cc&l alternative income fund

This annual management report of fund performance contains financial highlights but does not contain the complete annual financial statements of the investment fund. You can get a copy of the annual financial statements at your request, and at no cost, by calling us directly at 1.800.939.9674, by writing to us at 1400 – 130 King St. W., P.O. Box 240, Toronto, ON, M5X 1C8 or by visiting our website at www.cclfundsinc.com,or SEDAR at www.sedar.com.

Security holders may also contact us using one of these methods to request a copy of the investment fund’s interim financial report, proxy voting policies and procedures, proxy voting disclosure record, or quarterly portfolio disclosure.

CC&LAlternativeIncomeFund

ManagementReportofFundPerformance

For the period ended December 31, 2020

Investment Objective and Strategies

Investment objectives — The CC&L Alternative Income Fund (the “Fund”) seeks to provide unitholders with long-term returns. The portfolio manager will actively manage a diversified portfolio of primarily global fixed income securities by opportunistically utilizing both long and short positions.

The Fund will engage in short selling, borrowing and use derivatives in order to meet its investment objective. The aggregate gross exposure of the Fund will not exceed the limits on the use of leverage described in the Investment Strategy section below or as otherwise permitted under applicable securities legislation.

The fundamental investment objective of the Fund cannot be changed without the approval of a majority of the unitholders at a meeting called to consider the change.

Investment strategies — To achieve the Fund’s investment objectives, the manager, Connor, Clark & Lunn Funds Inc. (“CFI” or the “Manager”) has retained Connor, Clark & Lunn Investment Management Ltd., as portfolio manager, to invest the assets of the Fund with full authority and responsibility for security selection.

To achieve the Fund’s investment objective, the portfolio manager will actively manage a diversified portfolio of primarily global fixed income securities by opportunistically utilizing both long and short positions. The portfolio manager assesses specific investment opportunities based on both top-down and bottom-up analysis. On average, over time, it is expected that for every $100 invested, the Fund portfolio’s use of leverage will be approximately $200-$300. To obtain this leverage, the Fund will engage in short selling, borrowing and use derivatives as described below. The net market exposure of the Fund will typically range between 50% and 250%.

Risk

During the period from January 1, 2020 to December 31, 2020, the risk profile of the Fund was managed in accordance with the goals set out in the simplified prospectus. In the view of the Manager, the risks associated with an investment in the portfolio are adequately described in the simplified prospectus and have not altered as result of subsequent changes in the underlying investments.

The global pandemic related to an outbreak of COVID-19 had an impact on worldwide financial markets throughout much of 2020. As a result, there has been significant volatility in equity prices, interest rates, bond yields, and foreign exchange rates. The duration and impact of the COVID-19 outbreak is unknown at this time, leading to a high degree of volatility and uncertainty that will likely impact worldwide financial markets beyond 2020.

MANAGEMENT DISCUSSION OF FUND PERFORMANCE

1

Results of Operations

As at December 31, 2020, CC&L Alternative Income Fund held $29.3 million in total net assets. During the period, investors in Series A units in the Fund experienced a return of 4.91%. The benchmark for the Fund (FTSE Canada 91 Day T-bill Index) returned 0.86% over the period. The performance of the different series within the funds will vary due to the differences in their expense structures. For specific returns by series, please refer to the “Past Performance” section of this report.

Sovereign bond yields fell dramatically in the first quarter as the shocking fallout from the spreading global pandemic fueled the risk-off environment and drove monetary policymakers to take extraordinary measures. Overall, they took multiple inter-meeting policy actions and the majority of OECD central banks ended the quarter at the effective zero bound for policy rates. The US Fed cut rates by a total of 150 basis points (bps), initiated a substantial quantitative easing (QE) program, reinforced forward guidance and established a number of facilities to help smooth market functioning and support the flow of credit to the economy. Similar to the Fed, the Bank of Canada (BoC) also reduced its target overnight rate by 150 bps to the effective zero bound and established a QE program (purchasing Government of Canada and Canada Mortgage Bonds) in addition to a host of other programs it announced to alleviate strains in funding markets and to support the financial system. Economic releases early in the second quarter confirmed that the widespread shocks from the pandemic and shutdowns were severe and, in many cases, record breaking. As the second quarter progressed, however, economies reopened, confidence improved and many indicators confirmed sequential growth, as opposed to continued deterioration. Additionally, the enormous response from policymakers successfully eased financial conditions, which helped stabilize markets and enabled risk assets to post solid gains. Nevertheless, the economic environment remained fragile. Oil prices plunged in April, with the price of the May WTI futures contract trading deeply into negative territory for a brief period.

Economic activity rebounded sharply in the third quarter and was driven largely by solid consumer spending, as many households received income support from continued fiscal policy. Furthermore, persistently low interest rates helped housing markets to bounce back. That momentum faded in the last quarter of the year as rising COVID-19 cases and subsequent lockdowns weighed on activity. However, investor sentiment surged near the end of the year in response to the US election outcome, and notably, the announcements that followed indicating solid vaccine efficacy. The ensuing rally in risk assets also helped push longer-maturity government bond yields higher after bottoming in August. This signaled that economic growth prospects were improving materially. Underlying these events, monetary policy remained accommodative in the last half of 2020. The US Fed announced a significant shift in policy that would require inflation to run sustainably above its target level before the Fed raises interest rates. This implies a willingness to tolerate higher inflation, a phenomenon that may unfold over years and should effectively limit the capacity for interest rates to rise materially. Liquidity remained ample as the Fed made no changes to its quantitative easing program. The BoC committed to not raise interest rates until 2023 at the earliest. The BoC also expanded its corporate bond purchase program and adjusted its quantitative easing program by shifting its purchases toward longer-maturity bonds.


2

Globally, policy rates experienced sharp declines across the board in the first quarter, and in many cases hit their effective lower bounds. Short-term interest rates remained anchored near zero throughout the year, while longer-term rates experienced some upward pressure later in the year, from the all-time lows in the summer. Corporate bond spreads first experienced extraordinary widening in both magnitude and speed. Within the month of March, US and Canadian spreads expanded to levels not seen since the Great Financial Crisis. The dislocation in credit markets typified the stresses faced by businesses, such as deteriorating economic fundamentals, as well as liquidity challenges. However, credit markets quickly received support from central bank policy and tightened sharply during the second quarter. The tightening trend continued through July, with an overall improvement in the virus path and early signs of improving economic activity. From there, spreads remained fairly range bound in a sideways channel until mid-November, when risk assets surged in response to positive vaccine news. Supportive monetary policy, continued inflows and a seasonal decline in new issuance also contributed to favourable spread compression near the end of the year. High yield spreads followed the same pattern, tightening considerably from the extreme wide levels in March. High yield spreads finished the year at levels last seen in February prior to the first of the COVID-19 lockdowns. For 2020 as a whole, high yield received support from the largest ever retail inflows on record.

The Fund’s performance was solid for the year. Sector positioning tilted towards corporate and provincial credit drove the strong performance as spreads narrowed following the volatile first quarter. Interest rate strategies, notably yield curve positioning, were also contributors. Security selection detracted from performance driven by the fund’s exposure to the energy sector early in the year.


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Leverage

Leverage occurs when the Fund borrows money or securities, or uses derivatives, to generate investment exposure that is greater than the amount invested.

The Fund’s leverage is determined by calculating the aggregate exposure through the sum of following: (i) the market value of the Fund’s short positions; (ii) the amount of cash borrowed for investmentpurposes; and (iii) the notional value of the Fund’s specified derivatives positions excluding any specifiedderivatives used for hedging purposes. The Fund’s exposure to leverage must not exceed 300% of theFund’s Net Asset Value (“NAV”).

During the year ended December 31, 2020, the Fund’s aggregate exposure ranged from 75.9% to 145.5% of the Fund’s NAV. The aggregate exposure to leverage was within the expected range as outlined in the simplified prospectus. As at December 31, 2020, the Fund’s aggregate exposure was 127.9% of the Fund’s NAV. The primary sources of leverage were short positions in fixed income securities, short positions in short term investments and short bond futures.

A component of the Fund’s leverage is cash borrowing, comprised of bank indebtedness with prime brokers. Such facilities are repayable on demand. During the year ended December 31, 2020, the Fund’s range of bank indebtedness was $Nil to $1,701,049 with an average interest rate of 1.13%. As at December 31, 2020, the borrowing represented 0.0% of the Fund’s NAV.

Recent Developments

Accelerating virus cases, renewed individual restrictions and additional lockdown measures suggest economic numbers could deteriorate in the coming months. Nevertheless, we remain optimistic. A widespread vaccine implementation should ultimately provide a lasting resolution to the pandemic. In addition, the rise in household savings combined with pent-up consumer demand, and an expected rise in business investment and inventory rebuilding, should provide a powerful boost to economic growth beyond the first quarter of 2021. Earnings and profit margins are expected to rise alongside the improving economic backdrop. Finally, policymakers have laid substantial groundwork for a long period of accommodation and liquidity, which we believe should facilitate a solid and ongoing economic recovery.


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Caution regarding forward-looking statements

Certain portions of this report, including, but not limited to, “Results of Operations” and “Recent Developments”, may contain forward looking statements including, but not limited to, statements relating to the Fund, its strategy, risks, expected performance and condition. The use of any of the words “anticipate”, “may”, “will”, “expect”, “estimate”, “should”, “believe” and similar expressions are intended to identify forward-looking statements. In addition, any statement that is predictive in nature, that depends upon or refers to future events or conditions, or that may be made concerning future performance, strategies or prospects, and possible future action to be made by the Fund, the Manager and the Fund’s portfolio manager, is also a forward-looking statement.

Such statements reflect the opinion of CFI and the Fund’s portfolio manager, Connor, Clark & Lunn Investment Management Ltd., regarding factors that might be reasonably expected to affect the performance and the distributions on units of the Fund, and are based on current expectations and projections about future general economic, political and relevant market factors, such as interest rates, foreign exchange rates, equity and capital markets, regulatory framework and the general business environment and other relevant information available at the time of this report. Changes in these factors may cause actual results to differ materially from the forward-looking information.

CFI believes that the expectations reflected in these forward-looking statements and in the analysis are reasonable, but no assurance can be given that these expectations or the analysis will prove to be correct and accordingly they should not be unduly relied on. These statements speak only as of the date of this report. Actual events and outcomes may differ materially from those described in these forward-looking statements.

We stress that the above mentioned list of important factors is not exhaustive. We encourage you to consider these and other factors carefully before making any investment decisions and we urge you to avoid placing any undue reliance on forward-looking statements. Further, you should be aware of the fact that there is no specific intention of updating any forward-looking statements contained therein whether as a result of new information, future events or otherwise.


5

Related Party Transactions

CFI is affiliated with Connor, Clark & Lunn Financial Group Ltd. As disclosed in the prospectus and annual information form, the portfolio manager retained by the Fund, Connor, Clark & Lunn Investment Management Ltd., is also affiliated with Connor, Clark & Lunn Financial Group Ltd. During the period ended December 31, 2020, no additions or deletions were made to the portfolio managers providing services to the Fund.

As Manager, CFI receives management and performance fees with respect to the day-to-day business and operations of the Fund as described in the section entitled “Management and Performance Fees”. These management and performance fees are charged in the normal course of business and are measured at their exchange amount, which approximates that of an arm’s length transaction.

Recommendations or reports by the Independent Review Committee

The Independent Review Committee tabled no special reports and made no reportable material recommendations to the Manager of the Fund during the period ended December 31, 2020.


6

The Fund's Net Assets Attributable to Holders of Redeemable Units per Unit(1)

Series A Dec 31'20 Dec 31'19 (4 )

Net Asset s, beginning of per iod (1) $9.85 $10.00Increase (decrease) from operat ions:Total revenues 0.46 0.36 Total expenses (0.33) (0.20)Realized gains (losses) for the period 0.02 (0.04)Unrealized gains (losses) for the period 0.05 (0.07)Total increase (decrease) from operat ions (2) 0.20 0.05 Dist r ibut ions:From net investment income (excluding dividends) (0.36) (0.23)From dividends - - From capital gains (0.28) (0.07)Return of capital - - Total dist r ibut ions(2,3) (0.64) (0.30)

Net asset s at December 31 of year shown(1,2) $9.68 $9.85Series A inception date: February 15, 2019

Series F Dec 31'20 Dec 31'19 (4 )

Net Asset s, beginning of per iod (1) $9.86 $10.00Increase (decrease) from operat ions:Total revenues 0.47 0.42 Total expenses (0.20) (0.15)Realized gains (losses) for the period (0.01) (0.09)Unrealized gains (losses) for the period (0.48) (0.09)Total increase (decrease) from operat ions (2) (0.22) 0.09 Dist r ibut ions:From net investment income (excluding dividends) (0.38) (0.26)From dividends - - From capital gains (0.28) (0.07)Return of capital - - Total dist r ibut ions(2,3) (0.66) (0.33)

Net asset s at December 31 of year shown(1,2) $9.78 $9.86Series F inception date: February 15, 2019

Series I Dec 31'20 Dec 31'19 (4 )

Net Asset s, beginning of per iod (1) $9.97 $10.00Increase (decrease) from operat ions:Total revenues 0.48 0.39 Total expenses (0.08) (0.06)Realized gains (losses) for the period 0.21 0.03 Unrealized gains (losses) for the period 0.15 (0.04)Total increase (decrease) from operat ions (2) 0.76 0.32 Dist r ibut ions:From net investment income (excluding dividends) (0.38) (0.27)From dividends - From capital gains (0.29) (0.08)Return of capital - - Total dist r ibut ions(2,3) (0.67) (0.35)

Net asset s at December 31 of year shown(1,2) $10.04 $9.97Series I inception date: February 15, 2019

The following tables show selected key financial information about the Fund and are intended to help you understand the Fund’s financialperformance since inception. This information is derived from the Fund’s audited annual financial statements and previous audited financialstatements.

(1) This information is derived from the Fund’s audited annual financial statements prepared in accordance with International Financial ReportingStandards ("IFRS").

(2) Net assets and distributions are based on the actual number of units outstanding at the relevant time. The increase or decrease from operations isbased on the weighted average number of units outstanding over the financial period. This table is not meant to be a reconciliation of beginning toending net assets per share.

(3) Distributions were paid to unitholders by way of a combination of both cash payments and reinvestments in additional units of the Fund.

(4) For the period from February 15, 2019 (date of commencment of operations) to December 31, 2019.

FINANCIAL HIGHLIGHTS

7

Ratios & Supplemental Data:Series A Dec 31'20 Dec 31'19 (6)

Total net asset value (‘000s)(1) $129 $192Number of units outstanding(1) 13,335 19,500Management expense ratio(2) 2.60% 1.94%Management expense ratio before waivers or absorptions (3) 2.60% 1.94%

Portfolio turnover rate(4) 509.63% 520.71%Trading expense ratio(5) 0.32% 0.32%Net asset value per unit $9.68 $9.85

Series A inception date: February 15, 2019

Series F Dec 31'20 Dec 31'19 (6)

Total net asset value (‘000s)(1) $1,528 $3,466Number of units outstanding(1) 156,304 351,369Management expense ratio(2) 1.68% 1.26%Management expense ratio before waivers or absorptions (3) 1.68% 1.26%


Series F inception date: February 15, 2019

Series I Dec 31'20 Dec 31'19 (6)

Total net asset value (‘000s)(1) $27,640 $25,685Number of units outstanding(1) 2,752,328 2,576,286Management expense ratio(2) 0.52% 0.31%Management expense ratio before waivers or absorptions (3) 0.52% 0.31%


Series I inception date: February 15, 2019

(1) This information is provided as at December 31 of the years shown.

(2) Management expense ratio is based on total expenses (excluding margin interest, commissions and other portfolio transaction costs) for the stated period and isexpressed as an annualized percentage of daily average net asset value during the period.

(3) The manager of the Fund, CC&L Funds Inc., may waive certain fees or absorb certain expenses otherwise payable by the Fund. The amount of expenses waived orabsorbed is determined periodically on a series by series basis at the discretion of the manager and the manager can terminate the waiver or absorption at any time.

(4) The Fund’s portfolio turnover rate indicates how actively the Fund's portfolio advisor manages its portfolio investments. A portfolio turnover rate of 100% is equivalentto the Fund buying and selling all of the securities in its portfolio once in the course of the year. The higher a fund's portfolio turnover rate in a year, the greater the tradingcosts payable by the fund in the year, and the greater the chance of an investor receiving taxable capital gains in the year. There is not necessarily a relationship between ahigh turnover rate and the performance of a fund.

(5) The trading expense ratio represents margin interest, borrow fees on investments sold short, total commissions and other portfolio transaction costs expressed as anannualized percentage of daily average net asset value during the period.

(6) As at December 31, 2019 or for the period from February 15, 2019 (date of commencement of operations) to December 31, 2019, as applicable.

FINANCIAL HIGHLIGHTS

8

Management Fees

The Fund is managed by CFI. As consideration for providing investment advisory and management services, CFI receives a management fee from the Fund, based on the net asset value of the respective series, calculated daily and payable monthly in arrears. In respect of units of all series of the Fund other than Series I, the management fee is paid by the Portfolio to CFI. Management fees in respect of Series I units are arranged directly and charged outside the Portfolio. Management fees on Series I units are not expenses of the Portfolio. CFI uses a portion of management fees to pay for trailing commissions to registered dealers (if applicable) based on amounts invested in the Fund. CFI uses the remaining portion of the management fees to pay for investment advice, including fees charged by the Fund’s portfolio manager, and general administration expenses and retains the balance for profit. The following table summarizes the annual management fee rates (excluding GST and HST) of each series of the Fund, expressed as a percentage of the Fund’s value, and the portion used for dealer compensation and the portion used for or attributed to investment advice, general administration and profit.

As a percentage of management fees

Annual Rates

Dealer Compensation

Investment advice, administration and profit

Series A 1.45% 68.97% 31.03%

Series F 0.45% 0.00% 100.00%

Series I 0.00% 0.00% 0.00%

MANAGEMENT AND PERFORMANCE FEES

9

Performance Fees

The Fund pays a quarterly performance fee to the Manager, calculated and accrued daily. The performance fee is based on the performance of a Series of the Fund relative to the performance of the Fund’s hurdle and is equal to 15% of the amount by which the Fund outperforms the hurdle. The performance fee is applicable to Series A and Series F units. Unitholders of Series I units may negotiate a performance fee to be paid by the investor directly to the Manager. The FTSE Canada 91 Day T-bill Index return is the hurdle for the Fund.

MANAGEMENT AND PERFORMANCE FEES

10

Past Performance

The performance information shown below assumes that all distributions made by the Fund in the periods shown were reinvested in additional units of the Fund. Note that the performance information does not take into account sales, redemption, distribution or other optional charges that would have reduced returns or performance. How the Fund has performed in the past does not necessarily indicate how it will perform in the future.

Year-by-year Returns

The following bar charts show the Fund’s annual performance for each of the years shown, and illustrate how the Fund’s performance has changed from year to year, for each series of the Fund. The charts show, in percentage terms, how much an investment made on the first day of each financial period would have grown or decreased by the last day of each financial period.

Series A

Performance for 2019 represents returns from February 15 to December 31, 2019.

PAST PERFORMANCE

11

Series F


Series I


PAST PERFORMANCE

12

Annual Compound Returns

The table below shows past performance for the last one, three, five and ten year financial periods, as applicable, for each series of the Fund, relative to the performance of relevant broad-based securities market index during the same periods.

CC&L Alternative Income Fund

1 yr 3 yr 5 yr 10 yr Since

Inception Inception

Date

Series A 4.91% 3.46% Feb-15-19

Index* 0.86% 1.22%

Series F 5.93% 4.31% Feb-15-19

Index* 0.86% 1.22%

Series I 7.61% 5.85% Feb-15-19

Index* 0.86% 1.22%

* FTSE Canada 91 Day TBill Index

PAST PERFORMANCE

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The following bar chart shows the performance of the Fund’s long and short portfolio positions for the period from January 1, 2020 to December 31, 2020 before deducting fees and expenses and before the impact of other assets less liabilities.

14.89%

-4.44%

-10%

-5%

0%

5%

10%

15%

20%Long Short

PAST PERFORMANCE

14

1 Ford Motor Credit Co Llc 4.06% 2024.11.01 5.8 1 Canada 2.00% 2051.12.01 (12.5)

2 Bank Of Montreal 2.28% 2024.07.29 4.5 2 Ontario 2.65% 2050.12.02 (4.4)

3 Centene Corp 4.63% 2029.12.15 4.3 3 Dell Int Llc / Emc Corp 4.90% 2026.10.01 (3.8)

4 Canada Real Return Bond 0.50% 2050.12.01 4.3 4 Mylan Nv 3.95% 2026.06.15 (3.7)

5 Ontario 2.05% 2030.06.02 4.3 5 Vmware Inc 3.90% 2027.08.21 (2.7)

6 Enbridge Gas Inc 2.90% 2030.04.01 4.1 6 Ashtead Capital Inc 4.25% 2029.11.01 (2.7)

7 Sprint Corp 7.13% 2024.06.15 3.3 7 Tenet Healthcare Corp 6.75% 2023.06.15 (2.4)

8 Alberta 3.10% 2050.06.01 3.2 8 Ontario 1.90% 2051.12.02 (1.9)

9 Saskatchewan 3.10% 2050.06.02 3.1 9 Quebec 3.10% 2051.12.01 (1.9)

10 Canadian Imperial Bank 2.00% 2025.04.17 2.8 10 Level 3 Financing Inc 3.88% 2029.11.15 (1.8)

11 Bank Of Nova Scotia 2.49% 2024.09.23 2.4 11 Csc Holdings Llc 5.75% 2030.01.15 (1.8)

12 New Brunswick 3.55% 2043.06.03 2.3 12 Nrg Energy Inc 2.00% 2025.12.02 (1.6)

13 Nova Scotia 3.15% 2051.12.01 2.2 13 Continental Resources 4.38% 2028.01.15 (1.6)

14 Vistra Operations Co Llc 5.00% 2027.07.31 1.9 14 United Rentals North Am 4.88% 2028.01.15 (1.5)

15 Vici Properties / Note 4.25% 2026.12.01 1.9 15 United Rentals North Am 4.00% 2030.07.15 (1.5)

16 Wyndham Destinations Inc 4.25% 2022.03.01 1.9 16 Nxp Bv/Nxp Fdg/Nxp Usa 3.40% 2030.05.01 (1.5)

17 Royal Bank Of Canada 1.94% 2025.05.01 1.9 17 Allison Transmission Inc 3.75% 2031.01.30 (1.3)

18 Bell Canada 3.35% 2025.03.12 1.9 18 Nxp Bv/Nxp Funding Llc 5.35% 2026.03.01 (1.3)

19 Lamb Weston Hld 4.63% 2024.11.01 1.9 19 Penn National Gaming Inc 5.63% 2027.01.15 (1.2)

20 Canadian Imperial Bank 4.38% 2025.10.28 1.8 20 Vistra Operations Co Llc 4.30% 2029.07.15 (1.1)

21 Bausch Health Cos Inc 7.00% 2028.01.15 1.7 21 Lennar Corp 4.75% 2027.11.29 (1.1)

22 Canada 0.50% 2025.09.01 1.7 22 HCA Inc 4.13% 2029.06.15 (1.0)

23 T-Mobile Usa Inc. 4.75% 2028.02.01 1.6 23 Tegna Inc 5.00% 2029.09.15 (0.9)

24 Rogers Communications In 3.25% 2029.05.01 1.6 24 Ford Motor Company 4.75% 2043.01.15 (0.9)

25 Eog Resources Inc 4.38% 2030.04.15 1.6 25 AltaGas Ltd. 4.50% 2044.08.15 (0.9)

Top long positions as a percentage of total net asset value 67.9 (57.0)

Top 25 Investments - Long % of Net Asset Value

Below is a breakdown of the Fund's investment holdings as at December 31, 2020. The individual holdings and their relative percentage of the overall fund will change between reporting periods as markets change and the portfolio manager buys and sells individual securities.

Top 25 Investments - Short % of Net Asset Value

Top short positions as a percentage of total net asset value

SUMMARY OF INVESTMENT PORTFOLIO

15

Long Short Net Long Short Net

3.4 (27.6) (24.2) 163.7 (44.4) 119.3

186.6 (65.7) 120.9 22.9 (21.3) 1.6

0.0 (0.1) (0.1) 3.4 (27.6) (24.2)

0.1 0.0 0.1 0.0 (0.1) (0.1)

Currency forward contracts 0.0 0.0 0.0 0.1 0.0 0.1

3.3 3.3 Currency forward contracts 0.0 0.0 0.0

193.4 (93.4) 100.0 3.3 3.3

193.4 (93.4) 100.0

Long Short Net

Canada 76.3 (23.4) 52.9 Canadian dollar 49.9 United States 103.8 (35.4) 68.4 U.S. dollar 50.1 Foreign 6.5 (6.9) (0.4) 100.0Short term investments 3.4 (27.6) (24.2)Futures contracts* 0.0 (0.1) (0.1)

Bond forward contracts 0.1 0.0 0.1 AAA 10.0

Currency forward contracts 0.0 0.0 0.0 AA 6.6

Other assets less liabilities 3.3 3.3 A 32.4

193.4 (93.4) 100.0 BBB 33.0

BB 87.2

B 17.2

CCC 3.8

190.2

** - Credit ratings are determined from a composite of bond rating services such as Standard & Poor's, Moody's and Dominion Bond Rating Services.

Bond forward contracts

Other assets less liabilities

Canadian government bonds

% of Net Asset Value

Regional Allocation

Futures contracts*


Bonds by Credit Rating** % of Net Asset Value

Note: The investments and percentages may have changed by the time you purchase units of this Fund. The top 25 investment holdings are made available quarterly, 60 days afterquarter end.

* - Notional principal values represent (31.0)% of total net assets for Montreal Canadian 10-Year Futures, (3.4)% of total net asset value for Canadian 5-Year Bond Futures, and 15.0%of total net asset value for CBOT US 10-Year T-Note Futures.


Sector Allocation

Futures contracts*

Other assets less liabilities


Portfolio Allocation

Short term investments Corporate bonds

Bond forward contracts

Bonds

Net Currency Exposure

Short term investments

SUMMARY OF INVESTMENT PORTFOLIO

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cc&l alternative income fund

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