annual financial statement– as at december 31, 2011 · castlerock growth portfolio ......

Annual Financial Statement – as at December 31, 2011

A look inside

Overview............................................................................................................................ 1

About the Castlerock Funds Board of Governors and

Letter from the Castlerock Funds Board of Governors ......................................... 2

Management and Independent Auditor’s Report .................................................... 3

Castlerock Portfolios

Castlerock Growth Portfolio ................................................................................................ 4

Castlerock Balanced Growth Portfolio................................................................................ 9

Castlerock Balanced Portfolio ............................................................................................. 14

Castlerock Conservative Portfolio ...................................................................................... 19

Foreign Equity

Castlerock Capital Appreciation Fund................................................................................. 24

Castlerock Global Leaders Fund.......................................................................................... 31

Castlerock International Equity Fund .................................................................................. 38

Castlerock U.S. Dividend Growth Fund .............................................................................. 46

Domestic Equity

Castlerock Canadian Dividend Fund ................................................................................... 53

Castlerock Canadian Dividend Growth Fund ...................................................................... 60

Castlerock Canadian Growth Companies Fund .................................................................. 66

Castlerock Canadian Stock Fund......................................................................................... 71

Castlerock Canadian Value Fund......................................................................................... 78

Castlerock Pure Canadian Equity Fund .............................................................................. 86

Canadian and Global Balanced

Castlerock Canadian Balanced Fund................................................................................... 91

Castlerock Global Balanced Fund ....................................................................................... 99

Castlerock Total Return Fund ............................................................................................. 109

Income

Castlerock Canadian Bond Fund ......................................................................................... 118

Castlerock Enhanced Yield Fund......................................................................................... 126

Castlerock Global High Income Fund ................................................................................. 134

Money Market

Castlerock Canadian Money Market Fund ........................................................................ 143

Notes to the Financial Statements .............................................................................. 150

Legal Notice ................................................................................................................... 155

– 1 –

Enclosed are the Financial Statements for your Castlerock Investments fund or funds, covering the year ending December 31, 2011. Inside is

important information about each fund, including the financial statements and a list of portfolio holdings at the end of the period.

Additional information about your funds can be found on our website, www.castlerockinvestments.ca.

If you have any questions about your investments, please contact your financial advisor. Castlerock is proud to partner with advisors across Canada.

We believe investors are most successful when they follow an investment plan developed with the assistance of a qualified advisor.

You may also contact Castlerock Client Services at 1-877-540-4828. Thank you for investing with us.

ABOUT CASTLEROCK INVESTMENTS

Castlerock Investments provides Canadians with leading portfolio management expertise and a focused lineup of core investment solutions. The

company was known as Hartford Investments Canada before its acquisition by CI Financial Corp. In February 2011, the firm was relaunched

as Castlerock.

Castlerock operates as a division of CI Investments Inc., one of Canada’s largest investment fund companies. CI manages over $70 billion on behalf

of two million Canadians (as of December 31, 2011). CI is a subsidiary of CI Financial, a TSX-listed financial services firm.

TORONTO | 2 Queen Street East, Twentieth Floor, Toronto, Ontario M5C 3G7 | 1-800-268-9374 or 416-364-1145 |

The Castlerock Funds Board of Governors was voluntarily established.

The Board of Governors acts as an independent governance body of all Castlerock Funds, providing

impartial judgment on conflicts of interest with a view to the best interests of the Castlerock Funds

and Castlerock Funds investors. The Board of Governors recommends the best course of action to

achieve a fair and reasonable result on any conflict of interest issues, and Castlerock takes into

account its recommendation in accordance with its fiduciary duty to the Castlerock Funds. All of the

members of the Board are independent of Castlerock.

The Board of Governors mandate is set out in a separate charter and reviewed annually by the Board

to ensure its mandate conforms to the expectations and requirements of Canadian securities

regulators. Along with dealing with conflicts of interest, the mandate provides that the Board acts as

an audit committee for the Castlerock Funds for the purpose of reviewing the financial statements of

the Castlerock Funds with the auditors of the Castlerock Funds.

The Board also reviews and discusses on a regular basis matters including compliance of the

Castlerock Funds with Castlerock’s relevant policies and procedures, approval of the Castlerock Funds’

auditors and the fees paid to those auditors, and the performance of the Board and its members.

The Board of Governors adheres to the guidelines set out by Canadian securities regulators in

National Instrument 81-107 Independent Review Committee for Mutual Funds which requires all

mutual funds in Canada to have independent review committees.

Members of the Board of Governors are compensated as recommended by the Canadian securities

regulators and as set out in its mandate. These expenses are paid out of the assets of the Castlerock

Funds.

The members of the Board of Governors are:

William Harding, Managing Partner, Alpine Asset Advisors AG

Governor since December 2010

Stuart P. Hensman, Corporate Director


Christopher M. Hopper, President, KLQ Mechanical Ltd.


Sharon M. Ranson, President, The Ranson Group


James M. Werry, Corporate Director

Governor since September 2011

About the Castlerock Funds Board of Governors

Your Castlerock Funds Board of Governors is pleased to report on its activities in respect of the year

ended December 31, 2011 and to date. The Governors are appointed pursuant to the Declarations of

Trust governing the Castlerock Funds.

The Governors have reviewed, commented on and approved the Castlerock Code of Ethics and

Conduct, which establishes rules of conduct designed to ensure fair treatment of the Castlerock

Funds’ securityholders and that, at all times, the interests of the Castlerock Funds and their

securityholders are placed above personal interests of employees, officers and directors of the

Manager and each of its subsidiaries and affiliates, the subadvisors, and the Governors, through the

application of the highest standards of integrity and ethical business conduct. The Code of Ethics and

Conduct requires the prior clearance of personal trades and restricts the ability of staff to trade any

securities held by the Castlerock Funds. The objective is not only to remove any potential for real

conflict of interest but to avoid any perception of conflict. The Manager's year 2011 report on

compliance with the Code of Ethics and Conduct and other relevant policies has been provided to the

Governors in a timely and satisfactory manner.

The Governors report that management has been open and cooperative, permitting the Governors to

meet with subadvisors, to meet with individual department heads and personnel to review control

mechanisms and compliance procedures, including those relating to the personal securities trading

activity of employees, and to consider other matters that affect the Castlerock Funds. During 2011,

the Governors also acted as the audit committee of the Castlerock Funds. The audit committee

reviewed, with the Castlerock Funds’ auditors, the planning, scope and results of the audit of the

financial statements of the Castlerock Funds for the year 2011. In March 2012, the Board of Governors

received and accepted the 2011 Annual Financial Statements of the Castlerock Funds.

Stuart P. Hensman

Chair, Castlerock Funds Board of Governors

March 6, 2012

Letter from the Castlerock Funds Board of Governors

Annual Financial Statements as at December 31, 2011 – 2 –

– 3 –

MANAGEMENT’S RESPONSIBILITY

FOR FINANCIAL REPORTING

The accompanying financial statements have been prepared by management of the Funds and approved

by the Board of Directors of CI Investments Inc. Management is responsible for the information and

representations contained in these financial statements and other sections of this report.

The Funds maintain appropriate processes to ensure that relevant and reliable financial information is

produced. The financial statements have been prepared in accordance with Canadian generally

accepted accounting principles and include certain amounts that are based on estimates and

judgements. The significant accounting policies which management believes are appropriate for the

Funds are described in Note 2 to the financial statements. Financial information provided elsewhere

in this report is consistent with that in the financial statements.

The Board of Directors of CI Investments Inc. is responsible for reviewing and approving the financial

statements and overseeing the performance of its financial reporting responsibilities. They also

review the adequacy of internal controls, the audit process and financial reporting with external

auditors.

PricewaterhouseCoopers LLP are the external auditors of the Funds. They have audited the financial

statements in accordance with Canadian generally accepted auditing standards to enable them to

express to the unitholders their opinion on the financial statements. Their audit report follows.

Derek J. Green Douglas J. Jamieson

President and Chief Executive Officer Chief Financial Officer

INDEPENDENT AUDITOR’S REPORT

We have audited the accompanying financial statements of each of the Funds, which comprise the

statement of investment portfolio as at December 31, 2011, and the statements of net assets,

operations and changes in net assets as at and for the periods indicated in Note 1 and the related

notes, which comprise a summary of significant accounting policies and other explanatory

information.

Management’s responsibility for the financial statements

Management is responsible for the preparation and fair presentation of the financial statements of each

of the Funds in accordance with Canadian generally accepted accounting principles, and for such internal

control as management determines is necessary to enable the preparation of financial statements that

are free from material misstatement, whether due to fraud or error.

Auditor’s responsibility

Our responsibility is to express an opinion on the financial statements of each of the Funds based on

each of our audits. We conducted our audits in accordance with Canadian generally accepted auditing

standards. Those standards require that we comply with ethical requirements and plan and perform an

audit to obtain reasonable assurance about whether the financial statements are free from material

misstatement.

An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in

the financial statements. The procedures selected depend on the auditor’s judgment, including the

assessment of the risks of material misstatement of the financial statements, whether due to fraud or

error. In making those risk assessments, the auditor considers internal control relevant to the entity’s

preparation and fair presentation of the financial statements in order to design audit procedures that are

appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness

of the entity’s internal control. An audit also includes evaluating the appropriateness of accounting

policies used and the reasonableness of accounting estimates made by management, as well as

evaluating the overall presentation of the financial statements.

We believe that the audit evidence we have obtained in each of our audits is sufficient and

appropriate to provide a basis for our audit opinion.

Opinion

In our opinion, the financial statements of each of the Funds present fairly, in all material respects, the

financial position of each of the Funds, the results of each of their operations and the changes in each

of their net assets as at and for the periods indicated in Note 1 in accordance with Canadian generally

accepted accounting principles.

Chartered Accountants, Licensed Public Accountants

Toronto, Ontario

March 22, 2012

Castlerock FundsManagement and Independent Auditor’s Reports to Unitholders as at December 31, 2011

Annual Financial Statements as at December 31, 2011

To the Unitholders of:

Castlerock Balanced Portfolio

Castlerock Balanced Growth Portfolio

Castlerock Canadian Balanced Fund

Castlerock Canadian Bond Fund

Castlerock Canadian Dividend Fund

Castlerock Canadian Dividend Growth Fund

Castlerock Canadian Growth Companies Fund

Castlerock Canadian Money Market Fund

Castlerock Canadian Stock Fund

Castlerock Canadian Value Fund

Castlerock Capital Appreciation Fund

Castlerock Conservative Portfolio

Castlerock Enhanced Yield Fund

Castlerock Global Balanced Fund

Castlerock Global High Income Fund

Castlerock Global Leaders Fund

Castlerock Growth Portfolio

Castlerock International Equity Fund

Castlerock Pure Canadian Equity Fund

Castlerock Total Return Fund

Castlerock U.S. Dividend Growth Fund

(collectively the “Funds”)

Castlerock Growth Portfolio Statement of Investment Portfolio as at December 31, 2011

– 4 – CIG - 11128

Average FairNo. of Units Cost ($) Value ($)

FUNDS (99.4%)†

405,647 Castlerock Canadian Bond Fund (Series I) 2,290,357 2,413,602 214,874 Castlerock Canadian Dividend Fund (Series I) 2,549,416 2,988,894 97,236 Castlerock Canadian Dividend Growth Fund

(Series I) 1,270,369 1,366,165 153,946 Castlerock Canadian Stock Fund (Series I) 2,008,640 2,029,008 79,953 Castlerock Canadian Value Fund (Series I) 960,901 1,046,588

228,499 Castlerock Capital Appreciation Fund (Series I) 2,512,529 2,499,774 157,840 Castlerock Global High Income Fund (Series I) 1,620,936 1,598,924 201,508 Castlerock Global Leaders Fund (Series I) 1,702,945 1,664,460 209,932 Castlerock International Equity Fund (Series I) 2,594,503 2,523,379 188,414 Castlerock US Dividend Growth Fund (Series I) 1,748,142 1,889,791 76,648 CI Emerging Markets Corporate Class (I Shares) 798,253 781,808

20,056,991 20,802,393

Total Investments (99.4%) 20,056,991 20,802,393

Other Assets (net) (0.6%) 121,412

Net Assets (100.0%) 20,923,805

†The Fund invests in other Castlerock and CI Funds. The Fund and the underlying funds are commonly managed by CI Investments Inc.Percentages shown in brackets relate investments at fair value to net assets of the Fund.The accompanying notes are an integral part of these financial statements.


Castlerock Growth PortfolioFinancial Statements

– 5 –Annual Financial Statements as at December 31, 2011

AssetsInvestments at fair value*CashShort-term investmentsUnrealized gain on futures and forward currency contractsCash collateral received for securities on loan (Note 7)Receivable for unit subscriptionsReceivable for securities soldPrepaid expenseReceivable for dividends and accrued interest

LiabilitiesBank overdraftManagement fees payableAccrued expensesUnrealized loss on futures and forward currency contractsPayable for securities purchasedPayable for unit redemptionsPayable for cash collateral under securities lending (Note 7)Investments sold short at fair value**Distributions payable

Net assets and unitholders' equity

**Investments at cost**Investments sold short at cost

Net assets per seriesSeries ASeries BSeries FSeries T(A)Series T(B)

Net assets per unit Series ASeries BSeries FSeries T(A)Series T(B)

Number of units outstanding(see Schedule of Fund Unit Transactions)

Series ASeries BSeries FSeries T(A)Series T(B)

IncomeDividendsInterest Other incomeSecurities lending (Note 7)Derivative income (loss)Income distribution from investmentsLess: Foreign withholding taxes

ExpensesManagement fees (Note 5)Audit feesLegal feesFiling feesCustodian feesMiscellaneous expensesUnitholder reporting costsIndependent review committee feesAdministration expenses

Expenses absorbed by the ManagerNet investment income (loss) for the year

Realized and unrealized gain (loss) on investments and commissions and other portfolio transaction costs

Realized gain (loss) on investmentsForeign exchange gain (loss)Commissions and other portfolio transaction costsChange in unrealized appreciation (depreciation)

of investmentsNet gain (loss) on investmentsIncrease (decrease) in net assets from operations

Increase (decrease) in net assets from operations per seriesSeries ASeries BSeries FSeries T(A)Series T(B)

Increase (decrease) in net assets from operationsper unit (Note 2)


20,802 20,72561 136

- -- -- -

71 61- -- -

10 8820,944 21,010

- -- -- -- -- 246

20 6- -- -- -

20 25220,924 20,758

20,057 18,538- -

2,069 1,93317,373 17,033

949 1,11543 95

490 582

12.08 12.9712.00 12.9112.41 13.1915.14 17.3515.04 17.27

171,315 149,0011,448,217 1,319,113

76,485 84,5882,847 5,495

32,564 33,724

- -- -- -- -- -

252 178- -

252 178

456 313- 11- 74 22- -- -- 31 1

123 63584 420

- (63)(332) (179)

119 346- -- (1)

(1,442) 1,434(1,323) 1,779(1,655) 1,600

(157) 148(1,348) 1,323

(65) 107(6) 6

(79) 16

(0.92) 1.06(0.96) 1.33(0.77) 1.60(1.17) 2.69(1.72) 0.84

Statements of Operations for the years ended December 31(in $000’s except for per unit amounts)

2011 2010

Statements of Net Assets as at December 31(in $000’s except for per unit amounts and units outstanding)

2011 2010

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

Castlerock Growth PortfolioFinancial Statements

– 6 –

Series ANet assets, beginning of yearCapital transactions

Proceeds from units issued Reinvested distributionsAmounts paid for units redeemed

Distributions to investorsFrom realized gainsFrom net incomeFrom return of capital

Increase (decrease) in net assets from operationsNet assets, end of year

Series BNet assets, beginning of yearCapital transactions




Series FNet assets, beginning of yearCapital transactions




Series T(A)Net assets, beginning of yearCapital transactions




Series T(B)Net assets, beginning of yearCapital transactions




Total FundNet assets, beginning of yearCapital transactions




95 16

23 893 2

(67) (16)(41) 75

- -- -

(5) (2)(5) (2)(6) 643 95

582 207

1,004 75912 15

(982) (396)34 378

- -- -

(47) (19)(47) (19)(79) 16490 582

20,758 8,597

9,524 14,72815 17

(7,666) (4,163)1,873 10,582

- -- -

(52) (21)(52) (21)

(1,655) 1,60020,924 20,758

1,933 1,334

903 1,346- -

(610) (895)293 451

- -- -- -- -

(157) 1482,069 1,933

17,033 6,907

7,525 11,609- -

(5,837) (2,806)1,688 8,803

- -- -- -- -

(1,348) 1,32317,373 17,033

1,115 133

69 925- -

(170) (50)(101) 875

- -- -- -- -

(65) 107949 1,115

Statements of Changes in Net Assets for the years ended December 31 (in $000’s)

2011 2010


Statements of Changes in Net Assets (cont’d)for the years ended December 31 (in $000’s)

2011 2010


Castlerock Growth PortfolioFinancial Statements – Supplementary Schedules

– 7 –

Series ABalance, beginning of yearUnits issued for cash Units issued for reinvested distributionsUnits redeemedBalance, end of year

Series BBalance, beginning of yearUnits issued for cash Units issued for reinvested distributionsUnits redeemedBalance, end of year

Series FBalance, beginning of yearUnits issued for cash Units issued for reinvested distributionsUnits redeemedBalance, end of year

Series T(A)Balance, beginning of yearUnits issued for cash Units issued for reinvested distributionsUnits redeemedBalance, end of year

Series T(B)Balance, beginning of yearUnits issued for cash Units issued for reinvested distributionsUnits redeemedBalance, end of year

Schedule of Fund Unit Transactions for the years ended December 31

2011 2010

149,001 111,92470,163 112,290

- -(47,849) (75,213)171,315 149,001

1,319,113 580,794588,781 970,973

- -(459,677) (232,654)

1,448,217 1,319,113

84,588 11,0735,438 77,517

- -(13,541) (4,002)76,485 84,588

5,495 9421,462 5,361

204 115(4,314) (923)2,847 5,495

33,724 12,21458,825 45,122

747 897(60,732) (24,509)32,564 33,724


Annual management fee rateSeries ASeries BSeries FSeries T(A)Series T(B)

2.002.201.002.002.20

Schedule of Fees (Note 5)as at December 31 (%)

2011


Schedule of Loss Carry Forwardsas at December 31 (in $000’s)

Net capital loss carried forward

Non-capital losses expiring:20142015202620272028202920302031Total

2011-

-----

33-

261294

Castlerock Growth PortfolioFund Specific Financial Instruments Risks (Note 11)

The Fund’s investments were concentrated in the following Underlying Funds:

as at December 31, 2010

Categories Net Assets (%)Castlerock Canadian Dividend Fund (Series I) ........................................................................ 15.1Castlerock International Equity Fund (Series I) ....................................................................... 15.3Castlerock Canadian Stock Fund (Series I).............................................................................. 11.2Castlerock Canadian Bond Fund (Series I) .............................................................................. 10.7Castlerock Capital Appreciation Fund (Series I)...................................................................... 9.5Castlerock Global High Income Fund (Series I) ....................................................................... 7.6Castlerock Canadian Value Fund (Series I).............................................................................. 6.8Castlerock Global Leaders Fund (Series I)............................................................................... 6.8Castlerock U.S. Dividend Growth Fund (Series I) .................................................................... 5.9Castlerock Canadian Dividend Growth Fund (Series I) ........................................................... 5.6iShares MSCI Emerging Markets Index Fund ......................................................................... 3.3iShares DEX Real Return Bond Index Fund ............................................................................. 2.0Cash ......................................................................................................................................... 0.7Other Assets (net) ................................................................................................................... -0.5

Other Price RiskAs at December 31, 2011 and 2010, the Fund indirectly bears the other price risk exposure of theUnderlying Funds.

As at December 31, 2011, had the global markets increased or decreased by 10% (December 31, 2010- 5%), with all other variables held constant, net assets of the Fund would have increased ordecreased, respectively, by approximately $1,839,000 (December 31, 2010 - $1,036,000). In practice,actual results may differ from this analysis and the difference may be material.

Refer to Note 11 for discussion of other financial instrument risks.

Fair Value HierarchyThe tables below summarize the inputs used by the Fund in valuing the Fund’s investments andderivatives carried at fair value.

Long Positions at fair value as at December 31, 2011Level 1 Level 2 Level 3 Total

(in $000's) (in $000's) (in $000's) (in $000's)Underlying Funds 20,802 - - 20,802 Total 20,802 - - 20,802


(in $000's) (in $000's) (in $000's) (in $000's)Underlying and Exchange Traded Funds 20,725 - - 20,725 Total 20,725 - - 20,725

There were no transfers between Level 1, 2 and 3 during 2011 and 2010.

– 8 –



Castlerock Balanced Growth Portfolio Statement of Investment Portfolio as at December 31, 2011

– 9 – CIG - 11127


FUNDS (99.2%)†

1,753,491 Castlerock Canadian Bond Fund (Series I) 9,890,636 10,433,274 490,853 Castlerock Canadian Dividend Fund (Series I) 5,877,425 6,827,764 105,794 Castlerock Canadian Dividend Growth Fund

(Series I) 1,391,509 1,486,400 296,013 Castlerock Canadian Stock Fund (Series I) 3,849,417 3,901,447 248,478 Castlerock Canadian Value Fund (Series I) 3,169,362 3,252,577 433,371 Castlerock Capital Appreciation Fund (Series I) 4,802,163 4,741,076 666,754 Castlerock Global High Income Fund (Series I) 6,875,407 6,754,221 431,805 Castlerock Global Leaders Fund (Series I) 3,835,816 3,566,710 517,906 Castlerock International Equity Fund (Series I) 6,531,099 6,225,227 301,122 Castlerock US Dividend Growth Fund (Series I) 2,737,731 3,020,250 141,149 CI Emerging Markets Corporate Class (I Shares) 1,460,674 1,439,717

50,421,239 51,648,663



Net Assets (100.0%) 52,049,909



Castlerock Balanced Growth PortfolioFinancial Statements



















51,649 48,745397 256

- -- -- -

38 423- 1- -

42 38452,126 49,809

- -- -- -- -- 912

76 83- -- -- -

76 99552,050 48,814

50,421 44,816- -

6,739 6,48242,255 39,240

853 912522 435

1,681 1,745

11.88 12.5911.81 12.5412.21 12.7914.91 16.8314.80 16.74

567,153 515,0223,577,690 3,129,680

69,889 71,25634,992 25,877

113,527 104,218

- -- -- -- -- -

831 575- -

831 575

1,120 7161 11- 79 22- -- -- 51 1

309 1401,440 902

- (90)(609) (237)

149 761- -

(1) (1)

(2,701) 2,849(2,553) 3,609(3,162) 3,372

(414) 427(2,566) 2,724

(42) 84(29) 29

(111) 108

(0.73) 1.13(0.75) 1.20(0.57) 1.64(0.96) 2.20(0.98) 1.52


2011 2010


2011 2010


Castlerock Balanced Growth PortfolioFinancial Statements

– 11 –

























435 75

299 35010 2

(162) (8)147 344

- -- -

(31) (13)(31) (13)(29) 29522 435

1,745 636

879 1,87143 37

(762) (838)160 1,070

- -- -

(113) (69)(113) (69)(111) 108

1,681 1,745

48,814 16,966

20,879 35,10453 39

(14,390) (6,585)6,542 28,558

- -- -

(144) (82)(144) (82)

(3,162) 3,37252,050 48,814

6,482 2,720

3,401 5,105- -

(2,730) (1,770)671 3,335

- -- -- -- -

(414) 4276,739 6,482

39,240 13,428

16,259 26,991- -

(10,678) (3,903)5,581 23,088

- -- -- -- -

(2,566) 2,72442,255 39,240

912 107

41 787- -

(58) (66)(17) 721

- -- -- -- -

(42) 84853 912


2011 2010



2011 2010


Castlerock Balanced Growth PortfolioFinancial Statements – Supplementary Schedules

– 12 –







2011 2010

515,022 233,191273,803 431,389

- -(221,672) (149,558)567,153 515,022

3,129,680 1,152,9971,317,180 2,304,875

- -(869,170) (328,192)

3,577,690 3,129,680

71,256 9,1563,181 67,598

- -(4,548) (5,498)69,889 71,256

25,877 4,49718,362 21,759

617 97(9,864) (476)34,992 25,877

104,218 38,45454,034 115,4312,728 2,304

(47,453) (51,971)113,527 104,218



2.002.201.002.002.20


2011





2011-

-----

10-

511521

Castlerock Balanced Growth PortfolioFund Specific Financial Instruments Risks (Note 11)



Categories Net Assets (%)Castlerock Canadian Bond Fund (Series I) .............................................................................. 18.7Castlerock International Equity Fund (Series I) ....................................................................... 15.3Castlerock Canadian Dividend Fund (Series I) ........................................................................ 13.5Castlerock Global High Income Fund (Series I) ....................................................................... 13.5Castlerock Canadian Stock Fund (Series I).............................................................................. 9.7Castlerock Canadian Value Fund (Series I).............................................................................. 7.0Castlerock Capital Appreciation Fund (Series I)...................................................................... 6.7Castlerock U.S. Dividend Growth Fund (Series I) .................................................................... 4.9Castlerock Global Leaders Fund (Series I)............................................................................... 3.2iShares DEX Real Return Bond Index Fund ............................................................................. 3.2Castlerock Canadian Dividend Growth Fund (Series I) ........................................................... 2.5iShares MSCI Emerging Markets Index Fund ......................................................................... 1.7Cash ......................................................................................................................................... 0.5Other Assets (net) ................................................................................................................... -0.4










– 13 –



Castlerock Balanced Portfolio Statement of Investment Portfolio as at December 31, 2011

– 14 – CIG - 11126


FUNDS (100.0%)†


(Series I) 1,369,565 1,471,072 189,664 Castlerock Canadian Stock Fund (Series I) 2,463,405 2,499,769 107,669 Castlerock Canadian Value Fund (Series I) 1,314,014 1,409,390 287,637 Castlerock Capital Appreciation Fund (Series I) 3,156,983 3,146,754 148,999 Castlerock Enhanced Yield Fund (Series I) 1,487,859 1,509,357 713,601 Castlerock Global High Income Fund (Series I) 7,369,996 7,228,781 320,750 Castlerock Global Leaders Fund (Series I) 2,921,921 2,649,392 382,056 Castlerock International Equity Fund (Series I) 4,831,057 4,592,314 204,775 Castlerock US Dividend Growth Fund (Series I) 1,845,654 2,053,898 33,526 CI Emerging Markets Corporate Class (I Shares) 351,298 341,967

43,447,383 44,481,813


Other Assets (net) (0.0%) (11,662)

Net Assets (100.0%) 44,470,151



Castlerock Balanced PortfolioFinancial Statements














Realized gain (loss) on investmentsForeign exchange gain (loss)Capital distribution from investmentsCommissions and other portfolio transaction costsChange in unrealized appreciation (depreciation)





44,482 43,520- 312- -- -- -

17 325- 31- -

62 43444,561 44,622

40 -- -- -- -- 971

51 49- -- -- 10

91 1,03044,470 43,592

43,447 40,867- -

4,919 4,97633,737 33,179

161 148438 499

5,215 4,790

11.62 12.0011.55 11.9611.74 11.9914.86 16.3514.48 15.96

423,253 414,5912,920,598 2,774,189

13,732 12,35029,438 30,524

360,104 300,096

- -- -- -- -- -

937 666- -

937 666

990 6461 11- 78 22- -- -- 41 1

266 1241,266 815

- (83)(329) (66)

270 748- -

34 -(1) (1)

(1,618) 1,921(1,315) 2,668(1,644) 2,602

(163) 323(1,277) 1,961

(4) 13(15) 29

(185) 276

(0.39) 1.06(0.43) 0.99(0.27) 1.29(0.52) 2.05(0.54) 1.38


2011 2010


2011 2010


Castlerock Balanced PortfolioFinancial Statements

– 16 –

























499 101

287 57411 12

(312) (197)(14) 389

- (7)- -

(32) (13)(32) (20)(15) 29438 499

4,790 1,553

1,853 3,81473 90

(991) (706)935 3,198

- (49)- -

(325) (188)(325) (237)(185) 276

5,215 4,790

43,592 16,910

18,050 31,40784 443

(15,255) (7,162)2,879 24,688

- (407)- -

(357) (201)(357) (608)

(1,644) 2,60244,470 43,592

4,976 1,901

2,474 4,016- 43

(2,368) (1,262)106 2,797

- (45)- -- -- (45)

(163) 3234,919 4,976

33,179 13,307

13,378 22,867- 294

(11,543) (4,948)1,835 18,213

- (302)- -- -- (302)

(1,277) 1,96133,737 33,179

148 48

58 136- 4

(41) (49)17 91

- (4)- -- -- (4)

(4) 13161 148


2011 2010



2011 2010


Castlerock Balanced PortfolioFinancial Statements – Supplementary Schedules

– 17 –







2011 2010

414,591 168,297207,748 351,903

5 3,611(199,091) (109,220)423,253 414,591

2,774,189 1,179,0431,129,352 2,000,398

2 24,585(982,945) (429,837)

2,920,598 2,774,189

12,350 4,2304,819 11,993

- 308(3,437) (4,181)13,732 12,350

30,524 6,11418,253 35,665

688 764(20,027) (12,019)29,438 30,524

300,096 96,865120,550 242,699

4,789 5,679(65,331) (45,147)360,104 300,096



2.002.201.002.002.20


2011





2011-

-------

216216

Castlerock Balanced PortfolioFund Specific Financial Instruments Risks (Note 11)



Categories Net Assets (%)Castlerock Canadian Bond Fund (Series I) .............................................................................. 29.4Castlerock Global High Income Fund (Series I) ....................................................................... 15.9Castlerock International Equity Fund (Series I) ....................................................................... 12.8Castlerock Canadian Dividend Fund (Series I) ........................................................................ 10.2Castlerock Canadian Stock Fund (Series I).............................................................................. 6.8Castlerock Capital Appreciation Fund (Series I)...................................................................... 5.4iShares DEX Real Return Bond Index Fund ............................................................................. 4.7Castlerock Canadian Value Fund (Series I).............................................................................. 4.3Castlerock U.S. Dividend Growth Fund (Series I) .................................................................... 3.9Castlerock Canadian Dividend Growth Fund (Series I) ........................................................... 3.0Castlerock Global Leaders Fund (Series I)............................................................................... 2.5iShares MSCI Emerging Markets Index Fund ......................................................................... 0.9Cash ......................................................................................................................................... 0.7Other Assets (net) ................................................................................................................... -0.5










– 18 –



Castlerock Conservative PortfolioStatement of Investment Portfolio as at December 31, 2011

– 19 – CIG - 11125


FUNDS (98.2%)†


(Series I) 727,329 784,694 31,505 Castlerock Canadian Stock Fund (Series I) 409,624 415,241 76,173 Castlerock Canadian Value Fund (Series I) 985,040 997,106 96,655 Castlerock Capital Appreciation Fund (Series I) 1,044,009 1,057,400

246,682 Castlerock Enhanced Yield Fund (Series I) 2,465,091 2,498,888 492,074 Castlerock Global High Income Fund (Series I) 5,101,244 4,984,712 164,656 Castlerock Global Leaders Fund (Series I) 1,483,629 1,360,059 165,762 Castlerock International Equity Fund (Series I) 2,104,700 1,992,456 94,743 Castlerock US Dividend Growth Fund (Series I) 849,680 950,274 3,362 CI Emerging Markets Corporate Class (I Shares) 35,230 34,295

26,989,178 27,671,750



Net Assets (100.0%) 28,187,886



Castlerock Conservative PortfolioFinancial Statements














Realized gain (loss) on investmentsForeign exchange gain (loss)Capital distribution from investmentsCommissions and other portfolio transaction costsChange in unrealized appreciation (depreciation)





27,672 27,070472 174

- -- -- -

32 130- 14- -

57 32428,233 27,712

- -- -- -- -- 547

45 14- -- -- 29

45 59028,188 27,122

26,989 25,984- -

4,840 4,75020,298 18,827

134 372210 518

2,706 2,655

11.45 11.4811.43 11.4911.44 11.4514.38 15.3514.30 15.29

422,821 413,5951,775,359 1,638,782

11,734 32,52514,627 33,763

189,216 173,681

- -- -- -- -- -

674 511- -

674 511

528 351- 11- 75 22- -- -- 21 1

148 77682 471

- (68)(8) 108

237 5011 -

76 -(1) (1)

(403) 857(90) 1,357(98) 1,465

(13) 281(72) 1,010

3 22(3) 13

(13) 139

(0.04) 0.87(0.04) 0.880.12 1.00(0.07) 1.51(0.06) 1.32


2011 2010


2011 2010


Castlerock Conservative PortfolioFinancial Statements

– 21 –

























518 2

11 7754 14

(295) (268)(280) 521

- (8)- (2)

(25) (8)(25) (18)(3) 13

210 518

2,655 861

847 2,09153 93

(662) (373)238 1,811

- (45)- (15)

(174) (96)(174) (156)(13) 139

2,706 2,655

27,122 9,709

9,939 22,87382 546

(8,631) (6,827)1,390 16,592

- (425)- (115)

(226) (104)(226) (644)(98) 1,465

28,188 27,122

4,750 2,068

2,036 3,97711 98

(1,933) (1,574)114 2,501

- (73)- (27)

(11) -(11) (100)(13) 281

4,840 4,750

18,827 6,750

7,023 15,67313 331

(5,479) (4,577)1,557 11,427

- (293)- (67)

(14) -(14) (360)(72) 1,010

20,298 18,827

372 28

22 3571 10

(262) (35)(239) 332

- (6)- (4)

(2) -(2) (10)3 22

134 372


2011 2010



2011 2010


Castlerock Conservative PortfolioFinancial Statements – Supplementary Schedules

– 22 –







2011 2010

413,595 188,092177,058 358,197

936 8,572(168,768) (141,266)422,821 413,595

1,638,782 613,516613,906 1,402,352

1,105 28,883(478,434) (405,969)

1,775,359 1,638,782

32,525 2,5671,890 32,041

115 858(22,796) (2,941)11,734 32,525

33,763 135755 49,835239 894

(20,130) (17,101)14,627 33,763

173,681 55,08756,836 136,7803,621 6,101

(44,922) (24,287)189,216 173,681



1.751.950.951.751.95


2011





The Fund under distributed net realizable capital gains during the year which resulted in a taxpayable in the amount of $16,872. Under the terms of an agreement dated March 12, 2012, a thirdparty administrator has acknowledged its responsibility and unconditionally assumed the taxliability, and the Fund has agreed to undertake all commercially reasonable and legally permissiblemeasures, not to the detriment of unitholders, to recover tax payments and remit such recoveredamounts, if any, to the third party administrator as they occur. Subsequent to year end, the taxeswere paid in accordance with the agreement. The under distribution of realized capital gains did notadversely impact the unitholders of the Fund as the balance was paid by the 3rd party administrator.

2011-

---------

Castlerock Conservative PortfolioFund Specific Financial Instruments Risks (Note 11)



Categories Net Assets (%)Castlerock Canadian Bond Fund, (Series I) ............................................................................. 40.5Castlerock Global High Income Fund, (Series I) ...................................................................... 17.9Castlerock International Equity Fund, (Series I) ...................................................................... 9.1Castlerock Canadian Dividend Fund, (Series I) ....................................................................... 7.9iShares DEX Real Return Bond Index Fund ............................................................................. 6.3Castlerock Canadian Value Fund, (Series I)............................................................................. 4.2Castlerock U.S. Dividend Growth Fund, (Series I) ................................................................... 3.4Castlerock Capital Appreciation Fund, (Series I)..................................................................... 3.0Castlerock Global Leaders Fund, (Series I).............................................................................. 2.8Castlerock Canadian Dividend Growth Fund, (Series I) .......................................................... 2.7Castlerock Canadian Stock Fund, (Series I)............................................................................. 1.8Cash ......................................................................................................................................... 0.6iShares MSCI Emerging Markets Index Fund ......................................................................... 0.2Other Assets (net) .................................................................................................................... -0.4










– 23 –



NETHERLANDS ANTILLES (3.2%)20,400 Schlumberger Ltd. 1,779,902 1,419,380

SWITZERLAND (2.7%)30,145 Garmin Ltd.* 987,289 1,222,518

BERMUDA (1.5%)39,025 Nabors Industries Ltd. 968,638 688,555

IRELAND (1.4%) 11,600 Accenture PLC 602,161 629,017

Commissions and other portfoliotransaction costs (24,406)


Other Assets (net) (3.7%) 1,645,271

Net Assets (100.0%) 45,072,463

Castlerock Capital Appreciation FundStatement of Investment Portfolio as at December 31, 2011

– 24 – CIG - 11105

No. of Shares/ Average FairPar Value Cost ($) Value ($)

U.S.A. (68.0%)19,200 Adobe Systems Inc. 524,380 552,740 27,700 Aflac Inc. 1,543,762 1,220,714 17,100 Anadarko Petroleum Corp. 1,290,367 1,329,830 97,125 Applied Materials Inc. 1,433,210 1,058,675 42,500 Best Buy Co., Inc. 1,374,359 1,011,369 22,975 Boeing Co. 1,637,479 1,716,736 28,660 Chesapeake Energy Corp. 868,252 650,780 57,315 Dell Inc. 802,827 853,618 16,000 Flour Corp. 1,154,257 818,549 25,455 Freeport-McMoRan Copper & Gold Inc.,

Class B (USD) 1,197,442 954,005 13,980 Goldman Sachs Group Inc. 2,095,075 1,288,141 22,817 Harman International Industries Inc. 959,041 884,890 47,150 Intel Corp. 1,009,767 1,164,773 21,030 Johnson & Johnson 1,266,525 1,404,299 34,820 JPMorgan Chase & Co. 1,447,516 1,179,064 10,087 Marathon Petroleum Corp. 369,987 342,180 21,562 McGraw-Hill Cos., Inc. 808,812 987,559 75,275 Microsoft Corp. 2,015,867 1,990,688 27,700 Monsanto Co. 2,028,090 1,977,241 17,971 Mosaic Co. 1,193,426 923,228 11,175 Norfolk Southern Corp. 715,398 829,439 15,675 Oracle Corp. 487,594 409,264 10,230 Procter & Gamble Co. 664,628 694,686 10,605 QUALCOMM Inc. 607,968 590,619 14,756 SanDisk Corp. 687,462 739,574 40,075 Spectra Energy Corp. 1,023,135 1,254,538 25,600 State Street Corp. 1,176,240 1,050,976 33,070 Walt Disney Co. 1,364,737 1,262,646 55,175 Wells Fargo & Co. 1,473,343 1,549,064

33,220,946 30,689,885CANADA (19.5%)

21,396 Barrick Gold Corp. 1,026,168 986,579 96,200 Bombardier Inc., Class B, Sub-Voting Shares 577,212 389,610 10,887 Goldcorp Inc. 466,685 491,113 6,400 Intact Financial Corp. 321,996 374,592

19,825 Magna International Inc., Class A 1,046,543 672,464 32,175 Manulife Financial Corp. 584,022 348,455 27,050 Mullen Group Ltd. 585,601 530,450 15,800 Potash Corp. of Saskatchewan Inc. 988,393 665,022 19,500 Power Corporation of Canada 558,049 463,515 28,675 Precision Drilling Corp. 321,797 299,940 35,946 Suncor Energy Inc. 1,437,373 1,055,552 31,700 Talisman Energy Inc. 715,956 411,466 14,600 Thomson Corp. 576,918 396,974 6,132 Toronto-Dominion Bank 484,801 467,565

13,784 Tourmaline Oil Corp. 341,947 367,068 20,194 Trican Well Service Ltd. 447,540 354,203 43,125 WestJet Airlines Ltd. 675,342 503,269

11,156,343 8,777,837

*Denotes all or part of securities on loan.Percentages shown in brackets relate investments at fair value to net assets of the Fund.The accompanying notes are an integral part of these financial statements.



Castlerock Capital Appreciation FundFinancial Statements






Net assets per seriesSeries ASeries BSeries DSeries FSeries ISeries T(A)Series T(B)

Net assets per unit (see Schedule of Net Assets per Unit and Net Asset Value per Unit)

Series ASeries BSeries DSeries FSeries ISeries T(A)Series T(B)



IncomeDividendsInterest Other incomeSecurities lending (Note 7)Derivative income (loss)Less: Foreign withholding taxes

ExpensesManagement fees (Note 5)Audit feesLegal feesFiling feesCustodian feesMiscellaneous expensesUnitholder reporting costsIndependent review committee feesInterest expenseAdministration expenses





Increase (decrease) in net assets from operations per seriesSeries ASeries BSeries DSeries FSeries ISeries T(A)Series T(B)



43,427 61,4431,622 1,738

- -- -- -6 138- 74- -

42 9545,097 63,488

- -- -- -- -- 539

25 205- -- -- -

25 74445,072 62,744

48,691 54,638- -

4,735 5,74322,310 35,4996,307 11,732

127 1,20811,443 8,416

38 23112 123

9.75 10.909.61 10.76

10.29 11.4510.04 11.1010.94 11.9310.55 12.5810.38 12.41

485,703 526,7972,321,170 3,298,193

613,218 1,024,68212,692 108,820

1,046,161 705,6133,601 1,801

10,804 9,923

1,133 9902 -- 55 -- -

(106) (113)1,034 882

859 1,1401 11- 79 22- -- -- 261 32 -

209 2841,081 1,493

- (142)(47) (469)

7,146 503(236) (167)(116) (109)

(12,069) 3,946(5,275) 4,173(5,322) 3,704

(509) 330(3,009) 1,942

(823) 696(2) 78

(961) 649(6) -

(12) 9

(1.11) 0.61(1.13) 0.54(1.10) 0.57(0.06) 0.70(1.03) 1.07(1.38) (0.08)(1.19) 1.05


2011 2010


2011 2010



– 26 –


Proceeds from units issued Reinvested distributions Amounts paid for units redeemed







Series DNet assets, beginning of yearCapital transactions








Series INet assets, beginning of yearCapital transactions








1,208 1,135

179 367- -

(1,258) (372)(1,079) (5)

- -- -- -- -

(2) 78127 1,208

8,416 5,078

4,013 2,742- -

(25) (53)3,988 2,689

- -- -- -- -

(961) 64911,443 8,416

23 49

28 5- 1

(5) (30)23 (24)

- -- -

(2) (2)(2) (2)(6) -38 23

5,743 5,461

2,080 1,547- -

(2,579) (1,595)(499) (48)

- -- -- -- -

(509) 3304,735 5,743

35,499 38,692

4,111 7,212- -

(14,291) (12,347)(10,180) (5,135)

- -- -- -- -

(3,009) 1,94222,310 35,499

11,732 15,092

676 1,126- -

(5,278) (5,182)(4,602) (4,056)

- -- -- -- -

(823) 6966,307 11,732


2011 2010



2011 2010


– 27 –










123 72

33 631 1

(25) (16)9 48

- -- -

(8) (6)(8) (6)

(12) 9112 123

62,744 65,579

11,120 13,0621 2

(23,461) (19,595)(12,340) (6,531)

- -- -

(10) (8)(10) (8)

(5,322) 3,70445,072 62,744


2011 2010



Castlerock Capital Appreciation FundFinancial Statements – Supplementary Schedules

– 28 –

Series ABalance, beginning of yearUnits issued for cash Units issued for reinvested distributions Units redeemedBalance, end of year

Series BBalance, beginning of yearUnits issued for cash Units issued for reinvested distributions Units redeemedBalance, end of year

Series DBalance, beginning of yearUnits issued for cash Units issued for reinvested distributions Units redeemedBalance, end of year

Series FBalance, beginning of yearUnits issued for cash Units issued for reinvested distributions Units redeemedBalance, end of year

Series IBalance, beginning of yearUnits issued for cash Units issued for reinvested distributions Units redeemedBalance, end of year

Series T(A)Balance, beginning of yearUnits issued for cash Units issued for reinvested distributions Units redeemedBalance, end of year

Series T(B)Balance, beginning of yearUnits issued for cash Units issued for reinvested distributions Units redeemedBalance, end of year

Schedule of Securities Lending (Note 7)as at December 31 (in $000’s)

2011

LoanedCollateral (non-cash)

1,1671,225

Schedule of Commissionsfor the years ended December 31 (in $000’s)

2011 2010

Brokerage commissionsSoft Dollar commissions†

116 9211 4


2011 2010

526,797 531,985202,080 151,990

- -(243,174) (157,178)485,703 526,797

3,298,193 3,807,936397,177 718,974

- -(1,374,200) (1,228,717)2,321,170 3,298,193

1,024,682 1,404,50560,503 106,018

- -(471,967) (485,841)613,218 1,024,682

108,820 109,68817,273 35,428

- -(113,401) (36,296)

12,692 108,820

705,613 462,811342,817 247,653

- -(2,269) (4,851)

1,046,161 705,613

1,801 3,9032,312 434

- 76(512) (2,612)

3,601 1,801

9,923 5,7802,982 5,377

92 126(2,193) (1,360)10,804 9,923

†A portion of brokerage commissions paid was used to cover research and market data services, termed soft dollar commissions. This amount has been estimated by the Manager of the Fund.The accompanying notes are an integral part of these financial statements.

Series ANet assets per unitNet asset value per unit

Series BNet assets per unitNet asset value per unit

Series DNet assets per unitNet asset value per unit

Series FNet assets per unitNet asset value per unit

Series INet assets per unitNet asset value per unit

Series T(A)Net assets per unitNet asset value per unit

Series T(B)Net assets per unitNet asset value per unit

9.75 10.909.75 10.91

9.61 10.769.62 10.77

10.29 11.4510.29 11.45

10.04 11.1010.04 11.10

10.94 11.9310.94 11.93

10.55 12.5810.56 12.59

10.38 12.4110.39 12.42

Schedule of Net Assets per Unit and Net Asset Value per Unit (Note 2)as at December 31 (in $)

2011 2010


– 29 –

Castlerock Capital Appreciation FundFinancial Statements – Supplementary Schedules



Annual management fee rateSeries ASeries BSeries DSeries FSeries ISeries T(A)Series T(B)

2.002.201.651.00

Paid directly by investor2.002.20


2011




20115,587

----

67724

194-

895

Castlerock Capital Appreciation FundFund Specific Financial Instruments Risks (Note 11)

– 30 –

Currency RiskThe tables below summarize the Fund's exposure to currency risk.

as at December 31, 2011Financial Instruments Derivatives Total Currency Net

Exposure Exposure Exposure AssetsCurrency (in $000’s) (in $000’s) (in $000’s) (%)US Dollar 37,532 - 37,532 83.3 Total 37,532 - 37,532 83.3


Exposure Exposure Exposure AssetsCurrency (in $000’s) (in $000’s) (in $000’s) (%)US Dollar 51,511 - 51,511 82.1 Japanese Yen 3,756 - 3,756 6.0 Euro 2,292 - 2,292 3.7 British Pound 1,379 - 1,379 2.2 Taiwan Dollar 1,366 - 1,366 2.2 Swiss Franc 757 - 757 1.2 Singapore Dollar 711 - 711 1.1 Hong Kong Dollar 334 - 334 0.5 Brazilian Real 37 - 37 0.1 Total 62,143 - 62,143 99.1

As at December 31, 2011, had the Canadian dollar strengthened or weakened by 10% (December 31,2010 - 2%) in relation to all other foreign currencies held in the Fund, with all other variables heldconstant, net assets of the Fund would have decreased or increased, respectively, by approximately$3,753,000 (December 31, 2010 - $1,243,000). In practice, the actual results may differ from this analysisand the difference may be material.

Interest Rate RiskAs at December 31, 2011 and 2010, the Fund did not have a significant exposure to interest raterisk as substantially all of its assets were invested in equities.



(in $000's) (in $000's) (in $000's) (in $000's)Equities 43,427 - - 43,427 Total 43,427 - - 43,427




The Fund’s investments were concentrated in the following segments:


Categories Net Assets (%)

United States ........................................................................................................................... 66.2Japan ....................................................................................................................................... 6.0United Kingdom ....................................................................................................................... 4.5Switzerland .............................................................................................................................. 4.1Taiwan...................................................................................................................................... 3.8Cash ......................................................................................................................................... 2.8Israel ........................................................................................................................................ 2.1Canada ..................................................................................................................................... 1.9Brazil ........................................................................................................................................ 1.4France....................................................................................................................................... 1.4Ireland ...................................................................................................................................... 1.2South Africa ............................................................................................................................. 1.2Singapore ................................................................................................................................. 1.1Germany ................................................................................................................................... 1.0Belgium .................................................................................................................................... 0.7Italy .......................................................................................................................................... 0.5Bermuda ................................................................................................................................... 0.3Thailand ................................................................................................................................... 0.3China ........................................................................................................................................ 0.2Other Assets (net) ................................................................................................................... -0.7

Other Price RiskAs at December 31, 2011 and 2010, the Fund was predominantly invested in U.S. equities andtherefore was sensitive to changes in general economic conditions in the United States.

As at December 31, 2011, had the U.S. markets increased or decreased by 10% (December 31, 2010 -5%), with all other variables held constant, net assets of the Fund would have increased or decreased,respectively, by approximately $4,343,000 (December 31, 2010 - $3,072,000). In practice, actual resultsmay differ from this analysis and the difference may be material.

Credit RiskAs at December 31, 2011 and 2010, the Fund did not have a significant exposure to credit risk assubstantially all of its assets were invested in equities.



Castlerock Global Leaders FundStatement of Investment Portfolio as at December 31, 2011

– 31 – CIG - 11106


U.S.A. (38.8%) 1,070,000 Adobe Systems Inc.* 30,779,790 30,803,757

910,000 Archer-Daniels-Midland Co. 28,024,438 26,512,775 1,500,000 Corning Inc. 19,870,092 19,818,875

900,000 eBay Inc. 22,637,185 27,789,210 439,499 Learning Tree International Inc.* 5,263,433 3,066,876 220,000 McKesson Corp. 16,983,777 17,451,815 430,000 Northrop Grumman Corp. 26,200,099 25,616,723 720,000 Oracle Corp. 17,903,552 18,798,745

167,662,366 169,858,776JAPAN (9.8%)

600,000 Hamamatsu Photonics KK 16,903,277 21,315,143 660,000 Makita Corp. 19,746,567 21,716,986

36,649,844 43,032,129 FRANCE (7.9%)

178,660 BioMerieux* 16,471,747 13,013,672 460,000 Publicis Groupe* 20,032,743 21,551,222

36,504,490 34,564,894PANAMA (6.4%)

845,000 Carnival Corp.* 30,264,177 28,088,047

U.K. (5.9%) 7,804,434 Invensys PLC 27,657,758 25,991,320

PORTUGAL (5.3%)1,560,000 Galp Energia SGPS SA* 27,782,564 23,409,154

AUSTRIA (5.2%) 2,500,000 Wienerberger AG* 36,742,345 22,643,960

GERMANY (3.9%) 260,000 Adidas AG 13,505,692 17,241,452

BRAZIL (3.5%) 1,550,000 Estacio Participacoes SA 15,581,322 15,101,777

CHINA (2.9%) 485,000 Mindray Medical International Ltd., ADR* 13,081,207 12,633,399

UAE DIRHAM (2.8%) 24,000,000 Aramex Co. 11,791,217 12,047,558

GREECE (0.9%)266,310 Titan Cement Co., SA 5,766,280 3,992,701

Commissions and other portfoliotransaction costs (889,261)


Other Assets (net) (6.7%) 29,478,484

Net Assets (100.0%) 438,083,651



Castlerock Global Leaders FundFinancial Statements




















408,605 367,67428,305 19,291

- -- -- -

1,811 1,030- -- -

38 277438,759 388,272

- -- -- -- -- -

675 585- -- -- 11

675 596438,084 387,676

422,100 309,064- -

143,587 130,733202,127 192,05511,013 16,22247,976 42,16831,071 4,818

196 1102,114 1,570

6.97 8.186.68 7.857.25 8.487.48 8.698.24 9.42

12.64 15.8412.61 15.82

20,603,710 15,977,08430,279,115 24,469,1511,518,545 1,913,7286,413,420 4,854,0843,768,716 511,249

15,473 6,914167,663 99,206

7,199 5,59676 10

- -548 -

- -(863) (696)

6,960 4,910

8,735 6,1226 11- 7

79 22- -- -- 841 13

2,449 1,34111,270 7,600

- (380)(4,310) (2,310)

673 15,051(558) (135)

(1,030) (508)

(72,105) 29,701(73,020) 44,109(77,330) 41,799

(27,051) 14,105(36,789) 20,313(1,929) 1,894(8,700) 4,758(2,397) 551

(38) 13(426) 165

(1.33) 1.01(1.27) 0.92(1.14) 0.86(1.39) 1.28(1.55) 1.62(2.83) 2.07(2.74) 2.28


2011 2010


2011 2010



– 33 –

























42,168 15,075

30,716 29,244- -

(16,208) (6,902)14,508 22,342

- -- (7)- -- (7)

(8,700) 4,75847,976 42,168

4,818 1,241

28,987 3,305- -

(337) (279)28,650 3,026

- -- -- -- -

(2,397) 55131,071 4,818

110 68

171 887 -

(42) (53)136 35

- -- -

(12) (6)(12) (6)(38) 13196 110

130,733 74,553

81,336 66,346- -

(41,431) (24,261)39,905 42,085

- -- (10)- -- (10)

(27,051) 14,105143,587 130,733

192,055 126,942

96,499 78,486- -

(49,638) (33,686)46,861 44,800

- -- -- -- -

(36,789) 20,313202,127 192,055

16,222 18,205

1,594 1,525- -

(4,874) (5,402)(3,280) (3,877)

- -- -- -- -

(1,929) 1,89411,013 16,222


2011 2010



2011 2010


– 34 –










1,570 542

1,438 1,01097 41

(422) (124)1,113 927

- -- -

(143) (64)(143) (64)(426) 165

2,114 1,570

387,676 236,626

240,741 180,004104 41

(112,952) (70,707)127,893 109,338

- -- (17)

(155) (70)(155) (87)

(77,330) 41,799438,084 387,676


2011 2010



Castlerock Global Leaders FundFinancial Statements – Supplementary Schedules

– 35 –









2011


72,22875,839


2011 2010


1,022 503- -


2011 2010

15,977,084 10,223,2429,966,450 9,025,742

- -(5,339,824) (3,271,900)20,603,710 15,977,084

24,469,151 18,102,81412,418,664 11,122,824

- -(6,608,700) (4,756,487)30,279,115 24,469,151

1,913,728 2,418,208191,642 202,276

- -(586,825) (706,756)

1,518,545 1,913,728

4,854,084 1,966,4833,532,141 3,746,626

- -(1,972,805) (859,025)6,413,420 4,854,084

511,249 151,2743,297,612 394,712

- -(40,145) (34,737)

3,768,716 511,249

6,914 4,52210,697 5,806

470 30(2,608) (3,444)15,473 6,914

99,206 36,05292,731 68,6276,675 2,797

(30,949) (8,270)167,663 99,206









6.97 8.186.98 8.19

6.68 7.856.69 7.86

7.25 8.487.27 8.49

7.48 8.697.50 8.70

8.24 9.428.26 9.44

12.64 15.8412.67 15.86

12.61 15.8212.63 15.84


2011 2010


– 36 –

Castlerock Global Leaders FundFinancial Statements – Supplementary Schedules




2.002.201.651.00



2011




201129,611

---------

Castlerock Global Leaders FundFund Specific Financial Instruments Risks (Note 11)

– 37 –

Currency Risk (cont’d)


Exposure Exposure Exposure AssetsCurrency (in $000’s) (in $000’s) (in $000’s) (%)US Dollar 178,486 - 178,486 46.0 Euro 116,072 - 116,072 29.9 Japanese Yen 63,114 - 63,114 16.3 Brazilian Real 9,504 - 9,504 2.5 UAE Dirham 841 - 841 0.2 Total 368,017 - 368,017 94.9

As at December 31, 2011, had the Canadian dollar strengthened or weakened by 10% (December 31,2010 - 2%) in relation to all other foreign currencies held in the Fund, with all other variables heldconstant, net assets of the Fund would have decreased or increased, respectively, by approximately$40,870,000 (December 31, 2010 - $7,360,000). In practice, the actual results may differ from thisanalysis and the difference may be material.











United States ........................................................................................................................... 42.9Japan ....................................................................................................................................... 16.3Austria...................................................................................................................................... 9.5Germany ................................................................................................................................... 8.2Brazil ........................................................................................................................................ 5.6Portugal .................................................................................................................................... 5.2France....................................................................................................................................... 5.0Cash ........................................................................................................................................ 5.0Spain ........................................................................................................................................ 1.9United Arab Emirates............................................................................................................... 0.2Other Assets (net) ................................................................................................................... 0.2

Other Price RiskAs at December 31, 2011 and 2010, the Fund was predominantly invested in global equities andtherefore was sensitive to changes in general economic conditions across the world.

As at December 31, 2011, had the global markets increased or decreased by 10% (December 31, 2010 -5%), with all other variables held constant, net assets of the Fund would have increased or decreased,respectively, by approximately $40,861,000 (December 31, 2010 - $18,384,000). In practice, actual resultsmay differ from this analysis and the difference may be material.




Exposure Exposure Exposure AssetsCurrency (in $000’s) (in $000’s) (in $000’s) (%)US Dollar 210,618 - 210,618 48.1 Euro 101,852 - 101,852 23.2 Japanese Yen 43,032 - 43,032 9.8 British Pound 25,991 - 25,991 5.9 Brazilian Real 15,102 - 15,102 3.4 UAE Dirham 12,108 - 12,108 2.8 Total 408,703 - 408,703 93.2



CHINA (3.3%) 110,000 Mindray Medical International Ltd., ADR* 3,017,051 2,865,307

TAIWAN (2.2%) 147,179 Taiwan Semiconductor Manufacturing Co.,

Ltd., ADR 1,599,022 1,931,121

SWITZERLAND (1.9%) 235,000 Micronas Semiconductor Holding AG* 1,832,719 1,597,929

Commission and other portfolio transaction costs (246,247)

Total Equities (96.8%) 91,268,826 83,257,639


Net Assets (100.0%) 86,035,354

Castlerock International Equity FundStatement of Investment Portfolio as at December 31, 2011

– 38 – CIG - 11118


U.K. (12.5%) 145,946 Carnival PLC 5,458,832 4,908,969 52,935 GlaxoSmithKline PLC 1,043,232 1,231,942

1,410,326 Invensys PLC 5,983,659 4,696,847 12,485,723 10,837,758

JAPAN (8.0%) 81,750 Hamamatsu Photonics KK 2,283,887 2,904,188

120,000 Makita Corp. 4,094,995 3,948,543 6,378,882 6,852,731

AUSTRIA (7.5%) 137,750 Erste Bank der Oesterreichischen

Sparkassen AG* 4,519,783 2,417,623 449,400 Wienerberger AG 6,761,916 4,070,478

11,281,699 6,488,101 BRAZIL (6.8%)

160,000 Banco Bradesco SA, Preferred, ADR 2,647,610 2,718,716 317,071 Estacio Participacoes SA 3,594,579 3,089,249

6,242,189 5,807,965 NORWAY (6.3%)

4,109,566 Pronova Biopharma ASA* 7,751,275 5,411,192

MEXICO (6.2%) 250,000 Grupo Televisa SA, ADR 5,221,225 5,358,380

GERMANY (6.1%) 53,000 Adidas AG 2,742,717 3,514,604

100,000 Dialog Semiconductor PLC 1,733,327 1,654,865 2,000 SAP AG 96,756 107,916

4,572,800 5,277,385 FRANCE (5.5%)

100,000 Publicis Groupe* 4,250,316 4,685,048

PORTUGAL (4.9%) 280,000 Galp Energia SGPS SA* 5,052,944 4,201,643

NETHERLANDS (4.6%) 130,000 Randstad Holding NV* 4,596,554 3,916,096

CAYMAN ISLANDS (4.5%) 346,711 WuXi PharmaTech Cayman Inc., ADR 5,411,668 3,902,812

CYPRUS (4.5%) 550,000 ProSafe SE* 3,036,005 3,840,238

IRELAND (4.4%) 638,200 Glanbia PLC 3,274,306 3,794,512

UAE DIRHAM (3.9%) 6,675,702 Aramex Co. 3,334,302 3,351,079

SWEDEN (3.7%) 100,000 Hoganas AB 2,176,393 3,138,342




Castlerock International Equity FundFinancial Statements






Net assets per seriesSeries ASeries BSeries FSeries ISeries T(A)Series T(B)


Series ASeries BSeries FSeries ISeries T(A)Series T(B)









Increase (decrease) in net assets from operations per seriesSeries ASeries BSeries FSeries ISeries T(A)Series T(B)



83,258 88,5872,569 1,326

- -- -- -

229 212- -- -

86 12086,142 90,245

- -- -- -- -- 318

107 124- -- -- 5

107 44786,035 89,798

91,269 78,163- -

19,355 21,90538,232 39,31510,716 9,53317,402 18,650

84 45246 350

11.59 14.0111.52 13.9711.70 13.9911.97 14.1014.79 19.1214.08 18.25

1,670,551 1,563,0493,317,955 2,814,786

915,827 681,4491,453,905 1,322,771

5,689 2,37917,435 19,203

1,969 1,2795 2- -

113 -- -

(185) (114)1,902 1,167

1,514 1,0921 11- 7

16 22- -- -- 151 32 -

450 3071,984 1,457

- (160)(82) (130)

1,198 3,896(118) (153)(295) (303)

(18,435) 4,692(17,650) 8,132(17,732) 8,002

(4,272) 1,670(8,395) 3,286(2,208) 961(2,793) 2,066

(7) (2)(57) 21

(2.52) 1.22(2.56) 1.46(2.50) 1.09(2.12) 1.80(2.43) (0.53)(3.25) 1.24


2011 2010


2011 2010



– 40 –

























18,650 8,267

2,398 9,390- 879

(853) (1,073)1,545 9,196

- (879)- -- -- (879)

(2,793) 2,06617,402 18,650

45 29

55 1053 4(9) (87)49 22

- -- -

(3) (4)(3) (4)(7) (2)84 45

350 162

57 2178 9

(92) (39)(27) 187

- (1)- -

(20) (19)(20) (20)(57) 21246 350

21,905 11,802

7,884 12,396- 71

(6,162) (3,961)1,722 8,506

- (72)- (1)- -- (73)

(4,272) 1,67019,355 21,905

39,315 15,521

18,574 26,715- 70

(11,262) (6,203)7,312 20,582

- (74)- -- -- (74)

(8,395) 3,28638,232 39,315

9,533 9,073

9,026 7,835- 158

(5,635) (8,264)3,391 (271)

- (226)- (4)- -- (230)

(2,208) 96110,716 9,533


2011 2010



2011 2010


– 41 –






89,798 44,854

37,994 56,65811 1,191

(24,013) (19,627)13,992 38,222

- (1,252)- (5)

(23) (23)(23) (1,280)

(17,732) 8,00286,035 89,798


2011 2010



Castlerock International Equity FundFinancial Statements – Supplementary Schedules

– 42 –








2011


17,01017,861


2011 2010


293 165- -


2011 2010

1,563,049 890,793578,318 977,660

- 5,111(470,816) (310,515)

1,670,551 1,563,049

2,814,786 1,174,1871,384,028 2,126,431

- 5,103(880,859) (490,935)

3,317,955 2,814,786

681,449 678,206660,890 615,063

- 11,418(426,512) (623,238)915,827 681,449

1,322,771 606,784192,021 729,808

- 63,097(60,887) (76,918)

1,453,905 1,322,771

2,379 1,5123,622 5,691

192 218(504) (5,042)

5,689 2,379

19,203 8,8113,315 12,336

512 515(5,595) (2,459)17,435 19,203








11.59 14.0111.63 14.05

11.52 13.9711.57 14.00

11.70 13.9911.75 14.02

11.97 14.1012.02 14.13

14.79 19.1214.85 19.17

14.08 18.2514.14 18.29


2011 2010


– 43 –

Castlerock International Equity FundFinancial Statements – Supplementary Schedules



Annual management fee rateSeries ASeries BSeries FSeries ISeries T(A)Series T(B)

2.002.201.00



2011





2011-

---------

Castlerock International Equity FundFund Specific Financial Instruments Risks (Note 11)

– 44 –



Exposure Exposure Exposure AssetsCurrency (in $000’s) (in $000’s) (in $000’s) (%)Euro 28,363 - 28,363 33.0 US Dollar 16,838 - 16,838 19.6 British Pound 10,863 - 10,863 12.6 Norwegian Krone 9,251 - 9,251 10.8 Japanese Yen 6,853 - 6,853 8.0 UAE Dirham 3,351 - 3,351 3.9 Swedish Krona 3,138 - 3,138 3.6 Brazilian Real 3,113 - 3,113 3.6 Swiss Franc 1,598 - 1,598 1.9 Total 83,368 - 83,368 97.0


Exposure Exposure Exposure AssetsCurrency (in $000’s) (in $000’s) (in $000’s) (%)Euro 34,197 - 34,197 38.1 US Dollar 14,312 - 14,312 15.9 Japanese Yen 13,462 - 13,462 15.0 Norwegian Krone 9,376 - 9,376 10.4 British Pound 8,390 - 8,390 9.3 Danish Krone 4,601 - 4,601 5.1 Swedish Krona 2,916 - 2,916 3.2 Brazilian Real 1,494 - 1,494 1.7 Hong Kong Dollar 1 - 1 - Total 88,749 - 88,749 98.7

As at December 31, 2011, had the Canadian dollar strengthened or weakened by 10% (December31, 2010 - 2%) in relation to all other foreign currencies held in the Fund, with all other variablesheld constant, net assets of the Fund would have decreased or increased, respectively, byapproximately $8,337,000 (December 31, 2010 - $1,775,000). In practice, the actual results maydiffer from this analysis and the difference may be material.





Japan ....................................................................................................................................... 15.0Germany ................................................................................................................................... 13.2Norway..................................................................................................................................... 10.4Austria...................................................................................................................................... 10.1United Kingdom ....................................................................................................................... 9.3Mexico ..................................................................................................................................... 5.3Brazil ........................................................................................................................................ 5.1Denmark ................................................................................................................................... 5.1Ireland ...................................................................................................................................... 5.0France....................................................................................................................................... 4.9Portugal .................................................................................................................................... 4.9Taiwan...................................................................................................................................... 4.9Sweden .................................................................................................................................... 3.2China ........................................................................................................................................ 2.3Cash ......................................................................................................................................... 1.4Other Assets (net) ................................................................................................................... -0.1

Other Price RiskAs at December 31, 2011 and 2010, the Fund was predominantly invested in global equities andtherefore was sensitive to changes in general economic conditions across the world.

As at December 31, 2011, had the foreign markets increased or decreased by 10% (December 31,2010 - 5%), with all other variables held constant, net assets of the Fund would have increased ordecreased, respectively, by approximately $8,326,000 (December 31, 2010 - $4,429,000). In practice,actual results may differ from this analysis and the difference may be material.

Credit RiskThe Fund was invested in fixed income securities, preferred securities and derivative instruments, as applicable, with the following credit rating:

as at December 31, 2011*Credit Rating^ Net Assets (%)Not Rated 3.2 Total 3.2

*Credit ratings are obtained from Standard & Poor's, where available, otherwise ratings areobtained from: Moody's Investor Service, Dominion Bond Rating Services or Canadian Bond RatingServices, respectively.

^Refer to Note 11 for discussion of other financial instrument risks.

As at December 31, 2010, the Fund did not have a significant exposure to credit risk as substantially allof its assets were invested in equities.



– 45 –

Castlerock International Equity FundFund Specific Financial Instruments Risks (Note 11) (cont’d)









Castlerock U.S. Dividend Growth FundStatement of Investment Portfolio as at December 31, 2011

– 46 – CIG - 11113


CONSUMER STAPLES (15.9%) 54,780 Altria Group Inc. 1,170,549 1,655,164 31,100 H.J. Heinz Co. 1,389,305 1,711,444 23,300 Mead Johnson Nutrition Co. 1,690,601 1,631,123 27,630 Wal-Mart Stores Inc. 1,536,451 1,681,207

5,786,906 6,678,938 INFORMATION TECHNOLOGY (15.4%)

28,040 Accenture PLC 1,387,195 1,520,485 4,100 Apple Computer Inc. 1,447,021 1,691,515

68,190 Intel Corp. 1,227,927 1,684,536 8,550 International Business Machines Corp. 933,348 1,601,579

4,995,491 6,498,115 FINANCIALS (15.3%)

37,270 Aflac Inc. 1,070,998 1,642,456 116,550 New York Community BanCorp. Inc. * 1,958,345 1,467,501 62,900 US Bancorp 1,469,109 1,733,268 64,390 Waddell & Reed Financial Inc. 1,928,578 1,623,459

6,427,030 6,466,684 CONSUMER DISCRETIONARY (12.3%)

27,580 Genuine Parts Co. 1,187,320 1,718,623 17,280 McDonald's Corp. 969,082 1,764,896 36,600 Viacom Inc., Class B 1,629,415 1,693,091

3,785,817 5,176,610 ENERGY (12.1%)

15,680 Chevron Corp. 1,344,645 1,698,597 24,090 ConocoPhillips Co. 1,855,220 1,788,516 46,190 Halliburton Co 1,626,350 1,623,360

4,826,215 5,110,473 INDUSTRIALS (11.5%)

30,850 Honeywell International Inc. 1,480,051 1,707,115 49,640 TAL International Group Inc. 1,734,338 1,453,843 22,700 United Parcel Service Inc., Class B 1,555,240 1,692,025

4,769,629 4,852,983 HEALTH CARE (8.8%)

31,280 Abbott Laboratories Inc. 1,734,103 1,789,859 87,100 Pfizer Inc. 1,458,547 1,920,097

3,192,650 3,709,956 MATERIALS (7.9%)

42,410 Freeport-McMoRan Copper & Gold Inc., Class B (USD) 1,697,598 1,589,446

15,980 Praxair Inc. 1,377,053 1,739,398 3,074,651 3,328,844




Net Assets (100.0%) 42,177,895



Castlerock U.S. Dividend Growth FundFinancial Statements




















41,823 43,210263 115

- -- -- -

61 67- -- -

87 6742,234 43,459

- -- -- -- -- -

56 246- -- -- -

56 24642,178 43,213

36,826 38,764- -

5,938 5,56524,066 25,4183,402 5,008

416 5027,915 6,225

344 42497 71

9.64 9.559.67 9.609.73 9.629.87 9.70

10.03 9.8211.96 12.6311.91 12.60

615,599 582,6192,488,555 2,648,420

349,546 520,64842,142 51,800

789,054 633,62828,785 33,5408,178 5,610

1,273 1,220- -- -1 -- -

(193) (183)1,081 1,037

730 7991 11- 77 22- -- -- 141 2

183 184922 1,039

- (127)159 125

(197) (280)15 (5)(23) (22)

551 4,140346 3,833505 3,958

48 543148 2,20118 5577 55

290 560(4) 36(2) 6

0.07 0.760.06 0.780.04 0.750.16 0.920.41 1.83(0.08) 2.13(0.15) 1.11


2011 2010


2011 2010



– 48 –

























502 492

88 2911 7

(181) (336)(92) (38)

- -(1) (7)- -

(1) (7)7 55

416 502

6,225 893

1,400 4,861109 61

- (89)1,509 4,833

- -(109) (61)

- -(109) (61)290 560

7,915 6,225

424 47

36 42123 11

(110) (79)(51) 353

- -- -

(25) (12)(25) (12)(4) 36

344 424

5,565 4,963

2,245 3,6993 18

(1,920) (3,638)328 79

- -(3) (20)- -

(3) (20)48 543

5,938 5,565

25,418 25,262

5,502 6,940- 15

(7,002) (8,984)(1,500) (2,029)

- -- (16)- -- (16)

148 2,20124,066 25,418

5,008 7,284

344 5375 37

(1,968) (3,368)(1,619) (2,794)

- -(5) (39)- -

(5) (39)18 557

3,402 5,008


2011 2010



2011 2010


– 49 –










71 53

64 352 -

(31) (19)35 16

- -- -

(7) (4)(7) (4)(2) 697 71

43,213 38,994

9,679 16,784143 149

(11,212) (16,513)(1,390) 420

- -(118) (143)(32) (16)

(150) (159)505 3,958

42,178 43,213


2011 2010



Castlerock U.S. Dividend Growth FundFinancial Statements – Supplementary Schedules

– 50 –









2011


1,3251,392


2011 2010


23 212 -


2011 2010

582,619 566,493236,934 415,862

283 2,045(204,237) (401,781)615,599 582,619

2,648,420 2,870,262581,535 776,702

- 1,832(741,400) (1,000,376)

2,488,555 2,648,420

520,648 825,02636,547 59,705

496 4,154(208,145) (368,237)349,546 520,648

51,800 55,3789,024 32,486

133 759(18,815) (36,823)42,142 51,800

633,628 100,038144,273 536,56411,153 6,574

- (9,548)789,054 633,628

33,540 3,8412,908 35,4131,885 911(9,548) (6,625)28,785 33,540

5,610 4,2815,144 2,892

176 37(2,752) (1,600)8,178 5,610









9.64 9.559.65 9.55

9.67 9.609.67 9.60

9.73 9.629.74 9.62

9.87 9.709.87 9.70

10.03 9.8210.03 9.83

11.96 12.6311.97 12.63

11.91 12.6011.92 12.60


2011 2010


– 51 –

Castlerock U.S. Dividend Growth FundFinancial Statements – Supplementary Schedules




2.002.201.651.00



2011




20118,601

---------

Castlerock U.S. Dividend Growth FundFund Specific Financial Instruments Risks (Note 11)

– 52 –

Interest Rate RiskAs at December 31, 2011 and 2010, the Fund did not have a significant exposure to interest rate riskas substantially all of its assets were invested in equities.










Financials ................................................................................................................................. 16.4Industrials ................................................................................................................................ 15.9Health Care .............................................................................................................................. 14.8Information Technology ........................................................................................................... 12.1Consumer Discretionary........................................................................................................... 11.9Consumer Staples.................................................................................................................... 11.6Energy ...................................................................................................................................... 8.8Materials.................................................................................................................................. 8.5Cash ......................................................................................................................................... 0.3Other Assets (net) ................................................................................................................... -0.3

Other Price RiskAs at December 31, 2011 and 2010, the Fund was predominantly invested in U.S. equities andtherefore was sensitive to changes in general economic conditions in the United States.

As at December 31, 2011, had the U.S. markets increased or decreased by 10% (December 31, 2010 -5%), with all other variables held constant, net assets of the Fund would have increased or decreased,respectively, by approximately $4,182,000 (December 31, 2010 - $2,160,000). In practice, actual resultsmay differ from this analysis and the difference may be material.






Exposure Exposure Exposure AssetsCurrency (in $000’s) (in $000’s) (in $000’s) (%)US Dollar 43,392 - 43,392 100.4Total 43,392 - 43,392 100.4

As at December 31, 2011, had the Canadian dollar strengthened or weakened by 10% (December 31,2010 - 2%) in relation to all other foreign currencies held in the Fund, with all other variables heldconstant, net assets of the Fund would have decreased or increased, respectively, by approximately$4,212,000 (December 31, 2010 - $868,000). In practice, the actual results may differ from this analysisand the difference may be material.



INDUSTRIALS (4.0%) 34,900 Boeing Co. 2,503,226 2,607,794 35,451 Canadian National Railway Co. 1,830,585 2,838,562

4,333,811 5,446,356




Net Assets (100.0%) 135,472,228

Castlerock Canadian Dividend FundStatement of Investment Portfolio as at December 31, 2011

– 53 – CIG - 11114


FINANCIALS (31.6%) 205,000 Great-West Lifeco Inc.* 5,296,090 4,171,750 102,200 IGM Financial Inc.* 4,174,633 4,509,064 73,655 Intact Financial Corp. 2,262,212 4,311,027

370,700 Manulife Financial Corp. 8,528,206 4,014,681 167,125 Royal Bank of Canada* 8,183,386 8,678,801 129,483 The Bank of Nova Scotia*†† 5,735,619 6,573,852 137,402 Toronto-Dominion Bank 8,096,353 10,476,902

42,276,499 42,736,077 ENERGY (21.0%)

181,575 AltaGas Ltd. 3,640,042 5,781,348 65,000 Baytex Energy Corp.* 1,569,406 3,699,150

114,100 Cenovus Energy Inc. 3,468,211 3,860,003 72,925 Enbridge Inc. 1,445,892 2,777,713

238,255 EnCana Corp. 6,591,660 4,500,637 144,200 Ensign Energy Services Inc. 1,810,803 2,333,156 283,500 Mullen Group Ltd. 6,095,865 5,559,435


107,800 Garmin Ltd.* 3,428,106 4,371,784 451,016 Groupe Aeroplan Inc. 5,874,794 5,380,621 118,300 Magna International Inc., Class A 4,170,871 4,012,736 185,330 Shaw Communications Inc., Class B 3,814,364 3,751,079 110,800 Thomson Corp. 4,031,455 3,012,652

21,319,590 20,528,872 MATERIALS (7.0%)

140,575 Barrick Gold Corp. 6,754,755 6,484,725 83,600 Teck Resources Ltd., Class B 4,160,906 2,997,060

10,915,661 9,481,785 CONSUMER STAPLES (5.0%)

54,930 Procter & Gamble Co. 3,586,584 3,730,119 73,500 Shoppers Drug Mart Corp. 3,338,836 3,018,645

6,925,420 6,748,764 TELECOMMUNICATION SERVICES (4.7%)

110,500 TELUS Corp. 4,159,309 6,358,170

HEALTH CARE (4.1%) 83,800 Johnson & Johnson 5,591,705 5,595,829

INFORMATION TECHNOLOGY (4.0%) 98,094 Intel Corp. 2,104,708 2,423,271

115,000 Microsoft Corp. 3,085,104 3,041,237 5,189,812 5,464,508

††CI Investments Inc., the Manager, is a corporation controlled by CI Financial Corp. The Bank of Nova Scotia has a significant interest in CI Financial Corp. Investments in The Bank of Nova Scotia are identified above.*Denotes all or part of securities on loan.Percentages shown in brackets relate investments at fair value to net assets of the Fund.The accompanying notes are an integral part of these financial statements.



Castlerock Canadian Dividend FundFinancial Statements




















130,872 151,5304,320 250

- 699- -- -

133 482- -- -

359 518135,684 153,479

- -- -- -- -- -

212 243- -- -- 2

212 245135,472 153,234

125,208 134,451- -

14,549 16,12593,457 104,9906,820 9,2591,780 4,176

16,236 16,317469 428

2,161 1,939

13.80 13.5613.42 13.2013.47 13.2313.36 13.1013.90 13.4613.12 13.7012.99 13.59

1,054,401 1,189,2476,965,332 7,955,381

506,413 699,717133,275 318,783

1,168,124 1,212,01635,728 31,232

166,317 142,653

4,943 4,4917 348- -

35 -- -

(93) (90)4,892 4,749

2,691 2,6882 11- 7

25 22- -- -- 331 6

731 5963,450 3,363

- (305)1,442 1,691

13,226 6393 (21)

(141) (25)

(11,415) 11,8261,673 12,4193,115 14,110

312 1,5001,714 9,407

204 976136 418720 1,622

6 3823 149

0.28 1.240.23 1.210.35 1.180.73 1.370.61 1.760.16 1.380.14 1.35


2011 2010


2011 2010



– 55 –

























4,176 2,632

323 1,77023 12

(2,855) (643)(2,509) 1,139

- -- (13)

(23) -(23) (13)136 418

1,780 4,176

16,317 5,693

- 9,585214 161(801) (583)(587) 9,163

- -- (161)

(214) -(214) (161)720 1,622

16,236 16,317

428 303

217 27912 9

(165) (179)64 109

- -- -

(29) (22)(29) (22)

6 38469 428

16,125 14,620

3,653 5,87621 5

(5,541) (5,869)(1,867) 12

- -- (7)

(21) -(21) (7)312 1,500

14,549 16,125

104,990 89,742

18,448 32,56012 12

(31,695) (26,718)(13,235) 5,854

- -- (13)

(12) -(12) (13)

1,714 9,40793,457 104,990

9,259 11,006

684 1,04739 13

(3,325) (3,770)(2,602) (2,710)

- -- (13)

(41) -(41) (13)204 976

6,820 9,259


2011 2010



2011 2010


– 56 –










1,939 808

784 1,22144 36

(499) (187)329 1,070

- -- -

(130) (88)(130) (88)

23 1492,161 1,939

153,234 124,804

24,109 52,338365 248

(44,881) (37,949)(20,407) 14,637

- -- (207)

(470) (110)(470) (317)

3,115 14,110135,472 153,234


2011 2010



Castlerock Canadian Dividend FundFinancial Statements – Supplementary Schedules

– 57 –









2011


31,47033,044


2011 2010


139 2514 6


2011 2010

1,189,247 1,187,450265,161 463,172

1,474 375(401,481) (461,750)

1,054,401 1,189,247

7,955,381 7,472,3601,376,936 2,636,267

838 886(2,367,823) (2,154,132)6,965,332 7,955,381

699,717 917,49051,040 84,2382,844 993

(247,188) (303,004)506,413 699,717

318,783 222,83224,060 147,6171,697 981

(211,265) (52,647)133,275 318,783

1,212,016 470,711- 774,018

15,138 12,161(59,030) (44,874)

1,168,124 1,212,016

31,232 22,98215,611 21,192

922 714(12,037) (13,656)35,728 31,232

142,653 61,54758,310 92,5223,343 2,707

(37,989) (14,123)166,317 142,653









13.80 13.5613.81 13.58

13.42 13.2013.43 13.22

13.47 13.2313.48 13.25

13.36 13.1013.37 13.12

13.90 13.4613.91 13.48

13.12 13.7013.13 13.72

12.99 13.5913.01 13.61


2011 2010


– 58 –

Castlerock Canadian Dividend FundFinancial Statements – Supplementary Schedules




2.002.201.651.00



2011




The Fund under distributed net realizable capital gains during the year which resulted in a taxpayable in the amount of $1,827,083. Under the terms of an agreement dated March 12, 2012, athird party administrator has acknowledged its responsibility and unconditionally assumed the taxliability, and the Fund has agreed to undertake all commercially reasonable and legally permissiblemeasures, not to the detriment of unitholders, to recover tax payments and remit such recoveredamounts, if any, to the third party administrator as they occur. Subsequent to year end, the taxeswere paid in accordance with the agreement. The under distribution of realized capital gains did notadversely impact the unitholders of the Fund as the balance was paid by the 3rd party administrator.

2011-

---------

Castlerock Canadian Dividend FundFund Specific Financial Instruments Risks (Note 11)

– 59 –

Interest Rate RiskAs at December 31, 2011 and 2010, the Fund did not have a significant exposure to interest rate riskas substantially all of its assets were invested in equities.





(in $000's) (in $000's) (in $000's) (in $000's)Equities 151,530 - - 151,530 Short-term investments - 699 - 699 Total 151,530 699 - 152,229





Financials ................................................................................................................................. 43.1Energy ...................................................................................................................................... 15.1Consumer Staples.................................................................................................................... 11.5Telecommunication Services ................................................................................................... 10.4Industrials ................................................................................................................................ 8.1Health Care .............................................................................................................................. 4.0Consumer Discretionary........................................................................................................... 2.8Information Technology ........................................................................................................... 2.0Industrials ................................................................................................................................ 1.9Short-Term Investments........................................................................................................... 0.5Other Assets (net) ................................................................................................................... 0.4Cash ......................................................................................................................................... 0.2

Other Price RiskAs at December 31, 2011 and 2010, the Fund was predominantly invested in Canadian equities andtherefore was sensitive to changes in general economic conditions in Canada.

As at December 31, 2011, had the Canadian markets increased or decreased by 10% (December 31,2010 - 5%), with all other variables held constant, net assets of the Fund would have increased ordecreased, respectively, by approximately $13,087,000 (December 31, 2010 - $7,577,000). In practice,actual results may differ from this analysis and the difference may be material.






Exposure Exposure Exposure AssetsCurrency (in $000’s) (in $000’s) (in $000’s) (%)US Dollar 22,576 - 22,576 14.7Total 22,576 - 22,576 14.7

As at December 31, 2011, had the Canadian dollar strengthened or weakened by 10% (December31, 2010 - 2%) in relation to all other foreign currencies held in the Fund, with all other variablesheld constant, net assets of the Fund would have decreased or increased, respectively, byapproximately $2,351,000 (December 31, 2010 - $452,000). In practice, the actual results may differfrom this analysis and the difference may be material.



Castlerock Canadian Dividend Growth FundStatement of Investment Portfolio as at December 31, 2011

– 60 – CIG - 11112


FINANCIALS (39.4%) 257,100 Bank of Montreal* 13,977,724 14,359,035 217,100 Canadian Imperial Bank of Commerce 16,100,940 16,011,125 462,250 Canadian REIT 16,054,568 16,363,650 355,870 IGM Financial Inc.* 15,891,640 15,700,984 271,400 Intact Financial Corp. 6,785,000 15,885,042

1,423,400 Manulife Financial Corp. 20,029,151 15,415,422 217,390 National Bank of Canada 11,109,957 15,682,515 657,200 RioCan REIT 8,048,821 17,356,652 299,340 The Bank of Nova Scotia*†† 13,837,666 15,197,492 202,450 Toronto-Dominion Bank 13,757,362 15,436,812

135,592,829 157,408,729 ENERGY (24.7%)

301,300 Baytex Energy Corp.* 5,995,180 17,146,983 377,219 Crescent Point Energy Corp.* 9,810,778 16,910,728 548,000 Pembina Pipeline Corp. 8,498,065 16,253,680 793,700 Penn West Petroleum Ltd.* 20,235,385 16,016,866 383,280 TransCanada Corp. 13,690,322 17,055,960 338,800 Vermilion Energy Inc.* 12,594,899 15,310,372

70,824,629 98,694,589 MATERIALS (15.2%)

325,400 Goldcorp Inc. 13,687,511 14,678,794 464,310 Labrador Iron Ore Royalty Corp. 16,675,939 17,346,622 305,100 Potash Corp. of Saskatchewan Inc. 16,647,565 12,841,659 700,500 Russel Metals Inc.* 13,350,435 15,691,200

60,361,450 60,558,275 TELECOMMUNICATION SERVICES (8.3%)

388,090 BCE Inc. 12,237,502 16,478,301 428,200 Rogers Communications Inc., Class B 13,849,283 16,802,568

26,086,785 33,280,869 UTILITIES (7.9%)

245,400 Canadian Utilities Ltd., Class A,Special Shares* 15,314,573 15,099,462

501,200 Emera Inc.* 11,244,048 16,544,612 26,558,621 31,644,074

CONSUMER DISCRETIONARY (3.7%) 538,440 Thomson Corp. 17,496,880 14,640,184


Total Equities (99.2%) 336,654,630 396,226,720

Short-Term Investments (0.3%) 1,042,642 1,042,940



Net Assets (100.0%) 399,401,794



Castlerock Canadian Dividend Growth FundFinancial Statements






Net assets per seriesSeries ASeries BSeries DSeries FSeries I


Series ASeries BSeries DSeries FSeries I





Expenses absorbed by the ManagerProvision for income tax (recovery)Net investment income (loss) for the year




Increase (decrease) in net assets from operations per seriesSeries ASeries BSeries DSeries FSeries I



396,227 399,673422 269

1,043 7,888- -- -

616 1,050- 3,730- -

2,027 1,681400,335 414,291

- -- -- -- -- 9,429

933 783- -- -- 1

933 10,213399,402 404,078

336,655 317,022- -

37,611 26,896295,071 293,18459,650 77,2371,969 2,3865,101 4,375

16.04 16.3815.81 16.1815.82 16.1716.48 16.7414.03 14.14

2,344,341 1,641,71218,664,222 18,119,9793,769,624 4,777,697

119,497 142,497363,583 309,277

15,402 10,692826 3,436

- -49 -

- -- -

16,277 14,128

8,473 7,2165 11- 7

71 22- -- -- 901 16

2,314 1,51010,864 8,872

- (585)(49) -

5,462 5,841

8,476 8,7154 (1)

(235) (233)

(23,079) 48,096(14,834) 56,577(9,372) 62,418

(930) 3,447(7,400) 44,800(1,018) 13,476

(37) 27213 423

(0.43) 2.85(0.40) 2.56(0.24) 2.51(0.25) 3.310.04 4.76


2011 2010


2011 2010


Castlerock Canadian Dividend Growth FundFinancial Statements

– 62 –

























2,386 798

1,095 1,67417 16

(1,474) (356)(362) 1,334

- -- (18)

(18) -(18) (18)(37) 272

1,969 2,386

4,375 2

713 3,95271 22

- (2)784 3,972

- -- (22)

(71) -(71) (22)13 423

5,101 4,375

- 404,078 320,577

127,338 120,811588 2,251

(122,624) (99,659)5,302 23,403

- -- (2,320)

(606) -(606) (2,320)

(9,372) 62,418399,402 404,078

26,896 9,728

20,978 18,69027 111

(9,332) (4,965)11,673 13,836

- -- (115)

(28) -(28) (115)

(930) 3,44737,611 26,896

293,184 228,232

97,518 85,688158 1,285

(88,226) (65,496)9,450 21,477

- -- (1,325)

(163) -(163) (1,325)

(7,400) 44,800295,071 293,184

77,237 81,817

7,034 10,807315 817

(23,592) (28,840)(16,243) (17,216)

- -- (840)

(326) -(326) (840)

(1,018) 13,47659,650 77,237


2011 2010



2011 2010


Castlerock Canadian Dividend Growth FundFinancial Statements – Supplementary Schedules

– 63 –







2011


120,308128,534


2011 2010


234 23322 23


2011 2010

1,641,712 701,7151,272,681 1,270,225

1,568 7,209(571,620) (337,437)

2,344,341 1,641,712

18,119,979 16,632,5096,032,731 5,916,643

9,345 83,096(5,497,833) (4,512,269)18,664,222 18,119,979

4,777,697 5,961,078436,341 745,19718,643 54,217

(1,463,057) (1,982,795)3,769,624 4,777,697

142,497 56,41664,587 109,053

943 1,066(88,530) (24,038)119,497 142,497

309,277 17749,498 307,6374,808 1,642

- (179)363,583 309,277







16.04 16.3816.06 16.41

15.81 16.1815.83 16.20

15.82 16.1715.84 16.19

16.48 16.7416.50 16.77

14.03 14.1414.05 14.17


2011 2010


– 64 –

Castlerock Canadian Dividend Growth FundFinancial Statements – Supplementary Schedules



Annual management fee rateSeries ASeries BSeries DSeries FSeries I

2.002.201.651.00

Paid directly by investor


2011




201176,054

---------

Castlerock Canadian Dividend Growth FundFund Specific Financial Instruments Risks (Note 11)

– 65 –



(in $000's) (in $000's) (in $000's) (in $000's)Equities 396,227 - - 396,227 Short-term investments - 1,043 - 1,043 Total 396,227 1,043 - 397,270


(in $000's) (in $000's) (in $000's) (in $000's)Equities 399,673 - - 399,673 Short-term investments - 7,888 - 7,888 Total 399,673 7,888 - 407,561





Financials ................................................................................................................................. 38.2Energy ...................................................................................................................................... 16.2Materials.................................................................................................................................. 13.0Utilities..................................................................................................................................... 8.4Telecommunication Services ................................................................................................... 7.9Industrials ................................................................................................................................ 7.8Consumer Discretionary........................................................................................................... 7.3Short-Term Investments........................................................................................................... 2.0Cash ........................................................................................................................................ 0.1Other Assets (net) .................................................................................................................... -0.9

Other Price RiskAs at December 31, 2011 and December 31, 2010, the Fund was predominantly invested in Canadianequities and therefore was sensitive to changes in general economic conditions in Canada.


Credit RiskAs at December 31, 2011, the Fund did not have a significant exposure to credit risk as substantiallyall of its assets were invested in equities.

The Fund was invested in fixed income securities, preferred securities and derivative instruments, asapplicable, with the following credit ratings:

as at December 31, 2010^Credit Rating Net Assets (%)AAA/Aaa 2.0 Total 2.0

^Credit ratings are obtained from Standard & Poor's, where available, otherwise ratings areobtained from: Moody's Investor Service, Dominion Bond Rating Services or Canadian Bond RatingServices, respectively.


Currency RiskAs at December 31, 2011 and 2010, the Fund's investments were denominated in Canadian dollars,the functional currency of the Fund. As a result, the Fund was not exposed to currency risk.




INFORMATION TECHNOLOGY (10.3%) 5,000 Broadridge Financial Solutions Inc. 112,443 114,808

18,000 Enghouse Systems Ltd. 174,527 218,520 400 F5 Networks Inc. 42,372 43,238

40,000 Sandvine Corp. 45,843 45,200 375,185 421,766

UTILITIES (4.8%) 7,000 Brookfield Infrastructure Partners LP 177,967 197,190

FINANCIALS (4.0%) 5,000 MI Developments Inc., Class A 150,539 162,800

MATERIALS (2.7%) 2,000 Eagle Materials Inc. 39,624 52,280

40,000 Intrepid Mines Ltd. 56,569 45,200 40,000 Northern Superior Resources Inc. 11,255 11,400

107,448 108,880 FUNDS (1.3%)

5,000 Boyd Group Income Fund Trust 53,923 55,000


Total Equities (84.4%) 3,346,537 3,459,700

DERIVATIVE INSTRUMENTS

Foreign Currency Forward Contracts (0.0%)(see Schedule A) (572)



Net Assets (100.0%) 4,097,688

Castlerock Canadian Growth Companies FundStatement of Investment Portfolio as at December 31, 2011

– 66 – CIG - 11108


INDUSTRIALS (24.2%) 1,000 Algoma Central Corp. 91,412 102,250

25,000 ATS Automation Tooling Systems Inc. 155,399 161,250 10,000 Aveng Ltd. 46,446 41,151 1,500 Canadian National Railway Co. 115,522 120,105

10,000 Cargojet Inc. 79,172 88,000 600 Dun & Bradstreet Corp. 42,904 45,738

5,000 Onex Corp. 170,248 165,750 5,000 Progressive Waste Solutions Ltd. 106,023 99,650 8,000 TransForce Inc. 102,848 103,440

125,000 Westaim Corp. 69,375 66,250 979,349 993,584

ENERGY (13.3%) 11,000 Americas Petrogas Inc. 26,641 32,450 6,000 Legacy Oil & Gas Inc. 62,973 62,880

35,000 Madalena Ventures Inc. 23,870 31,150 25,000 MATRRIX Energy Technologies Inc. 25,250 24,500

100,000 Perpetual Energy Inc. 185,884 116,000 20,000 Pinecrest Energy Inc. 45,024 47,400 16,400 TAG Oil Ltd. 102,118 115,292 3,000 Tourmaline Oil Corp. 81,120 79,890 4,000 Wild Stream Exploration Inc. 37,959 35,680

590,839 545,242 CONSUMER STAPLES (12.8%)

4,500 Alimentation Couche-Tard Inc., Class B 133,291 142,425 185,000 Brick Brewing Co., Ltd. 210,111 205,350

2,500 Corby Distilleries Ltd., Class A, Voting-Shares 44,794 40,800 2,500 Metro Inc., Class A 114,884 134,950

503,080 523,525 CONSUMER DISCRETIONARY (11.0%)

5,000 Abbey PLC 35,547 32,965 27,600 Bauer Performance Sports Ltd. 160,780 171,672 4,000 Gildan Activewear Inc. 73,065 76,560

10,000 Pulte Group Inc.* 52,009 64,178 2,000 Toll Brothers Inc. 34,821 41,563 2,500 Transcontinental Inc., Preferred 63,225 64,775

419,447 451,713

††CI Investments Inc., the Manager, is a corporation controlled by CI Financial Corp. The Bank of Nova Scotia has a significant interest in CI Financial Corp. Transactions with The Bank of Nova Scotia are identified above.*Denotes all or part of securities on loan.Percentages shown in brackets relate investments at fair value to net assets of the Fund.The accompanying notes are an integral part of these financial statements.



Schedule AForeign Currency Forward Contracts (0.0%)

Credit Rating Settlement Contract UnrealizedContracts Counterparty of the Counterparty‡ Date Rate ($) Pay Receive Gain (Loss) ($)1 The Bank of Nova Scotia†† A-1+ 31-Jan-12 8.03 (311,000) South African Rand 38,724 Canadian $ (572)Total Foreign Currency Forward Contracts Value (572)

‡Credit ratings are obtained from Standard & Poor’s, where available, otherwise ratings are obtained from: Moody's Investors Service, Dominion Bond Rating Services or Canadian Bond Rating Services.

Castlerock Canadian Growth Companies FundFinancial Statements






Net assets per classSeries ASeries BSeries FSeries T(A)Series T(B)







Expenses absorbed by the ManagerNet investment income (loss) for the period







3,460556

---1

105-9

4,131

---1

32----

334,098

3,347-

5151,9261,594

1350

10.0710.0510.0314.3014.31

51,023191,656159,023

8833,525

392---

(1)40

32------1

1043

-(3)

1037

(60)

112162159

27597111

1.020.610.540.721.20

Statement of Operation for the period ended December 31(in $000’s except for per unit amounts)

2011

Statement of Net Assets as at December 31(in $000’s except for per unit amounts and units outstanding)

2011


Castlerock Canadian Growth Companies FundFinancial Statements

– 68 –

Series ANet assets, beginning of periodCapital transactions



Increase (decrease) in net assets from operationsNet assets, end of period

Series BNet assets, beginning of periodCapital transactions




Series FNet assets, beginning of periodCapital transactions




Series T(A)Net assets, beginning of periodCapital transactions




Series T(B)Net assets, beginning of periodCapital transactions




Total FundNet assets, beginning of periodCapital transactions




-

121-

13

--

(1)(1)1

13

-

493-

52

(2)-

(1)(3)1

50

-

4,135153(195)

4,093

(152)-

(2)(154)159

4,098

-

56916(81)504

(16)--

(16)27

515

-

1,93260(64)

1,928

(61)--

(61)59

1,926

-

1,57373(50)

1,596

(73)--

(73)71

1,594

Statement of Changes in Net Assets for the period ended December 31 (in $000’s)

2011


Statement of Changes in Net Assets (cont’d)for the period ended December 31 (in $000’s)

2011


Castlerock Canadian Growth Companies FundFinancial Statements – Supplementary Schedules

– 69 –

Series ABalance, beginning of periodUnits issued for cash Units issued for reinvested distributions Units redeemedBalance, end of period

Series BBalance, beginning of periodUnits issued for cash Units issued for reinvested distributions Units redeemedBalance, end of period

Series FBalance, beginning of periodUnits issued for cash Units issued for reinvested distributions Units redeemedBalance, end of period

Series T(A)Balance, beginning of periodUnits issued for cash Units issued for reinvested distributions Units redeemedBalance, end of period

Series T(B)Balance, beginning of periodUnits issued for cash Units issued for reinvested distributions Units redeemedBalance, end of period

Schedule of Commissionsfor the period December 31 (in $000’s)

2011


594

Schedule of Fund Unit Transactions for the period ended December 31

2011

-57,3491,669(7,995)51,023

-191,947

6,085(6,376)

191,656

-156,525

7,443(4,945)

159,023

-81370

-883

-3,338

187-

3,525







10.0710.10

10.0510.08

10.0310.05

14.3014.33

14.3114.34


2011



2.002.201.002.002.20


2011




The Fund under distributed net realizable capital gains during the year which resulted in a taxpayable in the amount of $6,842. Under the terms of an agreement dated March 12, 2012, a thirdparty administrator has acknowledged its responsibility and unconditionally assumed the taxliability, and the Fund has agreed to undertake all commercially reasonable and legally permissiblemeasures, not to the detriment of unitholders, to recover tax payments and remit such recoveredamounts, if any, to the third party administrator as they occur. Subsequent to year end, the taxeswere paid in accordance with the agreement.The under distribution of realized capital gains did notadversely impact the unitholders of the Fund as the balance was paid by the 3rd party administrator.

2011-

---------


2011


5254

Castlerock Canadian Growth Companies FundFund Specific Financial Instruments Risks (Note 11)

– 70 –

Fair Value HierarchyThe table below summarizes the inputs used by the Fund in valuing the Fund’s investments andderivatives carried at fair value.


(in $000's) (in $000's) (in $000's) (in $000's)Equities 3,460 - - 3,460 Foreign currency forward contracts, net - (1) - (1)Total 3,460 (1) - 3,459

There were no transfers between Level 1, 2 and 3 during 2011.

Other Price RiskAs at December 31, 2011, the Fund was predominantly invested in Canadian equities and thereforewas sensitive to changes in general economic conditions in Canada.

As at December 31, 2011, had the Canadian markets increased or decreased by 10% with all othervariables held constant, net assets of the Fund would have increased or decreased, respectively, byapproximately $346,000. In practice, actual results may differ from this analysis and the difference maybe material.

Credit RiskThe Fund was invested in fixed income securities, preferred securities and derivative instruments, asapplicable, with the following credit ratings:

as at December 31, 2011*Credit Rating^ Net Assets (%)BB/Ba/B+ 1.6Total 1.6



Currency RiskThe table below summarizes the Fund's exposure to currency risk.


Exposure Exposure Exposure AssetsCurrency (in $000’s) (in $000’s) (in $000’s) (%)US Dollar 470 - 470 11.5Euro 33 - 33 0.8South Africa Rand 41 (39) 2 0.1Total 544 (39) 505 12.4

As at December 31, 2011, had the Canadian dollar strengthened or weakened by 10% in relation to allother foreign currencies held in the Fund, with all other variables held constant, net assets of the Fundwould have decreased or increased, respectively, by approximately $51,000. In practice, the actualresults may differ from this analysis and the difference may be material.

Interest Rate RiskAs at December 31, 2011, the Fund did not have a significant exposure to interest rate risk assubstantially all of its assets were invested in equities.



INFORMATION TECHNOLOGY (3.7%) 77,620 CGI Group Inc.* 1,075,548 1,489,528 20,600 Open Text Corp. 806,219 1,072,230

1,881,767 2,561,758 CONSUMER STAPLES (3.4%)

20,370 Metro Inc., Class A 765,925 1,099,573 32,010 Saputo Inc. 857,716 1,247,430

1,623,641 2,347,003 HEALTH CARE (2.8%)

40,140 Valeant Pharmaceuticals International Inc. 1,077,218 1,908,657

TELECOMMUNICATION SERVICES (2.3%) 40,170 Rogers Communications Inc., Class B 1,481,703 1,576,271


Total Equities (99.3%) 64,869,466 67,949,600

Short-Term Investments (0.2%) 134,645 134,632



Net Assets (100.0%) 68,459,412

Castlerock Canadian Stock FundStatement of Investment Portfolio as at December 31, 2011

– 71 – CIG - 11101


FINANCIALS (28.5%) 57,120 Bank of Montreal 3,456,572 3,190,152 16,400 IGM Financial Inc. 800,421 723,568 30,200 Intact Financial Corp. 900,188 1,767,606 20,100 iShares S&P/TSX 60 Index Fund 346,673 343,107

190,490 Manulife Financial Corp. 3,021,609 2,063,007 33,150 National Bank of Canada 1,746,407 2,391,441 73,510 The Bank of Nova Scotia*†† 3,056,489 3,732,103 69,030 Toronto-Dominion Bank 4,656,974 5,263,538

17,985,333 19,474,522 ENERGY (24.5%)

29,320 Baytex Energy Corp.* 1,201,435 1,668,601 106,400 BlackPearl Resources Inc. 791,778 437,304 80,380 Canadian Natural Resources Ltd. 3,019,719 3,059,263 43,570 Crescent Point Energy Corp.* 1,504,993 1,953,243 29,370 MEG Energy Corp. 1,376,106 1,210,925 84,720 Precision Drilling Corp. 1,202,020 886,171

106,640 Suncor Energy Inc. 3,960,341 3,133,083 55,970 TransCanada Corp. 2,422,878 2,490,665 54,210 Trican Well Service Ltd. 985,776 950,843 20,500 Vermilion Energy Inc.* 1,011,887 926,395

17,476,933 16,716,493 MATERIALS (20.1%)

21,460 Agrium Inc. 1,449,212 1,465,718 98,700 Eldorado Gold Corp. 1,207,541 1,378,839 33,800 First Majestic Silver Corp.* 608,502 578,994 73,930 Goldcorp Inc. 2,949,011 3,334,982

145,172 Kinross Gold Corp. 1,433,231 1,685,447 44,530 Potash Corp. of Saskatchewan Inc. 2,164,862 1,874,268

103,310 SEMAFO Inc. 1,143,454 680,813 23,800 Sino-Forest Corp., Class A ^ 409,656 2 40,800 Teck Resources Ltd., Class B 1,346,793 1,462,680 88,600 Yamana Gold Inc. 1,344,499 1,327,228

14,056,761 13,788,971 INDUSTRIALS (7.0%)

79,125 CAE Inc. 799,051 779,381 25,824 Canadian National Railway Co. 2,040,323 2,067,728 77,570 Celestica Inc. 750,162 580,999 63,100 Finning International Inc. 1,750,399 1,397,034


15,120 Canadian Tire Corp., Ltd., Class A, Non-Voting Shares 864,093 992,779

18,720 Dollarama Inc. 708,212 831,917 9,180 Gildan Activewear Inc.* 280,671 175,705

41,760 Magna International Inc., Class A 1,254,513 1,416,499 27,040 Tim Hortons Inc. 894,287 1,333,883

4,001,776 4,750,783

††CI Investments Inc., the Manager, is a corporation controlled by CI Financial Corp. The Bank of Nova Scotia has a significant interest in CI Financial Corp. Investments in The Bank of Nova Scotia are identified above.*Denotes all or part of securities on loan.^Denotes illiquid securities.Percentages shown in brackets relate investments at fair value to net assets of the Fund.The accompanying notes are an integral part of these financial statements.



Castlerock Canadian Stock FundFinancial Statements




















67,950 95,724212 94135 608

- -- -

100 13184 1,948

- -170 162

68,651 98,667

- -- -- -- -

31 2,017161 188

- -- -- 2

192 2,20768,459 96,460

64,869 75,837- -

9,138 13,47141,771 58,8066,955 10,8191,270 2,1448,831 10,495

243 446251 279

12.79 15.4812.28 14.8913.13 15.8813.35 16.0013.16 15.538.73 11.298.58 11.14

714,348 870,2543,402,571 3,950,112

529,739 681,44195,097 134,030

671,128 675,90027,851 39,50429,198 25,058

1,621 1,8745 29- -3 -- -- -

1,629 1,903

1,556 1,7181 11- 7

14 22- -- -- 261 4

375 3911,947 2,179

- (223)(318) (53)

1,988 2,3372 -

(73) (76)

(16,806) 11,075(14,889) 13,336(15,207) 13,283

(2,093) 1,885(9,503) 7,858(1,625) 1,608

(249) 308(1,611) 1,519

(70) 81(56) 24

(2.64) 1.93(2.58) 1.90(2.68) 1.98(2.38) 2.26(2.38) 2.99(1.93) 1.23(1.98) 1.59


2011 2010


2011 2010



– 73 –

























2,144 1,790

447 728- -

(1,072) (682)(625) 46

- -- -- -- -

(249) 3081,270 2,144

10,495 2,624

224 6,728- -

(277) (376)(53) 6,352

- -- -- -- -

(1,611) 1,5198,831 10,495

446 282

58 1,01318 15

(184) (905)(108) 123

- -- -

(25) (40)(25) (40)(70) 81243 446

13,471 14,081

2,473 3,211- -

(4,713) (5,705)(2,240) (2,494)

- -- (1)- -- (1)

(2,093) 1,8859,138 13,471

58,806 54,247

12,275 12,175- -

(19,807) (15,472)(7,532) (3,297)

- -- (2)- -- (2)

(9,503) 7,85841,771 58,806

10,819 12,434

804 909- 5

(3,043) (4,132)(2,239) (3,218)

- -- (5)- -- (5)

(1,625) 1,6086,955 10,819


2011 2010



2011 2010


– 74 –










279 48

74 33910 3(37) (126)47 216

- -- -

(19) (9)(19) (9)(56) 24251 279

96,460 85,506

16,355 25,10328 23

(29,133) (27,398)(12,750) (2,272)

- -- (8)

(44) (49)(44) (57)

(15,207) 13,28368,459 96,460


2011 2010



Castlerock Canadian Stock FundFinancial Statements – Supplementary Schedules

– 75 –









2011


10,50811,033


2011 2010


73 767 8


2011 2010

870,254 1,049,231168,243 230,209

- -(324,149) (409,186)714,348 870,254

3,950,112 4,192,020907,170 915,295

- -(1,454,711) (1,157,203)3,402,571 3,950,112

681,441 905,43754,141 63,936

- 343(205,843) (288,275)529,739 681,441

134,030 130,34429,570 51,799

- -(68,503) (48,113)95,097 134,030

675,900 199,34214,066 502,312

- -(18,838) (25,754)671,128 675,900

39,504 27,1475,607 97,2551,777 1,423

(19,037) (86,321)27,851 39,504

25,058 4,6836,793 32,189

962 323(3,615) (12,137)29,198 25,058









12.79 15.4812.81 15.51

12.28 14.8912.29 14.91

13.13 15.8813.15 15.90

13.35 16.0013.37 16.02

13.16 15.5313.18 15.55

8.73 11.298.74 11.31

8.58 11.148.60 11.16


2011 2010


– 76 –

Castlerock Canadian Stock FundFinancial Statements – Supplementary Schedules




2.002.201.651.00



2011




201112,542

---------

Castlerock Canadian Stock FundFund Specific Financial Instruments Risks (Note 11)

– 77 –






(in $000's) (in $000's) (in $000's) (in $000's)Equities 95,724 - - 95,724 Short-term investments - 608 - 608Total 95,724 608 - 96,332





Materials.................................................................................................................................. 27.4Financials ................................................................................................................................. 24.9Energy ...................................................................................................................................... 20.1Consumer Discretionary........................................................................................................... 8.0Information Technology ........................................................................................................... 5.3Industrials ................................................................................................................................ 5.1Telecommunication Services ................................................................................................... 4.0Consumer Staples.................................................................................................................... 2.6Health Care .............................................................................................................................. 1.9Short-Term Investments........................................................................................................... 0.6Cash ......................................................................................................................................... 0.1



Credit RiskAs at December 31, 2011, the Fund did not have a significant exposure to credit risk as substantially allof its assets were invested in equities.

The Fund was invested in fixed income securities, preferred securities and derivative instruments, as applicable, with the following credit ratings:

as at December 31, 2010*Credit Rating^ Net Assets (%)AAA/Aaa 0.6 Total 0.6






CONSUMER DISCRETIONARY (8.8%) (cont’d)

19,835 Magna International Inc., Class A 592,694 672,803 5,160 McGraw-Hill Cos., Inc. 193,076 236,333

12,400 Shaw Communications Inc., Class B 254,462 250,976 19,905 Thomson Corp. 756,768 541,217 7,855 Walt Disney Co. 323,311 299,912

3,277,085 2,979,392 INFORMATION TECHNOLOGY (8.1%)

2,845 Accenture PLC 147,669 154,272 4,900 Adobe Systems Inc. 133,694 141,064

25,000 Applied Materials Inc. 368,857 272,503 13,247 CGI Group Inc.* 257,105 254,210 14,435 Dell Inc. 201,867 214,987 11,115 Intel Corp. 238,226 274,580 18,475 Microsoft Corp. 495,137 488,581 5,836 Open Text Corp.* 322,076 303,764 3,800 Oracle Corp. 118,105 99,216 2,510 QUALCOMM Inc. 144,234 139,788

13,800 Research In Motion Ltd. 255,227 203,688 3,718 SanDisk Corp. 173,255 186,347

2,855,452 2,733,000 INDUSTRIALS (7.8%)

132,127 Air Canada, Class B 421,652 130,806 5,575 Boeing Co. 398,594 416,575

160,931 Bombardier Inc., Class B, Sub-Voting Shares 954,193 651,771 14,925 CAE Inc. 190,482 147,011 5,308 Canadian National Railway Co. 275,658 425,012 3,775 Flour Corp. 271,562 193,126 2,725 Norfolk Southern Corp. 174,009 202,257

39,409 WestJet Airlines Ltd. 617,842 459,903 3,303,992 2,626,461

CONSUMER STAPLES (1.3%) 4,550 Empire Co., Ltd., Class A 243,587 267,813 2,400 Procter & Gamble Co. 156,147 162,976

399,734 430,789 HEALTH CARE (1.0%)

4,975 Johnson & Johnson 329,037 332,211


Total Equities (97.5%) 37,227,568 32,827,319


Foreign Currency Forward Contracts (0.3%)(see Schedule A) 92,737



Net Assets (100.0%) 33,673,810

Castlerock Canadian Value FundStatement of Investment Portfolio as at December 31, 2011

– 78 – CIG - 11116


ENERGY (26.8%) 4,050 Anadarko Petroleum Corp. 306,677 314,960

21,800 Canadian Natural Resources Ltd. 942,695 829,708 28,479 Canyon Services Group Inc. 387,898 340,324 7,125 Chesapeake Energy Corp. 216,034 161,787 3,380 Crescent Point Energy Corp.* 142,999 151,525

38,035 EnCana Corp. 1,219,666 718,481 16,655 Imperial Oil Ltd. 765,258 755,637 2,550 Marathon Petroleum Corp. 93,608 86,503

41,133 Mullen Group Ltd. 883,187 806,618 9,125 Nabors Industries Ltd. 228,920 161,001

58,940 Precision Drilling Corp. 665,260 616,512 50,263 Savanna Energy Services Corp. 441,579 374,459 5,050 Schlumberger Ltd. 441,954 351,366 9,605 Spectra Energy Corp. 245,014 300,682

49,898 Suncor Energy Inc. 2,043,076 1,465,871 46,710 Talisman Energy Inc. 752,548 606,296 20,084 Tourmaline Oil Corp. 498,429 534,837 24,673 Trican Well Service Ltd. 537,765 432,764

10,812,567 9,009,331 FINANCIALS (25.7%)

6,800 Aflac Inc. 380,725 299,670 7,525 Canadian Imperial Bank of Commerce 530,440 554,969 3,460 Goldman Sachs Group Inc. 536,523 318,810

17,000 IGM Financial Inc. 701,427 750,040 8,420 Intact Financial Corp. 425,322 492,823 8,740 JPMorgan Chase & Co. 396,538 295,951

43,615 Manulife Financial Corp. 1,037,439 472,350 34,770 Power Corporation of Canada 994,996 826,483 29,898 Royal Bank of Canada* 1,476,557 1,552,603 5,975 State Street Corp. 275,722 245,296 8,414 TMX Group Inc. 347,081 350,359

27,740 Toronto-Dominion Bank 1,554,291 2,115,175 13,325 Wells Fargo & Co. 432,536 374,106

9,089,597 8,648,635 MATERIALS (18.0%)

7,300 AbitibiBowater Inc.* 194,343 106,945 7,795 Agrium Inc. 624,455 532,398

30,127 Barrick Gold Corp. 1,453,748 1,389,658 5,200 Cameco Corp. 133,337 95,628

12,778 CCL Industries Inc., Class B 439,052 398,290 6,340 Freeport-McMoRan Copper & Gold Inc.,

Class B (USD) 296,239 237,611 11,165 Goldcorp Inc. 479,762 503,653 6,800 Monsanto Co. 498,817 485,388 4,335 Mosaic Co. 320,732 222,703

31,600 Potash Corp. of Saskatchewan Inc. 1,650,582 1,330,044 21,344 Teck Resources Ltd., Class B 1,110,734 765,182


10,325 Best Buy Co., Inc. 335,708 245,703 7,305 Garmin Ltd.* 240,633 296,251 5,684 Harman International Industries Inc. 238,520 220,437

15,500 Linamar Corp. 341,913 215,760




– 79 –

Castlerock Canadian Value FundStatement of Investment Portfolio as at December 31, 2011 (cont’d)

††CI Investments Inc., the Manager, is a corporation controlled by CI Financial Corp. The Bank of Nova Scotia has a significant interest in CI Financial Corp. Transactions with The Bank of Nova Scotia are identified above.Percentages shown in brackets relate investments at fair value to net assets of the Fund.The accompanying notes are an integral part of these financial statements.


Credit Rating Settlement Contract UnrealizedContracts Counterparty of the Counterparty‡ Date Rate ($) Pay Receive Gain (Loss) ($)1 The Bank of Nova Scotia†† A-1+ 26-Jan-12 0.98 (1,000,000) US $ 1,015,250 Canadian $ (4,035)1 The Bank of Nova Scotia†† A-1+ 11-Apr-12 1.03 (7,000,000) US $ 7,243,250 Canadian $ 96,772 Total Foreign Currency Forward Contracts Value 92,737



Castlerock Canadian Value FundFinancial Statements




















32,827 46,207731 122

- 17597 -

- -5 30- 11- -

53 11833,713 46,663

- -- -- -4 -- -

35 110- -- -- 1

39 11133,674 46,552

37,228 39,695- -

3,389 4,56321,535 30,3911,774 3,328

68 2416,699 7,821

35 2174 206

12.17 14.4311.90 14.1312.19 14.3812.29 14.4213.08 15.1010.93 13.8511.32 14.37

278,312 316,2671,810,356 2,151,094

145,565 231,3575,528 16,733

512,273 517,9243,210 166

15,415 14,309

852 1,3103 126- -2 -- -

(26) (25)831 1,411

709 861- 11- 77 22- -- -- 111 2

191 202908 1,116

- (134)(77) 429

4,355 1,27521 (1)(96) (13)

(10,821) 3,895(6,541) 5,156(6,618) 5,585

(679) 505(4,422) 3,449

(381) 631(22) 32

(1,079) 948(1) -

(34) 20

(2.26) 1.60(2.25) 1.47(2.10) 1.38(2.40) 1.76(2.05) 2.01(2.13) 1.52(2.25) 2.06


2011 2010


2011 2010



– 81 –

























241 149

- 93- -

(151) (33)(151) 60

- -- -- -- -

(22) 3268 241

7,821 5,241

357 2,098- 11

(400) (466)(43) 1,643

- -- (11)- -- (11)

(1,079) 9486,699 7,821

2 1

35 1- -

(1) -34 1

- -- -- -- -

(1) -35 2

4,563 3,771

739 2,349- -

(1,234) (2,061)(495) 288

- -- (1)- -- (1)

(679) 5053,389 4,563

30,391 29,545

4,392 8,323- -

(8,826) (10,926)(4,434) (2,603)

- -- -- -- -

(4,422) 3,44921,535 30,391

3,328 6,546

271 322- -

(1,444) (4,171)(1,173) (3,849)

- -- -- -- -

(381) 6311,774 3,328


2011 2010



2011 2010


– 82 –










206 77

27 1433 4

(15) (30)15 117

- -- -

(13) (8)(13) (8)(34) 20174 206

46,552 45,330

5,821 13,3293 15

(12,071) (17,687)(6,247) (4,343)

- -- (12)

(13) (8)(13) (20)

(6,618) 5,58533,674 46,552


2011 2010



Castlerock Canadian Value FundFinancial Statements – Supplementary Schedules

– 83 –









2011


2,4442,567


2011 2010


96 139 4


2011 2010

316,267 293,13353,186 177,989

- -(91,141) (154,855)278,312 316,267

2,151,094 2,339,687329,904 642,908

- -(670,642) (831,501)

1,810,356 2,151,094

231,357 511,64921,049 23,861

- -(106,841) (304,153)145,565 231,357

16,733 11,720- 7,332- -

(11,205) (2,319)5,528 16,733

517,924 397,56223,206 153,804

- 734(28,857) (34,176)512,273 517,924

166 1143,126 45

8 7(90) -

3,210 166

14,309 5,6592,114 10,708

267 290(1,275) (2,348)15,415 14,309









12.17 14.4312.19 14.45

11.90 14.1311.91 14.15

12.19 14.3812.20 14.41

12.29 14.4212.31 14.44

13.08 15.1013.09 15.13

10.93 13.8510.94 13.87

11.32 14.3711.33 14.40


2011 2010


– 84 –

Castlerock Canadian Value FundFinancial Statements – Supplementary Schedules




2.002.201.651.00



2011





2011-

---------

Castlerock Canadian Value FundFund Specific Financial Instruments Risks (Note 11)

– 85 –




(in $000's) (in $000's) (in $000's) (in $000's)Equities 32,827 - - 32,827 Foreign currency forward contracts, net - 93 - 93 Total 32,827 93 - 32,920







Financials ................................................................................................................................. 33.1Energy ...................................................................................................................................... 18.7Consumer Staples.................................................................................................................... 11.7Consumer Discretionary .......................................................................................................... 9.3Telecommunication Services ................................................................................................... 8.0Industrials ................................................................................................................................ 8.0Materials.................................................................................................................................. 7.5Health Care .............................................................................................................................. 2.9Short-Term Investments........................................................................................................... 0.4Cash ........................................................................................................................................ 0.3Other assets (net) ................................................................................................................... 0.1






Exposure Exposure Exposure AssetsCurrency (in $000’s) (in $000’s) (in $000’s) (%)US Dollar 9,144 (8,150) 994 3.0Total 9,144 (8,150) 994 3.0



As at December 31, 2011, had the Canadian dollar strengthened or weakened by 10% (December 31,2010 - 2%) in relation to all other foreign currencies held in the Fund, with all other variables heldconstant, net assets of the Fund would have decreased or increased, respectively, by approximately$99,000 (December 31, 2010 - $108,000). In practice, the actual results may differ from this analysisand the difference may be material.



UTILITIES (5.1%) 3,000 Brookfield Infrastructure Partners LP 75,453 84,510

HEALTH CARE (2.3%) 1,700 Pfizer Inc. 30,302 37,476




Net Assets (100.0%) 1,652,184

Castlerock Pure Canadian Equity FundStatement of Investment Portfolio as at December 31, 2011

– 86 – CIG - 11109


ENERGY (19.3%) 950 Calfrac Well Services Ltd. 30,749 26,990

1,200 Canadian Natural Resources Ltd. 45,082 45,672 1,000 Cenovus Energy Inc. 32,446 33,830

750 Keyera Corp. 28,063 37,320 12,000 MATRRIX Energy Technologies Inc. 12,120 11,760 1,000 Paramount Resources Ltd., Class A 34,750 42,450

40,000 Perpetual Energy Inc. 84,570 46,400 5,000 TAG Oil Ltd. 31,023 35,150 1,500 Tourmaline Oil Corp. 43,912 39,945

342,715 319,517 INDUSTRIALS (17.7%)

300 Algoma Central Corp. 28,319 30,675 6,000 ATS Automation Tooling Systems Inc. 39,303 38,700

500 Canadian National Railway Co. 36,134 40,035 2,000 Cargojet Inc. 17,420 17,600 2,000 Onex Corp. 68,958 66,300 2,200 Progressive Waste Solutions Ltd. 45,543 43,846 2,200 TransForce Inc. 29,915 28,446

50,000 Westaim Corp. 27,750 26,500 293,342 292,102

CONSUMER STAPLES (17.2%) 1,500 Alimentation Couche-Tard Inc., Class B 43,646 47,475

80,000 Brick Brewing Co., Ltd. 90,150 88,800 1,000 Corby Distilleries Ltd., Class A, Voting-Shares 17,891 16,320 2,500 Jean Coutu Group Inc., Class A 27,296 31,850 1,000 Metro Inc., Class A 45,959 53,980 1,100 Shoppers Drug Mart Corp. 45,262 45,177

270,204 283,602 FINANCIALS (10.2%)

4,000 Dundee International Real EstateInvestment Trust 39,528 39,640

1,500 MI Developments Inc., Class A 42,752 48,840 500 Royal Bank of Canada* 24,466 25,965 700 Toronto-Dominion Bank 55,130 53,375

161,876 167,820 CONSUMER DISCRETIONARY (9.8%)

10,000 Bauer Performance Sports Ltd. 55,777 62,200 1,000 Gildan Activewear Inc. 17,860 19,140 3,000 Great Canadian Gaming Corp. 22,775 25,020 2,000 Groupe Aeroplan Inc. 23,479 23,860 1,200 Uni-Select Inc. 31,415 31,224

151,306 161,444 INFORMATION TECHNOLOGY (6.2%)

1,000 Calian Technologies Ltd. 18,614 17,300 7,000 Enghouse Systems Ltd. 67,429 84,980

86,043 102,280 MATERIALS (4.7%)

1,100 Detour Gold Corp.* 29,049 27,577 650 Franco-Nevada Corp. 26,242 25,207 600 Potash Corp. of Saskatchewan Inc. 28,394 25,254

83,685 78,038




Castlerock Pure Canadian Equity FundFinancial Statements




















1,52761

----

62-3

1,653

----2----2

1,651

1,491-

32493

1,1061010

10.0010.029.99

14.2414.25

3,26349,191

110,769707705

231----

24

16------15

22-2

(22)(2)

(18)

36(6)(4)

--

(4)--

0.05(0.03)(0.04)0.080.05


2011


2011


Castlerock Pure Canadian Equity FundFinancial Statements

– 88 –

























-

101-

11

--

(1)(1)-

10

-

101-

11

--

(1)(1)-

10

-

1,73223(77)

1,678

(21)-

(2)(23)(4)

1,651

-

33-

(1)32

-----

32

-

5692

(76)495

(2)--

(2)-

493

-

1,11019

-1,129

(19)--

(19)(4)

1,106


2011



2011


Castlerock Pure Canadian Equity FundFinancial Statements – Supplementary Schedules

– 89 –







2011


171


2011

-3,391

21(149)

3,263

-56,771

190(7,770)49,191

-108,873

1,896-

110,769

-66740

-707

-66738

-705







10.0010.03

10.0210.05

9.9910.02

14.2414.29

14.2514.29


2011



2.002.201.002.002.20


2011




2011-

---------


2011


3840

Castlerock Pure Canadian Equity FundFund Specific Financial Instruments Risks (Note 11)

– 90 –





Other Price RiskAs at December 31, 2011, the Fund was predominantly invested in Canadian equities and thereforewas sensitive to changes in general economic conditions in Canada.

As at December 31, 2011, had the Canadian markets increased or decreased by 10%, with all othervariables held constant, net assets of the Fund would have increased or decreased, respectively, byapproximately $153,000. In practice, actual results may differ from this analysis and the difference maybe material.

Credit RiskAs at December 31, 2011, the Fund did not have a significant exposure to credit risk as substantially allof its assets were invested in equities.



Exposure Exposure Exposure AssetsCurrency (in $000’s) (in $000’s) (in $000’s) (%)US Dollar 44 - 44 2.7 Total 44 - 44 2.7


Interest Rate RiskAs at December 31, 2011, the Fund did not have a significant exposure to interest rate risk assubstantially all of its assets were invested in equities.



CORPORATE BONDS (21.9%) (cont’d)

252,000 Bell Canada 4.4% 03/16/2018 251,788 268,307 160,000 Bell Canada 4.95% 05/19/2021 159,414 173,373 118,000 British Columbia Ferry Services Inc.,

5.581% 01/11/2038 112,246 140,689 167,000 British Columbia Ferry Services Inc.,

5.74% 05/27/2014 176,718 182,007 481,000 Cadillac Fairview Finance Trust

3.24% 01/25/2016 486,896 502,193 257,000 Cadillac Fairview Finance Trust

4.31% 01/25/2021 256,361 281,933 7,317,000 Canada Housing Trust No.1

1.32929% 09/15/2016 7,306,383 7,270,3111,671,000 Canada Housing Trust No.1

1.32929% 03/15/2016 1,674,970 1,668,722 647,000 Canada Housing Trust No.1

3.75% 03/15/2020 693,581 719,942 590,000 Canada Housing Trust No.1

3.8% 06/15/2021 649,027 659,570 314,000 Canadian Imperial Bank of Commerce

3.3% 11/19/2014 316,867 326,038 1,111,000 Canadian Imperial Bank of Commerce

3.4% 01/14/2016 1,113,074 1,155,796 252,000 Canadian Imperial Bank of Commerce,

Callable, FRN, 5.15% 06/06/2018 252,827 262,966 180,000 CU Inc., 4.543% 10/24/2041 180,000 194,814 240,000 Enbridge Pipelines Inc., 5.35% 11/10/2039 240,456 290,842 217,000 Enersource Corp., 5.297% 04/29/2041 217,000 256,638 67,000 EPCOR Utilities Inc., 5.65% 11/16/2035 64,947 78,238

365,000 EPCOR Utilities Inc., 5.8% 01/31/2018 374,816 420,448 218,000 EPCOR Utilities Inc., 6.65% 04/15/2038 223,142 289,045 222,000 Finning International Inc., 6.02% 06/01/2018 221,045 259,134 199,000 FortisBC Energy Inc., 5.8% 05/13/2038 194,865 254,712 281,000 GE Capital Canada Funding Co.,

4.55% 01/17/2017 261,128 298,107 210,000 GE Capital Canada Funding Co.,

5.73% 10/22/2037 189,395 227,525 384,000 Greater Toronto Airports Authority


5.3% 02/25/2041 211,936 249,357 358,000 Great-West Lifeco Inc., 4.65% 08/13/2020 361,684 372,704 199,000 Great-West Lifeco Inc., 5.998% 11/16/2039 200,065 220,220 389,000 Great-West Lifeco Inc., FRN, Callable

5.691% 06/21/2067 393,829 403,302 287,000 Honda Canada Finance Inc., 5.076% 05/09/2013 284,266 298,532 188,000 Hydro One Inc., 4.64% 03/03/2016 201,254 206,863 703,000 Hydro Quebec 11% 08/15/2020 1,094,430 1,144,739 152,000 Inter Pipeline Fund 3.839% 07/30/2018 152,000 158,681 153,000 Inter Pipeline Fund 4.967% 02/02/2021 153,000 168,384 114,000 John Deere Credit Inc., 2.25% 10/14/2014 114,000 114,718 241,000 John Deere Credit Inc., 5.45% 09/16/2015 244,760 268,664 322,000 Metropolitan Life Global Funding I

3.85% 01/12/2016 321,346 331,867

Castlerock Canadian Balanced FundStatement of Investment Portfolio as at December 31, 2011

CIG - 11102


COMMON EQUITIES (55.5%) 28,700 Agrium Inc. 1,923,410 1,960,210 76,120 Bank of Montreal 4,602,861 4,251,302 38,900 Baytex Energy Corp.* 1,579,119 2,213,799

141,400 BlackPearl Resources Inc. 1,052,076 581,154 104,515 CAE Inc. 1,008,683 1,029,473 34,300 Canadian National Railway Co. 2,709,981 2,746,401

107,260 Canadian Natural Resources Ltd. 3,774,640 4,082,316 20,390 Canadian Tire Corp., Ltd., Class A,

Non-Voting Shares 1,164,545 1,338,807 102,560 Celestica Inc. 986,453 768,174 103,660 CGI Group Inc.* 1,411,840 1,989,235 58,180 Crescent Point Energy Corp.* 2,011,007 2,608,209 24,780 Dollarama Inc. 938,052 1,101,223

131,530 Eldorado Gold Corp. 1,620,121 1,837,474 85,400 Finning International Inc. 2,379,047 1,890,756 44,600 First Majestic Silver Corp.* 802,774 763,998 12,250 Gildan Activewear Inc.* 373,819 234,465 98,550 Goldcorp Inc. 3,939,805 4,445,590 21,600 IGM Financial Inc. 1,053,748 952,992 39,990 Intact Financial Corp. 1,200,305 2,340,615

193,580 Kinross Gold Corp. 1,923,294 2,247,464 55,620 Magna International Inc., Class A 1,678,886 1,886,630

253,700 Manulife Financial Corp. 4,032,028 2,747,571 39,070 MEG Energy Corp. 1,831,010 1,610,856 27,610 Metro Inc., Class A 1,029,272 1,490,388 43,820 National Bank of Canada 2,298,487 3,161,175 27,630 Open Text Corp. 1,083,955 1,438,142 59,330 Potash Corp. of Saskatchewan Inc. 2,883,038 2,497,200

112,600 Precision Drilling Corp. 1,597,113 1,177,796 53,500 Rogers Communications Inc., Class B 1,972,341 2,099,340 42,530 Saputo Inc. 1,115,262 1,657,394

137,430 SEMAFO Inc. 1,521,139 905,664 30,900 Sino-Forest Corp., Class A ^ 491,179 3

142,330 Suncor Energy Inc. 5,280,510 4,181,655 54,320 Teck Resources Ltd., Class B 1,787,094 1,947,372 98,010 The Bank of Nova Scotia*†† 4,215,328 4,975,968 35,950 Tim Hortons Inc. 1,180,998 1,773,414 91,800 Toronto-Dominion Bank 5,971,528 6,999,750 74,760 TransCanada Corp. 3,237,708 3,326,820 72,130 Trican Well Service Ltd. 1,305,352 1,265,160 53,260 Valeant Pharmaceuticals International Inc. 1,430,130 2,532,513 27,400 Vermilion Energy Inc.* 1,352,347 1,238,206

118,200 Yamana Gold Inc. 1,793,819 1,770,636 85,544,104 90,067,310

CORPORATE BONDS (21.9%) 369,000 407 International Inc., 3.87% 11/24/2017 368,889 388,439 183,000 407 International Inc., 4.99% 06/16/2020 189,267 209,232 404,000 Alberta Capital Finance Authority

4.45% 12/15/2025 386,693 466,970 87,396 Alliance Pipeline LP 7.181% 06/30/2023 100,280 108,407

319,000 Bank of Montreal 2.96% 08/02/2016 321,137 325,200 620,000 Bank of Montreal 3.979% 07/08/2021 625,119 642,604




– 91 –

– 92 –

PROVINCIAL BONDS (7.5%) (cont’d)

475,000 Municipal Finance Authority of British Columbia 4.8% 12/01/2017 484,498 542,002


215,000 Ontario Infrastructure Projects Corp., 4.7% 06/01/2037 201,932 243,296

816,000 Province of Alberta 1.38857% 05/27/2016 814,427 811,599 692,000 Province of British Columbia 3.7% 12/18/2020* 686,679 748,012

1,093,000 Province of British Columbia6.35% 06/18/2031 1,439,176 1,562,895

212,000 Province of Manitoba 2.05% 12/01/2016 212,316 214,915 393,000 Province of Manitoba 4.1% 03/05/2041 372,141 444,588 286,000 Province of Manitoba 4.15% 06/03/2020 297,598 318,648 450,000 Province of Manitoba 4.4% 09/05/2025 465,167 514,293 131,000 Province of New Brunswick 4.5% 06/02/2020 135,566 148,286 292,000 Province of New Brunswick 4.55% 03/26/2037 284,403 339,123 364,000 Province of Newfoundland 4.5% 04/17/2037 352,439 427,650 147,000 Province of Newfoundland 5.6% 10/17/2033 171,743 195,928 176,000 Province of Nova Scotia 4.7% 06/01/2041* 188,670 214,679 226,000 Province of Nova Scotia 5.8% 06/01/2033 256,118 303,938 868,000 Province of Ontario 6.2% 06/02/2031 1,064,792 1,215,900 317,000 Province of Quebec 4.25% 12/01/2021 340,889 352,475 97,000 Province of Quebec 5.75% 12/01/2036 110,257 131,707

681,000 Province of Quebec 6.25% 06/01/2032 861,369 951,830 280,000 Province of Saskatchewan 4.65% 09/05/2017 289,806 321,320 160,000 Province of Saskatchewan 4.75% 06/01/2040 160,686 202,042 446,000 Province of Saskatchewan 6.4% 09/05/2031 538,589 647,543

10,865,027 12,153,256 CANADIAN GOVERNMENT BONDS (3.0%)

219,000 Canada Post Corp., 4.36% 07/16/2040 218,890 273,362 269,000 Government of Canada 4% 06/01/2017* 291,462 305,521 323,000 Government of Canada 4% 06/01/2041* 398,550 423,990 294,000 Government of Canada 4.25% 06/01/2018* 322,812 342,959 288,000 Government of Canada 5% 06/01/2037* 395,104 420,879

3,053,000 Government of Canada 1.5% 11/01/2013* 3,086,281 3,083,496 4,713,099 4,850,207

INDEX FUNDS (0.3%)26,100 iShares S&P/TSX 60 Index Fund 450,157 445,527


Total Bonds & Equities (88.2%) 135,558,242 143,237,127




Net Assets (100.0%) 162,334,400

Castlerock Canadian Balanced FundStatement of Investment Portfolio as at December 31, 2011 (cont’d)



246,000 Metropolitan Life Global Funding I 4.85% 05/30/2013 251,078 254,576

314,000 National Bank of Canada 2.702% 12/15/2016 314,000 314,577 353,000 National Bank of Canada, FRN, 4.7% 11/02/2020 358,170 377,361 351,000 Ornge Issuer Trust 5.727% 06/11/2034 352,551 436,979 153,000 Pembina Pipeline Corp., 4.89% 03/29/2021 154,132 167,167 87,000 Plenary Health Bridgepoint LP 7.

246% 08/31/2042 88,669 115,237 1,130,000 PSP Capital Inc., 4.57% 12/09/2013 1,155,465 1,196,019

143,000 Rogers Communications Inc., 4.7% 09/29/2020 145,315 149,641



484,000 Royal Bank of Canada 3.03% 07/26/2016 483,802 495,786 1,021,000 Royal Bank of Canada 3.36% 01/11/2016 1,022,076 1,060,980

275,000 Royal Bank of Canada, FRN, 5.45% 11/04/2018 282,101 291,656

588,398 Royal Office Finance LP 5.209% 11/12/2032 588,398 699,924 149,000 Shoppers Drug Mart Corp.,

4.99% 06/03/2013 149,462 155,263 332,000 Sun Life Financial Inc., FRN,

4.8% 11/23/2035 326,665 337,675 264,000 Sun Life Financial Inc., FRN,

5.59% 01/30/2023 262,020 279,583 70,000 TCHC Issuer Trust 4.877% 05/11/2037 70,184 80,149

177,000 TCHC Issuer Trust 5.395% 02/22/2040 177,000 217,104 208,000 TELUS Corp., 5.05% 12/04/2019 212,487 228,896 385,000 TELUS Corp., 5.95% 04/15/2015 392,171 426,281

1,013,000 The Bank of Nova Scotia 3.61% 02/22/2016†† 1,017,051 1,062,877

281,000 The Bank of Nova Scotia 6% 10/03/2018†† 285,456 299,778

473,000 The Bank of Nova Scotia, FRN, 4.99% 03/27/2018†† 484,317 489,933

441,000 Thomson Reuters Corp., 4.35% 09/30/2020 442,422 465,762 110,000 Tim Hortons Inc., 4.2% 06/01/2017 111,514 118,349

1,500,000 Toronto-Dominion Bank 1.32% 09/19/2012 1,500,000 1,497,645 216,000 Toronto-Dominion Bank 3.367% 11/02/2020 216,000 219,091 231,000 Toronto-Dominion Bank 5.48% 04/02/2020 232,951 252,061 224,000 Toronto-Dominion Bank, FRN,

5.382% 11/01/2017 227,637 230,299 144,000 TransCanada PipeLines Ltd.,

8.29% 02/05/2026 189,513 209,384 494,000 Wells Fargo Financial Canada Corp.,

3.97% 11/03/2014 493,980 516,043 34,060,259 35,720,827

PROVINCIAL BONDS (7.5%) 76,000 55 Ontario School Board Trust 5.9% 06/02/2033 77,316 99,086





Castlerock Canadian Balanced FundFinancial Statements




















143,237 186,240154 157

18,603 20,434- -- -

71 332115 2,319

- -580 664

162,760 210,146

- -- -- -- -

49 2,417377 555

- -- -- -

426 2,972162,334 207,174

135,558 158,035- -

14,853 19,508128,045 161,55416,045 22,767

833 1,0022 2

143 1622,413 2,179

13.20 14.4212.28 13.4412.70 13.8112.16 13.1413.27 14.1311.15 13.0010.92 12.75

1,125,535 1,353,24110,425,180 12,019,2721,263,808 1,648,441

68,529 76,279163 163

12,830 12,430220,880 170,949

2,101 2,5112,477 3,011

- -6 -- -- -

4,584 5,522

3,966 4,2732 11- 7

32 22- -- -- 491 10

957 8624,958 5,234

- (362)(374) 650

4,804 7,057- -

(95) (108)

(20,499) 13,414(15,790) 20,363(16,164) 21,013

(1,519) 1,970(12,789) 16,150(1,555) 2,576

(66) 103- -

(17) 17(218) 197

(1.20) 1.42(1.15) 1.29(1.08) 1.33(0.96) 1.53(0.85) 1.70(1.11) 1.78(1.11) 1.43


2011 2010


2011 2010



– 94 –

























1,002 347

180 741- -

(283) (189)(103) 552

- -- -- -- -

(66) 103833 1,002

2 2

- -- -- -- -

- -- -- -- -- -2 2

162 44

76 1602 1

(70) (53)8 108

- -- -

(10) (7)(10) (7)(17) 17143 162

19,508 18,652

3,925 6,663- -

(7,061) (7,777)(3,136) (1,114)

- -- -- -- -

(1,519) 1,97014,853 19,508

161,554 154,323

27,929 38,406- -

(48,649) (47,325)(20,720) (8,919)

- -- -- -- -

(12,789) 16,150128,045 161,554

22,767 27,205

1,703 2,801- -

(6,870) (9,815)(5,167) (7,014)

- -- -- -- -

(1,555) 2,57616,045 22,767


2011 2010



2011 2010


– 95 –










2,179 1,360

1,080 86252 37

(532) (176)600 723

- -- -

(148) (101)(148) (101)(218) 197

2,413 2,179

207,174 201,933

34,893 49,63354 38

(63,465) (65,335)(28,518) (15,664)

- -- -

(158) (108)(158) (108)

(16,164) 21,013162,334 207,174


2011 2010



Castlerock Canadian Balanced FundFinancial Statements – Supplementary Schedules

– 96 –









2011


18,63019,561


2011 2010


95 1089 10


2011 2010

1,353,241 1,437,163279,534 498,542

- -(507,240) (582,464)

1,125,535 1,353,241

12,019,272 12,720,2432,131,271 3,077,281

- -(3,725,363) (3,778,252)10,425,180 12,019,272

1,648,441 2,193,183127,717 217,672

- -(512,350) (762,414)

1,263,808 1,648,441

76,279 29,59114,134 62,250

- -(21,884) (15,562)68,529 76,279

163 163- -- -- -

163 163

12,430 3,5446,386 13,133

126 85(6,112) (4,332)12,830 12,430

170,949 111,31891,039 70,8174,335 3,016

(45,443) (14,202)220,880 170,949









13.20 14.4213.21 14.44

12.28 13.4412.29 13.46

12.70 13.8112.71 13.83

12.16 13.1412.17 13.16

13.27 14.1313.28 14.15

11.15 13.0011.16 13.01

10.92 12.7510.93 12.77


2011 2010


– 97 –

Castlerock Canadian Balanced FundFinancial Statements – Supplementary Schedules




2.002.201.651.00



2011




201113,377

---------

Castlerock Canadian Balanced FundFund Specific Financial Instruments Risks (Note 11)

– 98 –

Currency RiskAs at December 31, 2011and 2010, the Fund's investments were denominated in Canadian dollars,the functional currency of the Fund. As a result, the Fund was not exposed to currency risk.

Interest Rate RiskThe tables below summarize the Fund's exposure to interest rate risk, categorized by the contractualmaturity date.

as at December 31, 2011Less than 1 - 3 3 - 5 Greater

1 Year Years Years than 5 Years Total(in $000’s) (in $000’s) (in $000’s) (in $000’s) (in $000’s)

Interest Rate Exposure 20,255 6,127 16,117 28,982 71,481




As at December 31, 2011, had the prevailing interest rates increased or decreased by 0.25%(December 31, 2010 - 0.25%), with all other variables held constant, net assets of the Fund wouldhave decreased or increased, respectively, by approximately $877,000 (December 31, 2010 -$1,030,000). In practice, the actual results may differ from this analysis and the difference may be material.



(in $000's) (in $000's) (in $000's) (in $000's)Equities 90,513 - - 90,513 Bonds - 52,724 - 52,724 Short-term investments - 18,603 - 18,603 Total 90,513 71,327 - 161,840


(in $000's) (in $000's) (in $000's) (in $000's)Equities 123,794 - - 123,794 Bonds - 62,446 - 62,446 Short-term investments - 20,434 - 20,434 Total 123,794 82,880 - 206,674





Common Equities ..................................................................................................................... 59.8Corporate Bonds ...................................................................................................................... 12.4Short-Term Investments........................................................................................................... 9.9Federal Government Bonds...................................................................................................... 9.8Provincial Government Bonds.................................................................................................. 7.9Other Assets (net) ................................................................................................................... 0.2

Other Price RiskAs at December 31, 2011 and 2010, the Fund was invested in Canadian equities and therefore wassensitive to changes in general economic conditions in Canada and some of the Fund’s assets wereinvested in fixed income securities and their market risk exposure is described below.


Credit RiskThe Fund was invested in fixed income securities, preferred securities and derivative instruments, as applicable, with the following credit ratings:

as at December 31, 2011*Credit Rating^ Net Assets (%)AAA/Aaa/A++ 17.8 AA/Aa/A+ 15.7 A 8.0 BBB/Baa/B++ 2.3 Not Rated 0.1Total 43.9

as at December 31, 2010*Credit Rating^ Net Assets (%)AAA/Aaa 23.2 AA/Aa 11.8 A/A 2.7 BBB/Bbb 2.3 Total 40.0





U.S.A. (34.4%) (cont’d)USD 465,000 United States Treasury Note/Bond

4.375% 11/15/2039 497,500 614,991 USD 187,000 United States Treasury Note/Bond 5.375%

02/15/2031 211,103 271,518 USD 212,000 United Technologies Corp., 6.125% 02/01/2019 243,233 267,376 USD 155,000 Wells Fargo & Co., 3.75% 10/01/2014 165,523 166,697 USD 750,000 Wells Fargo & Co., 7.98% 03/15/2049 787,166 818,465

45,638,021 47,554,336GERMANY (6.0%)

61,000 Adidas AG 2,916,776 4,045,110 500,000 Commerzbank AG, FRN 2.15929%

12/15/2016 439,500 275,000 750,000 Deutsche Bank AG 1.97857% 08/22/2016 703,125 600,000

EUR 955,000 Federal Republic of Germany 3.75% 01/04/2019 1,474,501 1,460,513

EUR 473,000 Federal Republic of Germany 4% 04/13/2012* 732,093 630,692

EUR 75,000 Federal Republic of Germany 4.75% 07/04/2034* 130,655 137,426

EUR 739,000 Federal Republic of Germany, Treasury Bond 4.25% 07/04/2014* 1,260,740 1,072,002

7,657,390 8,220,743 U.K. (5.5%)

USD 250,000 Anglo American Capital PLC 9.375% 04/08/2014 296,394 293,972

GBP 300,000 Barclays Bank PLC 14% 06/15/2019 574,019 531,966 86,961 GlaxoSmithKline PLC 1,647,652 2,023,821

1,209,606 Invensys PLC 5,378,779 4,028,384 USD 185,000 Rio Tinto Finance (USA) Ltd., 9% 05/01/2019 240,043 257,205 GBP 173,000 United Kingdom,

Treasury Gilt 4.75% 03/07/2020* 343,632 337,606 USD 145,000 Vodafone Group PLC 5.625% 02/27/2017 165,928 171,513

8,646,447 7,644,467 CANADA (5.1%)

USD 500,000 Barrick Gold Corp., 2.9% 05/30/2016 488,170 522,768 USD 50,000 Canadian Natural Resources Ltd.,

5.7% 05/15/2017 56,884 59,669 1,210,000 Government of Canada 3.5% 06/01/2020* 1,248,496 1,365,448 1,590,000 Government of Canada 4% 06/01/2017* 1,701,548 1,805,869

USD 400,000 Province of Ontario 3% 07/16/2018 383,237 429,457 USD 300,000 Province of Quebec 7.5% 09/15/2029 390,060 462,450 USD 60,000 Rogers Communications Inc., 6.8% 08/15/2018 71,893 74,455 USD 375,000 Royal Bank of Canada 2.3% 07/20/2016 359,686 387,275

750,000 Shaw Communications Inc., 6.75% 11/09/2039 753,163 781,464 USD 700,000 Teck Resources Ltd., 10.75% 05/15/2019 864,788 869,973

100,000 TELUS Corp., 4.95% 05/15/2014 104,380 106,089 200,000 Yellow Media Inc., 5.71% 04/21/2014 193,000 80,100 145,000 Yellow Media Inc., 7.3% 02/02/2015 140,838 56,622 100,000 Yellow Media Inc., 7.75% 03/02/2020 90,750 39,000

6,846,893 7,040,639

Castlerock Global Balanced FundStatement of Investment Portfolio as at December 31, 2011

– 99 – CIG - 11115


U.S.A. (34.4%) 100,000 Adobe Systems Inc. 2,680,888 2,878,856 479,400 Affymetrix Inc. 2,393,269 1,997,419 141,000 Archer-Daniels-Midland Co. 4,008,764 4,108,023

USD 560,000 AT&T Inc., 5.8% 02/15/2019 616,480 673,176 USD 145,000 Bank of America Corp., 6.5% 08/01/2016 167,151 148,756 USD 750,000 Bank of America Corp.,

Callable 8% 01/30/2049 772,277 684,141 USD 120,000 Cellco Partnership / Verizon Wireless Capital

LLC 5.55% 02/01/2014 140,023 132,814 USD 315,000 Cellco Partnership / Verizon Wireless Capital

LLC 7.375% 11/15/2013 356,959 357,294 USD 385,000 Cisco Systems Inc., 4.95% 02/15/2019 411,285 454,651 USD 155,000 Citigroup Inc., 6.01% 01/15/2015 169,684 164,959 USD 350,000 ConocoPhillips Co., 5.75% 02/01/2019 394,262 429,638

250,000 Corning Inc. 3,702,293 3,303,146 120,000 eBay Inc. 2,750,878 3,705,228 80,000 FTI Consulting Inc.* 3,192,514 3,457,072

USD 130,000 General Electric Capital Corp., 3.75% 11/14/2014 137,926 139,592

USD 35,000 General Electric Capital Corp., 5.9% 05/13/2014 40,794 39,047

USD 45,000 Hess Corp., 8.125% 02/15/2019 58,132 58,845 USD 100,000 HSBC Bank USA NA 4.625% 04/01/2014 112,026 104,090 USD 750,000 JPMorgan Chase & Co.,

FRN, Callable 7.9% 04/30/2049 787,166 813,452 USD 460,000 Kimberly-Clark Corp., 7.5% 11/01/2018 569,018 619,142

87,954 Learning Tree International Inc. 1,054,472 613,753 USD 95,000 MetLife Inc., 6.75% 06/01/2016 113,949 111,491 USD 130,000 Morgan Stanley 4.75% 04/01/2014 139,829 130,457 USD 40,000 NBC Universal 5.15% 04/30/2020 40,513 45,368 USD 45,000 NBCUniversal Media LLC 5.95% 04/01/2041 46,030 53,883

70,000 Northrop Grumman Corp. 4,256,215 4,170,164 145,000 Oracle Corp. 3,573,332 3,785,858

USD 500,000 PNC Financial Services Group Inc.,6.75% 08/01/2021 473,700 498,110

USD 500,000 Republic Services Inc., 5.5% 09/15/2019 521,627 587,828 USD 97,000 Roche Holdings Inc., 6% 03/01/2019 109,829 119,417

120,000 Synopsys Inc.* 2,669,956 3,325,048 USD 135,000 Time Warner Cable Inc., 5% 02/01/2020 140,497 150,676 USD 242,000 Time Warner Cable Inc., 8.25% 04/01/2019 291,616 309,639 USD 1,500,000 United States Treasury Note/Bond 0.75%

08/15/2013 1,457,899 1,540,769 USD 1,000,000 United States Treasury Note/Bond 1.25%

08/31/2015 947,642 1,045,760 USD 2,000,000 United States Treasury Note/Bond 2.125%

08/15/2021 2,030,784 2,089,626 USD 1,700,000 United States Treasury Note/Bond 2.375%

07/31/2017 1,813,891 1,861,282 USD 295,000 United States Treasury Note/Bond 2.375%

09/30/2014 316,835 317,070 USD 300,000 United States Treasury Note/Bond 4.25%

11/15/2040 273,091 389,749




– 100 –

CAYMAN ISLANDS (2.1%) 258,800 WuXi PharmaTech Cayman Inc., ADR 3,162,980 2,913,227

SWITZERLAND (1.4%)293,340 Micronas Semiconductor Holding AG 2,044,143 1,994,623

NETHERLANDS (0.6%) EUR 620,000 Government of Netherlands 3.75%

07/15/2014* 913,345 881,965

AUSTRALIA (0.5%) AUD 560,000 New South Wales Treasury Corp., 5.5%

03/01/2017 534,988 619,180

DENMARK (0.2%) DKK 971,000 Kingdom of Denmark 7% 11/10/2024 252,596 273,316

SPAIN (0.1%) NZD 373,000 Instituto de Credito Oficial 6.375% 07/20/2015 246,565 239,427

LUXEMBOURG (0.0%) USD 65,000 Tyco International Finance SA

4.125% 10/15/2014 69,520 70,572




Foreign Currency Forward Contracts (0.1%) (see Schedule A) 147,567



Net Assets (100.0%) 138,081,315

Principal amounts stated in:USD U.S. Dollar EUR European Currency NZD New Zealand Dollar DKK Danish Krone AUD Australian Dollar GBP British Pound MXN Mexican Peso

Castlerock Global Balanced FundStatement of Investment Portfolio as at December 31, 2011 (cont’d)


AUSTRIA (4.9%) 145,061 Erste Bank der

Oesterreichischen Sparkassen AG* 4,516,648 2,545,937 500,000 Federal Republic of Austria 5.375%

12/01/2034 534,865 614,651 399,600 Wienerberger AG* 6,004,601 3,619,411

11,056,114 6,779,999JAPAN (4.7%)

71,750 Hamamatsu Photonics KK 1,862,440 2,548,936 120,300 Makita Corp. 3,887,877 3,958,414

5,750,317 6,507,350BRAZIL (4.6%)

175,000 Banco Bradesco SA, Preferred, ADR 2,791,697 2,973,595 340,800 Estacio Participacoes SA 3,230,904 3,320,442

6,022,601 6,294,037 MEXICO (4.5%)

245,000 Grupo Televisa SA, ADR 4,835,690 5,251,212 MXN 11,700,000 United Mexican State,

Treasury Bond 9% 12/20/2012 1,034,386 888,632 5,870,076 6,139,844

FRANCE (3.8%) USD 500,000 France Telecom SA 2.75% 09/14/2016 490,106 510,727 EUR 250,000 French Republic, Treasury Bond, OAT

4.25% 10/25/2018 422,700 362,949 EUR 100,000 French Republic, Treasury Bond, OAT

4.5% 04/25/2041 169,258 151,892 90,000 Publicis Groupe* 3,339,596 4,216,543

4,421,660 5,242,111PANAMA (3.6%)

150,000 Carnival Corp. 5,104,650 4,986,044

IRELAND (3.5%) GBP 300,000 Bank of Ireland 6.75% 01/30/2012 469,543 471,071

638,200 Glanbia PLC 3,305,900 3,794,512 USD 600,000 Irish Life & Permanent Group Holdings PLC

3.6% 01/14/2013 512,157 534,563 4,287,600 4,800,146

PORTUGAL (3.3%) 300,000 Galp Energia SGPS SA* 5,290,091 4,501,760

NORWAY (2.7%) USD 400,000 Eksportfinans ASA 2% 09/15/2015 328,239 337,549

2,600,176 Pronova Biopharma ASA 3,939,280 3,423,732 4,267,519 3,761,281

FINLAND (2.3%) EUR 1,535,000 Republic of Finland 3.125% 09/15/2014 2,174,577 2,157,870 EUR 650,000 Republic of Finland 3.875% 09/15/2017 952,612 956,011

3,127,189 3,113,881UAE DIRHAM (2.2%)

5,957,287 Aramex Co. 2,963,876 2,990,448




– 101 –

Castlerock Global Balanced FundStatement of Investment Portfolio as at December 31, 2011 (cont’d)



Credit Rating Settlement Contract UnrealizedContracts Counterparty of the Counterparty‡ Date Rate ($) Pay Receive Gain (Loss) ($)1 Credit Suisse Group AG A-1 13-Mar-12 0.98 (4,296,000) US $ 4,365,531 Canadian $ (17,734)1 Morgan Stanley A-2 11-Apr-12 1.36 (5,267,000) Euro 7,174,349 Canadian $ 206,628 1 Morgan Stanley A-2 13-Mar-12 0.99 (2,188,000) US $ 2,221,214 Canadian $ (11,224)1 Royal Bank of Canada A-1+ 13-Mar-12 0.99 (7,436,000) US $ 7,548,953 Canadian $ (38,073)1 State Street Corp. A-1 13-Mar-12 0.99 (4,138,000) US $ 4,198,787 Canadian $ (23,250)1 The Bank of Nova Scotia†† A-1+ 13-Mar-12 0.98 (7,517,000) US $ 7,637,122 Canadian $ (32,566)1 UBS AG A-1 11-Apr-12 0.98 (468,000) Australian $ 479,094 Canadian $ (4,027)1 UBS AG A-1 11-Apr-12 1.61 (736,000) British Pound 1,181,585 Canadian $ 15,850 1 UBS AG A-1 13-Mar-12 0.99 (8,991,026) Canadian $ 8,863,000 US $ 51,963 Total Foreign Currency Forward Contracts Value 147,567



Castlerock Global Balanced FundFinancial Statements




















132,569 137,1774,703 606

- 2,510274 338

- -383 60687 -

- -613 478

138,629 141,715

- -- -- -

126 88- 69

422 325- -- -- 7

548 489138,081 141,226

133,939 121,404- -

38,964 38,75187,144 90,4842,442 3,4373,156 5,4533,489 291,003 1,3241,883 1,748

9.42 10.409.27 10.319.45 10.459.63 10.57

10.08 10.8713.28 15.7313.26 15.74

4,138,282 3,726,6659,401,229 8,774,875

258,391 328,758327,625 515,687346,074 2,63575,521 84,214

141,973 111,018

1,559 1,3261,540 1,094

- -4 -- -

(178) (168)2,925 2,252

3,024 2,5452 11- 7

25 22- -- -- 261 51 -

862 5193,915 3,135

- (140)(990) (743)

3,604 2,567(288) 1,788(291) (192)

(17,246) 7,776(14,221) 11,939(15,211) 11,196

(4,251) 3,101(10,004) 7,019

(284) 333(281) 494(61) 3

(121) 108(209) 138

(1.03) 0.94(1.07) 0.86(0.98) 0.68(0.75) 1.13(0.95) 1.10(1.49) 1.65(1.59) 1.58


2011 2010


2011 2010



– 103 –

























5,453 3,137

1,883 2,551- -

(3,899) (725)(2,016) 1,826

- -- (4)- -- (4)

(281) 4943,156 5,453

29 26

3,729 -- -

(208) -3,521 -

- -- -- -- -

(61) 33,489 29

1,324 484

190 1,05532 25

(344) (289)(122) 791

- -- -

(78) (59)(78) (59)

(121) 1081,003 1,324

38,751 22,095

15,341 21,448- -

(10,877) (7,887)4,464 13,561

- -- (6)- -- (6)

(4,251) 3,10138,964 38,751

90,485 62,135

31,428 39,667- -

(24,764) (18,335)6,664 21,332

- -- (1)- -- (1)

(10,004) 7,01987,144 90,485

3,437 5,341

421 246- -

(1,132) (2,483)(711) (2,237)

- -- -- -- -

(284) 3332,442 3,437


2011 2010



2011 2010


– 104 –










1,748 387

712 1,68178 49

(324) (427)466 1,303

- -- -

(122) (80)(122) (80)(209) 138

1,883 1,748

141,226 93,605

53,704 66,648110 74

(41,548) (30,147)12,266 36,575

- -- (11)

(200) (139)(200) (150)

(15,211) 11,196138,081 141,226


2011 2010



Castlerock Global Balanced FundFinancial Statements – Supplementary Schedules

– 105 –









2011


16,67917,513


2011 2010


289 13513 -


2011 2010

3,726,665 2,309,6951,502,145 2,223,351

- -(1,090,528) (806,381)4,138,282 3,726,665

8,774,875 6,534,0473,125,914 4,143,809

- -(2,499,560) (1,902,981)9,401,229 8,774,875

328,758 557,29141,514 25,809

- -(111,881) (254,342)258,391 328,758

515,687 325,555178,583 262,991

- -(366,645) (72,859)327,625 515,687

2,635 2,635364,006 -

- -(20,567) -346,074 2,635

84,214 31,46912,457 70,2842,185 1,651

(23,335) (19,190)75,521 84,214

111,018 25,09148,288 111,1325,362 3,289

(22,695) (28,494)141,973 111,018









9.42 10.409.44 10.42

9.27 10.319.29 10.33

9.45 10.459.47 10.47

9.63 10.579.65 10.59

10.08 10.8710.10 10.89

13.28 15.7313.31 15.75

13.26 15.7413.29 15.77


2011 2010


– 106 –

Castlerock Global Balanced FundFinancial Statements – Supplementary Schedules




2.002.201.651.00



2011




20112,858

---------

Castlerock Global Balanced FundFund Specific Financial Instruments Risks (Note 11)

– 107 –

Credit Risk (cont’d)

as at December 31, 2010*Credit Rating^ Net Assets (%)AAA 21.4 AA 2.9 A 1.2 BBB 1.7 Total 27.2





Exposure Exposure Exposure AssetsCurrency (in $000’s) (in $000’s) (in $000’s) (%)US Dollar 69,532 (17,025) 52,507 38.0Euro 30,671 (6,945) 23,726 17.2Japanese Yen 6,507 - 6,507 4.7British Pound 7,499 (1,164) 6,335 4.6Norwegian Krone 3,424 - 3,424 2.5Brazilian Real 3,320 - 3,320 2.4UAE Dirham 3,169 - 3,169 2.3Swiss Franc 1,995 - 1,995 1.4Mexican Peso 889 - 889 0.6Danish Krone 275 - 275 0.2New Zealand Dollar 247 - 247 0.2Australian Dollar 630 (488) 142 0.1Total 128,158 (25,622) 102,536 74.2


Exposure Exposure Exposure AssetsCurrency (in $000’s) (in $000’s) (in $000’s) (%)US Dollar 61,788 (11,014) 50,774 36.0 Euro 42,311 (10,710) 31,601 22.4 Japanese Yen 17,368 (3,723) 13,645 9.7 British Pound 4,335 (1,513) 2,822 1.9 Brazilian Real 2,622 - 2,622 1.8 Mexican Peso 1,097 - 1,097 0.7 Australian Dollar 571 (595) (24) - Danish Krone 245 (274) (29) - Swedish Krona 1,251 (1,292) (41) - Total 131,588 (29,121) 102,467 72.5

As at December 31, 2011, had the Canadian dollar strengthened or weakened by 10% (December31, 2010 - 2%) in relation to all other foreign currencies held in the Fund, with all other variablesheld constant, net assets of the Fund would have decreased or increased, respectively, by approximately$10,254,000 (December 31, 2010 - $2,049,000). In practice, the actual results may differ from thisanalysis and the difference may be material.




United States ........................................................................................................................... 37.6Japan ....................................................................................................................................... 12.2Germany ................................................................................................................................... 8.6Austria...................................................................................................................................... 6.6France....................................................................................................................................... 4.9Canada ..................................................................................................................................... 4.5Mexico ..................................................................................................................................... 4.0Brazil ........................................................................................................................................ 4.0Portugal .................................................................................................................................... 3.3United Kingdom ....................................................................................................................... 3.1Ireland ...................................................................................................................................... 2.8Finland...................................................................................................................................... 2.2Short-Term Investments........................................................................................................... 1.8Netherlands ............................................................................................................................. 1.5Sweden .................................................................................................................................... 0.9Other Assets (net) ................................................................................................................... 0.5Australia................................................................................................................................... 0.5Cash ........................................................................................................................................ 0.4Switzerland .............................................................................................................................. 0.2Foreign Currency Contracts...................................................................................................... 0.2Denmark ................................................................................................................................... 0.2

Other Price RiskAs at December 31, 2011 and 2010, the Fund was invested in global equities and therefore was sensitiveto changes in general economic conditions across the world. Some of the Fund's assets were alsoinvested in fixed income securities and their market risk exposure is described below.

As at December 31, 2011, had the global markets increased or decreased by 10% (December 31, 2010- 5%), with all other variables held constant, net assets of the Fund would have increased or decreased,respectively, by approximately $9,448,000 (December 31, 2010 - $5,067,000). In practice, actual resultsmay differ from this analysis and the difference may be material.


as at December 31, 2011*Credit Rating^ Net Assets (%)AAA/Aaa/A++ 9.3AA/Aa/A+ 1.2A 4.7BBB/Baa/B++ 12.0BB/Ba/B+ 0.6Not Rated 2.2Total 30.0



– 108 –

Castlerock Global Balanced FundFund Specific Financial Instruments Risks (Note 11) (cont’d)










As at December 31, 2011, had the prevailing interest rates increased or decreased by 0.25%(December 31, 2010 - 0.25%), with all other variables held constant, net assets of the Fund wouldhave decreased or increased, respectively, by approximately $501,000 (December 31, 2010 -$131,000). In practice, the actual results may differ from this analysis and the difference may be material.



(in $000's) (in $000's) (in $000's) (in $000's)Equities 94,481 - - 94,481 Bonds - 38,088 - 38,088 Foreign currency forward contracts, net - 148 - 148 Total 94,481 38,236 - 132,717


(in $000's) (in $000's) (in $000's) (in $000's)Equities 101,333 - - 101,333 Bonds - 35,844 - 35,844 Short-term investments - 2,510 - 2,510 Forward currency contracts, net - 250 - 250 Total 101,333 38,604 - 139,937


COMMON EQUITIES (42.1%) (cont’d)325 Freeport-McMoRan Copper & Gold Inc.,

Class B (USD) 13,526 12,180 450 Genworth MI Canada Inc. 10,574 9,220 160 Gibson Energy Inc. 2,690 3,043 343 Gluskin Sheff & Associates Inc. 6,128 5,063 680 Goldcorp Inc. 32,307 30,675

38,220 GOME Electrical Appliances Holdings Ltd. 12,838 8,973 1,800 Great-West Lifeco Inc.* 39,576 36,630

980 Groupe Aeroplan Inc. 12,253 11,691 10,400 Hengdeli Holdings Ltd. 5,448 3,451

130 Honda Motor Co., Ltd. 4,830 4,030 1,585 HSBC Holdings PLC 15,088 12,314

350 Ingersoll-Rand PLC 10,609 10,857 390 Intel Corp. 8,367 9,634 795 Inter Pipeline Fund LP 12,421 14,795

1,490 International Power PLC 7,559 7,949 470 Itau Unibanco Banco Multiplo SA, ADR 8,905 8,877 200 JPMorgan Chase & Co. 6,738 6,772

2,040 Kasikornbank PCL 7,844 8,003 125 KLA-Tencor Corp. 5,326 6,143 20 Labrador Iron Ore Royalty Corp. 762 747

400 Lazard Ltd. 10,692 10,615 50 Magna International Inc., Class A 2,141 1,696

135 Manitoba Telecom Services Inc. 4,220 4,000 1,250 Manulife Financial Corp. 15,959 13,538

155 MEG Energy Corp. 7,666 6,391 725 Microsoft Corp. 18,658 19,173 345 National Oilwell Varco Inc. 24,947 23,888 320 Nestle SA, Registered Shares 18,016 18,722 105 Network Appliance Inc. 4,689 3,880

1,000 Nexon Co., Ltd. 17,012 14,652 240 Norfolk Southern Corp. 16,717 17,813 280 Northland Inc.* 4,443 4,995 725 Novartis AG, Registered Shares 42,039 42,222 170 Occidental Petroleum Corp. 16,354 16,229

2,560 Patheon Inc. 5,500 3,277 260 PepsiCo Inc. 16,393 17,571

1,400 Pfizer Inc. 30,799 30,863 180 PlazaCorp Retail Properties Ltd. 757 799 225 Posera-HDX Ltd. 70 72 230 Potash Corp. of Saskatchewan Inc. 12,288 9,681 215 Procter & Gamble Co. 13,201 14,600 100 Progress Energy Resources Corp.* 1,345 1,324 800 Quanta Services Inc. 14,999 17,546 300 Rhoen Klinikum AG 5,746 5,797 200 Rio Tinto PLC 11,381 9,888 530 Rogers Communications Inc., Class B 18,608 20,797 350 Rolls-Royce Group PLC 3,367 4,131

37,950 Rolls-Royce Holdings PLC 62 60 530 RONA Inc. 5,824 5,162 260 Saputo Inc. 11,092 10,132 120 Schlumberger Ltd. 10,183 8,349 271 Schneider Electric SA* 17,676 14,531

1,330 Seagate Technology 17,647 22,206 180 Sempra Energy 9,246 10,076 435 Shoppers Drug Mart Corp. 17,379 17,865 930 Siam Commercial Bank PCL 3,255 3,483

Castlerock Total Return FundStatement of Investment Portfolio as at December 31, 2011

– 109 – CIG - 11110


COMMON EQUITIES (42.1%) 588 Abertis Infraestructuras SA 10,787 9,568 120 Agrium Inc. 10,116 8,196 100 Aisin Seiki Co., Ltd. 2,901 2,895 585 Algonquin Power & Utilities Corp.* 3,324 3,744 370 Alimentation Couche-Tard Inc., Class B 10,078 11,710 100 AltaGas Ltd. 2,720 3,184 462 Amgen Inc. 27,145 30,220

1,500 AMP Ltd. 6,849 6,361 150 Apache Corp. 17,566 13,841 20 Apple Computer Inc. 6,374 8,251

360 ARC Resources Ltd.* 9,222 9,000 395 AT&T Inc. 11,212 12,156 229 Atlantia SpA 4,461 3,696

1,250 Banco Santander Brasil SA 10,678 10,224 100 Banco Santander Chile SA, ADR 6,755 7,712

1,675 Bangkok Bank PCL 8,232 8,248 580 Barrick Gold Corp. 27,465 26,755 175 Baxter International Inc. 9,978 8,816 600 Bayer AG 37,354 38,906 350 BCE Inc. 12,624 14,861 120 Bell Aliant Inc. 3,304 3,422 315 BHP Billiton PLC 11,306 9,327 930 Bombardier Inc., Class B, Sub-Voting Shares 5,190 3,766 220 Bonavista Energy Corp.* 6,217 5,731 325 British American Tobacco PLC 13,610 15,711 920 Brookfield Asset Management Inc., Class A 27,354 25,751 740 Brookfield Infrastructure Partners LP 17,279 20,859 190 Brookfield Properties Corp. (USD) 3,197 3,027 160 Brookfield Renewable Energy Partners LP 4,085 4,344 195 Bunge Ltd. 12,808 11,355 625 Calpine Corp 9,145 10,391 370 Cameco Corp. 10,703 6,804 865 Canadian Imperial Bank of Commerce 66,068 63,794 300 Canadian National Railway Co. 21,538 24,021

1,290 Canadian Natural Resources Ltd. 52,693 49,097 130 Canadian Pacific Railway Ltd. 7,623 8,965 930 Cenovus Energy Inc. 33,404 31,462 150 Chevron Corp. 14,728 16,249 495 Cisco Systems Inc. 8,280 9,117 400 Citigroup Inc. 12,744 10,713

5 CML Healthcare Inc. 50 48 900 Comcast Corp., Class A 21,549 21,738 220 Compagnie Financiere Richemont SA 12,413 11,335 250 Crescent Point Energy Corp. 10,899 11,208 300 CSL Ltd. 8,540 9,943 255 CVS Corp. 8,771 10,593 210 Davis & Henderson Income Corp. 4,035 3,538 100 Denso Corp. 3,115 2,807 585 Diageo PLC 11,457 13,018

1,220 Eli Lilly and Co. 44,839 51,639 870 EMC Corp. 21,695 19,073 150 Emera Inc. 4,767 4,952 110 Enbridge Income Fund Holdings Inc. 2,052 2,211

1,200 Enel SpA* 5,305 4,905 150 Exxon Mobil Corp. 11,872 12,940 255 Finning International Inc. 6,253 5,646 475 First Capital Realty Inc. 7,763 8,218




– 110 –

CORPORATE BONDS (26.7%) (cont’d)USD 4,000 Chesapeake Oilfield Operating LLC

6.625% 11/15/2019 4,064 4,238 USD 11,000 Chiron Merger Sub Inc., 10.5% 11/01/2018 10,975 10,982 USD 9,000 Chrysler Group LLC 8% 06/15/2019 7,967 8,389 USD 9,056 CityCenter Holdings LLC 10.75% 01/15/2017 9,082 9,514 USD 4,000 Community Choice Financial Inc.,

10.75% 05/01/2019 3,818 4,034 USD 2,000 Comstock Resources Inc., 7.75% 04/01/2019 1,942 1,936

5,161 Data & Audio Visual Enterprises Holdings Inc., 15% 09/25/2018^ 5,000 5,384

10,000 Data & Audio Visual Enterprises Wireless Inc., 9.5% 04/29/2018 10,000 9,019

USD 2,000 Denbury Resources Inc., Callable 8.25% 02/15/2020 2,176 2,277

USD 6,000 DJO Finance LLC / DJO Finance Corp., 7.75% 04/15/2018 5,830 4,691

USD 6,000 DuPont Fabros Technology LP 8.5% 12/15/2017 6,469 6,540 USD 6,000 EH Holding Corp., 7.625% 06/15/2021 5,924 6,418 USD 25,000 Eksportfinans ASA 2% 09/15/2015 20,044 21,097 USD 4,000 EV Energy Partners LP 8% 04/15/2019 4,003 4,146 USD 9,000 FMG Resources Pty. Ltd., 7% 11/01/2015 8,804 9,260

10,000 Gateway Casinos & Entertainment Inc., 8.875% 11/15/2017 10,675 10,101

USD 19,900 Gibson Energy ULC 5.75% 06/15/2018 19,304 20,270 USD 13,000 Great Canadian Gaming Corp., 7.25% 02/15/2015 12,881 13,376 USD 5,000 Green Field Energy Services Inc., 13% 11/15/2016 5,059 4,941 USD 4,000 Griffon Corp., 7.125% 04/01/2018 3,914 4,034 USD 4,000 H&E Equipment Services Inc., 8.375% 07/15/2016 4,057 4,166 USD 10,000 Harvest Operations Corp., 6.875% 10/01/2017 10,021 10,544 USD 8,000 HCA Inc., 7.875% 02/15/2020 8,602 8,802 USD 9,000 Headwaters Inc., 7.625% 04/01/2019 8,123 8,114 USD 5,000 Huntington Ingalls Industries Inc.,

6.875% 03/15/2018 5,046 4,992 USD 5,000 IGATE Corp., 9% 05/01/2016 4,803 5,259 USD 4,000 Intelsat Bermuda Ltd., 11.5% 02/04/2017 4,146 3,932 USD 8,000 Intelsat Luxembourg SA 11.25% 02/04/2017 8,010 7,885 USD 6,000 International Lease Finance Corp.,

6.25% 05/15/2019 5,577 5,646 USD 6,000 International Lease Finance Corp.,

8.625% 09/15/2015 6,209 6,265 USD 75,000 JPMorgan Chase & Co., FRN,

Callable 7.9% 04/30/2049 82,907 81,345 USD 3,000 Kansas City Southern de Mexico SA de CV

6.125% 06/15/2021 2,907 3,140 USD 6,000 Lender Processing Services Inc.,

8.125% 07/01/2016 6,127 6,005 USD 9,000 Lincoln National Corp., Callable 7% 05/17/2066 8,200 8,274 USD 4,000 Linn Energy LLC 8.625% 04/15/2020 4,291 4,421

50,000 Loblaw Cos. Ltd., 6.5% 01/22/2029 55,025 55,276 USD 6,000 MCE Finance Ltd., 10.25% 05/15/2018 6,636 6,586 USD 19,000 MEG Energy Corp., 6.5% 03/15/2021 18,516 19,791 USD 11,000 MGM Mirage Inc., 4.25% 04/15/2015 10,559 10,631 USD 5,000 MGM Mirage Inc., Senior Notes

6.625% 07/15/2015 4,764 4,839 USD 8,000 MGM Resorts International 11.125% 11/15/2017 9,002 9,291 USD 5,000 MGM Resorts International 9% 03/15/2020 5,341 5,641

Castlerock Total Return FundStatement of Investment Portfolio as at December 31, 2011 (cont’d)


COMMON EQUITIES (42.1%) (cont’d)160 SNC-Lavalin Group Inc. 8,312 8,152 515 Spectra Energy Corp. 13,738 16,122 700 Sun Life Financial Inc. 14,986 13,216

1,540 Suncor Energy Inc. 55,090 45,245 1,740 Talisman Energy Inc. 34,602 22,585

250 Teck Resources Ltd., Class B 12,735 8,962 12,130 Telstra Corp., Ltd. 36,059 42,085

265 TELUS Corp., Non-Voting Shares 13,020 14,458 130 Tiffany & Co. 8,819 8,770

1,340 Toronto-Dominion Bank 104,812 102,175 440 TransCanada Corp. 18,079 19,580 100 Triumph Group Inc. 5,057 5,948 620 Veresen Inc. 8,506 9,480 140 Vermilion Energy Inc. 6,825 6,327 184 Vinci SA 9,772 8,190

1,245 Viterra Inc. 13,899 13,359 4,770 Wal-Mart de Mexico SA de CV 12,872 13,281

210 Walt Disney Co. 8,370 8,018 230 Weir Group PLC 6,352 7,394 925 Wells Fargo & Co. 25,702 25,970 100 WESCO International Inc.* 4,754 5,401

1,400 Westfield Group 12,255 11,377 211 Whistler Blackcomb Holdings Inc. 2,286 2,173 20 WW Grainger Inc. 2,687 3,814

435 Xstrata PLC 8,016 6,717 700 Yahoo! Inc. 11,495 11,495

7,295 Yellow Media Inc.* 21,992 1,350 300 Zynga Inc. 3,107 2,876

1,900,851 1,847,653 CORPORATE BONDS (26.7%)

USD 5,000 Abengoa Finance SAU 8.875% 11/01/2017 4,801 5,094 USD 11,000 ABN Amro North American Holding

Preferred Capital Repackage Trust I 6.523% 11/08/2012 10,294 7,634

USD 7,000 ACE Cash Express Inc., 11% 02/01/2019 7,030 6,543 USD 1,000 Ainsworth Lumber Co., Ltd., 11% 07/29/2015 670 662 USD 10,000 Air Canada 9.25% 08/01/2015 9,447 8,914 USD 4,000 Aircastle Ltd., 9.75% 08/01/2018 4,235 4,268 USD 4,000 Aktore International Inc., 9.875% 01/01/2018 4,184 3,902 USD 5,000 Alliance One International Inc., 10% 07/15/2016 4,964 4,584

50,000 AltaLink LP 4.462% 11/08/2041 51,553 53,594 USD 8,000 AMERIGROUP Corp., 7.5% 11/15/2019 8,141 8,394 USD 5,000 Arch Coal Inc., 7% 06/15/2019 4,897 5,195 USD 10,000 Atlantic Power Corp., 9% 11/15/2018 9,794 10,212 USD 2,000 Baker & Taylor Inc., 11.5% 07/01/2013 1,662 1,589 USD 3,000 Baytex Energy Corp., 6.75% 02/17/2021 3,009 3,071 USD 4,000 Biomet Inc., 11.625% 10/15/2017 4,371 4,421 USD 2,000 Boart Longyear Management Pty., Ltd.,

7% 04/01/2021 1,999 2,068 USD 15,000 Calfrac Holdings LP 7.5% 12/01/2020 15,161 14,899 USD 7,000 Calpine Corp., 7.5% 02/15/2021 7,064 7,630

50,000 Canadian Imperial Bank of Commerce 3.4% 01/14/2016 52,037 52,016

3,000 Cascades Inc., 7.75% 12/15/2016 3,165 2,995 USD 6,000 Case New Holland Inc., 7.875% 12/01/2017 6,363 6,907 USD 1,000 Celanese US Holdings LLC 5.875% 06/15/2021 954 1,052

*Denotes all or part of securities on loan.^Denotes illiquid securities.Percentages shown in brackets relate investments at fair value to net assets of the Fund.The accompanying notes are an integral part of these financial statements.



– 111 –

CANADIAN GOVERNMENT BONDS (3.8%) 50,000 Government of Canada 2.75% 09/01/2016* 53,092 53,314 50,000 Government of Canada 3.25% 06/01/2021* 54,922 55,580 45,000 Government of Canada 4% 06/01/2041* 48,488 59,070

156,502 167,964 REITS (1.3%)

395 Allied Properties REIT 8,951 9,974 350 Canadian REIT 11,734 12,390

2,163 CapitaCommercial Trust 2,119 1,784 545 Cominar REIT 11,728 11,995 375 H&R REIT 7,853 8,715 110 Northern Property Real Investment Trust 3,260 3,269 260 Primaris Retail Real Estate Investment Trust 5,225 5,359

2 Soverign REIT 2,309 2,267 163 Starwood Property Trust Inc. 3,221 3,072

56,400 58,825 WARRANTS (0.7%)

3,330 Bank of America Corp., Warrants (16Jan19) 19,764 6,818 110 Data & Audio Visual Enterprises Wireless Inc.,

Warrants (25Sep18)^ - - 5 Green Field Energy Services Inc.,

Warrants (01Jan49) - - 2,680 JPMorgan Chase & Co., Warrants (28Oct18) 35,013 23,097

54,777 29,915 PREFERRED SHARES (0.5%)

200 Cia Brasileira de Distribuicao Grupo Pao de Acucar., Preferred 7,848 7,173

340 Cia Energetica de Minas Gerais, Preferred 5,444 6,153 50 Volkswagen AG, Preferred 8,754 7,602

22,046 20,928




Foreign Currency Forward Contracts (0.0%)(see Schedule A) (727)



Net Assets (100.0%) 4,392,042

Principal amounts stated in:AUD Australian Dollar EUR European CurrencyUSD U.S. Dollar



CORPORATE BONDS (26.7%) (cont’d)USD 10,000 National Money Mart Co., 10.375% 12/15/2016 10,421 10,875 USD 5,000 Neiman Marcus Group Inc., 10.375% 10/15/2015 5,202 5,291 USD 5,000 NII Capital Corp., 7.625% 04/01/2021 5,008 5,055 USD 6,000 NII Capital Corp., 8.875% 12/15/2019 6,471 6,433

9,167 Noranda Operating Trust 6.875% 12/28/2016 9,247 9,213 USD 13,000 NOVA Chemicals Corp., 7.875% 09/15/2025 12,681 13,243 USD 15,000 NOVA Chemicals Corp., 8.625% 11/01/2019 16,764 16,847 USD 4,000 OGX Petroleo e Gas Participacoes SA

8.5% 06/01/2018 3,910 3,993 USD 1,000 Pacific Rubiales Energy Corp., 7.25% 12/12/2021 1,017 1,024 USD 10,000 Patheon Inc., 8.625% 04/15/2017 10,262 8,099 USD 10,000 Peabody Energy Corp., 6% 11/15/2018 10,126 10,391 USD 10,000 Peabody Energy Corp., 6.25% 11/15/2021 10,126 10,544 USD 11,000 Pilgrim's Pride Corp., 7.875% 12/15/2018 9,160 10,533

19,000 Precision Drilling Corp., 6.5% 03/15/2019 19,000 19,222 USD 4,000 Production Resource Group Inc.,

8.875% 05/01/2019 3,830 3,728 USD 15,000 Quadra FNX Mining Ltd., 7.75% 06/15/2019 14,625 17,286

50,000 Rogers Communications Inc., 6.11% 08/25/2040 52,657 53,957 10,000 Savanna Energy Services Corp., 7% 05/25/2018 9,925 9,717

USD 5,000 Severstal Columbus LLC 10.25% 02/15/2018 5,150 5,335 USD 4,000 Shea Homes LP 8.625% 05/15/2019 3,871 3,810

25,000 Sherritt International Corp., 8% 11/15/2018 25,000 25,375 USD 5,000 SM Energy Co., 6.5% 11/15/2021 5,041 5,246 USD 49,749 Southern Pacific Resource Corp.,

10.5% 01/07/2016 49,011 50,983 USD 5,000 STHI Holding Corp., 8% 03/15/2018 4,991 5,234 USD 4,000 SunGard Data Systems Inc., Callable

10.25% 08/15/2015 4,024 4,223 USD 2,000 Teekay Corp., 8.5% 01/15/2020 2,113 1,961

50,000 The Bank of Nova Scotia 3.43% 07/16/2014††* 52,008 51,988 USD 10,000 Thompson Creek Metals Co., Inc.,

7.375% 06/01/2018 9,567 9,066 USD 6,000 Tomkins LLC 9% 10/01/2018 6,378 6,777 USD 1,000 Trans Union LLC 11.375% 06/15/2018 1,153 1,164 USD 10,000 Trinidad Drilling Ltd., 7.875% 01/15/2019 10,184 10,493 USD 5,000 United Surgical Partners International Inc.,

8.875% 05/01/2017 5,167 5,081 USD 7,000 US Foods Inc., 8.5% 06/30/2019 6,806 6,899 USD 75,000 Wells Fargo & Co., 7.98% 03/15/2049 83,271 81,846 USD 6,000 Wind Acquisition Finance SA 11.75% 07/15/2017 5,133 5,470 USD 4,000 Wind Acquisition Finance SA 7.25% 02/15/2018 3,703 3,708 USD 6,000 WM Finance Corp., 11.5% 10/01/2018 5,735 6,066 USD 5,000 Wynn Las Vegas LLC 7.75% 08/15/2020 5,195 5,654 USD 5,000 Xinergy Corp., 9.25% 05/15/2019 4,776 4,304

1,161,304 1,173,270 FOREIGN GOVERNMENT BONDS (5.1%)

50,000 Federal Republic of Austria 5.375% 12/01/2034 53,486 61,465 EUR 50,000 Federal Republic of Germany,

Treasury Bond 4.25% 07/04/2014 74,887 72,531 AUD 75,000 Government of Australia 5.75% 05/15/2021 79,692 90,880

208,065 224,876




– 112 –




Credit Rating Settlement Contract UnrealizedContracts Counterparty of the Counterparty‡ Date Rate ($) Pay Receive Gain (Loss) ($)1 Credit Suisse Group AG A-1 13-Mar-12 0.98 (55,890) Canadian $ 55,000 US $ 227 1 Morgan Stanley A-2 11-Apr-12 1.36 (112,934) Canadian $ 83,000 Euro (3,134)1 Morgan Stanley A-2 13-Mar-12 0.99 (433,000) US $ 439,573 Canadian $ (2,221)1 Royal Bank of Canada A-1+ 13-Mar-12 0.99 (35,000) US $ 35,532 Canadian $ (179)1 State Street Corp. A-1 13-Mar-12 0.99 (16,000) US $ 16,198 Canadian $ (126)1 State Street Corp. A-1 13-Mar-12 0.99 (371,000) US $ 376,450 Canadian $ (2,085)1 The Bank of Nova Scotia†† A-1+ 13-Mar-12 1.03 (7,217) Canadian $ 7,000 US $ (74)1 The Bank of Nova Scotia†† A-1+ 11-Apr-12 1.37 (173,000) Euro 236,233 Canadian $ 7,369 1 UBS AG A-1 11-Apr-12 1.10 (11,000) Swiss Franc 12,140 Canadian $ 155 1 UBS AG A-1 13-Mar-12 0.99 (147,000) US $ 149,123 Canadian $ (862)1 UBS AG A-1 11-Apr-12 0.98 (94,000) Australian $ 96,228 Canadian $ (809)1 UBS AG A-1 11-Apr-12 1.61 (47,000) British Pound 75,455 Canadian $ 1,012 Total Foreign Currency Forward Contracts Value (727)



Castlerock Total Return FundFinancial Statements




















3,523834

-9-

165-

264,413

---

10-

11---

214,392

3,559-

552,6721,057

9599

9.349.359.32

13.2713.29

5,803285,826113,406

70945,107

3869

---

(3)104

45--1---1

1360

-44

(143)(22)(4)

(36)(205)(161)

(1)(84)(57)(1)

(18)

(0.51)(0.44)(0.53)(0.92)(0.77)


2011


2011


Castlerock Total Return FundFinancial Statements

– 114 –

























-

101-

11

--

(1)(1)(1)9

-

6314-

635

-(3)

(15)(18)(18)599

-

4,63739(70)

4,606

-(37)(16)(53)

(161)4,392

-

62-

(6)56

----

(1)55

-

2,82014(64)

2,770

-(14)

-(14)(84)

2,672

-

1,11420

-1,134

-(20)

-(20)(57)

1,057


2011



2011


Castlerock Total Return FundFinancial Statements – Supplementary Schedules

– 115 –







2011


41


2011

-6,362

47(606)

5,803

-291,075

1,518(6,767)

285,826

-111,279

2,127-

113,406

-66742

-709

-44,822

301(16)

45,107







9.349.34

9.359.36

9.329.32

13.2713.27

13.2913.30


2011



2.002.201.002.002.20


2011




2011128

---------


2011


241253

Castlerock Total Return FundFund Specific Financial Instruments Risks (Note 11)

– 116 –

Interest Rate RiskThe table below summarizes the Fund's exposure to interest rate risk, categorized by the contractualmaturity date.



Interest Rate Exposure 842 126 289 1,143 2,400

As at December 31, 2011, had the prevailing interest rates increased or decreased by 0.25%, withall other variables held constant, net assets of the Fund would have decreased or increased,respectively, by approximately $25,000. In practice, the actual results may differ from this analysisand the difference may be material.



(in $000's) (in $000's) (in $000's) (in $000's)Equities 1,927 - - 1,927 Bonds - 1,561 5 1,566 Warrants 30 - - 30 Foreign currency forward contracts, net - (1) - (1)Total 1,957 1,560 5 3,522

There were no transfers between Level 1 and 2 during 2011.

Other Price RiskAs at December 31, 2011, the Fund was invested in Canadian equities and therefore was sensitiveto changes in general economic conditions in Canada, however some of the Fund’s assets wereinvested also in fixed income securities and their market risk exposure is described below.

As at December 31, 2011, had the Canadian markets increased or decreased by 10% with all othervariables held constant, net assets of the Fund would have increased or decreased, respectively, byapproximately $196,000. In practice, actual results may differ from this analysis and the difference maybe material.


as at December 31, 2011*Credit Rating^ Net Assets (%)AAA/Aaa/A++ 7.7AA/Aa/A+ 3.8A 1.2BBB/Baa/B++ 7.3BB/Ba/B+ 7.2B 6.3CCC/Caa/C++ 0.9Not Rated 2.0Total 36.4





Exposure Exposure Exposure AssetsCurrency (in $000’s) (in $000’s) (in $000’s) (%)US Dollar 1,687 (958) 729 16.6Australian Dollar 162 (98) 64 1.5Swiss Franc 72 (12) 60 1.4Euro 167 (119) 48 1.1Japanese Yen 24 - 24 0.5Brazilian Real 24 - 24 0.5Thai Baht 20 - 20 0.5British Pound 87 (74) 13 0.3Mexican Peso 13 - 13 0.3Hong Kong Dollar 12 - 12 0.3Singapore Dollar 2 - 2 0.1Total 2,270 (1,261) 1,009 23.1

As at December 31, 2011, had the Canadian dollar strengthened or weakened by 10% in relation toall other foreign currencies held in the Fund, with all other variables held constant, net assets ofthe Fund would have decreased or increased, respectively, by approximately $101,000. In practice,the actual results may differ from this analysis and the difference may be material.



– 117 –

Castlerock Total Return FundFund Specific Financial Instruments Risks (Note 11) (cont’d)


The table below summarizes the movement in financial instruments classified as Level 3.

for the period ended December 31, 2011Change in

Balance at Net transfers Realized gain unrealized gain Balance atFebruary 14, 2011 Purchases Sales in (out) (loss) (loss)* December 31, 2011

(in $000's) (in $000's) (in $000's) (in $000's) (in $000's) (in $000's) (in $000's)Long Positions:Bonds - - - 5 - - 5 Total - - - 5 - - 5

*Change in unrealized gain (loss) related to investments held at December 31, 2011 was $382.

During the period fixed income investments with a net fair value of $5,000 were transfered out of Level 2 into Level 3 as observable market inputs were no longer available for these investments.

Investments classified as Level 3 are valued at fair value based on unobservable inputs and assumptions, which may include credit spreads, industry multipliers, and discount rates. Management has assessed thatthe effect of changing these inputs to reasonably possible alternatives would not have a significant impact on the net assets of the Fund as at December 31, 2011.


FINANCIALS (23.3%) 200,000 American Express Canada 4.853% 10/03/2014 200,000 211,108 260,000 Asian Development Bank 4.65% 02/16/2027 274,196 300,724 500,000 Bank of America Corp., 4.36% 09/21/2015 490,495 469,293 245,000 Bank of America Corp., 5.45% 09/17/2014 242,895 242,030

USD 500,000 Bank of America Corp., Callable 8% 01/30/2049 514,851 456,094 GBP 340,000 Bank of Ireland 6.75% 01/30/2012 525,080 533,881

610,000 Bank of Montreal 3.49% 06/10/2016 609,879 636,332 GBP 250,000 Barclays Bank PLC 14% 06/15/2019 478,349 443,305

500,000 Brookfield Asset Management Inc.,5.3% 03/01/2021 526,291 530,042

500,000 Brookfield Asset Management Inc.,8.95% 06/02/2014 575,464 567,556

315,000 Canada Housing Trust No.1 2.75% 06/15/2016* 310,678 331,604 590,000 Canada Housing Trust No.1 3.8% 06/15/2021 643,376 659,570

1,000,000 Canadian Imperial Bank of Commerce3.05% 06/03/2013 999,470 1,021,488

600,000 Canadian Imperial Bank of Commerce3.4% 01/14/2016 608,333 624,193

540,000 Canadian Imperial Bank of Commerce,FRN 1.49857% 10/15/2012 540,718 540,270

500,000 Canadian Imperial Bank of Commerce,FRN 3.15% 11/02/2020 498,945 502,512

200,000 Caterpillar Financial Services Ltd.,5.2% 06/03/2013 199,984 209,588

500,000 CDP Financial Inc 4.6% 07/15/2020 498,970 557,006 200,000 Citigroup Finance Canada Inc.,

4.35% 03/08/2013 199,844 202,094 300,000 Citigroup Finance Canada Inc.,

6.75% 09/22/2014 321,477 321,064 500,000 Citigroup Inc., 4.625% 01/17/2017 496,880 494,263 500,000 Commerzbank AG, FRN 2.15929% 12/15/2016 439,500 275,000 250,000 Commonwealth Bank of Australia

1.88% 04/09/2013 250,000 248,622 500,000 Commonwealth Bank of Australia

3.625% 10/14/2014 501,685 509,672 500,000 Cooperatieve Centrale Raiffeisen-Boerenleenbank

BA 3.125% 02/05/2015 499,080 516,771 400,000 Deutsche Bank AG 1.97857% 08/22/2016 375,000 320,000

USD 300,000 Eksportfinans ASA 2% 09/15/2015 240,527 253,162 USD 500,000 Eksportfinans ASA 3% 11/17/2014 458,756 453,511

550,000 Fifth Avenue LP 4.71% 08/05/2021 550,000 589,097 300,000 First Capital Realty Inc., 5.85% 01/31/2017 322,740 324,216 200,000 First Capital Realty Inc., 5.95% 06/01/2015 215,222 215,388 500,000 GE Capital Canada Funding Co.

, 5.53% 08/17/2017 499,770 553,578 850,000 Goldman Sachs Group Inc., 5.2% 04/19/2022 843,399 739,144 500,000 HSBC Bank Canada 4.94% 03/16/2021 504,450 533,874

Castlerock Canadian Bond FundStatement of Investment Portfolio as at December 31, 2011

– 118 – CIG - 11103


CANADIAN GOVERNMENT BONDS (52.3%) 1,815,000 55 Ontario School Board Trust

5.9% 06/02/2033 2,298,229 2,366,334 455,000 Canada Post Corp., 4.08% 07/16/2025 485,407 526,716 440,000 City of Montreal 4.5% 12/01/2021 475,693 478,544 350,000 City of Montreal 5.45% 12/01/2019 373,650 407,757 500,000 City of Toronto 4.5% 12/02/2019 498,455 557,725 346,000 City of Toronto 5.05% 07/18/2017 394,613 396,699

5,025,000 Government of Canada 1.75% 03/01/2013 5,057,549 5,069,929 218,000 Government of Canada 2% 06/01/2016* 222,259 225,015

1,545,000 Government of Canada 2% 09/01/2012* 1,554,595 1,555,390 265,000 Government of Canada 2% 12/01/2014 272,844 272,287

3,741,000 Government of Canada 2.5% 09/01/2013* 3,851,304 3,835,980 1,185,000 Government of Canada 2.75% 06/01/2022 1,264,676 1,262,456 7,862,000 Government of Canada 2.75% 09/01/2016* 8,350,766 8,383,054

190,000 Government of Canada 3% 12/01/2015 203,617 203,171 1,465,000 Government of Canada 3.25% 06/01/2021* 1,568,667 1,628,499 2,745,000 Government of Canada 3.5% 06/01/2020* 3,057,981 3,097,648

429,000 Government of Canada 3.75% 06/01/2019* 487,549 490,759 4,275,000 Government of Canada 4% 06/01/2017* 4,783,677 4,855,402

972,000 Government of Canada 4% 06/01/2041* 1,219,415 1,275,908 2,603,000 Government of Canada 5% 06/01/2037* 3,376,532 3,803,983 5,405,000 Government of Canada 5.75% 06/01/2029* 7,798,067 7,978,809

672,000 Government of Canada 5.75% 06/01/2033* 1,000,188 1,033,234 225,000 Government of Canada 2.25% 08/01/2014 232,726 232,147 255,000 Government of Canada 3.5% 12/01/2045 302,048 312,564

1,534,000 Province of British Columbia 3.25% 12/18/2021 1,563,865 1,591,151

280,000 Province of British Columbia4.3% 06/18/2042* 279,135 329,586

960,000 Province of British Columbia6.35% 06/18/2031 1,293,821 1,372,717

20,000 Province of Ontario 3.15% 06/02/2022* 19,918 20,407 2,745,000 Province of Ontario 4.2% 06/02/2020 2,903,636 3,063,809

615,000 Province of Ontario 4.3% 03/08/2017 681,943 688,404 1,005,000 Province of Ontario 4.4% 06/02/2019 1,122,484 1,139,224

970,000 Province of Ontario 4.65% 06/02/2041 1,009,841 1,193,796 2,220,000 Province of Quebec 4.25% 12/01/2021 2,402,545 2,468,438 1,305,000 Province of Quebec 4.5% 12/01/2018 1,464,684 1,483,000

500,000 Province of Quebec 5% 12/01/2041 570,530 635,924 1,230,000 Province of Quebec 5.75% 12/01/2036 1,429,429 1,670,095

385,000 Queen's University 6.1% 11/19/2032 494,181 502,662 100,000 University of British Columbia

4.817% 07/26/2035 110,082 112,477 275,000 University of British Columbia

6.65% 12/01/2031 343,428 379,276 495,000 University of Ottawa 6.28% 04/15/2043 662,210 689,729 430,000 Wilfrid Laurier University 5.429% 02/01/2045 518,140 540,484

66,000,379 68,131,189




– 119 –

FOREIGN GOVERNMENT BONDS (5.4%) 1,015,000 Federal Republic of Austria

5.375% 12/01/2034 1,064,715 1,247,741 690,000 Instituto de Credito Oficial 5% 03/31/2020 594,090 553,344

USD 325,000 United States Treasury InflationIndexed Bonds 2.4027% 07/15/2014 439,108 428,534

USD 2,815,000 United States Treasury InflationIndexed Bonds 3.77838% 07/15/2012 3,713,778 3,689,270

USD 965,000 United States Treasury Note 2% 11/15/2021 978,481 994,265 USD 57,000 United States Treasury Note/Bond

2.625% 08/15/2020 58,604 62,625 6,848,776 6,975,779

CONSUMER DISCRETIONARY (2.6%) 500,000 BMW Canada Inc., 3.15% 04/01/2015 499,980 512,376 455,000 Shaw Communications Inc., 6.75% 11/09/2039 445,537 474,088 680,000 Teranet Holdings LP 3.37176% 12/01/2031 740,682 823,272 475,000 Teranet Holdings LP 5.754% 12/17/2040 469,906 498,917 225,000 Teranet Holdings LP 6.1% 06/17/2041 224,901 247,203 500,000 Toyota Credit Canada Inc., 5.05% 07/27/2012 499,740 509,382 250,000 Yellow Media Inc., 5.25% 02/15/2016 246,475 97,562 345,000 Yellow Media Inc., 5.71% 04/21/2014 332,925 138,172 70,000 Yellow Media Inc., 7.3% 02/02/2015 65,450 27,335

225,000 Yellow Media Inc., 7.75% 03/02/2020 204,188 87,750 3,729,784 3,416,057

INDUSTRIALS (2.3%) 350,000 407 International Inc.,

Callable 5.96% 12/03/2035 403,482 443,151 250,000 AltaLink LP 5.43% 06/05/2013 249,942 263,247 225,000 Greater Toronto Airports Authority


6.45% 07/30/2029 338,374 370,753 830,299 New Brunswick F-M Project Co., Inc.,

Callable 6.47% 11/30/2027 1,026,816 1,039,946 125,000 SNC-Lavalin Group Inc., 6.19% 07/03/2019 146,095 146,051 495,967 Strait Crossing Development Inc.,

6.17% 09/15/2031 514,564 508,507 2,935,174 3,036,302

TELECOMMUNICATION SERVICES (2.2%) 715,000 Bell Canada 4.4% 03/16/2018 714,399 761,267 300,000 France Telecom SA 5.5% 06/23/2016 306,390 329,568 500,000 Northwest Connect Group 5.95% 04/30/2041 524,044 586,255 650,000 Rogers Communications Inc., 6.11% 08/25/2040 624,637 701,440 200,000 TELUS Corp., 4.95% 05/15/2014 208,760 212,177 200,000 TELUS Corp., 5.05% 12/04/2019 198,838 220,093

2,577,068 2,810,800

Castlerock Canadian Bond FundStatement of Investment Portfolio as at December 31, 2011 (cont’d)


FINANCIALS (23.3%) (cont’d)500,000 HSBC Bank Canada 3.86% 05/21/2015 524,784 526,650

USD 295,000 Irish Life & Permanent Group Holdings PLC3.6% 01/14/2013 267,408 263,273

500,000 JPMorgan Chase & Co., FRN5.058% 02/22/2021 507,795 488,256

USD 500,000 JPMorgan Chase & Co., FRN,Callable 7.9% 04/30/2049 524,777 542,302

250,000 Manulife Financial Corp., 4.079% 08/20/2015 250,000 254,769 100,000 Manulife Financial Corp., 4.896% 06/02/2014 100,000 103,901 350,000 Manulife Financial Corp., 7.768% 04/08/2019 350,000 416,099 430,000 Metropolitan Life Global Funding I

2.18% 06/17/2014 430,000 428,508 500,000 Metropolitan Life Global Funding I

2.625% 12/03/2012 499,375 502,369 500,000 Morgan Stanley 4.9% 02/23/2017 498,085 456,738 500,000 National Bank of Canada 3.147% 02/11/2015 500,000 514,757 650,000 National Bank of Canada 3.58% 04/26/2016 650,000 678,719 375,999 Ontrea Inc., 4.619% 04/09/2018 375,999 410,992 725,000 Power Corporation of Canada

7.57% 04/22/2019 862,402 874,869 435,000 Power Corporation of Canada

8.57% 04/22/2039 580,608 612,902 600,000 Royal Bank of Canada 2.68% 12/08/2016 599,862 603,196

1,000,000 Royal Bank of Canada 3.18% 11/02/2020 999,720 1,007,897 1,110,000 Royal Bank of Canada 3.27% 11/10/2014 1,148,817 1,153,570

500,000 Royal Bank of Canada 3.36% 01/11/2016 520,675 519,579 500,000 Royal Bank of Canada 4.35% 06/15/2020 499,820 523,857 300,000 Sun Life Financial Inc., 7.9% 03/31/2019 331,980 329,457 200,000 TD Capital Trust 10% 06/30/2108 266,212 271,954 140,000 The Bank of Nova Scotia 3.43% 07/16/2014†† 143,707 145,567 410,000 The Bank of Nova Scotia, FRN

1.73071% 04/20/2012†† 410,968 410,381 400,000 The Royal Bank of Scotland

1.99929% 03/30/2015 329,526 314,870 420,000 Toronto-Dominion Bank 2.948% 08/02/2016 420,000 429,537 800,000 Toronto-Dominion Bank 3.367% 11/02/2020 800,000 811,449

USD 500,000 Wells Fargo & Co., 7.98% 03/15/2049 524,777 545,643 250,000 Wells Fargo Financial Canada Corp.,

3.97% 11/03/2014 249,990 261,155 500,000 Wells Fargo Financial Canada Corp.,

4.38% 06/30/2015 494,880 531,783 30,118,471 30,321,051




– 120 –

Castlerock Canadian Bond FundStatement of Investment Portfolio as at December 31, 2011 (cont’d)



Credit Rating Settlement Contract UnrealizedContracts Counterparty of the Counterparty‡ Date Rate ($) Pay Receive Gain (Loss) ($)1 Credit Suisse Group AG A-1 13-Mar-12 0.98 (105,683) Canadian $ 104,000 US $ 429 1 Morgan Stanley A-1 13-Mar-12 0.99 (763,000) US $ 774,582 Canadian $ (3,914)1 Royal Bank of Canada A-1 13-Mar-12 0.99 (4,392,000) US $ 4,458,714 Canadian $ (22,487)1 State Street Corp. A-1 13-Mar-12 0.99 (679,842) Canadian $ 670,000 US $ 3,764 1 State Street Corp. A-1 13-Mar-12 0.99 (265,000) US $ 268,286 Canadian $ (2,094)1 The Bank of Nova Scotia†† A-1 13-Mar-12 1.03 (876,000) US $ 903,103 Canadian $ 9,272 1 UBS AG A-1 13-Mar-12 0.99 (74,054) Canadian $ 73,000 US $ 428 1 UBS AG A-1 11-Apr-12 1.61 (543,000) British Pound 871,740 Canadian $ 11,694 Total Foreign Currency Forward Contracts Value (2,908)



UTILITIES (1.4%) 250,000 Arrow Lakes Power Corp., 5.516% 04/05/2041 253,371 289,483 450,000 Brookfield Power Corp., 5.84% 11/05/2036 414,978 431,784 375,000 Canadian Hydro Developers Inc.,

5.334% 09/01/2015 389,794 398,203 USD 120,000 EDF SA 6.5% 01/26/2019 150,896 140,960

200,000 Terasen Gas Inc., Callable 6.5% 05/01/2034 268,180 270,544 300,000 Toronto Hydro Corp., 6.11% 05/07/2013 299,823 317,627

1,777,042 1,848,601HEALTH CARE (0.5%)

549,451 Access Health Abbotsford Ltd., 6.032% 03/07/2038 602,281 670,572

Commission and other portfolio transaction costs -

Total Bonds (94.7%) 120,675,167 123,406,947



Foreign Currency Forward Contracts (0.0%) (see Schedule A) (2,908)



Net Assets (100.0%) 130,352,487

Principal amounts stated in:GBP British PoundUSD U.S. Dollar


CONSUMER STAPLES (1.7%) 250,000 George Weston Ltd., 7.1% 02/05/2032 267,741 288,237 300,000 Loblaw Cos. Ltd., 6.05% 06/09/2034 314,820 318,888 325,000 Loblaw Cos. Ltd., 6.45% 02/09/2028 335,075 359,859 500,000 Loblaw Cos. Ltd., 6.5% 01/22/2029 527,144 552,756 300,000 Metro Inc., 5.97% 10/15/2035 313,233 321,300 400,000 Molson Coors Capital Finance Co.,

Senior Notes 5% 09/22/2015 399,508 429,717 2,157,521 2,270,757

ENERGY (1.6%) 175,000 Canadian Natural Resources Ltd.,

4.5% 01/23/2013 170,905 179,769 475,000 Canadian Natural Resources Ltd.,

4.95% 06/01/2015 518,272 515,736 640,000 Enbridge Inc., FRN 2.25% 11/25/2013 640,000 639,883 500,000 Enbridge Pipelines Inc., 4.49% 11/12/2019 499,600 555,709 175,000 EnCana Corp., 4.3% 03/12/2012 178,588 175,934

2,007,365 2,067,031ASSET BACKED SECURITIES (1.4%)

710,000 Canada Capital Auto ReceivablesAsset Trust 1.681% 07/17/2013 421,363 420,798

1,000,000 Column Canada Issuer Corp.,5.346% 01/15/2022 999,972 937,750

500,000 Merrill Lynch Financial Assets Inc.,4.825% 01/12/2040 499,971 500,260

1,921,306 1,858,808


Castlerock Canadian Bond FundFinancial Statements






Net assets per seriesSeries ASeries BSeries DSeries FSeries I











Increase (decrease) in net assets from operations per seriesSeries ASeries BSeries DSeries FSeries I



123,407 115,1622,771 3943,000 6,327

25 96- -

630 1,586- -- -

929 770130,762 124,335

- -- -- -

28 -- -

97 920- -- -

285 46410 966

130,352 123,369

120,675 113,414- -

7,435 6,16779,658 71,5246,430 8,305

146 2,23436,683 35,139

5.77 5.525.69 5.445.78 5.525.82 5.585.95 5.66

1,287,645 1,117,96213,992,400 13,138,6771,113,078 1,505,190

24,997 400,5936,169,964 6,206,489

- -4,344 4,277

- -8 -- -

(12) -4,340 4,277

1,154 1,1502 11- 7

21 22- -- -- 241 51 -

339 4631,518 1,682

- (275)2,822 2,870

4,672 55332 622

- -

885 1,6065,589 2,7818,411 5,651

417 3004,416 3,303

464 5762 148

3,112 1,324

0.37 0.290.36 0.270.37 0.320.03 0.340.48 0.34


2011 2010


2011 2010


Castlerock Canadian Bond FundFinancial Statements

– 122 –

























2,234 115

37 5,3973 21

(2,121) (3,377)(2,081) 2,041

- -(9) (70)- -

(9) (70)2 148

146 2,234

35,139 11,901

2,112 22,8551,225 1,090(3,686) (936)

(349) 23,009

- (219)(1,219) (876)

- -(1,219) (1,095)3,112 1,324

36,683 35,139

123,369 90,723

35,962 60,1392,767 3,632

(37,314) (32,991)1,415 30,780

- (910)(2,843) (2,875)

- -(2,843) (3,785)8,411 5,651

130,352 123,369

6,167 4,604

4,057 3,911131 181

(3,196) (2,636)992 1,456

- (39)(141) (154)

- -(141) (193)417 300

7,435 6,167

71,524 63,153

28,870 27,1991,252 2,002

(25,088) (22,049)5,034 7,152

- (580)(1,316) (1,504)

- -(1,316) (2,084)4,416 3,303

79,658 71,524

8,305 10,950

886 777156 338

(3,223) (3,993)(2,181) (2,878)

- (72)(158) (271)

- -(158) (343)464 576

6,430 8,305


2011 2010



2011 2010


Castlerock Canadian Bond FundFinancial Statements – Supplementary Schedules

– 123 –







2011


30,33231,848


2011 2010


- -- -


2011 2010

1,117,962 853,463717,243 709,31123,506 32,696

(571,066) (477,508)1,287,645 1,117,962

13,138,677 11,838,4395,175,528 4,980,453

226,549 366,785(4,548,354) (4,047,000)13,992,400 13,138,677

1,505,190 2,023,258157,984 140,79127,845 61,052

(577,941) (719,911)1,113,078 1,505,190

400,593 21,2866,643 975,122

515 3,698(382,754) (599,513)

24,997 400,593

6,206,489 2,151,928375,636 4,028,002213,338 191,931(625,499) (165,372)

6,169,964 6,206,489







5.77 5.525.77 5.52

5.69 5.445.69 5.45

5.78 5.525.78 5.52

5.82 5.585.82 5.58

5.95 5.665.95 5.67


2011 2010


– 124 –

Castlerock Canadian Bond FundFinancial Statements – Supplementary Schedules



Annual management fee rateSeries ASeries BSeries DSeries FSeries I

0.951.450.950.75



2011





2011-

---------

Castlerock Canadian Bond FundFund Specific Financial Instruments Risks (Note 11)

– 125 –



Exposure Exposure Exposure AssetsCurrency (in $000’s) (in $000’s) (in $000’s) (%)Mexican Peso 223 - 223 0.1US Dollar 5,505 (5,522) (17) - Total 5,728 (5,522) 206 0.1

As at December 31, 2011, had the Canadian dollar strengthened or weakened by 10% (December31, 2010 - 2%) in relation to all other foreign currencies held in the Fund, with all other variablesheld constant, net assets of the Fund would have decreased or increased, respectively, by approximately$393,000 (December 31, 2010 - $4,000). In practice, the actual results may differ from this analysisand the difference may be material.








As at December 31, 2011, had the prevailing interest rates increased or decreased by 0.25%(December 31, 2010 - 0.25%), with all other variables held constant, net assets of the Fund wouldhave decreased or increased, respectively, by approximately $2,073,000 (December 31, 2010 -$1,816,000). In practice, the actual results may differ from this analysis and the difference may bematerial.



(in $000's) (in $000's) (in $000's) (in $000's)Bonds - 123,407 - 123,407 Short-term investments - 3,000 - 3,000 Foreign currency forward contracts, net - (3) - (3)Total - 126,404 - 126,404


(in $000's) (in $000's) (in $000's) (in $000's)Bonds - 115,162 - 115,162 Short-term investments - 6,327 - 6,327 Forward currency contracts, net - 96 - 96 Total - 121,585 - 121,585





Canadian Government Bonds ................................................................................................ 33.4 Provincial Bonds ................................................................................................................... 31.6 Corporate Bonds .................................................................................................................... 28.3 Short-Term Investments ....................................................................................................... 5.1 Other Assets (net) ................................................................................................................. 1.1 Cash & Equivalents ................................................................................................................ 0.3 Foreign Government Bonds .................................................................................................. 0.1 Foreign Currency Forward Contracts .................................................................................... 0.1

Other Price RiskAs at December 31, 2011 and 2010, the Fund did not have a significant exposure to other price riskas the Fund was invested in fixed income securities and their market risk exposure is describedbelow.


as at December 31, 2011*Credit Rating^ Net Assets (%)AAA/Aaa/A++ 43.0AA/Aa/A+ 17.4A 21.0BBB/Baa/B++ 15.0BB/Ba/B+ 0.6Total 97.0

as at December 31, 2010*Credit Rating^ Net Assets (%)AAA/Aaa 48.9 AA/Aa 35.7 A/A 9.8 BBB/Bbb 4.2 Total 98.6





Exposure Exposure Exposure AssetsCurrency (in $000’s) (in $000’s) (in $000’s) (%)US Dollar 9,294 (5,551) 3,743 2.9British Pound 1,043 (859) 184 0.1Total 10,337 (6,410) 3,927 3.0




USD 19,900 Gibson Energy ULC 5.75% 06/15/2018 19,304 20,270 USD 50,000 Goodyear Tire & Rubber Co., 10.5% 05/15/2016 53,934 56,156 USD 19,000 Great Canadian Gaming Corp., 7.25% 02/15/2015 18,826 19,549 USD 20,000 Green Field Energy Services Inc.,

13% 11/15/2016 20,235 19,763 USD 30,000 Griffon Corp., 7.125% 04/01/2018 29,351 30,255 USD 20,000 H&E Equipment Services Inc.,

8.375% 07/15/2016 20,283 20,832 USD 30,000 Harvest Operations Corp., 6.875% 10/01/2017 30,001 31,631 USD 60,000 HCA Inc., 6.5% 02/15/2020 56,571 63,414 USD 60,000 HCA Inc., 7.5% 02/15/2022 56,571 62,497 USD 9,000 HCA Inc., 7.875% 02/15/2020 9,678 9,902 USD 108,000 Headwaters Inc., 7.625% 04/01/2019 97,628 97,368 USD 49,000 Huntington Ingalls Industries Inc.,

6.875% 03/15/2018 48,093 48,918 USD 7,000 IGATE Corp., 9% 05/01/2016 6,668 7,363 USD 10,000 Intelsat Bermuda Ltd., 11.5% 02/04/2017 10,371 9,830 USD 8,000 Intelsat Jackson Holdings SA 7.25% 04/01/2019 7,834 8,272 USD 7,000 Intelsat Jackson Holdings SA 7.25% 10/15/2020 6,879 7,238 USD 10,000 Intelsat Jackson Holdings SA 7.5% 04/01/2021 9,792 10,302 USD 67,000 Intelsat Luxembourg SA 11.25% 02/04/2017 67,641 66,035 USD 26,000 International Lease Finance Corp.,



8.625% 09/15/2015 102,195 104,417 USD 5,000 Jabil Circuit Inc., 8.25% 03/15/2018 5,456 5,870 USD 50,000 JPMorgan Chase & Co., FRN, Callable

7.9% 04/30/2049 53,351 54,230 USD 3,000 Kansas City Southern de Mexico SA de CV

6.125% 06/15/2021 2,907 3,140 USD 18,000 Lender Processing Services Inc.,

8.125% 07/01/2016 18,380 18,016 USD 15,000 Limited Brands Inc., 6.625% 04/01/2021 14,708 16,197 USD 100,000 Lincoln National Corp., Callable 7% 05/17/2066 91,110 91,938 USD 10,000 Linn Energy LLC 8.625% 04/15/2020 10,728 11,053 USD 50,000 Linn Energy LLC/Linn Energy Finance Corp.,

7.75% 02/01/2021 52,790 52,973 USD 3,000 Longview Fibre Paper & Packaging Inc.,

8% 06/01/2016 2,881 3,056 USD 20,000 MCE Finance Ltd., 10.25% 05/15/2018 22,121 21,953 USD 48,000 MEG Energy Corp., 6.5% 03/15/2021 48,913 49,998 USD 100,000 MGM Mirage Inc., 4.25% 04/15/2015 95,993 96,649 USD 16,000 MGM Mirage Inc., Senior Notes 6.625%

07/15/2015 15,244 15,484 USD 100,000 MGM Resorts International

10.375% 05/15/2015 108,707 116,387 USD 11,000 MGM Resorts International

11.125% 11/15/2017 12,361 12,775 USD 19,000 MGM Resorts International 9% 03/15/2020 20,278 21,436 USD 100,000 Michaels Stores Inc., 11.375% 11/01/2016 104,663 107,972 USD 75,000 National Money Mart Co., 10.375% 12/15/2016 78,159 81,560 USD 67,000 Neiman Marcus Group Inc.,

10.375% 10/15/2015 69,607 70,899 USD 50,000 NII Capital Corp., 7.625% 04/01/2021 50,080 50,553 USD 114,000 NII Capital Corp., 8.875% 12/15/2019 118,666 122,229

Castlerock Enhanced Yield FundStatement of Investment Portfolio as at December 31, 2011

– 126 – CIG - 11111


CORPORATE BONDS (42.5%) USD 20,000 Abengoa Finance SAU 8.875% 11/01/2017 19,203 20,374 USD 40,000 ABN Amro North American Holding Preferred

Capital Repackage Trust I 6.523% 11/08/2012 37,432 27,760 USD 136,000 Academy Ltd., 9.25% 08/01/2019 131,038 136,812 USD 18,000 ACE Cash Express Inc., 11% 02/01/2019 18,070 16,824 USD 16,000 Ainsworth Lumber Co., Ltd., 11% 07/29/2015 10,815 10,595 USD 200,000 Air Canada 9.25% 08/01/2015 188,937 178,273 USD 105,000 Aircastle Ltd., 9.75% 08/01/2018 108,954 112,045 USD 40,000 Aktore International Inc., 9.875% 01/01/2018 39,173 39,016 USD 143,000 Allbritton Communications Co., 8% 05/15/2018 141,652 144,582 USD 14,000 Alliance One International Inc., 10% 07/15/2016 13,874 12,836 USD 95,000 AMERIGROUP Corp., 7.5% 11/15/2019 96,672 99,680 USD 55,000 Arch Coal Inc., 7% 06/15/2019 53,062 57,149 USD 100,000 Atlantic Power Corp., 9% 11/15/2018 98,449 102,125 USD 3,000 Baker & Taylor Inc., 11.5% 07/01/2013 2,493 2,384 USD 90,000 Baytex Energy Corp., 6.75% 02/17/2021 92,336 92,142 USD 13,000 Biomet Inc., 11.625% 10/15/2017 14,206 14,369 USD 102,000 Boart Longyear Management Pty., Ltd.,

7% 04/01/2021 97,242 105,466 USD 67,000 Calfrac Holdings LP 7.5% 12/01/2020 65,157 66,547 USD 30,000 Calpine Corp., 7.5% 02/15/2021 30,255 32,700 USD 25,000 Calpine Corp., 7.875% 07/31/2020 23,630 27,441

3,000 Cascades Inc., 7.75% 12/15/2016 3,165 2,995 USD 258,000 Cascades Inc., 7.75% 12/15/2017 247,594 260,197 USD 125,000 Case New Holland Inc., 7.875% 12/01/2017 132,299 143,892 USD 1,000 Celanese US Holdings LLC 5.875% 06/15/2021 954 1,052 USD 25,000 Chesapeake Oilfield Operating LLC

6.625% 11/15/2019 25,400 26,486 USD 101,000 Chiron Merger Sub Inc., 10.5% 11/01/2018 100,767 100,831 USD 160,000 Chrysler Group LLC 8% 06/15/2019 138,231 149,138 USD 23,223 CityCenter Holdings LLC 10.75% 01/15/2017 23,289 24,397 USD 50,000 CityCenter Holdings LLC 7.625% 01/15/2016 49,618 52,209 USD 10,000 Community Choice Financial Inc.,

10.75% 05/01/2019 9,546 10,085 USD 5,000 Comstock Resources Inc., 7.75% 04/01/2019 4,856 4,839 USD 25,000 Continental Resources Inc., 8.25% 10/01/2019 26,348 28,014

5,161 Data & Audio Visual Enterprises Holdings Inc.,15% 09/25/2018^ 5,000 5,384

10,000 Data & Audio Visual Enterprises Wireless Inc.,9.5% 04/29/2018 10,000 9,019

USD 50,000 Denbury Resources Inc., Callable8.25% 02/15/2020 50,416 56,920

USD 6,000 DJO Finance LLC / DJO Finance Corp.,7.75% 04/15/2018 5,830 4,691

USD 25,000 DuPont Fabros Technology LP 8.5% 12/15/2017 26,947 27,250 USD 2,000 Eagle Parent Canada Inc., 8.625% 05/01/2019 1,946 1,946 USD 93,000 EH Holding Corp., 7.625% 06/15/2021 91,518 99,476 USD 75,000 Eksportfinans ASA 2% 09/15/2015 60,132 63,291 USD 2,000 Emergency Medical Services Corp.,

8.125% 06/01/2019 1,826 2,032 USD 125,000 EV Energy Partners LP 8% 04/15/2019 124,313 129,566 USD 50,000 FMG Resources August 2006 Pty. Ltd.,

8.25% 11/01/2019 50,874 51,827 USD 125,000 FMG Resources Pty. Ltd., 7% 11/01/2015 122,409 128,611 USD 100,000 Foot Locker Inc., 8.5% 01/15/2022 105,487 105,181

10,000 Gateway Casinos & Entertainment Inc.,8.875% 11/15/2017 10,675 10,101

^Denotes illiquid securities.Percentages shown in brackets relate investments at fair value to net assets of the Fund.The accompanying notes are an integral part of these financial statements.



– 127 –

COMMON EQUITIES (24.2%) 7,532 Abertis Infraestructuras SA 130,975 122,559 1,516 Aeroports de Paris 126,898 105,868 2,982 Atlantia SpA 54,343 48,129 2,300 Belgacom SA 76,899 73,394

11,000 Brookfield Asset Management Inc., Class A 319,680 307,890 3,950 Brookfield Infrastructure Partners LP 100,036 111,341 2,550 Brookfield Renewable Energy Partners LP 65,248 69,232

610 Capital Power Corp. 15,364 15,323 2,300 Cheung Kong Infrastructure Holdings Ltd. 13,382 13,651

850 CMS Energy Corp. 17,941 19,136 850 Edison International 33,851 35,848

11,250 Eli Lilly and Co. 424,176 476,180 3,850 France Telecom SA* 74,819 61,580 1,950 Fraport AG 134,706 97,684

215 Gaz de France 6,872 5,973 31 Grupo Aeroportuariodel del Centro Norte SA 61 49

123,700 HKT Trust 73,874 73,824 2,100 Hong Kong Electric Holdings Ltd. 15,725 15,783

185,650 Hutchison Port Holdings Trust 132,807 117,256 2,950 International Power PLC 15,035 15,738

64,250 International Public Partnership Ltd. 117,954 122,183 4,950 Invesco Mortgage Capital Inc. 71,489 70,848 5,100 Koninklijke Vopak NV 244,548 274,512

79,650 MacQuarie Atlas Roads Group 129,298 112,031 124,950 Mirvac Group 154,291 152,315

2,000 National Grid PLC 19,501 19,745 300 NextEra Energy Inc. 17,507 18,596 650 PG&E Corp. 27,832 27,274

1,250 PPL Corp. 35,328 37,463 915 Rogers Communications Inc., Class B 33,678 35,905 610 Sempra Energy 32,197 34,146

3,050 Snam Rete Gas SpA 15,207 13,561 1,000 Spectra Energy Corp. 28,305 31,305

200 Swisscom AG, Registered Shares 85,892 77,020 3,150 TDC A/S 26,657 25,737

73,700 Telstra Corp., Ltd. 232,088 255,700 1,300 Tractebel Energia SA 20,697 21,288

42,450 Transurban Group 236,449 244,581 2,541 Vinci SA 132,791 113,100

55,350 Westfield Group 463,091 449,812 650 Xcel Energy Inc. 16,519 18,289

6,400 Xinao Gas Holdings Ltd. 21,678 20,776 3,995,689 3,962,625

REITS (4.4%) 144,756 Ascendas Real Estate Investment Trust 229,072 206,903 36,626 Beni Stabili SpA 29,848 15,730

235,512 CapitaCommercial Trust 227,886 194,205 4,550 H&R REIT 97,086 105,742 1,370 Northern Property Real Investment Trust 38,390 40,716

4 Soverign REIT 4,618 4,533 7,963 Starwood Property Trust Inc. 150,683 150,071

777,583 717,900

Castlerock Enhanced Yield FundStatement of Investment Portfolio as at December 31, 2011 (cont’d)



55,000 Noranda Operating Trust 6.875% 12/28/2016 55,722 55,275 USD 31,000 NOVA Chemicals Corp., 7.875% 09/15/2025 30,170 31,580 USD 50,000 NOVA Chemicals Corp., 8.625% 11/01/2019 55,881 56,156 USD 160,000 OGX Petroleo e Gas Participacoes SA

8.5% 06/01/2018 155,254 159,733 USD 10,000 Pacific Rubiales Energy Corp., 7.25% 12/12/2021 10,168 10,238 USD 13,000 Patheon Inc., 8.625% 04/15/2017 13,334 10,528 USD 100,000 Pilgrim's Pride Corp., 7.875% 12/15/2018 83,274 95,758

57,000 Precision Drilling Corp., 6.5% 03/15/2019 56,588 57,665 USD 50,000 Precision Drilling Corp., 6.5% 12/15/2021 48,963 51,954 USD 10,000 Production Resource Group Inc.,

8.875% 05/01/2019 9,576 9,321 100,000 Q9 Networks Inc., Term Loan, Private Placement

10.25% 02/23/2017^ 99,000 99,000 USD 110,000 Quadra FNX Mining Ltd., 7.75% 06/15/2019 106,252 126,765 USD 100,000 Regal Cinemas Corp., 8.625% 07/15/2019 101,340 110,020 USD 10,000 Reliance Intermediate Holdings LP, 144A,

Private Placement 9.5% 12/15/2019 10,358 10,798 USD 62,000 Reynolds Group Issuer Inc., 9.875% 08/15/2019 57,979 61,265 USD 50,000 Sabine Pass LNG LP 7.25% 11/30/2013 50,303 51,445

10,000 Savanna Energy Services Corp., 7% 05/25/2018 9,925 9,717 USD 6,000 Scientific Games International Inc.,

9.25% 06/15/2019 6,408 6,479 USD 100,000 Severstal Columbus LLC 10.25% 02/15/2018 104,711 106,709 USD 24,000 Shea Homes LP 8.625% 05/15/2019 23,229 22,860

150,000 Sherritt International Corp., 8% 11/15/2018 150,000 152,250 USD 100,000 SLM Corp., 8% 03/25/2020 102,308 102,889 USD 20,000 SM Energy Co., 6.5% 11/15/2021 20,163 20,985 USD 99,497 Southern Pacific Resource Corp.,

10.5% 01/07/2016 98,022 101,967 USD 100,000 Steel Dynamics Inc., 7.625% 03/15/2020 103,779 107,473 USD 16,000 STHI Holding Corp., 8% 03/15/2018 15,896 16,747 USD 25,000 SunGard Data Systems Inc., Callable

10.25% 08/15/2015 25,150 26,391 USD 80,000 Thompson Creek Metals Co., Inc.,

7.375% 06/01/2018 68,677 72,532 USD 65,000 Tomkins LLC 9% 10/01/2018 68,842 73,417 USD 1,000 Trans Union LLC 11.375% 06/15/2018 1,153 1,164 USD 60,000 Trinidad Drilling Ltd., 7.875% 01/15/2019 60,865 62,956 USD 69,000 United Surgical Partners International Inc.,

8.875% 05/01/2017 71,267 70,115 USD 7,000 US Foods Inc., 8.5% 06/30/2019 6,806 6,899

50,000 Vermilion Energy Inc., 6.5% 02/10/2016 51,000 51,203 USD 50,000 Wells Fargo & Co., 7.98% 03/15/2049 53,303 54,564 USD 25,000 Wind Acquisition Finance SA

11.75% 07/15/2017 21,386 22,793 USD 130,000 Wind Acquisition Finance SA

7.25% 02/15/2018 117,019 120,513 USD 144,000 WM Finance Corp., 11.5% 10/01/2018 136,008 145,593 USD 10,000 Wynn Las Vegas LLC 7.75% 08/15/2020 10,391 11,308 USD 5,000 Xinergy Corp., 9.25% 05/15/2019 4,776 4,304

20,392 Xplornet Communications Inc., 9% 05/15/2017^ 20,392 20,392 6,725,634 6,956,459

^Denotes illiquid securities.




– 128 –

WARRANTS (0.0%) 110 Data & Audio Visual Enterprises Wireless Inc.,

Warrants (25Sep18)^ - - 20 Green Field Energy Services Inc.,

Warrants (01Jan49)^ - - 20 Xplornet Communications Inc.,

Warrants (15May17)^ - - - -




Foreign Currency Forward Contracts (0.0%)(see Schedule A) 1,599


Other Assets (net) (22.2%) 3,627,315

Net Assets (100.0%) 16,375,241

Principal amounts stated in:AUD Australian Dollar EUR European Currency USD U.S. Dollar

Castlerock Enhanced Yield FundStatement of Investment Portfolio as at December 31, 2011 (cont’d)


CANADIAN GOVERNMENT BONDS (3.1%) 200,000 Government of Canada 2.75% 09/01/2016* 212,369 213,255 200,000 Government of Canada 3.25% 06/01/2021* 219,686 222,321 50,000 Government of Canada 4% 06/01/2041* 53,875 65,633

485,930 501,209 FOREIGN GOVERNMENT BONDS (2.6%)

50,000 Federal Republic of Austria 5.375% 12/01/2034 53,486 61,465 EUR 75,000 Federal Republic of Germany, Treasury Bond

4.25% 07/04/2014 112,331 108,796 AUD 50,000 Government of Australia 5.75% 05/15/2021 53,128 60,587 EUR 75,000 Republic of Italy, Treasury Bond

3.75% 08/01/2016 104,936 90,638 USD 100,000 United States Treasury Note/Bond

2.125% 08/15/2021 96,606 104,481 420,487 425,967

PROVINCIAL BONDS (0.7%) 100,000 Province of Ontario 4.2% 06/02/2020 107,810 111,614

PREFERRED SHARES (0.3%) 1,610 Cia Energetica de Minas Gerais, Preferred 25,416 29,137 2,100 GMAC Capital Trust I, Preferred 42,597 41,416

68,013 70,553

^Denotes illiquid securities.

*Denotes all or part of securities on loan.††CI Investments Inc., the Manager, is a corporation controlled by CI Financial Corp. The Bank of Nova Scotia has a significant interest in CI Financial Corp. Transactions with The Bank of Nova Scotia are identified above.

Percentages shown in brackets relate investments at fair value to net assets of the Fund.The accompanying notes are an integral part of these financial statements.




Credit Rating Settlement Contract UnrealizedContracts Counterparty of the Counterparty‡ Date Rate ($) Pay Receive Gain (Loss) ($)

1 Credit Suisse Group AG A-1 13-Mar-12 0.98 (13,000) US $ 13,210 Canadian $ (54)1 Morgan Stanley A-2 11-Apr-12 1.36 (187,000) Euro 254,442 Canadian $ 7,060 1 Morgan Stanley A-2 13-Mar-12 0.99 (577,000) US $ 585,759 Canadian $ (2,960)1 Royal Bank of Canada A-1+ 13-Mar-12 0.99 (1,596,000) US $ 1,620,243 Canadian $ (8,172)1 State Street Corp. A-1 13-Mar-12 0.99 (28,347) Canadian $ 28,000 US $ 221 1 State Street Corp. A-1 13-Mar-12 0.99 (2,126,000) US $ 2,157,231 Canadian $ (11,945)1 The Bank of Nova Scotia†† A-1+ 13-Mar-12 1.03 (32,990) Canadian $ 32,000 US $ (339)1 The Bank of Nova Scotia†† A-1+ 11-Apr-12 1.37 (521,000) Euro 711,430 Canadian $ 22,191 1 UBS AG A-1 11-Apr-12 0.79 (212,000) Singaporean $ 167,708 Canadian $ 806 1 UBS AG A-1 11-Apr-12 1.10 (21,000) Swiss Franc 23,176 Canadian $ 296 1 UBS AG A-1 13-Mar-12 0.99 (678,000) US $ 687,794 Canadian $ (3,975)1 UBS AG A-1 11-Apr-12 0.98 (358,000) Australian $ 366,486 Canadian $ (3,081)1 UBS AG A-1 11-Apr-12 1.61 (72,000) British Pound 115,590 Canadian $ 1,551 Total Foreign Currency Forward Contracts Value 1,599


Castlerock Enhanced Yield FundFinancial Statements






Net assets per classSeries ASeries BSeries FSeries I


Series ASeries BSeries FSeries I









Increase (decrease) in net assets from operations per seriesSeries ASeries BSeries FSeries I



12,7464,223

-32

-122

--

14317,266

-1-

30764

1--

95891

16,375

12,579-

4,3266,8551,1604,034

9.339.319.31

10.12

463,950735,955124,519398,414

92234

---

(14)312

87--2---1

26116

-196

(124)(18)(7)

16920

216

2511(3)

183

0.140.03(0.03)0.49


2011


2011


Castlerock Enhanced Yield FundFinancial Statements

– 130 –













Series INet assets, beginning of periodCapital transactions








-

3,851131

-3,982

(2)(11)

(118)(131)183

4,034

-

16,775420(551)

16,644

(3)(101)(381)(485)216

16,375

-

4,571103(265)

4,409

-(18)(90)

(108)25

4,326

-

7,190114(286)

7,018

-(41)

(133)(174)

116,855

-

1,16372

-1,235

(1)(31)(40)(72)(3)

1,160


2011



2011


Castlerock Enhanced Yield FundFinancial Statements – Supplementary Schedules

– 131 –




Series IBalance, beginning of periodUnits issued for cash Units issued for reinvested distributions Units redeemedBalance, end of period


2011


51


2011

-481,57011,005(28,625)463,950

-754,46512,111(30,621)735,955

-117,054

7,465-

124,519

-385,43712,977

-398,414






9.339.33

9.319.32

9.319.32

10.1210.13


2011


Annual management fee rateSeries ASeries BSeries FSeries I

1.902.100.90



2011




2011-

---------


2011


509534

Castlerock Enhanced Yield FundFund Specific Financial Instruments Risks (Note 11)

– 132 –

Interest Rate RiskThe table below summarizes the Fund's exposure to interest rate risk, categorized by the contractualmaturity date.



Interest Rate Exposure 4,251 188 1,726 6,053 12,218

As at December 31, 2011, had the prevailing interest rates increased or decreased by 0.25%, withall other variables held constant, net assets of the Fund would have decreased or increased,respectively, by approximately $103,000. In practice, the actual results may differ from this analysisand the difference may be material.



(in $000's) (in $000's) (in $000's) (in $000's)Equities 4,751 - - 4,751 Bonds - 7,870 125 7,995 Foreign currency forward contracts, net - 2 - 2 Total 4,751 7,872 125 12,748


Other Price RiskAs at December 31, 2011, the Fund was invested in global equities and therefore was sensitive tochanges in general economic conditions across the world. Some of the Fund's assets were alsoinvested in fixed income securities and their market risk exposure is described below.

As at December 31, 2011, had the global markets increased or decreased by 10% with all othervariables held constant, net assets of the Fund would have increased or decreased, respectively, byapproximately $475,000. In practice, actual results may differ from this analysis and the difference maybe material.







Exposure Exposure Exposure AssetsCurrency (in $000’s) (in $000’s) (in $000’s) (%)US Dollar 8,021 (5,022) 2,999 18.3Australian Dollar 1,027 (373) 654 4.0Euro 1,135 (934) 201 1.2Singapore Dollar 318 (166) 152 0.9Swiss Franc 77 (23) 54 0.3British Pound 158 (114) 44 0.3Brazilian Real 39 - 39 0.2Hong Kong Dollar 37 - 37 0.2Danish Krone 26 - 26 0.2Total 10,838 (6,632) 4,206 25.6




The table below summarizes the movement in Level 3 financial instruments at fair value using unobservable inputs.

For the period ended December 31, 2011

Balanced at Net transfers Realized gain Unrealized gain Balance atFebruary 14, 2011 Purchases Sales in (out) (loss) (loss)* December 31, 2011

(in $000's) (in $000's) (in $000's) (in $000's) (in $000's) (in $000's) (in $000's)Long Positions:Bonds - 119 - 5 - 1 125 Total - 119 - 5 - 1 125

*Change in unrealized gain (loss) related to investments held at December 31, 2011 was $384.

During 2011, fixed income investments with a net fair value of $5,000 were transfered out of Level 2 into Level 3 as observable market inputs were no longer available for these investments.

Investments classified as Level 3 are valued at fair value based on unobservable inputs and assumptions, which may include credit spreads, industry multipliers, and discount rates. Management has assessedthat the effect of changing these inputs to reasonably possible alternatives would not have a significant impact on the net assets of the Fund as at December 31, 2011.

Castlerock Enhanced Yield FundFund Specific Financial Instruments Risks (Note 11) (cont’d)



U.S.A. (44.3%) (cont’d)USD 63,000 DJO Finance LLC / DJO Finance Corp.,

7.75% 04/15/2018 62,520 49,257 USD 155,000 DuPont Fabros Technology LP 8.5% 12/15/2017 166,137 168,952 USD 100,000 E.I. du Pont de Nemours & Co., 6% 07/15/2018 101,018 124,514 USD 140,000 EH Holding Corp., 7.625% 06/15/2021 136,565 149,749 USD 162,000 EV Energy Partners LP 8% 04/15/2019 162,001 167,918 USD 1,087,679 Fannie Mae Pool 6.5% 12/01/2037 301,046 326,612 USD 100,000 Foot Locker Inc., 8.5% 01/15/2022 105,487 105,181 USD 75,000 General Electric Capital Corp.,

5.625% 05/01/2018 81,637 85,571 USD 80,000 General Mills Inc., 5.25% 08/15/2013 81,695 87,093 USD 139,300 Gibson Energy ULC 5.75% 06/15/2018 135,128 141,888

543 GMAC Capital Trust I, Preferred 13,194 10,709 USD 65,000 Green Field Energy Services Inc.,

13% 11/15/2016 65,763 64,229 65 Green Field Energy Services Inc.,

Warrants (01Jan49)^ - - USD 300,000 Griffon Corp., 7.125% 04/01/2018 293,512 302,555 USD 200,000 H&E Equipment Services Inc.,

8.375% 07/15/2016 203,148 208,325 USD 29,427 HCA Inc., 3.00703% 03/15/2037 29,295 29,568 USD 70,573 HCA Inc., 3.54013% 02/10/2020 70,256 68,388 USD 38,000 HCA Inc., 6.5% 02/15/2020 35,828 40,162 USD 38,000 HCA Inc., 7.5% 02/15/2022 35,828 39,582 USD 80,000 HCA Inc., 7.875% 02/15/2020 86,023 88,016 USD 100,000 Host Hotels & Resorts LP 6.75% 06/01/2016 106,472 104,672 USD 133,000 Huntington Ingalls Industries Inc.,

6.875% 03/15/2018 130,101 132,778 USD 62,000 Huntington Ingalls Industries Inc.,

7.125% 03/15/2021 60,642 61,896 USD 88,000 IGATE Corp., 9% 05/01/2016 84,581 92,559 USD 190,000 Incitec Pivot Finance LLC 6% 12/10/2019 198,858 211,483 USD 100,000 International Business Machines Corp.,





8.875% 09/01/2017 82,894 81,186 USD 90,000 Iron Mountain Inc., 8% 06/15/2020 95,266 95,465 USD 49,000 JP Morgan Chase Capital XXV 6.8% 10/01/2037 52,090 50,104 USD 100,000 JPMorgan Chase & Co., 5.15% 10/01/2015 96,121 108,123 USD 50,000 JPMorgan Chase & Co., 6.3% 04/23/2019 60,426 57,691 USD 250,000 JPMorgan Chase & Co., FRN, Callable

7.9% 04/30/2049 262,389 271,151 USD 97,000 Kraft Foods Inc., 5.375% 02/10/2020 103,103 114,017 USD 150,000 Lender Processing Services Inc.,

8.125% 07/01/2016 152,859 150,131 USD 100,000 Limited Brands Inc., 6.625% 04/01/2021 98,050 107,983 USD 100,000 Lincoln National Corp., Callable 7% 05/17/2066 91,110 91,938 USD 75,000 Linn Energy LLC 8.625% 04/15/2020 80,456 82,897 USD 105,000 Merrill Lynch & Co., Inc., 6.05% 05/16/2016 112,832 100,820

Castlerock Global High Income FundStatement of Investment Portfolio as at December 31, 2011

– 134 – CIG - 11117


U.S.A. (44.3%) USD 400,000 ABN Amro North American Holding Preferred

Capital Repackage Trust I 6.523% 11/08/2012 374,348 277,597 USD 17,000 Academy Ltd., 9.25% 08/01/2019 16,524 17,101 USD 170,000 ACE Cash Express Inc., 11% 02/01/2019 173,199 158,892 USD 245,629 Affinion Group Inc., Private Placement

5% 10/09/2016 243,927 224,054 USD 105,000 Ahold Lease USA Inc., 8.62% 01/02/2025 119,638 124,078 USD 175,000 Aktore International Inc., 9.875% 01/01/2018 184,346 170,696 USD 135,000 Alliance One International Inc., 10% 07/15/2016 138,912 123,772 USD 165,000 AMERIGROUP Corp., 7.5% 11/15/2019 167,905 173,129 USD 30,000 Anheuser-Busch InBev Worldwide Inc.,

8.2% 01/15/2039 35,802 48,182 USD 50,000 Arch Coal Inc., 7% 06/15/2019 48,968 51,954 USD 496,250 Axcan Intermediate Holdings Inc.,

Private Placement 5.5% 02/11/2017 483,536 487,838 USD 136,000 Baker & Taylor Inc., 11.5% 07/01/2013 113,029 108,064 USD 100,000 Bank of America Corp., 5.625% 10/14/2016 96,744 97,732 USD 40,000 Bank of America Corp., 6.5% 08/01/2016 43,311 41,036 USD 60,000 Bank of America Corp., 7.375% 05/15/2014 68,716 63,375 USD 250,000 Bank of America Corp., Callable 8% 01/30/2049 257,426 228,047 USD 186,000 Biomet Inc., 11.625% 10/15/2017 204,069 205,585 USD 43,000 Brambles USA Inc., 3.95% 04/01/2015 44,033 45,301 USD 10,000 Brightstar Corp., 9.5% 12/01/2016 10,056 10,391 USD 160,000 Calfrac Holdings LP 7.5% 12/01/2020 163,176 158,918 USD 200,000 Calpine Corp., 7.5% 02/15/2021 202,713 218,003 USD 30,000 Case New Holland Inc., 7.75% 09/01/2013 33,086 32,471 USD 147,000 Case New Holland Inc., 7.875% 12/01/2017 157,458 169,217 USD 5,000 Celanese US Holdings LLC 5.875% 06/15/2021 4,769 5,259 USD 98,000 Charter Communications Operating LLC

3.831% 12/29/2049 96,907 97,820 USD 50,000 Chesapeake Oilfield Operating LLC

6.625% 11/15/2019 50,800 52,973 USD 200,000 Chiron Merger Sub Inc., 10.5% 11/01/2018 199,539 199,666 USD 75,000 Chrysler Group LLC 8% 06/15/2019 60,321 69,909 USD 405,000 CIT Group Inc., 7% 05/01/2017 393,439 412,575 USD 105,000 Citigroup Inc., 4.587% 12/15/2015 108,779 107,648 USD 100,000 Citigroup Inc., 6.01% 01/15/2015 107,311 106,425 USD 59,000 Citigroup Inc., 6.375% 08/12/2014 62,665 63,080 USD 60,000 Citigroup Inc., 8.125% 07/15/2039 65,084 74,834 USD 200,000 Citigroup/Deutsche Bank Commercial

Mortgage Trust 5.322% 12/11/2049 194,325 216,098 USD 80,000 Citigroup/Deutsche Bank Commercial

Mortgage Trust 5.617% 10/15/2048 83,950 89,280 USD 211,117 CityCenter Holdings LLC 10.75% 01/15/2017 211,906 221,786 USD 100,000 Comcast Corp., 5.7% 05/15/2018 96,804 117,228 USD 100,000 Community Choice Financial Inc.,

10.75% 05/01/2019 95,455 100,852 USD 20,000 Comstock Resources Inc., 7.75% 04/01/2019 19,422 19,355 USD 30,000 Comstock Resources Inc., 8.375% 10/15/2017 30,572 29,568 USD 100,000 COX Communications Inc., 6.25% 06/01/2018 99,315 118,484 USD 100,000 CW Capital Cobalt 5.223% 08/15/2048 100,027 108,351 USD 19,000 Denbury Resources Inc., Callable

8.25% 02/15/2020 20,673 21,630 USD 88,183 DJO Finance LLC / DJO Finance Corp.,

3.52889% 05/20/2014 87,715 86,478

^Denotes illiquid securities.Percentages shown in brackets relate investments at fair value to net assets of the Fund.The accompanying notes are an integral part of these financial statements.



– 135 –

CANADA (18.0%) USD 75,000 Air Canada 9.25% 08/01/2015 70,852 66,852 USD 50,000 Atlantic Power Corp., 9% 11/15/2018 48,970 51,063 USD 100,000 Barrick Gold Corp., 2.9% 05/30/2016 97,634 104,554 USD 194,000 Baytex Energy Corp., 6.75% 02/17/2021 194,583 198,617

137,000 Cascades Inc., 7.75% 12/15/2016 144,535 136,772 USD 25,000 Cascades Inc., 7.75% 12/15/2017 25,879 25,213 USD 95,000 Cenovus Energy Inc., 6.75% 11/15/2039 101,595 128,074 USD 50,000 Corporación Andina de Fomento

5.75% 01/12/2017 48,403 55,710 USD 25,000 Corporación Andina de Fomento

8.125% 06/04/2019 27,796 31,282 53,677 Data & Audio Visual Enterprises Holdings Inc.,

15% 09/25/2018^ 52,000 55,997 105,000 Data & Audio Visual Enterprises Wireless Inc.,

9.5% 04/29/2018 105,000 94,697 1,144 Data & Audio Visual Enterprises Wireless Inc.,

Warrants (25Sep18)^ - - 75,000 Gateway Casinos & Entertainment Inc.,

8.875% 11/15/2017 80,062 75,760 700,000 Government of Canada 3.5% 06/01/2020* 746,176 789,928 300,000 Government of Canada 4% 06/01/2017* 326,310 340,730

USD 67,000 Great Canadian Gaming Corp., 7.25% 02/15/2015 66,140 68,936 USD 200,000 Harvest Operations Corp., 6.875% 10/01/2017 200,421 210,872

125,000 Manulife Financial Corp., 7.768% 04/08/2019 125,000 148,607 USD 200,000 MEG Energy Corp., 6.5% 03/15/2021 194,900 208,325 USD 75,000 National Money Mart Co., 10.375% 12/15/2016 78,159 81,560

50,417 Noranda Operating Trust 6.875% 12/28/2016 51,219 50,669 USD 75,000 NOVA Chemicals Corp., 7.875% 09/15/2025 72,122 76,403 USD 75,000 NOVA Chemicals Corp., 8.625% 11/01/2019 83,822 84,234 USD 116,000 Patheon Inc., 8.625% 04/15/2017 119,648 93,945

75,000 Precision Drilling Corp., 6.5% 03/15/2019 74,812 75,875 USD 75,000 Quadra FNX Mining Ltd., 7.75% 06/15/2019 73,249 86,431 USD 15,000 Reliance Intermediate Holdings LP, 144A,

Private Placement 9.5% 12/15/2019 15,537 16,197 USD 50,000 Rogers Communications Inc., 6.375% 03/01/2014 50,259 56,163 USD 66,000 Rogers Communications Inc., 6.8% 08/15/2018 67,469 81,901

50,000 Savanna Energy Services Corp., 7% 05/25/2018 49,625 48,583 200,000 Shaw Communications Inc., 6.75% 11/09/2039 198,652 208,390 500,000 Sherritt International Corp., 8% 11/15/2018 500,000 507,500

USD 198,995 Southern Pacific Resource Corp., 10.5% 01/07/2016 196,043 203,933

USD 50,000 Taseko Mines Ltd., 7.75% 04/15/2019 49,576 45,969 USD 300,000 Teck Resources Ltd., 10.75% 05/15/2019 370,623 372,845

200,000 TELUS Corp., 5.05% 12/04/2019 198,838 220,093 USD 100,000 Thompson Creek Metals Co., Inc.,

7.375% 06/01/2018 92,169 90,665

Castlerock Global High Income FundStatement of Investment Portfolio as at December 31, 2011 (cont’d)


U.S.A. (44.3%) (cont’d)USD 125,000 MetLife Inc., 6.75% 06/01/2016 139,425 146,698 USD 136,000 MGM Mirage Inc., Senior Notes

6.625% 07/15/2015 129,570 131,616 USD 42,000 MGM Resorts International

11.125% 11/15/2017 47,944 48,776 USD 135,000 MGM Resorts International 9% 03/15/2020 144,864 152,309 USD 100,000 Morgan Stanley 6.25% 08/28/2017 111,079 99,695 USD 120,000 Morgan Stanley 7.3% 05/13/2019 137,879 124,500 USD 75,000 Municipal Electric Authority of Georgia

6.637% 04/01/2057 77,914 79,304 USD 60,000 NBC Universal 5.15% 04/30/2020 60,770 68,052 USD 43,000 NBCUniversal Media LLC 5.95% 04/01/2041 43,984 51,488 USD 25,000 Neiman Marcus Group Inc., 10.375% 10/15/2015 26,010 26,455 USD 25,000 NII Capital Corp., 7.625% 04/01/2021 24,411 25,277 USD 25,000 Pilgrim's Pride Corp., 7.875% 12/15/2018 20,818 23,940 USD 200,000 PNC Financial Services Group Inc.,

6.75% 08/01/2021 189,480 199,244 USD 61,000 Production Resource Group Inc.,

8.875% 05/01/2019 58,766 56,859 USD 250,000 Republic Services Inc., 5.5% 09/15/2019 262,564 293,914 USD 38,000 Reynolds Group Issuer Inc., 9.875% 08/15/2019 35,584 37,549 USD 50,000 Sabine Pass LNG LP 7.25% 11/30/2013 50,303 51,445 USD 107,000 Scientific Games International Inc.,

9.25% 06/15/2019 114,363 115,541 USD 120,000 Shea Homes LP 8.625% 05/15/2019 116,143 114,299 USD 100,000 SLM Corp., 6.25% 01/25/2016 100,544 99,067 USD 20,000 SM Energy Co., 6.5% 11/15/2021 20,163 20,985

126 Soverign REIT 145,467 142,798 USD 37,000 STHI Holding Corp., 8% 03/15/2018 36,939 38,729 USD 150,000 SunGard Data Systems Inc., Callable

10.25% 08/15/2015 150,903 158,345 USD 40,000 The AES Corp., 9.75% 04/15/2016 44,929 46,657 USD 95,000 Time Warner Cable Inc., 5% 02/01/2020 99,257 106,032 USD 150,000 Tomkins LLC 9% 10/01/2018 161,863 169,423 USD 12,000 Trans Union LLC 11.375% 06/15/2018 13,832 13,966 USD 44,000 United States Treasury Note/Bond




4.25% 11/15/2040 26,537 33,778 USD 174,000 United Surgical Partners International Inc.,

8.875% 05/01/2017 181,138 176,811 USD 83,000 US Foods Inc., 8.5% 06/30/2019 80,701 81,804 USD 100,000 Verizon Communications Inc., 5.5% 02/15/2018 97,471 118,761 USD 250,000 Wells Fargo & Co., 7.98% 03/15/2049 262,389 272,822 USD 2,000 WM Finance Corp., 11.5% 10/01/2018 1,897 2,022 USD 40,000 Wynn Las Vegas LLC 7.75% 08/15/2020 41,826 45,230 USD 35,000 Xinergy Corp., 9.25% 05/15/2019 33,223 30,128

13,663,775 13,984,659

*Denotes all or part of securities on loan.^Denotes illiquid securities.Percentages shown in brackets relate investments at fair value to net assets of the Fund.The accompanying notes are an integral part of these financial statements.



– 136 –

IRELAND (1.7%) GBP 200,000 Bank of Ireland 6.75% 01/30/2012 308,871 314,047 USD 250,000 Irish Life & Permanent Group Holdings PLC

3.6% 01/14/2013 216,985 223,478 525,856 537,525

BRAZIL (1.2%) USD 100,000 Banco Nacional de Desenvolvimento

Economico e Social 5.5% 07/12/2020 102,867 110,407 USD 100,000 Federal Republic of Brazil 5.875% 01/15/2019 118,033 120,462 USD 161,000 OGX Petroleo e Gas Participacoes SA

8.5% 06/01/2018 156,371 160,731 377,271 391,600

AUSTRIA (1.2%) 300,000 Federal Republic of Austria 5.375% 12/01/2034 320,919 368,790

LUXEMBOURG (1.1%) USD 125,000 Holcim US Finance Sarl & Cie SCS

6% 12/30/2019 138,306 130,993 USD 12,000 Intelsat Jackson Holdings SA 7.25% 04/01/2019 11,751 12,408 USD 13,000 Intelsat Jackson Holdings SA 7.25% 10/15/2020 12,775 13,442 USD 12,000 Intelsat Jackson Holdings SA 7.5% 04/01/2021 11,751 12,362 USD 40,000 Tyco International Finance SA 8.5% 01/15/2019 47,179 52,487 USD 25,000 Wind Acquisition Finance SA 11.75% 07/15/2017 21,386 22,793 USD 125,000 Wind Acquisition Finance SA 7.25% 02/15/2018 113,055 115,878

356,203 360,363 SPAIN (1.0%)

USD 250,000 Abengoa Finance SAU 8.875% 11/01/2017 243,429 254,676 USD 75,000 Telefonica Emisiones SAU 5.134% 04/27/2020 75,543 71,767

318,972 326,443 CAYMAN ISLANDS (0.9%)

USD 100,000 MCE Finance Ltd., 10.25% 05/15/2018 110,604 109,765 USD 145,000 Petrobaras International Finance Co.,

6.875% 01/20/2040 150,257 171,079 260,861 280,844

PERU (0.9%) USD 210,000 Republic of Peru 6.55% 03/14/2037 239,508 271,688

FRANCE (0.8%) USD 45,000 EDF SA 6.5% 01/26/2019 56,586 52,860 USD 200,000 France Telecom SA 2.75% 09/14/2016 196,042 204,291

252,628 257,151 SOUTH AFRICA (0.8%)

USD 100,000 Republic of South Africa 5.875% 05/30/2022 110,447 117,161 USD 100,000 Republic of South Africa 6.875% 05/27/2019 111,825 122,754

222,272 239,915 DENMARK (0.7%)

DKK 757,000 Kingdom of Denmark 7% 11/10/2024 198,449 213,080

COLOMBIA (0.4%) USD 100,000 Republic of Colombia 7.375% 03/18/2019 124,289 128,357

EL SALVADOR (0.2%) USD 100,000 Republic of El Salvador 7.65% 06/15/2035 101,764 104,672

ARGENTINA (0.0%) USD 20,000 Republic of Argentina 7% 10/03/2015 13,185 18,897



CANADA (18.0%) (cont’d)USD 50,000 TransCanada PipeLines Ltd., 6.5% 08/15/2018 52,346 62,333 USD 165,000 Trinidad Drilling Ltd., 7.875% 01/15/2019 168,110 173,129

127,000 Vermilion Energy Inc., 6.5% 02/10/2016 130,651 130,056 75,000 Yellow Media Inc., 5.71% 04/21/2014 72,375 30,038 90,000 Yellow Media Inc., 7.3% 02/02/2015 87,412 35,145 75,000 Yellow Media Inc., 7.75% 03/02/2020 68,062 29,250

5,577,034 5,653,296 GERMANY (5.2%)

140,000 Deutsche Bank AG 1.97857% 08/22/2016 126,950 112,000 EUR 170,000 Federal Republic of Germany 3.25% 01/04/2020 251,532 252,970 EUR 195,000 Federal Republic of Germany 3.5% 01/04/2016 326,616 287,060 EUR 500,000 Federal Republic of Germany 3.75% 01/04/2019 817,227 764,666 EUR 120,000 Federal Republic of Germany 4.75% 07/04/2040 203,712 233,807

1,726,037 1,650,503 AUSTRALIA (2.5%)

USD 45,000 Boart Longyear Management Pty., Ltd., 7% 04/01/2021 44,997 46,529

USD 50,000 FMG Resources August 2006 Pty. Ltd., 8.25% 11/01/2019 50,874 51,827

USD 175,000 FMG Resources Pty. Ltd., 7% 11/01/2015 171,705 180,056 AUD 320,000 New South Wales Treasury Corp.,

5.5% 03/01/2017 305,707 353,817 USD 150,000 Westpac Banking Corp., 4.2% 02/27/2015 161,430 159,258

734,713 791,487 NORWAY (1.9%)

USD 200,000 Eksportfinans ASA 2% 09/15/2015 160,351 168,775 USD 200,000 Eksportfinans ASA 3% 11/17/2014 182,729 181,405 USD 100,000 Statoil ASA 5.25% 04/15/2019 120,789 117,889 USD 110,000 Yara International ASA 7.875% 06/11/2019 120,053 137,535

583,922 605,604 MEXICO (1.9%)

USD 100,000 America Movil SAB de C.V., 6.375% 03/01/2035 111,874 123,917 USD 23,000 Kansas City Southern de Mexico SA de CV

6.125% 06/15/2021 22,290 24,075 USD 100,000 Petroleos Mexicanos 4.875% 03/15/2015 107,107 108,365 USD 100,000 Petroleos Mexicanos 6% 03/05/2020 105,219 113,107 USD 190,000 United Mexican State, Treasury Bond

5.95% 03/19/2019 220,217 230,039 566,707 599,503

NETHERLANDS (1.8%) USD 125,000 Deutsche Telekom International Finance BV

4.875% 07/08/2014 141,121 135,577 EUR 285,000 Government of Netherlands 4% 07/15/2018* 458,328 426,653

599,449 562,230 BERMUDA (1.8%)

USD 25,000 Aircastle Ltd., 9.75% 08/01/2018 25,720 26,677 USD 50,000 Intelsat Bermuda Ltd., 11.5% 02/04/2017 51,830 49,152 USD 490,000 Intelsat Luxembourg SA 11.25% 02/04/2017 503,635 482,942

581,185 558,771 U.K. (1.7%)

GBP 100,000 Barclays Bank PLC 14% 06/15/2019 191,340 177,322 USD 100,000 Diageo Capital PLC 7.375% 01/15/2014 118,391 114,976 USD 100,000 HSBC Bank PLC 3.5% 06/28/2015 102,226 103,602 USD 130,000 Vodafone Group PLC 5.45% 06/10/2019 143,745 154,162

555,702 550,062




– 137 –



MARSHALL ISLANDS (0.0%) USD 18,000 Teekay Corp., 8.5% 01/15/2020 19,015 17,649




Foreign Currency Forward Contracts (-0.1%)(see Schedule A) (22,019)


Other Assets (net) (10.1%) 3,202,326

Net Assets (100.0%) 31,653,396

Principal amounts stated in:DKK Danish Krone

EUR European Currency

GBP British Pound

USD U.S. Dollar



Schedule AForeign Currency Forward Contracts (-0.1%)

Credit Rating Settlement Contract UnrealizedContracts Counterparty of the Counterparty‡ Date Rate ($) Pay Receive Gain (Loss) ($)1 Credit Suisse Group AG A-1 13-Mar-12 0.98 (6,684,000) US $ 6,792,181 Canadian $ (27,591)1 Morgan Stanley A-2 11-Apr-12 1.36 (1,308,000) Euro 1,781,669 Canadian $ 51,314 1 Morgan Stanley A-2 13-Mar-12 0.99 (1,082,000) US $ 1,098,425 Canadian $ (5,551)1 Royal Bank of Canada A-1+ 13-Mar-12 0.99 (434,501) Canadian $ 428,000 US $ 2,191 1 State Street Corp. A-1 13-Mar-12 0.99 (1,198,682) Canadian $ 1,184,000 US $ 9,356 1 State Street Corp. A-1 13-Mar-12 0.99 (4,274,889) Canadian $ 4,213,000 US $ 23,671 1 The Bank of Nova Scotia†† A-1+ 13-Mar-12 1.03 (220,621) Canadian $ 214,000 US $ (2,265)1 The Bank of Nova Scotia†† A-1+ 13-Mar-12 0.98 (8,005,000) US $ 8,132,920 Canadian $ (34,680)1 UBS AG A-1 11-Apr-12 0.98 (268,000) Australian $ 274,353 Canadian $ (2,306)1 UBS AG A-1 11-Apr-12 1.61 (273,000) British Pound 438,278 Canadian $ 5,879 1 UBS AG A-1 13-Mar-12 0.99 (7,170,000) US $ 7,273,571 Canadian $ (42,037)Total Foreign Currency Forward Contracts Value (22,019)


Castlerock Global High Income FundFinancial Statements






Net assets per seriesSeries ASeries BSeries FSeries I











Increase (decrease) in net assets from operations per seriesSeries ASeries BSeries FSeries I



28,473 44,6622,656 598

- 1,17592 611

- -93 90

- -- -

481 58331,795 47,719

- -1 -- -

114 62- 294 37- -- -

23 85142 213

31,653 47,506

27,920 45,742- -

2,124 2,4218,211 9,189

726 15,97520,592 19,921

10.04 10.0210.19 10.179.81 9.83

10.13 10.10

211,433 241,533806,152 903,98074,029 1,624,773

2,033,015 1,972,264

19 -1,857 1,935

- -- -- -

(11) (3)1,865 1,932

215 343- 11- 76 22- -- -- 31 21 -

67 173290 561

- (150)1,575 1,521

(1,561) 102207 2,215

- -

1,062 (1,292)(292) 1,025

1,283 2,546

68 316275 352

(142) 9421,082 936

0.32 0.760.31 0.49(0.44) 0.630.54 0.66


2011 2010


2011 2010


Castlerock Global High Income FundFinancial Statements

– 139 –





















19,921 8,897

31 11,3651,013 1,513(442) (1,278)602 11,600

- (833)(1,013) (679)

- -(1,013) (1,512)1,082 936

20,592 19,921

47,506 33,425

4,534 35,5161,409 3,619

(21,622) (23,748)(15,679) 15,387

- (2,330)(1,457) (1,522)

- -(1,457) (3,852)1,283 2,546

31,653 47,506

2,421 3,687

807 2,86162 196

(1,168) (4,375)(299) (1,318)

- (148)(66) (116)

- -(66) (264)68 316

2,124 2,421

9,189 5,851

3,120 5,382224 533

(4,329) (2,307)(985) 3,608

- (424)(268) (198)

- -(268) (622)275 352

8,211 9,189

15,975 14,990

576 15,908110 1,377

(15,683) (15,788)(14,997) 1,497

- (925)(110) (529)

- -(110) (1,454)(142) 942726 15,975


2011 2010



2011 2010


Castlerock Global High Income FundFinancial Statements – Supplementary Schedules

– 140 –






2011


1,2561,319


2011 2010


- -- -


2011 2010

241,533 355,00481,002 269,9166,229 19,187

(117,331) (402,574)211,433 241,533

903,980 564,445309,023 503,84722,359 51,637

(429,210) (215,949)806,152 903,980

1,624,773 1,475,70658,951 1,531,54711,326 137,452

(1,621,021) (1,519,932)74,029 1,624,773

1,972,264 868,0843,085 1,077,297

101,455 146,932(43,789) (120,049)

2,033,015 1,972,264






10.04 10.0210.04 10.04

10.19 10.1710.19 10.18

9.81 9.839.81 9.85

10.13 10.1010.13 10.11


2011 2010


Annual management fee rateSeries ASeries BSeries FSeries I

1.501.650.95



2011




20111,470

---------

Castlerock Global High Income FundFund Specific Financial Instruments Risks (Note 11)

– 141 –



as at December 31, 2010*Credit Rating^ Net Assets (%)Aaa 46.2 Aa 7.9 A 7.7 Baa 16.9 Ba 9.1 B 6.2 Ca and lower 2.0 Total 96.0





Exposure Exposure Exposure AssetsCurrency (in $000’s) (in $000’s) (in $000’s) (%)US Dollar 24,123 (17,218) 6,905 21.8Euro 2,016 (1,725) 291 0.9Danish Krone 214 - 214 0.7British Pound 524 (432) 92 0.3Australian Dollar 360 (279) 81 0.3Total 27,237 (19,654) 7,583 24.0




United States ........................................................................................................................... 51.0Canada ..................................................................................................................................... 7.5Germany ................................................................................................................................... 5.9Japan ....................................................................................................................................... 5.1France....................................................................................................................................... 4.0Netherlands ............................................................................................................................. 3.7United Kingdom ....................................................................................................................... 3.5Mexico ..................................................................................................................................... 3.5Sweden .................................................................................................................................... 2.9Short-Term Investments........................................................................................................... 2.5Cash ........................................................................................................................................ 1.3Foreign Currency Contracts...................................................................................................... 1.2Other Assets (net) ................................................................................................................... 1.0Luxembourg.............................................................................................................................. 1.0Brazil ........................................................................................................................................ 0.8South Africa ............................................................................................................................. 0.7Australia................................................................................................................................... 0.7Peru .......................................................................................................................................... 0.5Cayman Islands........................................................................................................................ 0.5Denmark ................................................................................................................................... 0.4Switzerland .............................................................................................................................. 0.3Colombia .................................................................................................................................. 0.3Venezuela................................................................................................................................. 0.2Spain ........................................................................................................................................ 0.2Russia....................................................................................................................................... 0.2Norway..................................................................................................................................... 0.2India ......................................................................................................................................... 0.2El Salvador ............................................................................................................................... 0.2Chile ......................................................................................................................................... 0.2Bermuda ................................................................................................................................... 0.2Belgium .................................................................................................................................... 0.1

Other Price RiskAs at December 31, 2011 and 2010, the Fund did not have a significant exposure to other price riskas the Fund was invested in fixed income securities and their market risk exposure is describedbelow.

As at December 31, 2011, had the global markets increased or decreased by 10% (December 31, 2010- 5%), with all other variables held constant, net assets of the Fund would have increased ordecreased, respectively, by approximately $15,000 (December 31, 2010 - $13,000). In practice, actualresults may differ from this analysis and the difference may be material.



– 142 –

Castlerock Global High Income FundFund Specific Financial Instruments Risks (Note 11) (cont’d)



The table below summarizes the movement in financial instruments classified as Level 3.

for the year ended December 31, 2011Change in

Balance at Net transfers Realized gain unrealized gain Balance atDecember 31, 2010 Purchases Sales in (out) (loss) (loss)* December 31, 2011

(in $000's) (in $000's) (in $000's) (in $000's) (in $000's) (in $000's) (in $000's)Long Positions:Bonds - - - 56 - - 56 Total - - - 56 - - 56

*Change in unrealized gain (loss) related to investments held at December 31, 2011 was ($49,003).

During the year fixed income investments with a net fair value of $56,000 were transfered out of Level 2 into Level 3 as observable market inputs were no longer available for these investments.

Investments classified as Level 3 are valued at fair value based on unobservable inputs and assumptions, which may include credit spreads, industry multipliers, and discount rates. Management has assessed thatthe effect of changing these inputs to reasonably possible alternatives would not have a significant impact on the net assets of the Fund as at December 31, 2011.

Interest Rate Risk (cont’d)




As at December 31, 2011, had the prevailing interest rates increased or decreased by 0.25%(December 31, 2010 - 0.25%), with all other variables held constant, net assets of the Fund would havedecreased or increased, respectively, by approximately $366,000 (December 31, 2010 - $615,000). Inpractice, the actual results may differ from this analysis and the difference may be material.



(in $000's) (in $000's) (in $000's) (in $000's)Equities 154 - - 154 Bonds - 28,263 56 28,319 Foreign currency forward contracts, net - (22) - (22) Total 154 28,241 56 28,451


(in $000's) (in $000's) (in $000's) (in $000's)Equities 250 - - 250 Bonds - 44,412 - 44,412 Short-term investments - 1,175 - 1,175 Forwards currency contracts, net - 549 - 549 Total 250 46,136 - 46,386





Exposure Exposure Exposure AssetsCurrency (in $000’s) (in $000’s) (in $000’s) (%)Mexican Peso 1,181 - 1,181 2.4US Dollar 30,085 (29,777) 308 0.6Euro 5,746 (5,661) 85 0.1Japanese Yen 2,687 (2,633) 54 0.1British Pound 1,238 (1,249) (11) - Australian Dollar 326 (346) (20) - Danish Krone 191 (216) (25) - Swedish Krona 1,254 (1,289) (35) - Total 42,708 (41,171) 1,537 3.2

As at December 31, 2011, had the Canadian dollar strengthened or weakened by 10% (December31, 2010 - 2%) in relation to all other foreign currencies held in the Fund, with all other variablesheld constant, net assets of the Fund would have decreased or increased, respectively, byapproximately $758,000 (December 31, 2010 - $31,000). In practice, the actual results may differfrom this analysis and the difference may be material.





PROVINCIAL BONDS (26.6%) 235,000 Municipal Finance Authority of British Columbia

5.25% 12/03/2012 244,612 243,563 475,000 Province of British Columbia

5.75% 01/09/2012 481,301 475,145 235,000 Province of Manitoba, FRN,

1.67929% 09/04/2012 235,811 235,657 2,600,000 Province of Ontario, FRN,

2.26929% 04/02/2013 2,643,836 2,630,442 170,000 Province of Quebec 1.26929% 12/10/2013 169,244 169,646 565,000 Province of Quebec 1.36571% 05/10/2014 563,616 563,616 115,000 Province of Quebec 6% 10/01/2012 119,595 119,129

4,458,015 4,437,198 SHORT-TERM INVESTMENTS (10.6%)

185,000 Bank of Montreal 1.06% 01/17/2012 184,811 184,898 90,000 Bank of Montreal 1.07% 01/03/2012 89,963 89,989

470,000 HSBC Bank Canada 1.16% 02/14/2012 468,421 469,332 180,000 Municipal Finance Authority of British Columbia

1% 02/01/2012 179,827 179,874 290,000 The Bank of Nova Scotia 1.15% 02/20/2012†† 289,179 289,532 430,000 Toronto-Dominion Bank 1.04% 01/17/2012 429,781 429,781 120,000 Toronto-Dominion Bank 1.37% 01/26/2012 119,186 119,901

1,761,168 1,763,307 CANADIAN GOVERNMENT BONDS (1.2%)

20,000 Financement-Quebec 1.22571% 04/25/2012 20,010 20,007 170,000 Financement-Quebec 5% 11/01/2012 175,714 175,320

195,724 195,327



Other Assets (net) (10.4%) 1,731,861

Net Assets (100.0%) 16,678,536

Castlerock Canadian Money Market FundStatement of Investment Portfolio as at December 31, 2011

– 143 – CIG - 11104


CORPORATE BONDS (51.2%) 235,000 Alberta Capital Finance Authority

1.35% 10/09/2012 235,277 235,246 300,000 Bank of Montreal 1.35857% 02/01/2012 299,975 300,017 140,000 Bank of Montreal 1.62929% 12/10/2012 140,357 140,279 45,000 Bank of Montreal, FRN, 1.35071% 02/01/2012 45,015 44,953

1,460,000 Canada Housing Trust No.1, Series 27, 1.64929% 09/15/2014 1,474,331 1,473,722



305,000 Canadian Imperial Bank of Commerce 5% 09/10/2012 315,340 312,562

60,000 Canadian Imperial Bank of Commerce, FRN, 1.49857% 08/14/2012 60,058 60,030




390,000 Enbridge Inc., FRN, 2.27857% 08/19/2015 390,000 388,820 235,000 EnCana Corp., 4.3% 03/12/2012 236,832 236,254110,000 GE Capital Canadian Funding Co.,

2.10071% 02/10/2014 110,280 109,173 580,000 HSBC Bank Canada 1.88071% 08/09/2013 581,931 578,902 400,000 International Bank for Reconstruction and

Development 1.58143% 10/31/2012 397,011 399,820 200,000 Metropolitan Life Global Funding I

2.18% 06/17/2014 200,000 199,306 640,000 National Bank of Canada, FRN,

1.54857% 02/13/2012 640,163 640,022 85,000 Royal Bank of Canada 4.53% 05/07/2012 86,268 85,930






110,000 The Bank of Nova Scotia 1.73071% 04/20/2012†† 110,159 110,102

40,000 The Bank of Nova Scotia 3.03% 06/04/2012†† 40,412 40,277 40,000 The Bank of Nova Scotia, FRN,

1.45% 12/21/2012†† 40,002 40,002 785,000 The Bank of Nova Scotia, FRN,

1.73071% 04/20/2012†† 786,814 785,729 8,567,468 8,550,843

††CI Investments Inc., the Manager, is a corporation controlled by CI Financial Corp. The Bank of Nova Scotia has a significant interest in CI Financial Corp. Investments in The Bank of Nova Scotia are identified above.Percentages shown in brackets relate investments at fair value to net assets of the Fund.The accompanying notes are an integral part of these financial statements.



Castlerock Canadian Money Market FundFinancial Statements






Net assets per seriesSeries ASeries BSeries DSeries DCA ASeries DCA BSeries DCA F


Series ASeries BSeries DSeries DCA ASeries DCA BSeries DCA F









Increase (decrease) in net assets from operations per seriesSeries ASeries BSeries DSeries DCA ASeries DCA BSeries DCA F



14,947 22,9841,755 -

- -- -- -

24 76- -- -

56 -16,782 23,060

- -- -- -- -- -

97 1,889- -- -6 3

103 1,89216,679 21,168

14,982 22,984- -

2,465 1,97613,304 9,698

140 228173 1,094597 8,171

- 1

5.00 5.005.00 5.005.00 5.005.00 5.005.00 5.00

- 5.00

493,288 395,2102,662,659 1,939,522

27,922 45,58034,669 218,849

119,540 1,634,280- 167

- -221 129

- -- -- -- -

221 129

124 60- 11- 73 22- -- -- 71 2

57 127185 236

- (107)36 -

(6) -- -- -

(35) -(41) -(5) -

(1) -(5) -- -- -1 -- -

- -- -- -- -- -- -


2011 2010


2011 2010



– 145 –













Series DCA ANet assets, beginning of yearCapital transactions




Series DCA BNet assets, beginning of yearCapital transactions




Series DCA FNet assets, beginning of yearCapital transactions




1,094 2,080

781 5,5261 1

(1,703) (6,513)(921) (986)

- -- -- -- -- -

173 1,094

8,171 15,371

6,455 35,0103 7

(14,032) (42,217)(7,574) (7,200)

- -(1) -- -

(1) -1 -

597 8,171

1 444

- 199- -

(1) (642)(1) (443)

- -- -- -- -- -- 1

1,976 2,880

3,282 3,6911 -

(2,792) (4,595)491 (904)

- -(1) -- -

(1) -(1) -

2,465 1,976

9,698 10,907

16,609 10,3541 -

(12,995) (11,563)3,615 (1,209)

- -(4) -- -

(4) -(5) -

13,304 9,698

228 375

34 51- -

(122) (198)(88) (147)

- -- -- -- -- -

140 228


2011 2010



2011 2010


– 146 –






21,168 32,059

27,161 54,8316 8

(31,645) (65,730)(4,478) (10,891)

- -(6) -- -

(6) -(5) -

16,679 21,168


2011 2010



Castlerock Canadian Money Market FundFinancial Statements – Supplementary Schedules

– 147 –




Series DCA ABalance, beginning of yearUnits issued for cash Units issued for reinvested distributions Units redeemedBalance, end of year

Series DCA BBalance, beginning of yearUnits issued for cash Units issued for reinvested distributions Units redeemedBalance, end of year

Series DCA FBalance, beginning of yearUnits issued for cash Units issued for reinvested distributions Units redeemedBalance, end of year


2011


--


2011 2010


- -- -


2011 2010

395,210 576,070656,397 738,149

153 -(558,472) (919,009)493,288 395,210

1,939,522 2,181,3823,321,849 2,070,894

296 -(2,599,008) (2,312,754)2,662,659 1,939,522

45,580 74,9216,699 10,240

26 -(24,383) (39,581)27,922 45,580

218,849 415,987156,255 1,105,123

111 217(340,546) (1,302,478)

34,669 218,849

1,634,280 3,074,1071,291,077 7,002,077

648 1,465(2,806,465) (8,443,369)

119,540 1,634,280

167 88,821- 39,869- 26

(167) (128,549)- 167





Series DCA ANet assets per unitNet asset value per unit

Series DCA BNet assets per unitNet asset value per unit

Series DCA FNet assets per unitNet asset value per unit

5.00 5.005.00 5.00

5.00 5.005.00 5.00

5.00 5.005.00 5.00

5.00 5.005.00 5.00

5.00 5.005.00 5.00

- 5.00- 5.00


2011 2010


– 148 –

Castlerock Canadian Money Market FundFinancial Statements – Supplementary Schedules



Annual management fee rateSeries ASeries BSeries DSeries DCA ASeries DCA BSeries DCA F

0.750.900.750.750.90

-


2011




2011-

---------

Castlerock Canadian Money Market FundFund Specific Financial Instruments Risks (Note 11)

– 149 –




Interest Rate Exposure 9,030 7,283 389 - 16,702



Interest Rate Exposure 22,984 - - - 22,984



(in $000's) (in $000's) (in $000's) (in $000's)Bonds - 13,184 - 13,184 Short-term investments - 1,763 - 1,763 Total - 14,947 - 14,947


(in $000's) (in $000's) (in $000's) (in $000's)Short-term investments - 22,984 - 22,984 Total - 22,984 - 22,984





Short-Term Investments........................................................................................................... 108.6Other Assets (net) ................................................................................................................... -8.6

Other Price RiskAs at December 31, 2011 and 2010, the investments of this Fund were not subject to other pricerisk as the Fund did not invest in equities.


as at December 31, 2011*Credit Rating^ Net Assets (%)AAA/Aaa/A++ 24.8 AA/Aa/A+ 49.6 A 12.7 BBB/Baa/B++ 1.4 Not Rated 1.1 Total 89.6

as at December 31, 2010*Credit Rating^ Net Assets (%)AAA/Aaa/A++ 108.6Total 108.6






1. THE FUNDS

a) Date of Formation

Castlerock Mutual Funds currently comprise of the following twenty-one mutual Fund trusts, collectively referred to as the “Funds”:

Inception Date of the Series

Date of Series Series

Fund Formation Series A Series B Series D Series F Series I T(A) T(B)

Castlerock Growth Portfolio Jan. 08, 2009 Jan. 16, 2009 Jan. 16, 2009 – Jan. 16, 2009 – Jan. 16, 2009 Jan. 16, 2009

Castlerock Balanced Growth Portfolio Jan. 08, 2009 Jan. 16, 2009 Jan. 16, 2009 – Jan. 16, 2009 – Jan. 16, 2009 Jan. 16, 2009

Castlerock Balanced Portfolio Jan. 08, 2009 Jan. 16, 2009 Jan. 16, 2009 – Jan. 16, 2009 – Jan. 16, 2009 Jan. 16, 2009

Castlerock Conservative Portfolio Jan. 08, 2009 Jan. 16, 2009 Jan. 16, 2009 – Jan. 16, 2009 – Jan. 16, 2009 Jan. 16, 2009

Castlerock Capital Appreciation Fund Apr. 18, 2000 Feb. 01, 2005 May 01, 2000 May 01, 2000 Jun. 13, 2006 Jun. 13, 2006 Jul. 07, 2008 Jul. 07, 2008

Castlerock Global Leaders Fund Apr. 18, 2000 Feb. 01, 2005 May 01, 2000 May 01, 2000 Jun. 13, 2006 Jun. 13, 2006 Jul. 07, 2008 Jul. 07, 2008

Castlerock International Equity Fund Sep. 22, 2008 Sep. 25, 2008 Sep. 25, 2008 – Sep. 25, 2008 Sep. 25, 2008 Sep. 25, 2008 Sep. 25, 2008

Castlerock U.S. Dividend Growth Fund Jun. 09, 2006 Jun. 13, 2006 Jun. 13, 2006 Jun. 13, 2006 Jun. 13, 2006 Jun. 13, 2006 Jul. 07, 2008 Jul. 07, 2008

Castlerock Canadian Dividend Fund Aug. 25, 2004 Feb. 01, 2005 Sep. 01, 2004 Sep. 01, 2004 Jun. 13, 2006 Jun. 13, 2006 Jul. 07, 2008 Jul. 07, 2008

Castlerock Canadian Dividend Growth Fund Aug. 25, 2004 Feb. 01, 2005 Sep. 01, 2004 Sep. 01, 2004 Jun. 13, 2006 Jun. 13, 2006 – –

Castlerock Canadian Stock Fund Apr. 18, 2000 Feb. 01, 2005 May 01, 2000 May 01, 2000 Jun. 13, 2006 Jun. 13, 2006 Jul. 07, 2008 Jul. 07, 2008

Castlerock Canadian Value Fund Aug. 25, 2004 Feb. 01, 2005 Sep. 01, 2004 Sep. 01, 2004 Jun. 13, 2006 Jun. 13, 2006 Jul. 07, 2008 Jul. 07, 2008

Castlerock Canadian Balanced Fund Apr. 18, 2000 Feb. 01, 2005 May 01, 2000 May 01, 2000 Jun. 13, 2006 Jun. 13, 2006 Jul. 07, 2008 Jul. 07, 2008

Castlerock Global Balanced Fund Jan. 25, 2007 Jan. 31, 2007 Jan. 31, 2007 Jan. 31, 2007 Jan. 31, 2007 Jan. 31, 2007 Jul. 07, 2008 Jul. 07, 2008

Castlerock Canadian Bond Fund Apr. 18, 2000 Feb. 01, 2005 May 01, 2000 May 01, 2000 Jun. 13, 2006 Jun. 13, 2006 – –

Castlerock Global High Income Fund Jul. 03, 2008 Jul. 07, 2008 Jul. 07, 2008 – Jul. 07, 2008 Jul. 07, 2008 – –

Castlerock Canadian Money Market Fund Apr. 18, 2000 Feb. 01, 2005 May 01, 2000 May 01, 2000 Jul. 07, 2008 1 – – –

Castlerock Canadian Growth Companies Fund Feb. 14, 2011 Feb. 14, 2011 Feb. 14, 2011 – Feb. 14, 2011 – Feb. 14, 2011 Feb. 14, 2011

Castlerock Enhanced Yield Fund Feb. 14, 2011 Feb. 14, 2011 Feb. 14, 2011 – Feb. 14, 2011 – – –

Castlerock Total Return Fund Feb. 14, 2011 Feb. 14, 2011 Feb. 14, 2011 – Feb. 14, 2011 – Feb. 14, 2011 Feb. 14, 2011

Castlerock Pure Canadian Equity Fund Feb. 14, 2011 Feb. 14, 2011 Feb. 14, 2011 – Feb. 14, 2011 – Feb. 14, 2011 Feb. 14, 2011

1Only DCA series F units are available for this Fund.

Castlerock Funds Notes to the Financial Statements


b) Financial Reporting Dates

The Statement of Investment Portfolio, Schedule of Tax Loss Carry Forwards and Schedule of Fees for

each of the Funds are as at December 31, 2011. The Statements of Net Assets, Schedule of Net Assets

per Unit and Net Asset Value per Unit and Schedule of Securities Lending are at December 31, 2011 and

2010, as applicable. The Statements of Operations, Statements of Changes in Net Assets, Schedule of

Fund Unit Transactions and Schedule of Commissions for each Fund are for the years ended December

31, 2011 and 2010, except for a Fund or a Series of a Fund established during either period, in which case

the information for that Fund or applicable Series of that Fund is provided for the period from the date of

formation of the Fund or inception date of the applicable Series of the Fund to December 31, 2011 or 2010

of the applicable period. The Fund Specific Financial Instruments Risks for each of the Funds are as at

December 31, 2011 and 2010, as applicable.

c) Funds

(i) Legal Structure

The Funds are open-ended mutual fund trusts created under the laws of the Province of Ontario by

Declarations of Trust. In October 2010, CI Financial Corp. (“CI”) acquired all of the outstanding shares

of Hartford Investments Canada Corp. CI completed its acquisition of Hartford Investments on

December 15, 2010 and Castlerock Investments Inc. (formerly Hartford Investments Canada Corp).

became manager of the Funds. On June 30, 2011, Castlerock Investments Inc. and CI Investments Inc.

were amalgamated; therefore, effective June 30, 2011, Castlerock Investments Inc. ceased to exist

and CI Investments Inc. became manager of the Funds (the “Manager”). The Funds may issue an

unlimited number of units of each series. All series generally share in the operations of the Funds,

including net income, expenses, realized gain(loss) and unrealized gain(loss), on a pro rata share basis

except for items that can be specifically attributed to one or more series. Distributions for each series

may vary, partly due to the difference in expenses between the series.

(ii) Tax Year-end

Income tax legislation allows a qualifying mutual Fund trust to elect to have a taxation year-end of

December 15, instead of December 31. The Funds, other than Castlerock Canadian Money Market

Fund (mandatory December 31 tax yearend), Castlerock Canadian Bond Fund, Castlerock Global High

Income Fund, Castlerock Enhanced Yield Fund, Castlerock Growth Portfolio, Castlerock Balanced

Growth Portfolio, Castlerock Balanced Portfolio and Castlerock Conservative Portfolio, have made such

an election pursuant to the income tax legislation.

2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

These financial statements have been prepared in accordance with Canadian Generally Accepted

Accounting Principles (“Canadian GAAP”). Certain prior period balances have been reclassified to

conform with the current period presentation.

The following is a summary of the significant accouting policies of the Funds:

a) Valuation of Investments

Canadian GAAP requires the fair value of financial instruments traded in an active market to be

measured based on an investment’s bid/ask price depending on the investment position (long/short).

For the purpose of processing unitholder transactions, net asset value is calculated based on the

closing market price of exchange-traded investments (referred to as “Net Asset Value”), while for

financial statement purposes net assets are calculated based on bid/ask price of such investments

(referred to as “Net Assets”).

In accordance with National Instrument 81-106, a comparison between the Net Asset Value per unit

and the Net Assets per unit is disclosed in the Schedule of Net Assets per Unit and Net Asset Value

per Unit as at December 31, 2011 and 2010.

At the financial reporting date, listed securities are valued based on the bid price for securities held

long and the ask price for securities held short. Unlisted securities are valued based on price

quotations from recognized investment dealers, or failing that, their fair value is determined by the

Manager on the basis of the latest reported information available. Fixed income securities,

debentures, money market investments and other debt instruments including short-term investments,

are valued at the bid quotation from recognized investment dealers. Underlying Funds are valued on

each business day at their net asset value as reported by the Underlying Fund’s manager.

The fair value of private placements is determined by using valuation models that may be based, in

part, on assumptions that are not supported by observable market inputs. These methods and

procedures may include, but are not limited to, performing comparisons with prices of comparable or

similar securities, obtaining valuation related information from issuers and/or other analytical data

relating to the investment and using other available indications of value. These values are

independently assessed by the Manager to ensure that they are reasonable. However, because of the

inherent uncertainty of valuation, the estimated fair values for the aforementioned securities and

interests may be materially different from the values that would have been used had a ready market

for the investment existed. The fair values of private placements are affected by the perceived credit

risks of the issuer, predictability of cash flows and the length of time to maturity.

(b) Commissions and Other Portfolio Transaction Costs

Transaction costs, such as brokerage commissions, incurred in the purchase and sale of securities, are

included in “Commissions and other portfolio transaction costs” in the Statements of Operations.

(c) Cost of Investments

Cost of investments represents the amount paid for each security and is determined on an average cost

basis excluding commissions and transactions costs.

(d) Investment Transactions and Income Recognition

Investment transactions are accounted for on the trade date for financial reporting purposes and any

unrealized and realized gains and losses on such transactions are calculated on an average cost basis.

Dividend income and distributions from investments are recognized on the ex-dividend/ ex-distribution

date and interest income is accounted for on the accrual basis.

Distributions received from income trust holdings are recorded as income, capital gains or a return

of capital, based on the best information available to the Manager. Due to the nature of these

investments, actual allocations could vary from this information. Distributions from income trusts that

are treated as a return of capital for income tax purposes reduce the average cost of the underlying

investment trust.

(e) Foreign Exchange

Foreign currency amounts are translated into Canadian dollars, the functional currency of the Funds as

follows: fair value of investments, forward currency contracts, other assets and liabilities at the

closing rate of exchange on each business day; income and expenses, purchases, sales and

settlements of investments at the rate of exchange prevailing on the respective dates of such

transactions. Foreign exchange gains (losses) on completed transactions are included in “Foreign

exchange gain (loss)” in the Statements of Operations.

(f) Increase (Decrease) in Net Assets from Operations per Unit

Increase (decrease) in net assets from operations per unit of each series in the Statements of

Operations is calculated by dividing the increase (decrease) in net assets from operations of each

series of a Fund by the weighted average number of units outstanding during the period of that series.

(g) Forward Contracts

The Fund may enter into forward contracts. Forward contracts are valued on each valuation day based

on the difference between the value of the contract on the date the contract originated and the value

of the contract on the valuation day.

All unrealized gains (losses) arising from forward contracts are recorded as part of “Change in

unrealized appreciation (depreciation) of investments” in the Statements of Operations and

“Unrealized gain (loss) on futures and forward currency contracts” in the Statements of Net Assets

until the contracts are closed out or expire, at which time the gains (losses) are realized and reported

as “Realized gain (loss) on investments” in the Statements of Operations.

(h) Cash and Short-Term Investments

Cash is comprised of cash on deposit. Short-term investments are comprised of short-term debt

instruments with terms to maturity of less than one year at acquisition.

(i) Net Asset Value per Unit

Net Asset Value per unit of each series is calculated at the end of each day on which the Toronto Stock

Exchange is open for business by dividing the total Net Asset Value of each series of a Fund by the

number of units of that series outstanding.

The Net Asset Value of each series is computed by calculating the value of that series’ proportionate

share of the Fund's assets less that series’ proportionate share of the Fund's common liabilities and

less series specific liabilities. Expenses directly attributable to a series are charged to that series.

Other income and expenses, and gains and losses, are allocated to each series proportionately based

upon the relative total Net Asset Value of each series.

(j) Use of Estimates

The preparation of financial statements in accordance with Canadian GAAP requires management to

make estimates and assumptions that affect the reported amounts of assets and liabilities at the

reporting date and the reported amounts of income and expenses during the reporting period. Actual

results could differ from those estimates.

Castlerock Funds Notes to the Financial Statements (cont’d)




k) Distributions to Unitholders

Distributions to unitholders are recorded on the ex-distribution date and are determined based on the

net income and net capital gains calculated in accordance with income tax legislation, which may

differ from net investment income and net realized gains on sale of investments calculated in

accordance with generally accepted accounting principles.

3. UNITHOLDERS’ EQUITY

The units issued and outstanding represent the capital of each Fund.

Each Fund is authorized to issue an unlimited number of units and series without par value. Units are

issued and redeemed at their current Net Asset Value per unit at the option of the unitholder. The

Funds have no restrictions or specific capital requirements on the purchases and redemptions of units,

other than minimum purchase requirements. The number of units of each series outstanding, as well

as the changes in each Fund’s capital during the period, is disclosed in the Statements of Changes in

Net Assets. The Manager has policies and procedures in place to manage the capital of the Funds in

accordance with the Funds’ investment objectives, including managing their liquidity in order to meet

redemptions.

4. INCOME TAXES

The Funds have qualified as mutual fund trusts under the provisions of the Income Tax Act (Canada).

The Funds intend to pay or make payable in the calendar year to the unitholders all the net income and

such portion of the net taxable capital gains which will result in the Funds paying no tax under the

current provisions of the said Act. As a result, under existing tax legislation, the net income and net

taxable capital gains so paid or payable will be taxable in the hands of the unitholders and not the

Funds. Accordingly, no provision for income taxes has been made in these financial statements.

Net capital losses may be carried forward indefinitely to reduce future net realized capital gains. Non-

capital losses arising in taxation years 2004 and 2005 may be carried forward ten years. Non-capital

losses arising in taxation years after 2005 may be carried forward twenty years. Non-capital losses

carried forward may reduce future taxable income.

Refer to Fund specific schedules in the financial statements for tax loss carry forward information.

5. MANAGEMENT FEES

The Manager is responsible for the operations of each Fund. The Manager has retained sub-advisers,

to provide investment advisory and administrative services to the Manager and to the Funds. The

Manager remains wholly responsible for the management of the Funds and the fees payable to the

sub-advisers. The Manager also arranges for the provision of services such as transfer agency,

custodian, fund accounting and other administrative services.

In consideration of the management services provided to the Funds by the Manager, the Funds are

charged management fees.

The management fees are calculated and accrued daily and are payable monthly, based on the average

daily Net Asset Value of each series of units of each Fund.

Management fees for Series I units are negotiated and paid directly by the investor, not by the Fund.

Refer to Fund specific schedules in the financial statements for management fee rates applicable to

each series.

6. OPERATING EXPENSES

The expenses of the Funds with respect to all matters relating to their operations and carrying on of

their business, other than promotional expenses related to the sale of units of the Funds, which are

the responsibility of the Manager, are the direct responsibility of the Funds. Operating expenses

include transfer agency, fund accounting, custodian fees, filing fees, audit fees, legal fees, unitholder

reporting costs, harmonized sales tax and other administrative expenses. Expenses incurred by the

Funds are allocated among the series on a reasonable basis as determined by the Manager. Other than

brokerage commissions, fees on portfolio transactions and income and capital taxes, all operating

expenses otherwise attributable to Series I units are the responsibility of the Manager.

As of July 1, 2010, Ontario combined the federal goods and services tax (“GST” – 5%) with the provincial

retail sales tax (“PST” – 8%). The combination resulted in a Harmonized sales tax (“HST”) rate of 13%.

7. SECURITIES LENDING

Effective March 2011, the Funds entered into a securities lending program with their custodian, RBC

Dexia Investor Service Trust (“RBC Dexia”). The aggregate market value of all securities loaned by a

Fund cannot exceed 50% of the assets of the Fund. A Fund will receive collateral of at least 102% of

the market value of securities on loan. Collateral will generally be comprised of cash and obligations

of or guaranteed by the Government of Canada or a province thereof, or by the United States

government or its agencies, but may include obligations of other governments with appropriate credit

ratings. For those Funds participating in the program, amounts for securities loaned and the collateral

received, appear on the Fund specific schedules in the financial statements and income from securities

lending is included in "Securities lending" in the Statements of Operations and any cash collateral

received or cash collateral payable is included in the Statements of Net Assets in “Cash collateral

received for securities on loan” or ”Payable for cash collateral under securities lending”.

8. RELATED PARTY TRANSACTIONS

The Bank of Nova Scotia has a significant interest in CI Financial Corp. the parent company of

the Manager. The Funds may have direct or indirect holdings in The Bank of Nova Scotia and/or

CI Financial Corp. as identified in the Statement of Investment Portfolio of each Fund, if applicable.

The Funds paid the following broker commissions to The Bank of Nova Scotia during the years ended

December 31:

2011 2010

Fund ($) ($)

Castlerock Capital Appreciation Fund – 2,290

Castlerock Canadian Dividend Fund 611 19,248

Castlerock Canadian Dividend Growth Fund 1,976 –

Castlerock Canadian Stocks 1,456 –

Castlerock Canadian Value Fund 479 6,282

Castlerock Canadian Balanced Fund 1,903 –

Castlerock Canadian Growth Companies Fund 276 –

Castlerock Pure Canadian Equity Fund 204 –

9. INTERNATIONAL FINANCIAL REPORTING STANDARDS

On February 13, 2008, the Canadian Accounting Standards Board (“AcSB”) confirmed that the use of

International Financial Reporting Standards (“IFRS”) will be required for all publicly accountable profit-

oriented enterprises for interim and annual financial statements relating to fiscal years beginning on

or after January 1, 2011. On December 12, 2011, the AcSB confirmed deferral of the IFRS changeover

date for investment funds. Based on the AcSB decision, IFRS will become effective for interim and

annual financial statements relating to fiscal years beginning on or after January 1, 2014.

Based on the Manager’s current evaluation of the differences between IFRS and Canadian GAAP, the

Manager currently does not expect any impact to net asset value or net asset value per unit, at this

time, as a result of the transition to IFRS, and expects that the main impact will be on the financial

statements, where additional disclosures or changes in presentation will be required. Further updates

on the progress in the implementation of the IFRS transition plan and any changes to reporting will be

provided during the implementation period leading up to the transition date.

10. FINANCIAL INSTRUMENTS

The categorization of financial instruments is as follows: investments and derivatives are classified as

held for trading and are stated at fair value. Due from brokers, interest and dividends receivable,

subscriptions receivable and other receivables are designated as loans and receivables. They are

recorded at amortized cost which approximates their fair value due to their short-term nature.

Similarly, redemptions payable, due to brokers, accrued management fees, accrued expenses and

other payables are designated as financial liabilities and are carried at their amortized cost which

approximates their fair value, due to their short-term nature. All financial liabilities are due within

three months.

11. FINANCIAL INSTRUMENT RISK

Risk Management

The Funds are exposed to a variety of financial instruments risks: credit risk, liquidity risk and market

risk (including interest rate risk, currency risk and other price risk). The level of risk to which each Fund

is exposed depends on the investment objective and the type of investments the Fund holds. The value

of investments within a portfolio can fluctuate daily as a result of changes in prevailing interest rates,

economic and market conditions and company specific news related to investments held by the Fund.

The Manager of the Funds may minimize potential adverse effects of these risks on the Funds’

performance by, but not limited to, regular monitoring of the Funds’ positions and market events,

diversification of the investment portfolio by asset type, country, sector, term to maturity within

the constraints of the stated objectives, and through the usage of derivatives to hedge certain

risk exposures.

Funds that invest in units of Underlying Funds are indirectly exposed to financial instruments risks

mentioned above.

Other Price Risk

Other price risk is the risk that the value of financial instruments will fluctuate as a result of changes in

market prices (other than those arising from interest rate risk or currency risk). The value of each

investment is influenced by the outlook of the issuer and by general economic and political conditions,

as well as industry and market trends. All securities present a risk of loss of capital.

Other assets and liabilities are monetary items that are short-term in nature and therefore are not

subject to significant other price risk.

To better reflect current economic conditions the Manager has reassessed assumptions used to

calculate other price risk sensitivity for the Funds. For the year ended December 31, 2011, other price

risk sensitivity analysis was performed using 10% instead of 5%.

Interest Rate Risk

Interest rate risk is the risk that the fair value of interest-bearing investments will fluctuate due to

changes in prevailing levels of market interest rates. As a result, the value of the Funds that invest in

debt securities and/or income trusts will be affected by changes in applicable interest rates. If interest

rates fall, the fair value of existing debt securities may increase due to the increase in yield.

Alternatively, if interest rates rise, the yield of existing debt securities decrease which may then lead to

a decrease in their fair value. The magnitude of the decline will generally be greater for long-term debt

securities than for short-term debt securities.

Interest rate risk also applies to Funds that invest in convertible securities. The fair value of these

securities varies inversely with interest rates, similar to other debt securities. However, since they may

be converted into common shares, convertible securities are generally less affected by interest rate

fluctuations than other debt securities.

The Funds that invest only in units of underlying funds may be exposed to indirect interest rate risk in

the event that the underlying funds invest in interest bearing financial instruments.

Currency Risk

Currency risk arises from financial instruments that are denominated in a currency other than the

Canadian dollar, the functional currency of the Funds. As a result, the Funds may be exposed to the risk

that the value of securities denominated in other currencies will fluctuate due to changes in exchange

rates. The Statement of Investment Portfolio identifies all bonds and derivative instruments

denominated in foreign currencies. Equities traded in foreign markets are also exposed to currency risk

as the prices denominated in foreign currencies are converted to the Funds’ functional currency to

determine their fair value.

The Funds invest only in units of underlying funds and may be exposed to indirect currency risk in the

event that the underlying funds invest in financial instruments that are denominated in a currency other

than the functional currency of the Fund.

To better reflect current economic conditions the Manager has reassessed assumptions used to

calculate currency risk sensitivity for the Funds. For the year ended December 31, 2011, currency risk

sensitivity analysis is performed using 10% instead of 5%.

Credit Risk

Credit risk is the risk that a security issuer or counterparty to a financial instrument will fail to meet its

financial obligations. The fair value of a debt instrument includes consideration for the credit worthiness

of the debt issuer. The carrying amount of debt instruments as shown on the Statement of Investment

Portfolio represents the credit risk exposure of each Fund. Credit risk exposure for derivative instruments

is based on each Fund’s unrealized gain on the contractual obligations with the counterparty as at the

reporting date. The credit rating of a counterparty to a derivative instrument is disclosed in Statement

of Investment Portfolio or in Fund Specific Financial Instruments Risks section of the financial

statements of each Fund, if applicable. The credit risk exposure of the Fund’s other assets are

represented by their carrying amount as disclosed in the Statements of Net Assets.

Credit ratings for debt securities, preferred securities and derivative instruments are obtained from

Standard & Poor’s, otherwise ratings are obtained from: Moody's Investors Service, Dominion Bond

Rating Services or Canadian Bond Rating Services. Credit ratings can be either long-term or short-term.

Short-term credit ratings are generally assigned to those obligations and derivative instruments

considered short-term in nature.



The Funds that invest only in units of underlying funds may be exposed to indirect credit risk in the event

that the underlying funds invest in debt instruments, preferred securities and derivatives.

The table below provides a cross-reference between the long-term credit ratings disclosed in the Credit

Rating table inclusive of the short-term credit ratings disclosed in the derivatives schedules in the

Statement of Investment Portfolio.

Credit Rating as per Credit Risk table Credit Rating as per derivatives schedules

AAA/Aaa/A++ A-1+

AA/Aa/A+ A-1, A-2, A-3

A B, B-1

BBB/Baa/B++ B-2

BB/Ba/B+ B-3

B C

CCC/Caa/C++ -

CC/Ca/C+ -

C and Lower D

Not Rated WR

Significant cash balances as disclosed in the Statements of Net Assets are maintained by the

Custodian, RBC Dexia. The Manager monitors the credit worthiness of the custodian on a regular basis.

All transactions executed by a Fund in listed securities are settled / paid for upon delivery using

approved brokers. The risk of default is considered 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 a Fund may not be able to settle or meet its obligations, on time or at a

reasonable price. The Funds are exposed to daily cash redemption of redeemable units. Therefore, the

Funds invest the majority of their assets in investments that are traded in active markets and can be

readily disposed of. In addition, the Funds retain sufficient cash and cash equivalents positions to

maintain liquidity. From time to time, the Funds may enter into derivative contracts or invest in unlisted

securities that may not trade in an organized market and may be illiquid. Illiquid securities are identified

in the Statement of Investment Portfolio of each Fund, as applicable.

Fair Value Hierarchy

The Funds are required to classify financial instruments measured at fair value using a fair value

hierarchy. Investments whose values are based on quoted market prices in active markets are classified

as level 1. This level includes publicly traded equities, exchange traded and retail mutual funds, exchange

traded warrants, futures contracts, traded options, American depositary receipts (“ADRs”) and Global

depositary receipts (“GDRs”).

Financial instruments that trade in markets that are not considered to be active but are valued based on

quoted market prices, dealer quotations or alternative pricing sources supported by observable inputs

are classified as level 2. These include fixed income securities, mortgage backed securities (“MBS”),

short-term instruments, non-traded warrants, over-the-counter options, structured notes of indexed

securities, foreign currency forward contracts and swap instruments.

Investments classified as level 3 have significant unobservable inputs. Level 3 instruments include

private equities, private term loans, private equity funds and certain derivatives. As observable prices

are not available for these securities, the Funds may use a variety of valuation techniques to derive the

fair value.

Details of each Fund’s exposure to financial instruments risks including fair value hierarchy classification

are available in the “Fund Specific Financial Instruments Risks” section of the financial statements of

each Fund.



Notice: Should you require additional copies of this Annual Report or have received more than one copy,

please contact Castlerock Investments c/o CI Investments Inc. (the “Manager”) or your financial advisor.

Commissions, trailing commissions, management fees and expenses all maybe associated with mutual fund

investments. Please read the prospectus before investing. Unless otherwise indicated and except for returns

for periods less than one year, the indicated rates of return are the historical annual compounded total

returns including changes in security value. All performance data assume reinvestment of all distributions or

dividends and do not take into account sales, redemption, distribution or optional charges or income taxes

payable by any securityholder that would have reduced returns. Mutual funds are not guaranteed, their

values change frequently and past performance may not be repeated. Mutual fund securities are not covered

by the Canada Deposit Insurance Corporation or by any other government deposit insurer.

The commentaries contained herein are provided as a general source of information and should not be

considered personal investment advice or an offer or solicitation to buy or sell securities. Every effort has

been made to ensure that the material contained in these commentaries is accurate at the time of

publication. However, the Manager cannot guarantee its accuracy or completeness and accepts no

responsibility for any loss arising from any use of or reliance on the information contained herein.

Simplified Prospectus: The Simplified Prospectus and Annual Information Form of a Fund are renewed

annually. The Manager would be pleased to provide, without charge, the most recent Simplified Prospectus

upon request to its Toronto office.


Legal Notice

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CALGARY | 1-800-776-9027 or 403-205-4396 | MONTREAL | 1-800-268-1602 or 514-875-0090 | VANCOUVER | 1-800-665-6994 or 604-681-3346 |

CLIENT SERVICES | 1-877-540-4828 or 416-306-6091 |

WWW.CASTLEROCKINVESTMENTS.CA

CR_AR_03/12E

Commissions, trailing commissions, management fees, and expenses all may be associated with mutual fund investments. Please read the

prospectus before investing. Mutual funds are not guaranteed, their values change frequently, and past performance may not be repeated.®Signature Global Advisors is a registered trademark of CI Investments Inc. ™Cambridge is a trademark of CI Investments Inc.

annual financial statement– as at december 31, 2011 · castlerock growth portfolio ......

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