annualreport - atb financialthe financial statements of each portfolio comprise: x the statements of...

DECEMBER 31, 2019

ANNUAL REPORT

Conservative PortfolioConservative Balanced PortfolioBalanced PortfolioBalanced Growth PortfolioGrowth PortfolioMaximum Growth Portfolio

AUDITED FINANCIAL STATEMENTSFor the years ended December 31, 2019 and December 31, 2018

Table of Contents

1

x

Financial StatementsIndependent auditor's report 2

x

Compass Conservative PortfolioStatements of Financial Position 5Statements of Comprehensive Income 6Statements of Changes in Net Assets Attributable to Holders of Redeemable Units 7Statements of Cash Flows 8Schedule of Investments 9

x

Compass Conservative Balanced PortfolioStatements of Financial Position 17Statements of Comprehensive Income 18Statements of Changes in Net Assets Attributable to Holders of Redeemable Units 19Statements of Cash Flows 20Schedule of Investments 21

x

Compass Balanced PortfolioStatements of Financial Position 31Statements of Comprehensive Income 32Statements of Changes in Net Assets Attributable to Holders of Redeemable Units 33Statements of Cash Flows 34Schedule of Investments 35

x

Compass Balanced Growth PortfolioStatements of Financial Position 45Statements of Comprehensive Income 46Statements of Changes in Net Assets Attributable to Holders of Redeemable Units 47Statements of Cash Flows 48Schedule of Investments 49

x

Compass Growth PortfolioStatements of Financial Position 59Statements of Comprehensive Income 60Statements of Changes in Net Assets Attributable to Holders of Redeemable Units 61Statements of Cash Flows 62Schedule of Investments 63

x

Compass Maximum Growth PortfolioStatements of Financial Position 70Statements of Comprehensive Income 71Statements of Changes in Net Assets Attributable to Holders of Redeemable Units 72Statements of Cash Flows 73Schedule of Investments 74

x

Notes to the Financial Statements 80

PricewaterhouseCoopers LLP PwC Tower, 18 York Street, Suite 2600, Toronto, Ontario, Canada M5J 0B2 T: +1 416 863 1133, F: +1 416 365 8215

“PwC” refers to PricewaterhouseCoopers LLP, an Ontario limited liability partnership.

Independent auditor’s report

To the Unitholders and Trustee of

Compass Conservative Portfolio Compass Conservative Balanced Portfolio Compass Balanced Portfolio Compass Balanced Growth Portfolio Compass Growth Portfolio Compass Maximum Growth Portfolio

(individually, a Portfolio)

Our opinion

In our opinion, the accompanying financial statements of each Portfolio present fairly, in all material respects, the financial position of each Portfolio as at December 31, 2019 and 2018, and its financial performance and its cash flows for the years then ended in accordance with International Financial Reporting Standards, as published by the International Accounting Standards Board (IFRS).

What we have audited The financial statements of each Portfolio comprise:

the statements of financial position as at December 31, 2019 and 2018;

the statements of comprehensive income for the years then ended;

the statements of changes in net assets attributable to holders of redeemable units for the years then ended;

the statements of cash flows for the years then ended; and

the notes to the financial statements, which include a summary of significant accounting policies.

Basis for opinion

We conducted our audit in accordance with Canadian generally accepted auditing standards. Our responsibilities under those standards are further described in the Auditor’s responsibilities for the audit of the financial statements section of our report.

We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our opinion.

2

Independence We are independent of each Portfolio in accordance with the ethical requirements that are relevant to our audit of the financial statements in Canada. We have fulfilled our other ethical responsibilities in accordance with these requirements.

Other information

Management is responsible for the other information of each Portfolio. The other information comprises the Annual Management Report of Portfolio Performance of each Portfolio.

Our opinion on the financial statements does not cover the other information and we do not express any form of assurance conclusion thereon.

In connection with our audit of the financial statements of each Portfolio, our responsibility is to read the other information identified above and, in doing so, consider whether the other information is materially inconsistent with the financial statements of each Portfolio or our knowledge obtained in the audit, or otherwise appears to be materially misstated.

If, based on the work we have performed, we conclude that there is a material misstatement of this other information, we are required to report that fact. We have nothing to report in this regard.

Responsibilities of management and those charged with governance for the financial statements

Management is responsible for the preparation and fair presentation of the financial statements of each Portfolio in accordance with IFRS, 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.

In preparing the financial statements, management is responsible for assessing the ability of each Portfolio to continue as a going concern, disclosing, as applicable, matters related to going concern and using the going concern basis of accounting unless management either intends to liquidate any Portfolio or to cease operations, or has no realistic alternative but to do so.

Those charged with governance are responsible for overseeing the financial reporting process of each Portfolio.

Auditor’s responsibilities for the audit of the financial statements

Our objectives are to obtain reasonable assurance about whether the financial statements as a whole for each Portfolio are free from material misstatement, whether due to fraud or error, and to issue an auditor’s report that includes our opinion. Reasonable assurance is a high level of assurance, but is not a guarantee that an audit conducted in accordance with Canadian generally accepted auditing standards will always detect a material misstatement when it exists. Misstatements can arise from fraud or error and are considered material if, individually or in the aggregate, they could reasonably be expected to influence the economic decisions of users taken on the basis of the financial statements of each Portfolio.

3

As part of an audit in accordance with Canadian generally accepted auditing standards, we exercise professional judgment and maintain professional skepticism throughout the audit. We also:

Identify and assess the risks of material misstatement of the financial statements of each Portfolio, whether due to fraud or error, design and perform audit procedures responsive to those risks, and obtain audit evidence that is sufficient and appropriate to provide a basis for our opinion. The risk of not detecting a material misstatement resulting from fraud is higher than for one resulting from error, as fraud may involve collusion, forgery, intentional omissions, misrepresentations, or the override of internal control.

Obtain an understanding of internal control relevant to the audit 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 internal control of each Portfolio.

Evaluate the appropriateness of accounting policies used and the reasonableness of accounting estimates and related disclosures made by management.

Conclude on the appropriateness of management’s use of the going concern basis of accounting and, based on the audit evidence obtained, whether a material uncertainty exists related to events or conditions that may cast significant doubt on the ability of each Portfolio to continue as a going concern. If we conclude that a material uncertainty exists, we are required to draw attention in our auditor’s report to the related disclosures in the financial statements of each Portfolio or, if such disclosures are inadequate, to modify our opinion. Our conclusions are based on the audit evidence obtained up to the date of our auditor’s report. However, future events or conditions may cause any Portfolio to cease to continue as a going concern.

Evaluate the overall presentation, structure and content of the financial statements of each Portfolio, including the disclosures, and whether the financial statements represent the underlying transactions and events in a manner that achieves fair presentation.

We communicate with those charged with governance regarding, among other matters, the planned scope and timing of the audit and significant audit findings, including any significant deficiencies in internal control that we identify during our audit.

Chartered Professional Accountants, Licensed Public Accountants

Toronto, Ontario March 19, 2020

4

COMPASS CONSERVATIVE PORTFOLIOSTATEMENTS OF FINANCIAL POSITIONAS AT

December 31, 2019 December 31, 2018x

x

Assetsx

x

Current assetsx

Investments (Note 11) $ 1,796,672,364 $ 1,671,433,286x

Cash 15,424,933 6,245,056x

Amount receivable for units issued 1,054,636 879,920x

Amount receivable for securities sold 2,226 957,020x

Dividends and distributions receivable 340,309 441,239x

Interest receivable 7,513,746 7,180,167x

Amount receivable on open forward contracts (Note 10) 3,617,354 -xxx

Total Assets 1,824,625,568 1,687,136,688xx

xx

Liabilitiesx

x

Current liabilitiesx

Amount payable for securities purchased 3,521,768 9,981x

Amount payable on open forward contracts (Note 10) 164,642 6,495,520x

Amount payable for units redeemed 2,035,191 3,213,270x

Accrued expenses 602,602 572,881x

Distribution payable 422,316 645,564xxx

Total liabilities excluding net assets attributable to holders ofredeemable units

6,746,519 10,937,216

xxx

Net assets attributable to holders of redeemable units $ 1,817,879,049 $ 1,676,199,472xxx

Net assets attributable to holders of redeemable units, Series A $ 941,515,369 $ 891,986,091x

Redeemable units outstanding, Series A 68,627,828 68,979,331x

Net assets attributable to holders of redeemable units per unit, Series A $ 13.72 $ 12.93xxx

Net assets attributable to holders of redeemable units, Series O $ 345,631,451 $ 314,235,205x

Redeemable units outstanding, Series O 24,921,126 24,044,922x

Net assets attributable to holders of redeemable units per unit, Series O $ 13.87 $ 13.07xxx

Net assets attributable to holders of redeemable units, Series F1 $ 530,732,229 $ 469,978,176x

Redeemable units outstanding, Series F1 37,260,923 35,030,444x

Net assets attributable to holders of redeemable units per unit, Series F1 $ 14.24 $ 13.42xxx

See accompanying notes to financial statements

On Behalf of the Board of Directors of ATB Investment Management Inc.

( s i gned) " Chr i s Tur chansky" ( s i gned) " Ni ck Mawhi nney"

Chris Turchansky, President and Chief Executive Officer Nick Mawhinney, Chief Financial Officer

5

COMPASS CONSERVATIVE PORTFOLIOSTATEMENTS OF COMPREHENSIVE INCOMEFOR THE YEARS ENDED DECEMBER 31,

2019 2018x

x

Incomex

Net gain (loss) on investmentsx

Dividend Income $ 4,275,187 $ 5,013,503x

Income distribution from underlying funds 7,240,950 7,526,489x

Interest for distribution purposes 42,927,458 35,023,125x

Net realized gain on sale of investments 8,252,003 35,677,944x

Net change in unrealized appreciation (depreciation) on investments 80,623,746 (56,372,965)x

Capital gain distribution from underlying funds - 3,935,008xxx

Net gain (loss) on investments 143,319,344 30,803,104xxx

Net gain (loss) on derivativesx

Net realized gain (loss) on forward contracts 3,151,753 (6,768,380)x

Net change in unrealized appreciation (depreciation) on forward contracts 9,948,232 (8,741,417)xxx

Net gain (loss) on derivatives 13,099,985 (15,509,797)xxx

Other Incomex

Net realized gain (loss) on foreign currency transactions (261,206) 690,517x

Net change in unrealized appreciation (depreciation) on foreign currency translations (57,969) 42,836xxx

Other Income (319,175) 733,353xxx

Total Income (net) 156,100,154 16,026,660xxx

Expensesx

Management fees (Note 5) 13,711,030 13,830,481x

Administration expense (Note 8) 77,673 72,140x

Independent review committee fees (Note 8) 2,414 2,367x

Transfer agent expense 518,505 501,248x

Audit fees 43,255 35,248x

Legal fees 4,751 6,371x

Custodian fees 276,200 286,570x

Securityholder reporting fees 123,061 97,438x

Bank charges 2,774 3,786x

Withholding taxes 209,446 197,540x

Transaction costs (Note 7) 72,047 98,832xxx

Total Expenses 15,041,156 15,132,021xxx

Increase in net assets attributable to holders of redeemable units 141,058,998 894,639xxx

Increase (decrease) in net assets attributable to holders of redeemable units per Seriesx

Series A $ 70,409,457 $ (3,516,378)x

Series O 29,095,922 2,414,742x

Series F1 41,553,619 1,996,275xxx

Total increase in net assets attributable to holders of redeemable units 141,058,998 894,639xxx

Weighted average number of redeemable units per Seriesx

Series A 68,620,404 70,681,603x

Series O 23,879,119 22,685,984x

Series F1 35,517,179 34,652,078x

Increase (decrease) in net assets attributable to holders of redeemable units per unit per Seriesx

Series A $ 1.03 $ (0.05)x

Series O $ 1.22 $ 0.11x

Series F1 $ 1.17 $ 0.06xxx


6

COMPASS CONSERVATIVE PORTFOLIOSTATEMENTS OF CHANGES IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITSFOR THE YEARS ENDED DECEMBER 31,

2019 2018x

x

Net assets attributable to holders of redeemable units, beginning of yearx

Series A $ 891,986,091 $ 983,056,412x

Series O $ 314,235,205 $ 313,644,948x

Series F1 $ 469,978,176 $ 460,824,379x

Increase in net assets attributable to holders of redeemable unitsx

Series A 70,409,457 (3,516,378)x

Series O 29,095,922 2,414,742x

Series F1 41,553,619 1,996,275x

Distributions to holders of redeemable units from:x

Net Investment Incomex

Series A (16,150,661) (13,819,450)x

Series O (9,807,864) (8,366,696)x

Series F1 (12,576,670) (10,794,646)x

Capital gainsx

Series A - (12,585,526)x

Series O - (3,981,354)x

Series F1 - (6,470,320)x

Redeemable unit transactions:x

Proceeds for redeemable units issuedx

Series A 187,503,512 177,930,512x

Series O 62,834,782 68,554,791x

Series F1 124,023,549 132,524,236x

Reinvestment of distributions to holders of redeemable unitsx

Series A 16,007,615 26,166,208x

Series O 9,399,220 11,795,826x

Series F1 12,367,132 17,118,102x

Payments for redeemable units redeemedx

Series A (208,240,645) (265,245,687)x

Series O (60,125,814) (69,827,052)x

Series F1 (104,613,577) (125,219,850)x

xxx

Net assets attributable to holders of redeemable units, end of yearx

Series A $ 941,515,369 $ 891,986,091x

Series O $ 345,631,451 $ 314,235,205x

Series F1 $ 530,732,229 $ 469,978,176x

xxx

Redeemable units outstanding, beginning of yearx

Series A 68,979,331 73,514,695x

Series O 24,044,922 23,254,894x

Series F1 35,030,444 33,233,472x

Redeemable units issuedx

Series A 13,861,962 13,310,887x

Series O 4,587,034 5,063,347x

Series F1 8,809,839 9,551,725x

Reinvested from distributions to holders of redeemable unitsx

Series A 1,173,703 2,005,751x

Series O 681,831 893,190x

Series F1 873,851 1,262,691x

Redeemable units redeemedx

Series A (15,387,168) (19,852,002)x

Series O (4,392,661) (5,166,509)x

Series F1 (7,453,211) (9,017,444)x

xxx

Redeemable units outstanding, end of yearx

Series A 68,627,828 68,979,331x

Series O 24,921,126 24,044,922x

Series F1 37,260,923 35,030,444xxx


7

COMPASS CONSERVATIVE PORTFOLIOSTATEMENTS OF CASH FLOWSFOR THE YEARS ENDED DECEMBER 31,

2019 2018x

x

Cash flows from (used in) operating activitiesx

Increase in net assets attributable to holders of redeemable units $ 141,058,998 $ 894,639x

Adjustments for:x

Net unrealized foreign exchange (gain) loss on cash 709 (6,909)x

Non-cash distributions from underlying funds (3,230,571) (4,230,001)x

Proceeds from sale of investments 811,749,701 957,980,177x

Purchase of investments (840,215,256) (905,979,305)x

Net realized gain on sale of investments (8,252,003) (35,677,944)x

Net change in unrealized (appreciation) depreciation on investments (80,623,746) 56,372,965x

Net change in unrealized (appreciation) depreciation on forward contracts (9,948,232) 8,741,417x

Dividend income, net of withholding taxes (4,065,741) (4,815,963)x

Dividend received, net of withholding taxes 4,166,671 5,043,049x

Interest for distribution purposes (42,924,684) (35,019,339)x

Interest received (paid) 42,591,105 34,468,262x

Amortization income (200,622) (72,770)xxx

10,106,329 77,698,278xxx

Net change in non-cash working capital 29,721 (56,138)x

Net Cash from operating activities 10,136,050 77,642,140xxx

Cash flows from (used in) financing activitiesx

Proceeds from sale of redeemable units* 232,082,535 218,834,863x

Distributions to holders of redeemable units, net of reinvested distributions (984,476) (292,292)x

Payment on redemption of redeemable units* (232,053,523) (297,361,802)x

Net Cash used in financing activities (955,464) (78,819,231)xxx

Unrealized foreign exchange gain (loss) on cash (709) 6,909x

Net increase (decrease) in cash during the year 9,179,877 (1,170,182)xxx

Cash, beginning of year 6,245,056 7,415,238xxx

Cash, end of year $ 15,424,933 $ 6,245,056xxx

* Proceeds from sale of redeemable units and Payment on redemption of redeemable units for the years ended December 31,2019 and 2018 exclude non-cash switches of $142,104,592 (2018 - $159,829,721) and $(142,104,592) (2018 - $(159,829,721)),respectively.

x


8

COMPASS CONSERVATIVE PORTFOLIOSCHEDULE OF INVESTMENTSAS AT DECEMBER 31, 2019

Issuer/Description Shares/Units/Par Value Cost Carrying Value

Equities: (9.59%)x

3M Co. 3,560 $ 795,469 $ 815,561x

A.O. Smith Corporation 14,504 877,466 897,260x

Accenture PLC Cl. A 980 249,544 267,967x

Alimentation Couche-Tard Inc. Cl. B Sub. Voting 32,045 1,123,310 1,320,574x

Allegion PLC 7,757 880,200 1,254,473x

Allergan PLC 2,000 563,288 496,488x

Alphabet Inc. Cl. C 2,650 3,158,375 4,600,896x

Amazon.com, Inc. 580 892,209 1,391,717x

AmerisourceBergen Corporation 4,800 491,872 529,933x

AMETEK, Inc. 23,100 1,860,291 2,991,851x

Amphenol Corp. Cl. A 14,049 1,472,197 1,974,475x

Ansys Inc. 9,345 1,475,508 3,123,657x

AptarGroup, Inc. 15,551 1,866,701 2,334,801x

ATS Automation Tooling Systems Inc. 41,180 639,378 882,487x

Bank of Montreal 21,554 1,921,008 2,169,195x

Baxter International Inc. 15,700 1,310,334 1,704,781x

BCE Inc. 14,435 826,294 868,410x

Becton, Dickinson and Company 9,740 2,468,222 3,439,843x

BlackRock, Inc. 1,411 770,710 921,074x

Booking Holdings Inc. 560 1,331,360 1,493,448x

Brookfield Asset Management Inc. Cl. A Limited Voting 34,459 1,801,527 2,585,459x

CAE Inc. 14,254 504,821 490,053x

Canadian Imperial Bank of Commerce 7,696 796,820 831,630x

Canadian National Railway Company 16,403 1,417,177 1,926,860x

Canadian Natural Resources Ltd. 49,301 1,853,672 2,070,642x

Canadian Pacific Railway Company 5,650 1,166,968 1,870,319x

Canadian Tire Corporation, Limited Cl. A 3,450 448,885 482,138x

CCL Industries Inc. Cl. B 21,329 967,037 1,179,920x

Cerner Corporation 3,800 300,284 362,142x

CGI Inc. 8,840 916,667 960,643x

Cinemark Holdings, Inc. 9,400 446,672 413,186x

ClearStream Energy Services Inc. 320,219 147,301 14,410x

ClearStream Energy Services Inc. Preferred 5,802 5,803,797 5,802,000x

CME Group Inc. Cl. A 12,000 1,931,588 3,127,739x

Comcast Corporation Cl. A 55,797 2,876,272 3,258,310x

Constellation Software Inc. 773 408,776 974,877x

Cott Corporation 28,174 482,111 499,807x

CSX Corporation 7,818 521,870 734,603x

Danaher Corporation 1,410 265,932 281,015x

DENTSPLY SIRONA, Inc. 7,700 506,919 565,834x

Ecolab Inc. 4,100 809,062 1,027,489x

Enbridge Inc. 13,167 663,551 679,812x

Enghouse Systems Limited 20,837 844,900 1,003,927x

FactSet Research Systems Inc. 1,461 393,252 509,014x

Fairfax India Holdings Corporation 29,380 548,449 488,338x

Fastenal Company 17,700 862,943 849,271x

Finning International Inc. 57,978 1,526,989 1,466,843x

Fortis Inc. 16,276 778,995 876,951x

Gilead Sciences, Inc. 16,569 1,549,308 1,398,089x

Great-West Lifeco Inc. 17,716 586,679 589,234x

Hologic, Inc. 16,400 916,644 1,111,876

9

COMPASS CONSERVATIVE PORTFOLIOSCHEDULE OF INVESTMENTSAS AT DECEMBER 31, 2019 (CONTINUED)

Issuer/Description Shares/Units/Par Value Cost Carrying Valuex

Hydro One Limited 27,512 623,223 690,001x

iA Financial Corporation Inc. 5,709 252,206 407,223x

IAA, Inc. 34,878 1,482,365 2,131,386x

Intact Financial Corporation 4,548 616,492 638,630x

Intercontinental Exchange, Inc. 17,390 1,659,951 2,089,944x

Intuit Inc. 5,177 897,520 1,760,849x

Johnson & Johnson 13,500 2,168,314 2,557,163x

JPMorgan Chase & Co. 15,150 753,075 2,742,421x

KAR Auction Services, Inc. 24,140 564,623 683,051x

Linde Public Limited Company 5,500 953,589 1,520,537x

LKQ Corporation 11,653 508,519 540,213x

Loblaw Companies Limited 24,198 1,329,795 1,621,266x

Manulife Financial Corporation 43,599 1,029,644 1,149,270x

Marsh & McLennan Companies, Inc. 33,870 3,345,143 4,900,022x

MasterCard Incorporated Cl. A 5,780 949,510 2,241,103x

Metro Inc. 11,085 603,498 594,045x

Microsoft Corporation 18,230 2,821,125 3,733,164x

National Bank of Canada 13,515 953,974 974,161x

NFI Group Inc. 19,210 541,911 511,947x

Nielsen Holdings PLC 10,300 453,386 271,514x

Nike Inc. Cl. B 18,400 1,358,017 2,420,632x

Nutrien Ltd. 24,166 1,575,853 1,502,400x

Onex Corporation 4,890 351,220 401,811x

Open Text Corporation 10,769 396,183 616,202x

Oracle Corporation 3,000 185,918 206,392x

Parkland Fuel Corporation 15,054 703,812 718,226x

Paychex, Inc. 16,100 1,134,478 1,778,320x

PayPal Holdings, Inc. 3,460 259,343 486,006x

PepsiCo, Inc. 7,800 814,300 1,384,288x

Power Corporation of Canada 16,126 516,373 539,415x

PPG Industries Inc. 1,400 187,120 242,681x

PrairieSky Royalty Ltd. 14,900 406,954 226,927x

Quebecor Inc. Cl. B 14,789 495,931 490,107x

Restaurant Brands International Inc. 6,473 564,514 535,835x

Richelieu Hardware Ltd. 24,120 548,582 654,376x

Rogers Communications Inc. Cl. B 21,020 1,096,923 1,355,370x

Royal Bank of Canada 27,624 2,490,669 2,838,366x

RPM International, Inc. 11,779 930,303 1,174,092x

S&P Global, Inc. 6,260 1,196,491 2,219,602x

Saputo Inc. 28,896 1,064,520 1,161,619x

Shaw Communications Inc. Cl. B Non-Voting 37,188 992,741 979,904x

Shenandoah Telecommunications Company 9,334 424,015 504,341x

Shopify Inc. Cl. A 1,590 232,044 820,917x

Stantec Inc. 13,637 475,619 500,478x

State Street Corporation 23,700 1,848,221 2,434,353x

Stella-Jones Inc. 12,134 463,149 455,268x

Suncor Energy Inc. 48,634 1,957,381 2,069,863x

TC Energy Corporation 10,582 695,282 731,851x

TELUS Corporation 41,065 1,879,983 2,064,748x

Texas Instruments Incorporated 3,761 489,314 626,549x

The Bank of Nova Scotia 29,633 1,987,227 2,173,581

10



The Descartes Systems Group Inc. 7,800 238,692 432,900x

The Hershey Company 9,260 1,119,959 1,767,372x

The Procter & Gamble Company 18,930 1,891,693 3,070,236x

The Sherwin-Williams Company 1,200 544,809 909,307x

The Toronto-Dominion Bank 24,301 1,383,737 1,769,842x

Thomson Reuters Corporation 19,363 1,270,403 1,798,629x

TMX Group Limited 10,870 691,941 1,222,332x

Toromont Industries Ltd. 24,648 1,141,367 1,739,902x

TriMas Corporation 23,137 894,808 943,699x

Union Pacific Corporation 4,430 622,793 1,040,008x

United Technologies Corporation 6,688 1,016,456 1,300,621x

Verisk Analytics, Inc. Cl. A 19,820 2,058,468 3,843,603x

Verizon Communications Inc. 34,300 2,391,823 2,734,772x

Visa Inc. Cl. A 18,270 2,401,983 4,457,835x

Wabtec Corporation 2,880 377,977 290,958x

Waters Corporation 9,100 2,072,588 2,760,996x

Wells Fargo & Company 26,830 1,205,422 1,874,397x

West Pharmaceutical Services, Inc. 3,456 386,763 674,649x

Willis Towers Watson PLC 9,170 1,734,364 2,404,642x

Yellow Pages Limited 147,512 1,327,608 1,336,459xxx

133,023,601 174,356,911xx

Mutual Funds: (15.47%)x

BlackRock Canada Universe Bond Index Fund 3,975,696 $ 117,613,739 $ 117,667,311x

Mawer Canadian Equity Fund 991,500 41,970,893 71,745,015x

Mawer International Equity Fund 1,503,708 58,493,674 91,834,763xxx

218,078,306 281,247,089xx

Private Equities: (0.00%)x

Canadian Commercial Mortgage Origination Trust 3 Preferred 10,912 $ 10,912 $ 109x

Canadian Commercial Mortgage Origination Trust 4 Preferred 9,604 9,604 0x

Canadian Commercial Mortgage Origination Trust 5 Preferred 3,028 3,028 3,028xxx

23,544 3,137xx

Real Estate Investment Trust (REITs): (1.31%)x

Allied Properties Real Estate Investment Trust 43,000 $ 1,465,539 $ 2,239,010x

Artis Real Estate Investment Trust 43,600 484,490 518,840x

Boardwalk Real Estate Investment Trust 13,400 606,346 615,462x

Canadian Apartment Properties Real Estate Investment Trust 59,037 2,248,347 3,129,551x

Choice Properties Real Estate Investment Trust 145,644 1,630,548 2,025,908x

Cominar Real Estate Investment Trust 64,900 860,219 918,984x

Crombie Real Estate Investment Trust 32,100 403,202 511,674x

CT Real Estate Investment Trust 24,300 387,085 392,202x

Dream Industrial Real Estate I 40,900 470,167 537,426x

Dream Office Real Estate Investment Trust 16,618 363,937 517,318x

First Capital Real Estate Investment Trust 50,400 1,031,184 1,041,768x

Granite Real Estate Investment Trust 19,319 1,052,781 1,274,668x

H&R Real Estate Investment Trust 127,725 2,594,601 2,694,998x

InterRent Real Estate Investment Trust 43,300 542,197 677,212x

Killam Apartment Real Estate Investment Trust 34,849 499,234 660,040x

Northview Apartment Real Estate Investment Trust 21,576 441,287 639,513x

NorthWest Healthcare Properties Real Estate Investment Trust 43,400 489,462 517,762

11



RioCan Real Estate Investment Trust 112,600 2,656,623 3,013,176x

SmartCentres Real Estate Investment Trust 45,600 1,247,172 1,423,176x

Summit Industrial Income Real Estate Investment Trust 41,000 476,990 494,460xxx

19,951,411 23,843,148xx

Fixed Income: (71.77%)x

407 International Inc. 6.75% Jul 27/39 1,802,132 $ 2,425,006 $ 2,454,301x

407 International Inc. 7.13% Jul 26/40 2,864,000 4,319,483 4,530,733x

Anheuser-Busch InBev Finance Inc. 2.60% May 15/24 2,154,000 2,025,200 2,154,163x

Apple Inc. 2.51% Aug 19/24 42,805,000 42,865,344 43,239,121x

Arrow Lakes Power 5.52% Apr 05/41 299,613 343,788 364,160x

AT&T Inc. 3.07% Jun 12/24** 16,969,000 22,332,901 22,431,843x

AT&T Inc. 4.85% May 25/47 9,375,000 9,355,642 9,968,085x

AT&T Inc. 5.10% Nov 25/48 5,079,000 5,372,278 5,615,116x

Bank of Montreal 2.16% Feb 01/24 80,595,000 80,499,696 80,847,521x

Bankers Hall LP 4.38% Nov 20/23 1,832,503 1,914,453 1,870,894x

BCE Coupon Strip 0.00% May 15/28 570,000 429,371 421,962x

BCE Coupon Strip 0.00% May 15/29 1,131,000 816,016 801,332x

BCE Coupon Strip 0.00% May 15/31 2,353,000 1,548,482 1,500,485x

Bell Canada 7.30% Feb 23/32 703,000 926,174 956,689x

Bell Canada 6.17% Feb 26/37 555,000 720,989 720,567x

Black Press Group Ltd. 0.00% Mar 29/24 4,024,333 4,024,333 3,560,126x

BNG Bank NV 5.15% Mar 07/25 789,000 938,448 897,467x

Bombardier Inc. 6.13% Jan 15/23** 141,000 180,685 188,146x

British Columbia Ferry Services Inc. 5.02% Mar 20/37 2,490,000 3,299,355 3,191,259x

BZ Holdings 3.00% May 22/22** 2,346,000 2,865,874 3,046,398x

Canadian Commercial Mortgage Origination Trust 3 2.19% Jun 12/20 18,650,596 18,650,331 18,623,552x

Canadian Commercial Mortgage Origination Trust 3 0.29% Aug 12/20 49,245,037 1,109,077 34,472x

Canadian Commercial Mortgage Origination Trust 3 2.45% Aug 12/20 6,168,102 6,167,990 6,158,233x


Canadian Commercial Mortgage Origination Trust 3 2.66% Sep 12/20 6,838,331 6,626,981 6,786,347x

Canadian Commercial Mortgage Origination Trust 3 2.66% Mar 12/21 5,128,114 3,151,730 4,668,672x

Canadian Commercial Mortgage Origination Trust 4 0.32% May 12/50 80,735,839 1,458,339 1,207,808x





Canadian Imperial Bank of Commerce 2.23% Dec 08/20 2,399,000 2,406,149 2,404,018x

Canadian Mortgage Pools 2.27% Jul 01/20 754,281 751,377 755,146x

Canadian Mortgage Pools 2.32% Sep 01/21 1,653,108 1,645,454 1,658,370x

Canadian Mortgage Pools 1.70% Feb 01/22 2,547,290 2,540,285 2,534,151x


Canadian Mortgage Pools 1.92% Jul 01/23 1,316,436 1,308,498 1,312,324x

Canadian Mortgage Pools 2.02% Aug 01/23 3,078,206 3,073,373 3,074,546x

Canadian Mortgage Pools 2.02% Nov 01/23 1,073,726 1,073,135 1,071,975x







Canadian Mortgage Pools 1.93% Sep 01/24 11,368,699 11,312,651 11,318,023

12



Canadian Pacific Railway Company 6.91% Oct 01/24 1,052,358 1,241,247 1,173,021x

CBC Monetization Trust 4.69% May 15/27 956,612 1,064,742 1,039,074x

Cigna Corporation 2.89% Jul 15/23** 1,971,000 2,547,736 2,574,802x

ClearStream Energy Services Inc. 8.00% Mar 23/26 4,851,200 4,851,200 4,366,080x

Cogeco Cable Inc. 5.15% Nov 16/20 817,000 864,193 836,202x

Cogeco Communications Inc. 4.93% Feb 14/22 4,420,000 4,758,464 4,627,876x

Cogeco Communications Inc. 4.18% May 26/23 22,077,000 22,728,471 23,000,081x

CSS FSCC Partnership 6.92% Jul 31/42 2,381,723 3,168,683 3,213,954x

Element Fleet Management Corp. 4.25% Jun 30/20 4,512,000 4,367,941 4,533,206x

Element Fleet Management Corp. 4.25% Jun 30/24 907,000 907,000 1,042,279x

Enbridge Gas Inc. 8.65% Nov 10/25 597,000 795,998 791,841x


Enbridge Gas Inc. 6.10% May 19/28 188,000 227,209 233,877x

Enbridge Gas Inc. 4.50% Nov 23/43 999,000 1,226,103 1,240,100x

Enbridge Gas Inc. 4.00% Aug 22/44 931,000 1,068,080 1,079,371x


Enbridge Gas Inc. 3.51% Nov 29/47 931,000 995,667 1,011,810x

Enbridge Inc. 4.53% Mar 09/20 259,000 273,711 260,087x

Enbridge Inc. 3.50% Jun 10/24** 432,000 522,224 585,373x

Enbridge Inc. 7.20% Jun 18/32 286,000 384,647 381,905x

Enbridge Inc. 4.24% Aug 27/42 4,839,000 4,975,263 5,049,811x

Enbridge Inc. 4.57% Mar 11/44 1,039,000 1,117,352 1,138,489x

Enbridge Inc. 4.87% Nov 21/44 7,634,000 8,680,401 8,717,988x

Enbridge Pipelines Inc. 8.20% Feb 15/24 497,000 656,010 601,106x

EUROFIMA 4.55% Mar 30/27 4,347,000 4,867,604 4,998,878x

First National Canadian Mortgage Pools 2.40% Feb 01/24 3,043,858 3,076,884 3,071,862x

First National Canadian Mortgage Pools 2.65% Oct 01/27 528,300 520,751 536,945x

Ford Credit Canada Company 5.00% Jan 10/22 10,344,000 10,352,506 10,668,252x

Ford Credit Canada Company 5.19% Mar 21/24 21,159,000 21,159,086 21,769,226x

Ford Motor Credit Company LLC 5.18% Jan 07/22** 10,557,000 14,232,947 14,170,396x

GE Capital Canada Funding Company 4.60% Jan 26/22 19,000,000 19,015,556 19,654,527x

GE Capital Canada Funding Company 2.32% Feb 15/22 12,849,000 12,183,643 12,680,748x


GE Capital Canada Funding Company 5.73% Oct 22/37 517,000 494,405 583,397x

General Electric Company 2.80% Apr 15/20** 518,000 670,674 673,538x

General Electric Company 2.89% Mar 15/23** 2,086,000 2,629,537 2,720,160x

General Electric Company 3.00% Apr 15/23** 1,439,000 1,817,289 1,870,147x

General Electric Company 2.27% May 05/26** 5,997,000 6,937,794 7,401,630x

General Electric Company 5.88% Jan 14/38** 1,936,000 2,435,733 3,060,412x

General Electric Company Jan 10/39** 1,099,000 1,489,997 1,910,423x

Greater Toronto Airports Authority 2.73% Apr 03/29 3,600,000 3,762,457 3,673,482x

Greater Toronto Airports Authority 6.45% Jul 30/29 3,706,025 4,590,753 4,447,789x

Greater Toronto Airports Authority 2.75% Oct 17/39 17,850,000 17,825,367 17,717,230x

Heathrow Funding Limited 3.00% Jun 17/23 7,548,000 7,584,756 7,625,695x

Honda Canada Finance Inc. 2.50% Apr 17/20 8,787,000 8,799,358 8,798,537x

Honda Canada Finance Inc. 2.35% Aug 28/20 6,055,000 6,079,498 6,067,640x

Honda Canada Finance Inc. 2.30% Dec 18/20 12,706,000 12,727,516 12,727,264x

Honda Canada Finance Inc. 2.38% Sep 13/21 5,339,000 5,339,000 5,354,970x

Hydro One Inc. 1.62% Apr 30/20 2,534,000 2,521,127 2,531,496x

Hydro One Inc. 7.35% Jun 03/30 1,487,000 2,148,879 2,091,591x

Hydro One Inc. 6.93% Jun 01/32 743,000 1,082,774 1,056,263

13



InPower BC General Partnership 4.47% Mar 31/33 2,906,823 3,056,549 3,117,258x

Kaupthing ehf. 0.00% Jan 18/31* 145 0 280x

KfW 1.38% Jan 28/20 2,418,000 2,410,281 2,417,104x

KfW 5.05% Feb 04/25 4,437,000 5,313,902 5,064,508x

Kraft Canada Inc. 3.02% Jul 06/20 30,222,000 30,233,433 30,346,817x

Lehman Brothers Holdings Inc. 4.85% Dec 31/99** 117,000 0 2,279x

Lloyds Bank PLC 2.38% May 07/21** 1,173,000 1,520,233 1,528,531x

Lloyds Bank PLC 2.53% Jul 11/23 43,920,000 43,917,556 43,722,799x

Lloyds Banking Group PLC 3.50% Feb 03/25 4,916,000 4,874,857 5,037,596x

Loblaw Companies Limited 0.00% Jun 07/25 720,000 594,523 603,109x


Loblaw Companies Limited 0.00% May 23/27 2,124,000 1,611,407 1,577,306x

Loblaw Companies Limited 4.49% Dec 11/28 1,735,000 1,735,000 1,911,919x

Loblaw Companies Limited 6.50% Jan 22/29 1,026,000 1,288,164 1,275,608x

Loblaw Companies Limited 6.85% Mar 01/32 1,401,000 1,744,445 1,839,858x

Loblaw Companies Limited 6.54% Feb 17/33 3,146,000 3,870,526 4,085,394x

Loblaw Companies Limited 6.05% Jun 09/34 2,091,000 2,532,053 2,643,800x


Magna International, Inc. 3.10% Dec 15/22 4,945,000 5,006,052 5,019,121x

Maple Leaf Sports & Entertainment, Ltd. 4.94% Jun 30/23 2,000,000 1,999,520 2,079,164x

Maxar Technologies Ltd. Term Loan B 0.00% Oct 04/24** 6,403,396 6,873,307 8,020,649x

MCAP Service 2.45% Apr 01/21 680,944 680,787 684,163x

MCAP Service 2.19% Mar 01/23 1,780,185 1,783,105 1,786,113x

MCAP Service 1.90% Dec 01/23 4,568,606 4,539,616 4,542,409x

MCAP Service 2.05% May 01/24 8,779,769 8,758,697 8,779,057x

Merrill Lynch 2.27% Aug 01/20 988,047 979,105 989,499x

Merrill Lynch 2.17% May 01/22 7,043,310 7,018,869 7,062,538x

Merrill Lynch 2.17% Jun 01/22 4,786,731 4,771,462 4,800,287x

Merrill Lynch Canadian Mortgage Pools 2.36% Oct 01/20 2,418,212 2,403,823 2,423,515x

Merrill Lynch Canadian Mortgage Pools 1.80% Jan 01/24 10,310,589 10,205,421 10,238,827x

Merrill Lynch Financial Asset Inc. 6.67% May 07/21 327,878 361,846 334,526x

Merrill Lynch Inc. 2.07% Jun 01/20 3,354,989 3,345,092 3,354,872x

Merrill Lynch Mortgage Investors Trust 2.32% Jun 01/21 1,533,905 1,526,497 1,533,758x

Metro Inc. 2.54% Feb 27/20 1,366,000 1,374,108 1,366,602x

Metro Inc. 5.03% Dec 01/44 255,000 304,631 308,034x

Metro Inc. 4.27% Dec 04/47 2,278,000 2,481,269 2,489,208x

Metropolitan Life Global Funding I 3.11% Apr 16/21 7,642,000 7,744,047 7,729,129x

Metropolitan Life Global Funding I 2.56% Sep 27/22 6,100,000 6,100,000 6,142,639x

National Bank of Canada 2.03% Jun 12/20 1,100,000 1,100,110 1,100,022x

NAV Canada 7.56% Mar 01/27 1,303,200 1,627,200 1,532,620x

NAV Canada 7.40% Jun 01/27 5,592,000 7,679,483 7,477,185x

NAV Canada 3.29% Mar 30/48 1,581,000 1,782,103 1,734,092x

Navient Corporation 5.63% Aug 01/33** 2,341,000 2,635,331 2,621,379x

Nederlandse Waterschapsbank NV 5.20% Mar 31/25 579,000 672,929 659,258x

Nederlandse Waterschapsbank NV 4.55% Mar 16/29 953,000 1,040,708 1,122,929x

New Brunswick FM Project Inc. 6.47% Nov 30/27 1,602,397 1,972,511 1,859,724x

North Battleford Power LP 4.96% Dec 31/32 3,633,533 4,007,186 4,050,000x

NOVA Gas Transmission Ltd. 9.90% Dec 16/24 1,531,000 2,092,341 2,016,369x

Ornge Issuer Trust 5.73% Jun 11/34 2,279,171 2,639,587 2,649,600x

Pembina Pipeline Corporation 3.71% Aug 11/26 250,000 245,004 259,853x

Pembina Pipeline Corporation 3.31% Feb 01/30 7,533,000 7,540,520 7,506,579

14



Pembina Pipeline Corporation 4.75% Mar 26/48 989,000 1,075,013 1,090,630x

Pembina Pipeline Corporation 4.54% Apr 03/49 4,528,000 4,796,613 4,846,904x

PepsiCo, Inc. 2.15% May 06/24 13,299,000 13,214,057 13,256,084x

Plenary Properties LTAP LP 6.29% Jan 31/44 554,452 709,357 734,732x

Postmedia Network Inc. 8.25% Jul 15/23 4,081,614 4,130,117 4,063,369x

PSPIB-RE Summit Inc. 3.27% Jun 12/43 3,786,848 3,817,774 3,789,499x

Republic of Austria 5.38% Dec 01/34 6,975,000 8,939,439 9,313,198x

Royal Bank of Canada 2.41% Mar 23/20 9,521,000 9,521,459 9,529,905x

Royal Bank of Canada 2.20% Jun 27/23 43,425,000 43,425,000 43,534,736x

Royal Bank of Canada 2.16% Jun 29/85** 2,360,000 1,532,446 2,413,355x

Royal Bank of Scotland Group PLC 5.13% May 28/24** 647,000 701,830 910,894x

Scotia Capital Canadian Mortgage Pools 2.05% Feb 01/24 11,776,774 11,734,261 11,760,899x

Shaw Communications Inc. 6.75% Nov 09/39 16,353,000 20,149,827 22,059,112x

SNC-Lavalin Group Inc. 2.69% Nov 24/20 4,969,000 4,971,401 4,962,500x

SNC-Lavalin Group Inc. 2.51% Mar 02/21 3,550,000 3,551,363 3,523,162x

SNC-Lavalin Group Inc. 3.24% Mar 02/23 215,000 210,653 211,450x

Sobeys Inc. 4.70% Aug 08/23 7,261,000 7,460,042 7,684,538x

Sobeys Inc. 6.06% Oct 29/35 2,224,000 2,251,227 2,623,730x

Sobeys Inc. 5.79% Oct 06/36 2,221,000 2,203,386 2,551,905x

Sobeys Inc. 6.64% Jun 07/40 1,350,000 1,411,003 1,719,348x

Spy Hill Power LP 4.14% Mar 31/36 265,558 291,190 281,113x

SSL Robotics LLC 9.75% Dec 31/23** 25,058,000 32,480,104 35,467,582x

Strait Crossing Development Inc. 6.17% Sep 15/31 2,287,046 2,477,885 2,492,436x

Stuart Olson Inc. 7.00% Sep 20/24 2,585,000 2,585,000 2,346,922x

Sun Life Assurance Company of Canada 6.30% May 15/28 2,335,000 2,897,724 2,938,024x

TELUS Communications Inc. 8.80% Sep 22/25 2,312,000 3,307,607 2,978,495x

TELUS Corporation 4.85% Apr 05/44 3,842,000 4,426,368 4,375,495x

TELUS Corporation 4.70% Mar 06/48 2,729,000 3,121,921 3,069,482x

The Bank of Nova Scotia 2.15% Apr 02/20 6,400,000 6,400,192 6,403,924x

The Bank of Nova Scotia 2.16% Aug 31/85** 3,790,000 3,128,165 4,121,760x

The Manufacturers Life Insurance Company 2.64% Jan 15/25 10,181,000 10,193,215 10,182,586x

The Manufacturers Life Insurance Company 2.10% Jun 01/25 13,562,000 13,496,200 13,556,799x


The Manufacturers Life Insurance Company 3.18% Nov 22/27 3,908,000 3,998,426 3,995,393x

The Toronto-Dominion Bank 2.50% Feb 18/20 2,208,000 2,216,871 2,209,369x

The Toronto-Dominion Bank 1.68% Jun 08/21 21,777,000 21,554,072 21,681,917x


TransCanada PipeLines Limited 8.29% Feb 05/26 250,000 325,670 322,267x

TransCanada PipeLines Limited 6.89% Aug 07/28 1,098,000 1,399,571 1,391,651x

TransCanada PipeLines Limited 4.55% Nov 15/41 1,115,000 1,234,082 1,236,942x

TransCanada PipeLines Limited 4.18% Jul 03/48 9,034,000 9,346,868 9,584,168x

TransCanada PipeLines Limited 4.12% May 15/67** 10,907,000 12,882,162 11,871,380x

TWDC Enterprises 18 Corp. 2.76% Oct 07/24 19,139,000 19,027,340 19,568,805x

UniCredit SPA 5.90% Jan 14/22** 7,990,000 10,608,323 10,879,892x

UniCredit SPA 3.75% Apr 12/22** 7,851,000 9,868,532 10,451,143x


University Health Network 5.64% Dec 08/22 964,282 1,081,827 1,010,719x

University of Ontario Institute of Technology 6.35% Oct 15/34 1,301,496 1,529,167 1,553,875x

Videotron, Ltd. 5.63% Jun 15/25 3,239,000 3,388,186 3,491,035x

Videotron, Ltd. 5.75% Jan 15/26 4,231,000 4,458,389 4,450,483x

Videotron, Ltd. 4.50% Jan 15/30 5,418,000 5,418,000 5,490,466

15



VW Credit Canada, Inc. 2.57% Mar 30/20 7,750,000 7,757,564 7,755,829x

VW Credit Canada, Inc. 2.74% Sep 27/21 6,069,000 6,069,246 6,088,433x

Westcoast Energy Inc. 8.85% Jul 21/25 731,000 966,440 955,355x

WTH Car Rental, ULC 1.91% Jul 20/20 947,000 933,051 946,148x

WTH Car Rental, ULC 2.78% Jan 20/25 4,647,000 4,672,978 4,674,075x

Yellow Pages Digital & Media Solutions Limited 8.00% Nov 30/22 2,619,611 2,180,235 2,672,003xxx

1,285,545,538 1,304,699,567xx

Short Term Investments: (0.69%)x

Government of Canada 1.62% Feb 06/20 69,000 $ 68,887 $ 68,887x

Government of Canada 1.62% Mar 05/20 4,664,000 4,650,566 4,650,566x

Government of Canada 1.57% Jan 23/20 6,326,000 6,319,788 6,319,788x

Government of Canada 1.63% Mar 19/20 55,000 54,807 54,807x

Province of Saskatchewan 1.72% Feb 11/20 125,000 124,753 124,753x

United States Treasury Bill 1.53% Mar 12/20 1,007,000 1,323,710 1,303,711xxx

12,542,511 12,522,512xxx

Total Investments: 98.83% $ 1,669,164,911 $ 1,796,672,364xxx

Forward currency contracts: 0.19% (Note 10) 3,452,712x

Other Net Assets (Liabilities): 0.98% 17,753,973xxx

Net Assets: 100% $ 1,817,879,049xxx

*Indicates Par value denominated in GBP**Indicates Par value denominated in USD

16

COMPASS CONSERVATIVE BALANCED PORTFOLIOSTATEMENTS OF FINANCIAL POSITIONAS AT


x

Assetsx

x

Current assetsx


Cash 16,605,561 16,285,550x

Amount receivable for units issued 7,142,561 4,357,626x

Amount receivable for securities sold - 1,705,118x

Dividends and distributions receivable 2,255,810 2,575,722x


Amount receivable on open forward contracts (Note 10) 10,360,333 30,825xxx

Total Assets 5,408,601,732 4,792,275,488xx

xx

Liabilitiesx

x


Amount payable for securities purchased 9,083,070 2,917,146x



Accrued expenses 1,737,048 1,597,418x

Distribution payable 1,755,783 1,081,241xxx


17,198,735 22,186,481

xxx


Net assets attributable to holders of redeemable units, Series A $ 2,271,827,068 $ 2,079,170,069x



Net assets attributable to holders of redeemable units, Series O $ 1,331,212,852 $ 1,122,649,136x



Net assets attributable to holders of redeemable units, Series F1 $ 1,788,363,077 $ 1,568,269,802x







17

COMPASS CONSERVATIVE BALANCED PORTFOLIOSTATEMENTS OF COMPREHENSIVE INCOMEFOR THE YEARS ENDED DECEMBER 31,

2019 2018x

x

Incomex





Management fee distribution from underlying funds 38,077 -x

Net realized gain (loss) on sale of investments 109,836,407 114,585,989x


Capital gain distribution from underlying funds 16,264,335 28,059,648xxx

Net gain (loss) on investments 517,223,889 14,016,780xxx


Net realized gain (loss) on forward contracts 3,061,249 (16,992,686)x



Other Incomex

Net realized gain (loss) on foreign currency transactions (568,598) 2,014,696x


Other Income (716,463) 2,120,770xxx

Total Income (net) 543,081,920 (20,419,211)xxx

Expensesx




Transfer agent expense 1,341,886 1,226,580x

Audit fees 126,997 98,248x





Withholding taxes 1,184,655 1,045,824x

Transaction costs (Note 7) 1,027,325 1,310,951xxx


Increase (decrease) in net assets attributable to holders of redeemable units 493,460,965 (67,998,373)xxx


Series A $ 197,218,041 $ (43,400,364)x

Series O 128,531,013 (5,807,161)x

Series F1 167,711,911 (18,790,848)xxx

Total increase (decrease) in net assets attributable to holders of redeemable units 493,460,965 (67,998,373)xxx


Series A 128,808,736 125,447,700x

Series O 69,353,196 63,020,328x

Series F1 98,273,262 90,154,800x


Series A $ 1.53 $ (0.35)x

Series O $ 1.85 $ (0.09)x

Series F1 $ 1.71 $ (0.21)xxx


18

COMPASS CONSERVATIVE BALANCED PORTFOLIOSTATEMENTS OF CHANGES IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITSFOR THE YEARS ENDED DECEMBER 31,

2019 2018x

x


Series A $ 2,079,170,069 $ 2,151,101,845x

Series O $ 1,122,649,136 $ 1,056,269,557x

Series F1 $ 1,568,269,802 $ 1,426,205,707x

Increase (decrease) in net assets attributable to holders of redeemable unitsx

Series A 197,218,041 (43,400,364)x

Series O 128,531,013 (5,807,161)x

Series F1 167,711,911 (18,790,848)x



Series A (27,932,959) (26,881,375)x

Series O (34,778,895) (31,429,304)x

Series F1 (37,581,431) (34,057,682)x

Capital gainsx

Series A (28,022,522) (40,647,258)x

Series O (16,051,776) (21,209,544)x

Series F1 (21,900,046) (29,720,602)x



Series A 438,041,374 486,749,107x

Series O 200,980,635 211,857,911x

Series F1 416,180,009 472,974,511x


Series A 55,723,859 67,207,694x

Series O 49,810,964 52,168,204x

Series F1 58,550,894 63,176,672x


Series A (442,370,794) (514,959,580)x

Series O (119,928,225) (139,200,527)x

Series F1 (362,868,062) (311,517,956)x

xxx


Series A $ 2,271,827,068 $ 2,079,170,069x

Series O $ 1,331,212,852 $ 1,122,649,136x

Series F1 $ 1,788,363,077 $ 1,568,269,802x

xxx


Series A 128,307,195 125,867,409x

Series O 66,938,489 59,770,884x

Series F1 95,315,845 82,276,102x


Series A 25,636,461 28,531,340x

Series O 11,296,943 11,989,982x

Series F1 23,904,199 27,252,063x


Series A 3,221,317 4,106,658x

Series O 2,782,595 3,064,040x

Series F1 3,335,450 3,788,375x


Series A (25,873,816) (30,198,212)x

Series O (6,757,555) (7,886,417)x

Series F1 (20,805,048) (18,000,695)x

xxx


Series A 131,291,157 128,307,195x

Series O 74,260,472 66,938,489x

Series F1 101,750,446 95,315,845xxx


19

COMPASS CONSERVATIVE BALANCED PORTFOLIOSTATEMENTS OF CASH FLOWSFOR THE YEARS ENDED DECEMBER 31,

2019 2018x

x


Increase (decrease) in net assets attributable to holders of redeemable units $ 493,460,965 $ (67,998,373)x

Adjustments for:x



Proceeds from sale of investments 2,341,882,565 2,517,898,691x

Purchase of investments (2,562,032,189) (2,792,083,470)x









(126,777,203) (206,057,303)xxx


Net Cash used in operating activities (126,637,573) (206,111,024)xxx



Distributions to holders of redeemable units, net of reinvested distributions (1,507,370) (311,954)x


Net Cash from financing activities 126,958,527 208,008,273xxx


Net increase in cash during the year 320,011 1,906,954xxx




x


20

COMPASS CONSERVATIVE BALANCED PORTFOLIOSCHEDULE OF INVESTMENTSAS AT DECEMBER 31, 2019


Equities: (14.40%)x

3M Co. 9,070 $ 2,046,429 $ 2,077,848x

A.O. Smith Corporation 36,963 2,370,677 2,286,639x

Absolute Software Corporation 8,480 64,808 73,776x

Accenture PLC Cl. A 2,600 665,504 710,933x

Adyen NV 590 585,939 628,210x

AIA Group Limited 115,200 1,365,152 1,570,358x

Air Liquide SA 19,488 2,850,726 3,582,300x

Alaris Royalty Corp. 6,488 164,331 142,282x

Alcon Inc. 5,732 440,779 421,463x

ALD SA 61,702 1,207,703 1,243,858x


Allegion PLC 19,465 2,793,894 3,147,907x

Allergan PLC 5,010 1,071,727 1,243,701x


AltaGas Canada Inc. 4,390 115,338 146,494x

Altus Group, Ltd. 10,090 259,657 383,016x

Amadeus IT Group, SA 12,386 1,313,119 1,313,402x

Amazon.com, Inc. 1,460 3,482,515 3,503,288x

AmerisourceBergen Corporation 12,239 1,359,260 1,351,219x

AMETEK, Inc. 58,530 7,109,003 7,580,652x


Andlauer Healthcare Group Inc. 3,883 65,831 77,854x

Andrew Peller Limited Cl. A 10,283 139,415 121,442x

Anheuser-Busch InBev SA 13,106 1,341,553 1,388,033x

Ansys Inc. 23,540 6,569,667 7,868,475x

Aon PLC Cl. A 19,350 3,855,204 5,233,691x

AptarGroup, Inc. 39,700 5,927,898 5,960,493x

ASSA ABLOY AB Series B 100,007 2,520,928 3,036,427x

ATS Automation Tooling Systems Inc. 106,670 1,672,198 2,285,938x

Badger Daylighting, Ltd. 3,253 110,905 114,310x



BCE Inc. 37,440 2,150,782 2,252,390x


BlackRock, Inc. 3,620 2,247,940 2,363,068x

Booking Holdings Inc. 1,400 3,394,819 3,733,620x


Bunzl PLC 80,743 3,106,484 2,867,928x

CAE Inc. 90,854 3,217,598 3,123,561x

Calian Group, Ltd. 3,673 125,974 141,410x

Canadian Imperial Bank of Commerce 117,256 12,596,931 12,670,683x




Canadian Tire Corporation, Limited Cl. A 62,744 8,528,387 8,768,474x

Canadian Western Bank 5,307 143,089 169,240x

CCL Industries Inc. Cl. B 100,233 5,116,821 5,544,890x


CES Energy Solutions Corp. 66,898 293,260 155,872x

CGI Inc. 23,000 2,392,561 2,499,410x

China Mobile Limited 93,000 1,153,038 1,015,120

21

COMPASS CONSERVATIVE BALANCED PORTFOLIOSCHEDULE OF INVESTMENTSAS AT DECEMBER 31, 2019 (CONTINUED)


Cinemark Holdings, Inc. 23,950 1,187,033 1,052,744x




Cogeco Inc. 3,720 291,501 387,215x

Colliers International Group Inc. 3,380 236,822 341,718x


Compass Group PLC 67,406 2,087,490 2,191,310x

Constellation Software Inc. 2,055 1,186,616 2,591,684x

Cott Corporation 179,103 3,061,473 3,177,287x

Croda International PLC 23,129 1,902,386 2,036,902x

CSX Corporation 19,750 1,931,349 1,855,771x

Currency Exchange International, Corp. 1,101 28,612 19,818x


DBS Group Holdings Limited 80,500 1,825,120 2,011,466x

DENTSPLY SIRONA, Inc. 19,270 1,429,595 1,416,055x

Deutsche Boerse AG 10,513 1,754,114 2,146,126x

Diageo PLC 23,719 1,276,680 1,305,743x

Ecolab Inc. 10,320 2,577,730 2,586,266x

Element Fleet Management Corp. 31,461 290,984 348,902x

Enbridge Inc. 176,232 8,387,205 9,098,858x

Enghouse Systems Limited 120,162 4,719,737 5,789,405x

Equitable Group Inc. 4,533 293,553 495,684x

FactSet Research Systems Inc. 3,750 1,323,966 1,306,504x

Fairfax India Holdings Corporation 78,530 1,462,996 1,305,282x

Fastenal Company 44,500 2,169,548 2,135,173x


First National Financial Corporation 1,882 60,834 71,667x

FirstService Corporation 1,815 160,952 219,415x

Fortis Inc. 228,925 11,185,173 12,334,479x

FUCHS PETROLUB SE 19,722 1,103,448 1,147,633x

FUCHS PETROLUB SE Preferred 23,488 1,391,217 1,510,812x

Fuyao Glass Industry Group Co., Ltd. Cl. H 154,800 644,630 615,251x

GDI Integrated Facility Services Inc., Sub. Voting 5,703 87,809 192,932x

Gildan Activewear Inc. Cl. A 166,175 6,077,918 6,379,458x


Glanbia PLC 84,048 1,906,624 1,256,059x

Great-West Lifeco Inc. 112,464 3,726,425 3,740,553x

Halma PLC 54,914 1,215,373 1,998,675x

HLS Therapeutics Inc. 11,898 207,308 303,399x

Hologic, Inc. 41,500 2,583,956 2,813,588x

Hydro One Limited 70,832 1,608,187 1,776,467x

iA Financial Corporation Inc. 15,109 698,423 1,077,725x

IAA, Inc. 87,823 4,583,005 5,366,843x

IHS Markit, Ltd. 9,700 643,002 949,104x

Intact Financial Corporation 85,298 11,637,073 11,977,545x


InterContinental Hotels Group PLC 30,673 2,278,846 2,747,708x

Intertape Polymer Group Inc. 7,401 153,111 123,005x

Intertek Group PLC 31,582 2,424,592 3,178,976x

Intuit Inc. 13,100 4,474,830 4,455,693

22



Jamieson Wellness, Inc. 12,603 255,993 324,527x

Japan Exchange Group, Inc. 79,700 1,759,366 1,838,335x


JPMorgan Chase & Co. 38,130 6,094,293 6,902,211x

KAR Auction Services, Inc. 61,110 1,774,841 1,729,132x

Kerry Group PLC Cl. A 6,899 934,495 1,116,440x

Kinaxis Inc. 1,630 109,249 163,033x

Knight Therapeutics Inc. 532 4,318 4,033x

Kone OYJ Series B 14,610 915,107 1,240,238x

Legrand SA 16,178 1,537,781 1,711,733x

LG Household & Health Care, Ltd. Preferred 1,655 1,293,606 1,432,795x

Linde Public Limited Company 13,720 3,563,036 3,793,049x

LKQ Corporation 23,970 995,897 1,111,207x


LVMH Moet Hennessy Louis Vuitton SA 5,033 2,725,007 3,036,494x

Magna International Inc. 86,225 5,976,234 6,139,220x

Mainstreet Equity Corp. 5,839 236,102 461,281x



MasterCard Incorporated Cl. A 14,560 5,156,288 5,645,408x

Metro Inc. 70,458 3,841,431 3,775,844x


Morguard Corporation 275 54,455 55,275x

Morneau Shepell, Inc. 10,440 205,228 352,768x

MTY Food Group Inc. 8,694 423,193 482,430x

National Bank of Canada 195,870 13,830,205 14,118,310x

Neo Performance Materials Inc. 13,820 158,310 170,677x

Nestlé SA 13,186 1,853,753 1,853,807x

New Look Vision Group Inc. Cl. A 7,533 243,275 244,069x

NFI Group Inc. 128,124 3,679,716 3,414,505x


Nike Inc. Cl. B 46,820 5,422,565 6,159,457x

Nomura Research Institute, Ltd. 50,300 1,382,606 1,405,470x

Novartis AG ADR 18,970 2,182,390 2,332,545x

Novozymes A/S Series B 20,760 1,323,708 1,319,194x

Nutrien Ltd. 91,399 5,812,731 5,682,276x

Onex Corporation 12,830 931,920 1,054,241x

Open Text Corporation 68,500 2,617,716 3,919,570x


Parkland Fuel Corporation 103,164 4,230,824 4,921,954x

Paychex, Inc. 40,950 4,604,014 4,523,118x

PayPal Holdings, Inc. 8,810 1,250,824 1,237,489x

People Corporation 23,531 186,381 236,016x

PepsiCo, Inc. 18,800 3,283,817 3,336,489x

Photon Control Inc. 44,388 91,931 61,255x

Power Corporation of Canada 102,513 3,285,061 3,429,060x


PrairieSky Royalty Ltd. 38,840 1,048,065 591,533x

Quebecor Inc. Cl. B 93,874 3,148,030 3,110,984x

Rathbone Brothers PLC 30,027 1,166,167 1,100,107x

Recipe Unlimited Corp. 5,740 146,744 111,815

23



Recordati SPA 33,633 1,828,121 1,840,527x

RELX PLC 94,338 2,499,986 3,091,996x

Restaurant Brands International Inc. 41,257 3,600,163 3,415,254x

Richards Packaging Income Fund 5,900 196,207 268,981x

Richelieu Hardware Ltd. 75,492 1,802,362 2,048,098x

Roche Holding AG 5,724 1,860,745 2,411,584x



RPM International, Inc. 30,142 2,748,500 3,004,455x

S&P Global, Inc. 15,778 5,034,027 5,594,391x

Sampo OYJ Series A 37,228 2,219,839 2,109,922x

Samsung Electronics Co., Ltd. GDR Preferred 1,088 1,093,039 1,370,438x

Sangoma Technologies Corporation 29,694 39,326 73,938x

SAP SE 11,306 1,937,600 1,981,446x

Saputo Inc. 259,633 10,433,436 10,437,247x

Savaria Corporation 21,660 318,745 302,157x

Sekisui Chemical Co., Ltd. 77,800 1,592,987 1,770,335x

Seven & I Holdings Co., Ltd. 40,700 2,301,112 1,947,103x

SGS SA 391 1,325,489 1,390,784x

Shaw Communications Inc. Cl. B Non-Voting 95,811 2,558,985 2,524,620x

ShawCor Ltd. 12,779 256,947 160,121x

Shenandoah Telecommunications Company 21,930 1,134,432 1,184,936x

Shopify Inc. Cl. A 4,190 672,794 2,163,297x

Sika AG 8,416 1,365,929 2,053,488x

Sleep Country Canada Holdings Inc. 15,122 391,860 305,616x

Spirax-Sarco Engineering PLC 10,850 1,178,524 1,659,109x

Stantec Inc. 90,493 3,085,805 3,321,093x


Stella-Jones Inc. 87,245 3,400,961 3,273,432x

Stingray Group Inc. 16,610 148,574 118,595x

StorageVault Canada Inc. 64,771 221,623 240,300x

Sun Life Financial Inc. 130,125 7,887,036 7,704,701x


Sylogist, Ltd. Cl. A 12,982 135,241 127,873x

Taiwan Semiconductor Manufacturing Company, Ltd. ADR 30,260 1,529,249 2,282,989x

TC Energy Corporation 169,449 11,208,636 11,719,093x


Tencent Holdings Limited 31,800 1,492,008 1,990,425x

Texas Instruments Incorporated 9,400 1,427,607 1,565,955x

The Bank of Nova Scotia 226,159 15,635,456 16,588,763x

The Descartes Systems Group Inc. 28,311 930,396 1,571,260x



The Sherwin-Williams Company 3,120 2,153,426 2,364,198x



TMX Group Limited 28,220 1,862,460 3,173,339x

Topdanmark A/S 24,884 1,527,571 1,592,895x


TriMas Corporation 58,420 2,364,350 2,382,803x

Tsuruha Holdings, Inc. 17,700 2,348,808 2,965,721

24



Union Pacific Corporation 11,140 2,588,432 2,615,280x




Visa Inc. Cl. A 46,050 10,540,643 11,236,087x




West Pharmaceutical Services, Inc. 8,616 1,535,805 1,681,938x


Winpak, Ltd. 7,200 332,883 338,256x

Wolters Kluwer NV 31,664 2,449,284 2,998,804x


715,017,305 776,622,037xx



BlackRock CDN US Equity Index Fund 12,147,002 212,822,510 348,634,610x

Boyd Group Income Fund 3,600 335,636 727,200x

iShares Core MSCI EAFE ETF 1,042,394 84,935,529 88,308,912x

Mawer Canadian Equity Fund 2,403,458 98,176,005 173,914,452x

Mawer International Equity Fund 6,462,078 273,325,716 394,653,333x

Mawer New Canada Fund 731,652 36,118,254 59,606,502xxx

1,041,411,398 1,404,059,250xx



Canadian Commercial Mortgage Origination Trust 4 Preferred 25,058 25,058 -x

Canadian Commercial Mortgage Origination Trust 5 Preferred 13,856 13,856 13,856xxx

66,529 14,132xx



Artis Real Estate Investment Trust 149,400 1,694,867 1,777,860x

Boardwalk Real Estate Investment Trust 77,150 3,584,706 3,543,499x



Cominar Real Estate Investment Trust 222,100 2,821,717 3,144,936x

Crombie Real Estate Investment Trust 109,600 1,363,840 1,747,024x

CT Real Estate Investment Trust 241,150 3,589,873 3,892,161x

Dream Industrial Real Estate I 139,300 1,601,033 1,830,402x

Dream Office Real Estate Investment Trust 56,900 1,244,784 1,771,297x




InterRent Real Estate Investment Trust 158,317 1,935,553 2,476,078x

Killam Apartment Real Estate Investment Trust 118,928 1,699,242 2,252,496x

Northview Apartment Real Estate Investment Trust 73,464 1,459,770 2,177,473x

NorthWest Healthcare Properties Real Estate Investment Trust 148,200 1,671,068 1,768,026x



Summit Industrial Income Real Estate Investment Trust 139,800 1,625,783 1,685,988xxx

71,864,060 85,613,738xx

25






407 International Inc. 4.19% Apr 25/42 2,400,000 2,906,328 2,833,755x


Apple Inc. 2.51% Aug 19/24 98,491,000 97,622,300 99,489,880x


AT&T Inc. 3.07% Jun 12/24** 43,142,000 56,779,186 57,030,736x

AT&T Inc. 4.85% May 25/47 19,838,000 19,784,526 21,093,000x

AT&T Inc. 5.10% Nov 25/48 13,089,000 13,675,184 14,470,615x






Bell Canada 7.30% Feb 23/32 2,113,000 2,815,454 2,875,512x

Bell Canada 6.17% Feb 26/37 1,577,000 2,048,649 2,047,450x


BNG Bank NV 5.15% Mar 07/25 1,543,000 1,835,562 1,755,123x



BZ Holdings 3.00% May 22/22** 4,548,000 5,555,837 5,905,805x














Canadian Mortgage Pools 2.22% Oct 01/21 11,596,121 11,548,345 11,587,308x














CBC Monetization Trust 4.69% May 15/27 1,977,640 2,200,709 2,148,117x

Cigna Corporation 2.89% Jul 15/23** 4,967,000 6,420,397 6,488,605

26




CMLS Issuer Corp Series 2014-1 Cl. A2 3.42% Dec 12/47 10,000,000 9,865,700 10,050,974x

Cogeco Cable Inc. 5.15% Nov 16/20 12,328,000 12,976,533 12,617,740x






Enbridge Gas Inc. 8.65% Nov 10/25 1,394,000 1,858,662 1,848,956x




Enbridge Gas Inc. 4.00% Aug 22/44 2,134,000 2,448,210 2,474,091x




Enbridge Inc. 3.50% Jun 10/24** 891,000 1,077,088 1,207,332x





EUROFIMA 4.55% Mar 30/27 9,982,000 11,258,782 11,478,906x


First National Canadian Mortgage Pools 2.65% Oct 01/27 1,375,360 1,383,227 1,397,865x







GE Capital Canada Funding Company 5.73% Oct 22/37 1,005,000 961,293 1,134,070x

General Electric Company 2.80% Apr 15/20** 964,000 1,248,127 1,253,457x













Honda Canada Finance Inc. 2.38% Sep 13/21 7,739,000 7,739,426 7,762,148x





Kaupthing ehf. 0.00% Jan 18/31* 7,154 - 13,843x

KfW 1.38% Jan 28/20 6,048,000 6,022,623 6,045,758

27



KfW 5.05% Feb 04/25 6,774,000 8,195,709 7,732,021x


Lehman Brothers Holdings Inc. 4.85% Dec 31/99** 634,000 - 12,349x












Loblaw Companies Limited 6.15% Jan 29/35 300,000 347,673 384,303x



Maple Leaf Sports & Entertainment, Ltd. 4.94% Jun 30/23 2,000,000 1,999,520 2,079,164x


MCAP Service 2.45% Apr 01/21 1,474,588 1,474,249 1,481,560x




Merrill Lynch 2.27% Aug 01/20 1,940,506 1,922,945 1,943,359x








Metro Inc. 5.03% Dec 01/44 586,000 700,053 707,874x

Metro Inc. 4.27% Dec 04/47 5,198,000 5,662,249 5,679,941x

Metropolitan Life Global Funding I 3.03% Jun 11/20 13,840,000 14,284,061 13,900,625x


NAV Canada 7.56% Mar 01/27 1,742,800 2,182,217 2,049,609x

NAV Canada 7.40% Jun 01/27 12,330,000 16,906,892 16,486,711x

NAV Canada 3.29% Mar 30/48 5,260,000 5,929,072 5,769,340x

Navient Corporation 5.63% Jan 25/25** 990,000 932,793 1,222,337x

Navient Corporation 5.63% Aug 01/33** 5,735,000 6,456,054 6,421,875x

Nederlandse Waterschapsbank NV 5.20% Mar 31/25 1,040,000 1,206,818 1,184,159x





Pembina Pipeline Corporation 3.31% Feb 01/30 15,498,000 15,490,637 15,443,643x


Pembina Pipeline Corporation 4.74% Jan 21/47 1,545,000 1,729,906 1,697,572x

Pembina Pipeline Corporation 4.75% Mar 26/48 2,271,000 2,468,509 2,504,370x


PepsiCo, Inc. 2.15% May 06/24 32,899,000 32,487,019 32,792,836

28



Plenary Properties LTAP LP 6.29% Jan 31/44 1,292,621 1,654,452 1,712,916x








Royal Bank of Scotland Group PLC 5.13% May 28/24** 2,100,000 2,309,361 2,956,535x






Sobeys Inc. 4.70% Aug 08/23 20,252,000 20,839,757 21,433,310x

Sobeys Inc. 6.06% Oct 29/35 5,030,000 5,092,716 5,934,066x

Sobeys Inc. 5.79% Oct 06/36 4,968,000 4,928,086 5,708,179x

Sobeys Inc. 6.64% Jun 07/40 3,142,000 3,295,118 4,001,624x

















TransCanada PipeLines Limited 7.90% Apr 15/27 4,182,000 5,535,781 5,453,977x

TransCanada PipeLines Limited 6.28% May 26/28 986,000 1,192,035 1,202,338x

TransCanada PipeLines Limited 6.89% Aug 07/28 3,823,000 4,878,087 4,845,429x

TransCanada PipeLines Limited 8.21% Apr 25/30 554,000 741,174 751,884x








University Health Network 5.64% Dec 08/22 2,197,087 2,445,977 2,302,893x





VW Credit Canada, Inc. 2.57% Mar 30/20 17,604,000 17,621,475 17,617,240

29



VW Credit Canada, Inc. 2.60% Nov 13/20 1,288,000 1,288,064 1,289,475x


Westcoast Energy Inc. 8.85% Jul 21/25 1,707,000 2,256,791 2,230,904x

WTH Car Rental ULC Series 2018-1 Cl. A 3.28% Jul 20/23 494,000 492,394 505,592x

WTH Car Rental, ULC 1.91% Jul 20/20 2,080,000 2,049,362 2,078,128x



3,010,159,778 3,054,372,074xx


Government of Canada 1.56% Jan 23/20 15,855,000 $ 15,839,431 $ 15,839,431x



Government of Canada 1.65% Apr 02/20 1,576,000 1,569,411 1,569,411x

Province of Ontario Treasury Bill 1.74% Jan 22/20 100,000 99,895 99,895x


United States Treasury Bill 1.46% Jan 23/20** 930,000 1,233,107 1,206,542x

United States Treasury Bill 1.52% Mar 12/20** 1,393,000 1,830,988 1,803,469xxx

32,828,150 32,774,066xxx




Net Assets: 100% $ 5,391,402,997xxx


30

COMPASS BALANCED PORTFOLIOSTATEMENTS OF FINANCIAL POSITIONAS AT


x

Assetsx

x

Current assetsx


Cash 16,476,616 14,668,153x





Amount receivable on open forward contracts (Note 10) 12,522,217 26,138xxx

Total Assets 5,497,182,492 4,692,799,850xx

xx

Liabilitiesx

x


Amount payable for securities purchased 6,541,242 2,385,969x



Accrued expenses 1,731,420 1,546,613x

Distribution payable 1,339,225 1,372,271xxx


14,832,470 25,957,456

xxx





Net assets attributable to holders of redeemable units, Series O $ 1,605,663,932 $ 1,301,537,232x



Net assets attributable to holders of redeemable units, Series F1 $ 1,835,299,498 $ 1,554,766,743x







31

COMPASS BALANCED PORTFOLIOSTATEMENTS OF COMPREHENSIVE INCOMEFOR THE YEARS ENDED DECEMBER 31,

2019 2018x

x

Incomex





Management fee distribution from underlying funds 194,752 229,968x




Net gain (loss) on investments 630,337,877 (38,194,572)xxx


Net realized gain (loss) on forward contracts (81,088) (21,051,703)x



Other Incomex

Net realized gain (loss) on foreign currency transactions (182,905) 1,969,880x


Other Income (299,688) 2,057,752xxx


Expensesx




Transfer agent expense 1,575,714 1,408,011x

Audit fees 127,397 95,367x





Withholding taxes 2,112,851 1,636,964x

Transaction costs (Note 7) 1,582,415 1,567,544xxx




Series A $ 214,102,653 $ (64,948,624)x

Series O 184,539,975 (24,017,676)x

Series F1 206,558,468 (41,133,329)xxx



Series A 95,025,796 90,433,942x

Series O 67,481,393 59,605,177x

Series F1 82,368,834 71,164,600x


Series A $ 2.25 $ (0.72)x

Series O $ 2.73 $ (0.40)x

Series F1 $ 2.51 $ (0.58)xxx


32

COMPASS BALANCED PORTFOLIOSTATEMENTS OF CHANGES IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITSFOR THE YEARS ENDED DECEMBER 31,

2019 2018x

x


Series A $ 1,810,538,419 $ 1,872,252,040x

Series O $ 1,301,537,232 $ 1,226,753,179x

Series F1 $ 1,554,766,743 $ 1,320,922,618x


Series A 214,102,653 (64,948,624)x

Series O 184,539,975 (24,017,676)x

Series F1 206,558,468 (41,133,329)x



Series A (16,511,467) (16,662,397)x

Series O (37,901,700) (34,397,455)x

Series F1 (32,570,307) (28,733,202)x

Capital gainsx

Series A (15,035,882) (52,467,536)x

Series O (11,365,498) (35,803,059)x

Series F1 (13,365,585) (41,603,482)x



Series A 404,229,211 447,276,538x

Series O 304,178,026 302,001,786x

Series F1 505,184,729 532,750,782x


Series A 31,430,168 68,794,909x

Series O 48,241,023 69,328,598x

Series F1 45,360,231 69,913,908x


Series A (387,366,510) (443,706,511)x

Series O (183,565,126) (202,328,141)x

Series F1 (430,634,781) (257,350,552)x

xxx


Series A $ 2,041,386,592 $ 1,810,538,419x

Series O $ 1,605,663,932 $ 1,301,537,232x

Series F1 $ 1,835,299,498 $ 1,554,766,743x

xxx


Series A 93,973,631 90,302,618x

Series O 64,843,018 56,880,853x

Series F1 79,224,578 62,722,074x


Series A 19,610,519 21,495,040x

Series O 14,085,316 13,911,633x

Series F1 23,995,546 25,213,265x


Series A 1,485,173 3,547,518x

Series O 2,193,688 3,396,389x

Series F1 2,112,057 3,515,267x


Series A (18,769,093) (21,371,545)x

Series O (8,517,014) (9,345,857)x

Series F1 (20,375,961) (12,226,028)x

xxx


Series A 96,300,230 93,973,631x

Series O 72,605,008 64,843,018x

Series F1 84,956,220 79,224,578xxx


33

COMPASS BALANCED PORTFOLIOSTATEMENTS OF CASH FLOWSFOR THE YEARS ENDED DECEMBER 31,

2019 2018x

x



Adjustments for:x



Proceeds from sale of investments 2,143,386,901 2,065,872,860x










(210,664,623) (389,616,350)xxx





Distributions to holders of redeemable units, net of reinvested distributions (1,752,063) (257,445)x








x


34

COMPASS BALANCED PORTFOLIOSCHEDULE OF INVESTMENTSAS AT DECEMBER 31, 2019


Equities: (19.99%)x

3M Co. 11,975 $ 2,688,720 $ 2,743,355x




Adyen NV 948 941,529 1,009,395x


Air Liquide SA 31,327 4,669,090 5,758,555x


Alcon Inc. 9,245 712,391 679,768x

ALD SA 97,692 1,987,880 1,969,384x


Allegion PLC 25,781 3,629,057 4,169,340x

Allergan PLC 6,700 1,415,143 1,663,233x



Altus Group, Ltd. 22,020 559,658 835,879x


Amazon.com, Inc. 1,910 4,572,042 4,583,069x


AMETEK, Inc. 77,190 9,243,656 9,997,446x





Ansys Inc. 31,110 8,604,023 10,398,821x

Aon PLC Cl. A 31,210 6,382,706 8,441,524x

AptarGroup, Inc. 52,730 7,971,896 7,916,795x






BCE Inc. 40,503 2,325,372 2,436,660x


BlackRock, Inc. 4,760 2,921,395 3,107,238x



Bunzl PLC 129,794 4,942,306 4,610,182x

CAE Inc. 141,044 4,995,208 4,849,093x









Cerner Corporation 12,580 1,146,710 1,198,881x


CGI Inc. 24,880 2,587,234 2,703,710x

China Mobile Limited 149,000 1,845,507 1,626,375

35

COMPASS BALANCED PORTFOLIOSCHEDULE OF INVESTMENTSAS AT DECEMBER 31, 2019 (CONTINUED)


Cinemark Holdings, Inc. 31,520 1,575,162 1,385,491x




Cogeco Inc. 8,120 624,566 845,211x




Constellation Software Inc. 2,220 1,285,656 2,799,775x









Diageo PLC 38,132 2,052,464 2,099,185x

Ecolab Inc. 13,640 3,410,302 3,418,282x


Enbridge Inc. 256,514 12,147,016 13,243,818x


Equitable Group Inc. 9,879 635,264 1,080,269x


Fairfax India Holdings Corporation 84,950 1,582,580 1,411,991x





Fortis Inc. 354,941 17,483,145 19,124,221x

FUCHS PETROLUB SE 31,238 1,759,772 1,817,755x


Fuyao Glass Industry Group Co., Ltd. Cl. H 266,400 1,126,456 1,058,804x




Glanbia PLC 137,206 2,983,755 2,050,481x


Halma PLC 88,274 2,054,795 3,212,860x


Hologic, Inc. 55,010 3,440,146 3,729,529x


iA Financial Corporation Inc. 16,342 760,047 1,165,675x

IAA, Inc. 115,909 6,039,331 7,083,172x

IHS Markit, Ltd. 15,600 1,064,809 1,526,394x






Intuit Inc. 17,320 5,916,478 5,891,038

36








Kerry Group PLC Cl. A 11,091 1,524,317 1,794,817x

Kinaxis Inc. 3,550 235,792 355,071x

Knight Therapeutics Inc. 1,098 9,069 8,323x

Kone OYJ Series B 23,666 1,514,095 2,008,999x

Legrand SA 26,007 2,447,565 2,751,702x



LKQ Corporation 31,570 1,275,706 1,463,529x




Mainstreet Equity Corp. 12,736 512,962 1,006,144x




Metro Inc. 109,381 5,989,864 5,861,728x




MTY Food Group Inc. 18,965 931,849 1,052,368x



Nestlé SA 21,197 2,990,801 2,980,066x


NFI Group Inc. 202,810 5,857,032 5,404,887x

Nielsen Holdings PLC 34,490 1,015,031 909,176x

Nike Inc. Cl. B 61,620 7,120,562 8,106,487x


Novartis AG ADR 30,510 3,516,922 3,751,500x


Nutrien Ltd. 121,772 7,713,279 7,570,565x

Onex Corporation 13,880 1,018,989 1,140,520x




Paychex, Inc. 53,930 6,048,551 5,956,820x



PepsiCo, Inc. 24,990 4,372,508 4,435,046x




PrairieSky Royalty Ltd. 42,010 1,134,812 639,812x


Rathbone Brothers PLC 47,541 1,862,190 1,741,772x


37



Recordati SPA 54,689 2,989,546 2,992,792x

RELX PLC 151,647 4,072,524 4,970,340x








S&P Global, Inc. 20,849 6,593,052 7,392,411x


Samsung Electronics Co., Ltd. GDR Preferred 1,749 1,769,063 2,203,029x


SAP SE 18,174 3,100,889 3,185,105x

Saputo Inc. 380,592 15,421,759 15,299,798x




SGS SA 633 2,140,365 2,251,575x


ShawCor Ltd. 27,881 556,813 349,349x

Shenandoah Telecommunications Company 29,010 1,472,366 1,567,488x

Shopify Inc. Cl. A 4,530 726,680 2,338,839x

Sika AG 13,529 2,270,259 3,301,050x



Stantec Inc. 142,959 4,798,053 5,246,595x














The Descartes Systems Group Inc. 38,851 1,287,397 2,156,231x







Topdanmark A/S 39,399 2,394,480 2,522,041x




38







Visa Inc. Cl. A 60,720 13,827,906 14,815,531x






Winpak, Ltd. 15,724 727,261 738,714x



1,013,009,770 1,096,104,633xx




Boyd Group Income Fund 7,850 733,797 1,585,700x

iShares Core MSCI EAFE ETF 1,459,385 118,908,600 123,635,306x

iShares Core S&P Small-Cap ETF 1,849,833 100,163,892 201,416,139x



Mawer New Canada Fund 1,483,928 74,035,247 120,893,233xxx

1,447,401,862 2,068,528,951xx




Canadian Commercial Mortgage Origination Trust 5 Preferred 10,644 10,644 10,644x

Kensington Private Equity Fund IV 2,088,735 2,088,735 8,435,878x

KMC Holdings Limited Partnership 1,084,518 1,084,518 153,224x

TriWest Capital Partners Private Equity Fund III 4,592,075 4,592,075 1,767,168x

TriWest Capital Partners Private Equity Fund IV 3,276,191 3,276,191 4,067,706xxx

11,084,631 14,434,779xx








Crombie Real Estate Investment Trust 119,400 1,484,456 1,903,236x



Dream Office Real Estate Investment Trust 61,965 1,356,059 1,928,970x




InterRent Real Estate Investment Trust 183,831 2,197,123 2,875,117x


Northview Apartment Real Estate Investment Trust 80,000 1,568,991 2,371,200

39







81,312,479 96,788,845xx






Apple Inc. 2.51% Aug 19/24 66,951,000 66,449,243 67,630,006x


AT&T Inc. 3.07% Jun 12/24** 30,282,000 39,854,140 40,030,707x

AT&T Inc. 4.85% May 25/47 11,906,000 11,865,980 12,659,203x

AT&T Inc. 5.10% Nov 25/48 10,376,000 10,775,677 11,471,243x


Bank of Nova Scotia Canadian Mortgage Pools 6.45% Jan 01/25 893,057 1,044,296 1,032,011x





Bell Canada 7.30% Feb 23/32 1,566,000 2,100,373 2,131,118x

Bell Canada 6.17% Feb 26/37 961,000 1,248,416 1,247,685x


BNG Bank NV 5.15% Mar 07/25 856,000 1,018,033 973,678x


Bombardier Inc. 7.35% Dec 22/26 500,000 497,500 487,188x


BZ Holdings 3.00% May 22/22** 2,628,000 3,210,365 3,412,589x






















Canadian Mortgage Pools 1.93% Jul 01/24 7,705,810 7,667,590 7,671,612

40








CBC Monetization Trust 4.69% May 15/27 1,234,564 1,370,562 1,340,986x







Commercial Mortgage Pass-Through Certificates 3.98% Dec 12/47 6,703,561 6,709,731 6,622,884x









Enbridge Gas Inc. 4.00% Aug 22/44 1,439,000 1,650,878 1,668,330x








Enbridge Pipelines Inc. 8.20% Feb 15/24 218,000 287,747 263,664x

EUROFIMA 4.55% Mar 30/27 6,729,000 7,619,261 7,738,084x




















Heathrow Funding Limited 3.25% May 21/27 9,159,000 9,509,922 9,393,725

41






Honda Canada Finance Inc. 2.38% Sep 13/21 350,000 350,000 351,047x






KfW 1.38% Jan 28/20 5,432,000 5,396,036 5,429,987x

KfW 5.05% Feb 04/25 3,773,000 4,552,526 4,306,601x
















Loblaw Companies Limited 6.45% Mar 01/39 684,000 843,743 940,077x


Maple Leaf Sports & Entertainment, Ltd. 4.94% Jun 30/23 500,000 499,880 519,791x


MCAP Service 2.45% Apr 01/21 1,804,642 1,804,227 1,813,175x




Merrill Lynch 2.27% Aug 01/20 1,133,857 1,123,595 1,135,524x







Metro Inc. 5.03% Dec 01/44 394,000 470,684 475,943x

Metro Inc. 4.27% Dec 04/47 3,530,000 3,844,945 3,857,290x




NAV Canada 7.56% Mar 01/27 1,263,600 1,549,928 1,486,049x

NAV Canada 7.40% Jun 01/27 8,531,000 11,703,345 11,406,986x

NAV Canada 3.29% Mar 30/48 3,159,000 3,560,825 3,464,894x

Navient Corporation 5.63% Jan 25/25** 902,000 849,878 1,113,685x

Navient Corporation 5.63% Aug 01/33** 3,668,000 4,129,173 4,107,312

42







NOVA Gas Transmission Ltd. 9.90% Dec 16/24 453,000 619,092 596,614x


Pembina Pipeline Corporation 3.71% Aug 11/26 205,000 200,902 213,079x



Pembina Pipeline Corporation 4.74% Jan 21/47 1,177,000 1,317,863 1,293,231x

Pembina Pipeline Corporation 4.75% Mar 26/48 1,531,000 1,664,151 1,688,327x


PepsiCo, Inc. 2.15% May 06/24 22,385,000 22,171,172 22,312,764x

Plenary Properties LTAP LP 6.29% Jan 31/44 858,971 1,099,597 1,138,264x




Royal Bank of Canada 1.59% Mar 23/20 601,000 592,680 600,590x





Royal Bank of Scotland Group PLC 5.13% May 28/24** 822,000 891,661 1,157,272x






Sobeys Inc. 4.70% Aug 08/23 13,480,000 13,880,487 14,266,296x

Sobeys Inc. 6.06% Oct 29/35 3,460,000 3,527,773 4,081,883x

Sobeys Inc. 5.79% Oct 06/36 4,600,000 4,668,983 5,285,351x

Sobeys Inc. 6.64% Jun 07/40 1,887,000 1,971,106 2,403,267x









The Bank of Nova Scotia 1.95% Nov 01/22 12,550,540 12,315,845 12,526,405x








TransCanada PipeLines Limited 8.29% Feb 05/26 2,500,000 3,256,700 3,222,670x

TransCanada PipeLines Limited 7.90% Apr 15/27 3,387,000 4,535,109 4,417,173x

TransCanada PipeLines Limited 6.89% Aug 07/28 550,000 677,545 697,093

43










University Health Network 5.64% Dec 08/22 1,407,914 1,562,219 1,475,715x






VW Credit Canada, Inc. 2.60% Nov 13/20 1,725,000 1,725,086 1,726,975x


Westcoast Energy Inc. 8.85% Jul 21/25 1,160,000 1,533,613 1,516,021x

WTH Car Rental ULC Series 2018-1 Cl. A 3.28% Jul 20/23 5,273,000 5,339,872 5,396,734x




2,116,214,194 2,145,893,472xx



Government of Canada 1.62% Feb 20/20 61,000 60,862 60,862x





Province of Quebec Treasury Bill 1.80% Mar 06/20 150,000 149,512 149,513x


The Toronto-Dominion Bank 1.23% Jan 03/20 700,000 699,929 699,929x

United States Treasury Bill 1.46% Jan 23/20 591,000 782,544 766,740x

United States Treasury Bill 1.52% Mar 12/20 2,277,000 2,993,405 2,947,940xxx

27,466,159 27,404,891xxx




Net Assets: 100% $ 5,482,350,022xxx


44

COMPASS BALANCED GROWTH PORTFOLIOSTATEMENTS OF FINANCIAL POSITIONAS AT


x

Assetsx

x

Current assetsx


Cash 10,181,210 10,884,560x





Amount receivable on open forward contracts (Note 10) 6,797,961 39xxx

Total Assets 2,698,917,261 2,305,865,249xx

xx

Liabilitiesx

x


Amount payable for securities purchased 2,146,472 190,391x



Accrued expenses 1,037,647 906,457x



7,075,216 12,122,513

xxx















45

COMPASS BALANCED GROWTH PORTFOLIOSTATEMENTS OF COMPREHENSIVE INCOMEFOR THE YEARS ENDED DECEMBER 31,

2019 2018x

x

Incomex











Net realized gain (loss) on forward contracts (1,087,418) (11,307,202)x



Other Incomex

Net realized gain (loss) on foreign currency transactions (46,712) 676,476x




Expensesx




Transfer agent expense 1,097,016 992,383x





Miscellaneous expenses - 3,096x


Withholding taxes 1,112,911 865,547x





Series A $ 155,698,954 $ (49,334,869)x

Series O 111,694,664 (19,322,265)x

Series F1 92,288,079 (22,388,287)xxx



Series A 50,988,010 48,452,671x

Series O 30,789,837 27,653,949x

Series F1 27,291,121 23,359,407x


Series A $ 3.05 $ (1.02)x

Series O $ 3.63 $ (0.70)x

Series F1 $ 3.38 $ (0.96)xxx


46

COMPASS BALANCED GROWTH PORTFOLIOSTATEMENTS OF CHANGES IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITSFOR THE YEARS ENDED DECEMBER 31,

2019 2018x

x


Series A $ 1,060,635,341 $ 1,085,482,200x

Series O $ 657,669,191 $ 624,583,233x

Series F1 $ 575,438,204 $ 462,412,793x


Series A 155,698,954 (49,334,869)x

Series O 111,694,664 (19,322,265)x

Series F1 92,288,079 (22,388,287)x



Series A (6,309,446) (10,026,145)x

Series O (17,167,807) (17,894,659)x

Series F1 (10,309,102) (10,647,970)x

Capital gainsx

Series A (24,446,748) (30,805,096)x

Series O (15,742,918) (18,316,831)x

Series F1 (13,450,285) (14,990,838)x



Series A 206,572,697 228,617,765x

Series O 117,723,258 106,325,314x

Series F1 155,328,123 222,583,446x


Series A 30,812,781 40,788,474x

Series O 32,325,347 35,826,558x

Series F1 23,599,670 25,616,577x


Series A (196,661,133) (204,086,988)x

Series O (93,079,670) (53,532,159)x

Series F1 (150,777,155) (87,147,517)x

xxx


Series A $ 1,226,302,446 $ 1,060,635,341x

Series O $ 793,422,065 $ 657,669,191x

Series F1 $ 672,117,534 $ 575,438,204x

xxx


Series A 50,799,478 47,767,503x

Series O 30,223,705 26,388,114x

Series F1 26,849,610 19,898,875x


Series A 9,101,099 9,998,745x

Series O 4,925,629 4,425,880x

Series F1 6,641,331 9,478,788x


Series A 1,315,595 1,953,567x

Series O 1,322,061 1,646,432x

Series F1 981,431 1,195,255x


Series A (8,677,636) (8,920,337)x

Series O (3,891,098) (2,236,721)x

Series F1 (6,419,645) (3,723,308)x

xxx


Series A 52,538,536 50,799,478x

Series O 32,580,297 30,223,705x

Series F1 28,052,727 26,849,610xxx


47

COMPASS BALANCED GROWTH PORTFOLIOSTATEMENTS OF CASH FLOWSFOR THE YEARS ENDED DECEMBER 31,

2019 2018x

x



Adjustments for:x

Net unrealized foreign exchange (gain) loss on cash 419 (310)x


Proceeds from sale of investments 1,050,393,624 836,288,525x










(39,483,577) (217,368,328)xxx





Distributions to holders of redeemable units, net of reinvested distributions (444,466) 747x



Unrealized foreign exchange gain (loss) on cash (419) 310x

Net decrease in cash during the year (703,350) (2,813,898)xxx




x


48

COMPASS BALANCED GROWTH PORTFOLIOSCHEDULE OF INVESTMENTSAS AT DECEMBER 31, 2019


Equities: (25.60%)x

3M Co. 7,590 $ 1,707,064 $ 1,738,795x




Adyen NV 517 513,465 550,482x


Air Liquide SA 17,084 2,541,278 3,140,395x


Alcon Inc. 5,058 390,606 371,905x

ALD SA 52,342 1,071,871 1,055,168x


Allegion PLC 16,339 2,351,026 2,642,366x

Allergan PLC 4,144 901,823 1,028,722x



Altus Group, Ltd. 15,320 412,489 581,547x


Amazon.com, Inc. 1,224 2,922,557 2,937,003x


AMETEK, Inc. 48,960 5,943,071 6,341,171x





Ansys Inc. 19,730 5,569,720 6,594,945x

Aon PLC Cl. A 17,000 3,495,175 4,598,075x

AptarGroup, Inc. 33,390 5,027,405 5,013,120x






BCE Inc. 24,897 1,431,847 1,497,804x


BlackRock, Inc. 3,000 1,868,101 1,958,343x



Bunzl PLC 70,767 2,674,700 2,513,589x

CAE Inc. 93,068 3,302,169 3,199,678x











CGI Inc. 15,290 1,590,265 1,661,564x

China Mobile Limited 81,500 1,003,145 889,594

49

COMPASS BALANCED GROWTH PORTFOLIOSCHEDULE OF INVESTMENTSAS AT DECEMBER 31, 2019 (CONTINUED)






Cogeco Inc. 5,650 432,212 588,108x




Constellation Software Inc. 1,364 811,078 1,720,222x









Diageo PLC 20,790 1,119,027 1,144,500x

Ecolab Inc. 8,570 2,146,330 2,147,703x


Enbridge Inc. 167,492 8,001,701 8,647,612x









Fortis Inc. 234,174 11,573,686 12,617,295x

FUCHS PETROLUB SE 16,736 940,656 973,876x






Glanbia PLC 73,513 1,620,679 1,098,618x


Halma PLC 48,129 1,144,728 1,751,725x


Hologic, Inc. 34,640 2,164,202 2,348,498x



IAA, Inc. 73,495 3,834,596 4,491,262x

IHS Markit, Ltd. 8,500 572,783 831,689x






Intuit Inc. 11,110 3,800,501 3,778,835

50








Kerry Group PLC Cl. A 6,047 838,895 978,564x

Kinaxis Inc. 2,470 166,458 247,049x


Kone OYJ Series B 12,903 832,221 1,095,332x

Legrand SA 14,179 1,334,398 1,500,226x











Metro Inc. 72,175 3,988,075 3,867,858x







Nestlé SA 11,557 1,625,641 1,624,787x


NFI Group Inc. 134,277 3,878,923 3,578,482x


Nike Inc. Cl. B 39,050 4,573,417 5,137,266x


Novartis AG ADR 16,660 1,925,549 2,048,509x


Nutrien Ltd. 78,266 4,938,907 4,865,797x





Paychex, Inc. 34,260 3,833,256 3,784,177x



PepsiCo, Inc. 15,790 2,769,374 2,802,296x






Rathbone Brothers PLC 25,472 981,052 933,224x


51



Recordati SPA 29,818 1,626,297 1,631,756x

RELX PLC 82,681 2,236,220 2,709,930x








S&P Global, Inc. 13,170 4,216,931 4,669,675x


Samsung Electronics Co., Ltd. GDR Preferred 954 974,664 1,201,652x


SAP SE 9,911 1,708,474 1,736,963x

Saputo Inc. 248,808 10,080,125 10,002,082x




SGS SA 345 1,164,243 1,227,162x


ShawCor Ltd. 19,401 384,259 243,095x


Shopify Inc. Cl. A 2,780 448,953 1,435,314x

Sika AG 7,412 1,265,792 1,808,514x



Stantec Inc. 94,643 3,232,018 3,473,398x














The Descartes Systems Group Inc. 25,206 861,938 1,398,933x







Topdanmark A/S 21,110 1,303,381 1,351,311x




52







Visa Inc. Cl. A 38,590 8,860,050 9,415,865x






Winpak, Ltd. 10,940 507,991 513,961x


Yellow Pages Limited 54,534 490,806 494,078xxx

642,775,966 689,293,470xx



BlackRock CDN MSCI EAFE Equity Index Fund 4,440,959 77,298,205 91,204,174x


Boyd Group Income Fund 5,460 519,676 1,102,920x

iShares Core MSCI EAFE ETF 530,340 43,192,862 44,929,027x

iShares Core S&P Small-Cap ETF 1,105,427 63,893,543 120,362,670x


Mawer Global Small Cap Fund 10,465,660 129,773,050 166,679,234x



870,095,225 1,259,923,055xx




Canadian Commercial Mortgage Origination Trust 5 Preferred 2,661 2,661 2,661x

Kensington Private Equity Fund IV 2,964,557 2,964,557 11,973,105x




13,815,547 18,108,974xx








Crombie Real Estate Investment Trust 73,000 908,092 1,163,620x



Dream Office Real Estate Investment Trust 37,900 828,821 1,179,827x




InterRent Real Estate Investment Trust 114,324 1,362,777 1,788,027

53




Northview Apartment Real Estate Investment Trust 48,900 914,558 1,449,396x





49,767,194 59,763,273xx


407 International Inc. 6.75% Jul 27/39 668,796 $ 900,339 $ 910,824x


Anheuser-Busch InBev Finance Inc. 2.60% May 15/24 650,000 611,845 650,049x

Apple Inc. 2.51% Aug 19/24 18,858,000 18,706,855 19,049,255x

AT&T Inc. 3.07% Jun 12/24** 9,531,000 12,543,749 12,599,322x

AT&T Inc. 4.85% May 25/47 3,268,000 3,264,310 3,474,742x

AT&T Inc. 5.10% Nov 25/48 2,873,000 2,975,165 3,176,261x


Bank of Nova Scotia Canadian Mortgage Pools 6.45% Jan 01/25 1,040,117 1,216,261 1,201,953x

Bankers Hall LP 4.38% Nov 20/23 550,994 575,633 562,538x




Bell Canada 7.30% Feb 23/32 402,000 539,155 547,069x

Bell Canada 6.17% Feb 26/37 291,000 378,032 377,811x


BNG Bank NV 5.15% Mar 07/25 230,000 273,572 261,619x

Bombardier Inc. 6.13% Jan 15/23 79,000 101,235 105,415x


BZ Holdings 3.00% May 22/22** 754,000 921,086 979,107x


Canadian Commercial Mortgage Origination Trust 3 0.29% Aug 12/20 16,437,686 370,203 11,506x






Canadian Commercial Mortgage Origination Trust 4 0.32% May 12/50 42,960,606 776,002 642,691x








Canadian Mortgage Pools 1.70% Feb 01/22 619,227 617,524 616,033x



Canadian Mortgage Pools 2.02% Nov 01/23 868,710 868,232 867,294x




Canadian Mortgage Pools 1.95% Aug 01/24 1,175,970 1,169,584 1,171,524

54





Canadian Pacific Railway Company 6.91% Oct 01/24 404,663 474,436 451,062x

CBC Monetization Trust 4.69% May 15/27 330,071 366,963 358,524x











Element Fleet Management Corp. 4.25% Jun 30/24 456,000 456,000 524,012x





Enbridge Gas Inc. 4.00% Aug 22/44 412,000 472,663 477,660x








EUROFIMA 4.55% Mar 30/27 1,920,000 2,179,945 2,207,924x

First National Canadian Mortgage Pools 2.40% Feb 01/24 807,127 815,884 814,552x













General Electric Company 5.88% Jan 14/38** 873,000 1,114,079 1,380,031x

General Electric Company Jan 10/39** 418,000 566,653 726,621x



Greater Toronto Airports Authority 7.05% Jun 12/30 1,200,000 1,727,976 1,677,718x


Heathrow Funding Limited 3.25% May 21/27 2,125,000 2,176,106 2,179,459x



Honda Canada Finance Inc. 2.30% Dec 18/20 5,863,000 5,871,504 5,872,812

55



Honda Canada Finance Inc. 2.38% Sep 13/21 200,000 200,000 200,598x


Hydro One Inc. 7.35% Jun 03/30 656,000 947,992 922,720x

Hydro One Inc. 6.93% Jun 01/32 328,000 477,994 466,291x



KfW 1.38% Jan 28/20 1,526,000 1,515,527 1,525,434x

KfW 5.05% Feb 04/25 1,113,000 1,348,600 1,270,407x



Lloyds Bank PLC 2.38% May 07/21** 749,000 976,467 976,018x





Loblaw Companies Limited 0.00% May 23/27 905,000 686,590 672,063x

Loblaw Companies Limited 4.49% Dec 11/28 751,000 751,000 827,580x


Loblaw Companies Limited 6.85% Mar 01/32 415,000 516,762 544,997x


Loblaw Companies Limited 6.05% Jun 09/34 798,000 972,869 1,008,968x





MCAP Service 2.45% Apr 01/21 481,585 481,474 483,862x

MCAP Service 2.19% Mar 01/23 997,465 999,101 1,000,786x



Merrill Lynch 2.27% Aug 01/20 318,310 315,430 318,778x



Merrill Lynch Canadian Mortgage Pools 2.36% Oct 01/20 791,808 787,097 793,545x



Merrill Lynch Mortgage Investors Trust 2.32% Jun 01/21 603,747 600,830 603,689x

Metro Inc. 5.03% Dec 01/44 112,000 133,799 135,293x

Metro Inc. 4.27% Dec 04/47 2,321,000 2,560,272 2,536,195x




NAV Canada 7.56% Mar 01/27 380,308 472,531 447,258x

NAV Canada 7.40% Jun 01/27 2,679,900 3,681,911 3,583,353x

Navient Corporation 5.63% Aug 01/33** 898,000 1,010,904 1,005,552x



New Brunswick FM Project Inc. 6.47% Nov 30/27 736,820 894,141 855,145x




Pembina Pipeline Corporation 4.75% Apr 30/43 1,500,000 1,667,775 1,645,316

56



Pembina Pipeline Corporation 4.74% Jan 21/47 223,000 249,689 245,022x

Pembina Pipeline Corporation 4.75% Mar 26/48 437,000 475,006 481,907x


PepsiCo, Inc. 2.15% May 06/24 6,068,000 6,010,260 6,048,419x

Plenary Properties LTAP LP 6.29% Jan 31/44 370,646 475,868 491,161x







Royal Bank of Canada 2.16% Jun 29/85** 890,000 598,568 910,121x







Sobeys Inc. 4.70% Aug 08/23 4,533,000 4,672,695 4,797,412x

Sobeys Inc. 6.06% Oct 29/35 1,183,000 1,228,964 1,395,626x

Sobeys Inc. 5.79% Oct 06/36 1,118,000 1,131,171 1,284,570x

Sobeys Inc. 6.64% Jun 07/40 556,000 594,612 708,117x



Strait Crossing Development Inc. 6.17% Sep 15/31 659,822 715,252 719,078x


Sun Life Assurance Company of Canada 6.30% May 15/28 974,000 1,205,880 1,225,540x



TELUS Corporation 4.70% Mar 06/48 925,000 1,058,182 1,040,407x

The Bank of Nova Scotia 1.95% Nov 01/22 3,668,538 3,599,936 3,661,483x

The Bank of Nova Scotia 2.05% Jan 01/23 671 660 671x

The Bank of Nova Scotia 2.16% Aug 31/85** 1,160,000 957,069 1,261,541x




The Manufacturers Life Insurance Company 3.18% Nov 22/27 599,000 613,835 612,395x




TransCanada PipeLines Limited 7.34% Jul 18/28 591,000 747,266 769,352x

TransCanada PipeLines Limited 6.89% Aug 07/28 550,000 677,545 697,093x

TransCanada PipeLines Limited 5.65% Jun 20/29 875,000 973,289 1,046,023x

TransCanada PipeLines Limited 4.55% Nov 15/41 493,000 545,652 546,917x







University Health Network 5.64% Dec 08/22 395,284 439,812 414,319

57



University of Ontario Institute of Technology 6.35% Oct 15/34 374,782 440,194 447,458x





VW Credit Canada, Inc. 2.60% Nov 13/20 633,000 633,032 633,725x


Westcoast Energy Inc. 8.85% Jul 21/25 332,000 438,931 433,896x




626,204,950 634,798,569xx









United States Treasury Bill 1.46% Jan 23/20** 1,014,000 1,345,569 1,315,515x

United States Treasury Bill 1.52% Mar 12/20** 851,000 1,118,357 1,101,771xxx

11,262,195 11,215,555xxx




Net Assets: 100% $ 2,691,842,045xxx


58

COMPASS GROWTH PORTFOLIOSTATEMENTS OF FINANCIAL POSITIONAS AT


x

Assetsx

x

Current assetsx

Investments (Note 11) $ 1,164,211,776 $ 951,101,706x

Cash 8,066,653 2,711,614x


Amount receivable for securities sold 1,175 3,623,472x


Interest receivable 319,442 347,000x

Amount receivable on open forward contracts (Note 10) 3,232,732 20xxx

Total Assets 1,178,788,259 959,695,034xx

xx

Liabilitiesx

x


Amount payable for securities purchased 444,625 67,991x

Amount payable on open forward contracts (Note 10) 68 4,427,882x

Amount payable for units redeemed 1,651,057 647,577x




2,824,263 5,572,338

xxx

Net assets attributable to holders of redeemable units $ 1,175,963,996 $ 954,122,696xxx














59

COMPASS GROWTH PORTFOLIOSTATEMENTS OF COMPREHENSIVE INCOMEFOR THE YEARS ENDED DECEMBER 31,

2019 2018x

x

Incomex




Interest for distribution purposes 2,252,536 662,120x


Net realized gain (loss) on sale of investments 47,277,722 41,196,471x





Net realized gain (loss) on forward contracts (1,111,835) (5,634,566)x



Other Incomex

Net realized gain (loss) on foreign currency transactions 14,556 262,675x




Expensesx









Miscellaneous expenses - 5,021x

Bank charges 810 1,949x




Net Expenses 13,344,616 12,386,190xxx



Series A $ 80,033,207 $ (27,800,949)x

Series O 56,455,039 (10,217,746)x

Series F1 41,586,875 (11,459,906)xxx



Series A 20,187,776 19,137,713x

Series O 12,483,512 11,695,864x

Series F1 9,916,702 8,430,654x


Series A $ 3.96 $ (1.45)x

Series O $ 4.52 $ (0.87)x

Series F1 $ 4.19 $ (1.36)xxx


60

COMPASS GROWTH PORTFOLIOSTATEMENTS OF CHANGES IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITSFOR THE YEARS ENDED DECEMBER 31,

2019 2018x

x


Series A $ 457,270,456 $ 472,917,899x

Series O $ 280,460,917 $ 301,376,997x

Series F1 $ 216,391,323 $ 184,039,254x


Series A 80,033,207 (27,800,949)x

Series O 56,455,039 (10,217,746)x

Series F1 41,586,875 (11,459,906)x



Series A (895,649) (3,333,180)x

Series O (6,648,389) (8,039,617)x

Series F1 (3,134,237) (3,703,074)x

Capital gainsx

Series A (17,552,894) (15,032,990)x

Series O (11,318,650) (9,654,491)x

Series F1 (8,710,722) (6,529,880)x



Series A 85,748,803 95,745,360x

Series O 70,843,309 48,334,465x

Series F1 61,874,691 74,930,306x


Series A 18,499,866 18,338,307x

Series O 17,692,406 17,687,732x

Series F1 11,792,579 10,229,573x


Series A (80,471,096) (83,563,991)x

Series O (47,848,231) (59,026,423)x

Series F1 (46,105,607) (31,114,950)x

xxx


Series A $ 542,632,693 $ 457,270,456x

Series O $ 359,636,401 $ 280,460,917x

Series F1 $ 273,694,902 $ 216,391,323x

xxx


Series A 20,065,946 18,782,990x

Series O 12,088,125 11,695,405x

Series F1 9,508,538 7,341,796x


Series A 3,409,286 3,775,747x

Series O 2,716,340 1,855,888x

Series F1 2,448,640 2,963,877x


Series A 712,501 804,717x

Series O 667,810 762,356x

Series F1 454,308 449,502x


Series A (3,197,394) (3,297,508)x

Series O (1,836,766) (2,225,524)x

Series F1 (1,819,692) (1,246,637)x

xxx


Series A 20,990,339 20,065,946x

Series O 13,635,509 12,088,125x

Series F1 10,591,794 9,508,538xxx


61

COMPASS GROWTH PORTFOLIOSTATEMENTS OF CASH FLOWSFOR THE YEARS ENDED DECEMBER 31,

2019 2018x

x



Adjustments for:x

Net unrealized foreign exchange (gain) loss on cash 1,618 -x









Interest for distribution purposes (2,251,726) (660,171)x

Interest received (paid) 2,279,284 313,171x


(38,732,534) (51,133,457)xxx





Distributions to holders of redeemable units, net of reinvested distributions (42,322) (913)x



Unrealized foreign exchange gain (loss) on cash (1,618) -x





x


62

COMPASS GROWTH PORTFOLIOSCHEDULE OF INVESTMENTSAS AT DECEMBER 31, 2019


Equities: (31.49%)x

3M Co. 4,230 $ 952,643 $ 969,051x




Adyen NV 245 245,492 260,867x

AIA Group Limited 47,000 564,204 640,684x

Air Liquide SA 8,176 1,225,672 1,502,919x


Alcon Inc. 2,406 184,558 176,909x

ALD SA 25,429 515,317 512,626x


Allegion PLC 9,066 1,304,341 1,466,166x

Allergan PLC 2,386 518,908 592,310x



Altus Group, Ltd. 7,660 201,327 290,774x

Amadeus IT Group, SA 5,170 559,789 548,223x

Amazon.com, Inc. 685 1,627,935 1,643,666x


AMETEK, Inc. 27,410 3,333,201 3,550,071x




Anheuser-Busch InBev SA 5,408 565,421 572,751x

Ansys Inc. 10,990 3,104,811 3,673,515x

Aon PLC Cl. A 7,990 1,659,289 2,161,095x

AptarGroup, Inc. 18,620 2,788,489 2,795,576x






BCE Inc. 15,077 869,253 907,032x


BlackRock, Inc. 1,690 1,052,888 1,103,200x

Booking Holdings Inc. 650 1,597,303 1,733,466x


Bunzl PLC 33,321 1,267,226 1,183,536x

CAE Inc. 49,477 1,755,661 1,701,019x











CGI Inc. 9,260 961,808 1,006,284x

China Mobile Limited 39,000 475,065 425,695

63

COMPASS GROWTH PORTFOLIOSCHEDULE OF INVESTMENTSAS AT DECEMBER 31, 2019 (CONTINUED)




Cogeco Inc. 2,820 212,129 293,534x



Compass Group PLC 28,137 875,507 914,709x

Constellation Software Inc. 822 499,543 1,036,674x


Croda International PLC 9,496 785,676 836,284x


Currency Exchange International, Corp. 914 23,642 16,452x


DBS Group Holdings Limited 33,200 763,989 829,574x


Deutsche Boerse AG 4,411 756,302 900,462x

Diageo PLC 9,905 534,036 545,275x

Ecolab Inc. 4,820 1,207,148 1,207,927x


Enbridge Inc. 90,548 4,377,088 4,674,993x



FactSet Research Systems Inc. 1,770 617,588 616,670x


Fastenal Company 20,800 1,014,081 998,014x




Fortis Inc. 124,362 6,207,470 6,700,625x


FUCHS PETROLUB SE Preferred 9,680 588,003 622,644x





Glanbia PLC 35,715 762,621 533,744x


Halma PLC 22,662 528,326 824,816x


Hologic, Inc. 19,580 1,221,179 1,327,471x



IAA, Inc. 41,054 2,154,319 2,508,800x

IHS Markit, Ltd. 4,100 287,346 401,168x



InterContinental Hotels Group PLC 12,658 957,160 1,133,912x



Intuit Inc. 6,170 2,112,823 2,098,597x


Japan Exchange Group, Inc. 32,900 734,255 758,861

64






Kerry Group PLC Cl. A 2,872 397,834 464,765x

Kinaxis Inc. 1,260 83,487 126,025x


Kone OYJ Series B 6,028 389,181 511,715x

Legrand SA 6,676 642,272 706,362x

LG Household & Health Care, Ltd. Preferred 673 530,785 582,641x










Metro Inc. 38,439 2,135,688 2,059,946x







Nestlé SA 5,442 765,764 765,086x


NFI Group Inc. 71,332 2,052,604 1,900,998x


Nike Inc. Cl. B 21,840 2,548,496 2,873,185x

Nomura Research Institute, Ltd. 20,600 568,865 575,600x

Novartis AG ADR 7,840 909,001 964,004x

Novozymes A/S Series B 8,567 545,535 544,390x

Nutrien Ltd. 43,709 2,749,758 2,717,389x





Paychex, Inc. 19,130 2,140,592 2,112,998x



PepsiCo, Inc. 8,870 1,554,350 1,574,184x







Recipe Unlimited Corp. 4,762 121,512 92,764x

Recordati SPA 12,651 687,680 692,311x

RELX PLC 38,930 1,046,435 1,275,959

65






Roche Holding AG 2,352 779,204 990,923x




S&P Global, Inc. 7,363 2,370,636 2,610,692x

Sampo OYJ Series A 15,618 925,270 885,160x

Samsung Electronics Co., Ltd. GDR Preferred 445 461,198 560,519x


SAP SE 4,743 815,551 831,240x

Saputo Inc. 134,383 5,443,075 5,402,197x


Sekisui Chemical Co., Ltd. 31,900 667,815 725,883x

Seven & I Holdings Co., Ltd. 16,800 935,969 803,718x

SGS SA 161 547,853 572,676x


ShawCor Ltd. 9,644 196,140 120,839x


Shopify Inc. Cl. A 1,680 259,433 867,384x

Sika AG 3,473 587,784 847,405x


Spirax-Sarco Engineering PLC 4,600 527,741 703,401x

Stantec Inc. 50,248 1,735,610 1,844,102x








Taiwan Semiconductor Manufacturing Company, Ltd. ADR 12,500 665,557 943,072x



Tencent Holdings Limited 13,100 620,566 819,955x









TMX Group Limited 11,360 763,749 1,277,432x

Topdanmark A/S 10,256 630,344 656,516x



Tsuruha Holdings, Inc. 7,300 1,008,511 1,223,150x


United Technologies Corporation 7,830 1,473,179 1,522,707

66





Visa Inc. Cl. A 21,520 4,946,653 5,250,827x






Winpak, Ltd. 5,473 254,347 257,122x

Wolters Kluwer NV 13,067 1,027,803 1,237,537xxx

346,658,892 370,347,173xx



BlackRock CDN MSCI EAFE Equity Index Fund 2,698,601 46,860,195 55,421,290x


Boyd Group Income Fund 2,730 241,081 551,460x


iShares Core S&P Small-Cap ETF 550,808 27,913,594 59,973,858x





470,889,413 685,657,667xx


Kensington Private Equity Fund IV 1,549,698 $ 1,549,698 $ 6,258,842x




9,550,989 11,431,820xx







Cominar Real Estate Investment Trust 74,000 821,006 1,047,840x











NorthWest Healthcare Properties Real Estate Investment Trust 49,500 558,233 590,535

67






25,385,656 30,516,520xx


Apple Inc. 2.51% Aug 19/24 275,000 $ 277,160 $ 277,789x

AT&T Inc. 3.07% Jun 12/24* 1,673,000 2,201,835 2,211,590x


Black Press Group Ltd. 0.00% Mar 29/24 381,067 381,067 337,111x

Bombardier Inc. 6.13% Jan 15/23* 12,000 15,377 16,012x



Canadian Mortgage Pools 2.05% Jun 01/24 352,511 352,031 352,232x




Canadian Mortgage Pools 1.95% Aug 01/24 150,111 149,296 149,543x

Canadian Mortgage Pools 2.04% Aug 01/24 327,161 326,555 326,172x

Canadian Mortgage Pools 1.93% Sep 01/24 602,156 599,187 599,472x

Cogeco Cable Inc. 5.15% Nov 16/20 938,000 989,061 960,045x

Cigna Corporation 2.89% Jul 15/23* 118,000 152,528 154,148x

Cogeco Communications Inc. 4.93% Feb 14/22 411,000 437,721 430,330x

Cogeco Communications Inc. 4.18% May 26/23 775,000 806,738 807,404x




First National Canadian Mortgage Pools 2.40% Feb 01/24 394,598 398,880 398,229x

Ford Credit Canada Company 5.00% Jan 10/22 939,000 939,796 968,435x


Ford Motor Credit Company LLC 5.18% Jan 07/22* 956,000 1,288,879 1,283,215x


GE Capital Canada Funding Company 2.32% Feb 15/22 131,000 129,310 129,285x


General Electric Company 2.80% Apr 15/20* 38,000 49,200 49,410x

General Electric Company 2.89% Mar 15/23* 185,000 233,651 241,241x

General Electric Company 3.00% Apr 15/23* 69,000 86,133 89,673x

General Electric Company 2.27% May 05/26* 517,000 602,979 638,093x


Honda Canada Finance Inc. 2.30% Dec 18/20 561,000 561,115 561,939x

Hydro One Inc. 1.62% Apr 30/20 250,000 248,730 249,753x


Lloyds Bank PLC 2.38% May 07/21* 208,000 272,161 271,044x


MCAP Service 2.19% Mar 01/23 168,289 168,565 168,850x

MCAP Service 2.05% May 01/24 480,979 479,825 480,941x

Metropolitan Life Global Funding I 3.11% Apr 16/21 407,000 411,405 411,640x

Metropolitan Life Global Funding I 2.56% Sep 27/22 1,000,000 1,000,000 1,006,990x

NAV Canada 7.56% Mar 01/27 80,800 95,370 95,024x

Navient Corporation 5.63% Aug 01/33* 200,000 222,891 223,954x

Postmedia Network Inc. 8.25% Jul 15/23 290,000 290,000 288,704x

Royal Bank of Canada 2.41% Mar 23/20 127,000 127,470 127,119

68




Royal Bank of Scotland Group PLC 3.38% May 15/23* 54,000 69,254 70,926x

Scotia Capital Canadian Mortgage Pools 2.05% Feb 01/24 848,945 845,880 847,801x

SNC-Lavalin Group Inc. 2.69% Nov 24/20 96,000 94,423 95,874x



Sobeys Inc. 4.70% Aug 08/23 996,000 1,036,529 1,054,097x

Sobeys Inc. 6.06% Oct 29/35 229,000 251,954 270,159x

Sobeys Inc. 5.79% Oct 06/36 72,000 77,550 82,727x

Sobeys Inc. 6.64% Jun 07/40 16,000 19,222 20,377x

SSL Robotics LLC 9.75% Dec 31/23* 3,047,000 3,949,512 4,312,783x

Stuart Olson Inc. 7.00% Sep 20/24 254,000 254,000 230,607x

The Bank of Nova Scotia 2.15% Apr 02/20 707,000 707,771 707,433x


The Manufacturers Life Insurance Company 2.10% Jun 01/25 828,000 819,058 827,682x

The Manufacturers Life Insurance Company 2.39% Jan 05/26 930,000 921,989 931,247x


The Toronto-Dominion Bank 1.68% Jun 08/21 621,000 616,979 618,289x


TransCanada PipeLines Limited 4.12% May 15/67* 1,074,000 1,285,551 1,168,961x

UniCredit SPA 5.90% Jan 14/22* 723,000 959,927 984,501x

UniCredit SPA 3.75% Apr 12/22* 649,000 803,934 863,940x

Videotron, Ltd. 5.63% Jun 15/25 530,000 550,156 571,241x

Videotron, Ltd. 5.75% Jan 15/26 209,000 221,018 219,842x

Videotron, Ltd. 4.50% Jan 15/30 522,000 522,000 528,982x


WTH Car Rental, ULC 2.78% Jan 20/25 280,000 280,997 281,631x

Yellow Pages Digital & Media Solutions Limited 8.00% Nov 30/22 681,000 677,378 694,620xxx

59,517,685 60,078,029xx


Government of Canada 1.56% Jan 23/20 526,000 $ 525,483 $ 525,484x

Government of Canada 1.62% Feb 20/20 27,000 26,939 26,939x



Government of Canada 1.65% Apr 02/20 906,000 902,212 902,212x



United States Treasury Bill 1.52% Mar 12/20 373,000 490,794 482,911xxx

6,200,421 6,180,567xxx

Total Investments: 99.00% $ 918,203,056 $ 1,164,211,776xxx



Net Assets: 100% $ 1,175,963,996xxx


69

COMPASS MAXIMUM GROWTH PORTFOLIOSTATEMENTS OF FINANCIAL POSITIONAS AT


x

Assetsx

x

Current assetsx

Investments (Note 11) $ 254,169,369 $ 190,681,559x

Cash 1,704,157 1,192,135x

Amount receivable for units issued 276,180 184,349x

Amount receivable for securities sold 625 294,850x


Amount receivable on open forward contracts (Note 10) 765,206 -xxx

Total Assets 257,124,848 192,554,132xx

xx

Liabilitiesx

x


Amount payable for securities purchased 9,022 9,857x

Amount payable on open forward contracts (Note 10) 14 988,163x

Amount payable for units redeemed 246,565 118,655x




603,837 1,440,164

xxx

Net assets attributable to holders of redeemable units $ 256,521,011 $ 191,113,968xxx














70

COMPASS MAXIMUM GROWTH PORTFOLIOSTATEMENTS OF COMPREHENSIVE INCOMEFOR THE YEARS ENDED DECEMBER 31,

2019 2018x

x

Incomex




Interest for distribution purposes 54,756 (20,878)x







Net realized gain (loss) on forward contracts (289,935) (1,182,989)x



Other Incomex

Net realized gain (loss) on foreign currency transactions 21,423 52,355x


Other Income 18,173 55,499xxx


Expensesx



Independent review committee fees (Note 8) 316 271x



Legal fees 620 729x



Bank charges 168 200x






Series A $ 12,130,446 $ (4,239,387)x

Series O 21,711,412 (4,583,958)x

Series F1 6,668,538 (1,889,900)xxx



Series A 2,772,575 2,355,058x

Series O 4,131,403 3,529,237x

Series F1 1,445,892 1,402,613x


Series A $ 4.38 $ (1.80)x

Series O $ 5.26 $ (1.30)x

Series F1 $ 4.61 $ (1.35)xxx


71

COMPASS MAXIMUM GROWTH PORTFOLIOSTATEMENTS OF CHANGES IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITSFOR THE YEARS ENDED DECEMBER 31,

2019 2018x

x


Series A $ 62,241,261 $ 54,188,439x

Series O $ 94,878,711 $ 89,583,027x

Series F1 $ 33,993,996 $ 33,597,633x


Series A 12,130,446 (4,239,387)x

Series O 21,711,412 (4,583,958)x

Series F1 6,668,538 (1,889,900)x



Series A (67,571) (455,835)x

Series O (2,353,336) (2,674,858)x

Series F1 (405,030) (646,701)x

Capital gainsx

Series A (2,145,277) (1,257,027)x

Series O (3,541,970) (2,074,362)x

Series F1 (1,079,998) (739,886)x



Series A 17,585,592 23,237,101x

Series O 36,796,693 26,467,600x

Series F1 27,627,549 16,940,702x


Series A 2,207,194 1,712,739x

Series O 5,663,409 4,493,853x

Series F1 1,441,730 1,371,606x


Series A (11,910,499) (10,944,769)x

Series O (11,981,148) (16,332,591)x

Series F1 (32,940,691) (14,639,458)x

xxx


Series A $ 80,041,146 $ 62,241,261x

Series O $ 141,173,771 $ 94,878,711x

Series F1 $ 35,306,094 $ 33,993,996x

xxx


Series A 2,631,496 2,087,771x

Series O 3,736,515 3,202,949x

Series F1 1,476,795 1,326,181x


Series A 670,272 890,951x

Series O 1,280,797 929,322x

Series F1 1,057,115 653,673x


Series A 80,409 72,412x

Series O 191,263 176,976x

Series F1 54,139 59,586x


Series A (452,972) (419,638)x

Series O (418,779) (572,732)x

Series F1 (1,254,980) (562,645)x

xxx


Series A 2,929,205 2,631,496x

Series O 4,789,796 3,736,515x

Series F1 1,333,069 1,476,795xxx


72

COMPASS MAXIMUM GROWTH PORTFOLIOSTATEMENTS OF CASH FLOWSFOR THE YEARS ENDED DECEMBER 31,

2019 2018x

x



Adjustments for:x

Net unrealized foreign exchange (gain) loss on cash 162 (4)x









Interest for distribution purposes (54,588) 21,078x

Interest received (paid) 54,588 (21,078)x


(24,445,289) (25,589,934)xxx

Net change in non-cash working capital 14,514 6,887x




Distributions to holders of redeemable units, net of reinvested distributions (270,616) -x



Unrealized foreign exchange gain (loss) on cash (162) 4x

Net increase (decrease) in cash during the year 512,022 (731,642)xxx




x

See accompanying notes to financial statementsx


73

COMPASS MAXIMUM GROWTH PORTFOLIOSCHEDULE OF INVESTMENTSAS AT DECEMBER 31, 2019


Equities: (33.62%)x

3M Co. 1,060 $ 238,272 $ 242,836x

A.O. Smith Corporation 4,344 278,108 268,732x


Accenture PLC Cl. A 300 76,388 82,031x

Adyen NV 35 35,139 37,267x

AIA Group Limited 6,800 91,939 92,695x

Air Liquide SA 1,172 195,181 215,438x


Alcon Inc. 345 26,873 25,367x

ALD SA 3,646 73,172 73,500x


Allegion PLC 2,267 320,257 366,622x

Allergan PLC 590 125,262 146,464x

Alphabet Inc. Cl. C 780 1,269,490 1,354,226x


Altus Group, Ltd. 2,610 78,307 99,076x

Amadeus IT Group, SA 741 75,681 78,575x

Amazon.com, Inc. 168 400,564 403,118x


AMETEK, Inc. 6,840 822,254 885,899x

Amphenol Corp. Cl. A 4,155 531,557 583,952x



Anheuser-Busch InBev SA 775 94,445 82,079x

Ansys Inc. 2,740 759,475 915,872x

Aon PLC Cl. A 1,150 289,715 311,046x

AptarGroup, Inc. 4,630 698,401 695,141x

ASSA ABLOY AB Series B 5,917 176,425 179,653x


Badger Daylighting, Ltd. 842 28,703 29,588x


Baxter International Inc. 4,640 492,224 503,833x

BCE Inc. 3,879 226,207 233,361x

Becton, Dickinson and Company 2,860 918,755 1,010,057x

BlackRock, Inc. 415 254,928 270,904x

Booking Holdings Inc. 164 402,392 437,367x

Brookfield Asset Management Inc. Cl. A Limited Voting 12,962 813,750 972,539x

Bunzl PLC 4,777 170,132 169,675x

CAE Inc. 11,452 406,157 393,720x

Calian Group, Ltd. 957 32,906 36,844x




Canadian Pacific Railway Company 3,645 883,290 1,206,604x



CCL Industries Inc. Cl. B 12,084 659,941 668,487x



CGI Inc. 2,380 247,356 258,635x

China Mobile Limited 5,500 63,307 60,034

74

COMPASS MAXIMUM GROWTH PORTFOLIOSCHEDULE OF INVESTMENTSAS AT DECEMBER 31, 2019 (CONTINUED)



CME Group Inc. Cl. A 3,540 930,353 922,683x

Cogeco Inc. 965 76,317 100,447x

Colliers International Group Inc. 874 69,652 88,361x

Comcast Corporation Cl. A 16,390 960,835 957,107x

Compass Group PLC 4,034 131,243 131,142x

Constellation Software Inc. 212 154,125 267,366x

Cott Corporation 22,613 390,017 401,155x

Croda International PLC 1,362 110,652 119,947x


Currency Exchange International, Corp. 277 7,109 4,986x

Danaher Corporation 420 78,017 83,707x

DBS Group Holdings Limited 4,700 116,254 117,440x


Deutsche Boerse AG 632 120,624 129,017x

Diageo PLC 1,420 76,599 78,172x

Ecolab Inc. 1,200 300,832 300,729x


Enbridge Inc. 21,262 1,023,622 1,097,757x

Enghouse Systems Limited 16,743 649,350 806,678x


FactSet Research Systems Inc. 430 152,761 149,812x


Fastenal Company 5,200 253,521 249,503x

Finning International Inc. 26,101 673,856 660,355x

First National Financial Corporation 491 16,436 18,697x

FirstService Corporation 473 47,704 57,181x

Fortis Inc. 28,738 1,448,992 1,548,403x


FUCHS PETROLUB SE Preferred 1,388 74,506 89,280x



Gildan Activewear Inc. Cl. A 20,750 764,106 796,592x

Gilead Sciences, Inc. 4,820 417,670 406,710x

Glanbia PLC 5,121 100,207 76,531x

Great-West Lifeco Inc. 14,220 471,960 472,957x

Halma PLC 3,249 103,466 118,252x


Hologic, Inc. 4,830 302,714 327,461x



IAA, Inc. 10,255 535,631 626,681x

IHS Markit, Ltd. 580 48,949 56,750x


Intercontinental Exchange, Inc. 5,100 596,127 612,922x

InterContinental Hotels Group PLC 1,815 154,799 162,589x


Intertek Group PLC 1,890 173,362 190,243x

Intuit Inc. 1,540 525,417 523,799x


Japan Exchange Group, Inc. 4,700 102,034 108,409

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Johnson & Johnson 3,950 705,320 748,207x

JPMorgan Chase & Co. 4,450 705,932 805,529x


Kerry Group PLC Cl. A 412 63,717 66,672x

Kinaxis Inc. 423 30,188 42,308x

Knight Therapeutics Inc. 52 429 394x

Kone OYJ Series B 864 65,194 73,345x

Legrand SA 957 91,736 101,257x

LG Household & Health Care, Ltd. Preferred 96 77,243 83,111x

Linde Public Limited Company 1,600 412,964 442,338x


Loblaw Companies Limited 10,312 618,045 690,904x

LVMH Moet Hennessy Louis Vuitton SA 300 166,397 180,995x

Magna International Inc. 10,775 760,031 767,180x


Manulife Financial Corporation 11,792 285,379 310,837x


MasterCard Incorporated Cl. A 1,689 595,566 654,883x

Metro Inc. 8,897 496,804 476,790x

Microsoft Corporation 5,330 969,825 1,091,484x






Nestlé SA 780 111,259 109,659x


NFI Group Inc. 17,019 496,760 453,556x


Nike Inc. Cl. B 5,440 628,926 715,665x

Nomura Research Institute, Ltd. 3,000 83,051 83,825x

Novartis AG ADR 1,120 133,739 137,715x

Novozymes A/S Series B 1,228 74,311 78,033x

Nutrien Ltd. 10,560 673,120 656,515x


Open Text Corporation 8,643 411,564 494,552x

Oracle Corporation 900 65,468 61,917x

Parkland Fuel Corporation 13,949 468,422 665,507x

Paychex, Inc. 4,770 534,656 526,869x



PepsiCo, Inc. 2,230 391,004 395,764x


Power Corporation of Canada 12,943 414,650 432,943x

PPG Industries Inc. 407 64,397 70,551x


Quebecor Inc. Cl. B 11,870 397,301 393,372x


Recipe Unlimited Corp. 1,391 35,359 27,097x

Recordati SPA 1,779 101,877 97,354x

RELX PLC 5,582 172,363 182,954

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Restaurant Brands International Inc. 5,194 452,447 429,959x



Roche Holding AG 337 127,041 141,982x

Rogers Communications Inc. Cl. B 9,337 565,762 602,050x


RPM International, Inc. 3,558 321,897 354,650x

S&P Global, Inc. 1,836 582,998 650,989x

Sampo OYJ Series A 2,239 129,374 126,897x

Samsung Electronics Co., Ltd. GDR Preferred 64 69,738 80,614x


SAP SE 680 113,650 119,174x

Saputo Inc. 31,528 1,283,667 1,267,426x


Sekisui Chemical Co., Ltd. 4,600 95,103 104,673x

Seven & I Holdings Co., Ltd. 2,400 119,801 114,817x

SGS SA 23 76,424 81,811x

Shaw Communications Inc. Cl. B Non-Voting 9,931 267,852 261,682x

ShawCor Ltd. 3,305 63,586 41,412x


Shopify Inc. Cl. A 430 84,404 222,009x

Sika AG 498 100,257 121,511x


Spirax-Sarco Engineering PLC 659 89,418 100,770x

Stantec Inc. 11,966 401,453 439,152x

State Street Corporation 6,980 593,612 716,953x

Stella-Jones Inc. 12,399 492,048 465,210x



Sun Life Financial Inc. 16,250 985,369 962,162x



Taiwan Semiconductor Manufacturing Company, Ltd. ADR 1,800 106,183 135,802x



Tencent Holdings Limited 1,900 113,123 118,925x




The Hershey Company 2,710 502,081 517,233x

The Procter & Gamble Company 5,530 843,291 896,905x

The Sherwin-Williams Company 354 240,045 268,246x


Thomson Reuters Corporation 8,263 657,085 767,550x

TMX Group Limited 2,936 215,967 330,153x

Topdanmark A/S 1,470 99,512 94,099x

Toromont Industries Ltd. 11,273 631,492 795,761x

TriMas Corporation 6,860 277,668 279,802x

Tsuruha Holdings, Inc. 1,000 137,736 167,555x

Union Pacific Corporation 1,300 299,962 305,194x

United Technologies Corporation 1,970 367,160 383,108

77




Verizon Communications Inc. 10,150 791,903 809,269x

Visa Inc. Cl. A 5,370 1,224,302 1,310,267x

Wabtec Corporation 830 80,669 83,853x

Waters Corporation 2,670 757,569 810,095x

Wells Fargo & Company 7,860 518,524 549,115x


Willis Towers Watson PLC 2,700 659,805 708,019x

Winpak, Ltd. 1,862 86,553 87,477x

Wolters Kluwer NV 1,873 176,192 177,386xxx

81,331,425 86,234,594xx


BlackRock CDN MSCI EAFE Equity Index Fund 518,528 $ 9,533,655 $ 10,649,041x


Boyd Group Income Fund 930 101,772 187,860x


iShares Core S&P Small-Cap ETF 131,503 8,837,471 14,318,496x



Mawer International Equity Fund 678,574 33,217,325 41,442,010x


117,964,788 158,335,174xx


Kensington Private Equity Fund IV 201,905 $ 201,905 $ 815,443x

KMC Holdings Limited Partnership 232,397 232,397 32,834x

TriWest Capital Partners Private Equity Fund III 984,016 984,016 378,679x

TriWest Capital Partners Private Equity Fund IV 409,524 409,524 508,463xxx

1,827,842 1,735,419xx


Allied Properties Real Estate Investment Trust 11,600 $ 388,993 $ 604,012x


Boardwalk Real Estate Investment Trust 7,625 356,299 350,216x

Canadian Apartment Properties Real Estate Investment Trust 15,902 607,986 842,965x

Choice Properties Real Estate Investment Trust 39,251 438,326 545,982x

Cominar Real Estate Investment Trust 17,500 195,845 247,800x


CT Real Estate Investment Trust 26,230 392,623 423,352x



First Capital Real Estate Investment Trust 13,530 276,824 279,665x

Granite Real Estate Investment Trust 5,197 281,904 342,898x

H&R Real Estate Investment Trust 48,158 997,169 1,016,134x




NorthWest Healthcare Properties Real Estate Investment Trust 11,800 133,246 140,774x

RioCan Real Estate Investment Trust 30,400 728,803 813,504x

SmartCentres Real Estate Investment Trust 12,400 333,944 387,004x


6,187,178 7,266,198xx

78




Government of Canada 1.62% Feb 20/20 46,000 $ 45,896 $ 45,896x

Government of Canada 1.65% Apr 02/20 126,000 125,473 125,473x



United States Treasury Bill 1.52% Mar 12/20 115,000 151,323 148,887xxx

604,669 597,984xxx

Total Investments: 99.08% $ 207,915,902 $ 254,169,369xxx

Forward currency contracts: 0.30% (Note 10) 765,192x


Net Assets: 100% $ 256,521,011xxx


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NOTES TO THE FINANCIAL STATEMENTSFOR THE YEAR ENDED DECEMBER 31, 2019

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1. Organization of the Compass Portfolio Series, Reporting Periods and General Information:a. Organization of the PortfoliosThe Compass Portfolio Series (individually, a “Portfolio” and collectively the “Portfolios”) is a comprehensive series of strategic assetallocation models, each designed to meet an investor’s unique profile and objectives. The Portfolios are open-ended Canadianmutual fund trusts established pursuant to the Master Declaration of Trust dated November 14, 2002, as amended and restatedeffective October 31, 2011, and as amended by supplemental trust deed dated September 21, 2016 (the “Declaration of Trust”). ATBInvestment Management Inc. (“ATBIM”), a corporation incorporated under the laws of Alberta, is the trustee and manager of each ofthe Portfolios. The registered office of ATBIM is at 21st Floor, 10020 – 100th Street NW, Edmonton, AB, T5J 0N3. The Portfolioscommenced operations on December 11, 2002 and invest in a variety of financial assets in order to profit on a total return basis,through investment income and capital appreciation. The financial statements of the Portfolios are presented in Canadian dollars.

The financial statements of the Portfolios were authorized for issue by ATB Investment Management Inc. (the “Manager”) on March19, 2020.

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The Portfolios Inception Date Investment Objective

Compass Conservative Portfolio December 11, 2002 To provide investors with income and some capital appreciation whilepreserving principal and reducing volatility, by investing in a portfolio ofprimarily fixed income securities.

Compass Conservative Balanced Portfolio December 11, 2002 To provide investors with long-term capital appreciation and some incomewhile reducing short-term volatility by investing in a balanced portfolio offixed income and equity securities, with a bias towards fixed incomesecurities.

Compass Balanced Portfolio December 11, 2002 To provide investors with long-term capital appreciation while reducingshort-term volatility by investing in a balanced portfolio of fixed income andequity securities.

Compass Balanced Growth Portfolio December 11, 2002 To provide investors with long-term capital appreciation by investing in abalanced portfolio of equity and fixed income securities, with a bias towardsequity securities.

Compass Growth Portfolio December 11, 2002 To provide investors with long-term capital appreciation by investing in adiversified portfolio of primarily equity securities, with some fixed incomesecurities to reduce volatility.

Compass Maximum Growth Portfolio December 11, 2002 To provide investors with long-term capital appreciation by investing in adiversified portfolio of equity securities.

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The Portfolios issue Series A, Series O and Series F1 units (the “Series”). The different Series of each Portfolio are intended for differentkinds of investors and carry different management fee rates as described in Note 5. Units of all series otherwise rank equally with allother units within each Portfolio. Effective October 31, 2011, the designation of Series F Units was changed to Series O and the Fundbegan to offer Series F1 units. Series A units of the Portfolios are available to all investors, subject to the minimum investmentrequirement of $1,000. Series F1 and Series O units are designed for investors with fee-based accounts and are available at thediscretion of the Manager.

b. General InformationThe Manager serves as investment advisor of the Portfolios. The Portfolios invest in a mix of third party mutual funds, institutionalpooled funds, exchange traded securities, private equities, Canadian government and corporate bonds, real estate, term loans,mortgage backed securities or investment trusts, and other investments from reputable investment management firms in theindustry to satisfy the strategic asset allocation goals of the Portfolios. These investments are called the “underlying funds” or the“underlying investments”. The underlying investments of the Portfolios are selected to achieve and add value to the asset allocationas a whole. Additional diversification is realized beyond each asset class through diversification by geography, management style,market sector, market capitalization and investment manager. Management believes such thorough diversification serves to providea superior risk-adjusted rate of return by minimizing volatility and maximizing long-term performance results.

The Portfolios are monitored and re-balanced regularly by the Manager, ensuring that each Portfolio maintains its target weighting ofunderlying investments. The Portfolios’ accounting policies for measuring the fair value of their investments and derivatives aresubstantially similar to those used in measuring their net asset value (“NAV”) for transactions with unitholders. The NAV is the value ofthe total assets of a Portfolio less the value of its total liabilities determined, on each valuation day, in accordance with Part 14 ofNational Instrument 81-106 Investment Fund Continuous Disclosure for the purpose of processing unitholder transactions.

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NOTES TO THE FINANCIAL STATEMENTSFOR THE YEAR ENDED DECEMBER 31, 2019 (CONTINUED)

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2. Summary of Significant Accounting PoliciesThese financial statements have been prepared in compliance with International Financial Reporting Standards (IFRS), as publishedby the International Accounting Standards Board (IASB). These financial statements have been prepared under the historical costconvention, as modified by the revaluation of financial assets and financial liabilities, including derivative financial instruments, at fairvalue through profit or loss (FVTPL).

The significant accounting policies of the Portfolios are as follows:

a. Financial Instruments(i) Financial assets

Under IFRS 9, financial assets are measured at amortized cost, at FVTPL or fair value through other comprehensive income dependingon contractual cash flow characteristics and the business model from which they are held. The Portfolios classify their investmentsbased on both the Portfolios business model for managing those financial assets and the contractual cash flow characteristics of thefinancial assets. The portfolio of financial assets is managed and performance is evaluated on a fair value basis. The Portfolios areprimarily focused on fair value information and uses that information to assess the assets’ performance and to make decisions. ThePortfolios have not taken the option to irrevocably designate any equity securities as fair value through other comprehensiveincome. The contractual cash flows of the Portfolios debt securities are solely principal and interest, however, these securities areneither held for the purpose of collecting contractual cash flows nor held both for collecting contractual cash flows and for sale. Thecollection of contractual cash flows is only incidental to achieving the Portfolios business model’s objective. Consequently, allinvestments are measured at fair value through profit or loss (FVTPL).

(ii) Financial liabilities

Derivative financial instruments, such as forward contracts, that have a negative fair value are presented as liabilities at fair valuethrough profit or loss.The Portfolios obligation concerning net assets attributable to holders of redeemable units is recorded at theredemption amount, which approximates fair value. All other financial assets and liabilities are classified as and measured atamortized cost.

Financial instruments may include financial assets and liabilities such as debt and equity securities, open-ended investment funds,derivatives, cash and cash equivalents and other receivables and payables. Debt and equity securities, and open-ended investmentfunds, as applicable, are collectively classified and presented as Investments (non-derivative positions) on the Statements of FinancialPosition. Derivative financial instruments are presented as amounts receivable/payable on open forward contracts on the Statementof Financial Position. Unfunded committed capital for private equity investments is not presented in the Statement of FinancialPosition, as unfunded committed capital represents a loan committment that is not within the scope of IAS 39 Financial instruments:Recognition and measurement.

The accounting policies used to measure the fair value of investments and derivative financial instruments for purposes of thesefinancial statements are identical to those used in measuring the net asset value for transactions with investors, except in the casewhere the closing price of equity securities is not within the bid-ask spread. As at December 31, 2019 and December 31, 2018, therewere no differences between the Portfolios net asset value per unit and the net assets per unit attributable to holders of redeemableunits in accordance with IFRS.

Each of the Portfolios has issued multiple series which carry different management fee rates as described in Note 5. As a result, allredeemable units issued by the Portfolios do not have ‘identical features’. In addition, the Portfolios are required to distribute incomeannually in cash or additional units at the option of the unitholder, which represents a contractual obligation apart from the ongoingredemption feature. Therefore, the units are classified as financial liabilities in accordance with the requirements of IAS 32, FinancialInstruments: Presentation.

The interest for distribution purposes shown on the Statements of Comprehensive Income represents the coupon interest receivedby the Portfolios accounted for on an accrual basis. The Portfolios do not amortize premiums paid or discounts received on thepurchase of fixed income securities except for zero coupon bonds which are amortized. Realized gain (loss) on sale of investmentsand change in unrealized appreciation (depreciation) on investments and forward currency contracts are determined on an averagecost basis. Dividends, Income and capital gain distribution from underlying funds are recognized on the ex-distribution date.

At each reporting date, the Manager assesses whether there is objective evidence that a financial asset at amortized cost is impaired.If such evidence exists, the Portfolios recognize an impairment loss as the difference between the amortized cost of the financial

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asset and the present value of the estimated future cash flows, discounted using the instrument’s original effective interest rate.Impairment losses on financial assets at amortized cost are reversed in subsequent periods if the amount of the loss decreases andthe decrease can be related objectively to an event occurring after the impairment was recognized.

b. Fair Value MeasurementsFair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between marketparticipants at the measurement date. The fair value of financial assets and liabilities traded in active markets are based on quotedmarket prices at the close of trading on the reporting date. The Portfolios use the last traded market price for both financial assetsand financial liabilities where the last traded price falls within that day’s bid-ask spread. In circumstances where the last traded price isnot within the bid-ask spread, the Manager determines the point within the bid-ask spread that is most representative of fair valuebased on the specific facts and circumstances.

The fair value of financial assets and liabilities that are not traded in an active market is determined using valuation techniques. TheManager uses a variety of methods and makes assumptions that are based on market conditions existing at each reporting date.Valuation techniques include the use of comparable recent arm’s length transactions, reference to other instruments that aresubstantially the same, discounted cash flow analysis, option pricing models and others commonly used by market participants andwhich make the maximum use of observable inputs.

Certain Portfolios may enter into forward foreign currency contracts in a manner consistent with the investment objective andstrategy of each Portfolio and as permitted by applicable securities legislation. Foreign currency exchange spot contracts andforward foreign currency exchange contracts are valued on each valuation day based on the difference between the value of thecontract on the date the contract originated and the value of the contract on the valuation date. Realized and unrealized gains orlosses on the contracts are recorded as net realized gain (loss) on forward contracts and net change in unrealized appreciation(depreciation) on forward contracts, respectively, in the Statements of Comprehensive Income.

For assets and liabilities carried at amortised cost, their carrying values are a reasonable approximation of fair value.

The Portfolios classify fair value measurements within a hierarchy that priortizes the inputs to fair value measurement. The Portfolios’policy is to recognize transfers into and out of the fair value hierarchy levels as of the date of the event or change in circumstancesgiving rise to the transfer. The classification of each Portfolio’s financial instruments within the fair value hierarchy and any transfersbetween levels during the period are discussed in Note 11.

c. Increase (Decrease) in Net Assets Attributable to Holders of Redeemable Units per UnitThe increase (decrease) in net assets attributable to holders of redeemable units per unit is calculated by dividing the increase(decrease) in net assets attributable to holders of redeemable units by the weighted average number of units outstanding during theperiod. Refer to the Statements of Comprehensive Income for the calculation.

Expenses directly attributable to a Series of the Portfolios are charged to that specific Series. Other expenses, investment income,realized and unrealized capital and foreign exchange gains and losses are allocated proportionately to each Series based upon therelative NAV of each Series.

d. TaxationThe Portfolios qualify as mutual fund trusts under the Income Tax Act (Canada). All of the Portfolios’ net income for tax purposes andsufficient net capital gains realized in any period are required to be distributed to unitholders such that no income tax is payable bythe Portfolios. As a result, management of the Portfolios have determined that it is in substance the Portfolios are not taxable andtherefore, do not record income taxes. Since they do not record income taxes, the tax benefit of capital and non-capital losses havenot been reflected in the Statements of Financial Position as deferred income tax assets. As at December 31, 2019 and December 31,2018 there are no capital or non-capital losses.

The Portfolios currently incur withholding taxes imposed by certain countries on investment income and capital gains. Such incomeand gains are recorded on a gross basis and the related withholding taxes are reported as Withholding Taxes in the Statements ofComprehensive Income.

e. Foreign Currency TranslationThe Portfolios’ subscriptions and redemptions are denominated in Canadian dollars, which is also their functional and presentationcurrency. Foreign currency transactions are translated into the functional currency using the exchange rates prevailing at the datesthat transactions occur. Foreign currency assets and liabilities denominated in a foreign currency are translated into the functionalcurrency using the exchange rate prevailing at the measurement date. Foreign currency gains and losses relating to cash, and other

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financial assets and liabilities are presented as ‘Net realized gain (loss) on foreign currency transactions’ and ‘Net change in unrealizedappreciation (depreciation) on foreign currency translations’. Foreign currency gains and losses relating to investments andderivatives are presented within ‘Net realized gain (loss) on sale of investments’ and ‘Net change in unrealized appreciation(depreciation) on investments’ in the Statements of Comprehensive Income.

f. CashCash is comprised of deposits with financial institutions.

g. OffsettingFinancial assets and liabilities are offset and the net amount reported in the Statements of Financial Position where the Portfolioshave a legally enforceable right to set-off the recognized amounts and there is an intention to settle on a net basis or realize the assetand settle the liability simultaneously. In all other situations they are presented on a gross basis. In the normal course of business, thePortfolios may enter into various master netting agreements or other similar arrangements that do not meet the criteria for offsettingin the Statements of Financial Position but still allow for the related amounts to be set-off in certain circumstances, such asbankruptcy or the termination of the contracts.

h. Critical Accounting Estimates and JudgmentsThe preparation of financial statements requires management to use judgment in applying its accounting policies and to makeestimates and assumptions about the future. The following discusses the most significant accounting judgments and estimates thatthe Manager has made in preparing the financial statements:

Fair value measurement of investments not quoted in an active marketThe Portfolios hold financial instruments that are not quoted in active markets. Fair values of such instruments are determined usingvaluation techniques and may be determined using reputable pricing sources (such as pricing agencies) or indicative prices frommarket makers. Broker quotes as obtained from the pricing sources may be indicative and not executable or binding. Where nomarket data is available, the Portfolios may value positions using the Manager’s own models, which are usually based on valuationmethods and techniques generally recognized as standard within the industry. The models used to determine fair values arevalidated and periodically reviewed by experienced personnel of the Manager, independent of the party that created them. Themodels used observable data, to the extent practicable. However, areas such as credit risk (both own and counterparty), volatilitiesand correlations require the Manager to make estimates. Changes in assumptions about these factors could affect the reported fairvalues of investments. Refer to Note 11 for further information about the fair value measurement of the Portfolios' financialinstruments.

Classification and measurement of investments and application of the fair value option under IFRS 9In classifying and measuring financial instruments held by the Portfolios, the Manager is required to make significant judgmentsabout the business model in which the asset is held for the purpose of applying the fair value option for financial assets under IFRS 9.

i. Investment EntityEach Portfolio has determined that they meet the definition of an ‘investment entity’ and as a result, each measures subsidiaries, ifany, at FVTPL. An investment entity is an entity that: obtains funds from one or more investors for the purpose of providing themwith investment management services, commits to its investors that its business purpose is to invest funds solely for returns fromcapital appreciation, investment income, or both, and measures and evaluates the performance of substantially all of its investmentson a fair value basis. The most significant judgment that the Portfolio has made in determining that it meets this definition is that fairvalue is the primary measurement attribute used to measure and evaluate the performance of substantially all of its investments. ThePortfolios' investments may also include associates and joint ventures which are also designated at FVTPL at inception.

j. Interest in Unconsolidated Structured EntitiesA structured entity is an entity that has been designed so that voting or similar rights are not the dominant factor in deciding whocontrols the entity, such as when any voting rights relate to administrative tasks only and the relevant activities are directed bymeans of contractual arrangements. The Manager has determined that all of the underlying funds, exchange traded funds, privateequity funds and mortgage backed securities in which the Portfolios invest are unconsolidated structured entities. In making thisdetermination, the Manager evaluated the fact that decision making about the underlying funds, exchange traded funds, privateequity funds and mortgage backed securities’ activities is generally not governed by voting or similar rights held by the Portfoliosand other investors.

The Portfolios may invest in underlying funds, exchange traded funds, private equity funds and mortgage backed securities whoseinvestment objectives range from achieving short- to long-term income and capital growth potential. The Portfolios’ interests inthese securities as at December 31, 2019 and December 31, 2018, are included at their fair value in the Statements of Financial

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Position, which represent the Portfolios’ maximum exposure in these investments. The change in fair value of each of the underlyingfunds, exchange traded funds, private equity funds and mortgage backed securities during the periods is included in Net change inunrealized appreciation (depreciation) in the Statements of Comprehensive Income. Additional information on the Portfolios’interests in Unconsolidated Structured Entities, where applicable, is provided in Note 4 to the Financial Statements.

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3. Financial Instruments Risk and Related Risks:The Portfolios’ financial instruments expose them to a variety of financial instruments risks: market risk (including currency risk,interest rate risk and other price risk), credit risk and liquidity risk. The Portfolios’ overall risk management program focuses on theunpredictability of financial markets and seeks to minimize potential adverse effects on the Portfolios’ financial performance throughcareful selection of securities, regular monitoring and strategic asset allocation.

a. Currency RiskCurrency risk arises from the fluctuation in foreign exchange rates and the degree of volatility of these rates relative to the Canadiandollar and occurs when the Portfolios hold financial instruments denominated in a currency other than the Canadian dollar, thefunctional currency of the Portfolios. A Portfolio may enter into foreign exchange forward contracts for hedging purposes to reduceits foreign currency exposure or to establish exposure to foreign currencies.

The following tables indicate the foreign currencies to which the Portfolios had significant exposure as at December 31, 2019 andDecember 31, 2018, net of forward currency contracts. The tables also illustrate how Net Assets Attributable to Holders ofRedeemable Units would have increased or decreased as at December 31, 2019 and December 31, 2018, had foreign currencyexchange rates increased or decreased by 5% relative to the Canadian dollar, with all other factors remaining constant. In practice,actual results may differ from this sensitivity analysis and the differences could be material.

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As at December 31, 2019 Currency Non-Monetary Total MonetaryForward Currency

Contracts Net Exposure

Net Exposure as aPercentage of Net

Assets

Effect on NetAssets

Compass ConservativePortfolio CHF - - (8,023,967) (8,023,967) (0.44) (401,198)

EUR - - (23,920,101) (23,920,101) (1.32) (1,196,005)

GBP - 280 (13,125,474) (13,125,194) (0.72) (656,260)

JPY - 359 (6,382,409) (6,382,050) (0.35) (319,103)

SGD - 17 - 17 - 1

USD 109,086,851 158,486,883 (239,197,906) 28,375,828 1.56 1,418,791

109,086,851 158,487,539 (290,649,857) (23,075,467) (1,153,774)Compass ConservativeBalanced Portfolio CHF 8,131,125 - - 8,131,125 0.15 406,556

DKK 2,912,089 - - 2,912,089 0.05 145,604

EUR 30,252,038 255 - 30,252,293 0.56 1,512,615

GBP 22,178,454 41,548 - 22,220,002 0.41 1,111,000

HKD 5,191,154 - - 5,191,154 0.10 259,558

JPY 9,926,963 15,654 - 9,942,617 0.18 497,131

KRW 1,432,795 - - 1,432,795 0.03 71,640

NOK - - - - - -

SEK 3,036,427 - - 3,036,427 0.06 151,821

SGD 2,011,466 - - 2,011,466 0.04 100,573

USD 375,420,323 388,859,157 (681,939,589) 82,339,891 1.53 4,116,995

460,492,834 388,916,614 (681,939,589) 167,469,859 8,373,493

Compass Balanced Portfolio CHF 13,089,362 (33) - 13,089,329 0.24 654,466

DKK 4,642,602 - - 4,642,602 0.08 232,130

EUR 48,615,829 112 - 48,615,941 0.89 2,430,797

GBP 35,676,739 56,415 - 35,733,154 0.65 1,786,658

HKD 8,395,679 - - 8,395,679 0.15 419,784

JPY 15,850,301 25,116 - 15,875,417 0.29 793,771

KRW 2,302,862 - - 2,302,862 0.04 115,143

NOK - - - - - -

SEK 4,881,018 - - 4,881,018 0.09 244,051

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SGD 3,185,862 - - 3,185,862 0.06 159,293

USD 707,674,627 270,777,781 (753,232,868) 225,219,540 4.11 11,260,977

844,314,881 270,859,391 (753,232,868) 361,941,404 18,097,070Compass Balanced GrowthPortfolio CHF 7,146,085 - - 7,146,085 0.27 357,304

DKK 2,507,512 - - 2,507,512 0.09 125,376

EUR 26,432,231 - - 26,432,231 0.98 1,321,612

GBP 19,501,167 29,995 - 19,531,162 0.73 976,558

HKD 4,573,998 - - 4,573,998 0.17 228,700

JPY 8,690,722 13,708 - 8,704,430 0.32 435,222

KRW 1,256,185 - - 1,256,185 0.05 62,809

NOK - - - - - -

SEK 2,661,242 - - 2,661,242 0.10 133,062

SGD 1,761,594 - - 1,761,594 0.07 88,080

USD 406,080,623 84,952,883 (386,770,192) 104,263,314 3.87 5,213,166

480,611,359 84,996,586 (386,770,192) 178,837,753 8,941,889

Compass Growth Portfolio CHF 3,352,998 - - 3,352,998 0.29 167,650

DKK 1,200,906 - - 1,200,906 0.10 60,045

EUR 12,520,425 48 828 12,521,301 1.06 626,065

GBP 9,198,252 10,626 - 9,208,878 0.78 460,444

HKD 2,161,369 - - 2,161,369 0.18 108,068

JPY 4,087,212 5,837 - 4,093,049 0.35 204,652

KRW 582,641 - 8,714 591,355 0.05 29,568

NOK - - - - - -

SEK 1,253,046 - - 1,253,046 0.11 62,652

SGD 829,574 - - 829,574 0.07 41,479

USD 224,762,125 14,020,313 (174,703,599) 64,078,839 5.45 3,203,942

259,948,548 14,036,824 (174,694,057) 99,291,315 4,964,565Compass Maximum GrowthPortfolio CHF 480,330 - - 480,330 0.19 24,017

DKK 172,132 - - 172,132 0.07 8,607

EUR 1,792,616 32 166 1,792,814 0.70 89,641

GBP 1,318,739 1,485 - 1,320,224 0.51 66,011

HKD 311,398 - - 311,398 0.12 15,570

JPY 579,278 796 - 580,074 0.23 29,004

KRW 83,111 - 1,743 84,854 0.03 4,243

NOK - - - - - -

SEK 179,653 - - 179,653 0.07 8,983

SGD 117,440 - - 117,440 0.05 5,872

USD 55,690,942 387,237 (40,234,795) 15,843,384 6.18 792,169

60,725,639 389,550 (40,232,886) 20,882,303 1,044,117

X

X

As at December 31, 2018Currency Non-Monetary Total Monetary

Forward CurrencyContracts Net Exposure

Net Exposure as aPercentage of Net

Assets

Effect on NetAssets

Portfolio ($) ($) ($) ($) (%) ($)

Compass ConservativePortfolio CHF - - (4,213,261) (4,213,261) (0.25) (210,663)

CNY - - (4,707,671) (4,707,671) (0.28) (235,384)

EUR - - (22,945,016) (22,945,016) (1.37) (1,147,251)

GBP - 681 (15,156,955) (15,156,274) (0.90) (757,814)

JPY - 374 (8,002,781) (8,002,407) (0.48) (400,120)

SGD - 18 - 18 - 1

USD 84,258,377 117,486,500 (191,712,054) 10,032,823 0.60 501,641

85


84,258,377 117,487,573 (246,737,738) (44,991,788) (2,249,590)Compass ConservativeBalanced Portfolio CHF 8,065,510 - - 8,065,510 0.17 403,276

DKK 5,780,213 - 227,019 6,007,232 0.13 300,362

EUR 52,294,993 626,022 27,843 52,948,858 1.11 2,647,443

GBP 44,894,414 91,438 - 44,985,852 0.94 2,249,293

HKD 9,980,484 245,127 85,089 10,310,700 0.22 515,535

JPY 8,566,766 13,730 1,238,053 9,818,549 0.21 490,927

NOK 4,572,258 - - 4,572,258 0.10 228,613

SEK 2,762,425 - 401,848 3,164,273 0.07 158,214

SGD 1,910,193 - - 1,910,193 0.04 95,510

USD 103,553,577 276,395,525 (541,098,983) (161,149,881) (3.38) (8,057,494)

242,380,833 277,371,842 (539,119,131) (19,366,456) (968,321)

Compass Balanced Portfolio CHF 11,620,959 - - 11,620,959 0.25 581,048

DKK 8,193,299 - 191,681 8,384,980 0.18 419,249

EUR 75,651,435 158,251 24,524 75,834,210 1.62 3,791,711

GBP 64,976,444 232,497 (4,124) 65,204,817 1.40 3,260,241

HKD 14,496,322 206,528 116,432 14,819,282 0.32 740,964

JPY 12,824,659 22,095 1,049,684 13,896,438 0.30 694,822

NOK 6,344,007 - - 6,344,007 0.14 317,200

SEK 4,133,879 - 339,233 4,473,112 0.10 223,656

SGD 2,859,358 - - 2,859,358 0.06 142,968

USD 310,276,474 186,898,485 (608,550,216) (111,375,257) (2.39) (5,568,763)

511,376,836 187,517,856 (606,832,786) 92,061,906 4,603,096Compass Balanced GrowthPortfolio CHF 6,079,861 - - 6,079,861 0.27 303,993

DKK 4,331,816 - - 4,331,816 0.19 216,591

EUR 39,827,066 - 2,074 39,829,140 1.74 1,991,457

GBP 34,242,736 59,385 (11,210) 34,290,911 1.49 1,714,546

HKD 7,648,695 123 44,502 7,693,320 0.34 384,666

JPY 6,570,632 12,366 - 6,582,998 0.29 329,150

NOK 3,392,301 - - 3,392,301 0.15 169,615

SEK 2,118,411 - - 2,118,411 0.09 105,921

SGD 1,466,459 - - 1,466,459 0.06 73,323

USD 176,040,292 58,295,806 (322,247,515) (87,911,417) (3.83) (4,395,571)

281,718,269 58,367,680 (322,212,149) 17,873,800 893,691

Compass Growth Portfolio CHF 2,914,733 - - 2,914,733 0.31 145,737

DKK 1,672,094 - - 1,672,094 0.18 83,605

EUR 19,082,025 - 1,009 19,083,034 2.00 954,152

GBP 16,404,373 21,263 (5,481) 16,420,155 1.72 821,008

HKD 3,668,078 60 23,374 3,691,512 0.39 184,576

JPY 3,208,380 6,001 - 3,214,381 0.34 160,719

NOK 1,593,625 - - 1,593,625 0.17 79,681

SEK 1,035,175 - - 1,035,175 0.11 51,759

SGD 716,619 - - 716,619 0.08 35,831

USD 85,238,164 8,535,993 (146,593,607) (52,819,450) (5.54) (2,640,973)

135,533,266 8,563,317 (146,574,705) (2,478,122) (123,905)Compass Maximum GrowthPortfolio CHF 400,203 - - 400,203 0.21 20,010

DKK 411,489 - - 411,489 0.22 20,574

EUR 2,618,378 1 - 2,618,379 1.37 130,919

GBP 2,257,134 3,646 - 2,260,780 1.18 113,039

86


HKD 492,174 - - 492,174 0.26 24,609

NOK 443,347 - - 443,347 0.23 22,167

USD 19,700,221 16,992 (32,137,959) (12,420,746) (6.50) (621,037)

26,322,946 20,639 (32,137,959) (5,794,374) (289,719)

X..

As at December 31, 2019 and December 31, 2018, the Portfolios invested in underlying funds and may have been indirectly exposedto currency risk in the event that the underlying funds were invested in financial instruments which are denominated in currenciesother than Canadian dollars.

b. Interest Rate RiskInterest rate risk arises from the possibility that changes in interest rates will affect the future cash flows or fair values ofinterest-bearing financial instruments.

The Portfolios are exposed to interest rate risk in the event that they hold bonds or other fixed income securities and interest ratederivative instruments, if any. Where the Portfolio's invest in underlying funds, they may be indirectly exposed to interest rate risk inthe event that the underlying fund invests in debt securities or other fixed income securities, however, for the purposes of thisdisclosure, the analysis has been conducted on a look through basis and accounts for interest rate risk associated with any significantholdings of fixed income funds.

Short-term investments and cash are short-term in nature and/or non-interest bearing and not subject to significant amounts of riskdue to prevailing levels of market interest rates.

The following tables indicate the change in Net Assets as at December 31, 2019 and December 31, 2018, had prevailing interest ratesincreased or decreased by 1%, assuming a parallel shift in the yield curve, with all other variables constant for Portfolios which havesignificant direct exposures to interest rate risk. In practice, the actual results may differ and the differences could be material.

x

As at December 31, 2019

Portfolio Financial Instruments by Maturity Date Sensitivity Analysis

1-5 years ($) 5-10 years ($) Over 10 years ($) Total ($)

Change ininterest rates

(%)

Effect on NetAssets ($)

Compass Conservative Portfolio 982,773,035 185,738,074 253,855,769 1,422,366,878 1 53,538,364

Compass Conservative Balanced Portfolio 2,335,070,265 465,042,589 592,473,462 3,392,586,316 1 131,840,206

Compass Balanced Portfolio 1,664,516,572 316,408,054 393,744,464 2,374,669,090 1 90,779,316

Compass Balanced Growth Portfolio 500,502,945 102,071,938 117,061,056 719,635,939 1 27,211,411

Compass Growth Portfolio 73,016,191 16,899,530 19,070,760 108,986,481 1 4,545,308.

X

XAs at December 31, 2018

Portfolio Financial Instruments by Maturity Date Sensitivity Analysis

1-5 Years ($) 5-10 Years ($) Over 10 Years ($) Total ($)

Change inInterest Rates

(%)

Effect on NetAssets ($)

Compass Conservative Portfolio 831,949,369 354,687,330 153,428,377 1,340,065,076 1 40,041,787

Compass Conservative Balanced Portfolio 1,857,754,363 837,243,201 355,755,557 3,050,753,121 1 94,121,001

Compass Balanced Portfolio 1,240,984,324 611,332,182 227,480,824 2,079,797,330 1 63,703,390

Compass Balanced Growth Portfolio 380,102,636 187,439,211 72,345,690 639,887,537 1 19,916,579

Compass Growth Portfolio 55,243,136 22,634,390 15,452,753 93,330,279 1 3,751,481.

X

87


.

c. Other Price RiskOther price risk is the risk that the value of financial instruments will fluctuate as a result of changes in market prices (other thanthose arising from interest rate risk or currency risk), whether caused by factors specific to an individual investment, its issuer, orfactors affecting all instruments traded in a market or market segment. All securities present a risk of loss of capital and the maximumloss resulting from financial instruments is equivalent to their fair value. The Portfolios’ equity and use of derivative instruments,including any equity based underlying funds, exchange traded funds and/or real estate investment trusts, are susceptible to otherprice risk arising from uncertainties about future prices of such instruments. The Manager moderates this risk through a carefulselection of securities and other financial instruments within the parameters of the Portfolios investment strategy.

The following table indicates the change in Net Assets Attributable to Holders of Redeemable Units as at December 31, 2019 andDecember 31, 2018, had prices of these securities increased or decreased by 5%, with all other variables held constant. In practice, theactual trading results may differ and the differences could be material.

x

Change in market prices(%)

December 31, 2019Effect on Net Assets ($)

December 31, 2018Effect on Net Assets ($)

Compass Conservative Portfolio 5 18,089,149 16,261,847

Compass Conservative Balanced Portfolio 5 96,404,746 84,324,994

Compass Balanced Portfolio 5 152,354,080 127,892,611

Compass Balanced Growth Portfolio 5 97,112,570 81,716,506

Compass Growth Portfolio 5 52,452,236 42,703,541

Compass Maximum Growth Portfolio 5 12,678,569 9,519,828.

X..

As at December 31, 2019 and December 31, 2018, the Portfolios invested in underlying funds and may have been indirectly exposedto other price risk in the event the underlying funds were invested in equities and/or equity related derivatives.

d. Credit RiskCredit risk is the risk that one party to a financial instrument will cause a financial loss to the other party by failing to discharge anobligation. The main concentration to which the Portfolio's are exposed arises from the Portfolio’s investments in debt securities,including mortgage backed securities. The Portfolio’s are also exposed to counterparty credit risk on trading derivative products, cashand cash equivalents, amounts due from brokers and other receivable balances.

The Manager reviews each Portfolio’s credit positions as part of the investment management process and relies in part oninformation from the major ratings agencies. In the case of mortgage backed securities where credit rating agency information is notavailable, this process considers financial and market information including, debt service coverage and loan to value ratios, tenantquality, location, structure, and rent roll financial statements. Non-securitized mortgage backed securities are classified as not-ratedor BB and lower for the purposes of financial statement presentation.

The Portfolios invest in underlying funds and may be indirectly exposed to credit risk in the event that the underlying funds invest indebt securities and derivatives, however for the purposes of this disclosure the analysis has been conducted on a look through basisand accounts for credit risk associated with any underlying fixed income funds.

.

88


As at December 31, 2019 and December 31, 2018, the Portfolios’ credit risk exposures relating to fixed income securities grouped bycredit ratings, are as follows:

x

As at December 31, 2019 AA+ A BBB BB & Lower

Total % of FixedIncome

Securities(%) (%) (%) (%)

Compass Conservative Portfolio 42 18 28 12 100

Compass Conservative Balanced Portfolio 43 18 27 12 100

Compass Balanced Portfolio 43 17 27 13 100

Compass Balanced Growth Portfolio 44 17 27 12 100

Compass Growth Portfolio 53 17 21 9 100.

X

XAs at December 31, 2018

PortfolioAA+(%)

A(%)

BBB(%)

BB & Lower(%)

Total % of FixedIncome

Securities

Compass Conservative Portfolio 46 22 25 7 100

Compass Conservative Balanced Portfolio 49 20 25 6 100

Compass Balanced Portfolio 49 21 24 6 100

Compass Balanced Growth Portfolio 49 21 24 6 100

Compass Growth Portfolio 50 22 22 6 100.

X.

The Compass Maximum Growth Portfolio does not invest in fixed income securities and is not directly exposed to credit risk relatingto fixed income securities.

All other receivables, amounts due from brokers, cash and short term deposits are held with high credit quality counterparties.

All transactions in listed securities are settled or paid for upon delivery using approved brokers. The risk of default with a broker isconsidered minimal, as delivery of securities sold is only made once the broker has received the payment. Payment is made on apurchase once the securities have been received by the broker. The trade will fail if either party fails to meet its obligation.

The credit risk from the use of counterparties for forward currency derivative contracts is minimized by: (1) using counterparties witha minimum credit rating of A by Standard & Poor’s or an equivalent rating from another recognized credit rating agency; and (2)limiting the term of the forward currency contracts to a maximum of 182 days. The credit ratings of the counterparties as atDecember 31, 2019 and December 31, 2018, are disclosed in Note 10 to the Financial Statements and are rated A+ or higher.

The Portfolio's measure credit risk and expected credit losses using probability of default, exposure at default and loss given default.Management considers both historical analysis and forward looking information in determining any expected credit loss. Anycontractual payment deemed likely to default will be reviewed and analyzed for possible credit impairment. Management considersthe probability of default to be close to zero as these instruments have a low risk of default and the counterparties have a strongcapacity to meet their contractual obligations in the near term. As a result, no loss allowance has been recognized based on12-month expected credit losses as any such impairment would be wholly insignificant to the Portfolio’s.

e. Liquidity RiskLiquidity risk is the risk that an entity will encounter difficulty in meeting obligations associated with financial liabilities that aresettled by delivering cash or another financial asset.

Each Portfolio is exposed to daily cash redemptions of redeemable units. The units of each Portfolio are redeemed on demand at thethen current Net Asset Value per unit at the option of the unitholder. Liquidity risk is managed by investing in investments that canbe readily disposed of. In accordance with securities regulations, each Portfolio must maintain at least 90% of its assets in liquidinvestments (i.e. investments that are traded in active markets and can be readily disposed of).

89


Some of the Portfolios invest in financial instruments that are not traded in active markets and may be illiquid. Such investmentsinclude private equity, mortgage backed securities and corporate bonds investments and are included in the applicable Schedule ofInvestments. The Portfolios also have the ability to borrow up to 5% of their Net Assets Attributable to Holders of Redeemable Unitsfor the purposes of funding redemptions.

The Portfolios may be exposed indirectly to liquidity risk through its investments in underlying funds.

As at December 31, 2019 and December 31, 2018, the Portfolios did not have other financial liabilities greater than 3 months, and NetAssets Attributable to Holders of Redeemable Units are due on demand.

f. Concentration RiskConcentration risk arises from financial instruments that have similar characteristics and are affected similarly by changes ineconomic or other conditions.

As at December 31, 2019 and December 31, 2018, the financial instruments in the Portfolios grouped by asset category, are as follows:

.x

As at December 31, 2019 As at December 31, 2018Compass Conservative Portfolio (%) (%)

Equities 9.59 8.69

Mutual Funds 15.47 16.78

Private Equities 0.00 0.00

Real Estate Investment Trust (REITs) 1.31 2.27

Fixed Income 71.77 71.61

Short-term Investments 0.69 0.37

Total investments 98.83 99.72

Forward currency contracts 0.19 (0.39)

Other Net Assets (Liabilities) 0.98 0.67

Net Assets 100.00 100.00

XAs at December 31, 2019 As at December 31, 2018

Compass Conservative Balanced Portfolio (%) (%)

Equities 14.40 12.71









Net Assets 100.00 100.00

X.x

As at December 31, 2019 As at December 31, 2018Compass Balanced Portfolio (%) (%)






90






Net Assets 100.00 100.00

X


Compass Balanced Growth Portfolio (%) (%)










Net Assets 100.00 100.00

X


Compass Growth Portfolio (%) (%)










Net Assets 100.00 100.00

X


Compass Maximum Growth Portfolio (%) (%)






91





Net Assets 100.00 100.00

X..

g. Offsetting of Financial InstrumentsThe following table presents the recognized financial instruments that are offset, or subject to enforceable master nettingarrangements, if certain conditions arise, or other similar agreements but that are not offset, and cash and financial instrumentscollateral received or pledged, as at December 31, 2019 and December 31, 2018, and shows in the Net Amount column what theimpact would be on the Portfolios' Statements of Financial Position if all set-off rights were exercised.

x

Compass Conservative Portfolio

Financial assets and liabilities Amounts offset Amounts not offset Net

GrossAssets/

Liabilities

Gross Assets/Liabilities

offsetNet Amounts

PresentedFinancial

InstrumentsCash Collateral

Received

December 31, 2019

Receivable for open Forward Currency Contracts 3,617,354 - 3,617,354 (164,642) - 3,452,712

Total 3,617,354 - 3,617,354 (164,642) - 3,452,712

Payable for open Forward Currency Contracts 164,642 - 164,642 (164,642) - -

Total 164,642 - 164,642 (164,642) - -

December 31, 2018

Receivable for open Forward Currency Contracts - - - - - -

Total - - - - - -

Payable for open Forward Currency Contracts 6,495,520 - 6,495,520 - - 6,495,520

Total 6,495,520 - 6,495,520 - - 6,495,520

X

XCompass Conservative Balanced Portfolio


GrossAssets/

Liabilities


offsetNet Amounts

PresentedFinancial


Received

December 31, 2019


Total 10,360,333 - 10,360,333 (33,300) - 10,327,033


Total 33,300 - 33,300 (33,300) - -

December 31, 2018

Receivable for open Forward Currency Contracts 30,825 - 30,825 (30,825) - -

Total 30,825 - 30,825 (30,825) - -

Payable for open Forward Currency Contracts 13,217,037 - 13,217,037 (30,825) - 13,186,212

Total 13,217,037 - 13,217,037 (30,825) - 13,186,212

X

92


XCompass Balanced Portfolio


GrossAssets/

Liabilities


offsetNet Amounts

PresentedFinancial


Received

December 31, 2019


Total 12,522,217 - 12,522,217 (22,658) - 12,499,559


Total 22,658 - 22,658 (22,658) - -

December 31, 2018

Receivable for open Forward Currency Contracts 26,138 - 26,138 (26,138) - -

Total 26,138 - 26,138 (26,138) - -

Payable for open Forward Currency Contracts 16,388,504 - 16,388,504 (26,138) - 16,362,366

Total 16,388,504 - 16,388,504 (26,138) - 16,362,366

X

XCompass Balanced Growth Portfolio


GrossAssets/

Liabilities


offsetNet Amounts

PresentedFinancial


Received

December 31, 2019


Total 6,797,961 - 6,797,961 (6,711) - 6,791,250


Total 6,711 - 6,711 (6,711) - -

December 31, 2018

Receivable for open Forward Currency Contracts 39 - 39 (39) - -

Total 39 - 39 (39) - -

Payable for open Forward Currency Contracts 9,196,504 - 9,196,504 (39) - 9,196,465

Total 9,196,504 - 9,196,504 (39) - 9,196,465

X

XCompass Growth Portfolio


GrossAssets/

Liabilities


offsetNet Amounts

PresentedFinancial


Received

December 31, 2019

Receivable for open Forward Currency Contracts 3,232,732 - 3,232,732 (68) - 3,232,664

Total 3,232,732 - 3,232,732 (68) - 3,232,664

Payable for open Forward Currency Contracts 68 - 68 (68) - -

93


Total 68 - 68 (68) - -

December 31, 2018

Receivable for open Forward Currency Contracts 20 - 20 (20) - -

Total 20 - 20 (20) - -

Payable for open Forward Currency Contracts 4,427,882 - 4,427,882 (20) - 4,427,862

Total 4,427,882 - 4,427,882 (20) - 4,427,862

X

XCompass Maximum Growth Portfolio


GrossAssets/

Liabilities


offsetNet Amounts

PresentedFinancial


Received

December 31, 2019

Receivable for open Forward Currency Contracts 765,206 - 765,206 (14) - 765,192

Total 765,206 - 765,206 (14) - 765,192

Payable for open Forward Currency Contracts 14 - 14 (14) - -

Total 14 - 14 (14) - -

December 31, 2018

Receivable for open Forward Currency Contracts - - - - - -

Total - - - - - -

Payable for open Forward Currency Contracts 988,163 - 988,163 - - 988,163

Total 988,163 - 988,163 - - 988,163

X.

h. Capital Risk ManagementUnits issued and outstanding represent the capital of each of the Portfolios. The Portfolios have no specific capital requirements orrestrictions on the subscription and redemption of units. In accordance with the objectives and their risk management policies, thePortfolios endeavor to invest the subscriptions received in appropriate investments while maintaining sufficient liquidity to meetredemptions, such liquidity being managed by investing the majority of assets in underlying investments that can be readilydisposed of. Changes in the Portfolios capital during the periods are reflected in the Statement of Changes in Net Assets Attributableto Holders of Redeemable Units.

.

4. Interests in unconsolidated structured entities:The Portfolios invest in underlying funds and other structured entities, whose investment objectives range from achieving short- tolong-term income and capital growth potential. The Portfolios do not have any financial liabilities recognized in respect of any oftheir interests in structured entities. Underlying funds may use leverage in a manner consistent with their respective investmentobjectives and as permitted by Canadian securities regulatory authorities. Underlying funds finance their operations by issuingredeemable units which are puttable at the holder’s option and entitles the holder to a proportionate stake in the respective fund’snet assets. In all cases, the Portfolios’ maximum exposure to loss from the structured entity is represented by the carrying value oftheir investment therein and the Portfolios do not have any current intentions to provide financial support to any of the underlyingfunds, except to fund capital commitments as explained in Note 9.

The Portfolios invest in mortgage-related and other asset-backed securities. These securities include collateralized mortgageobligations, commercial mortgage-backed securities and other securities that directly or indirectly represent a participation in, or aresecured by and payable from, mortgage loans on real property. The debt and equity securities issued by these securities may includetranches with varying levels of subordination. The Portfolios invest in senior notes that have a first lien on assets and have minimumexposure to junior or subordinate tranches. These securities may provide a monthly payment which consists of both interest andprincipal payments. Mortgage-related securities are created from pools of residential or commercial mortgage loans, including

94


mortgage loans made by savings and loan institutions, mortgage bankers, commercial banks and others. Asset-backed securities arecreated from many types of assets, including auto loans, credit card receivables, home equity loans, and student loans.

The carrying value of mortgage related, other asset-backed securities included the statements of financial position are as follows:

.x

Portfolio December 31, 2019 December 31, 2018(In $000's) (In $000's)

Compass Conservative Portfolio 142,542 194,770

Compass Conservative Balanced Portfolio 438,147 444,758

Compass Balanced Portfolio 332,726 310,124

Compass Balanced Growth Portfolio 92,387 87,647.

The following is a summary of information related to the Portfolios’ investments in underlying funds as at December 31, 2019 andDecember 31, 2018:

x

Portfolio Number of Investee FundsFair Value of Fund's

Investment (In $000's)% Underlying Funds

Net Assets

% of Net AssetsAttributable to

Holders ofRedeemable Units

December 31, 2019


Passive - Long Only 1 117,667 0.73% 6.47%

Active - Long Only 2 163,580 1.59% 9.00%

Compass Conservative Balanced Portfolio


Active - Long Only 4 628,901 3.95% 11.66%

Compass Balanced Portfolio

Private Equity 4 14,424 3.44% 0.26%

Passive - Long Only 4 1,068,243 0.57% 19.49%

Active - Long Only 4 1,000,286 6.29% 18.25%

Compass Balanced Growth Portfolio

Private Equity 4 18,106 4.32% 0.67%


Active - Long Only 5 599,642 3.13% 22.28%

Compass Growth Portfolio

Private Equity 4 11,432 2.73% 0.97%


Active - Long Only 5 316,867 1.66% 26.95%

Compass Maximum Growth Portfolio

Private Equity 4 1,735 0.41% 0.68%


Active - Long Only 5 81,947 0.43% 31.95%.

95


X

Portfolio Number of Investee Funds

Fair Value ofFund's Investment

(In $000's)

% UnderlyingFunds Net

Assets

% of Net AssetsAttributable to

Holders ofRedeemable Units

December 31, 2018



Active - Long Only 2 141,572 1.61% 8.45%



Active - Long Only 4 541,989 4.46% 11.36%


Private Equity 4 15,116 3.04% 0.32%


Active - Long Only 4 842,595 6.94% 18.05%


Private Equity 4 18,979 3.82% 0.83%


Active - Long Only 5 493,834 3.36% 21.53%


Private Equity 4 12,040 2.42% 1.26%


Active - Long Only 5 260,496 1.77% 27.30%


Private Equity 4 1,857 0.37% 0.97%


Active - Long Only 5 65,981 0.45% 34.52%..

Passive – Long Only: represents exchange traded funds (equity) and pooled funds (equity and bond)Active – Long Only: represents mutual funds (equity).

The changes in fair value of mortgage related and other asset-backed securities, as well as investments in underlying funds areincluded in the Statements of Comprehensive Income in ‘Net change in unrealized appreciation (depreciation) on investments'.

.

5. Management Fees and Expenses:The annual management fee paid to the Manager for Series A and Series F1 units vary across the Portfolios. Management fees forSeries O units are negotiated and paid by the unitholder directly to the Manager. The Manager may reduce the management fees forcertain investors in Series O units who pay or incur distribution or other expenses normally paid by the Portfolio, the Manager, or toaccommodate other special situations, such as investments by institutional investors.

In addition to management fees, the Porfolios are responsible for the payment of all expenses relating to their operations. Operatingexpenses incurred by the Porfolios include legal, audit, costs relating to the Porfolio's Independent Review Committee, custodial,adminstration costs, investor servicing costs and regulatory reporting and prospectus filing. Each Portfolio and Series are responsiblefor the payment of operating expenses of the Porfolios attributed to that Portfolio and Series. Common operating expenses of thePortfolio are allocated among the Series based on the average number of unitholders of the average net asset value of each Series,depending on the type of operating expenses being allocated. At its sole discretion, the Manager may waive fees or absorb expensesfor certain Portfolios. These expenses are shown on the Statements of Comprehensive Income. Such waivers and absorptions can beterminated at any time without notice.

96


There is no duplication of management fees as a result of an investment in an underlying fund. The Manager pays the underlyingfund companies directly and the costs are not an expense of the Portfolios. Management fees for Series A and Series F1 units arecharged directly to the Portfolios, as applicable.

The management fee rates of each Portfolio excluding GST and HST are indicated in the following table:

x

Portfolio Series December 31, 2019 December 31, 2018% %

Compass Conservative Portfolio Series A 1.20 1.20

Series F1 0.45 0.45

Compass Conservative Balanced Portfolio Series A 1.50 1.50

Series F1 0.60 0.60

Compass Balanced Growth Portfolio Series A 1.70 1.70

Series F1 0.70 0.70

Compass Balanced Portfolio Series A 1.70 1.70

Series F1 0.70 0.70

Compass Growth Portfolio Series A 1.80 1.80

Series F1 0.80 0.80

Compass Maximum Growth Portfolio Series A 1.80 1.80

Series F1 0.80 0.80..

6. Redeemable Units:Each of the Portfolios may issue an unlimited number of units. The Portfolios are available in Series A, Series O and Series F1 units.Each unit is redeemable at the option of the unitholder in accordance with the declaration of trust as amended from time to time,and entitles the unitholder to a proportionate undivided interest in the Net Asset Value of the Series of the Portfolios. The units ofeach Series of each Portfolio are issued and redeemed at their Net Asset Value per unit which is determined at the close of businesson any day that the Toronto Stock Exchange is open for trading. A unitholder may redeem units directly through the Manager orthrough a dealer.

7. Broker Commissions and Soft Dollar Contracts:Commissions paid to brokers for investment transactions for the years ended December 31, 2019 and 2018, are recorded astransaction costs in the Statements of Comprehensive Income of each Portfolio.

All brokerage commissions incurred by the Portfolios are used to pay for trade execution only and no soft dollar arrangements exist.

8. Other Related Party Transactions:The Manager is a wholly owned subsidiary of ATB Financial. Throughout the year, the Portfolios used the services of ATB Financialand its subsidiaries for administration of the Portfolios.

.

The Manager provides the Porfolios with administrative services, including providing key management personnel to the Portfolios. Inreturn, the Manager receives an administrative fee which is allocated among each Portfolio and Series based on the average net assetvalue of each Series. Administration expenses (excluding GST) included in the Statements of Comprehensive Income that were paidby the Portfolios to the Manager for services provided by ATB Financial and its subsidiaries for the years ended December 31, 2019and 2018, are as follows:

x

Portfolio

Expenses for theYear Ended

December 31, 2019


December 31, 2018

$ $



97



Compass Balanced Growth Portfolio 85,600 79,538

Compass Growth Portfolio 36,570 34,378

Compass Maximum Growth Portfolio 7,743 6,795..

Costs (excluding GST) related to the Independent Review Committee and amounts owing thereto for the years ended December 31,2019 and 2018, are as follows:

x

Portfolio


December 31, 2019


December 31, 2018

$ $




Compass Balanced Growth Portfolio 3,324 3,020

Compass Growth Portfolio 1,420 1,306

Compass Maximum Growth Portfolio 301 258..

9. Commitments:Investments in private equity funds are funded over time in response to capital calls from the private equity fund managers. As atDecember 31, 2019 and December 31, 2018, the committed amount, capital called and remaining capital commitment, as applicable,are as follows:

x

December 31, 2019 December 31, 2018

Total CapitalCommitments Capital Called

RemainingCapital

CommitmentTotal Capital

Commitments Capital Called

RemainingCapital

Commitment$ $ $ $ $ $

Compass Balanced Portfolio 22,045,642 (21,374,413) 671,229 22,045,642 (21,267,593) 778,049

Compass Balanced Growth Portfolio 27,850,917 (26,936,347) 914,570 27,850,917 (26,822,008) 1,028,909

Compass Growth Portfolio 18,453,096 (17,843,070) 610,026 18,453,096 (17,758,176) 694,920

Compass Maximum Growth Portfolio 3,277,638 (3,144,319) 133,319 3,277,638 (3,132,652) 144,986..

10. Forward Currency Contracts:The Portfolios held the following forward contracts as at December 31, 2019 and December 31, 2018:

x

December 31, 2019

Currency Sold Currency Bought Maturity Date Fair Value CounterpartyS & P rating

ForwardContract

rate


U.S. Dollar 62,790,786 Canadian Dollar 83,000,000 Feb 20/20 1,479,260State Street Bank and

Trust Co. AA- 0.76

Japanese Yen 532,857,000 Canadian Dollar 6,500,000 Feb 20/20 117,591State Street Bank and

Trust Co. AA- 81.98

Euro Currency 16,376,328 Canadian Dollar 24,000,000 Feb 20/20 79,899State Street Bank and

Trust Co. AA- 0.68U.S. Dollar 110,184,000 Canadian Dollar 144,781,776 Mar 18/20 1,740,552 Royal Bank of Canada AA- 0.76U.S. Dollar 12,171,000 Canadian Dollar 16,000,483 Mar 18/20 200,052 Bank of Nova Scotia A+ 0.76

3,617,354

98


Swiss Franc 5,962,400 Canadian Dollar 8,000,000 Feb 20/20 (23,967)State Street Bank and

Trust Co. AA- 0.75

Pound Sterling 7,622,108 Canadian Dollar 13,000,000 Feb 20/20 (125,474)State Street Bank and

Trust Co. AA- 0.59Canadian Dollar 1,179,690 U.S. Dollar 897,000 Mar 18/20 (15,201) Bank of Nova Scotia A+ 1.32

(164,642)



Trust Co. AA- 0.76

U.S. Dollar 6,042,410 Canadian Dollar 8,000,000 Feb 21/20 155,208State Street Bank and

Trust Co. AA- 0.76



10,360,333Canadian Dollar 2,584,270 U.S. Dollar 1,965,000 Mar 18/20 (33,300) Bank of Nova Scotia A+ 1.32

(33,300)



Trust Co. AA- 0.76


Trust Co. AA- 0.76



12,522,217Canadian Dollar 1,758,356 U.S. Dollar 1,337,000 Mar 18/20 (22,658) Bank of Nova Scotia A+ 1.32

(22,658)



Trust Co. AA- 0.76


Trust Co. AA- 0.76


Trust Co. AA- 0.76U.S. Dollar 58,794,000 Canadian Dollar 77,255,316 Mar 18/20 928,756 Royal Bank of Canada AA- 0.76U.S. Dollar 5,193,000 Canadian Dollar 6,826,926 Mar 18/20 85,356 Bank of Nova Scotia A+ 0.76

6,797,961Canadian Dollar 520,799 U.S. Dollar 396,000 Mar 18/20 (6,711) Bank of Nova Scotia A+ 1.32

(6,711)



Trust Co. AA- 0.76


Trust Co. AA- 0.76


Trust Co. AA- 0.76U.S. Dollar 9,845,000 Canadian Dollar 12,936,330 Mar 18/20 155,519 Royal Bank of Canada AA- 0.76

3,232,732

Canadian Dollar 832 Euro Currency 568 Jan 02/20 (5)State Street Bank and

Trust Co. AA- 1.46

99


Canadian Dollar 8,777 South Korean Won 7,760,717 Jan 02/20 (63)State Street Bank and

Trust Co. AA- 0.00(68)



Trust Co. AA- 0.76


Trust Co. AA- 0.76

U.S. Dollar 756,570 Canadian Dollar 1,000,000 Feb 21/20 17,754State Street Bank and

Trust Co. AA- 0.76765,206

Canadian Dollar 166 Euro Currency 114 Jan 02/20 (1)State Street Bank and

Trust Co. AA- 1.46

Canadian Dollar 1,755 South Korean Won 1,552,139 Jan 02/20 (13)State Street Bank and

Trust Co. AA- 0.00(14)

.

XDecember 31, 2018

Currency Sold Currency Bought Maturity Date Fair Value CounterpartyS & P rating

ForwardContract

rate


Canadian Dollar 437 U.S. Dollar 320 Jan 02/19 (1)State Street Bank and

Trust Co. AA- 1.37U.S. Dollar 1,383,563 Canadian Dollar 1,886,655 Jan 02/19 (2,186) Royal Bank of Canada AA- 0.73

Canadian Dollar 446 U.S. Dollar 327 Jan 03/19 -State Street Bank and

Trust Co. AA- 1.37

Pound Sterling 8,700,141 Canadian Dollar 15,000,000 Feb 21/19 (156,955)State Street Bank and

Trust Co. AA- 0.58

Chinese Yuan 23,722,650 Canadian Dollar 4,500,000 Feb 21/19 (207,671)State Street Bank and

Trust Co. AA- 5.27

Swiss Franc 3,023,480 Canadian Dollar 4,000,000 Feb 21/19 (213,261)State Street Bank and

Trust Co. AA- 0.76

Japanese Yen 640,957,500 Canadian Dollar 7,500,000 Feb 21/19 (502,781)State Street Bank and

Trust Co. AA- 85.46

Euro Currency 14,626,979 Canadian Dollar 22,000,000 Feb 21/19 (945,017)State Street Bank and

Trust Co. AA- 0.66

U.S. Dollar 53,704,474 Canadian Dollar 71,000,000 Feb 21/19 (2,228,403)State Street Bank and

Trust Co. AA- 0.76U.S. Dollar 4,235,000 Canadian Dollar 5,659,603 Mar 20/19 (111,651) Bank of Nova Scotia A+ 0.75U.S. Dollar 81,324,000 Canadian Dollar 108,696,845 Mar 20/19 (2,127,594) Royal Bank of Canada AA- 0.75

(6,495,520)


Canadian Dollar 348,498 Swedish Krona 2,300,260 Jan 2/19 5,822State Street Bank and

Trust Co. AA- 0.15

Canadian Dollar 46,747 Swedish Krona 308,556 Jan 2/19 781State Street Bank and

Trust Co. AA- 0.15

Canadian Dollar 226,520 Danish Krone 1,083,627 Jan 2/19 499State Street Bank and

Trust Co. AA- 0.21

Canadian Dollar 62,786 Hong Kong Dollar 360,453 Jan 2/19 56State Street Bank and

Trust Co. AA- 0.17

Canadian Dollar 301,730 Japanese Yen 24,696,357 Jan 4/19 5,879State Street Bank and

Trust Co. AA- 0.01

100



Trust Co. AA- 0.01


Trust Co. AA- 0.0130,825

Canadian Dollar 22,258 Hong Kong Dollar 127,602 Jan 3/19 (12)State Street Bank and

Trust Co. AA- 0.17

U.S. Dollar 4,792,132 Canadian Dollar 6,500,000 Feb 22/19 (34,136)State Street Bank and

Trust Co. AA- 0.74



(13,217,037)


Canadian Dollar 294,180 Swedish Krona 1,941,736 Jan 2/19 4,914State Street Bank and

Trust Co. AA- 0.15

Canadian Dollar 39,479 Swedish Krona 260,580 Jan 2/19 659State Street Bank and

Trust Co. AA- 0.15

Canadian Dollar 191,260 Danish Krone 914,951 Jan 2/19 421.00State Street Bank and

Trust Co. AA- 0.21


Trust Co. AA- 0.17

Canadian Dollar 19,084 Euro Currency 12,203 Jan 2/19 3State Street Bank and

Trust Co. AA- 1.56


Trust Co. AA- 1.56


Trust Co. AA- 0.01


Trust Co. AA- 0.01


Trust Co. AA- 0.01


Trust Co. AA- 0.0126,138

Canadian Dollar 1,110 U.S. Dollar 813 Jan 2/19 (1)State Street Bank and

Trust Co. AA- 1.37

Pound Sterling 1,134 Canadian Dollar 1,963 Jan 2/19 (10)State Street Bank and

Trust Co. AA- 0.58U.S. Dollar 572,102 Canadian Dollar 780,083 Jan 2/19 (950) Royal Bank of Canada AA- 0.73

Canadian Dollar 1,150 U.S. Dollar 842 Jan 3/19 (1)State Street Bank and

Trust Co. AA- 1.37


Trust Co. AA- 0.58


Trust Co. AA- 0.17


Trust Co. AA- 0.74



(16,388,504)

101




Trust Co. AA- 0.17


Trust Co. AA- 1.56

Hong Kong Dollar 20,125 Canadian Dollar 3,511 Jan 3/19 2State Street Bank and

Trust Co. AA- 5.73


Trust Co. AA- 5.7339


Trust Co. AA- 1.37


Trust Co. AA- 0.58


Trust Co. AA- 0.58U.S. Dollar 72,905 Canadian Dollar 99,409 Jan 2/19 (120) Royal Bank of Canada AA- 0.73


Trust Co. AA- 1.37

Pound Sterling 431 Canadian Dollar 748 Jan 3/19 (2)State Street Bank and

Trust Co. AA- 0.58


Trust Co. AA- 0.17


Trust Co. AA- 0.58


Trust Co. AA- 0.74



(9,196,504)



Trust Co. AA- 0.17

Canadian Dollar 1,009 Euro Currency 645 Jan 2/19 -State Street Bank and

Trust Co. AA- 1.56


Trust Co. AA- 5.73


Trust Co. AA- 5.7320


Trust Co. AA- 1.37

Pound Sterling 880 Canadian Dollar 1,523 Jan 2/19 (8)State Street Bank and

Trust Co. AA- 0.58

Pound Sterling 985 Canadian Dollar 1,704 Jan 2/19 (9)State Street Bank and

Trust Co. AA- 0.58


Trust Co. AA- 1.37

Pound Sterling 210 Canadian Dollar 365 Jan 3/19 (1)State Street Bank and

Trust Co. AA- 0.58


Trust Co. AA- 0.17

102



Trust Co. AA- 0.58


Trust Co. AA- 0.76U.S. Dollar 6,110,000 Canadian Dollar 8,166,565 Mar 20/19 (159,849) Royal Bank of Canada AA- 0.75

(4,427,882)



Trust Co. AA- 1.37


Trust Co. AA- 1.37

U.S. Dollar 110,588 Canadian Dollar 150,000 Feb 22/19 (788)State Street Bank and

Trust Co. AA- 0.74


Trust Co. AA- 0.76(988,163)

..

11. Fair Value Measurements:The Portfolios classify fair value measurements within a hierarchy that prioritizes the inputs to fair value measurement. The fair valuehierarchy has the following three levels:

Level 1 Quoted prices (unadjusted) in active markets for identical assets or liabilities that the entity can access at the measurement date;

Level 2 Inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly or indirectly; and

Level 3 Inputs that are unobservable for the asset or liability.

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) andthe lowest priority to unobservable inputs (Level 3).

The classification within the hierarchy is based on the lowest level input that is significant to the fair value measurement. For thispurpose, the significance of an input is assessed against the fair value measurement in its entirety. If a fair value measurement usesobservable inputs that require significant adjustment based on unobservable inputs, that measurement is a Level 3 measurement.Assessing the significance of a particular input to the fair value measurement in its entirety requires judgment, considering factorsspecific to the asset or liability.

The determination of what constitutes ’observable’ requires significant judgment. Observable data is considered to be that marketdata that is readily available, regularly distributed or updated, reliable and verifiable, not proprietary and provided by independentsources that are actively involved in the relevant market.

Equity securities, for which market quotations are readily available, are valued based on quoted market prices at the close of tradingthat are within the bid-ask spread reported by independent pricing services on the primary market or exchange on which they aretraded and are categorized as Level 1.

Fair value of an underlying fund is determined by the Manager on the basis of the most recently reported net asset value for theunderlying fund, or the last traded price for underlying funds that are exchange-traded. Should the fair value of an underlying fund, inthe opinion of the Manager, be inaccurate, unreliable or not readily available, the investment is valued at the Manager’s estimate ofits fair value, taking into account all available relevant information. Underlying funds where net asset values are readily available andunadjusted, are classified as Level 1.

Fixed income securities are valued based on prices received from independent pricing services or from dealers who make markets insuch securities. Pricing services utilize matrix pricing which considers discounted cash flows, yield or price of bonds of comparablequality, coupon, maturity and type, prepayment speed assumptions as well as dealer supplied prices and are generally categorized asLevel 2 in the hierarchy.

103


Level 3 investments have significant unobservable inputs, as they trade infrequently. Level 3 investments mainly consist of privateequity/debt securities, mortgage backed securities and term loans. As observable prices are not available for these securities, theManager has used valuation techniques to derive the fair value. Such techniques include pricing inputs provided by independentdealers, brokers and/or sub-advisors to the Portfolios. In addition, the Manager considers factors such as the liquidity of theinvestment, the value date of the net asset value provided, any restrictions on redemptions, and the basis of accounting.

Discounted cash flow models are used in pricing those private debt, mortgage backed and/or term loan securities that are classifiedas Level 3 securities, and are based on unobservable inputs such as interest rate yields, spreads, and credit risk; such information isbased on similar financial instruments available in the market with adjustments made for specific circumstances related to theseinvestments.

Fair value of private equity investments is based on the valuation information determined and reported by the underlying privateequity fund managers as at the reporting date, including audited and unaudited financial statements of the private equity funds. Thevaluation of the underlying investments in the private equity funds is done based on various techniques depending on the industrysector of the underlying investment, including discounted cash flows, enterprise value based on a multiple of EBITDA or revenue,industry and sector multiples for comparable companies, comparable transactions in the industry, as well as taking intoconsideration any recent events which occurred at the underlying company.

Private equity investments are classified as Level 3. Private equity investment valuations are reviewed and appropriate due diligenceis performed on a quarterly basis by the Manager, including communication with staff of the underlying private equity fundmanagers. The Manager considers the appropriateness of the valuation received from the underlying private equity fund managersand other liquidity, credit and market risk factors in reviewing the pricing of these private equities. The Manager reports to the Boardof Directors on a quarterly basis on any key changes in valuation of the Portfolio’s investments. The Manager may adjust thevaluation of these private equities if, in its view, they do not reflect the estimated price which would be paid in an open andunrestricted market between informed and prudent parties, acting at arm's length and under no compulsion to act.

There were no changes in valuation techniques during the period.

.

The following is a summary of the Portfolio investments measured at fair value within the fair value hierarchy as at December 31,2019 and December 31, 2018. The inputs or methodology used in valuing the securities may not be an indication of the risk orliquidity associated with investing in those securities. For financial assets and liabilities held as at December 31, 2019 and December31, 2018, there were no transfers between Level 1 and Level 2.

x

Compass Conservative Portfolio Fair value as at December 31, 2019

Quoted prices in activemarkets for identical assets

Significant otherobservable inputs

Significant unobservableinputs

Assets Level 1 ($) Level 2 ($) Level 3 ($) Total ($)

Equities 168,554,911 - 5,802,000 174,356,911

Fixed Income - 1,264,651,560 40,048,007 1,304,699,567

Mutual Funds 281,247,089 - - 281,247,089

Private Equities - - 3,137 3,137

Real Estate Investment Trust (REITs) 23,843,148 - - 23,843,148

Short-term Investments - 12,522,512 - 12,522,512

Total investment portfolio 473,645,148 1,277,174,072 45,853,144 1,796,672,364

Forwards - 3,617,354 - 3,617,354

Liabilities

Forwards - 164,642 - 164,642

X

104


XCompass Conservative Portfolio Fair value as at December 31, 2018





Equities 145,577,026 - - 145,577,026

Fixed Income - 1,190,880,592 9,438,172 1,200,318,764

Mutual Funds 281,317,984 - - 281,317,984

Private Equities - - 210 210



Total investment portfolio 464,983,037 1,197,011,867 9,438,382 1,671,433,286

Forwards - - - -

Liabilities

Forwards - 6,495,520 - 6,495,520

X

XCompass Conservative Balanced Portfolio Fair value as at December 31, 2019





Equities 764,637,037 - 11,985,000 776,622,037

Fixed Income - 2,893,010,721 161,361,353 3,054,372,074

Mutual Funds 1,404,059,250 - - 1,404,059,250

Private Equities - - 14,132 14,132



Total investment portfolio 2,254,310,025 2,925,784,787 173,360,485 5,353,455,297

Forwards - 10,360,333 - 10,360,333

Liabilities

Forwards - 33,300 - 33,300

X

XCompass Conservative Balanced Portfolio Fair value as at December 31, 2018





Equities 606,232,778 - - 606,232,778

Fixed Income - 2,671,074,059 22,143,772 2,693,217,831

Mutual Funds 1,317,081,029 - - 1,317,081,029

Private Equities - - 447 447



105



Forwards - 30,825 - 30,825

Liabilities

Forwards - 13,217,037 - 13,217,037

X

XCompass Balanced Portfolio Fair value as at December 31, 2019





Equities 1,089,206,633 - 6,898,000 1,096,104,633

Fixed Income - 2,010,664,461 135,229,011 2,145,893,472

Mutual Funds 2,068,528,951 - - 2,068,528,951

Private Equities - - 14,434,779 14,434,779




Forwards - 12,522,217 - 12,522,217

Liabilities

Forwards - 22,658 - 22,658

X

XCompass Balanced Portfolio Fair value as at December 31, 2018





Equities 883,795,664 - - 883,795,664

Fixed Income - 1,820,924,876 28,071,500 1,848,996,376

Mutual Funds 1,761,707,682 - - 1,761,707,682





Forwards - 26,138 - 26,138

Liabilities

Forwards - 16,388,504 - 16,388,504

X

XCompass Balanced Growth Portfolio Fair value as at December 31, 2019





Equities 687,412,470 - 1,881,000 689,293,470

Fixed Income - 599,672,830 35,125,739 634,798,569

Mutual Funds 1,259,923,055 - - 1,259,923,055


106




Total investment portfolio 2,007,098,798 610,888,385 55,115,713 2,673,102,896

Forwards - 6,797,961 - 6,797,961

Liabilities

Forwards - 6,711 - 6,711

X

XCompass Balanced Growth Portfolio Fair value as at December 31, 2018





Equities 485,358,657 - - 485,358,657

Fixed Income - 548,195,440 8,303,006 556,498,446

Mutual Funds 1,141,103,586 - - 1,141,103,586





Forwards - 39 - 39

Liabilities

Forwards - 9,196,504 - 9,196,504

X

XCompass Growth Portfolio Fair value as at December 31, 2019





Equities 370,347,173 - - 370,347,173

Fixed Income - 60,078,029 - 60,078,029

Mutual Funds 685,657,667 - - 685,657,667



Short-term investments - 6,180,567 - 6,180,567


Forwards - 3,232,732 - 3,232,732

Liabilities

Forwards - 68 - 68

X

XCompass Growth Portfolio Fair value as at December 31, 2018





Equities 226,435,895 - - 226,435,895

Fixed Income - 50,631,728 - 50,631,728

107


Mutual Funds 624,783,939 - - 624,783,939



Short-term investments - 3,700,600 - 3,700,600

Total investment portfolio 884,729,403 54,332,328 12,039,975 951,101,706

Forwards - 20 - 20

Liabilities

Forwards - 4,427,882 - 4,427,882

X

XCompass Maximum Growth Portfolio Fair value as at December 31, 2019





Equities 86,234,594 - - 86,234,594

Mutual Funds 158,335,174 - - 158,335,174



Short-term investments - 597,984 - 597,984

Total investment portfolio 251,835,966 597,984 1,735,419 254,169,369

Forwards - 765,206 - 765,206

Liabilities

Forwards - 14 - 14

X

XCompass Maximum Growth Portfolio Fair value as at December 31, 2018





Equities 46,933,428 - - 46,933,428

Mutual Funds 133,640,979 - - 133,640,979



Short-term investments - 284,995 - 284,995

Total investment portfolio 188,539,426 284,995 1,857,138 190,681,559

Forwards - - - -

Liabilities

Forwards - 988,163 - 988,163

X.

The following are reconciliations of the Portfolios’ Level 3 fair value measurements, where applicable, from January 1, 2019 toDecember 31, 2019 and January 1, 2018 to December 31, 2018:

108


x

Fair value measurements using Level 3 inputs

Compass Conservative PortfolioFixed Income

($)Equities

($)Private Equities

($)Total

($)

Beginning Balance (January 1, 2019) 9,438,172 - 210 9,438,382

Purchases 30,277,420 388,096 3,028 30,668,544

Sales - - - -

Transfers into and/or out of Level 3 - 5,414,000 - 5,414,000

Net realized gains (losses) - - (10,030) (10,030)

Net change in unrealized gain (loss) 332,415 (96) 9,929 342,248

Ending Balance (December 31, 2019) 40,048,007 5,802,000 3,137 45,853,244

Net change in unrealized gain (loss) during the period for assets held atDecember 31, 2019 332,415 (96) - 332,319

X

XFair value measurements using Level 3 inputs

Compass Conservative PortfolioFixed Income

($)Equities

($)Private Equities

($)Total

($)


Purchases 16,665,519 - 843 16,666,362

Sales (116,646,871) - - (116,646,871)

Net realized gains (losses) 1,696,971 - (7,282) 1,689,689

Net change in unrealized gain (loss) (1,459,835) - 6,367 (1,453,468)

Ending Balance (December 31, 2018) 9,438,172 - 210 9,438,382

Net change in unrealized gain (loss) during the period for assets held atDecember 31, 2018 729,498 - (843) 728,655

X.

As at December 31, 2019 and December 31, 2018, the Level 3 investments mainly consist of fixed income (e.g. private debt andmortgage backed securities). The fair value of these investments was based on the valuation techniques described earlier. TheManager also considers other liquidity, credit and market risk factors in pricing these investments, and adjusts the valuations asdeemed necessary. During the year ended December 31, 2019, investments in equities of $5,414,000 were transferred into Level 3from Level 1 following management's assessment of the significance of the unobservable inputs used to value those investments.

Changes in key assumptions used in determining the fair value of Level 3 securities may cause material changes in the value of theseinvestments held by the Portfolio. If the value of the Level 3 investments were to increase or decrease by 10%, the value of thePortfolio’s net assets attributable to redeemable unitholders would increase or decrease by $4,585,325 (December 31, 2018 -$943,838).

If the Canada yield or spread strengthened or weakened by 1% then the fair values above would increase or decrease by $1,085,301(December 31, 2018 - $271,526).

x


Compass Conservative Balanced PortfolioFixed Income

($)Equities

($)Private Equities

($)Total

($)


Purchases 138,542,133 797,368 13,856 139,353,357

Sales - - - -


109



Net change in unrealized gain (loss) 675,448 (368) 16,864 691,944

Ending Balance (December 31, 2019) 161,361,353 11,985,000 14,132 173,360,485

Net change in unrealized gain (loss) during the period for assets held atDecember 31, 2019 675,448 (368) - 675,080

X


Compass Conservative Balanced PortfolioFixed Income

($)Equities

($)Private Equities

($)Total

($)


Purchases 34,096,354 - 1,686 34,098,040

Sales (283,713,708) - - (283,713,708)

Net realized gains (losses) 1,388,565 - (8,503) 1,380,062

Net change in unrealized gain (loss) (1,522,935) - 6,733 (1,516,202)

Ending Balance (December 31, 2018) 22,143,772 - 447 22,144,219

Net change in unrealized gain (loss) during the period for assets held atDecember 31, 2018 1,652,432 - (1,685) 1,650,747

X.

As at December 31, 2019 and December 31, 2018, the Level 3 investments mainly consist of fixed income (e.g. private debt andmortgage backed securities). The fair value of these investments was based on the valuation techniques described earlier. TheManager also considers other liquidity, credit and market risk factors in pricing these investments, and adjusts the valuations asdeemed necessary. During the year ended December 31, 2019, investments in equities of $11,188,000 were transferred into Level 3from Level 1 following management's assessment of the significance of the unobservable inputs used to value those investments.

Changes in key assumptions used in determining the fair value of Level 3 securities may cause material changes in the value of theseinvestments held by the Portfolio. If the value of the Level 3 investments were to increase or decrease by 10%, the value of thePortfolio’s net assets attributable to redeemable unitholders would increase or decrease by $17,336,049 (December 31, 2018 -$2,214,422).


x


Compass Balanced PortfolioFixed Income

($)Equities

($)Private Equities

($)Total

($)

Beginning Balance (January 1, 2019) 28,071,500 - 15,116,686 43,188,186

Purchases 106,429,718 454,760 95,913 106,980,391

Sales - - (2,105,540) (2,105,540)



Net change in unrealized gain (loss) 727,794 (760) 1,337,669 2,064,703

Ending Balance (December 31, 2019) 135,229,012 6,898,000 14,434,778 156,561,790

Net change in unrealized gain (loss) during the period for assets held atDecember 31, 2019 727,794 (760) 1,032,212 1,759,246

X

110



Compass Balanced PortfolioFixed Income

($)Equities

($)Private Equities

($)Total

($)


Purchases 23,032,347 - 410,615 23,442,962

Sales (186,869,370) - (6,172,478) (193,041,848)

Net realized gains (losses) 866,678 - (2,310,509) (1,443,831)

Net change in unrealized gain (loss) (999,760) - 1,127,799 128,039

Ending Balance (December 31, 2018) 28,071,500 - 15,116,686 43,188,186

Net change in unrealized gain (loss) during the period for assets held atDecember 31, 2018 1,131,420 - (952,817) 178,603

X.

As at December 31, 2019 and December 31, 2018, the Level 3 investments consist of fixed income (e.g. private debt and mortgagebacked securities) and private equity investments. The fair value of these investments was based on the valuation techniquesdescribed earlier. The Manager also considers other liquidity, credit and market risk factors in pricing these investments, and adjuststhe valuations as deemed necessary. During the year ended December 31, 2019, investments in equities of $6,444,000 weretransferred into Level 3 from Level 1 following management's assessment of the significance of the unobservable inputs used tovalue those investments.



x


Compass Balanced Growth PortfolioFixed Income

($)Equities

($)Private Equities

($)Total

($)


Purchases 26,607,429 124,960 81,804 26,814,193

Sales - - (2,251,297) (2,251,297)



Net change in unrealized gain (loss) 215,304 (960) 1,302,522 1,516,866

Ending Balance (December 31, 2019) 35,125,739 1,881,000 18,108,974 55,115,713

Net change in unrealized gain (loss) during the period for assets held atDecember 31, 2019 383,974 (960) 1,008,436 1,391,450

X


Compass Balanced Growth PortfolioFixed Income

($)Equities

($)Private Equities

($)Total

($)


Purchases 7,259,462 - 596,433 7,855,895

Sales (56,969,285) - (9,203,202) (66,172,487)

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Net realized gains (losses) 207,032 - (3,516,292) (3,309,260)

Net change in unrealized gain (loss) (302,146) - 2,307,416 2,005,270

Ending Balance (December 31, 2018) 8,303,006 - 18,978,731 27,281,737

Net change in unrealized gain (loss) during the period for assets held atDecember 31, 2018 306,740 - (901,487) (594,747)

X.

As at December 31, 2019 and December 31, 2018, the Level 3 investments consist of fixed income (e.g. private debt and mortgagebacked securities) and private equity investments. The fair value of these investments was based on the valuation techniquesdescribed earlier. The Manager also considers other liquidity, credit and market risk factors in pricing these investments, and adjuststhe valuations as deemed necessary. During the year ended December 31, 2019, investments in equities of $1,757,000 weretransferred into Level 3 from Level 1 following management's assessment of the significance of the unobservable inputs used tovalue those investments.


If the Canada yield or spread strengthened or weakened by 1% then the fair values above would increase or decrease by $950,427(December 31, 2018 - $241,625).

x


Compass Growth PortfolioPrivate Equities

($)Total

($)

Beginning Balance (January 1, 2019) 12,039,975 12,039,975

Purchases 72,352 72,352

Sales (1,756,048) (1,756,048)

Net realized gains (losses) - -

Net change in unrealized gain (loss) 1,075,541 1,075,541

Ending Balance (December 31, 2019) 11,431,820 11,431,820

Net change in unrealized gain (loss) during the period for assets held atDecember 31, 2019 816,830 816,830

X


Compass Growth PortfolioPrivate Equities

($)Total

($)


Purchases 337,857 337,857

Sales (5,481,756) (5,481,756)

Net realized gains (losses) (2,025,027) (2,025,027)

Net change in unrealized gain (loss) 1,062,568 1,062,568


Net change in unrealized gain (loss) during the period for assets held atDecember 31, 2018 (758,678) (758,678)

X.

As at December 31, 2019 and December 31, 2018, the Level 3 investments mainly consist of private equity investments. The fair valueof these investments was based on the valuation techniques described earlier. The Manager also considers other liquidity, credit andmarket risk factors in pricing these investments, and adjusts the valuations as deemed necessary.

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Changes in key assumptions used in determining the fair value of Level 3 securities may cause material changes in the value of theprivate equities held by the Portfolio. If the value of the Level 3 investments were to increase or decrease by 10%, the value of thePortfolio’s net assets attributable to holders of redeemable units would increase or decrease by $1,143,182 (December 31, 2018 -$1,203,998).

x


Compass Maximum Growth PortfolioPrivate Equities

($)Total

($)


Purchases 11,871 11,871

Sales (289,005) (289,005)

Net realized gains (losses) - -

Net change in unrealized gain (loss) 155,416 155,416


Net change in unrealized gain (loss) during the period for assets held atDecember 31, 2019 117,911 117,911

X


Compass Maximum Growth PortfolioPrivate Equities

($)Total

($)


Purchases 35,307 35,307

Sales (712,426) (712,426)

Net realized gains (losses) (188,341) (188,341)

Net change in unrealized gain (loss) 53,313 53,313


Net change in unrealized gain (loss) during the period for assets held atDecember 31, 2018 (102,814) (102,814)

X.

As at December 31, 2019 and December 31, 2018, the Level 3 investments consist of private equity investments. The fair value ofthese investments was based on the valuation techniques described earlier. The Manager also considers other liquidity, credit andmarket risk factors in pricing these investments, and adjusts the valuations as deemed necessary.

Changes in key assumptions used in determining the fair value of Level 3 securities may cause material changes in the value of theprivate equities held by the Portfolio. If the value of the Level 3 investments were to increase or decrease by 10%, the value of thePortfolio’s net assets attributable to holders of redeemable units would increase or decrease by $173,542 (December 31, 2018 -$185,714).

.

.

.

.

.

12. Subsequent Events:The continued worldwide spread of novel coronavirus ("COVID-19") and its impact on international business operations, supplychains, travel, commodity prices, consumer confidence and business forecasts, and the associated impact on domestic andinternational equity markets and fixed income yields, is expected to have a material impact on all equity and fixed income portfoliosduring the first half of 2020, and potentially beyond. We continue to monitor developments in equity and fixed income marketsgenerally, and particularly in connection with the Portfolios. While it is too early to predict the impact of COVID-19 related factors,during a time of increased uncertainty and volatility, we expect that the performance of all Portfolios will be affected in the nearterm.

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ATB Investment Management Inc.Manager of the Compass Portfolio SeriesSuite 2100, 10020 100 Street NWEdmonton, Alberta T5J 3G1

69000 (03/16)

[email protected]

www.compassportfolios.com

annualreport - atb financialthe financial statements of each portfolio comprise: x the statements of...

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