,962 28,360 20,509

x

JohnsonMattheyPLC 22,983 1,222,319 812,946

x

KingfisherPLC 576,939 2,747,645 2,155,752

x

Legal&GeneralGroupPLC 371,270 1,794,842 1,374,686

x

LindePLC 8,104 1,306,834 2,336,986

x

LondonStockExchangeGroup

PLC 19,752 1,671,150 2,789,800

x

M&GPLC 112,097 435,902 316,128

x

Melrose IndustriesPLC 106,567 407,348 204,009

x

MicroFocus InternationalPLC 55,648 1,769,047 403,215

x

NationalGridPLC 129,248 1,801,666 2,141,640

x

NinetyOnePLC 22,454 104,219 78,498

x

NomadFoodsLtd. 44,708 1,075,506 1,306,140

x

OcadoGroupPLC 755 27,956 25,769

x

PageGroupPLC 21,940 178,488 139,925

x

PearsonPLC 3,625 27,839 35,048

x

PrudentialPLC 239,857 6,130,594 4,908,610

x

QinetiqPLC 30,154 140,914 150,851

x

ReckittBenckiserGroupPLC 16,056 1,688,722 2,006,164

x

RELXPLC 156,626 3,962,269 4,923,614

x

Rentokil InitialPLC 126,955 851,307 1,090,268

x

RightmovePLC 113,521 1,024,990 1,042,178

x

RioTintoLtd. 1,500 119,893 139,567

x

RioTintoPLC,ADR 11,449 868,519 876,045

x

Rolls-RoyceHoldingsPLC 480,478 5,576,850 2,303,946

x

RoyalBankofScotlandGroupPLC 997,442 4,384,809 2,033,705

x

RoyalDutchShellPLC,ADR,Class

'B' 57,111 3,651,676 2,368,559

Numberof


x

RoyalMailPLC 89,371 270,252 273,567

x

RSAInsuranceGroupPLC 7,433 77,190 51,126

x

SageGroupPLC(The) 12,865 157,436 145,039

x

SchrodersPLC 2,902 158,242 143,851

x

SEGROPLC 28,496 254,347 428,042

x

SensataTechnologiesHoldingPLC 9,474 549,734 480,401

x

SevernTrentPLC 3,453 147,018 143,523

x

Smith&NephewPLC 114,161 3,286,127 2,889,110

x

SmithsGroupPLC 4,789 113,086 113,706

x

SpectrisPLC 19,819 743,787 840,695

x

Spirax-SarcoEngineeringPLC 1,395 212,636 233,247

x

St.James'sPlaceCapitalPLC 64,598 1,077,872 1,031,616

x

StandardLifeAberdeenPLC 50,146 266,221 225,683

x

Tate&LylePLC 32,177 391,083 361,267

x

TaylorWimpeyPLC 352,691 1,198,083 845,454

x

TescoPLC 655,651 2,621,490 2,504,605

x

UnileverNV 12,386 850,455 899,176

x

UnileverPLC 5,831 413,415 427,180

x

VodafoneGroupPLC 2,056,711 6,134,047 4,440,722

x

WHSmithPLC 32,958 539,933 609,406

x

WilliamMorrisonSupermarkets

PLC 22,388 70,893 71,629

x

x

x

106,540,528 95,112,980

x

x

UnitedStates -3.0%

x

AtlanticSapphireAS 292,661 3,506,983 5,226,372

x

Autoliv Inc. 1,312 112,045 115,276

x

AvitaTherapeutics Inc. 60,114 2,261,302 2,500,471

x

AxonicsModulationTechnologies

Inc. 30,784 1,144,369 1,472,085

x

BiohavenPharmaceuticalHolding

Co.Ltd. 8,269 472,629 823,392

x

InternationalFlavors&Fragrances

Inc. – 13 12

x

LululemonAthletica Inc. 8,457 2,273,300 3,593,867

x

MercadoLibre Inc. 2,220 1,915,329 2,980,614

x

Mettler-Toledo International Inc. 1,315 1,002,323 1,442,764

x

MicrosoftCorp. 918 110,864 254,452

x

OncoCyteCorp. 241,006 781,441 626,958

x

ResMedInc. 9,904 1,411,247 2,589,936

x

Samsonite InternationalSA 278,614 1,083,855 387,079

x

x

x

16,075,700 22,013,278

x

x

x

TotalEquities 637,182,062 700,092,752

x

x

x

Less:Transactioncost includedin

averagecost (1,067,501)

x

x

x

TotalNon-DerivativeFinancial

Assets -96.1% 636,114,561 700,092,752

x

x

x

DerivativeAssetsandLiabilities (1)

-0.0% 13,906

x

x

x

OtherAssetsandLiabilities,Net -

3.9% 28,685,021

x

x

x

NetAssetsAttributable toHolders

ofRedeemableUnits -100.0% 728,791,679

x

x




x

(1)DERIVATIVEASSETSANDLIABILITIES

SCHEDULE OF LONG FUTURES CONTRACTS

Number of

Contracts

Average

Cost per

Contract $

Contracted

Value $

Current

Value $

Unrealized

Appreciation

(Depreciation) $

x

x

x

UnrealizedAppreciation

x

MSCIEAFEIndexexpirationdateSeptember2020 80 USD 1,775.22 9,671,385 9,688,723 17,338

x

x

x

UnrealizedAppreciation(Depreciation)onLongFuturesContracts 17,338

x

x

SCHEDULE OF SPOT CURRENCY EXCHANGE CONTRACTS

Counterparty

Credit

Rating of

Counterparty

1

Settlement

Date

Amount

Sold $

Amount

Bought $

Forward

Rate

Current

Rate

Unrealized

Appreciation

(Depreciation) $

x

x

x

BrownBrothersHarriman&Co. A-1 2020-07-01 DKK 1,433,712 USD 216,124 6.634 6.636 98

x

x

x

98

x

x

x

CitibankN.A.,NewYork A-1 2020-07-02 GBP 20,826 USD 25,768 0.808 0.809 49

x

x

x

49

x

x

x

UBSAG,Zurich A-1 2020-07-01 USD 21,304 ILS 73,741 0.289 0.289 4

x

x

x

4

x

x

x

151

x

x

Counterparty

Credit

Rating of

Counterparty

1

Settlement

Date

Amount

Sold $

Amount

Bought $

Forward

Rate

Current

Rate

Unrealized

Appreciation

(Depreciation) $

x

x

x

BankofNewYorkMellon(The),NewYork A-1+ 2020-07-01 GBP 15,148 USD 18,615 0.814 0.809 (138)

x

BankofNewYorkMellon(The),NewYork A-1+ 2020-07-01 NOK 460,796 USD 47,459 9.709 9.647 (418)

x

BankofNewYorkMellon(The),NewYork A-1+ 2020-07-01 NOK 904,832 USD 93,192 9.709 9.647 (821)

x

BankofNewYorkMellon(The),NewYork A-1+ 2020-07-01 NOK 1,806,613 USD 186,069 9.709 9.647 (1,638)

x

x

x

(3,015)

x

x

x

CitibankN.A.,NewYork A-1 2020-07-02 CAD 135,084 USD 98,832 1.367 1.362 (475)

x

x

x

(475)

x

x

x

StateStreetTrustCo.,Boston A-1+ 2020-07-01 USD 33,044 EUR 29,403 1.124 1.123 (26)

x

x

x

(26)

x

x

x

UBSAG,Stamford A-1 2020-07-02 USD 96,297 EUR 85,694 1.124 1.123 (67)

x

x

x

(67)

x

x

x

(3,583)

x

x

x

1

CommercialPaper ratingperS&PGlobalRating'sCommercialPaperGuide.


Fund Specific Notes to Financial Statements


InvestmentObjective

Toachievecapitalappreciationthroughinvestmentprimarily inequitysecuritiesof issuers indevelopedcountriesother thantheUnitedStates.

CurrencyRisk

The tablebelowindicates thecurrencies towhichtheFundhadexposureJune30,2020andDecember31,2019,onbothits tradingmonetaryandnon-monetaryassetsandliabilities.The table

indicateshownetassetswouldhavedecreasedor increasedhadtheCanadiandollarstrengthenedorweakenedby5%inrelationtoall foreigncurrencies,withallothervariablesheldconstant. In

practice, theactual trading resultsmaydiffer fromthissensitivityanalysisandthedifferencecouldbematerial.

Currency riskexposed

holdings*

Forwardforeignexchange

contracts Net Exposure Asa%ofNetAssets ImpactonNetAssets

2020 2019 2020 2019 2020 2019 2020 2019 2020 2019

x

EuroCurrencyUnit

225,207,271

217,098,568

–

–

225,207,271

217,098,568

30.90%

28.25%

11,260,364

10,854,928

x

JapaneseYen

106,960,079

112,201,211

–

–

106,960,079

112,201,211

14.68%

14.60%

5,348,004

5,610,061

x

U.S.Dollar

104,742,564

113,456,945

–

–

104,742,564

113,456,945

14.37%

14.76%

5,237,128

5,672,847

x

BritishPound

96,212,843

115,437,090

–

–

96,212,843

115,437,090

13.20%

15.02%

4,810,642

5,771,855

x

SwissFranc

67,167,825

53,349,327

–

–

67,167,825

53,349,327

9.22%

6.94%

3,358,391

2,667,466

x

AustralianDollar

22,898,979

23,726,783

–

–

22,898,979

23,726,783

3.14%

3.09%

1,144,949

1,186,339

x

HongKongDollar

16,862,544

25,213,274

–

–

16,862,544

25,213,274

2.31%

3.28%

843,127

1,260,664

x

DanishKrone

15,992,874

17,169,264

–

–

15,992,874

17,169,264

2.19%

2.23%

799,644

858,463

x

SwedishKrona

14,160,195

8,802,629

–

–

14,160,195

8,802,629

1.94%

1.15%

708,010

440,131

x

SouthKoreanWon

13,370,369

15,800,555

–

–

13,370,369

15,800,555

1.83%

2.06%

668,518

790,028

x

NorwegianKrone

12,855,580

19,909,328

–

–

12,855,580

19,909,328

1.76%

2.59%

642,779

995,466

x

SingaporeDollar

5,459,312

8,598,870

–

–

5,459,312

8,598,870

0.75%

1.12%

272,966

429,944

x

MexicanPeso

3,918,640

5,625,474

–

–

3,918,640

5,625,474

0.54%

0.73%

195,932

281,274

x

IsraeliShekel

3,716,195

6,401,020

–

–

3,716,195

6,401,020

0.51%

0.83%

185,810

320,051

x

NewTaiwanDollar

2,667,477

1,900,856

–

–

2,667,477

1,900,856

0.37%

0.25%

133,374

95,043

x

NewZealandDollar

754,156

497,093

–

–

754,156

497,093

0.10%

0.06%

37,708

24,855

x

SouthAfricanRand

231,975

609,874

–

–

231,975

609,874

0.03%

0.08%

11,599

30,494

x

IndonesianRupiah

216,768

67,783

–

–

216,768

67,783

0.03%

0.01%

10,838

3,389

x

TurkishLira

105,011

318,920

–

–

105,011

318,920

0.01%

0.04%

5,251

15,946

x

ChinaRenminbi

91,438

–

–

–

91,438

–

0.01%

–%

4,572

–

x

MalaysianRinggit

90,060

67,047

–

–

90,060

67,047

0.01%

0.01%

4,503

3,352

x

UnitedArabEmiratesDirham

68,887

88,329

–

–

68,887

88,329

0.01%

0.01%

3,444

4,416

x

HungarianForint

57,569

428,179

–

–

57,569

428,179

0.01%

0.06%

2,878

21,409

x

PolishZloty

44,320

139,194

–

–

44,320

139,194

0.01%

0.02%

2,216

6,960

x

BrazilianReal

43,217

240,781

–

–

43,217

240,781

0.01%

0.03%

2,161

12,039

x

QatariRial

5,735

58,972

–

–

5,735

58,972

0.00%

0.01%

287

2,949

x

IndianRupee

3,900

3,928

–

–

3,900

3,928

0.00%

0.00%

195

196

x

PhilippinePeso

1,109

1,039

–

–

1,109

1,039

0.00%

0.00%

55

52

x

x

x

Total

713,906,892

747,212,333

–

–

713,906,892

747,212,333

97.94%

97.23%

35,695,345

37,360,617

*Amounts includemonetaryandnon-monetary items

InterestRateRisk

AsatJune30,2020andDecember31,2019,the interest rate risk isminimalgiventhat themajorityof theFunds financial instrumentsarenon-interestbearing.

OtherPriceRisk

AsatJune30,2020,a10%(December31,2019-10%)increaseordecrease inequitypriceswouldhave increasedordecreasedtheFund'sNetAssetsby$70,978,148(December31,2019

-$74,820,539). Inpractice, theactual resultsmaydiffer fromthissensitivityanalysisandthedifferencecouldbematerial.

CreditRisk

AsatJune30,2020andDecember31,2019,thecredit risk isminimalgiventhat theFundhadnosignificant investments indebt instruments.AsatJune30,2020,please refer to the

Scheduleof InvestmentPortfolio for thecredit ratingofcounterparties toderivativesheldby theFund.AsatJune30,2020,allcounterparties toderivativeshada ratingofA-1orhigher.




ConcentrationRisks

The following isasummaryof theFund'sconcentrationriskasatJune30,2020andDecember31,2019.

PortfoliobyCategory PercentageofNetAssets (%)

2020 2019

x

x

Australia 3.1 3.7

x

Austria 0.4 0.6

x

Belgium 1.3 1.2

x

Bermuda 0.3 0.4

x

Canada 1.8 3.2

x

Chile — —

x

China 2.0 1.6

x

Denmark 2.2 2.2

x

Finland 0.5 0.5

x

France 8.3 7.8

x

Germany 10.6 9.3

x

HongKong 1.5 2.0

x

Hungary — 0.1

x

India 0.3 0.3

x

Indonesia — —

x

Ireland 3.0 3.0

x

IsleofMan — —

x

Israel 1.5 1.7

x

Italy 2.2 1.9

x

Japan 15.6 15.7

x

Luxembourg 0.2 0.6

x

Malaysia — —

x

Mexico 0.5 0.7

x

Netherlands 5.5 5.4

x

NewZealand 0.3 0.1

x

Norway 1.0 2.6

x

Portugal 0.1 0.2

x

Russia 0.1 0.1

x

Singapore 1.0 1.4

x

SouthAfrica 0.1 0.1

x

SouthKorea 2.3 2.5

x

Spain 1.5 1.1

x

Sweden 1.9 1.0

x

Switzerland 9.8 7.7

x

Taiwan 1.1 0.7

x

UnitedArabEmirates — —

x

UnitedKingdom 13.1 15.3

x

UnitedStates 3.0 2.2

x

DerivativeAssetsandLiabilities — —

x

OtherAssetsandLiabilities,Net 3.9 3.1

x

x

x

100.0 100.0

x

x




Offsettingof financial instruments

Inthenormalcourseofbusiness, theFundmayenter intovariousmasternettingarrangementsorothersimilaragreements thatdonotmeet thecriteria foroffsetting intheStatementsof

FinancialPositionbutstillallowfor the relatedamounts tobesetoff incertaincircumstances,suchasbankruptcyor terminationof thecontracts.AsatJune30,2020andDecember31,2019,

theamountseligible foroffsettingwereminimal.

FairValueMeasurements

The following tablesummarizes the inputsusedasatJune30,2020andDecember31,2019, invaluing theFund's investmentsandderivativescarriedat fairvalues:

June30,2020

Quotedprices inactivemarkets

for identicalassets (Level1)

Significantotherobservable

inputs (Level2)

Significantunobservable inputs

(Level3) Total

x

x

Commonshares $ 690,485,288 $ – $ – $ 690,485,288

x

Preferredshares 9,607,464 – – 9,607,464

x

Derivativeassets 17,338 151 – 17,489

x

Derivative liabilities – (3,583) – (3,583)

x

x

December31,2019

Quotedprices inactivemarkets

for identicalassets (Level1)

Significantotherobservable

inputs (Level2)

Significantunobservable inputs

(Level3) Total

x

x

Commonshares $ 735,166,415 $ 21,313 $ – $ 735,187,728

x

Preferredshares 9,320,496 – – 9,320,496

x

Derivativeassets – 668 – 668

x

Derivative liabilities (9,531) (486) – (10,017)

During theperiodsendedJune30,2020andDecember31,2019,no investmentsandderivativeswere transferredbetweenLevel1,Level2andLevel3.

Notes to Financial Statements

FOR THE PERIOD ENDED JUNE 30, 2020 AND 2019 (UNAUDITED)

1. ESTABLISHMENT OF FUNDS

The SEI Investments Group of Funds consists of the following open-ended mutual fund and unit trusts (each a Fund or

collectively referred to as the Funds) constituted under the laws of the Province of Ontario by Declaration of Trust. The address of

the Funds’ registered office is Suite 2810, 130 King Street West, Toronto, Ontario, M5X 1E3. SEI Investments Canada Company

(the “Manager”) is the Funds’ Manager. CIBC Mellon Trust Company is the Trustee of the Funds. The Manager is responsible for

the management of the overall business and operations of the Funds. The financial statements are presented in Canadian dollars

(CAD), which is also the functional currency for all Funds. These financial statements were authorized for issue by the Manager

on August 26, 2020. Class E, Class E hedged, Class F, Class F hedged, Class FC, Class I, Class O, Class O hedged, Class R, and

Class S units, as applicable, commenced as follows:

Fund Status of Fund

Date of

Declaration

of Trust

Agreement

Date Class E

Commenced

Date Class E

hedged

Commenced

Date Class F

Commenced

Date Class F

hedged

Commenced

Date Class

FC

Commenced

Date Class I

Commenced

x

Canadian Equity Fund Mutual Fund

September

20, 1996

November 1,

2010 N/A May 4, 2006 N/A N/A

February 1,

2002

x

Canadian Small Company Equity

Fund Mutual Fund

March 24,

2000

August 30,

2013 N/A April 18, 2006 N/A N/A N/A

x

U.S. Large Company Equity Fund Mutual Fund

August 31,

1999

November 1,

2010

November 1,

2010 April 17, 2006

March 6,

2010 N/A

February 1,

2002

x

U.S. Small Company Equity Fund Mutual Fund

August 31,

1999

November 1,

2010

November 1,

2010 April 17, 2006

March 6,

2010 N/A

February 1,

2002

x

International Equity Fund (formerly

EAFE Equity Fund) Mutual Fund

December 20,

1996

November 1,

2010 N/A April 17, 2006 N/A N/A

September

25, 2001

x

Emerging Markets Equity Fund Mutual Fund

December 20,

1996

November 1,

2010 N/A April 17, 2006 N/A N/A

February 1,

2002

x

Global Managed Volatility Fund Mutual Fund

January 27,

2012

August 30,

2013 N/A June 29, 2012 N/A July 2, 2019 N/A

x

Canadian Fixed Income Fund Mutual Fund July 18, 1996

November 1,

2010 N/A May 2, 2006 N/A N/A

February 1,

2002

x

Long Duration Bond Fund Unit Trust

November 18,

1997

August 30,

2013 N/A April 19, 2006 N/A N/A

March 29,

2004

x

Long Duration Credit Bond Fund Unit Trust

February 19,

2013 N/A N/A N/A N/A N/A N/A

x

Real Return Bond Fund Mutual Fund

March 17,

1995

August 30,

2013 N/A May 11, 2006 N/A N/A N/A

x

Money Market Fund Unit Trust April 4, 1996

August 30,

2013 N/A

December 19,

2006 N/A N/A

February 1,

2002

x

U.S. Large Cap Index Fund Unit Trust

June 21,

1996

November 1,

2010 N/A July 15, 2013

December 17,

2006 N/A N/A

x

Short Term Bond Fund Mutual Fund

January 18,

2006

November 1,

2010 N/A May 11, 2006 N/A N/A N/A

x

U.S. High Yield Bond Fund Mutual Fund May 29, 2009

November 1,

2010

November 1,

2010

September 11,

2009

March 6,

2010 N/A N/A

x

Conservative Monthly Income Fund* Mutual Fund June 9, 2006

August 30,

2013 N/A

December 8,

2006 N/A July 2, 2019 N/A

x

Balanced Monthly Income Fund* Mutual Fund June 9, 2006

August 30,

2013 N/A

September 28,

2006 N/A July 2, 2019 N/A

x

Short Term Investment Fund* Mutual Fund May 25, 2012

August 30,

2013 N/A July 12, 2012 N/A N/A N/A



x

Fund Status of Fund

Date of

Declaration

of Trust

Agreement

Date Class E

Commenced

Date Class E

hedged

Commenced

Date Class F

Commenced

Date Class F

hedged

Commenced

Date Class

FC

Commenced

Date Class I

Commenced

x

Income 100 Fund* Mutual Fund

April 16,

2003

August 30,

2013 N/A August 11, 2006 N/A N/A

June 11,

2003

x

Income 20/80 Fund* Mutual Fund

April 16,

2003

August 30,

2013 N/A July 17, 2006 N/A July 2, 2019

June 11,

2003

x

Moderate Fund* Mutual Fund

April 16,

2003

August 30,

2013 N/A June 7, 2006 N/A N/A

June 11,

2003

x


January 21,

2000

August 30,

2013 N/A

September 1,

2006 N/A July 2, 2019 June 2, 2003

x

Balanced Fund* Mutual Fund

April 16,

2003

August 30,

2013 N/A June 15, 2006 N/A N/A

June 11,

2003

x

Balanced 60/40 Fund* Mutual Fund

December 20,

1996

August 30,

2013 N/A April 20, 2006 N/A July 2, 2019

February 1,

2002

x

Growth Fund* Mutual Fund

January 21,

2000

August 30,

2013 N/A

September 15,

2006 N/A N/A June 2, 2003

x

Growth 80/20 Fund* Mutual Fund

April 11,

2001

August 30,

2013 N/A

October 27,

2006 N/A July 2, 2019

February 28,

2005

x

Growth 100 Fund* Mutual Fund

April 11,

2001

August 30,

2013 N/A April 27, 2006 N/A July 2, 2019 June 4, 2003

x

All Equity Fund* Mutual Fund

April 11,

2001

August 30,

2013 N/A

December 8,

2006 N/A N/A N/A

x

Conservative Fund* Unit Trust

June 18,

2014

October 31,

2014 N/A

October 31,

2014 N/A N/A N/A

x

Fund Status of Fund

Date of

Declaration

of Trust

Agreement

Date Class O

Commenced

Date Class O

hedged

Commenced

Date Class R

Commenced

Date Class S

Commenced

Date Class Z

Commenced

Date Class Z

hedged

Commenced

x

Canadian Equity Fund Mutual Fund

September

20, 1996

August 21,

1997** N/A N/A N/A

August 14,

2015 N/A

x

Canadian Small Company Equity

Fund Mutual Fund

March 24,

2000 May 07, 2001 N/A N/A N/A N/A N/A

x

U.S. Large Company Equity Fund Mutual Fund

August 31,

1999

November 24,

1999

March 6,

2010 N/A N/A

August 14,

2015

August 21,

2015

x

U.S. Small Company Equity Fund Mutual Fund

August 31,

1999

November 24,

1999

March 6,

2010 N/A N/A N/A N/A

x

International Equity Fund (formerly

EAFE Equity Fund) Mutual Fund

December 20,

1996

August 31,

1997** N/A N/A N/A

August 14,

2015 N/A

x

Emerging Markets Equity Fund Mutual Fund

December 20,

1996

August 31,

1997** N/A N/A N/A

August 14,

2015 N/A

x

Global Managed Volatility Fund Mutual Fund

January 27,

2012 Mar 30,2012 N/A N/A

August 14,

2015

August 14,

2015 N/A

x

Canadian Fixed Income fund Mutual Fund July 18, 1996

August 21,

1997** N/A N/A N/A

August 14,

2015 N/A

x

Long Duration Bond Fund Unit Trust

November 18,

1997

May 30,

2003** N/A N/A N/A N/A N/A

x

Long Duration Credit Bond Fund Unit Trust

February 19,

2013

June 28,

2013 N/A N/A N/A N/A N/A



x

Fund Status of Fund

Date of

Declaration

of Trust

Agreement

Date Class O

Commenced

Date Class O

hedged

Commenced

Date Class R

Commenced

Date Class S

Commenced

Date Class Z

Commenced

Date Class Z

hedged

Commenced

x

Real Return Bond Fund Mutual Fund

March 17,

1995 May 30, 2003 N/A N/A N/A

August 14,

2015 N/A

x

Money Market Fund Unit Trust April 4, 1996

August 31,

1997** N/A N/A N/A N/A N/A

x

U.S. Large Cap Index Fund Unit Trust

June 21,

1996

July 15,

2013**

January 14,

1999** N/A N/A N/A N/A

x

Short Term Bond Fund Mutual Fund

January 18,

2006

March 27,

2006 N/A N/A N/A

August 14,

2015 N/A

x

U.S. High Yield Bond Fund Mutual Fund May 29, 2009

September

11, 2009

March 6,

2010 N/A N/A

August 14,

2015

August 21,

2015

x

Conservative Monthly Income Fund* Mutual Fund June 9, 2006 July 31, 2006 N/A N/A

February 23,

2009

August 14,

2015 N/A

x

Balanced Monthly Income Fund* Mutual Fund June 9, 2006 July 31, 2006 N/A N/A July 2, 2019

August 14,

2015 N/A

x

Short Term Investment Fund* Mututal Fund May 25, 2012 July 12, 2012 N/A N/A N/A

August 14,

2015 N/A

x

Income 100 Fund* Mutual Fund

April 16,

2003

June 11,

2003 N/A June 30, 2008

January 16,

2012 N/A N/A

x


April 16,

2003

June 11,

2003 N/A June 30, 2008

February 23,

2009 N/A N/A

x

Moderate Fund* Mutual Fund

April 16,

2003

June 11,

2003 N/A June 30, 2008 N/A

August 14,

2015 N/A

x


January 21,

2000

August 21,

2002** N/A June 30, 2008

February 23,

2009 N/A N/A

x

Balanced Fund* Mutual Fund

April 16,

2003

June 11,

2003 N/A June 30, 2008 N/A

August 14,

2015 N/A

x

Balanced 60/40 Fund* Mutual Fund

December 20,

1996

May 7,

2001** N/A June 30, 2008

February 23,

2009 N/A N/A

x

Growth Fund* Mutual Fund

January 21,

2000

September

12, 2002** N/A June 30, 2008 N/A

August 14,

2015 N/A

x

Growth 80/20 Fund* Mutual Fund

April 11,

2001

August 21,

2002 N/A June 30, 2008

February 23,

2009 N/A N/A

x

Growth 100 Fund* Mutual Fund

April 11,

2001

August 21,

2002 N/A June 30, 2008

February 23,

2009 N/A N/A

x

All Equity Fund* Mutual Fund

April 11,

2001

December 28,

2005 N/A July 31, 2008 N/A

August 14,

2015 N/A

x

Conservative Fund* Unit Trust

June 18,

2014

October 31,

2014 N/A N/A N/A

August 14,

2015 N/A

x

* Collectively, the “SEI Asset Allocation Funds”

**The following Funds were, prior to being offered by prospectus, previously exclusively offered by private placement pursuant to

prospectus exemptions from the date appearing after the name of the relevant Fund: Money Market Fund – April 23, 1996;

Canadian Fixed Income Fund – July 25, 1996; Canadian Equity Fund – September 23, 1996; International Equity Fund and

Emerging Markets Equity Fund, both January 7, 1997; U.S. Large Cap Index Fund – June 25, 1996; Long Duration Bond Fund –

March 17, 1995; Balanced 60/40 Fund – September 20, 1996; Income 40/60 Fund and Balanced Growth Fund (formerly

Growth Fund) – January 21, 2000.



The Schedule of Investment Portfolio is as at June 30, 2020. The Statements of Financial Position are as at June 30, 2020 and

December 31, 2019. The Statements of Comprehensive Income (Loss), Statements of Changes in Net Assets Attributable to

Holders of Redeemable Units and Statements of Cash Flows are for the periods ended June 30, 2020 and 2019.

2. BASIS OF PRESENTATION

These financial statements have been prepared in accordance with International Financial Reporting Standards (IFRS), including

IAS 34, Interim Financial Reporting as issued by the International Accounting Standards Board (IASB). The financial statements

have been prepared under the historical cost convention, as modified by the revaluation of financial assets and financial

liabilities (including derivative financial instruments) at fair value through profit and loss (FVTPL).

3. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

The principal accounting policies applied in the preparation of these financial statements are set out below. These policies have

been consistently applied to all the years presented, unless otherwise stated.

(a) Upon initial recognition, financial instruments are measured at fair value. Investments (non-derivative financial assets)

based on the business model under IFRS 9 and derivatives assets and liabilities are classified and measured at FVTPL.

The Funds’ obligation for net assets attributable to holders of redeemable units is presented at the redemption amount.

All other financial assets and liabilities are classified and measured at amortized cost which approximates fair value due

to their short term nature. Financial assets and liabilities are shown at the amount required to be received or paid,

discounted, when appropriate, at the contract’s effective interest rate.

(b) Units of each class are issued and redeemed at their net asset value per unit, which is determined at the close of each

business day. The net asset value per unit for each class is determined by dividing the total net asset value of each class

by the total number of units outstanding of that class. Management fees directly attributable to a class are charged to

that class. Fund operating expenses, income, and realized and unrealized gains and losses are allocated proportionately

to each class based upon the relative net asset value of each class. The hedged classes, as applicable, will generally

minimize their exposure to foreign currency risk by utilizing forward foreign currency contracts. The realized and

unrealized forward foreign currency contract gains and losses attributed to the hedged classes are allocated solely to the

hedged classes.

(c) Investments held include equities, listed warrants, short-term notes, treasury bills, bonds, asset backed securities, other

debt instruments and mutual funds units. Investments held that are traded in an active market through recognized

public stock exchanges, over-the-counter markets, or through recognized investment dealers, are valued at their last

traded market price where the last traded market price falls within the bid-ask spread. In circumstances where the last

traded price is not within the bid-ask spread, the Manager determines the point within the bid-ask spread that is most

representative of fair value based on specific facts and circumstances.

Investments held that are not traded in an active market are valued based on the results of valuation techniques using

observable market inputs, if available, on such basis and in such manner established by the Manager. The fair value of

certain securities may be estimated using valuation techniques based on assumptions that are not supported by

observable market inputs.

The Funds utilize a three-tier hierarchy as a framework for disclosing fair value based on inputs used to value the Funds’

investments. The hierarchy of inputs is summarized below:

l quoted prices (unadjusted) in active markets for identical assets or liabilities (Level 1);

l inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly (i.e.,

as prices) or indirectly (i.e., derived from prices) (Level 2);

l inputs for the asset or liability that are not based on observable market data (unobservable inputs) (Level 3).



Changes in valuation methods may result in transfers into or out of an investment’s assigned level. Please refer to the

Fund specific notes to the financial statements for fund-specific disclosure.

The Funds’ policy is to recognize transfer into and out of the fair value hierarchy levels as of the date of the event or

change in circumstances giving rise to the transfer.

(d) The Funds’ subscriptions and redemptions are denominated in Canadian dollars. The fair value of foreign investments

and other assets and liabilities are translated into Canadian dollars at the exchange rate prevailing on the valuation date.

Purchases and sales of foreign securities and the related income are translated into Canadian dollars at the exchange

rate prevailing on the respective dates of such transactions. Realized gains and losses on foreign currency translation are

included in the Statements of Comprehensive Income (Loss) as Foreign exchange gain (loss) on foreign currency

translation. Unrealized gains and losses on foreign currency translation are included in the Statements of Comprehensive

Income (Loss) as Net change in unrealized appreciation (depreciation) on foreign exchange.

(e) The cost of investments represents the amount paid for each security and is determined on an average cost basis

excluding commissions and other transaction costs.

(f) Income and expenses are recorded on an accrual basis. Dividends are recorded on the ex-dividend date. Distributions

from investments are recorded as income, capital gains, or a return of capital, based on the nature of these distributions.

Actual allocations could vary from this information. Distributions that are treated as a return of capital for income tax

purposes reduce the average cost of the underlying investment. Distributions from underlying funds are recognized on

the distribution date. Regular way security transactions are recorded on the trade date for financial reporting purposes.

The unrealized appreciation (depreciation) in the value of a security represents the difference between its fair value and

its average cost and it is included in the Net change in unrealized appreciation (depreciation) of investments or Net

change in unrealized appreciation (depreciation) of investments and derivatives, as applicable, in the Statements of

Comprehensive Income (Loss). A realized gain (loss) is recognized when a security is sold. The realized gain (loss) is the

difference between the proceeds received and the average cost of the security and is included on the Net realized gain

(loss) on sale of investments on the Statements of Comprehensive Income (Loss). The interest for distribution purposes

shown on the Statements of Comprehensive Income (Loss) represents the coupon interest received by the Funds,

accounted for on an accrual basis. Zero coupon bonds are purchased at a discount and are amortized over the term of

the bond.

(g) Increase (decrease) in net assets attributable to holders of redeemable units per unit of a class in the Statements of

Comprehensive Income (Loss) represents the increase (decrease) in net assets attributable to holders of redeemable

units per class, divided by the weighted average number of units of that class outstanding during the reporting period.

(h) For each mutual fund unit sold, the Funds receive an amount equal to the net asset value per unit on the date of sale.

Units are redeemable at the option of the unitholders at their net asset value on the redemption date. For each unit

redeemed, the number of issued and outstanding units is reduced and the net asset value of the Fund is reduced as of

the date of redemption.

(i) Futures contracts entered into by the Funds are financial agreements to purchase or sell a financial instrument at a

contracted price on a specific date. However, the Funds do not intend to purchase or sell the financial instruments on

settlement date; rather, they intend to close out each futures contract before settlement date by entering into equal, but

offsetting, futures contracts. Futures are valued at the gain or loss that would arise as a result of closing the position at

the valuation date. Gains or losses arising from futures contracts at the close of business of each valuation date is

recorded as Net change in unrealized appreciation (depreciation) of investments and derivatives on the Statements of

Comprehensive Income (Loss) until the contracts are closed out or expire, at which time the gains or losses are realized

and are recorded as Derivative income (loss) on the Statements of Comprehensive Income (Loss). The margins on deposit

with brokers relating to futures contracts are included in Margin receivable or Margin payable on the Statements of

Financial Position.

(j) Forward currency contracts entered into by the Funds are financial agreements to buy or sell a specific amount of an

underlying currency for an agreed upon price at a future date. The fair value of these contracts is the gain or loss that

would be recognized if the position was closed out on the valuation date, and is recorded as Net change in unrealized

appreciation (depreciation) of investments and derivatives on the Statements of Comprehensive Income (Loss). When the



forward currency contracts are closed out or expire, the gains or losses are reported as Derivative income (loss) on the

Statements of Comprehensive Income (Loss).

(k) Options contracts entered into by the Funds are financial agreements that gives the purchaser the right, but not the

obligation, to buy or sell an underlying asset at a strike price prior to or on a specified date. Option premiums paid or

received by the Fund are, so long as the options are outstanding, reflected as an asset or liability, respectively, in the

Statements of Financial Position and are valued at an amount equal to the current market value of an option that would

have the effect of closing the position. Gains or losses arising from options contracts at the close of business of each

valuation date is recorded as Net change in unrealized appreciation (depreciation) of investments and derivatives on the

Statements of Comprehensive Income (Loss) until the contracts are expired, repurchased or exercised, at which time the

gains or losses are realized and are recorded as Derivative income (loss) on the Statements of Comprehensive Income

(Loss).

(l) Interest rate and total return swaps are financial agreements to exchange or swap investment cash flows at specified,

future intervals. In an interest rate swap, the Funds and their counterparties agree to exchange a fixed payment for a

floating payment that is based on an interest rate and an agreed upon notional amount. The periodic payments received

or paid are included in Derivative income (loss) on the Statements of Comprehensive Income (Loss). In a total return

swap, a single or multiple cash flows are exchanged based on the price of an underlying reference asset and on a

variable interest rate and may involve commitments to pay interest in exchange for a market-linked return. As a receiver

at maturity date, the Funds would receive payments based on any net positive return and would owe payments in the

event of a net negative return. As a payer at maturity date, the Funds would owe payments on any net positive return,

and would receive payments in the event of a net negative total return. Interest rate and total return swap contracts are

fair valued on each valuation day using indicative close prices from the counterparty. The change in fair value is

included in Net change in unrealized appreciation (depreciation) on investments and derivatives and upon closing or

expiry of a contract, the gain or loss is included in Derivative income (loss) on the Statements of Comprehensive Income

(Loss).

(m) The Funds are required to distribute any taxable net income and taxable capital gains that they had earned in the year.

Income earned by the Funds is distributed to unitholders and these distributions are either paid in cash or reinvested by

unitholders into additional units of the Funds. Distributions to holders of redeemable units are recognized in the

Statements of Changes in Net assets Attributable to Holders of Redeemable Units. The units of the Funds are classified

as financial liabilities in accordance with IAS 32 as there is a contractual obligation to distribute net income and capital

gains in cash (at the request of the unitholder).

(n) The Funds have determined that the definition of an ‘investment entity’ has been met for all Funds and as a result, it

measures subsidiaries, if any, at FVTPL. The following conditions exist that allow for this conclusion:

l The Funds primary purpose is to obtain funds from investors to provide them with investment management services.

l The Funds’ business purpose, which was communicated directly to investors, is investing solely for returns from

capital appreciation, investment income, or both.

l The performance of substantially all investments is measured on a fair value basis.

4. CRITICAL ACCOUNTING ESTIMATES AND JUDGMENTS

The preparation of financial statements requires management to use judgement in applying its accounting policies and to make

estimates and assumptions about the future. The following discusses the most significant accounting judgements and estimates

that the Funds have made in preparing the financial statements:

Fair value measurement of derivatives and securities not quoted in an active market

The Funds may hold financial instruments that are not quoted in active markets, including derivatives. Fair values of such

instruments are determined using valuation techniques and may be determined using reputable pricing sources. Broker quotes

as obtained from the pricing sources may be indicative and not executable. Where no market data is available, the Funds may

value positions using its own models, which are usually based on valuation methods and techniques generally recognized as



standard within the industry. The models used to determine fair values are validated and periodically reviewed by the Manager,

independent of the party that created them. The models used for private equity securities are based mainly on earnings multiples

adjusted for a lack of marketability as appropriate.

Models use observable data, to the extent practicable. However, areas such as credit risk, volatilities and correlations require the

Manager to make estimates. Changes in assumptions about these factors could affect the reported fair values of financial

instruments. The Funds consider observable data to be market data that is readily available, regularly distributed and updated,

reliable and verifiable, not proprietary, and provided by independent sources that are actively involved in the relevant market.

Please refer to the Fund specific notes to the financial statements for fund-specific disclosure.

Classification and measurement of investments and application of the fair value option

In classifying and measuring financial instruments held by the Funds, the Manager is required to make significant judgments

about whether or not the business of the Funds is to invest on a total return basis for the purpose of applying the fair value option

for financial assets under IFRS 9. The Manager has assessed the Funds’ business model, the manner in which all financial

instruments are managed and performance evaluated as a group on a fair value basis, and concluded that FVTPL in accordance

with IFRS 9 provides the most appropriate classification and measurement of the Funds’ financial instruments.

The Fund's portfolio of investments is managed, and performance is evaluated, on a fair value basis. The Fund is primarily

focused on fair value information and uses that information to assess the asset's performance and to make decisions. The Fund

has not taken the option to irrevocably designate any equity securities as fair value through other comprehensive income

("FVOCI"). The contractual cash flows of the Fund's debt securities that are solely principal and interest are neither held for the

purpose of collecting contractual cash flows nor held both for collecting contractual cash flows and for sale. The collection of

contractual cash flows is only incidental to achieving the Fund's business model's objective. Consequently, all investments are

measured at fair value through profit or loss ("FVTPL"). Derivative assets and liabilities are also measured at FVTPL.

5. REDEEMABLE UNITS

The capital of the Funds is represented by issued redeemable units with no par value. Unitholders are entitled to distributions, if

any, and to payment of a proportionate share of the Funds’ net assets attributable to holder's redeemable units based on the

Funds’ net asset value per unit upon redemption. The Funds have no restrictions or specific capital requirements on the

subscription and redemption of units other than the minimum subscriptions for an initial and subsequent investments. Capital

movements are shown on the Statements of Changes in Net Assets Attributable to Holders of Redeemable Units. In accordance

with their investment strategies and risk management policies, the Funds endeavour to invest their subscriptions received in

appropriate investments while maintaining sufficient liquidity to meet redemptions.

On July 2, 2019, certain Funds launched new Class FC and Class S units and terminated their Class Z and Class Z(H) units. On

June 17, 2020 certain Funds terminated their Class E, F, F(H), O(H) and S units. The following table summarizes the changes in

the number of units for the periods ended June 30, 2020 and 2019:

Balance - beginning of the

period

Units issued during the

period

Units redeemed during

the period

Units reinvested during

the period Balance - end of the period

2020 2019 2020 2019 2020 2019 2020 2019 2020 2019

x

CANADIAN EQUITY FUND

x

Class E 592,807 759,365 38,474 6,731 (79,858) (108,374) - - 551,423 657,722

x

Class F 237,602 309,654 13,410 18,726 (41,668) (81,016) - - 209,344 247,364

x

Class O 64,710,115 78,021,586 5,303,804 2,144,128 (9,097,285) (9,243,878) 11 - 60,916,645 70,921,836

x

Class Z - 633 - - - - - - - 633

x

CANADIAN SMALL COMPANY EQUITY FUND

x

Class E 88,566 109,045 10,449 1,150 (7,983) (13,645) - - 91,032 96,550

x

Class F 93,320 125,844 9,128 24,974 (28,290) (35,135) - - 74,158 115,683

x

Class O 16,865,770 18,458,832 1,553,467 771,012 (2,000,334) (2,275,507) - - 16,418,903 16,954,337

x

U.S. LARGE COMPANY EQUITY FUND

x




period


period


the period



2020 2019 2020 2019 2020 2019 2020 2019 2020 2019

x

Class E 1,663,390 2,056,406 69,597 74,393 (246,163) (293,131) - - 1,486,824 1,837,668

x

Class E hedged 30,322 65,113 27 7 (11,518) (25,858) - - 18,831 39,262

x

Class F 1,082,678 1,195,509 32,650 105,926 (196,585) (181,605) - - 918,743 1,119,830

x

Class F hedged 243,044 490,589 3,043 30,704 (166,849) (71,021) - - 79,238 450,272

x

Class I 17 16 - - - - - - 17 16

x

Class O 88,043,836 96,956,631 5,134,757 4,291,325 (15,578,396) (11,130,580) 41 - 77,600,238 90,117,376

x

Class O hedged 1,512,999 1,555,410 447 505 (16,897) (1,845) - - 1,496,549 1,554,070

x

Class Z - 1,411 - - - - - - - 1,411

x

Class Z hedged - 1,455 - - - - - - - 1,455

x

U.S. SMALL COMPANY EQUITY FUND

x

Class E 240,414 289,104 50,640 3,173 (40,242) (28,896) - - 250,812 263,381

x

Class E hedged 6,832 7,268 - - - - - - 6,832 7,268

x

Class F 131,840 141,799 24,558 16,233 (43,132) (31,712) - - 113,266 126,320

x

Class F hedged 11,380 56,106 25,100 1,561 (13) (38,892) - - 36,467 18,775

x

Class I 231 230 - - - - - - 231 230

x

Class O 16,882,462 17,656,665 2,548,749 1,076,486 (1,771,188) (1,634,083) 4 - 17,660,027 17,099,068

x

Class O hedged 4,285 32,899 - - (4,285) - - - - 32,899

x

INTERNATIONAL EQUITY FUND

x

Class E 1,291,291 1,594,700 114,253 22,758 (160,485) (179,928) - 126 1,245,059 1,437,656

x

Class F 955,118 1,335,317 70,549 63,732 (235,462) (269,929) - 1,302 790,205 1,130,422

x

Class I 6,891 6,759 - - - - - 9 6,891 6,768

x

Class O 103,005,524 114,174,609 9,956,211 5,319,823 (9,011,924) (16,557,940) 35 394,494 103,949,846 103,330,986

x

Class Z - 1,668 - - - - - 7 - 1,675

x

EMERGING MARKETS EQUITY FUND

x

Class E 497,100 589,754 59,341 8,019 (51,558) (73,339) - - 504,883 524,434

x

Class F 968,625 539,751 214,444 217,991 (181,719) (73,862) - - 1,001,350 683,880

x

Class I 908 896 - - - - - - 908 896

x

Class O 41,380,906 42,997,269 2,544,278 7,485,677 (4,253,058) (4,937,669) - - 39,672,126 45,545,277

x

Class Z - 2,712 - - - - - - - 2,712

x

GLOBAL MANAGED VOLATILITY FUND

x

Class E 588,704 723,011 76,026 17,490 (80,569) (152,606) - - 584,161 587,895

x

Class F 149,794 496,585 57,259 339,602 (32,663) (51,539) - - 174,390 784,648

x

Class FC 826,173 - 138,337 - (73,093) - - - 891,417 -

x

Class O 34,127,686 34,146,425 2,468,676 1,883,796 (1,746,032) (2,342,063) 4 - 34,850,334 33,688,158

x

Class S 687 680 - - (687) - - - - 680

x

Class Z - 688 - - - - - - - 688

x

CANADIAN FIXED INCOME FUND

x

Class E 1,143,572 1,418,257 43,175 56,494 (177,478) (266,081) 7,194 9,386 1,016,463 1,218,056

x

Class F 1,149,688 1,141,427 333,267 187,336 (236,727) (235,407) 11,338 11,229 1,257,566 1,104,585

x

Class O 158,298,727 175,563,128 11,948,133 6,843,564 (24,492,888) (20,916,643) 1,988,028 2,257,010 147,742,000 163,747,059

x




period


period


the period



2020 2019 2020 2019 2020 2019 2020 2019 2020 2019

x

Class Z - 924 - - - - - 14 - 938

x

LONG DURATION BOND FUND

x

Class E 598 569 - - (82) - - - 516 569

x

Class F 20,706 12,074 15,540 2,126 (217) (262) - - 36,029 13,938

x

Class O 29,190,394 27,503,376 6,636,202 1,309,392 (9,070,071) (2,480,730) - - 26,756,525 26,332,038

x

LONG DURATION CREDIT BOND FUND

x

Class O 24,518,293 24,312,513 2,972,049 1,317,640 (5,042,589) (2,614,914) - - 22,447,753 23,015,239

x

REAL RETURN BOND FUND

x

Class E 144,561 193,389 12,075 2,458 (30,202) (35,673) - - 126,434 160,174

x

Class F 95,304 116,141 2,585 4,597 (19,154) (22,267) - - 78,735 98,471

x

Class O 23,760,975 26,602,147 1,399,515 1,100,991 (4,600,085) (2,957,960) 9 - 20,560,414 24,745,178

x

Class Z - 646 - - - - - - - 646

x

MONEY MARKET FUND

x

Class E 310,583 290,073 1,025,581 201,563 (392,440) (263,176) 3,964 1,919 947,688 230,379

x

Class F 10,253 19,139 33,870 16,459 (12,826) (17,817) 126 150 31,423 17,931

x

Class I 75,048 144,576 39,737 11,368 (13,256) (68,493) 654 908 102,183 88,359

x

Class O 7,530,436 5,754,095 3,387,865 3,194,116 (3,964,254) (1,775,554) 69,585 63,939 7,023,632 7,236,596

x

U.S. LARGE CAP INDEX FUND

x

Class F 1,068 981 - - (1,068) - - - - 981

x

Class F hedged - 89,165 - - - (89,165) - - - -

x

Class O 2,546,985 1,797,070 989,258 25,034 (766,265) (421,489) - - 2,769,978 1,400,615

x

Class O hedged 7,068,039 7,578,106 356,412 240,589 (346,420) (301,605) - - 7,078,031 7,517,090

x

SHORT TERM BOND FUND

x

Class E 265,568 401,229 19,590 1,350 (34,092) (99,123) 1,823 1,802 252,889 305,258

x

Class F 215,902 279,454 1,951 5,854 (41,756) (52,393) 1,626 1,908 177,723 234,823

x

Class O 36,701,824 38,755,812 1,705,731 1,865,858 (2,977,156) (3,591,085) 446,637 442,795 35,877,036 37,473,380

x

Class Z - 1,086 - - - - - 13 - 1,099

x

U.S. HIGH YIELD BOND FUND

x

Class E 154,026 130,293 23,616 14,703 (22,663) (15,544) 3,695 3,359 158,674 132,811

x

Class E hedged 288,385 360,530 33,355 5,566 (47,353) (57,896) 1,088 7,678 275,475 315,878

x

Class F 467,996 91,091 99,209 188,641 (87,146) (15,348) 12,975 5,313 493,034 269,697

x

Class F hedged 513,651 519,641 461,214 93,760 (182,095) (135,066) 10,561 13,193 803,331 491,528

x

Class O 2,656,233 1,473,421 9,564 1,147,936 (1,210,415) (192,553) 41,289 65,073 1,496,671 2,493,877

x

Class O hedged 45,764,015 47,123,653 2,556,211 2,263,259 (3,325,835) (5,360,267) 340,002 1,441,466 45,334,393 45,468,111

x

Class Z - 887 - - - - - 33 - 920

x

Class Z hedged - 856 - - - - - 27 - 883

x

CONSERVATIVE MONTHLY INCOME FUND

x

Class E 1,794,870 2,075,468 144,571 159,774 (131,208) (391,947) 27,124 25,320 1,835,357 1,868,615

x




period


period


the period



2020 2019 2020 2019 2020 2019 2020 2019 2020 2019

x

Class F 46,161 217,678 38,146 5,297 (5,272) (16,285) 964 3,362 79,999 210,052

x

Class FC 129,125 - 172,304 - (11,301) - 3,136 - 293,264 -

x

Class O 281,474 293,213 22,776 62,963 (24,213) (87,069) 5,470 4,242 285,507 273,349

x

Class S 49,399,018 54,924,432 1,663,903 2,046,432 (4,379,431) (7,173,623) 876,419 879,882 47,559,909 50,677,123

x

Class Z - 1,204 - - - - - 23 - 1,227

x

BALANCED MONTHLY INCOME FUND

x

Class E 6,259,406 6,737,052 279,628 251,183 (660,999) (726,112) 89,889 79,635 5,967,924 6,341,758

x

Class F 124,623 3,422,508 2,405 288,081 (2,468) (404,324) 2,106 40,814 126,666 3,347,079

x

Class FC 3,355,890 - 126,311 - (275,808) - 58,360 - 3,264,753 -

x

Class O 153,296 108,589 28,774 63,080 (8,337) (16,187) 2,535 2,375 176,268 157,857

x

Class S 4,130 - - - - - 113 - 4,243 -

x

Class Z - 1,434 - - - - - 35 - 1,469

x

SHORT TERM INVESTMENT FUND

x

Class E 51,487 60,935 - - - (90) 325 374 51,812 61,219

x

Class F 48,098 47,445 - - - - 326 343 48,424 47,788

x

Class O 443,165 469,880 9,447 23,168 (65,229) (56,751) 3,730 4,336 391,113 440,633

x

Class Z - 1,087 - - - - - 11 - 1,098

x

INCOME 100 FUND

x

Class E 475,410 890,322 39,824 19,474 (59,619) (323,823) - - 455,615 585,973

x

Class F 77,035 98,226 - - (4,127) (15,439) - - 72,908 82,787

x

Class O 671,818 616,786 28,961 54,274 (68,560) (16,206) - - 632,219 654,854

x

Class R 122,576 72,673 87,527 57,733 (103,049) (831) - - 107,054 129,575

x

Class S 707,208 707,339 267,295 36,164 (119,793) (117,808) - - 854,710 625,695

x

INCOME 20/80 FUND

x

Class E 1,690,259 2,624,213 23,236 150,274 (284,782) (336,825) - - 1,428,713 2,437,662

x

Class F 383,797 432,602 15,508 77,061 (88,798) (11,781) - - 310,507 497,882

x

Class FC 89,525 - 9,604 - (5,469) - - - 93,660 -

x

Class I 1,052,851 1,461,923 87,955 108,426 (91,353) (541,800) 2,007 3,802 1,051,460 1,032,351

x

Class O 947,233 825,322 337,667 40,559 (194,691) (85,846) - - 1,090,209 780,035

x

Class R 302,394 146,890 100,544 95,281 (119,619) (59,658) - - 283,319 182,513

x

Class S 23,390,487 25,457,246 1,835,364 1,033,723 (2,014,880) (2,758,261) 37 11 23,211,008 23,732,719

x

INCOME BALANCED FUND (FORMERLY MODERATE

FUND)

x

Class E 3,109,222 3,976,029 36,918 91,171 (314,161) (619,113) - - 2,831,979 3,448,087

x

Class F 606,644 747,619 104,614 49,682 (99,985) (220,970) - - 611,273 576,331

x

Class I 79,891 81,300 - 116 (79,891) (2,880) - - - 78,536

x

Class O 1,388,895 1,539,068 104,932 211,763 (404,346) (265,388) - - 1,089,481 1,485,443

x

Class R 547,251 484,310 50,567 111,414 (75,376) (27,905) - - 522,442 567,819

x

Class Z - 2,015 - - - - - - - 2,015

x




period


period


the period



2020 2019 2020 2019 2020 2019 2020 2019 2020 2019

x

INCOME 40/60 FUND

x

Class E 6,369,024 7,555,216 170,193 179,984 (750,813) (817,996) 257 - 5,788,661 6,917,204

x

Class F 755,814 1,310,124 105,787 665,962 (76,990) (109,545) - - 784,611 1,866,541

x

Class FC 1,477,034 - 806,365 - (257,906) - - - 2,025,493 -

x

Class I 534,334 502,039 49,730 55,136 (31,518) (96,895) 1,025 1,409 553,571 461,689

x

Class O 2,241,758 1,778,603 260,244 330,457 (218,035) (168,556) - - 2,283,967 1,940,504

x

Class R 943,533 877,587 131,803 50,693 (60,293) (41,147) - - 1,015,043 887,133

x

Class S 105,873,510 94,832,472 7,714,123 13,509,238 (7,355,917) (6,641,751) 32 - 106,231,748 101,699,959

x

NEUTRAL BALANCED FUND (FORMERLY BALANCED

FUND)

x

Class E 6,205,844 8,204,526 73,747 246,274 (707,469) (1,372,548) - - 5,572,122 7,078,252

x

Class F 1,196,330 2,214,398 34,850 193,900 (117,186) (1,062,343) - - 1,113,994 1,345,955

x

Class O 1,557,812 1,812,369 104,256 53,342 (80,706) (293,892) - - 1,581,362 1,571,819

x

Class R 869,902 791,765 188,729 146,410 (132,671) (64,642) - - 925,960 873,533

x

Class Z - 1,844 - - - - - - - 1,844

x

BALANCED 60/40 FUND

x

Class E 17,135,559 19,099,766 555,494 1,230,847 (1,508,873) (1,992,923) - - 16,182,180 18,337,690

x

Class F 1,720,224 2,479,248 127,312 297,232 (313,553) (238,438) - - 1,533,983 2,538,042

x

Class FC 950,129 - 475,115 - (128,728) - - 1,296,516 -

x

Class I 996,709 1,280,068 79,434 80,367 (91,804) (340,353) 1,978 3,401 986,317 1,023,483

x

Class O 4,536,409 4,917,088 283,810 419,052 (705,609) (599,872) 9 1 4,114,619 4,736,269

x

Class R 7,867,319 7,498,280 866,322 741,779 (505,730) (424,521) - - 8,227,911 7,815,538

x

Class S 83,134,448 82,874,336 5,437,344 6,915,159 (6,060,902) (6,606,954) 133 1,195 82,511,023 83,183,736

x

BALANCED GROWTH FUND (FORMERLY GROWTH FUND)

x

Class E 10,136,694 11,536,688 349,391 439,693 (1,148,434) (1,149,183) - - 9,337,651 10,827,198

x

Class F 1,079,503 1,171,578 55,824 29,109 (187,974) (179,177) - - 947,353 1,021,510

x

Class O 1,529,447 1,921,606 42,676 77,625 (86,381) (157,646) - - 1,485,742 1,841,585

x

Class R 1,263,139 1,328,647 68,859 55,631 (81,467) (181,753) - - 1,250,531 1,202,525

x

Class Z - 2,028 - - - - - - - 2,028

x

GROWTH 80/20 FUND

x

Class E 4,515,775 5,012,442 134,810 281,718 (425,938) (565,173) - - 4,224,647 4,728,987

x

Class F 666,500 935,905 6,050 83,280 (85,140) (59,594) - - 587,410 959,591

x

Class FC 294,715 - 92,772 - (71,517) - - 315,970 -

x

Class I 1,293,622 1,525,672 108,237 113,201 (84,852) (304,789) 2,954 4,744 1,319,961 1,338,828

x

Class O 2,354,280 2,515,739 252,945 259,756 (239,689) (274,576) - - 2,367,536 2,500,919

x

Class R 3,832,273 3,484,806 624,163 443,410 (368,239) (178,214) - - 4,088,197 3,750,002

x

Class S 26,208,678 24,758,450 2,994,477 3,014,802 (2,108,278) (2,021,072) 67 36 27,094,944 25,752,216

x

GROWTH 100 FUND

x

Class E 2,564,218 3,071,191 121,013 174,902 (338,001) (517,210) - - 2,347,230 2,728,883

x




period


period


the period



2020 2019 2020 2019 2020 2019 2020 2019 2020 2019

x

Class F 173,862 235,071 2,409 15,397 (9,753) (17,077) - - 166,518 233,391

x

Class FC 61,633 - 1,724 - (24,072) - - - 39,285 -

x

Class I 732,645 955,395 77,121 68,147 (41,336) (280,597) 2,104 3,602 770,534 746,547

x

Class O 936,351 858,093 110,057 124,181 (109,670) (80,622) - - 936,738 901,652

x

Class R 2,213,427 2,118,476 596,119 309,776 (253,320) (175,650) - - 2,556,226 2,252,602

x

Class S 6,760,765 6,352,544 880,894 774,351 (500,885) (597,014) - 25 7,140,774 6,529,906

x

ALL EQUITY FUND

x

Class E 822,392 1,152,436 36,495 33,628 (130,978) (240,695) - - 727,909 945,369

x

Class F 256,705 293,937 13,052 16,727 (69,085) (47,396) - - 200,672 263,268

x

Class O 359,211 309,521 82,459 46,474 (16,718) (18,983) - - 424,952 337,012

x

Class R 130,669 136,165 7,149 9,171 (14,490) (8,969) - - 123,328 136,367

x

Class Z - 1,492 - - - - - - 1,492

x

CONSERVATIVE FUND

x

Class E 7,346 2,349 5,736 129 (119) - - - 12,963 2,478

x

Class F 26,431 2,414 - - (1,965) - - - 24,466 2,414

x

Class O 12,643 31,422 12,238 2,528 (3,051) (5,028) - - 21,830 28,922

x

Class Z - 2,438 - - - - - - - 2,438

x

A unitholder of a Fund is entitled by giving written notice to the Manager to require payment of the net asset value per unit of

that Fund for all or any of the units of such unitholder. Such notice must be received no later than 4:00 p.m., EST, on any

valuation day upon which the units are to be redeemed. The notice must be irrevocable and the signature thereon must be

guaranteed by a Canadian chartered bank, a trust company or an investment dealer acceptable to the Manager.

6. INCOME TAXES

Each Fund qualifies or intends to qualify (see note 1) as a mutual fund trust under the provisions of the Income Tax Act (Canada)

(the “Act”). All income and capital gains of the Funds for the year are distributed to the unitholders to the extent necessary to

reduce taxes payable under Part I of the Income Tax Act (Canada) to nil. Taxes payable on capital gains retained in a Fund that is

a mutual fund trust are generally refundable on a formula basis to the extent the units of the Fund are redeemed during the year.

The Funds made the following provision for income taxes in the Statements of Comprehensive Income (Loss) for the periods

ended June 30, 2020 and 2019:

2020 2019

(in thousands of dollars)

$ $

U.S. Large Cap Index Fund - 28

There are capital loss carry-forwards available in the following Funds as at December 31, 2019, the benefit of which has not

been recognized:

x

Short Term Bond Fund $ 9,472,515

International Equity Fund 120,324,868

Real Return Bond Fund 3,639,277



x

Canadian Fixed Income Fund 6,782,325

Income 100 Fund 310,208

U.S. Small Company Equity Fund 341,631

These capital losses for income tax purposes may be carried forward indefinitely and applied against capital gains realized in

future years.

There are no non-capital loss carry-forwards (the benefit of which has not been recognized) as at December 31, 2019 which may

be applied against future taxable income.

7. MANAGEMENT FEES AND EXPENSES

(a) Under the terms of the trust agreement governing the Funds, all expenses of the Funds other than any compensation to the

Manager of the Funds relating to Class O, Class O hedged and Class R units, are payable by the Funds except for Class F

units where operating expenses are paid outside the Funds. In the case of the Class R units, each Fund is responsible for five

basis points of operating expenses that are attributable to such units and the Manager is responsible for the balance of these

operating expenses.

(b) The Manager may agree to a reduced management fees for certain Class I unitholders. This is achieved by the Funds making

individual distribution payments, referred to as “Management Fee Distributions” to these unitholders. The amount of such

Management Fee Distribution to a unitholder is negotiable between the Manager and the unitholder and depends primarily on

the amount invested. Management fee rebates are recorded as distributions to unitholders and as a credit to the Management

Fee expense.

(c) For Class O and Class O hedged units, compensation paid to the Manager for management of the Funds is payable directly by

investors outside the Funds. The Manager’s compensation for management services is subject to separate agreements with

unitholders and varies based upon such factors as the particular Fund and the amount invested. In the case of Class R units,

all compensation for the Manager’s services are paid pursuant to a separate management agreement entered into with the

corporate sponsor of the group retirement and savings plans in which holders of Class R units participate. For all other

Classes, management fees are calculated based on the daily net asset value of the Class and the following percentages:

Class E/ Class E

hedged

Class F*/ Class

F hedged* Class FC Class I Class S

Canadian Equity Fund 1.63% 0.90% NA 0.85% NA

Canadian Small Company Equity Fund 1.63% 0.95% NA 0.90% NA

U.S. Large Company Equity Fund 1.63% 0.90% NA 0.85% NA

U.S. Small Company Equity Fund 1.63% 1.00% NA 0.90% NA

International Equity Fund 1.72% 1.00% NA 1.00% NA

Emerging Markets Equity Fund 1.99% 1.15% NA 1.25% NA

Global Managed Volatility Fund 1.68% 0.95% 0.65% NA 1.68%

Canadian Fixed Income Fund 1.14% 0.75% NA 0.65% NA

Long Duration Bond Fund 1.14% 0.75% NA 0.65% NA

Long Duration Credit Bond Fund NA NA NA NA NA

Real Return Bond Fund 1.14% 0.75% NA 0.65% NA

Money Market Fund 0.50% 0.60% NA 0.50% NA

U.S. Large Cap Index Fund 1.30% 0.60% NA 0.50% NA

Short Term Bond Fund 1.14% 0.75% NA 0.65% NA

U.S. High Yield Bond Fund 1.23% 0.85% NA 0.85% NA

Conservative Monthly Income Fund 1.16% 0.85% 0.45% 0.70% 1.41%

Balanced Monthly Income Fund 1.54% 0.95% 0.60% 0.70% 1.50%



Class E/ Class E

hedged

Class F*/ Class

F hedged* Class FC Class I Class S

Short Term Investment Fund 0.50% 0.60% NA NA NA

Income 100 Fund 1.01% 0.85% NA 0.70% 1.10%

Income 20/80 Fund 1.01% 0.85% 0.40% 0.70% 1.15%

Moderate Fund 1.16% 0.90% NA 0.70% 1.35%

Income 40/60 Fund 1.41% 0.90% 0.45% 0.70% 1.35%

Balanced Fund 1.54% 0.90% NA 0.70% 1.50%

Balanced 60/40 Fund 1.54% 0.95% 0.60% 0.70% 1.50%

Growth Fund 1.63% 1.00% NA 0.70% 1.56%

Growth 80/20 Fund 1.63% 1.00% 0.65% 0.75% 1.56%

Growth 100 Fund 1.63% 1.00% 0.65% 0.85% 1.56%

All Equity Fund 1.63% 1.00% NA 0.90% 1.56%

Conservative Fund 1.20% 0.85% NA NA NA

*

Inclusive of applicable goods and services tax (GST)/ harmonized sales tax (HST).

During the year ended June 30, 2020 and 2019, the Manager voluntarily waived or absorbed certain expenses otherwise payable

by the Funds. The Manager may, at its discretion terminate the waiver or absorption at any time. The amount waived, if any, for

each Fund is shown in the Statements of Comprehensive Income (Loss).

The Management fee payable for the period ended June 30, 2020 and year ended December 31, 2019 are listed below, these

amounts have been included in accrued liabilities on the Statements of Financial Position.

June 30, 2020 December 31, 2019

Canadian Equity Fund 19,001 23,289

Canadian Small Company Equity Fund 2,482 2,894

U.S. Large Company Equity Fund 32,366 39,902

U.S. Small Company Equity Fund 3,850 4,327

International Equity Fund 18,459 21,396

Emerging Markets Equity Fund 11,379 11,611

Global Managed Volatility Fund 29,510 30,432

Canadian Fixed Income Fund 25,038 24,672

Long Duration Bond Fund 292 155

Real Return Bond Fund 3,377 3,785

Money Market Fund 5,115 2,100

U.S. Large Cap Index Fund 4 7

Short Term Bond Fund 3,777 4,020

U.S. High Yield Bond Fund 17,330 15,498

Conservative Monthly Income Fund 528,391 567,297

Balanced Monthly Income Fund 64,637 73,300

Short Term Investment Fund 465 464

Income 100 Fund 7,743 6,754

Income 20/80 Fund 157,767 159,285

Income Balanced Fund (Moderate Fund) 20,593 23,205

Income 40/60 Fund 863,690 886,821

Neutral Balanced Fund (formerly Balanced Fund) 61,372 70,216



June 30, 2020 December 31, 2019

Balanced 60/40 Fund 1,195,721 1,265,221

Balanced Growth Fund (formerly Growth Fund) 101,672 114,472

Growth 80/20 Fund 333,737 350,287

Growth 100 Fund 115,564 123,110

All Equity Fund 9,407 11,674

Conservative Fund 259 268

(d) Fees and expenses payable in connection with the Independent Review Committee ("IRC") include compensation paid to

members of the committee in the form of a US$17,000 annual retainer paid to each member of the committee, insurance

coverage for members, reimbursement of reasonable expenses and travel time and costs of outside advisers retained by the

committee (if any). The Chair of the IRC is paid an additional annual retainer of US$2,500. These fees and expenses are

allocated among the Funds in a manner that the Manager believes is fair and reasonable to the Funds.

8. SOFT DOLLAR COMMISSIONS

The brokerage commissions paid on securities transactions may include "soft dollar" amounts, such as the value of research and

other services provided by the broker. Although the Manager uses best efforts to determine the soft dollar portion of commissions

paid on portfolio transactions of the Funds, the soft dollar portion, in some instances, is not ascertainable. The soft dollar

amounts for the year ended June 30, 2020 and 2019 are listed below:

Soft Dollar Commissions

2020 2019

$ $

Canadian Equity Fund 198,760 114,751

Canadian Small Company Equity Fund 38,294 32,639

U.S. Large Company Equity Fund 38,015 26,226

U.S. Small Company Equity Fund 73,729 42,487

International Equity Fund 197,721 1,605,340

Emerging Markets Equity Fund 24,765 36,175

9. FINANCIAL RISKS

The Funds are exposed to a variety of financial risks: credit risk, liquidity risk, and market risk (including interest rate risk, other

price risk, and currency risk), in the normal course of business. The value of investments held within the Funds will fluctuate on

a daily basis as a result of changes in interest rates, economic conditions, market, and company specific news. The level of risk

depends on the Funds’ investment objectives and the type of securities in which they invest.

The Funds’ overall risk management program seeks to minimize the potentially adverse effect of risk on the Funds’ financial

performance in a manner consistent with the Funds’ investment objectives. The risk management practices include monitoring

compliance with investment guidelines. The Manager manages the potential effects of these financial risks on the Funds’

performance by employing and overseeing professional and experienced portfolio advisors that regularly monitor the Funds’

positions and market events, and diversify investment portfolios within the constraints of the investment guidelines.

Fund of Funds

A Fund of Fund’s exposure to financial risks is dependent on its asset mix of the underlying funds. The Manager focuses

primarily on the overall asset allocation of the Fund. A long-term strategic asset allocation is set for the Fund that the Manager

believes best optimizes long-term risks and volatility with the long-term potential returns. To help achieve consistent results over

a typical market cycle, each underlying fund is diversified by asset class, region and/or market capitalization.

The asset allocation process utilizes proprietary portfolio management optimization techniques based on an asset/liability

framework, combining an optimal portfolio with expected risks and correlations to derive an estimated return expectation for each



asset class. The Funds’ risk management practices include a daily review of risk analytic reports which monitor holdings to

ensure compliance with each Fund’s rebalancing policy. The objective of the rebalancing policy is to maintain each Fund’s

strategic asset mix during periods of market fluctuation. When an individual underlying fund holding has drifted by more than

2.5% from its long-term strategic asset mix, the Fund’s holdings are rebalanced to return relative over or underweight positions

within the rebalancing policy allowance.

Currency Risk

Currency risk is the risk that the value of investments will fluctuate due to changes in foreign exchange rates. This risk arises

when financial instruments (including cash and cash equivalents) are denominated in a currency other than Canadian dollars,

which represents the Funds’ functional currency. For Funds with hedged and unhedged classes, hedged classes of the Funds will

generally hedge their exposure to currency risk, while unhedged classes generally do not.

Interest Rate Risk

Interest rate risk is the risk that changes in interest rates will affect future cash flows or fair values of financial instruments.

Interest rate risk arises when the Funds invest in interest bearing financial instruments. The Funds are exposed to the risk that

the value of interest-bearing financial instruments will fluctuate due to changes in the prevailing levels of market interest rates.

Other Price Risk

Other price risk is the risk that the fair value or future cash flows of financial instruments will fluctuate as a result of changes in

market prices (other than those arising from interest rate risk or currency risk), whether caused by factors specific to and

individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment. The maximum risk

resulting from financial instruments held long is determined by the fair value of the instrument. The maximum risk resulting from

financial instruments sold short is unlimited.

Credit Risk

Credit risk is the risk that a counterparty to a financial instrument will fail to discharge an obligation or commitment that it has

entered into with the Funds. The main concentration of credit risk would be where a fund invests in debt instruments and

derivatives. The fair value includes consideration of the credit worthiness of the issuer and therefore represents the maximum

credit exposure of the Funds.

All transactions executed by a fund in listed securities are settled upon delivery using approved brokers. The risk of default is

minimal as delivery of securities sold is only made once the broker has received payment. Payment is made on a purchase once

the securities have been received by the broker. The trade will fail if either party fails to meet its obligation.

Liquidity Risk

Liquidity risk is the risk that the Funds may not be able to settle or meet their obligations on time or at a reasonable price. This is

concentrated in the daily cash redemptions of units. For all the Funds, units are issued and redeemed on demand at the then

current net asset value per unit at the option of the unitholder. The Funds invest primarily in securities that are actively traded

and can be readily liquidated. In addition, the Funds retain sufficient cash and cash equivalent positions to maintain liquidity. In

accordance with securities regulations, the Funds must maintain at least 90% of their assets in liquid investments. This also

helps the Manager manage the Funds’ exposure to daily cash redemptions of redeemable units. All liabilities of the Fund will

mature in one year or less.

Concentration Risk

Concentration risk arises as a result of the concentration of exposures within the same category, whether it is geographical

location, product type, industry sector or counterparty type.

Please refer to the Fund specific notes to the financial statements for fund-specific risk disclosures. Where a Fund only holds one

underlying fund, a look through is performed.

10. RELATED PARTY TRANSACTIONS



An affiliate of the Manager that is a U.S. registered broker-dealer, SEI Investments Distribution Company (“SIDCO”), provided

brokerage services to certain of the Funds, which during the periods ended June 30, 2020 and 2019, resulted in commissions

being paid directly or indirectly by the Funds to SIDCO.

The amounts are as follows:

2020 2019

$ $

Emerging Markets Equity Fund 24,844 -

11. INTEREST IN UNCONSOLIDATED STRUCTURED ENTITIES

INVESTMENTS IN UNDERLYING FUNDS

A structured entity is an entity that has been designed so that voting or similar rights are not the dominant factor in deciding who

controls the entity, such as when any voting rights relate to administrative tasks only and the relevant activities are by means of

contractual arrangements. All of the underlying funds in which the Funds invests are unconsolidated structured entities.

As mentioned in the prospectus of the Funds, each of the Asset Allocation Funds (collectively the “Top Funds”), as described in

Note 1, invests in mutual funds managed by the Manager. Investors of a Top Fund have no rights of ownership in the securities of

the underlying funds. Where the Manager is the manager of both the Top Fund and the underlying funds in which the Top Fund

invests, it will not vote the securities of the underlying funds. The Manager may arrange for these securities to be voted by the

beneficial investors of the applicable Top Fund. However, given the complexity and costs associated with implementing a

flow-through voting structure, it is unlikely that arrangements will be made for a flow-through of voting rights.

Since the Manager manages both the Asset Allocation Funds and the underlying funds, no sales or redemption fees are paid by

the Asset Allocation Funds when they purchase or redeem units of the underlying funds. The Funds do not provide financial

support to unconsolidated structured entities and has no intention of providing financial or other support. The underlying funds

finance their operations by issuing redeemable units which are puttable at the holder’s option and entitles the holder to

proportionate stake in the respective Fund’s net assets. Each Fund holds redeemable shares in each of its underlying funds. Each

Fund’s interest in each of its underlying funds, held in the form of redeemable units, are included at its fair value in the

Statement of Financial Position as Investments (non-derivative financial assets), which represents the maximum exposure on

these underlying funds. The change in fair value of each of the underlying funds is reported in the Statements of Comprehensive

Income as net change in unrealized appreciation (depreciation) of investments.

Additional information on the Funds’ interest in underlying funds, where applicable, is provided in the Fund specific notes to the

financial statements.

MORTGAGE RELATED SECURITIES

Certain Funds invest in mortgage-related and/or other asset-backed securities. The securities include, but not limited to,

commercial mortgage backed securities, asset-backed securities, and residential mortgage-backed securities. The debt and

equity securities issued by these securities may include tranches of varying levels of subordination. These securities may provide

a monthly payment which consists of both interest and principal payments.

Mortgage-related securities are created from pools of residential or commercial mortgage loans, including mortgage loans made

by savings and loan institutions, mortgage bankers, commercial banks and others. Asset-backed securities are created from many

types of assets, including auto loans, credit card receivables, home equity loans, and student loans.

Canadian Fixed Income Fund

As at June 30, 2020, the carrying value of mortgage related and other asset-backed securities included in Investments

(non-derivative financial assets) in the Statement of Financial Position is $11,984,254 (December 31, 2019 – $14,433,140).

This amount also represents the maximum exposure to losses at that date.



The change in fair value of mortgage related and other asset-backed securities are included in the Statements of Comprehensive

Income (Loss) in Net change in unrealized appreciation (depreciation) of investments and derivatives.

12. NET ASSETS PER UNIT AND NET ASSET VALUE PER UNIT

As at June 30, 2020 and December 31, 2019 there were no differences between the trading net assets per unit and the net

asset value per unit calculated in accordance with IFRS for any Fund.

13. MARKET RISK

Global health events and pandemics, such as COVID-19, have the ability to affect—quickly, drastically and substantially the

economies of many nations and can cause disruptions that cannot necessarily be foreseen. The spread of COVID-19 around the

world in 2020 resulted in a substantial number of nations implementing social distancing measures, quarantines, and the

shutdown of non-essential businesses and governmental services. Further, it has caused significant volatility in Canadian and

international markets which may adversely impact the financial performance of the Funds. The impact of COVID-19 may be short

term or may last for an extended period of time.

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