ANNUAL FINANCIAL STATEMENTS December 31, 2020 TABLE OF CONTENTS Independent Auditors’ Report .............................................................................................. 3 CC&L Alternative Global Equity Fund .................................................................................... 6 CC&L Alternative Canadian Equity Fund ................................................................................ 94 CC&L Alternative Income Fund ............................................................................................. 167 Notes to Financial Statements .............................................................................................. 186 CONNOR, CLARK & LUNN FUNDS INC. Annual Financial Statements for the period ending December 31, 2020 2 KPMG LLP PO Box 10426 777 Dunsmuir Street Vancouver BC V7Y 1K3 Canada Telephone (604) 691-3000 Fax (604) 691-3031 INDEPENDENT AUDITORS’ REPORT To the Unitholders of: CC&L Alternative Global Equity Fund CC&L Alternative Canadian Equity Fund CC&L Alternative Income Fund (collectively, the “Funds”) Opinion We have audited the financial statements of the Funds, which comprise: • the statements of financial position as at December 31, 2020 and December 31, 2019 • the statements of comprehensive income for the year ended December 31, 2020 and the period from February 15, 2019 to December 31, 2019 • the statements of changes in net assets attributable to holders of redeemable units for the year ended December 31, 2020 and the period from February 15, 2019 to December 31, 2019 • the statements of cash flows for the year ended December 31, 2020 and the period from February 15, 2019 to December 31, 2019 • and notes to the financial statements, including a summary of significant accounting policies (hereinafter referred to as the “financial statements”). In our opinion, the accompanying financial statements present fairly, in all material respects, the financial position of the Funds as at December 31, 2020 and December 31, 2019, and their financial performance and their cash flows for the year ended December 31, 2020 and the period from February 15, 2019 to December 31, 2019 in accordance with International Financial Reporting Standards (“IFRS”). Basis for Opinion We conducted our audits in accordance with Canadian generally accepted auditing standards. Our responsibilities under those standards are further described in the “Auditors’ Responsibilities for the Audit of the Financial Statements” section of our auditors’ report. We are independent of the Funds in accordance with the ethical requirements that are relevant to our audits of the financial statements in Canada and we have fulfilled our other ethical responsibilities in accordance with these requirements. KPMG LLP is a Canadian limited liability partnership and a member firm of the KPMG network of independent member firms affiliated with KPMG International Cooperative (“KPMG International”), a Swiss entity KPMG Canada provides services to KPMG LLP. Connor, Clark & Lunn Funds Inc. Page 2 We believe that the audit evidence we have obtained in our audits is sufficient and appropriate to provide a basis for our opinion. Other Information The Funds’ Manager is responsible for the other information. Other information comprises: • the information included in the Annual Management Report on Fund Performance for each of the Funds filed with the relevant Canadian Securities Commissions. Our opinion on the financial statements does not cover the other information and we do not and will not express any form of assurance conclusion thereon. In connection with our audits of the financial statements, 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 or our knowledge obtained in the audits and remain alert for indications that the other information appears to be materially misstated. We obtained the information included in the Annual Management Report on Fund Performance for each of the Funds filed with the relevant Canadian Securities Commissions as at the date of this auditors’ report. If, based on the work we have performed on this other information, we conclude that there is a material misstatement of this other information, we are required to report that fact in the auditors’ report. We have nothing to report in this regard. Responsibilities of the Manager and Those Charged with Governance for the Financial Statements The Funds’ Manager is responsible for the preparation and fair presentation of the financial statements in accordance with IFRS, and for such internal control as the Manager 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, the Manager is responsible for assessing the Funds’ ability to continue as going concerns, disclosing as applicable, matters related to going concern and using the going concern basis of accounting unless the Manager either intends to liquidate the Funds or to cease operations, or has no realistic alternative but to do so. Those charged with governance are responsible for overseeing the Funds’ financial reporting process. Auditors’ Responsibilities for the Audit of the Financial Statements Our objectives are to obtain reasonable assurance about whether the financial statements as a whole are free from material misstatement, whether due to fraud or error, and to issue an auditors’ 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. Connor, Clark & Lunn Funds Inc. Page 3 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. 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, 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 audits 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 Funds’ internal control. • Evaluate the appropriateness of accounting policies used and the reasonableness of accounting estimates and related disclosures made by the Manager. • Conclude on the appropriateness of the Manager’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 Funds’ ability to continue as a going concern. If we conclude that a material uncertainty exists, we are required to draw attention in our auditors’ report to the related disclosures in the financial statements 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 auditors’ report. However, future events or conditions may cause the Funds to cease to continue as a going concern. • Evaluate the overall presentation, structure and content of the financial statements, including the disclosures, and whether the financial statements represent the underlying transactions and events in a manner that achieves fair presentation. • Communicate with those charged with governance regarding, among other matters, the planned scope and timing of the audits and significant audit findings, including any significant deficiencies in internal control that we identify during our audits. Chartered Professional Accountants Vancouver, Canada March 5, 2021 CC&L Alternative Global Equity Fund Statements of Financial Position As at December 31 2020 2019 Assets Current assets Cash $ 51,399 $ 1,451 Investments 25,886,594 25,184,331 Unrealized appreciation on currency forward contracts 15,836 6,297 Unrealized appreciation on swap contracts 751,196 289,059 Daily variation margin 3,206,200 1,295,483 Due from broker 1,028,648 3,386,726 Dividends receivable 20,410 24,693 30,960,283 30,188,040 Liabilities Current liabilities Bank indebtedness 3,101,848 1,022,697 Investments sold short 3,402,186 6,436,633 Unrealized depreciation on currency forward contracts 32,838 11,013 Unrealized depreciation on swap contracts 690,692 219,975 Dividends payable on securities sold short 2,947 8,311 Due to broker 1,170,813 3,327,559 Accrued security borrowing fees 3,773 11,187 Accrued expenses 45,275 22,859 Management fees payable 1,897 850 8,452,269 11,061,084 Net Assets attributable to holders of redeemable units $ 22,508,014 $ 19,126,956 Net Assets attributable to holders of redeemable units for each class Series A $ 90,767 $ 100,441 Series F $ 3,250,077