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

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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 in accordance with Canadian generally accepted auditing standards. Our responsibilities under those standards are further described in the “Auditors’ Responsibilities for the 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 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 $ 2,313,143 Series I $ 19,167,170 $ 16,713,372

Redeemable units outstanding (note 6) Series A 8,196 9,391 Series F 295,883 220,130 Series I 1,746,010 1,591,554

Net Assets attributable to holders of redeemable units per unit Series A $ 11.07 $ 10.70 Series F $ 10.98 $ 10.51 Series I $ 10.98 $ 10.50

Approved by the Manager

"Michael Freund" "Tim Elliott"

Director Director

The accompanying notes are an integral part of these financial statements. 6 CC&L Alternative Global Equity Fund Statements of Comprehensive Income For the year ended December 31, 2020 and period from February 15, 2019 (commencement of operations) to December 31, 2019

2020 2019

Income Realized foreign exchange gain (loss) on currency $ (53,646) $ 29,332 Change in unrealized foreign exchange gain (loss) on currency 86,797 18,556 Securities lending income (note 12) 2,095 727 Other income (loss) 1,070 1,538

Net gain (loss) on investments Dividends 529,189 465,898 Dividend expense on securities sold short (61,006) (128,482) Interest for distribution purposes 118,286 18,605 Income from income trusts 38,060 46,111 Net realized gain (loss) on investments 1,265,737 731,411 Net realized gain (loss) on investments sold short (344,145) (48,195) Net realized gain (loss) on currency forward contracts (27,451) 6,618 Net realized gain (loss) on futures contracts (33,691) (11,544) Net realized gain (loss) on swap contracts 596,973 31,255 Net change in unrealized appreciation (depreciation) on investments 1,812,951 1,033,223 Net change in unrealized appreciation (depreciation) on investments sold short (473,760) 51,301 Net change in unrealized appreciation (depreciation) on currency forward contracts (12,286) (4,716) Net change in unrealized appreciation (depreciation) on swap contracts (8,580) 69,084 Total net gain (loss) on investments 3,400,277 2,260,569

Total income (loss), net 3,436,593 2,310,722

Expenses (note 8) Administrative fees - 155 Audit fees 21,044 24,319 Custodial fees 94,433 81,673 Filing fees 11,987 - Fundserv fees 29 - Independent review committee fees 5,124 3,919 Independent review committee 626 478 Interest expense 148,654 25,549 Management fees 17,517 10,416 Performance fees - 237 Professional fees 27,538 - Security borrowing expense 45,947 90,084 Securityholder reporting fees 7,696 5,329 Transaction costs (note 9) 60,470 303,568

Total operating expenses 441,065 545,727

Withholding taxes (note 7) (72,384) (73,197)

Increase (decrease) in Net Assets attributable to holders of redeemable units from operations $ 2,923,144 $ 1,691,798

The accompanying notes are an integral part of these financial statements. 7 CC&L Alternative Global Equity Fund Statements of Comprehensive Income For the year ended December 31, 2020 and period from February 15, 2019 (commencement of operations) to December 31, 2019

2020 2019

Increase (decrease) in Net Assets attributable to holders of redeemable units for each class Series A $ 8,887 $ 7,741 Series F $ 459,329 $ 153,928 Series I $ 2,454,928 $ 1,530,129

Weighted average number of units outstanding Series A 8,158 8,216 Series F 263,266 178,783 Series I 1,591,515 1,427,811

Increase (decrease) in Net Assets attributable to holders of redeemable units per unit Series A $ 1.09 $ 0.94 Series F $ 1.74 $ 0.86 Series I $ 1.54 $ 1.07

The accompanying notes are an integral part of these financial statements. 8 CC&L Alternative Global Equity Fund Statements of Changes in Net Assets Attributable to Holders of Redeemable Units For the year ended December 31, 2020 and period from February 15, 2019 (commencement of operations) to December 31, 2019

Series A Series A 2020 2019

Net Assets attributable to holders of redeemable units - Beginning of period $ 100,441 $ -

Increase (decrease) in Net Assets attributable to holders of redeemable units from operations 8,887 7,741

Redeemable unit transactions Proceeds from redeemable units issued 9,300 92,700 Reinvestments of distributions to holders of redeemable units 7,031 2,171 Redemption of redeemable units (27,861) -

Net increase (decrease) from redeemable unit transactions (11,530) 94,871

Distributions to holders of redeemable units From net investment income (791) - From net realized capital gains (6,240) (2,171)

Total distributions to holders of redeemable units (7,031) (2,171)

Increase (decrease) in Net Assets attributable to holders of redeemable units during the period (9,674) 100,441

Net Assets attributable to holders of redeemable units - End of period $ 90,767 $ 100,441

Series F Series F 2020 2019

Net Assets attributable to holders of redeemable units - Beginning of period $ 2,313,143 $ -

Increase (decrease) in Net Assets attributable to holders of redeemable units from operations 459,329 153,928

Redeemable unit transactions Proceeds from redeemable units issued 681,935 2,241,553 Reinvestments of distributions to holders of redeemable units 272,165 101,862 Redemption of redeemable units (204,330) (82,338)

Net increase (decrease) from redeemable unit transactions 749,770 2,261,077

Distributions to holders of redeemable units From net investment income (48,848) - From net realized capital gains (223,317) (101,862)

Total distributions to holders of redeemable units (272,165) (101,862)

Increase (decrease) in Net Assets attributable to holders of redeemable units during the period 936,934 2,313,143

Net Assets attributable to holders of redeemable units - End of period $ 3,250,077 $ 2,313,143

The accompanying notes are an integral part of these financial statements. 9 CC&L Alternative Global Equity Fund Statements of Changes in Net Assets Attributable to Holders of Redeemable Units For the year ended December 31, 2020 and period from February 15, 2019 (commencement of operations) to December 31, 2019

Series I Series I 2020 2019

Net Assets attributable to holders of redeemable units - Beginning of period $ 16,713,372 $ -

Increase (decrease) in Net Assets attributable to holders of redeemable units from operations 2,454,928 1,530,129

Redeemable unit transactions Proceeds from redeemable units issued - 15,183,243 Reinvestments of distributions to holders of redeemable units 1,696,809 856,273 Redemption of redeemable units (1,130) -

Net increase (decrease) from redeemable unit transactions 1,695,679 16,039,516

Distributions to holders of redeemable units From net investment income (379,825) - From net realized capital gains (1,316,984) (856,273)

Total distributions to holders of redeemable units (1,696,809) (856,273)

Increase (decrease) in Net Assets attributable to holders of redeemable units during the period 2,453,798 16,713,372

Net Assets attributable to holders of redeemable units - End of period $ 19,167,170 $ 16,713,372

Total Total 2020 2019

Net Assets attributable to holders of redeemable units - Beginning of period $ 19,126,956 $ -

Increase (decrease) in Net Assets attributable to holders of redeemable units from operations 2,923,144 1,691,798

Redeemable unit transactions Proceeds from redeemable units issued 691,235 17,517,496 Reinvestments of distributions to holders of redeemable units 1,976,005 960,306 Redemption of redeemable units (233,321) (82,338)

Net increase (decrease) from redeemable unit transactions 2,433,919 18,395,464

Distributions to holders of redeemable units From net investment income (429,464) - From net realized capital gains (1,546,541) (960,306)

Total distributions to holders of redeemable units (1,976,005) (960,306)

Increase (decrease) in Net Assets attributable to holders of redeemable units during the period 3,381,058 19,126,956

Net Assets attributable to holders of redeemable units - End of period $ 22,508,014 $ 19,126,956

The accompanying notes are an integral part of these financial statements. 10 CC&L Alternative Global Equity Fund Statements of Cash Flows For the year ended December 31, 2020 and period from February 15, 2019 (commencement of operations) to December 31, 2019

2020 2019

Cash flows from (used in) Operating activities Increase (decrease) in Net Assets attributable to holders of redeemable units from operations $ 2,923,144 $ 1,691,798

Adjustments to reconcile to operating cash flows: Change in unrealized foreign exchange (gain) loss on currency (86,797) (18,556) Net realized (gain) loss on investments (1,265,737) (731,411) Net realized (gain) loss on investments sold short 344,145 48,195 Net change in unrealized (appreciation) depreciation of investments (1,812,951) (1,033,223) Net change in unrealized (appreciation) depreciation of investments sold short 473,760 (51,301) Net change in unrealized (appreciation) depreciation on currency forward contracts 12,286 4,716 Net change in unrealized (appreciation) depreciation on swap contracts 8,580 (69,084)

Purchase of investments (197,374,928) (201,437,191) Proceeds from investments sold 196,100,333 184,398,066 (Increase) decrease in daily variation margin (1,910,717) (1,295,483) (Increase) decrease in dividends receivable 4,283 (24,693) Increase (decrease) in accrued security borrowing fees (7,414) 11,187 Increase (decrease) in dividends payable on securities sold short (5,364) 8,311 Increase (decrease) in accrued expenses 22,416 22,859 Increase (decrease) in management fees payable 1,047 850

Net cash flows from (used in) operating activities (2,573,914) (18,474,960)

Cash flows from (used in) Financing activities Proceeds from redeemable units issued 691,235 17,517,496 Redemption of redeemable units (233,321) (82,338)

Net cash flows from (used in) financing activities 457,914 17,435,158

Increase (decrease) in cash (bank indebtedness) Net increase (decrease) in cash (bank indebtedness) (2,116,000) (1,039,802) Change in unrealized foreign exchange gain (loss) on currency 86,797 18,556 Cash, beginning of period 1,451 - Bank indebtedness, beginning of period (1,022,697) - (3,050,449) (1,021,246)

Cash, end of period $ 51,399 $ 1,451 Bank indebtedness, end of period $ (3,101,848) $ (1,022,697) $ (3,050,449) $ (1,021,246)

Dividends received, net of withholding taxes* $ 461,177 $ 368,075 Dividends paid* 66,370 120,171 Interest received* 118,286 18,605 Interest paid* 148,654 25,549

*included in operating activities

The accompanying notes are an integral part of these financial statements. 11 CC&L Alternative Global Equity Fund Schedule of Investment Portfolio As at December 31, 2020 Average Fair Percentage of Number of Cost Value Net Assets Shares $ $ %

Canadian Common Stocks - Long

Energy (December 31, 2019: 1.59%) Cenovus Energy Inc. 300 1,695 2,325 Crescent Point Energy Corp. 11,200 32,204 33,264 Enerplus Corp. 9,186 23,941 36,560 Husky Energy Inc. 100 408 630 Imperial Oil Ltd. 100 2,311 2,416 MEG Energy Corp. 1,900 5,108 8,455 Parex Resources Inc. 4,700 73,021 82,344 Precision Drilling Corp. 85 4,665 1,779 Seven Generations Energy Ltd. 400 1,415 2,644 Tervita Corp. 1,100 4,493 3,190 Tourmaline Oil Corp. 200 3,622 3,432 Whitecap Resources Inc. 900 2,253 4,374 155,136 181,413 0.81 Materials (December 31, 2019: 1.06%) Barrick Gold Corp. 500 15,000 14,500 Cascades Inc. 200 2,906 2,910 Eldorado Gold Corp. 100 1,648 1,687 Hudbay Minerals Inc. 100 609 891 Interfor Corp. 100 2,115 2,377 Largo Resources Ltd. 1,500 3,039 2,070 Lundin Gold Inc. 100 987 1,093 OceanaGold Corp. 10,385 22,108 25,547 Taseko Mines Ltd. 3,601 3,922 5,978 West Fraser Timber Co., Ltd. 400 33,508 32,712 Western Forest Products Inc. 1,300 1,693 1,664 87,535 91,429 0.41 Capital Goods (December 31, 2019: 0.42%) Bombardier Inc. 800 1,906 384 CAE Inc. 100 2,155 3,527 Magellan Aerospace Corp. 200 1,343 1,754 5,404 5,665 0.03 Commercial & (December 31, 2019: 0.28%) Civeo Corp. 31 697 549 Dexterra Group Inc. 100 355 649 Transcontinental Inc. 1,600 22,870 32,816 23,922 34,014 0.15 Transportation (December 31, 2019: 0.72%) Canadian National Railway Co. 200 27,949 27,988 Mullen Group Ltd. 200 1,598 2,180 TFI International Inc. 600 38,873 39,318 Westshore Terminals Investment Corp. 1,300 24,140 20,267 92,560 89,753 0.40 Automobiles & Components (December 31, 2019: 0.13%) Martinrea International Inc. 200 2,338 2,972 0.01

Consumer Durables & Apparel (December 31, 2019: 0.34%)

Consumer Services (December 31, 2019: 0.20%)

The accompanying notes are an integral part of these financial statements. 12 CC&L Alternative Global Equity Fund Schedule of Investment Portfolio As at December 31, 2020 Average Fair Percentage of Number of Cost Value Net Assets Shares $ $ % Retailing (December 31, 2019: 0.02%) Aritzia Inc. 200 3,444 5,158 0.02

Food & Staples Retailing (December 31, 2019: 0.21%) Empire Co., Ltd. 700 25,184 24,353 Loblaw Cos Ltd. 100 6,519 6,281 Metro Inc. 100 5,909 5,680 37,612 36,314 0.16 Food, Beverage & Tobacco (December 31, 2019: 0.23%) Rogers Sugar Inc. 100 530 561 -

Health Care Equipment & Services (December 31, 2019: 0.18%) CRH Medical Corp. 300 925 894 Extendicare Inc. 100 675 664 1,600 1,558 0.01 Pharmaceuticals & Biotechnology (December 31, 2019: 0.10%) Bausch Health Cos Inc. 4,400 105,411 116,204 Canopy Growth Corp. 100 3,338 3,132 108,749 119,336 0.53 (December 31, 2019: 1.23%) Canadian Western Bank 200 5,527 5,724 0.03

Diversified Financials (December 31, 2019: 0.04%) CI Financial Corp. 100 1,748 1,578 TMX Group Ltd. 100 12,610 12,714 14,358 14,292 0.06 Insurance (December 31, 2019: 0.06%) Trisura Group Ltd. 93 8,081 8,284 0.04

Software & Services (December 31, 2019: Nil%) Open Text Corp. 200 11,486 11,568 0.05

Technology Hardware & Equipment (December 31, 2019: 0.18%) Quarterhill Inc. 300 441 768 -

Semiconductors & Semiconductor Equipment (December 31, 2019: 0.15%)

Telecommunication Services (December 31, 2019: 0.03%)

Media & Entertainment (December 31, 2019: 0.13%) Aimia Inc. 300 1,120 1,239 Corus Entertainment Inc. 4,000 13,259 17,120 Lions Gate Entertainment Corp., Class A 1,828 23,517 26,479 MDC Partners Inc. 755 1,590 2,414 Quebecor Inc. 100 3,263 3,276 42,749 50,528 0.22 Utilities (December 31, 2019: 0.05%) Capital Power Corp. 100 2,858 3,498 0.02

Real Estate (December 31, 2019: 0.41%) DREAM Unlimited Corp. 100 1,756 2,125 Real Matters Inc. 100 2,369 1,921 4,125 4,046 0.02 Total Canadian Common Stocks - Long 608,455 666,881 2.97

The accompanying notes are an integral part of these financial statements. 13 CC&L Alternative Global Equity Fund Schedule of Investment Portfolio As at December 31, 2020 Average Fair Percentage of Number of Cost Value Net Assets Shares $ $ % Canadian Common Stocks - Short

Energy (December 31, 2019: -2.04%) Africa Oil Corp. (800) (959) (904) Baytex Energy Corp. (9,100) (14,764) (6,279) Computer Modelling Group Ltd. (2,400) (14,205) (11,712) Enerflex Ltd. (200) (1,024) (1,312) Ensign Energy Services Inc. (5,300) (8,357) (4,823) Freehold Royalties Ltd. (2,600) (11,066) (13,546) Frontera Energy Corp. (400) (2,256) (1,284) Inter Pipeline Ltd. (200) (2,678) (2,374) Kelt Exploration Ltd. (4,900) (9,334) (8,820) Keyera Corp. (500) (10,613) (11,310) NexGen Energy Ltd. (1,300) (2,728) (4,563) NuVista Energy Ltd. (10,622) (24,512) (9,985) Pason Systems Inc. (2,300) (12,234) (18,124) Pinnacle Renewable Energy Inc. (100) (871) (909) PrairieSky Royalty Ltd. (400) (3,916) (4,036) Secure Energy Services Inc. (6,300) (32,675) (15,498) Tidewater Midstream and Infrastructure Ltd. (1,300) (1,085) (1,066) Total Energy Services Inc. (2,500) (11,959) (8,200) Trican Well Service Ltd. (500) (580) (840) Ur-Energy Inc., TSE (3,000) (3,419) (3,120) (169,235) (128,705) (0.57) Materials (December 31, 2019: -0.72%) Americas Gold & Silver Corp. (900) (3,168) (3,672) Equinox Gold Corp. (2,600) (34,140) (34,242) Galiano Gold Inc. (5,200) (4,449) (7,436) Kirkland Lake Gold Ltd. (100) (5,383) (5,260) MAG Silver Corp. (3,300) (68,208) (85,998) Major Drilling Group International Inc. (100) (425) (769) SilverCrest Metals Inc. (1,500) (18,140) (21,285) TMAC Resources Inc. (300) (777) (456) Wallbridge Mining Co., Ltd. (300) (364) (234) (135,054) (159,352) (0.71) Capital Goods (December 31, 2019: -0.84%) Ballard Power Systems Inc. (300) (8,653) (8,934) DIRTT Environmental Solutions (6,100) (29,836) (18,971) (38,489) (27,905) (0.12) Commercial & Professional Services (December 31, 2019: -0.15%) K-Bro Linen Inc. (400) (14,991) (15,588) (0.07)

Transportation (December 31, 2019: Nil%) Air Canada (200) (3,599) (4,554) Chorus Aviation Inc. (5,600) (16,490) (20,720) (20,089) (25,274) (0.11) Automobiles & Components (December 31, 2019: -0.13%)

Consumer Durables & Apparel (December 31, 2019: -0.28%)

Consumer Services (December 31, 2019: -0.07%) MTY Food Group Inc. (300) (11,546) (17,385) Recipe Unlimited Corp. (300) (4,916) (5,025) (16,462) (22,410) (0.10)

The accompanying notes are an integral part of these financial statements. 14 CC&L Alternative Global Equity Fund Schedule of Investment Portfolio As at December 31, 2020 Average Fair Percentage of Number of Cost Value Net Assets Shares $ $ % Retailing (December 31, 2019: -0.26%) Diversified Royalty Corp. (3,900) (6,791) (9,282) Sleep Country Canada Holdings Inc. (100) (1,301) (2,647) Uni-Select Inc. (200) (1,980) (1,622) (10,072) (13,551) (0.06) Food, Beverage & Tobacco (December 31, 2019: -0.24%)

Health Care Equipment & Services (December 31, 2019: -0.01%)

Pharmaceuticals & Biotechnology (December 31, 2019: -0.21%) Aurora Cannabis Inc. (3,000) (31,728) (31,800) BELLUS Health Inc. (1,800) (6,100) (6,894) CannTrust Holdings Inc. (1,600) (4,665) (1,456) Charlottes Web Holdings Inc. (400) (1,432) (1,676) HEXO Corp. (5,138) (24,112) (23,994) MediPharm Labs Corp. (900) (1,004) (477) (69,041) (66,297) (0.29) Banks (December 31, 2019: -0.02%)

Diversified Financials (December 31, 2019: -0.07%) ECN Capital Corp. (100) (562) (647) RF Capital Group Inc. (800) (1,653) (1,392) (2,215) (2,039) (0.01) Software & Services (December 31, 2019: Nil%) Lightspeed POS Inc. (1,100) (48,848) (98,824) (0.44)

Technology Hardware & Equipment (December 31, 2019: -0.08%) EXFO Inc. (100) (382) (434) -

Media & Entertainment (December 31, 2019: -0.07%) Stingray Group Inc. (300) (1,551) (1,977) WildBrain Ltd. (565) (1,032) (1,011) (2,583) (2,988) (0.01) Utilities (December 31, 2019: -0.01%)

Real Estate (December 31, 2019: Nil%) Invesque Inc. (100) (279) (233) - Total Canadian Common Stocks - Short (527,740) (563,600) (2.49)

United States Common Stocks - Long

Energy (December 31, 2019: 5.47%) Antero Resources Corp. 1,474 9,439 10,234 Baker Hughes Co. 3,132 69,348 83,195 Cabot Oil & Gas Corp. 120 2,948 2,489 Centennial Resource Development Inc. 1,489 1,663 2,845 Cheniere Energy Inc. 68 5,180 5,201 Chevron Corp. 601 62,022 64,661 CNX Resources Corp. 2,628 33,956 36,159 Concho Resources Inc. 60 3,630 4,460 ConocoPhillips 399 18,759 20,328 CVR Energy Inc. 19 363 361 Delek US Holdings Inc. 40 821 819 Exxon Mobil Corp. 1,261 64,068 66,220 Gran Tierra Energy Inc., ASE 5,231 2,197 2,424

The accompanying notes are an integral part of these financial statements. 15 CC&L Alternative Global Equity Fund Schedule of Investment Portfolio As at December 31, 2020 Average Fair Percentage of Number of Cost Value Net Assets Shares $ $ % Gran Tierra Energy Inc., TSE 2,700 5,735 1,269 Helmerich & Payne Inc. 771 19,459 22,749 Hess Corp. 83 5,308 5,582 Kinder Morgan Inc. 607 12,894 10,571 Magnolia Oil & Gas Corp. 1,135 10,418 10,209 Marathon Oil Corp. 2,306 19,995 19,595 Marathon Petroleum Corp. 195 8,686 10,275 Matador Resources Co. 858 12,876 13,183 Murphy Oil Corp. 1,727 21,340 26,622 National Oilwell Varco Inc. 5,755 87,598 100,666 Newpark Resources Inc. 1,693 3,623 4,141 NexTier Oilfield Solutions Inc. 1,079 4,216 4,729 Oil States International Inc. 2,651 12,236 16,954 Overseas Shipholding Group Inc. 450 1,136 1,227 Ovintiv Inc. 2,600 36,409 47,554 PBF Energy Inc. 1,810 17,706 16,372 Peabody Energy Corp. 638 8,505 1,959 Penn Virginia Corp. 113 1,469 1,461 Phillips 66 132 12,782 11,762 ProPetro Holding Corp. 2,280 14,434 21,466 QEP Resources Inc. 472 1,458 1,437 Range Resources Corp. 255 2,411 2,177 SM Energy Co. 2,110 16,637 16,451 Targa Resources Corp. 637 15,376 21,408 US Silica Holdings Inc. 1,472 17,463 13,165 Williams Cos Inc. 502 13,147 12,823 657,711 715,203 3.17 Materials (December 31, 2019: 3.30%) Air Products and Chemicals Inc. 66 22,183 22,973 Albemarle Corp. 32 5,668 6,014 Avery Dennison Corp. 26 4,929 5,138 Ball Corp. 99 9,723 11,752 Celanese Corp. 35 5,851 5,794 CF Industries Holdings Inc. 64 3,039 3,156 Corteva Inc. 224 10,564 11,050 Crown Holdings Inc. 39 4,522 4,979 Dow Inc. 221 14,104 15,626 Eastman Chemical Co. 41 5,357 5,238 Ecolab Inc. 77 20,820 21,224 FMC Corp. 39 5,580 5,710 International Flavors & Fragrances Inc. 25 3,601 3,467 International Paper Co. 111 6,948 7,031 Intrepid Potash Inc. 82 3,393 2,523 Martin Marietta Materials Inc. 19 6,358 6,874 Mosaic Co. 108 3,070 3,166 Newmont Corp., NYSE 236 18,680 18,007 Nucor Corp. 92 5,953 6,234 Packaging Corp. of America 29 4,614 5,095 PPG Industries Inc. 71 12,335 13,045 Ranpak Holdings Corp. 437 5,319 7,483 Rayonier Advanced Materials Inc. 309 1,638 2,567 Resolute Forest Products Inc., NYSE 460 2,194 3,833 Royal Gold Inc. 6 855 813 RPM International Inc. 39 4,011 4,510 Ryerson Holding Corp. 50 513 869

The accompanying notes are an integral part of these financial statements. 16 CC&L Alternative Global Equity Fund Schedule of Investment Portfolio As at December 31, 2020 Average Fair Percentage of Number of Cost Value Net Assets Shares $ $ % Scotts Miracle-Gro Co. 2 418 507 Sherwin-Williams Co. 25 19,373 23,407 Southern Copper Corp. 1,436 93,962 119,135 Steel Dynamics Inc. 16 746 752 Trecora Resources 50 448 445 United States Steel Corp. 718 15,935 15,340 Valhi Inc. 72 2,270 1,394 Verso Corp. 184 2,396 2,818 Vulcan Materials Co. 40 6,776 7,558 WestRock Co. 78 4,468 4,326 338,614 379,853 1.69 Capital Goods (December 31, 2019: 6.61%) 3M Co. 172 36,939 38,301 AMETEK Inc. 69 10,790 10,631 AO Smith Corp., Class B 41 2,487 2,863 Argan Inc. 7 395 397 Armstrong Flooring Inc. 147 803 715 CAI International Inc. 125 4,175 4,975 Caterpillar Inc. 162 37,310 37,567 Cornerstone Building Brands Inc. 32 373 378 Cummins Inc. 44 12,238 12,730 Deere & Co. 89 28,380 30,506 Dover Corp. 44 6,395 7,077 Ducommun Inc. 25 1,367 1,710 Emerson Electric Co. 179 18,645 18,328 Enerpac Tool Group Corp. 7 144 202 Fastenal Co. 170 8,683 10,576 Fortive Corp. 89 7,636 8,030 Generac Holdings Inc. 19 5,172 5,505 General Dynamics Corp. 72 14,189 13,651 General Electric Co. 2,614 31,416 35,967 Graco Inc. 9 587 830 GrafTech International Ltd. 42 363 570 HEICO Corp. 33 4,836 5,566 Honeywell International Inc. 210 54,358 56,906 IDEX Corp. 23 5,015 5,837 IES Holdings Inc. 97 2,625 5,690 Illinois Tool Works Inc. 95 24,706 24,676 Ingersoll Rand Inc. 107 4,584 6,211 Jacobs Engineering Group Inc. 39 5,331 5,414 L3Harris Technologies Inc. 6 1,505 1,445 Lennox International Inc. 10 3,473 3,490 Lockheed Martin Corp. 75 36,871 33,918 LSI Industries Inc. 188 1,530 2,050 Manitex International Inc. 85 503 559 MRC Global Inc. 1,296 19,264 10,947 MSC Industrial Direct Co Inc. 8 881 860 Mueller Water Products Inc. 25 311 394 NN Inc. 411 2,507 3,440 Nordson Corp. 16 4,044 4,096 Northrop Grumman Corp. 47 20,046 18,246 NOW Inc. 1,117 13,401 10,218 Otis Worldwide Corp. 122 9,872 10,499 Owens Corning 32 3,129 3,089 PACCAR Inc. 103 11,837 11,322

The accompanying notes are an integral part of these financial statements. 17 CC&L Alternative Global Equity Fund Schedule of Investment Portfolio As at December 31, 2020 Average Fair Percentage of Number of Cost Value Net Assets Shares $ $ % Parker-Hannifin Corp. 38 9,544 13,188 Raytheon Technologies Corp. 458 41,655 41,725 REV Group Inc. 135 1,367 1,515 Roper Technologies Inc. 31 15,791 17,025 Snap-on Inc. 16 2,961 3,489 Spirit Aerosystems Holdings Inc. 12 594 598 Stanley Black & Decker Inc. 48 9,854 10,919 Teledyne Technologies Inc. 11 4,761 5,493 Textron Inc. 69 3,097 4,248 Titan International Inc. 1,619 4,679 10,024 TransDigm Group Inc. 15 9,813 11,826 Triumph Group Inc. 79 1,304 1,264 Ultralife Corp. 278 2,364 2,291 United Rentals Inc. 22 6,502 6,500 Vectrus Inc. 25 1,449 1,584 Veritiv Corp. 124 2,762 3,284 Willis Lease Finance Corp. 29 777 1,125 WW Grainger Inc. 13 5,923 6,763 Xylem Inc. 55 6,561 7,132 590,874 616,375 2.74 Commercial & Professional Services (December 31, 2019: 0.74%) Ceco Environmental Corp. 250 2,268 2,217 Cintas Corp. 26 8,993 11,708 Copart Inc. 64 6,915 10,375 CoStar Group Inc. 12 9,829 14,130 Equifax Inc. 36 7,369 8,844 Heidrick & Struggles International Inc. 52 2,172 1,946 IBI Group Inc. 100 532 819 340 19,301 18,842 Manpowergroup Inc. 6 583 689 Mistras Group Inc. 633 3,243 6,258 Pitney Bowes Inc. 2,608 11,448 20,467 Quad/Graphics Inc. 620 2,667 3,017 Republic Services Inc. 67 7,523 8,220 Robert Half International Inc. 34 2,850 2,706 Rollins Inc. 369 18,373 18,367 TransUnion 57 6,723 7,205 Verisk Analytics Inc. 46 10,052 12,166 VSE Corp. 13 544 637 Waste Management Inc. 126 17,977 18,931 139,362 167,544 0.74 Transportation (December 31, 2019: 1.42%) Allegiant Travel Co. 108 18,883 26,038 AMERCO 3 1,401 1,735 American Airlines Group Inc. 1,556 31,993 31,262 CH Robinson Worldwide Inc. 40 4,803 4,784 Covenant Group Inc. 112 2,342 2,113 CSX Corp. 229 21,932 26,476 Delta Air Lines Inc. 49 1,805 2,510 Expeditors International of Washington Inc. 49 5,603 5,937 FedEx Corp. 24 8,611 7,938 JB Hunt Transport Services Inc. 26 4,562 4,526 Kansas City Southern 28 6,879 7,282 Matson Inc. 13 952 944 Norfolk Southern Corp. 76 17,833 23,006

The accompanying notes are an integral part of these financial statements. 18 CC&L Alternative Global Equity Fund Schedule of Investment Portfolio As at December 31, 2020 Average Fair Percentage of Number of Cost Value Net Assets Shares $ $ % Old Dominion Freight Line Inc. 28 4,859 6,962 Southwest Airlines Co. 44 2,222 2,613 Uber Technologies Inc. 288 14,240 18,713 Union Pacific Corp. 203 45,726 53,850 United Parcel Service Inc., Class B 212 38,924 45,483 US Xpress Enterprises Inc. 34 440 296 USA Truck Inc. 117 1,387 1,331 235,397 273,799 1.22 Automobiles & Components (December 31, 2019: 0.41%) Cooper-Standard Holdings Inc. 212 9,681 9,364 Ford Motor Co. 1,183 9,953 13,248 Fox Factory Holding Corp. 126 13,406 16,969 Harley-Davidson Inc. 400 18,229 18,702 LCI Industries 2 334 330 Modine Co. 29 383 464 Standard Motor Products Inc. 6 369 309 Strattec Security Corp. 7 346 440 Superior Industries International Inc. 65 405 339 Tesla Inc. 138 86,153 124,065 139,259 184,230 0.82 Consumer Durables & Apparel (December 31, 2019: 0.83%) Bassett Furniture Industries Inc. 259 3,181 6,626 Beazer Homes USA Inc. 43 885 830 Cavco Industries Inc. 1 278 224 Culp Inc. 221 2,459 4,468 DR Horton Inc. 103 9,638 9,044 Ethan Allen Interiors Inc. 456 10,860 11,741 G-III Apparel Group Ltd. 160 1,671 4,839 Hooker Furniture Corp. 15 568 616 Kontoor Brands Inc. 712 21,947 36,791 La-Z-Boy Inc. 7 361 355 Lifetime Brands Inc. 50 472 968 Lululemon Athletica Inc. 37 15,208 16,405 Newell Brands Inc. 121 3,303 3,273 NIKE Inc., Class B 818 135,927 147,430 NVR Inc. 1 4,302 5,198 Peloton Interactive Inc. 60 7,027 11,597 Purple Innovation Inc. 316 11,545 13,261 Tupperware Brands Corp. 387 9,714 15,969 Vera Bradley Inc. 369 4,824 3,742 VF Corp. 98 8,254 10,664 Whirlpool Corp. 18 4,291 4,139 256,715 308,180 1.37 Consumer Services (December 31, 2019: 1.52%) BJ's Restaurants Inc. 271 8,510 13,289 Bloomin' Brands Inc. 467 7,487 11,554 Bluegreen Vacations Holding Corp. 84 1,289 1,448 Brinker International Inc. 186 11,472 13,405 Carrols Restaurant Group Inc. 127 1,210 1,016 Cheesecake Factory Inc. 592 26,745 27,951 Chegg Inc. 386 40,138 44,421 Chipotle Mexican Grill Inc. 17 29,635 30,033 Domino's Pizza Inc. 50 24,266 24,426 DraftKings Inc. 51 3,148 3,025 Fiesta Restaurant Group Inc. 33 409 479

The accompanying notes are an integral part of these financial statements. 19 CC&L Alternative Global Equity Fund Schedule of Investment Portfolio As at December 31, 2020 Average Fair Percentage of Number of Cost Value Net Assets Shares $ $ % Hilton Worldwide Holdings Inc. 83 11,271 11,765 Houghton Mifflin Harcourt Co. 2,076 11,813 8,807 Las Vegas Sands Corp. 103 7,558 7,821 Marriott International Inc. 83 12,634 13,949 McDonald's Corp. 643 176,095 175,780 MGM Resorts International 140 5,476 5,620 Papa John's International Inc. 28 2,879 3,027 Perdoceo Education Corp. 474 11,993 7,627 PlayAGS Inc. 219 1,346 2,009 Red Robin Gourmet Burgers Inc. 56 726 1,372 Red Rock Resorts Inc. 350 10,783 11,165 SeaWorld Entertainment Inc. 452 16,857 18,191 Service Corp. International/US 419 26,619 26,210 Six Flags Entertainment Corp. 27 1,004 1,173 Starbucks Corp. 1,095 143,501 149,240 Target Hospitality Corp. 1,207 2,153 2,430 Texas Roadhouse Inc. 180 18,406 17,924 Vail Resorts Inc. 28 8,636 9,951 Wingstop Inc. 121 21,730 20,433 Yum! Brands Inc. 91 11,261 12,586 657,050 678,127 3.00 Retailing (December 31, 2019: 3.79%) Abercrombie & Fitch Co. 100 2,605 2,594 Advance Auto Parts Inc. 21 4,331 4,214 Amazon.com Inc. 127 481,084 526,964 American Eagle Outfitters Inc. 684 12,759 17,489 AutoNation Inc. 7 522 622 Bed Bath & Beyond Inc. 274 6,826 6,200 Best Buy Co Inc. 70 9,302 8,899 Booking Holdings Inc. 12 32,454 34,050 Burlington Stores Inc. 20 5,863 6,664 Caleres Inc. 93 1,295 1,854 Chico's FAS Inc. 608 932 1,232 Children's Place Inc. 78 2,319 4,979 Dollar General Corp. 75 18,219 20,094 Dollar Tree Inc. 70 7,924 9,635 eBay Inc. 210 13,653 13,444 Etsy Inc. 35 6,924 7,933 Genesco Inc. 222 6,486 8,510 Genuine Parts Co. 44 5,904 5,630 Haverty Furniture Cos Inc. 276 5,841 9,729 Hibbett Sports Inc. 87 4,237 5,118 Home Depot Inc. 322 110,853 108,965 L Brands Inc. 1,203 41,230 56,998 Leaf Group Ltd. 273 1,514 1,617 Liquidity Services Inc. 175 1,541 3,547 Lumber Liquidators Holdings Inc. 197 4,141 7,715 MercadoLibre Inc. 13 26,467 27,745 Michaels Cos Inc. 23 356 381 ODP Corp. 75 2,015 2,800 O'Reilly Automotive Inc. 22 12,259 12,685 Pool Corp. 12 5,275 5,695 Ross Stores Inc. 106 15,644 16,585 Sally Beauty Holdings Inc. 40 564 665 Target Corp. 150 33,486 33,735

The accompanying notes are an integral part of these financial statements. 20 CC&L Alternative Global Equity Fund Schedule of Investment Portfolio As at December 31, 2020 Average Fair Percentage of Number of Cost Value Net Assets Shares $ $ % Tiffany & Co. 33 5,560 5,526 Tilly's Inc. 260 2,454 2,703 TJX Cos Inc. 671 55,164 58,378 Tractor Supply Co. 34 5,368 6,089 Ulta Salon Cosmetics & Fragrance Inc. 16 5,452 5,853 Urban Outfitters Inc. 477 13,492 15,557 Wayfair Inc. 20 7,122 5,754 979,437 1,074,847 4.78 Food & Staples Retailing (December 31, 2019: 1.23%) Costco Wholesale Corp. 133 59,140 63,842 Ingles Markets Inc. 59 2,614 3,207 Kroger Co. 233 9,205 9,428 Village Super Market Inc. 10 355 281 Walgreens Boots Alliance Inc. 223 12,242 11,330 Walmart Inc. 424 69,309 77,866 152,865 165,954 0.74 Food, Beverage & Tobacco (December 31, 2019: 2.01%) Altria Group Inc. 555 31,115 28,990 Archer-Daniels-Midland Co. 164 10,192 10,532 Brown-Forman Corp., Class B 116 10,402 11,738 Campbell Soup Co. 55 3,714 3,388 Coca-Cola Co. 1,221 82,206 85,307 Conagra Brands Inc. 142 6,632 6,560 Constellation Brands Inc. 50 12,717 13,953 Freshpet Inc. 68 11,888 12,301 General Mills Inc. 182 15,076 13,634 Hershey Co. 45 8,264 8,733 Hormel Foods Corp. 89 5,906 5,285 J M Smucker Co. 35 5,014 5,155 Kellogg Co. 78 7,266 6,184 Keurig Dr Pepper Inc. 167 6,211 6,808 Kraft Heinz Co. 198 9,011 8,743 Lamb Weston Holdings Inc. 43 4,210 4,314 McCormick & Co Inc. 74 8,544 9,013 Molson Coors Beverage Co. 58 2,839 3,339 Mondelez International Inc. 438 31,207 32,627 Monster Beverage Corp. 119 11,629 14,021 PepsiCo Inc. 415 74,728 78,408 Philip Morris International Inc. 487 50,997 51,366 Sanderson Farms Inc. 8 1,336 1,347 Seneca Foods Corp. 32 1,268 1,627 Tyson Foods Inc. 88 7,207 7,224 419,579 430,597 1.91 Household & Personal Products (December 31, 2019: 1.15%) Church & Dwight Co Inc. 75 7,644 8,335 Clorox Co. 38 11,452 9,775 Colgate-Palmolive Co. 243 24,122 26,472 Coty Inc. 5,976 27,417 53,446 Estee Lauder Cos Inc. 85 23,803 28,826 Kimberly-Clark Corp. 102 20,885 17,521 Lifevantage Corp. 184 2,968 2,185 Nature's Sunshine Products Inc. 74 1,185 1,409 Nu Skin Enterprises Inc. 11 692 766 Procter & Gamble Co. 744 120,644 131,885 240,812 280,620 1.25

The accompanying notes are an integral part of these financial statements. 21 CC&L Alternative Global Equity Fund Schedule of Investment Portfolio As at December 31, 2020 Average Fair Percentage of Number of Cost Value Net Assets Shares $ $ % Health Care Equipment & Services (December 31, 2019: 3.48%) Abbott Laboratories 528 74,152 73,651 ABIOMED Inc. 13 4,372 5,369 Accuray Inc. 233 1,052 1,238 Align Technology Inc. 23 13,591 15,658 AmerisourceBergen Corp. 46 5,924 5,729 Anthem Inc. 75 30,987 30,680 Baxter International Inc. 153 17,330 15,641 Becton Dickinson and Co. 87 29,446 27,734 Boston Scientific Corp. 431 21,891 19,740 Brookdale Senior Living Inc. 1,975 7,419 11,147 Cardinal Health Inc. 87 6,152 5,936 Cerner Corp. 93 8,870 9,298 Chemed Corp. 1 652 679 CIGNA CORP 110 29,600 29,174 Community Health Systems Inc. 1,875 4,588 17,748 Cooper Cos Inc. 16 7,367 7,406 CryoPort Inc. 12 714 671 Danaher Corp. 191 52,228 54,054 DaVita Inc. 24 3,456 3,590 DexCom Inc. 29 13,375 13,660 Edwards Lifesciences Corp. 186 20,569 21,618 Genesis Healthcare Inc. 492 545 304 Henry Schein Inc. 43 3,587 3,663 Humana Inc. 40 20,468 20,907 IDEXX Laboratories Inc. 26 12,149 16,558 Insulet Corp. 28 8,911 9,119 Intuitive Surgical Inc. 35 32,161 36,479 Invacare Corp. 238 2,047 2,714 iRhythm Technologies Inc. 2 577 604 Laboratory Corp. of America Holdings 29 6,746 7,520 LENSAR Inc. 38 160 351 Masimo Corp. 16 4,881 5,471 McKesson Corp. 48 10,266 10,636 Molina Healthcare Inc. 18 4,889 4,877 National Healthcare Corp. 5 445 423 Neogen Corp. 7 647 707 Penumbra Inc. 272 81,545 60,642 Quest Diagnostics Inc. 40 6,114 6,073 ResMed Inc. 43 9,835 11,644 Rockwell Medical Inc. 329 426 423 SeaSpine Holdings Corp. 50 1,001 1,112 Shockwave Medical Inc. 19 2,441 2,511 Stryker Corp. 101 27,626 31,530 Surgalign Holdings Inc. 126 350 352 Teladoc Health Inc. 34 8,576 8,661 Teleflex Inc. 14 6,922 7,341 Tenet Healthcare Corp. 38 1,312 1,933 Tivity Health Inc. 445 6,851 11,106 Triple-S Management Corp. 526 11,268 14,307 UnitedHealth Group Inc. 284 108,031 126,882 Universal Health Services Inc., Class B 24 3,531 4,204 Varian Medical Systems Inc. 28 5,260 6,243 Veeva Systems Inc. 40 12,360 13,874 West Pharmaceutical Services Inc. 22 7,119 7,941

The accompanying notes are an integral part of these financial statements. 22 CC&L Alternative Global Equity Fund Schedule of Investment Portfolio As at December 31, 2020 Average Fair Percentage of Number of Cost Value Net Assets Shares $ $ % Zimmer Biomet Holdings Inc. 61 11,141 11,975 773,923 819,508 3.64 Pharmaceuticals & Biotechnology (December 31, 2019: 5.83%) Abbvie Inc. 529 64,899 72,213 Abeona Therapeutics Inc. 322 1,470 644 Acadia Pharmaceuticals Inc. 88 6,262 5,994 Acceleron Pharma Inc. 20 3,347 3,260 Adamas Pharmaceuticals Inc. 100 475 552 Agilent Technologies Inc. 92 11,494 13,888 Alexion Pharmaceuticals Inc. 66 10,840 13,137 Alnylam Pharmaceuticals Inc. 39 7,355 6,458 Amgen Inc. 175 54,491 51,261 Amicus Therapeutics Inc. 216 6,334 6,354 AnaptysBio Inc. 313 5,724 8,573 Applied Genetic Technologies Corp. 201 1,569 1,047 Arcus Biosciences Inc. 846 25,933 27,980 Atara Biotherapeutics Inc. 25 724 625 Avantor Inc. 131 3,197 4,698 Biogen Inc. 47 14,873 14,662 BioMarin Pharmaceutical Inc. 54 7,097 6,033 Bio-Rad Laboratories Inc. 7 4,428 5,199 Blueprint Medicines Corp. 35 5,575 5,001 CareDx Inc. 138 10,835 12,738 Catalent Inc. 138 16,498 18,297 Catalyst Biosciences Inc. 395 3,071 3,175 Catalyst Pharmaceuticals Inc. 187 824 796 Cidara Therapeutics Inc. 383 1,949 976 Concert Pharmaceuticals Inc. 350 5,061 5,636 Cyclerion Therapeutics Inc. 22 539 86 Cymabay Therapeutics Inc. 218 1,122 1,594 CytomX Therapeutics Inc. 121 1,234 1,010 Denali Therapeutics Inc. 125 11,588 13,339 Dicerna Pharmaceuticals Inc. 70 2,112 1,965 Elanco Animal Health Inc. 129 4,329 5,040 Eli Lilly and Co. 257 50,946 55,281 Exact Sciences Corp. 47 7,012 7,933 Fate Therapeutics Inc. 115 13,896 13,322 FibroGen Inc. 194 10,594 9,167 Fluidigm Corp. 1,264 8,063 9,662 Gilead Sciences Inc. 376 29,802 27,908 GlycoMimetics Inc. 549 2,722 2,630 Halozyme Therapeutics Inc. 72 3,953 3,918 Harrow Health Inc. 69 476 603 Harvard Bioscience Inc. 576 2,392 3,148 Illumina Inc. 44 21,179 20,741 Incyte Corp. 56 7,298 6,206 Infinity Pharmaceuticals Inc. 153 381 413 Intellia Therapeutics Inc. 4 329 277 Invitae Corp. 89 5,093 4,741 IQVIA Holdings Inc. 57 12,671 13,011 Ironwood Pharmaceuticals Inc. 47 713 682 Johnson & Johnson 804 154,166 161,204 Kura Oncology Inc. 23 1,115 957 Lexicon Pharmaceuticals Inc. 657 1,671 2,863 MEI Pharma Inc. 933 3,864 3,138

The accompanying notes are an integral part of these financial statements. 23 CC&L Alternative Global Equity Fund Schedule of Investment Portfolio As at December 31, 2020 Average Fair Percentage of Number of Cost Value Net Assets Shares $ $ % Merck & Co Inc. 758 81,685 78,994 Mirati Therapeutics Inc. 11 3,353 3,078 Moderna Inc. 196 29,289 26,087 Myriad Genetics Inc. 343 6,235 8,641 Neurocrine Biosciences Inc. 26 3,240 3,175 Novavax Inc. 64 9,870 9,092 Organogenesis Holdings Inc. 52 372 499 Ovid Therapeutics Inc. 292 2,911 859 Pacific Biosciences of California Inc. 594 12,185 19,630 PDL BioPharma Inc. 501 1,867 1,577 PerkinElmer Inc. 34 5,110 6,216 Pfizer Inc. 1,660 79,544 77,847 PTC Therapeutics Inc. 76 6,355 5,909 Radius Health Inc. 33 802 751 Regeneron Pharmaceuticals Inc. 31 23,421 19,080 Rocket Pharmaceuticals Inc. 6 459 419 Sage Therapeutics Inc. 19 2,101 2,094 Sangamo Therapeutics Inc. 660 10,654 13,121 Sarepta Therapeutics Inc. 41 9,292 8,905 Seagen Inc. 119 26,340 26,552 Sio Gene Therapies Inc. 318 1,239 1,126 Spectrum Pharmaceuticals Inc. 250 1,474 1,086 TG Therapeutics Inc. 155 10,522 10,272 Thermo Fisher Scientific Inc. 118 56,592 70,022 Translate Bio Inc. 99 2,745 2,325 Travere Therapeutics Inc. 69 2,470 2,396 Twist Bioscience Corp. 4 740 720 Ultragenyx Pharmaceutical Inc. 32 6,320 5,644 United Therapeutics Corp. 23 4,378 4,448 Vanda Pharmaceuticals Inc. 58 1,013 971 Verastem Inc. 463 1,079 1,256 Vertex Pharmaceuticals Inc. 78 26,686 23,486 Voyager Therapeutics Inc. 34 391 310 VYNE Therapeutics Inc. 1,499 3,272 3,017 Waters Corp. 19 5,034 5,989 Zoetis Inc. 142 27,159 29,940 1,099,784 1,135,570 5.04 Banks (December 31, 2019: 5.51%) Amalgamated Bank 24 369 420 Ames National Corp. 14 359 428 Bank of America Corp. 2,334 79,380 90,127 Bank of Hawaii Corp. 111 10,877 10,835 Berkshire Hills Bancorp Inc. 45 762 981 BOK Financial Corp. 7 570 611 Boston Private Financial Holdings Inc. 25 225 269 Cadence BanCorp 351 5,890 7,343 Citigroup Inc. 624 45,514 49,018 Commerce Bancshares Inc. 112 8,886 9,375 Customers Bancorp Inc. 23 536 533 Fifth Third Bancorp 26 894 913 First Republic Bank/CA 51 7,451 9,547 Glacier Bancorp Inc. 7 336 410 Guaranty Bancshares Inc. 10 399 382 Hanmi Financial Corp. 54 656 780 HarborOne Bancorp Inc. 206 2,743 2,850

The accompanying notes are an integral part of these financial statements. 24 CC&L Alternative Global Equity Fund Schedule of Investment Portfolio As at December 31, 2020 Average Fair Percentage of Number of Cost Value Net Assets Shares $ $ % Heartland Financial USA Inc. 16 726 823 Hope Bancorp Inc. 34 428 473 Huntington Bancshares Inc. 301 4,941 4,843 Independent Bank Corp., MI 45 856 1,059 Independent Bank Group Inc. 5 374 398 JPMorgan Chase & Co. 911 129,060 147,479 M&T Bank Corp. 38 6,211 6,163 Merchants Bancorp/IN 33 835 1,162 Ocwen Financial Corp. 108 1,899 3,978 Old Second Bancorp Inc. 25 260 322 PNC Financial Services Group Inc. 126 18,443 23,918 Preferred Bank/Los Angeles CA 11 559 707 Provident Bancorp Inc. 434 5,939 6,635 Republic First Bancorp Inc. 117 363 425 Sumitomo Mitsui Financial Group Inc., ADR 649 5,125 5,102 SVB Financial Group 15 6,666 7,411 Tristate Capital Holdings Inc. 23 463 510 US Bancorp 408 25,129 24,217 Walker & Dunlop Inc. 80 4,169 9,379 Waterstone Financial Inc. 18 373 432 Wells Fargo & Co. 1,170 52,424 44,986 Westamerica BanCorp 12 862 845 Wintrust Financial Corp. 5 351 389 432,303 476,478 2.12 Diversified Financials (December 31, 2019: 4.02%) American Express Co. 205 31,075 31,578 Ameriprise Financial Inc. 36 8,707 8,913 Berkshire Hathaway Inc., Class B 419 113,500 123,773 BlackRock Inc. 46 33,857 42,285 Capital One Financial Corp. 136 11,997 17,127 Cboe Global Markets Inc. 32 3,562 3,756 Charles Schwab Corp. 458 29,495 30,948 CME Group Inc. 108 23,773 25,049 Curo Group Holdings Corp. 495 6,401 9,037 Elevate Credit Inc. 558 1,812 2,836 FactSet Research Systems Inc. 11 4,882 4,660 Goldman Sachs Group Inc. 98 26,870 32,925 Intercontinental Exchange Inc. 162 20,802 23,794 MarketAxess Holdings Inc. 12 8,417 8,723 Moody's Corp. 51 19,142 18,858 Morgan Stanley 281 24,393 24,533 MSCI Inc. 25 11,085 14,222 Nasdaq Inc. 35 5,787 5,919 Northern Trust Corp. 59 6,631 7,001 Raymond James Financial Inc. 38 3,654 4,632 Regional Management Corp. 241 5,563 9,168 S&P Global Inc. 72 28,645 30,154 SEI Investments Co. 38 2,827 2,782 State Street Corp. 105 9,009 9,736 Synchrony Financial 158 4,531 6,987 T Rowe Price Group Inc. 68 10,029 13,115 Tradeweb Markets Inc. 25 2,021 1,989 Voya Financial Inc. 40 2,695 2,997 461,162 517,497 2.30

The accompanying notes are an integral part of these financial statements. 25 CC&L Alternative Global Equity Fund Schedule of Investment Portfolio As at December 31, 2020 Average Fair Percentage of Number of Cost Value Net Assets Shares $ $ % Insurance (December 31, 2019: 1.94%) Aflac Inc. 201 11,816 11,388 Alleghany Corp. 4 2,799 3,076 Allstate Corp. 93 12,512 13,025 Arthur J Gallagher & Co. 57 7,337 8,984 Assurant Inc. 18 2,540 3,124 Brown & Brown Inc. 73 3,779 4,409 Cincinnati Financial Corp. 46 4,806 5,120 Crawford & Co., Class A 43 416 405 Erie Indemnity Co. 18 4,252 5,632 Fidelity National Financial Inc. 83 3,953 4,133 Globe Life Inc. 31 3,372 3,750 Hartford Financial Services Group Inc. 107 6,181 6,677 Loews Corp. 75 4,143 4,302 Markel Corp. 4 5,490 5,266 Marsh & McLennan Cos Inc. 152 21,762 22,657 MetLife Inc. 231 13,955 13,817 Principal Financial Group Inc. 82 5,068 5,183 Protective Insurance Corp. 75 1,490 1,310 Prudential Financial Inc. 118 11,517 11,736 Travelers Cos Inc. 76 11,121 13,591 W R Berkley Corp. 54 4,217 4,569 142,526 152,154 0.68 Software & Services (December 31, 2019: 7.79%) 2U Inc. 12 466 612 Adobe Inc. 143 83,771 91,113 Altair Engineering Inc. 131 9,830 9,710 ANSYS Inc. 26 10,910 12,051 Autodesk Inc. 66 24,026 25,674 Automatic Data Processing Inc. 128 26,355 28,733 Avalara Inc. 24 4,229 5,042 Avaya Holdings Corp. 14 348 342 Black Knight Inc. 48 4,995 5,403 Holding Corp. 41 4,650 4,554 Brightcove Inc., Rights 170 2,926 3,985 Cadence Design Systems Inc. 83 11,123 14,426 ChannelAdvisor Corp. 718 16,814 14,617 Citrix Systems Inc. 35 5,770 5,801 Technology Solutions Corp. 162 12,282 16,913 Computer Task Group Inc. 111 968 865 Concentrix Corp. 2 207 251 Conduent Inc. 1,958 30,587 11,974 Coupa Software Inc. 20 8,290 8,635 Crowdstrike Holdings Inc. 31 3,964 8,366 Datadog Inc. 32 3,280 4,013 DocuSign Inc. 54 14,664 15,293 Dropbox Inc. 94 2,719 2,657 Dynatrace Inc. 38 1,857 2,095 EPAM Systems Inc. 17 5,603 7,761 Fair Isaac Corp. 9 5,710 5,860 Fidelity National Information Services Inc. 186 33,086 33,521 FleetCor Technologies Inc. 25 8,359 8,690 GoDaddy Inc. 50 5,433 5,284 Guidewire Software Inc. 35 5,667 5,740 HubSpot Inc. 13 6,288 6,566

The accompanying notes are an integral part of these financial statements. 26 CC&L Alternative Global Equity Fund Schedule of Investment Portfolio As at December 31, 2020 Average Fair Percentage of Number of Cost Value Net Assets Shares $ $ % Intuit Inc. 78 36,408 37,746 Jack Henry & Associates Inc. 24 5,698 4,953 Magic Software Enterprises Ltd. 75 918 1,495 Mastercard Inc. 260 105,057 118,233 Microsoft Corp. 2,150 454,189 609,230 Mitek Systems Inc. 30 512 680 MongoDB Inc. 15 7,618 6,861 Net 1 UEPS Technologies Inc. 313 1,347 1,962 Okta Inc. 36 11,036 11,661 Oracle Corp. 596 45,848 49,119 Palo Alto Networks Inc. 29 10,838 13,130 Paychex Inc. 98 9,548 11,634 Paycom Software Inc. 15 8,079 8,642 PayPal Holdings Inc. 378 92,893 112,784 PRGX Global Inc. 166 1,079 1,614 PTC Inc. 33 5,039 5,029 Q2 Holdings Inc. 8 1,333 1,290 Rimini Street Inc. 130 924 734 RingCentral Inc. 22 9,540 10,622 Sabre Corp. 1,021 9,633 15,635 Salesforce.com Inc. 231 60,726 65,489 SecureWorks Corp. 448 7,785 8,116 ServiceNow Inc. 58 34,401 40,672 SharpSpring Inc. 50 539 1,037 Slack Technologies Inc. 93 3,949 5,005 Smartsheet Inc. 51 4,770 4,502 SolarWinds Corp. 240 4,895 4,571 Square Inc. 111 30,904 30,777 Synopsys Inc. 45 11,932 14,862 Trade Desk Inc. 13 12,706 13,266 Twilio Inc. 39 17,235 16,819 Tyler Technologies Inc. 12 5,939 6,674 VeriSign Inc. 31 8,018 8,546 Visa Inc. 831 222,141 231,568 Western Union Co. 123 3,787 3,438 Workday Inc. 53 16,078 16,179 Zendesk Inc. 34 5,824 6,199 Zoom Video Communications Inc. 48 17,953 20,628 Zscaler Inc. 22 3,786 5,597 1,646,082 1,893,546 8.41 Technology Hardware & Equipment (December 31, 2019: 4.33%) Amphenol Corp. 90 12,296 14,994 Apple Inc. 5,114 452,269 864,506 Arista Networks Inc. 19 5,822 7,034 Arrow Electronics Inc. 24 2,110 2,975 Aviat Networks Inc. 63 1,759 2,741 Bel Fuse Inc. 133 1,996 2,547 CDW Corp. 43 7,133 7,220 Cisco Systems Inc. 1,264 75,463 72,062 Cognex Corp. 52 4,085 5,319 Corning Inc. 224 8,334 10,274 EchoStar Corp. 307 8,258 8,288 Emcore Corp. 300 1,322 2,083 F5 Networks Inc. 22 4,392 4,931 IEC Electronics Corp. 153 1,940 2,641

The accompanying notes are an integral part of these financial statements. 27 CC&L Alternative Global Equity Fund Schedule of Investment Portfolio As at December 31, 2020 Average Fair Percentage of Number of Cost Value Net Assets Shares $ $ % II-VI Inc. 26 2,523 2,516 IPG Photonics Corp. 11 2,287 3,136 Iteris Inc. 102 637 734 Juniper Networks Inc. 99 2,816 2,839 Keysight Technologies Inc. 57 8,095 9,592 Motorola Solutions Inc. 51 10,403 11,049 NetApp Inc. 66 5,058 5,570 Ribbon Communications Inc. 845 5,117 7,062 SYNNEX Corp. 2 381 208 Trimble Inc. 76 4,294 6,465 Zebra Technologies Corp. 16 5,612 7,834 634,402 1,064,620 4.73 Semiconductors & Semiconductor Equipment (December 31, 2019: 1.42%) Advanced Micro Devices Inc. 352 41,530 41,127 Analog Devices Inc. 110 18,703 20,703 Applied Materials Inc. 273 29,411 30,015 Broadcom Inc. 120 56,434 66,938 Cohu Inc. 15 719 730 Intel Corp. 131 8,288 8,315 KLA Corp. 47 13,195 15,503 Kulicke & Soffa Industries Inc. 40 1,613 1,621 Lam Research Corp. 45 26,185 27,075 Magnachip Semiconductor Corp. 267 4,762 4,599 Monolithic Power Systems Inc. 13 5,414 6,066 NVE Corp. 4 322 286 NVIDIA Corp. 184 117,898 122,412 Qorvo Inc. 34 5,499 7,202 QUALCOMM Inc. 338 64,475 65,599 Skyworks Solutions Inc. 49 9,684 9,544 Teradyne Inc. 64 7,934 9,775 Texas Instruments Inc. 273 46,658 57,085 Xilinx Inc. 73 10,830 13,185 469,554 507,780 2.26 Telecommunication Services (December 31, 2019: 1.14%) AT&T Inc. 2,128 97,933 77,970 Bandwidth Inc. 9 1,795 1,762 CenturyLink Inc. 281 3,695 3,490 NII Holdings Inc. 500 1,424 1,382 T-Mobile US Inc. 675 110,118 115,964 Verizon Communications Inc. 1,238 95,896 92,661 310,861 293,229 1.30 Media & Entertainment (December 31, 2019: 4.56%) Activision Blizzard Inc. 231 23,161 27,325 Alphabet Inc., Class A 101 152,150 225,519 Alphabet Inc., Class C 79 149,842 176,320 Altice USA Inc. 69 3,056 3,329 Cable One Inc. 1 2,689 2,838 .com Inc. 597 6,641 8,595 Charter Communications Inc. 43 32,965 36,241 Cinemark Holdings Inc. 322 6,443 7,142 Comcast Corp. 1,361 75,652 90,857 comScore Inc. 424 1,935 1,345 Discovery Inc. 132 4,805 5,060 DISH Network Corp. 73 2,832 3,008 Electronic Arts Inc. 86 15,413 15,733

The accompanying notes are an integral part of these financial statements. 28 CC&L Alternative Global Equity Fund Schedule of Investment Portfolio As at December 31, 2020 Average Fair Percentage of Number of Cost Value Net Assets Shares $ $ % Emerald Holding Inc. 100 588 691 Facebook Inc. 719 203,115 250,216 Interpublic Group of Cos Inc. 116 3,402 3,476 Lee Enterprises Inc. 200 537 321 Liberty Broadband Corp. 55 10,427 11,097 Liberty Media Corp-Liberty Formula One 384 18,793 20,841 Liberty Media Corp-Liberty SiriusXM 78 4,323 4,324 Live Nation Entertainment Inc. 48 3,880 4,493 Marcus Corp. 27 351 464 Match Group Inc. 73 10,251 14,061 National CineMedia Inc. 275 1,092 1,303 Netflix Inc. 132 83,585 90,933 New York Times Co. 10 506 660 News Corp. 38 894 860 Omnicom Group Inc. 64 5,253 5,085 Pinterest Inc. 110 3,351 9,235 Roku Inc. 162 45,882 68,525 Sirius XM Holdings Inc. 341 2,714 2,767 Snap Inc. 1,257 80,669 80,183 Take-Two Interactive Software Inc. 34 8,002 9,001 TrueCar Inc. 1,259 5,007 6,737 Twitter Inc. 236 16,414 16,281 Walt Disney Co. 548 88,643 126,491 Yelp Inc. 10 348 416 1,075,611 1,331,773 5.91 Utilities (December 31, 2019: 1.44%) AES Corp. 199 5,338 5,958 Alliant Energy Corp. 74 4,948 4,858 Ameren Corp. 74 7,287 7,359 American Electric Power Co Inc. 150 17,262 15,913 American Water Works Co Inc. 55 9,906 10,754 Atmos Energy Corp. 37 5,138 4,498 CenterPoint Energy Inc. 163 4,993 4,494 CMS Energy Corp. 86 6,853 6,684 Consolidated Edison Inc. 101 10,303 9,299 Dominion Energy Inc. 250 27,238 23,951 DTE Energy Co. 58 8,375 8,971 Duke Energy Corp. 219 24,851 25,546 Entergy Corp. 59 7,972 7,505 Essential Utilities Inc. 70 4,096 4,217 Evergy Inc. 69 5,855 4,880 Eversource Energy 103 11,650 11,352 Exelon Corp. 293 16,051 15,760 FirstEnergy Corp. 165 7,946 6,435 NextEra Energy Inc. 585 52,271 57,499 NiSource Inc. 116 3,789 3,390 OGE Energy Corp. 61 2,662 2,476 Pinnacle West Capital Corp. 34 3,502 3,463 PPL Corp. 226 8,369 8,119 Public Service Enterprise Group Inc. 149 10,274 11,067 Sempra Energy 86 14,515 13,960 Southern Co. 317 24,097 24,809 UGI Corp. 64 2,776 2,851 Vistra Corp. 135 3,295 3,381 WEC Energy Group Inc. 93 11,055 10,904

The accompanying notes are an integral part of these financial statements. 29 CC&L Alternative Global Equity Fund Schedule of Investment Portfolio As at December 31, 2020 Average Fair Percentage of Number of Cost Value Net Assets Shares $ $ % Xcel Energy Inc. 158 13,561 13,420 336,228 333,773 1.48 Real Estate (December 31, 2019: 0.04%) CBRE Group Inc. 100 7,969 7,991 0.04 Total United States Common Stocks - Long 12,198,080 13,809,248 61.34

United States Common Stocks - Short

Energy (December 31, 2019: -1.28%) Aspen Aerogels Inc. (380) (6,063) (8,080) Cactus Inc. (16) (538) (531) ChampionX Corp. (1,893) (24,359) (36,899) Clean Energy Fuels Corp. (1,920) (15,307) (19,226) Comstock Resources Inc. (298) (2,771) (1,659) Contango Oil & Gas Co. (1,543) (3,388) (4,502) Diamondback Energy Inc. (1,140) (57,408) (70,294) DMC Global Inc. (577) (21,880) (31,793) Evolution Petroleum Corp. (550) (2,004) (1,997) Falcon Minerals Corp. (244) (1,055) (979) Kosmos Energy Ltd. (4,063) (8,105) (12,164) Mammoth Energy Services Inc. (354) (1,041) (2,007) Matrix Service Co. (245) (3,816) (3,440) Natural Gas Services Group Inc. (585) (10,730) (7,065) NextDecade Corp. (391) (1,227) (1,041) Northern Oil and Gas Inc. (214) (2,287) (2,388) Oceaneering International Inc. (108) (1,113) (1,094) ONEOK Inc. (946) (34,087) (46,256) PDC Energy Inc. (166) (3,575) (4,342) Select Energy Services Inc. (324) (3,316) (1,692) Solaris Oilfield Infrastructure Inc. (721) (13,630) (7,477) Tellurian Inc. (10) (13) (16) Tidewater Inc. (152) (1,413) (1,673) Uranium Energy Corp. (3,275) (6,102) (7,343) (225,228) (273,958) (1.22) Materials (December 31, 2019: -0.95%) AgroFresh Solutions Inc. (172) (532) (497) Amyris Inc. (759) (4,432) (5,971) Ramaco Resources Inc. (128) (490) (470) Warrior Met Coal Inc. (524) (11,387) (14,233) (16,841) (21,171) (0.09) Capital Goods (December 31, 2019: -3.17%) Aegion Corp. (20) (370) (484) Air Lease Corp. (25) (1,285) (1,415) American Superconductor Corp. (143) (3,511) (4,267) Apogee Enterprises Inc. (18) (751) (726) Barnes Group Inc. (12) (776) (775) Bloom Energy Corp. (265) (9,440) (9,676) Chart Industries Inc. (2) (314) (300) Dycom Industries Inc. (18) (1,728) (1,732) EVI Industries Inc. (100) (4,808) (3,812) Evoqua Water Technologies Corp. (31) (1,016) (1,066) GMS Inc. (10) (383) (388) Infrastructure and Energy Alternatives Inc. (48) (1,040) (1,013) LiqTech International Inc. (525) (5,021) (5,351) Meritor Inc. (38) (1,375) (1,351)

The accompanying notes are an integral part of these financial statements. 30 CC&L Alternative Global Equity Fund Schedule of Investment Portfolio As at December 31, 2020 Average Fair Percentage of Number of Cost Value Net Assets Shares $ $ % NV5 Global Inc. (200) (12,900) (20,073) Tutor Perini Corp. (74) (1,259) (1,221) (45,977) (53,650) (0.24) Commercial & Professional Services (December 31, 2019: -0.43%) Harsco Corp. (18) (370) (412) Steelcase Inc. (204) (3,333) (3,522) Team Inc. (44) (472) (611) US Ecology Inc. (313) (14,941) (14,487) Willdan Group Inc. (450) (16,803) (23,907) (35,919) (42,939) (0.19) Transportation (December 31, 2019: -0.32%) Daseke Inc. (2,166) (10,868) (16,033) SkyWest Inc. (257) (10,341) (13,198) (21,209) (29,231) (0.13) Automobiles & Components (December 31, 2019: -0.26%) Dana Inc. (27) (681) (671) Horizon Global Corp. (400) (2,022) (4,377) Kandi Technologies Group Inc. (35) (419) (308) Motorcar Parts of America Inc. (761) (18,426) (19,022) Stoneridge Inc. (41) (1,101) (1,579) Veoneer Inc. (6) (89) (163) (22,738) (26,120) (0.12) Consumer Durables & Apparel (December 31, 2019: -0.88%) Century Communities Inc. (14) (830) (781) Installed Building Products Inc. (9) (1,208) (1,169) KB Home (33) (1,452) (1,409) LGI Homes Inc. (6) (729) (809) Meritage Homes Corp. (25) (2,761) (2,638) Nautilus Inc. (731) (16,959) (16,894) Taylor Morrison Home Corp. (18) (587) (588) (24,526) (24,288) (0.11) Consumer Services (December 31, 2019: -0.50%) Aspen Group Inc. (33) (526) (468) Denny's Corp. (1,699) (21,786) (31,775) Dine Brands Global Inc. (192) (12,495) (14,187) Monarch Casino & Resort Inc. (50) (1,820) (3,900) Penn National Gaming Inc. (252) (27,428) (27,729) Regis Corp. (528) (5,803) (6,182) Scientific Games Corp. (30) (1,575) (1,586) (71,433) (85,827) (0.38) Retailing (December 31, 2019: -0.80%) Aaron's Co Inc. (57) (1,603) (1,377) America's -Mart Inc. (11) (1,557) (1,539) Asbury Automotive Group Inc. (22) (3,865) (4,085) Big 5 Sporting Goods Corp. (36) (370) (468) Conn's Inc. (122) (1,918) (1,817) Duluth Holdings Inc. (185) (3,463) (2,489) Expedia Group Inc. (261) (39,539) (44,025) Magnite Inc. (1,511) (13,999) (59,117) Monro Inc. (12) (780) (815) Shoe Carnival Inc. (76) (3,480) (3,794) Sleep Number Corp. (110) (10,048) (11,472) Stamps.com Inc. (1) (279) (250) (80,901) (131,248) (0.58)

The accompanying notes are an integral part of these financial statements. 31 CC&L Alternative Global Equity Fund Schedule of Investment Portfolio As at December 31, 2020 Average Fair Percentage of Number of Cost Value Net Assets Shares $ $ % Food & Staples Retailing (December 31, 2019: -0.03%) Chefs' Warehouse Inc. (698) (14,219) (22,845) US Foods Holding Corp. (28) (1,147) (1,188) (15,366) (24,033) (0.11) Food, Beverage & Tobacco (December 31, 2019: -0.05%) John B Sanfilippo & Son Inc. (3) (338) (301) Limoneira Co. (100) (1,918) (2,121) NewAge Inc. (548) (1,642) (1,836) (3,898) (4,258) (0.02) Household & Personal Products (December 31, 2019: -0.03%) Veru Inc. (171) (2,081) (1,884) (0.01)

Health Care Equipment & Services (December 31, 2019: -1.14%) Allscripts Healthcare Solutions Inc. (111) (1,653) (2,042) Antares Pharma Inc. (891) (3,422) (4,529) CONMED Corp. (4) (542) (571) Enzo Biochem Inc. (140) (356) (449) Evolent Health Inc. (988) (12,678) (20,177) Fulgent Genetics Inc. (268) (12,816) (17,789) Integer Holdings Corp. (3) (321) (310) IntriCon Corp. (375) (10,892) (8,647) Lantheus Holdings Inc. (796) (14,096) (13,680) MEDNAX Inc. (35) (853) (1,094) Premier Inc. (50) (2,087) (2,236) Sientra Inc. (449) (2,684) (2,225) Tabula Rasa HealthCare Inc. (200) (13,322) (10,916) Tactile Systems Technology Inc. (162) (9,859) (9,275) US Physical Therapy Inc. (192) (22,126) (29,414) Varex Imaging Corp. (58) (1,210) (1,233) VolitionRX Ltd. (393) (1,794) (1,948) (110,711) (126,535) (0.56) Pharmaceuticals & Biotechnology (December 31, 2019: -2.72%) AcelRx Pharmaceuticals Inc. (2,298) (9,245) (3,630) ADMA Biologics Inc. (1,098) (4,268) (2,728) Adverum Biotechnologies Inc. (775) (15,858) (10,703) Agenus Inc. (445) (1,984) (1,803) Allakos Inc. (179) (19,399) (31,926) Ampio Pharmaceuticals Inc. (1,527) (4,326) (3,093) Anika Therapeutics Inc. (98) (5,393) (5,651) Arrowhead Pharmaceuticals Inc. (545) (34,059) (53,276) Avid Bioservices Inc. (56) (782) (823) Avrobio Inc. (300) (8,163) (5,328) BioDelivery Sciences International Inc. (1,542) (9,287) (8,251) Calithera Biosciences Inc. (860) (5,326) (5,380) Cerecor Inc. (808) (2,576) (2,718) Codexis Inc. (285) (4,714) (7,926) Coherus Biosciences Inc. (1,018) (23,522) (22,541) Constellation Pharmaceuticals Inc. (48) (1,259) (1,761) Corbus Pharmaceuticals Holdings Inc. (1,695) (2,990) (2,699) Deciphera Pharmaceuticals Inc. (43) (3,236) (3,126) DermTech Inc. (16) (654) (661) Durect Corp. (922) (2,184) (2,431) Dynavax Technologies Corp. (3,452) (18,190) (19,570) EyePoint Pharmaceuticals Inc. (27) (371) (226) Flexion Therapeutics Inc. (78) (1,312) (1,147)

The accompanying notes are an integral part of these financial statements. 32 CC&L Alternative Global Equity Fund Schedule of Investment Portfolio As at December 31, 2020 Average Fair Percentage of Number of Cost Value Net Assets Shares $ $ % Gossamer Bio Inc. (47) (755) (579) Immunogen Inc. (3,148) (18,417) (25,868) Insmed Inc. (172) (5,938) (7,295) Lannett Co Inc. (1,099) (11,635) (9,129) LogicBio Therapeutics Inc. (189) (1,544) (1,837) Marker Therapeutics Inc. (120) (1,219) (222) Merrimack Pharmaceuticals Inc. (77) (693) (676) Ocular Therapeutix Inc. (256) (3,526) (6,751) Omeros Corp. (310) (6,494) (5,642) Optinose Inc. (463) (4,004) (2,442) Scholar Rock Holding Corp. (193) (10,714) (11,933) Solid Biosciences Inc. (572) (3,639) (5,524) TCR2 Therapeutics Inc. (14) (367) (552) TherapeuticsMD Inc. (2,068) (3,760) (3,188) Tyme Technologies Inc. (287) (500) (446) XOMA Corp. (105) (2,308) (5,903) ZIOPHARM Oncology Inc. (100) (429) (321) Zynerba Pharmaceuticals Inc. (850) (13,904) (3,574) (268,944) (289,280) (1.29) Banks (December 31, 2019: -1.79%) Amerant Bancorp Inc. (70) (1,320) (1,356) Byline Bancorp Inc. (331) (5,892) (6,515) ConnectOne Bancorp Inc. (259) (5,023) (6,530) First Bancshares Inc. (255) (7,341) (10,032) Howard Bancorp Inc. (364) (7,096) (5,477) Middlefield Banc Corp. (25) (614) (717) Seacoast Banking Corp. of Florida (27) (1,002) (1,013) Simmons First National Corp. (5) (123) (138) United Community Banks Inc. (10) (364) (362) Veritex Holdings Inc. (14) (450) (458) (29,225) (32,598) (0.14) Diversified Financials (December 31, 2019: -0.37%) PROG Holdings Inc. (158) (12,578) (10,844) Virtu Financial Inc. (31) (982) (994) (13,560) (11,838) (0.05) Insurance (December 31, 2019: -0.34%) Citizens Inc. (50) (370) (365) Maiden Holdings Ltd. (1,034) (1,642) (3,280) (2,012) (3,645) (0.02) Software & Services (December 31, 2019: -0.97%) Asure Software Inc. (246) (2,312) (2,225) Digimarc Corp. (67) (1,008) (4,032) FireEye Inc. (183) (4,811) (5,376) KBR Inc. (79) (2,713) (3,113) Limelight Networks Inc. (1,323) (6,479) (6,725) OneSpan Inc. (68) (2,042) (1,792) Paysign Inc. (107) (703) (633) Pluralsight Inc. (18) (402) (481) PROS Holdings Inc. (121) (5,636) (7,826) ShotSpotter Inc. (175) (9,554) (8,405) Corp. (25) (508) (627) Veritone Inc. (302) (9,111) (10,946) Verra Mobility Corp. (121) (1,712) (2,069) Xperi Holding Corp. (37) (579) (985)

The accompanying notes are an integral part of these financial statements. 33 CC&L Alternative Global Equity Fund Schedule of Investment Portfolio As at December 31, 2020 Average Fair Percentage of Number of Cost Value Net Assets Shares $ $ % Zix Corp. (241) (1,923) (2,650) (49,493) (57,885) (0.26) Technology Hardware & Equipment (December 31, 2019: -1.21%) 3D Systems Corp. (78) (847) (1,041) Applied Optoelectronics Inc. (37) (494) (401) Benchmark Electronics Inc. (42) (1,413) (1,445) Casa Systems Inc. (477) (2,883) (3,749) CommScope Holding Co Inc. (112) (1,354) (1,912) Comtech Telecommunications Corp. (157) (3,689) (4,138) DZS Inc. (300) (3,485) (5,913) Immersion Corp. (42) (640) (604) Infinera Corp. (39) (355) (521) Intevac Inc. (100) (679) (919) MicroVision Inc. (189) (1,748) (1,295) MTS Systems Corp. (20) (558) (1,482) Napco Security Technologies Inc. (140) (5,478) (4,677) NCR Corp. (93) (4,030) (4,451) (27,653) (32,548) (0.14) Semiconductors & Semiconductor Equipment (December 31, 2019: -1.76%) ACM Research Inc. (22) (2,091) (2,277) Enphase Energy Inc. (106) (24,563) (23,696) Impinj Inc. (368) (8,365) (19,630) MaxLinear Inc. (36) (1,636) (1,752) PDF Solutions Inc. (859) (13,497) (23,638) SunPower Corp. (298) (9,249) (9,734) Veeco Instruments Inc. (62) (923) (1,371) (60,324) (82,098) (0.36) Telecommunication Services (December 31, 2019: -0.12%) Globalstar Inc. (1,900) (1,073) (820) ORBCOMM Inc. (92) (802) (870) Shenandoah Telecommunications Co. (14) (824) (771) (2,699) (2,461) (0.01) Media & Entertainment (December 31, 2019: -0.22%) Eventbrite Inc. (878) (13,525) (20,246) EW Scripps Co. (152) (2,284) (2,961) Liberty TripAdvisor Holdings Inc. (70) (369) (387) Scholastic Corp. (22) (662) (701) TripAdvisor Inc. (1,268) (43,415) (46,492) ViacomCBS Inc. (879) (37,859) (41,725) (98,114) (112,512) (0.50) Utilities (December 31, 2019: Nil%) Cadiz Inc. (25) (412) (339) Chesapeake Utilities Corp. (3) (346) (414) RGC Resources Inc. (145) (4,551) (4,393) South Jersey Industries Inc. (16) (441) (439) York Water Co. (6) (358) (356) (6,108) (5,941) (0.03) Real Estate (December 31, 2019: -0.15%) eXp World Holdings Inc. (55) (3,585) (4,423) Howard Hughes Corp. (4) (332) (402) Indus Realty Trust Inc. (125) (6,763) (9,953) Maui Land & Pineapple Co Inc. (824) (11,980) (12,104) (22,660) (26,882) (0.12) Total United States Common Stocks - Short (1,257,620) (1,502,830) (6.68)

The accompanying notes are an integral part of these financial statements. 34 CC&L Alternative Global Equity Fund Schedule of Investment Portfolio As at December 31, 2020 Average Fair Percentage of Number of Cost Value Net Assets Shares $ $ % Foreign Common Stocks - Long

Energy (December 31, 2019: 2.65%) Adaro Energy Tbk PT 12,300 1,684 1,595 Aker Solutions ASA 168 356 411 Ardmore Shipping Corp. 50 362 208 Avance Gas Holding Ltd. 75 340 459 BP PLC 3,298 86,510 86,218 BW Energy Ltd. 66 231 271 CNOOC Ltd., NYSE 490 64,407 57,213 Ecopetrol SA 680 9,972 11,184 ENEOS Holdings Inc. 900 3,898 4,114 Eni SpA 198 5,244 5,196 ENI SpA 3,125 37,321 41,639 Exxaro Resources Ltd. 2,636 27,184 31,756 Grupa Lotos SA 441 5,655 6,250 Harum Energy TBK PT 9,100 888 2,459 Indo Tambangraya Megah Tbk PT 300 398 377 Nabors Industries Ltd. 63 4,710 4,674 Newocean Energy Holdings Ltd. 14,000 1,791 1,610 Petroleo Brasileiro SA 246 2,881 3,520 Petroleo Brasileiro SA, ADR 831 8,203 11,709 Repsol SA 785 10,233 10,095 Repsol SA, Rights 436 - 191 NV 412 9,074 11,458 SFL Corp. Ltd. 473 3,958 3,784 Subsea 7 SA 529 6,730 6,914 TechnipFMC PLC 3,034 32,580 36,334 Tenaris SA 3,259 63,861 66,224 TOTAL SE, ADR 595 34,135 31,769 YPF SA 1,010 7,192 6,048 429,798 443,680 1.97 Materials (December 31, 2019: 4.13%) Aeci Ltd. 2,879 17,929 21,724 African Rainbow Minerals Ltd. 686 9,634 15,583 Afrimat Ltd. 262 621 978 Akcansa Cimento AS 1,994 2,890 5,653 Amcor PLC 460 6,287 6,898 Anglo American Platinum Ltd. 757 78,490 94,753 ArcelorMittal SA 4,165 75,082 122,576 Asia Cement Holdings Corp. 5,500 8,582 6,389 Aurelia Metals Ltd. 925 729 391 Axalta Coating Systems Ltd. 63 2,359 2,291 Bekaert SA 33 1,354 1,397 Borregaard ASA 195 2,937 4,114 Brickworks Ltd. 606 10,899 11,438 Castile Resources Ltd. 331 - 91 Cementir Holding NV 37 352 384 Cemex SAB de CV 8,846 45,901 58,265 Cia Siderurgica Nacional SA 994 2,288 7,535 Ciech SA 34 373 374 CSR Ltd. 804 2,866 4,134 Daicel Corp. 100 981 929 Elkem ASA 3,861 7,397 16,305 Ferroglobe PLC 1,432 1,445 2,992

The accompanying notes are an integral part of these financial statements. 35 CC&L Alternative Global Equity Fund Schedule of Investment Portfolio As at December 31, 2020 Average Fair Percentage of Number of Cost Value Net Assets Shares $ $ % Fufeng Group Ltd. 1,000 490 476 Fujikura Kasei Co., Ltd. 300 2,182 2,032 Gerdau SA 327 1,322 1,946 Grange Resources Ltd. 4,110 997 1,192 Grupa Kety SA 46 8,003 7,731 Harima Chemicals Group Inc. 100 1,272 1,270 Iluka Resources Ltd. 78 376 498 Impala Platinum Holdings Ltd. 6,704 77,632 117,396 K+S AG 36 362 437 OYJ 1,279 22,553 25,799 KGHM Polska Miedz SA 539 29,791 33,726 Krakatau Steel Persero Tbk PT 195,700 5,533 7,595 Kumba Iron Ore Ltd. 1,352 57,256 73,033 Kuraray Co., Ltd. 100 1,327 1,354 Linde PLC 157 43,259 52,707 Mayr Melnhof Karton AG 43 7,872 11,060 Metsa Board OYJ 1,110 10,174 14,915 Mitsubishi Chemical Holdings Corp. 400 2,904 3,081 Mitsubishi Materials Corp. 100 2,603 2,678 Mitsui Chemicals Inc. 200 7,230 7,465 Mount Gibson Iron Ltd. 5,300 3,081 4,794 Newcrest Mining Ltd. 244 6,441 6,184 Nine Dragons Paper Holdings Ltd. 2,000 3,034 3,615 Nippon Fine Chemical Co., Ltd. 100 1,651 1,758 Norsk Hydro ASA 5,579 22,996 33,089 Northam Platinum Ltd. 5,299 68,873 96,300 Northern Star Resources Ltd. 221 2,819 2,757 OYJ 1,075 4,312 5,396 OZ Minerals Ltd. 1,608 9,538 29,845 PPC Ltd. 2,971 361 356 Salzgitter AG 107 3,006 3,619 Sandfire Resources Ltd. 2,629 12,868 13,827 Sasol Ltd. 441 3,771 5,123 Sasol Ltd., ADR 2,297 23,292 25,928 Showa Denko KK 200 5,435 5,422 Sibanye Stillwater Ltd., ADR 610 10,988 12,349 Sinofert Holdings Ltd. 26,000 3,317 3,247 Sinopec Petrochemical Co., Ltd. 14,000 5,084 3,795 Solvay SA 30 4,327 4,530 Teijin Ltd. 100 2,336 2,394 Tessenderlo Group SA 392 16,043 19,951 ThyssenKrupp AG 282 2,690 3,571 Tikkurila Oyj 441 7,184 17,151 Timah Tbk PT 4,000 415 539 Tosoh Corp. 400 8,081 7,937 Toyo Seikan Group Holdings Ltd. 1,900 28,457 26,423 Vale SA 1,515 28,499 32,349 Venator Materials PLC 1,315 5,146 5,545 Vidrala SA 26 3,174 3,846 West African Resources Ltd. 2,906 2,499 2,985 Wienerberger AG 830 28,634 33,742 Yara International ASA 959 50,385 50,800 Zignago Vetro SpA 630 11,629 13,434 952,900 1,234,186 5.48

The accompanying notes are an integral part of these financial statements. 36 CC&L Alternative Global Equity Fund Schedule of Investment Portfolio As at December 31, 2020 Average Fair Percentage of Number of Cost Value Net Assets Shares $ $ % Capital Goods (December 31, 2019: 5.20%) Aalberts NV 733 36,204 41,659 ABB Ltd. 107 3,808 3,811 Adapteo Oyj 25 418 370 AddTech AB 876 8,153 14,812 AerCap Holdings NV 61 2,477 3,542 AF Gruppen ASA 659 16,677 17,219 Alfen Beheer BV 19 1,213 2,446 Allegion PLC 28 3,873 4,152 Amada Co., Ltd. 600 6,974 8,388 Andritz AG 22 1,164 1,285 Arbonia AG 212 3,739 4,327 Austal Ltd. 2,212 5,993 5,806 Bando Chemical Industries Ltd. 700 8,067 5,563 Baoye Group Co., Ltd. 2,000 2,183 1,249 CIR SpA-Compagnie Industriali 735 459 504 CITIC Ltd. 3,000 3,878 2,706 CNH Industrial NV 1,761 18,986 28,343 CRRC Corp. Ltd., HKG 18,000 12,825 7,897 Deutz AG 50 358 397 Dubai Investments PJSC 4,673 2,034 2,350 Duerr AG 300 12,139 15,619 Eaton Corp. PLC 119 18,202 18,214 Elco Ltd. 82 3,178 5,294 Electrolux Professional AB 71 373 513 Emeco Holdings Ltd. 1,276 1,748 1,430 Fagerhult AB 50 380 353 Feintool International Holding AG 33 2,656 2,659 Frencken Group Ltd. 2,000 1,284 2,545 Fujikura Ltd. 100 574 586 Fujisash Co., Ltd. 600 641 592 Fullshare Holdings Ltd. 5,000 138 156 Instalco AB 58 679 2,258 Interpump Group SpA 13 497 817 Inwido AB 150 1,393 2,804 Jiangnan Group Ltd. 6,000 327 439 Kawasaki Heavy Industries Ltd. 100 1,997 2,868 Kloeckner & Co SE 220 2,252 2,745 Kondotec Inc. 100 1,183 1,396 OYJ 9 430 404 Kongsberg Gruppen ASA 1,166 23,463 30,570 Leonardo SpA 4,348 38,119 40,056 Lifco AB 530 44,048 64,870 Lindab International AB 175 2,445 4,626 Lonking Holdings Ltd. 12,000 5,458 4,732 LT Group Inc. 1,500 368 521 Maezawa Kyuso Industries Co., Ltd. 100 2,368 2,857 Makita Corp. 100 5,972 6,380 Oyj 1,381 13,601 17,598 Mitsubishi Electric Corp. 500 9,023 9,606 Mitsui E&S Holdings Co., Ltd. 100 731 432 Munters Group AB 812 5,306 10,455 Nexans SA 9 659 831 Nichiha Corp. 400 14,510 16,041 Nissin Electric Co., Ltd. 300 4,341 4,520

The accompanying notes are an integral part of these financial statements. 37 CC&L Alternative Global Equity Fund Schedule of Investment Portfolio As at December 31, 2020 Average Fair Percentage of Number of Cost Value Net Assets Shares $ $ % Nitta Corp. 100 3,631 2,752 Nitto Kogyo Corp. 900 22,615 22,689 NKT A/S 258 11,234 14,653 Nolato AB 10 1,294 1,291 Nomura Micro Science Co., Ltd. 100 3,862 3,961 Nordex SE 426 10,244 14,715 Noritake Co., Ltd. 100 4,671 3,694 Norma Group SE 14 724 914 Pentair PLC 50 3,507 3,382 Phoenix Mecano AG 1 655 669 Ras Al Khaimah Ceramics 6,760 3,518 3,517 Raubex Group Ltd. 443 752 826 Reece Ltd. 308 3,825 4,481 Rheinmetall AG 9 1,102 1,215 Rotork PLC 750 3,879 4,153 Sacyr SA 285 728 897 Sensata Technologies Holding PLC 48 2,940 3,225 SGL Carbon SE 104 547 583 Shanghai Electric Group Co., Ltd. 6,000 2,376 2,346 Shun Tak Holdings Ltd. 18,000 9,699 7,009 Siemens Gamesa Renewable Energy SA 1,291 49,587 66,591 Signify NV 21 1,122 1,130 Sinko Industries Ltd. 400 8,370 8,756 Sinopec Engineering Group Co., Ltd. 8,000 4,884 4,390 Hong Kong Ltd. 6,500 23,637 21,146 Solar A/S 65 4,621 4,900 Sweco AB 450 11,208 10,541 Textainer Group Holdings Ltd., NYSE 57 700 1,393 TTCL PCL 4 1 1 Turkiye Sise ve Cam Fabrikalari AS 32,656 33,632 40,918 Uponor OYJ 95 2,333 2,689 Valmet OYJ 470 14,869 17,114 Veidekke ASA 352 5,923 5,803 VPower Group International Holdings Ltd. 19,000 13,987 8,366 Wartsila OYJ Abp 132 1,707 1,677 Xinyi Glass Holdings Ltd. 8,000 10,095 28,458 YAMABIKO Corp. 100 1,695 1,599 Zardoya Otis SA 50 468 447 Zehnder Group AG 18 1,306 1,533 641,914 757,037 3.36 Commercial & Professional Services (December 31, 2019: 1.07%) 51job Inc. 55 4,904 4,905 Akka Technologies 21 553 843 Brambles Ltd. 10,535 107,205 109,782 China Index Holdings Ltd. 170 363 427 DKSH Holding AG 8 758 767 IHS Markit Ltd. 112 9,668 12,818 Intertrust NV 240 4,405 5,193 IPH Ltd. 1,359 9,181 8,591 ISS A/S 296 6,931 6,534 McMillan Shakespeare Ltd. 738 6,307 8,989 Inc. 500 8,897 8,520 Persol Holdings Co., Ltd. 800 18,168 18,371 Randstad NV 461 32,673 38,259 Recruit Holdings Co., Ltd. 400 19,429 21,328

The accompanying notes are an integral part of these financial statements. 38 CC&L Alternative Global Equity Fund Schedule of Investment Portfolio As at December 31, 2020 Average Fair Percentage of Number of Cost Value Net Assets Shares $ $ % Relia Inc. 200 2,862 3,156 Serco Group PLC 14,001 31,855 29,137 SmartGroup Corp. Ltd. 1,734 12,084 11,643 Tinexta Spa 116 3,376 3,797 Tomra Systems ASA 990 56,110 62,253 Weathernews Inc. 100 7,383 6,861 343,112 362,174 1.61 Transportation (December 31, 2019: 1.35%) Aurizon Holdings Ltd. 9,611 41,230 36,849 bpost SA 263 3,426 3,481 Copa Holdings SA 10 1,018 984 Corp America Airports SA 1,489 6,011 7,569 CTT-Correios de Portugal SA 112 360 410 D/S Norden A/S 149 3,338 3,420 Fraport AG Frankfurt Airport Services Worldwide 216 15,680 16,620 Hapag-Lloyd AG 114 10,360 16,331 Japan Transcity Corp. 100 748 682 Kamigumi Co., Ltd. 500 12,017 11,618 Kawasaki Kisen Kaisha Ltd. 400 9,625 10,424 Kerry Logistics Network Ltd. 8,000 14,173 22,346 Kuehne + Nagel International AG 142 37,712 41,095 Mitsui-Soko Holdings Co., Ltd. 100 2,399 2,841 PostNL NV 1,832 4,761 7,967 Safe Bulkers Inc. 5,264 8,781 8,718 Seibu Holdings Inc. 100 1,472 1,248 Sinotrans Ltd. 16,000 4,594 7,413 SITC International Holdings Co., Ltd. 1,000 1,715 2,750 Stolt-Nielsen Ltd. 53 724 867 Sydney Airport 69 454 435 180,598 204,068 0.91 Automobiles & Components (December 31, 2019: 1.43%) ARB Corp. Ltd. 195 5,312 5,904 Autoneum Holding AG 7 1,627 1,630 BAIC Motor Corp. Ltd. 7,500 5,699 3,537 Chaowei Power Holdings Ltd. 15,000 6,327 7,813 Continental AG 592 90,407 111,891 Dometic Group AB 1,186 17,342 20,045 Co., Ltd. 2,000 2,173 2,971 ElringKlinger AG 74 1,125 1,827 Faurecia SE 5 331 327 Fiat Chrysler Automobiles NV 330 6,800 7,541 FuKoKu Co., Ltd. 100 1,029 848 Furukawa Battery Co., Ltd. 600 5,501 13,682 Gajah Tunggal Tbk PT 11,100 453 659 GUD Holdings Ltd. 167 1,785 1,927 Hella GmbH & Co KGaA 4 325 330 Honda Motor Co., Ltd. 1,204 44,968 43,333 IJTT Co., Ltd. 200 1,154 1,192 Johnson Electric Holdings Ltd. 6,000 17,163 18,928 JTEKT Corp. 700 7,054 6,919 Mitsubishi Motors Corp. 1,900 5,118 5,088 Nexteer Automotive Group Ltd. 1,000 926 1,369 Motor Co., Ltd. 6,300 38,455 43,534 Porsche Automobil Holding SE, Preferred 927 74,271 81,498 Press Kogyo Co., Ltd. 200 1,131 755

The accompanying notes are an integral part of these financial statements. 39 CC&L Alternative Global Equity Fund Schedule of Investment Portfolio As at December 31, 2020 Average Fair Percentage of Number of Cost Value Net Assets Shares $ $ % Schaeffler AG, Preferred 820 7,931 8,737 Subaru Corp. 200 5,292 5,090 Sumitomo Rubber Industries Ltd. 300 3,533 3,284 Suzuki Motor Corp. 100 6,148 5,901 Tianneng Power International Ltd. 4,000 3,503 12,290 Toyota Motor Corp. 100 9,369 9,819 Toyota Motor Corp., ADR 845 157,145 166,399 Xingda International Holdings Ltd. 2,000 674 743 Yadea Group Holdings Ltd. 4,000 5,052 10,529 Yamaha Motor Co., Ltd. 2,200 56,022 57,117 Yokohama Rubber Co., Ltd. 100 1,966 1,893 593,111 665,350 2.96 Consumer Durables & Apparel (December 31, 2019: 1.03%) 361 Degrees International Ltd. 10,000 2,404 1,775 Arcelik AS 1,138 4,687 5,930 Bandai Namco Holdings Inc. 100 11,115 11,014 Breville Group Ltd. 768 13,029 19,306 Calida Holding AG 126 4,971 5,793 CCC SA 18 343 539 Crystal International Group Ltd. 3,500 977 1,369 De' Longhi SpA 759 21,247 30,501 Fleetwood Ltd. 306 507 615 Furyu Corp. 200 2,600 2,816 Garmin Ltd. 43 5,527 6,555 Hisense Home Appliances Group Co., Ltd. 8,000 9,923 15,694 Man Wah Holdings Ltd. 16,400 20,874 45,323 Nikon Corp. 2,200 19,044 17,673 OVS SpA 256 367 419 Pandora A/S 65 8,480 9,270 Samsonite International SA 300 372 677 Skyworth Group Ltd. 22,000 7,985 7,808 Stella International Holdings Ltd. 17,500 37,804 25,907 Swatch Group AG 46 15,400 16,011 Tamron Co., Ltd. 200 4,685 4,506 TCL Electronics Holdings Ltd. 1,000 794 955 Technogym SpA 26 373 374 Weiqiao Textile Co. 1,500 368 421 193,876 231,251 1.03 Consumer Services (December 31, 2019: 0.98%) Arcos Dorados Holdings Inc. 1,729 10,215 11,080 Autogrill SpA 1,013 7,976 8,637 Benesse Holdings Inc. 100 2,599 2,484 Carnival Corp. 156 3,339 4,305 Collins Foods Ltd. 583 5,701 5,525 Crown Resorts Ltd. 184 1,741 1,742 Domino's Pizza Enterprises Ltd. 404 32,031 34,426 Dynam Japan Holdings Co., Ltd. 4,200 5,781 5,528 Evolution Gaming Group AB 279 27,524 36,131 G8 Education Ltd. 12,371 10,570 14,351 Huazhu Group Ltd. 461 28,557 26,447 Melco Resorts & Entertainment Ltd. 174 4,106 4,112 New Oriental Education & Technology Group Inc. 55 11,855 13,020 Oriental Land Co., Ltd. 100 22,094 21,027 Playa Hotels & Resorts NV 375 2,251 2,843 Propel Funeral Partners Ltd. 324 896 908

The accompanying notes are an integral part of these financial statements. 40 CC&L Alternative Global Equity Fund Schedule of Investment Portfolio As at December 31, 2020 Average Fair Percentage of Number of Cost Value Net Assets Shares $ $ % Royal Caribbean Cruises Ltd. 55 5,300 5,234 SeaLink Travel Group Ltd. 357 2,416 2,348 SkiStar AB 48 784 795 TAL Education Group 116 10,446 10,568 196,182 211,511 0.94 Retailing (December 31, 2019: 3.31%) Adairs Ltd. 184 408 597 Alibaba Group Holding Ltd., ADR 567 190,541 168,114 Alleanza Holdings Co., Ltd. 400 6,430 6,254 Arcland Sakamoto Co., Ltd. 300 6,839 6,334 Baby Bunting Group Ltd. 86 367 398 Beacon Lighting Group Ltd. 523 664 864 BHG Group AB 116 1,296 3,217 Bic Camera Inc. 200 3,071 2,826 Bilia AB 72 987 1,133 Boozt AB 298 6,737 8,635 Cashbuild Ltd. 221 4,038 4,543 CECONOMY AG 321 1,948 2,835 Central Automotive Products Ltd. 200 6,500 5,935 China Meidong Auto Holdings Ltd. 2,000 2,846 10,351 China Yongda Automobiles Services Holdings Ltd. 22,000 23,255 46,341 China ZhengTong Auto Services Holdings Ltd. 18,500 6,388 2,614 D'ieteren SA 288 21,991 30,438 Doshisha Co., Ltd. 400 7,083 9,610 Dufry AG 550 36,387 44,058 Dunelm Group PLC 345 5,240 7,288 Eagers Automotive Ltd. 1,481 10,555 19,349 Europris ASA 75 378 570 HelloFresh SE 591 38,930 58,223 Hornbach Baumarkt AG 46 2,426 2,567 Hornbach Holding AG & Co KGaA 3 361 368 JB Hi-Fi Ltd. 892 39,703 42,635 Lewis Group Ltd. 347 489 673 Matas A/S 153 2,565 2,768 Moneysupermarket.com Group PLC 3,850 25,765 17,473 Motus Holdings Ltd. 1,074 2,531 5,216 Myer Holdings Ltd. 1,825 819 520 Nick Scali Ltd. 414 2,900 3,928 Nissan Sales Holdings Co., Ltd. 300 1,096 996 Oriental Watch Holdings 2,000 662 871 Redbubble Ltd. 1,566 5,279 8,498 Seria Co., Ltd. 200 11,481 9,353 Shop Apotheke Europe NV 10 1,298 2,310 Signet Jewelers Ltd. 421 10,944 14,626 Super Group Ltd. 21 196 217 T-Gaia Corp. 800 19,881 19,102 Tokmanni Group Corp. 825 11,625 20,885 Unieuro SpA 350 4,213 7,507 Valora Holding AG 3 711 751 Wesfarmers Ltd. 2,343 101,421 116,089 Xinhua Winshare Publishing and Media Co., Ltd. 1,000 943 785 XXL ASA 2,955 7,792 8,491 zooplus AG 4 1,017 1,059 638,997 728,215 3.24

The accompanying notes are an integral part of these financial statements. 41 CC&L Alternative Global Equity Fund Schedule of Investment Portfolio As at December 31, 2020 Average Fair Percentage of Number of Cost Value Net Assets Shares $ $ % Food & Staples Retailing (December 31, 2019: 0.45%) Aeon Hokkaido Corp. 1,000 9,629 12,056 Belc Co., Ltd. 100 7,773 7,700 CREATE SD HOLDINGS Co., Ltd. 400 17,513 19,126 Dino Polska SA 8 730 792 Distribuidora Internacional de Alimentacion SA 9,982 1,985 1,782 GrainCorp Ltd. 5,484 35,977 22,589 OYJ 259 8,179 8,494 Lianhua Supermarket Holdings Co., Ltd. 3,000 748 710 Okuwa Co., Ltd. 100 1,937 1,604 Puregold Price Club Inc. 1,000 1,245 1,088 Seven & I Holdings Co., Ltd. 100 4,227 4,515 Sheng Siong Group Ltd. 1,200 1,804 1,793 Sonae SGPS SA 2,641 2,637 2,723 Spar Group Ltd. 152 2,542 2,499 Tsuruha Holdings Inc. 100 18,888 18,114 United Super Markets Holdings Inc. 500 7,045 6,972 Valor Holdings Co., Ltd. 200 4,162 6,523 Watahan & Co., Ltd. 200 2,345 3,344 Woolworths Group Ltd. 736 27,574 28,443 Yaoko Co., Ltd. 200 21,104 17,744 Zur Rose Group AG 6 2,330 2,447 180,374 171,058 0.76 Food, Beverage & Tobacco (December 31, 2019: 1.53%) Adecoagro SA 2,087 17,150 18,080 Altia Oyj 75 856 1,167 Ambev SA 1,404 4,895 5,473 Anheuser-Busch InBev SA 1,087 90,766 96,599 BRF SA, ADR 5,136 26,603 27,482 Cia Cervecerias Unidas SA 19 381 356 Coca-Cola Femsa SAB de CV, NYSE 16 964 940 Coca-Cola Icecek AS 2,216 16,980 24,994 CP Pokphand Co., Ltd. 48,000 5,703 5,836 Davide Campari-Milano NV 1,893 25,794 27,561 Elders Ltd. 1,137 9,973 11,021 Greenyard NV 79 722 736 Gudang Garam Tbk PT 100 378 372 Hanjaya Mandala Sampoerna Tbk PT 6,500 933 887 Heineken NV 443 62,426 62,992 Honworld Group Ltd. 1,000 475 357 Japan Tobacco Inc. 3,200 84,738 83,001 Nestle SA 3 430 451 Orior AG 28 3,399 3,043 Orkla ASA 1,452 18,002 18,797 Salmar ASA 706 46,012 52,904 Scandi Standard AB 43 410 459 Scandinavian Tobacco Group A/S 105 2,026 2,289 Schouw & Co A/S 6 760 774 Tassal Group Ltd. 2,594 8,630 8,568 Tiger Brands Ltd. 168 2,894 3,033 Tunas Baru Lampung Tbk Pt 24,500 1,667 2,077 Want Want China Holdings Ltd. 1,000 1,033 922 WH Group Ltd. 1,000 1,211 1,068 436,211 462,239 2.05

The accompanying notes are an integral part of these financial statements. 42 CC&L Alternative Global Equity Fund Schedule of Investment Portfolio As at December 31, 2020 Average Fair Percentage of Number of Cost Value Net Assets Shares $ $ % Household & Personal Products (December 31, 2019: 0.74%) Artnature Inc. 100 777 806 Asaleo Care Ltd. 5,775 4,977 7,664 BWX Ltd. 94 363 380 Industri Jamu Dan Farmasi Sido Muncul Tbk PT 215,600 12,985 15,738 Kao Corp. 100 9,572 9,835 Lion Corp. 100 3,098 3,082 NVC International Holdings Ltd. 8,000 1,505 226 Ontex Group NV 1,190 25,349 20,405 Unicharm Corp. 100 5,777 6,037 Vinda International Holdings Ltd. 1,000 2,425 3,475 66,828 67,648 0.30 Health Care Equipment & Services (December 31, 2019: 1.60%) AGFA-Gevaert NV 125 665 760 Ansell Ltd. 26 926 889 Australian Pharmaceutical Industries Ltd. 1,850 1,945 2,237 Capitol Health Ltd. 3,663 851 990 DiaSorin SPA 7 1,780 1,856 Ebos Group Ltd. 19 449 500 Fisher & Paykel Healthcare Corp. Ltd. 11 148 333 Genertec Universal Medical Group Co., Ltd. 23,500 19,691 22,356 Getinge AB 586 17,076 17,463 GN Store Nord AS 57 5,705 5,816 Healius Ltd. 5,469 12,649 20,054 Humana AB 65 541 597 JMS Co., Ltd. 200 1,781 2,211 Life Healthcare Group Holdings Ltd. 843 1,241 1,230 M3 Inc. 100 10,847 12,022 Medtronic PLC 401 52,866 59,844 Metall Zug AG 2 4,026 4,324 Modern Dental Group Ltd. 4,000 1,008 979 Novocure Ltd. 33 6,786 7,275 PW Medtech Group Ltd. 14,000 3,325 4,946 Ramsay Health Care Ltd. 83 5,143 5,074 Regis Healthcare Ltd. 1,310 1,814 2,434 Revenio Group OYJ 156 5,036 12,232 Riverstone Holdings Ltd. 400 435 428 Sartorius AG 8 4,343 4,285 Sigma Healthcare Ltd. 6,092 3,310 3,683 Siloam International Hospitals Tbk PT 4,100 2,687 2,045 Sinopharm Group Co., Ltd. 12,400 43,249 38,425 Sonic Healthcare Ltd. 573 17,305 18,110 STERIS PLC 25 5,576 6,037 Stratec SE 4 495 766 Terveystalo Oyj 645 8,088 10,094 Virtus Health Ltd. 240 735 1,255 242,522 271,550 1.21 Pharmaceuticals & Biotechnology (December 31, 2019: 3.52%) 3SBio Inc. 2,500 4,563 2,904 ALK-Abello A/S 1 436 524 Alkermes PLC 42 1,150 1,067 Argenx SE 111 41,049 41,872 Aspen Pharmacare Holdings Ltd. 887 8,673 9,645 Bachem Holding AG 75 42,043 42,751 BeiGene Ltd. 57 16,751 18,764

The accompanying notes are an integral part of these financial statements. 43 CC&L Alternative Global Equity Fund Schedule of Investment Portfolio As at December 31, 2020 Average Fair Percentage of Number of Cost Value Net Assets Shares $ $ % Bergenbio ASA 322 1,781 1,543 Biohaven Pharmaceutical Holding Co., Ltd. 3 350 328 Biotage AB 51 1,189 1,100 Camurus AB 13 402 376 Chemometec A/S 4 340 484 China Medical System Holdings Ltd. 13,000 22,118 18,497 China Resources Pharmaceutical Group Ltd. 12,500 10,173 8,174 China Shineway Pharmaceutical Group Ltd. 10,000 12,698 8,725 Consun Pharmaceutical Group Ltd. 3,000 1,740 1,503 Daiichi Sankyo Co., Ltd. 500 21,009 21,810 Daito Pharmaceutical Co., Ltd. 100 3,782 4,590 Genomma Lab Internacional SAB de CV 1,260 1,622 1,518 Genscript Biotech Corp. 2,000 4,293 3,707 Hansa Medical AB 285 11,136 10,628 Horizon Therapeutics Plc 65 5,848 6,058 Jazz Pharmaceuticals PLC 17 3,128 3,575 Mayne Pharma Group Ltd. 8,126 3,071 2,756 Mesoblast Ltd. 2,438 5,475 5,393 Mettler-Toledo International Inc. 7 10,445 10,164 Molecular Partners AG 32 824 957 Myovant Sciences Ltd. 545 9,989 19,177 Otsuka Holdings Co., Ltd. 100 5,316 5,452 PCI Biotech Holding ASA 25 275 104 Perrigo Co PLC 42 3,139 2,393 Pharma Mar SA 56 8,457 6,198 Richter Gedeon Nyrt 360 9,903 11,512 Santen Pharmaceutical Co., Ltd. 100 2,177 2,067 Shanghai Fudan-Zhangjiang Bio-Pharmaceutical Co., Ltd. 3,000 3,077 1,878 Shionogi & Co., Ltd. 100 6,760 6,953 Teva Pharmaceutical Industries Ltd. 7,714 103,081 94,837 uniQure NV 198 11,692 9,114 United Laboratories International Holdings Ltd. 6,000 7,165 5,422 Vitrolife AB 14 453 469 407,573 394,989 1.75 Banks (December 31, 2019: 2.61%) ABN AMRO Bank NV 4,516 58,398 56,457 Aktia Bank OYJ 724 7,982 11,049 Bank Central Asia Tbk PT 1,300 3,793 3,990 Bank CIMB Niaga TBK PT 12,200 969 1,101 Bank of Communications Co., Ltd. 1,000 860 674 Bank Pan Indonesia Tbk PT 8,900 821 859 Bank Pembangunan Daerah Jawa Barat Dan Banten Tbk PT 28,600 2,788 4,020 Bank Pembangunan Daerah Jawa Timur Tbk PT 21,500 1,140 1,326 Bankia SA 744 1,430 1,680 Bankinter SA 255 1,703 1,759 BAWAG Group AG 6 330 355 BOC Hong Kong Holdings Ltd. 1,000 4,251 3,861 Chiba Kogyo Bank Ltd. 200 737 612 China Citic Bank Corp. Ltd. 3,000 1,971 1,622 Commerzbank AG 3,904 31,011 32,046 Credicorp Ltd. 24 5,004 5,015 Deutsche Pfandbriefbank AG 1,479 15,019 20,277 East West Banking Corp. 25,200 8,292 7,220 Genworth Mortgage Insurance Australia Ltd. 204 383 479 Grupo Aval Acciones y Valores SA 171 1,533 1,499

The accompanying notes are an integral part of these financial statements. 44 CC&L Alternative Global Equity Fund Schedule of Investment Portfolio As at December 31, 2020 Average Fair Percentage of Number of Cost Value Net Assets Shares $ $ % Gunma Bank Ltd. 100 416 392 HDFC Bank Ltd. 8 691 736 HSBC Holdings PLC 624 20,889 20,598 ING Groep NV 61 585 734 KBC Group NV 88 8,108 7,857 mBank SA 7 380 429 Mitsubishi UFJ Financial Group Inc. 2,118 11,917 11,954 Mizuho Financial Group Inc., ADR 290 963 942 Powszechna Kasa Oszczednosci Bank Polski SA 259 2,477 2,543 SpareBank 1 Nord Norge 55 580 611 SpareBank 1 SR Bank ASA 25 355 339 Sparebanken Vest 1,134 9,794 12,217 Swedbank AB 941 21,580 21,038 Turkiye Garanti Bankasi AS 707 1,107 1,257 UniCredit SpA 3,815 46,050 45,481 Westpac Banking Corp. 1,050 20,103 19,994 294,410 303,023 1.35 Diversified Financials (December 31, 2019: 1.25%) ABG Sundal Collier Holding ASA 884 721 839 Anima Holding SpA 1,536 8,915 9,295 ASX Ltd. 58 4,173 4,105 Avanza Bank Holding AB 1,676 44,758 60,579 Banca Mediolanum SpA 2,768 27,722 30,635 BOCOM International Holdings Co., Ltd. 15,000 2,800 2,539 Bolsa Mexicana de Valores SAB de CV 490 1,418 1,478 Bright Securities & Commodities Group Ltd. 4,000 1,142 1,420 DWS Group GmbH & Co KGaA 330 14,207 17,901 Eclipx Group Ltd. 1,716 2,129 2,994 flatexDEGIRO AG 25 1,767 2,475 Gruppo MutuiOnline SpA 130 3,513 7,062 Guolian Securities Co., Ltd. 2,500 1,274 1,606 HUB24 Ltd. 599 6,630 12,566 Magellan Financial Group Ltd. 1,837 106,160 96,906 Netwealth Group Ltd. 756 9,921 11,847 Noah Holdings Ltd. 47 1,702 2,863 Perpetual Ltd. 278 7,726 9,500 Platinum Asset Management Ltd. 259 1,001 1,039 Remgro Ltd. 158 1,316 1,318 Resurs Holding AB 116 758 810 Swissquote Group Holding SA 3 338 371 250,091 280,148 1.24 Insurance (December 31, 2019: 1.61%) Anadolu Hayat Emeklilik AS 12,469 20,310 18,530 PLC 69 17,332 18,572 AUB Group Ltd. 661 7,615 10,521 China Taiping Insurance Holdings Co., Ltd. 1,200 3,412 2,756 Chubb Ltd. 136 23,767 26,669 Everest Re Group Ltd. 12 3,342 3,579 Gjensidige Forsikring ASA 747 19,345 21,274 Mapfre SA 824 1,961 2,046 PICC Property & Casualty Co., Ltd. 20,000 24,057 19,289 Ping An Insurance Group Co of China Ltd., HKG 1,500 21,800 23,414 Poste Italiane SpA 157 2,127 2,036 RenaissanceRe Holdings Ltd. 15 3,583 3,169 Societa Cattolica di Assicurazioni SC 77 677 550

The accompanying notes are an integral part of these financial statements. 45 CC&L Alternative Global Equity Fund Schedule of Investment Portfolio As at December 31, 2020 Average Fair Percentage of Number of Cost Value Net Assets Shares $ $ % Swiss Re AG 272 27,762 32,671 Unipol Gruppo SpA 3,522 17,147 21,466 Willis PLC 37 9,931 9,931 204,168 216,473 0.96 Software & Services (December 31, 2019: 2.95%) 21Vianet Group Inc. 1,574 47,538 69,563 PLC 190 55,723 63,228 Adyen NV 8 24,000 23,756 Afterpay Ltd. 40 4,208 4,640 Allgeier SE 4 345 116 Allied Electronics Corp. Ltd. 4,175 7,509 3,951 Amadeus IT Group SA 604 51,297 56,077 ArtSpark Holdings Inc. 100 2,667 3,118 Asseco Poland SA 25 485 582 Atea ASA 749 10,335 13,508 Aveva Group PLC 75 4,323 4,182 BasWare Oyj 73 3,300 4,779 Bechtle AG 8 2,104 2,225 Bigtincan Holdings Ltd. 636 637 688 Check Point Software Technologies Ltd. 170 26,500 28,786 Cheetah Mobile Inc. 1,225 3,662 2,809 China Youzan Ltd. 4,000 1,086 1,518 Digia Oyj 90 848 1,055 Econocom Group SA 98 360 378 Formula Systems 1985 Ltd. 225 17,628 24,774 Forth Smart Service PCL 4 1 1 GDS Holdings Ltd. 26 3,072 3,102 Globant SA 11 1,691 3,050 Hansen Technologies Ltd. 492 1,876 1,804 Hi Sun Technology China Ltd. 6,000 1,374 996 Indra Sistemas SA 365 3,591 3,971 Infomedia Ltd. 550 1,044 1,044 Integrated Research Ltd. 149 672 390 Iress Ltd. 3,392 32,314 35,380 iSignthis Ltd. 1,850 1,362 1,946 Matrix IT Ltd. 789 20,416 22,757 Megaport Ltd. 1,800 20,264 25,216 Mensch und Maschine Software SE 5 387 468 Micro Focus International PLC 15 609 111 Nagarro SE 4 429 567 Nemetschek SE 36 2,413 3,389 NEXTDC Ltd. 148 1,614 1,779 Praemium Ltd. 1,486 1,008 964 Sapiens International Corp. NV 474 13,005 18,670 Sapiens International Corp. NV, NASD 8 362 312 Sinch AB 379 49,683 78,783 SUNeVision Holdings Ltd. 18,000 16,436 20,850 Technology One Ltd. 4,296 32,732 34,631 Wix.com Ltd. 92 31,584 29,297 Xero Ltd. 60 8,569 8,660 511,063 607,871 2.70 Technology Hardware & Equipment (December 31, 2019: 2.03%) Alps Alpine Co., Ltd. 1,000 17,468 16,757 ALSO Holding AG 3 1,033 1,094 AT&S Austria Technologie & Systemtechnik AG 397 9,904 16,152

The accompanying notes are an integral part of these financial statements. 46 CC&L Alternative Global Equity Fund Schedule of Investment Portfolio As at December 31, 2020 Average Fair Percentage of Number of Cost Value Net Assets Shares $ $ % Canon Inc., ADR 3,873 96,408 95,773 Carel Industries SpA 188 4,611 5,621 Codan Ltd. 296 3,053 3,253 Doro AB 63 414 456 Erajaya Swasembada Tbk PT 39,400 6,775 7,860 Eurotech SpA 50 431 402 GL Sciences Inc. 100 1,898 3,444 Hexagon AB 8 773 931 Horiba Ltd. 100 7,294 7,465 Kingboard Holdings Ltd. 4,000 15,616 21,491 Kingboard Laminates Holdings Ltd. 3,500 5,255 7,280 Kitron ASA 159 372 429 Konica Minolta Inc. 400 2,110 1,945 Kyoden Co., Ltd. 700 2,895 2,850 Kyowa Electronic Instruments Co., Ltd. 100 558 497 Lagercrantz Group AB 150 784 1,768 Lem Holding SA 4 9,859 9,962 Lenovo Group Ltd. 6,000 4,768 7,216 Macnica Fuji Electronics Holdings Inc. 300 7,031 7,496 Metrodata Electronics Tbk PT 10,300 1,478 1,476 Murata Manufacturing Co., Ltd. 200 23,062 23,001 PAX Global Technology Ltd. 5,000 2,782 5,652 Ricoh Co., Ltd. 2,500 21,999 20,885 Scanfil Oyj 250 2,158 2,541 Seagate Technology PLC 69 5,255 5,464 Sensirion Holding AG 43 3,194 3,551 Sesa SpA 83 5,776 13,326 Shimadzu Corp. 300 14,234 14,845 Suzuki Co., Ltd. 100 855 1,450 TE Connectivity Ltd. 98 10,757 15,116 Tongda Group Holdings Ltd. 80,000 6,805 7,492 Truly International Holdings Ltd. 10,000 1,671 1,577 VTech Holdings Ltd. 3,700 40,924 36,567 Wacom Co., Ltd. 1,900 21,253 20,280 Wasion Holdings Ltd. 12,000 6,005 4,495 367,518 397,860 1.77 Semiconductors & Semiconductor Equipment (December 31, 2019: 2.53%) Advantest Corp. 100 9,166 9,538 Alpha & Omega Semiconductor Ltd. 119 2,473 3,584 ASE Technology Holding Co., Ltd. 1,913 12,568 14,233 ASML Holding NV 128 65,468 79,322 BE Semiconductor Industries NV 632 39,962 48,844 ChipMOS Technologies Inc. 655 18,267 20,319 Marvell Technology Group Ltd. 201 10,569 12,174 Megachips Corp. 300 7,411 10,421 Meyer Burger Technology AG 4,979 2,303 2,417 Micronics Japan Co., Ltd. 100 1,232 1,602 Nordic Semiconductor ASA 2,635 19,646 54,107 Nova Measuring Instruments Ltd. 388 15,282 34,901 NXP Semiconductors NV 84 17,036 17,017 Sanken Electric Co., Ltd. 600 19,887 33,132 SCREEN Holdings Co., Ltd. 100 8,846 9,378 Shanghai Fudan Microelectronics Group Co., Ltd. 6,000 6,111 13,802 Siltronic AG 22 3,264 4,393 SMA Solar Technology AG 7 386 611

The accompanying notes are an integral part of these financial statements. 47 CC&L Alternative Global Equity Fund Schedule of Investment Portfolio As at December 31, 2020 Average Fair Percentage of Number of Cost Value Net Assets Shares $ $ % SUESS MicroTec SE 16 357 471 Sumco Corp. 100 2,653 2,792 Semiconductor Manufacturing Co., Ltd., ADR 1,860 210,091 258,385 Towa Corp. 400 7,917 10,370 Tower Semiconductor Ltd. 13 304 430 481,199 642,243 2.85 Telecommunication Services (December 31, 2019: 1.19%) APT Satellite Holdings Ltd. 2,000 890 572 China Mobile Ltd. 1,343 50,133 48,831 China Telecom Corp. Ltd. 462 18,862 16,216 China Unicom Hong Kong Ltd., ADR 6,237 52,558 45,133 Chorus Ltd. 840 4,547 6,095 Citic Telecom International Holdings Ltd. 10,000 4,984 4,009 Freenet AG 13 356 348 Indosat Tbk PT 26,800 7,388 12,272 Liberty Global PLC, Series A 160 4,612 4,937 Mobile TeleSystems PJSC 137 1,591 1,562 MTN Group 8,226 37,331 42,943 Nippon Telegraph & Telephone Corp. 300 9,172 9,793 Proximus SADP 45 1,231 1,137 Retelit SpA 525 1,216 1,805 Sarana Menara Nusantara Tbk PT 20,300 1,670 1,767 SoftBank Group Corp. 100 8,733 9,943 Spark New Zealand Ltd. 40 142 172 Telecom Italia SpA 4,393 2,647 2,584 Telefonica Brasil SA 540 6,077 6,088 Telefonica SA 395 2,039 1,998 Telkom SA SOC Ltd. 298 810 794 TPG Telecom Ltd. 111 817 788 217,806 219,787 0.98 Media & Entertainment (December 31, 2019: 1.52%) Adevinta ASA 756 15,070 16,199 Alma Media OYJ 100 926 1,390 BAIOO Family Interactive Ltd. 28,000 4,806 4,279 Cairo Communication SpA 352 680 694 carsales.com Ltd. 1,143 20,307 22,484 CD Projekt SA 329 45,139 30,902 Dena Co., Ltd. 100 1,891 2,269 Domain Holdings Australia Ltd. 177 536 781 IGG Inc. 12,000 11,986 16,010 ITmedia Inc. 100 1,367 2,721 Momo Inc. 2,098 50,410 37,313 Co., Ltd. 100 3,814 3,924 oOh!media Ltd. 2,805 3,922 4,578 Paradox Interactive AB 27 1,183 1,072 Phoenix New Media Ltd. 654 1,502 1,000 PlayWay SA 3 557 649 ProSiebenSat.1 Media SE 98 1,764 2,101 Rovio Entertainment Oyj 34 370 334 OYJ 46 900 985 Schibsted ASA 896 46,270 48,836 Scout24 AG 32 3,184 3,345 Seek Ltd. 54 1,078 1,515 Septeni Holdings Co., Ltd. 200 965 1,044 Seven West Media Ltd. 4,550 562 1,476

The accompanying notes are an integral part of these financial statements. 48 CC&L Alternative Global Equity Fund Schedule of Investment Portfolio As at December 31, 2020 Average Fair Percentage of Number of Cost Value Net Assets Shares $ $ % SINA Corp. 17 902 918 Sohu.com Ltd. 168 3,490 3,412 Telenet Group Holding NV 53 2,822 2,898 Tencent Holdings Ltd. 900 57,812 83,401 Tencent Music Entertainment Group 2,293 51,965 56,205 Z Holdings Corp. 100 756 770 336,936 353,505 1.57 Utilities (December 31, 2019: 1.54%) ACEA SpA 637 15,963 17,029 AGL Energy Ltd. 8,450 126,926 99,269 Amaysim Australia Ltd. 742 415 554 APA Group 353 3,400 3,349 Ascopiave SpA 1,519 9,443 8,607 AusNet Services 562 979 970 Enterprises Holdings Ltd. 8,000 38,774 33,255 BKW AG 253 28,686 36,172 CGN New Energy Holdings Co., Ltd. 14,000 3,561 2,806 China Oil & Gas Group Ltd. 20,000 978 1,397 Cia de Saneamento Basico do Estado de Sao Paulo 102 1,138 1,116 Cia Energetica de Minas Gerais, ADR 285 721 1,046 EDP - Energias de Portugal SA 915 7,034 7,354 Electric Power Development Co., Ltd. 2,500 45,801 43,836 Electricite de France SA 36 650 724 Enagas SA 156 4,502 4,369 Enea SA 846 2,426 1,890 Enel SpA 2,678 32,944 34,548 Enerjisa Enerji AS 5,750 8,120 12,330 EVN AG 62 1,278 1,728 Fjordkraft Holding ASA 222 2,309 2,765 Hiroshima Gas Co., Ltd. 400 1,685 1,851 Infratil Ltd. 53 361 355 Kenon Holdings Ltd. 561 15,037 21,035 Kunlun Energy Co., Ltd. 32,000 31,472 35,227 Osaka Gas Co., Ltd. 100 2,484 2,606 PGE Polska Grupa Energetyczna SA 452 1,004 1,005 REN - Redes Energeticas Nacionais SGPS SA 349 1,301 1,287 Rojana Industrial Park PCL 49,005 13,619 9,377 RWE AG 192 10,467 10,346 Tauron Polska Energia SA 2,355 1,895 2,192 Tohoku Electric Power Co Inc. 100 1,082 1,049 Tokyo Electric Power Co Holdings Inc. 1,100 4,764 3,692 Tokyo Gas Co., Ltd. 100 2,759 2,942 423,978 408,078 1.81 Real Estate (December 31, 2019: 2.39%) Aedifica SA, Rights 142 - - Agile Group Holdings Ltd. 8,000 13,647 13,565 Aroundtown SA 145 1,373 1,383 Aroundtown SA, Rights, Expiry: 08/01/2021 117 - - Care Property Invest NV, Rights 25 - - Castellum AB 18 547 583 Catena AB 188 10,422 11,228 Central China Real Estate Ltd. 4,000 2,886 2,366 China Aoyuan Group Ltd. 3,000 5,674 3,717 China Merchants Land Ltd. 18,000 4,112 3,372 China Overseas Grand Oceans Group Ltd. 21,000 15,027 14,354

The accompanying notes are an integral part of these financial statements. 49 CC&L Alternative Global Equity Fund Schedule of Investment Portfolio As at December 31, 2020 Average Fair Percentage of Number of Cost Value Net Assets Shares $ $ % China Overseas Land & Investment Ltd. 3,000 11,927 8,311 China SCE Group Holdings Ltd. 4,006 2,895 2,106 CSI Properties Ltd. 20,000 877 769 Far East Consortium International Ltd. 20,000 11,569 9,464 Greenland Hong Kong Holdings Ltd. 5,000 2,446 1,914 R&F Properties Co., Ltd. 4,800 8,764 7,863 Hemfosa Fastigheter AB 25 341 491 HKR International Ltd. 4,000 2,261 2,103 Investis Holding SA 125 11,403 16,466 Jaya Real Property Tbk PT 9,900 378 539 K Wah International Holdings Ltd. 6,000 3,892 3,677 Lendlease Corp. Ltd. 2,090 24,882 26,916 Lippo Cikarang Tbk PT 2,800 360 361 Lippo Karawaci Tbk PT 18,300 404 355 Mivne Real Estate KD Ltd. - - - Nisshin Group Holdings Co., Ltd. 100 591 521 NP3 Fastigheter AB 66 845 1,241 Nyfosa AB 150 1,845 1,907 Powerlong Real Estate Holdings Ltd. 43,998 37,905 38,676 PP Properti Tbk PT 56,800 586 484 Precinct Properties New Zealand Ltd. 157 254 253 Samhallsbyggnadsbolaget i Norden AB, Class B 10,438 45,756 46,407 Sankyo Frontier Co., Ltd. 100 4,081 4,874 Selvaag Bolig ASA 636 4,530 5,479 Shimao Group Holdings Ltd. 1,500 5,771 6,088 Swire Pacific Ltd. 8,000 57,260 56,521 Tokyu Fudosan Holdings Corp. 300 1,744 2,036 VGP NV 45 8,390 8,600 Zhong An Group Ltd. 31,000 1,546 1,630 307,191 306,620 1.36 Total Foreign Common Stocks - Long 8,898,356 9,940,564 44.16

Foreign Common Stocks - Short

Energy (December 31, 2019: -1.17%) Akastor ASA (2,875) (4,659) (3,029) Ampol Ltd. (17) (423) (475) Beach Energy Ltd. (4,618) (6,187) (8,194) Borr Drilling Ltd. (1,223) (7,359) (1,353) Carnarvon Petroleum Ltd. (13,287) (2,912) (3,919) Cooper Energy Ltd. (6,083) (2,399) (2,332) Core Laboratories NV (619) (14,723) (20,906) d'Amico International Shipping SA (5,284) (767) (750) Delek Group Ltd. (122) (13,311) (4,841) DNO ASA (3,075) (5,425) (3,142) Dorian LPG Ltd. (441) (5,406) (6,849) Equital Ltd. (771) (26,980) (25,658) FAR Ltd. (13,525) (865) (146) FLEX LNG Ltd. (394) (5,523) (4,403) Frank's International NV (2,155) (6,696) (7,523) Hoegh LNG Holdings Ltd. (525) (2,943) (1,201) Hurricane Energy PLC (9,702) (2,008) (422) Karoon Energy Ltd. (16,825) (8,962) (17,533) Naphtha Israel Petroleum Corp. Ltd. (994) (7,394) (6,074) New Hope Corp. Ltd. (6,330) (7,093) (8,805)

The accompanying notes are an integral part of these financial statements. 50 CC&L Alternative Global Equity Fund Schedule of Investment Portfolio As at December 31, 2020 Average Fair Percentage of Number of Cost Value Net Assets Shares $ $ % New Zealand Refining Co., Ltd. (3,450) (5,873) (1,741) Norwegian Energy Co ASA (33) (695) (695) Ocean Yield ASA (200) (1,048) (790) Odfjell Drilling Ltd. (2,046) (8,049) (5,218) Oil Refineries Ltd. (1,251) (364) (361) Oil Search Ltd. (5,438) (15,999) (19,834) Paz Oil Co., Ltd. (6) (962) (820) Pharos Energy PLC (15,325) (16,774) (4,937) Premier Oil PLC (1) (1) - Santos Ltd. (11,797) (60,299) (72,716) Senex Energy Ltd. (8,000) (2,671) (2,477) Strike Energy Ltd. (4,335) (1,166) (1,215) Teekay Corp. (285) (821) (781) TMK PJSC (530) (2,421) (2,157) Whitehaven Coal Ltd. (26,845) (33,595) (43,413) Worley Ltd. (2,542) (21,668) (28,713) Z Energy Ltd. (693) (3,653) (2,034) (308,094) (315,457) (1.40) Materials (December 31, 2019: -1.03%) Advance NanoTek Ltd. (126) (548) (543) Alkane Resources Ltd. (7,734) (7,569) (7,261) AngloGold Ashanti Ltd. (30) (882) (865) Grupo Cementos de Chihuahua SAB de CV (50) (364) (384) Hadera paper Ltd. (303) (19,257) (20,487) Imdex Ltd. (6,979) (7,825) (11,835) ioneer Ltd. (58,334) (7,613) (16,057) New Century Resources Ltd. (13,126) (2,301) (3,097) Nickel Mines Ltd. (8,917) (6,692) (9,687) Orocobre Ltd. (625) (1,596) (2,746) Pact Group Holdings Ltd. (1,686) (3,799) (4,392) Pilbara Minerals Ltd. (21,554) (6,637) (18,435) Red 5 Ltd. (17,144) (4,664) (4,382) Sims Ltd. (73) (954) (965) Sociedad Quimica y Minera de Chile SA (13) (831) (813) SolGold PLC (1,150) (380) (649) Syrah Resources Ltd. (18,396) (7,983) (17,361) Tubacex SA (1,789) (7,361) (3,821) (87,256) (123,780) (0.55) Capital Goods (December 31, 2019: -1.28%) Aker Offshore Wind AS (88) (35) (143) CIMIC Group Ltd. (706) (14,387) (16,914) Climeon AB (179) (1,370) (1,183) CTT Systems AB (50) (1,096) (1,181) Eidai Co., Ltd. (100) (531) (338) Electro Optic Systems Holdings Ltd. (2,569) (13,753) (14,926) Eltel AB (600) (1,789) (2,094) Embraer SA (85) (725) (737) Eolus Vind AB (20) (491) (735) Fluence Corp. Ltd. (8,155) (2,138) (1,804) Maire Tecnimont SpA (1,425) (6,090) (4,047) NRC Group ASA (850) (8,107) (4,016) PPK Group Ltd. (584) (3,269) (3,318) Reliance Worldwide Corp. Ltd. (9,225) (35,266) (36,729) SembCorp Marine Ltd. (3,900) (4,806) (538) Service Stream Ltd. (5,289) (10,236) (9,385)

The accompanying notes are an integral part of these financial statements. 51 CC&L Alternative Global Equity Fund Schedule of Investment Portfolio As at December 31, 2020 Average Fair Percentage of Number of Cost Value Net Assets Shares $ $ % Shikun & Binui Ltd. (100) (618) (743) Textainer Group Holdings Ltd., NYSE (41) (411) (1,002) Trifast PLC (375) (1,078) (999) (106,196) (100,832) (0.45) Commercial & Professional Services (December 31, 2019: -0.12%) Aker Carbon Capture AS (88) (56) (221) Bingo Industries Ltd. (8,874) (20,010) (21,286) Brunel International NV (691) (10,498) (7,863) Clean TeQ Holdings Ltd. (6,650) (2,296) (1,634) Downer EDI Ltd. (4,643) (14,232) (24,329) Fiera Milano SpA (172) (620) (761) SpA (150) (2,928) (2,144) Vow ASA (169) (988) (954) (51,628) (59,192) (0.26) Transportation (December 31, 2019: -0.54%) Air New Zealand Ltd. (253) (450) (418) Alliance Aviation Services Ltd. (131) (398) (495) American Shipping Co ASA (81) (358) (340) Global Ports Holding PLC (619) (1,281) (1,097) Grupo Aeromexico SAB de CV (700) (778) (338) International Consolidated Airlines Group SA (41) (146) (114) Qantas Airways Ltd. (14,276) (53,565) (68,067) (56,976) (70,869) (0.31) Automobiles & Components (December 31, 2019: -0.25%) AB Dynamics PLC (11) (347) (404) Aston Martin Lagonda Global Holdings PLC (750) (14,792) (26,240) Kongsberg Automotive Holding ASA (37,908) (1,619) (1,977) Landi Renzo SpA (1,590) (1,628) (2,027) Nemak SAB de CV (10) (6) (4) POLYTEC Holding AG (105) (1,521) (1,229) PWR Holdings Ltd. (356) (1,580) (1,582) (21,493) (33,463) (0.15) Consumer Durables & Apparel (December 31, 2019: -0.18%) Aeffe SpA (2,400) (5,905) (4,130) Aquafil SpA (386) (4,591) (2,918) Geox SpA (1,454) (2,766) (1,800) Neinor Homes SA (75) (1,241) (1,274) (14,503) (10,122) (0.04) Consumer Services (December 31, 2019: -0.09%) Ardent Leisure Group Ltd. (500) (497) (339) Corporate Travel Management Ltd. (144) (2,535) (2,477) Create Restaurants Holdings Inc. (100) (767) (765) Flight Centre Travel Group Ltd. (2,690) (33,818) (41,915) Hoteles City Express SAB de CV (5,379) (1,761) (1,881) IDP Education Ltd. (1,180) (16,375) (23,027) Scandic Hotels Group AB (1,815) (8,266) (9,798) (64,019) (80,202) (0.36) Retailing (December 31, 2019: -0.18%) Kathmandu Holdings Ltd. (6,203) (5,816) (7,283) Lovisa Holdings Ltd. (83) (779) (924) Pinduoduo Inc. (14) (3,156) (3,169) Webjet Ltd. (4,116) (14,665) (20,515) (24,416) (31,891) (0.14) Food & Staples Retailing (December 31, 2019: -0.35%)

The accompanying notes are an integral part of these financial statements. 52 CC&L Alternative Global Equity Fund Schedule of Investment Portfolio As at December 31, 2020 Average Fair Percentage of Number of Cost Value Net Assets Shares $ $ % Food, Beverage & Tobacco (December 31, 2019: -0.39%) Agrana Beteiligungs AG (51) (1,337) (1,282) Bubs Australia Ltd. (14,239) (10,853) (8,329) Grupo Herdez SAB de CV (2) (5) (7) Select Harvests Ltd. (849) (4,873) (4,357) (17,068) (13,975) (0.06) Household & Personal Products (December 31, 2019: -0.03%)

Health Care Equipment & Services (December 31, 2019: -0.22%) Attendo AB (302) (1,747) (2,079) Biocartis Group NV (75) (775) (544) Ion Beam Applications (89) (1,960) (1,693) (4,482) (4,316) (0.02) Pharmaceuticals & Biotechnology (December 31, 2019: -0.12%) Clinuvel Pharmaceuticals Ltd. (343) (6,881) (7,526) DBV Technologies SA, ADR (25) (258) (83) Dr Reddy's Laboratories Ltd. (4) (368) (363) Grifols SA (11) (440) (409) Innate Pharma SA (1,639) (8,521) (8,845) Medical Developments International Ltd. (282) (1,892) (1,852) Neuren Pharmaceuticals Ltd. (2,342) (2,571) (2,959) Pharming Group NV (643) (1,147) (1,275) PolyNovo Ltd. (3,118) (6,801) (11,893) ProQR Therapeutics NV (246) (2,087) (1,316) UroGen Pharma Ltd. (62) (2,081) (1,423) WaVe Life Sciences Ltd. (85) (1,839) (852) (34,886) (38,796) (0.17) Banks (December 31, 2019: -0.04%) Banca Popolare di Sondrio SCPA (128) (361) (439) Bank Handlowy w Warszawie SA (11) (205) (132) BPER Banca (719) (1,538) (1,664) Collector AB (300) (654) (1,129) (2,758) (3,364) (0.01) Diversified Financials (December 31, 2019: -0.29%) ABC Arbitrage (112) (1,218) (1,267) AMP Ltd. (7,186) (11,281) (11,021) Axactor SE (1,525) (4,109) (2,428) Challenger Ltd. (4,035) (15,428) (25,546) Fintech Global Inc. (700) (381) (354) Hoist Finance AB (124) (361) (701) Israel Land Development - Urban Renewal Ltd. (406) (4,522) (4,833) Money3 Corp. Ltd. (1,675) (3,553) (4,792) (40,853) (50,942) (0.23) Insurance (December 31, 2019: -0.22%) Greenlight Capital Re Ltd. (1,662) (16,332) (15,478) Harel Insurance Investments & Financial Services Ltd. (75) (467) (881) IDI Insurance Co., Ltd. (47) (2,280) (1,815) Migdal Insurance & Financial Holdings Ltd. (1,671) (1,721) (2,453) Protector Forsikring ASA (225) (1,828) (1,995) (22,628) (22,622) (0.10) Software & Services (December 31, 2019: -0.22%) Cardtronics PLC (87) (4,275) (3,913) EML Payments Ltd. (3,788) (12,118) (15,566) IAR Systems Group AB (54) (911) (1,171) (17,304) (20,650) (0.09)

The accompanying notes are an integral part of these financial statements. 53 CC&L Alternative Global Equity Fund Schedule of Investment Portfolio As at December 31, 2020 Average Fair Percentage of Number of Cost Value Net Assets Shares $ $ % Technology Hardware & Equipment (December 31, 2019: -0.28%) Fingerprint Cards AB (415) (991) (1,121) Ituran Location and Control Ltd. (243) (8,662) (5,898) MIMAKI Engineering Co., Ltd. (100) (484) (592) Silicom Ltd. (77) (3,236) (4,105) Tobii AB (100) (368) (878) (13,741) (12,594) (0.06) Semiconductors & Semiconductor Equipment (December 31, 2019: -0.01%) Daqo New Energy Corp. (827) (58,814) (60,434) SMART Global Holdings Inc. (9) (322) (431) (59,136) (60,865) (0.27) Telecommunication Services (December 31, 2019: -0.11%) Cellcom Israel Ltd. (206) (646) (1,295) Cellnex Telecom SA (8) (631) (613) Partner Communications Co., Ltd., TLV (222) (1,162) (1,561) SpeedCast International Ltd. (1,733) (1,220) (1,346) Uniti Group Ltd. (2,125) (3,095) (3,572) (6,754) (8,387) (0.04) Media & Entertainment (December 31, 2019: -0.19%) Borussia Dortmund GmbH & Co KGaA (48) (379) (407) Eros STX Global Corp. (1,309) (4,267) (3,035) Event Hospitality and Entertainment Ltd. (42) (222) (392) HT&E Ltd. (1,800) (2,103) (3,274) JUVENTUS FOOTBALL CLUB SPA (1,915) (2,037) (2,432) mm2 Asia Ltd. (4,000) (1,050) (578) Sky Network Television Ltd. (11,400) (3,065) (1,684) (13,123) (11,802) (0.05) Utilities (December 31, 2019: Nil%) Central Puerto SA (391) (1,321) (1,345) Solaria Energia y Medio Ambiente SA (330) (10,163) (12,160) (11,484) (13,505) (0.06) Real Estate (December 31, 2019: -0.04%) AFI Properties Ltd. (67) (2,677) (3,496) Airport City Ltd. (49) (941) (947) Altisource Portfolio Solutions SA (25) (414) (410) Big Shopping Centers Ltd. (4) (377) (567) Cedar Woods Properties Ltd. (2,036) (8,616) (12,510) Cresud SACIF y A (276) (1,273) (1,684) Gazit-Globe Ltd. (815) (6,920) (6,781) Grupo GICSA SAB de CV (750) (155) (223) Ichigo Inc. (100) (305) (383) IRSA Propiedades Comerciales SA (1) (12) (12) Lifestyle Communities Ltd. (935) (8,393) (11,756) LSR Group PJSC (122) (354) (355) Norstar Holdings Inc. (159) (1,074) (1,473) Peet Ltd. (6,382) (5,345) (7,497) Property & Building Corp. Ltd. (30) (2,538) (3,770) Yoma Strategic Holdings Ltd. (11,200) (4,068) (3,131) (43,462) (54,995) (0.24) Total Foreign Common Stocks - Short (1,022,260) (1,142,621) (5.06)

Income Trusts - Long (December 31, 2019: 5.15%) Aedifica SA 6 824 919 Agree Realty Corp. 457 38,108 38,764 AIMS APAC REIT 5,000 7,075 6,025

The accompanying notes are an integral part of these financial statements. 54 CC&L Alternative Global Equity Fund Schedule of Investment Portfolio As at December 31, 2020 Average Fair Percentage of Number of Cost Value Net Assets Shares $ $ % Alexandria Real Estate Equities Inc. 76 16,696 17,256 Allied Properties Real Estate Investment Trust 700 26,799 26,481 American Homes 4 Rent 962 36,331 36,768 American Tower Corp. 157 46,630 44,896 Anworth Mortgage Asset Corp. 280 846 967 Apple Hospitality REIT Inc. 5,226 69,653 85,954 Arbor Realty Trust Inc. 1,917 33,459 34,631 AvalonBay Communities Inc. 92 18,295 18,804 Boston Beer Co Inc. 13 14,135 16,467 Boston Properties Inc. 44 5,709 5,299 Camden Property Trust 90 11,166 11,457 Canadian Apartment Properties REIT 200 9,545 9,998 Colony Credit Real Estate Inc. 271 2,090 2,589 Crown Castle International Corp. 129 28,176 26,162 CT Real Estate Investment Trust 500 7,119 7,835 Digital Realty Trust Inc. 80 15,342 14,219 Diversified Healthcare Trust 415 1,934 2,178 Duke Realty Corp. 110 5,221 5,601 EPR Properties 119 4,833 4,927 Equinix Inc. 27 25,567 24,566 Equity Lifestyle Properties Inc. 52 4,274 4,197 Equity Residential 111 8,504 8,383 Essex Property Trust Inc. 20 6,018 6,049 Extra Space Storage Inc. 39 4,991 5,757 Fibra Uno Administracion SA de CV 9 19 13 First Capital Real Estate Investment Trust 100 1,334 1,355 Gannett Co Inc. 1,548 5,125 6,626 Granite Real Estate Investment Trust 900 69,099 70,110 Growthpoint Properties Australia Ltd. 100 390 343 Healthpeak Properties Inc. 160 5,787 6,162 Host Hotels & Resorts Inc. 819 15,139 15,265 Huntington Ingalls Industries Inc. 12 3,426 2,606 ING Groep NV 10,678 107,801 127,186 Inovalis Real Estate Investment Trust 300 2,268 2,679 InterRent Real Estate Investment Trust 4,100 58,266 56,129 Invitation Homes Inc. 173 6,271 6,546 Iron Mountain Inc. 86 2,943 3,230 Killam Apartment Real Estate Investment Trust 3,800 66,863 65,018 Kojamo Oyj 1,693 49,009 47,767 Lar Espana Real Estate Socimi SA 175 2,098 1,274 Medical Properties Trust Inc. 195 5,358 5,413 MFA Financial Inc. 5,553 21,876 27,520 Micron Technology Inc. 333 30,403 31,894 Mid-America Apartment Communities Inc. 34 5,326 5,488 Montea C.V.A 77 7,674 11,175 Morguard North American Residential Real Estate Investment 1,500 20,833 23,925 News Corp. 78 1,821 1,786 Omega Healthcare Investors Inc. 68 3,077 3,146 Park Hotels & Resorts Inc. 4,241 67,090 92,662 Progressive Corp. 136 14,388 17,132 Prologis Inc. 295 38,562 37,455 Public Storage 47 12,743 13,828 Realty Income Corp. 103 8,226 8,158 Redwood Trust Inc. 87 1,012 973 Regency Centers Corp. 51 3,103 2,962

The accompanying notes are an integral part of these financial statements. 55 CC&L Alternative Global Equity Fund Schedule of Investment Portfolio As at December 31, 2020 Average Fair Percentage of Number of Cost Value Net Assets Shares $ $ % RioCan Real Estate Investment Trust 600 10,437 10,050 Rural Funds Group 6,575 11,231 16,676 Ryman Hospitality Properties Inc. 362 16,481 31,250 SBA Communications Corp. 34 13,264 12,221 Starwood Property Trust Inc. 636 16,020 15,638 Summit Industrial Income REIT 300 3,592 4,095 Sun Communities Inc. 29 5,362 5,614 Sunstone Hotel Investors Inc. 1,129 15,659 16,296 TPG RE Finance Trust Inc. 1,220 14,192 16,506 True North Commercial Real Estate Investment Trust 100 709 631 UDR Inc. 90 4,562 4,406 Unibail-Rodamco-Westfield 1,048 80,550 105,499 Ventas Inc. 112 6,909 6,997 VEREIT Inc. 66 2,822 3,178 VICI Properties Inc. 158 4,847 5,133 Vornado Realty Trust 49 2,242 2,331 Warehouses De Pauw CVA 79 3,594 3,480 Welltower Inc. 124 10,574 10,208 Weyerhaeuser Co. 223 6,995 9,526 WP Carey Inc. 53 4,896 4,766 WPT Industrial Real Estate Investment Trust - USD 800 13,976 14,727 Total Income Trusts - Long 1,335,584 1,462,203 6.49

Income Trusts - Short (December 31, 2019: -1.61%) Alaris Equity Partners Income (500) (6,170) (7,555) Alexander & Baldwin Inc. (66) (1,425) (1,445) American Assets Trust Inc. (15) (544) (552) Apartment Income REIT Corp. (48) (2,365) (2,353) Arlington Asset Investment Corp. (342) (2,006) (1,647) Armada Hoffler Properties Inc. (79) (1,106) (1,129) ARMOUR Residential REIT Inc. (1,473) (20,463) (20,249) Australian Unity Office Fund (1,432) (2,361) (3,027) Aventus Group (294) (395) (792) Boston Pizza Royalties Income Fund (200) (1,217) (2,166) Brighthouse Financial Inc. (15) (651) (692) BWP Trust (202) (631) (878) Capstead Mortgage Corp. (95) (717) (703) Centuria Office REIT (6,625) (11,276) (13,938) Charter Hall Group (40) (364) (578) Chartwell Retirement Residences (400) (3,250) (4,476) Chatham Lodging Trust (676) (5,596) (9,301) Cherry Hill Mortgage Investment Corp. (646) (7,884) (7,522) Cominar Real Estate Investment Trust (100) (890) (811) CorEnergy Infrastructure Trust Inc. (163) (1,494) (1,422) Custodian Reit PLC (711) (1,082) (1,087) Dream Impact Trust (400) (1,763) (2,412) Dynex Capital Inc. (374) (7,343) (8,481) Ellington Residential Mortgage REIT (485) (6,163) (8,057) Enlink Midstream LLC (440) (2,428) (2,080) GDI Property Group (1,734) (1,758) (2,063) Hotel Property Investments (59) (162) (189) Invesco Mortgage Capital Inc. (4,266) (18,297) (18,370) Invincible Investment Corp. (1) (468) (409) Lippo Malls Indonesia Retail Trust (93) (18) (6) Megacable Holdings SAB de CV (1) (5) (5)

The accompanying notes are an integral part of these financial statements. 56 CC&L Alternative Global Equity Fund Schedule of Investment Portfolio As at December 31, 2020 Average Fair Percentage of Number of Cost Value Net Assets Shares $ $ % Mirvac Group (1,093) (2,217) (2,837) Morguard Real Estate Investment Trust (700) (3,519) (3,773) National Storage REIT (18,205) (27,133) (34,185) NorthWest Healthcare Properties Real Estate Investment Trust (200) (2,437) (2,520) PRS REIT Plc (2,575) (4,041) (3,444) Resilient REIT Ltd. (150) (540) (550) Retail Properties of America Inc. (42) (463) (458) Seritage Growth Properties (746) (15,500) (13,952) Shopping Centres Australasia Property Group (2,571) (5,289) (6,369) Simon Property Group Inc. (6) (676) (652) Total Income Trusts - Short (172,107) (193,135) (0.86)

Limited Partnerships - Long (December 31, 2019: 0.17%) Viper Energy Partners LP 520 7,889 7,698 Total Limited Partnerships - Long 7,889 7,698 0.03

Embedded Broker Commissions (note 3) (7,944)

Total Investments 20,060,693 22,484,408 99.90

Total unrealized appreciation on currency forward contracts (Schedule 1) 15,836 0.07

Total unrealized depreciation on currency forward contracts (Schedule 1) (32,838) (0.15)

Total unrealized appreciation on swap contracts (Schedule 2) 751,196 3.34

Total unrealized depreciation on swap contracts (Schedule 2) (690,692) (3.07)

Other Assets Less Liabilities (19,896) (0.09)

Net Assets Attributable to Holders of Redeemable Units 22,508,014 100.00

The accompanying notes are an integral part of these financial statements. 57 CC&L Alternative Global Equity Fund Currency Forward Contracts (Schedule 1) As at December 31, 2020

Unrealized Appreciation/ Currency Amount Currency Amount Maturity (Depreciation) Counterparty* Code Sold Code Bought Date $ Royal Bank of Canada HKD (2,727,000) USD 351,803 17-Mar-21 42 Royal Bank of Canada USD (361,002) GBP 273,000 17-Mar-21 15,731 Royal Bank of Canada USD (34,742) JPY 3,587,033 5-Jan-21 3 Royal Bank of Canada USD (10,772) PLN 40,310 5-Jan-21 60 15,836 Royal Bank of Canada EUR (204,000) USD 247,603 17-Mar-21 (3,093) Royal Bank of Canada NOK (2,590,000) USD 293,529 17-Mar-21 (11,318) Royal Bank of Canada SEK (972,000) USD 114,921 17-Mar-21 (4,499) Royal Bank of Canada ZAR (5,274,000) USD 344,642 17-Mar-21 (13,928) (32,838) (17,002)

*All counterparties have a rating of AA or better.

The accompanying notes are an integral part of these financial statements. 58 CC&L Alternative Global Equity Fund Swap Agreements (Schedule 2) As at December 31, 2020 Unrealized Market Appreciation/ Number of Maturity Value (Depreciation) Contracts Date Security Name $ $

Counterparties: Bank of Nova Scotia, Credit Rating "AA"; Credit Suisse First Boston Corporation, Credit Rating "NR"

Equity Swaps - Long

Australian Dollar LIBOR 1 month 562 30-Jul-21 Afterpay Touch Group Ltd Trs 65,194 12,500 816 30-Jul-21 Agl Energy Ltd Trs 9,586 (999) 249 30-Jul-21 Ap Eagers Ltd Trs 3,253 57 183 30-Jul-21 Arb Corp Ltd Trs 5,541 547 719 30-Jul-21 Aurizon Holdings Ltd Trs 2,757 (233) 850 30-Jul-21 Aust And Nz Banking Group Trs 18,969 (208) 1,563 30-Jul-21 Base Resources Ltd Trs 438 (15) 111 30-Jul-21 Brambles Ltd Trs 1,157 (39) 450 30-Jul-21 Brickworks Ltd Trs 8,494 (45) 1,066 30-Jul-21 Carsales.Com Ltd Trs 20,970 (248) 20 30-Jul-21 Cochlear Ltd Trs 3,716 (177) 336 30-Jul-21 Codan Ltd Trs 3,693 155 144 30-Jul-21 Collins Foods Ltd Trs 1,365 41 217 30-Jul-21 Domino'S Pizza Enterprises L Trs 18,491 2,535 84 30-Jul-21 Elders Ltd Trs 814 (51) 393 30-Jul-21 Emeco Holdings Ltd Trs 440 19 234 30-Jul-21 Estia Health Ltd Trs 407 15 114 30-Jul-21 G.U.D. Holdings Ltd Trs 1,316 43 134 30-Jul-21 Ioof Holdings Ltd Trs 464 (27) 403 30-Jul-21 Iress Ltd Trs 4,203 84 354 30-Jul-21 Jb Hi-Fi Ltd Trs 16,920 1,021 29 30-Jul-21 Jumbo Interactive Ltd Trs 401 20 27 30-Jul-21 Kogan.Com Ltd Trs 504 69 33 30-Jul-21 Lendlease Group Trs 425 (34) 105 30-Jul-21 Lynas Corp Ltd Trs 411 14 8 30-Jul-21 Macquarie Group Ltd Trs 1,089 (3) 46 30-Jul-21 Magellan Financial Group Ltd Trs 2,427 (250) 2,094 30-Jul-21 Magnis Energy Technologies L Trs 412 41 29 30-Jul-21 Megaport Ltd Trs 406 39 84 30-Jul-21 Mesoblast Ltd Trs 186 (102) 986 30-Jul-21 National Australia Bank Ltd Trs 21,907 (306) 89 30-Jul-21 Netwealth Group Ltd Trs 1,395 (75) 766 30-Jul-21 Nextdc Ltd Trs 9,210 693 95 30-Jul-21 Northern Star Resources Ltd Trs 1,185 13 268 30-Jul-21 Ooh!Media Ltd Trs 437 (3) 58 30-Jul-21 Perpetual Ltd Trs 1,982 44 385 30-Jul-21 Platinum Asset Management Trs 1,544 (85) 17 30-Jul-21 Rea Group Ltd Trs 2,488 54 491 30-Jul-21 Reece Ltd Trs 7,144 (14) 45 30-Jul-21 Seek Ltd Trs 1,262 45 127 30-Jul-21 Servcorp Ltd Trs 376 (46) 201 30-Jul-21 Sg Fleet Group Ltd Trs 488 58 771 30-Jul-21 Sonic Healthcare Ltd Trs 24,368 (324) 278 30-Jul-21 Super Retail Group Ltd Trs 2,878 175 2,121 30-Jul-21 Sydney Airport Trs 13,366 (629) 84 30-Jul-21 Technology One Ltd Trs 677 (36) 91 30-Jul-21 Virtus Health Ltd Trs 476 (8) 32 30-Jul-21 Westpac Banking Corp Trs 609 (23) 20 30-Jul-21 Woolworths Group Ltd Trs 773 (7) 114 30-Jul-21 Xero Ltd Trs 16,454 (11) 14,284 British Pound LIBOR 1 month 139 30-Jul-21 4Imprint Group Plc Trs 6,209 265 1,200 30-Jul-21 888 Holdings Plc Trs 5,966 280 559 30-Jul-21 Aa Plc Trs 328 16

The accompanying notes are an integral part of these financial statements. 59 CC&L Alternative Global Equity Fund Swap Agreements (Schedule 2) As at December 31, 2020 Unrealized Market Appreciation/ Number of Maturity Value (Depreciation) Contracts Date Security Name $ $

3,070 30-Jul-21 Aggreko Plc Trs 33,468 3,365 615 30-Jul-21 Alfa Financial Software Hold Trs 1,414 9 19 30-Jul-21 Antofagasta Plc Trs 477 5 3,094 30-Jul-21 Ao World Plc Trs 22,145 3,220 606 30-Jul-21 Aveva Group Plc Trs 33,792 (1,568) 1 30-Jul-21 Aveva Group Plc Trs 17 17 5 30-Jul-21 Aveva Group Plc Trs 289 289 578 30-Jul-21 Babcock Intl Group Plc Trs 2,817 (298) 857 30-Jul-21 Bakkavor Group Plc Trs 1,209 (17) 624 30-Jul-21 Bank Of Georgia Group Plc Trs 13,258 937 4,192 30-Jul-21 Plc Trs 48,912 3,675 1,230 30-Jul-21 Plc Trs 64,368 3,666 1,100 30-Jul-21 Bodycote Plc Trs 14,281 465 6,253 30-Jul-21 Bp Plc Trs 27,747 452 846 30-Jul-21 Brown (N) Group Plc Trs 887 6 2,228 30-Jul-21 Burford Capital Ltd Trs 27,587 (1,357) 12,985 30-Jul-21 Capita Plc Trs 8,867 (735) 4,738 30-Jul-21 Card Factory Plc Trs 3,527 (38) 400 30-Jul-21 Caretech Holdings Plc Trs 3,636 319 95,971 30-Jul-21 Centrica Plc Trs 77,884 4,131 420 30-Jul-21 Ceres Power Holdings Plc Trs 9,655 3,335 2,063 30-Jul-21 Chemring Group Plc Trs 10,257 1,204 87 30-Jul-21 Clipper Logistics Plc Trs 876 87 4,147 30-Jul-21 Cmc Markets Plc Trs 28,238 286 855 30-Jul-21 Compass Group Plc Trs 20,295 (345) 1,396 30-Jul-21 Computacenter Plc Trs 59,514 5,432 640 30-Jul-21 Contourglobal Plc Trs 2,396 114 50 30-Jul-21 Craneware Plc Trs 2,003 87 2,296 30-Jul-21 Holdings Trs 13,027 1,276 29 30-Jul-21 Dcc Plc Trs 2,615 (141) 912 30-Jul-21 Devro Plc Trs 2,482 (58) 700 30-Jul-21 Diageo Plc Trs 35,084 (891) 621 30-Jul-21 Diploma Plc Trs 24,030 1,103 1,916 30-Jul-21 Dixons Carphone Plc Trs 3,864 59 440 30-Jul-21 Drax Group Plc Trs 2,873 356 150 30-Jul-21 Dunelm Group Plc Trs 3,169 (19) 6,624 30-Jul-21 Easyjet Plc Trs 95,746 1,841 665 30-Jul-21 Eckoh Plc Trs 747 (12) 3,946 30-Jul-21 Elementis Plc Trs 7,903 (329) 597 30-Jul-21 Emis Group Plc Trs 11,249 1,069 1,970 30-Jul-21 Equiniti Group Plc Trs 3,788 25 175 30-Jul-21 Fdm Group Holdings Plc Trs 3,426 295 6,832 30-Jul-21 Ferrexpo Plc Trs 33,623 8,240 908 30-Jul-21 Finsbury Food Group Plc Trs 1,257 39 4,795 30-Jul-21 Firstgroup Plc Trs 6,179 900 2,186 30-Jul-21 Forterra Plc Trs 9,289 494 1,200 30-Jul-21 Frasers Group Plc Trs 9,433 512 19 30-Jul-21 Fresnillo Plc Trs 374 9 881 30-Jul-21 Gamesys Group Plc Trs 17,491 457 2,518 30-Jul-21 Gcp Student Living Plc Trs 6,279 (151) 257 30-Jul-21 Gear4Music Holdings Plc Trs 3,670 490 841 30-Jul-21 Go-Ahead Group Plc Trs 14,419 2,539 2,152 30-Jul-21 Grafton Group Plc-Uts Trs 34,573 2,663 25 30-Jul-21 Greggs Plc Trs 779 42 810 30-Jul-21 Halfords Group Plc Trs 3,766 26 4,121 30-Jul-21 Hammerson Plc Trs 1,783 49 130 30-Jul-21 Hargreaves Lansdown Plc Trs 3,453 192 276 30-Jul-21 Hilton Food Group Plc Trs 5,354 151 125 30-Jul-21 Hollywood Bowl Group Plc Trs 444 45 1,764 30-Jul-21 Hsbc Holdings Plc Trs 11,638 (712) 1,105 30-Jul-21 Ibstock Plc Trs 3,976 206 2,269 30-Jul-21 Idox Plc Trs 1,995 46 3,219 30-Jul-21 Imi Plc Trs 65,308 2,464

The accompanying notes are an integral part of these financial statements. 60 CC&L Alternative Global Equity Fund Swap Agreements (Schedule 2) As at December 31, 2020 Unrealized Market Appreciation/ Number of Maturity Value (Depreciation) Contracts Date Security Name $ $

4,175 30-Jul-21 Indivior Plc Trs 7,911 559 10,823 30-Jul-21 Iwg Plc Trs 64,687 3,812 3,708 30-Jul-21 Jupiter Fund Management Trs 18,236 2,535 22,995 30-Jul-21 Just Group Plc Trs 27,992 5,530 1,319 30-Jul-21 Kainos Group Plc Trs 27,978 31 567 30-Jul-21 Plc Trs 6,892 617 681 30-Jul-21 Kenmare Resources Plc Trs 3,712 213 7,060 30-Jul-21 Learning Technologies Group Trs 22,377 5,433 18,325 30-Jul-21 Lloyds Banking Group Plc Trs 11,629 156 14,042 30-Jul-21 M&G Plc Trs 48,407 2,484 18,898 30-Jul-21 Marks & Spencer Group Plc Trs 44,857 3,440 457 30-Jul-21 Menzies (John) Plc Trs 2,089 395 2,510 30-Jul-21 Micro Focus International Trs 18,538 2,829 2,708 30-Jul-21 Mitchells & Butlers Plc Trs 11,342 1,342 1,287 30-Jul-21 Moneysupermarket.Com Trs 5,841 352 3,311 30-Jul-21 Morgan Advanced Materials Pl Trs 17,933 1,692 773 30-Jul-21 Plc Trs 20,623 1,683 42 30-Jul-21 Naked Plc Trs 489 34 37,439 30-Jul-21 Natwest Group Plc Trs 109,307 6,850 1,353 30-Jul-21 Ncc Group Plc Trs 5,938 1,314 213 30-Jul-21 Oxford Biomedica Plc Trs 3,821 611 570 30-Jul-21 Oxford Instruments Plc Trs 19,774 1,307 1,180 30-Jul-21 Pagegroup Plc Trs 9,194 643 1,191 30-Jul-21 Pan African Resources Plc Trs 490 80 541 30-Jul-21 Paypoint Plc Trs 6,162 545 224 30-Jul-21 Pearson Plc Trs 2,654 41 95 30-Jul-21 Trs 4,578 118 18,872 30-Jul-21 Petropavlovsk Plc Trs 10,681 1,652 3,500 30-Jul-21 Playtech Plc Trs 24,460 1,050 8,349 30-Jul-21 Premier Foods Plc Trs 14,569 1,713 1,820 30-Jul-21 Puretech Health Plc Trs 12,678 3,490 965 30-Jul-21 Rank Group Plc Trs 2,339 (84) 23 30-Jul-21 Rathbone Brothers Plc Trs 617 22 3,577 30-Jul-21 Trs 35,601 3,236 50 30-Jul-21 Renew Holdings Plc Trs 488 57 1,161 30-Jul-21 Rightmove Plc Trs 13,158 231 3,063 30-Jul-21 Rolls-Royce Holdings Plc Trs 5,934 (227) 8,262 30-Jul-21 Rotork Plc Trs 45,755 2,793 18,294 30-Jul-21 Royal Mail Plc Trs 107,588 9,461 600 30-Jul-21 Rps Group Plc Trs 731 (32) 2,567 30-Jul-21 Sage Group Plc/The Trs 26,018 (54) 533 30-Jul-21 Sainsbury (J) Plc Trs 2,093 (44) 1,916 30-Jul-21 Spectris Plc Trs 94,028 4,385 5,684 30-Jul-21 Spirent Communications Plc Trs 26,132 539 972 30-Jul-21 Ssp Group Plc Trs 5,616 17 240 30-Jul-21 Sthree Plc Trs 1,246 (15) 1,071 30-Jul-21 Stock Spirits Group Plc Trs 4,999 560 147 30-Jul-21 Superdry Plc Trs 631 (36) 199 30-Jul-21 Supermarket Income Reit Plc Trs 369 3 65 30-Jul-21 Synthomer Plc Trs 509 8 434 30-Jul-21 Tate & Lyle Plc Trs 5,164 204 1,221 30-Jul-21 Plc Trs 3,526 120 2,381 30-Jul-21 Tesco Plc Trs 9,595 37 139 30-Jul-21 Ti Fluid Systems Plc Trs 594 52 1,639 30-Jul-21 Plc Trs 38,448 1,831 2,687 30-Jul-21 Tullow Oil Plc Trs 1,384 53 667 30-Jul-21 Tyman Plc Trs 4,071 293 4,335 30-Jul-21 Vertu Motors Plc Trs 2,491 166 3,038 30-Jul-21 Vesuvius Plc Trs 28,384 2,434 974 30-Jul-21 Wh Smith Plc Trs 25,613 1,446 361 30-Jul-21 Wincanton Plc Trs 1,609 25 843 30-Jul-21 Xlmedia Plc Trs 477 (50)

The accompanying notes are an integral part of these financial statements. 61 CC&L Alternative Global Equity Fund Swap Agreements (Schedule 2) As at December 31, 2020 Unrealized Market Appreciation/ Number of Maturity Value (Depreciation) Contracts Date Security Name $ $

107 30-Jul-21 Xp Power Ltd Trs 8,777 311 130,872 Danish Krone LIBOR 1 month 51 30-Jul-21 Alk-Abello A/S Trs 26,701 3,118 129 30-Jul-21 Nkt A/S Trs 7,326 1,001 179 30-Jul-21 Per Aarsleff Holding A/S Trs 11,564 1,593 1,532 30-Jul-21 Scandinavian Tobacco Group A Trs 33,398 2,630 8,342 Euro LIBOR 1 month 119 30-Jul-21 Accor Sa Trs 5,491 (17) 11 30-Jul-21 Adp Trs 1,819 2 75 30-Jul-21 Adva Optical Networking Se Trs 825 1 2 30-Jul-21 Aedifica Trs 306 5 208 30-Jul-21 Aib Group Plc Trs 545 51 976 30-Jul-21 Airbus Se Trs 136,591 2,349 203 30-Jul-21 Akka Technologies Trs 8,148 107 82 30-Jul-21 Alfen Nv Trs 10,558 1,840 50 30-Jul-21 Altia Corp Trs 778 7 565 30-Jul-21 Anima Holding Spa Trs 3,419 186 10 30-Jul-21 Argan Trs 1,303 66 275 30-Jul-21 Ascopiave Spa Trs 1,558 43 63 30-Jul-21 Aubay Trs 3,373 65 300 30-Jul-21 Axway Software Sa Trs 12,626 1,591 100 30-Jul-21 Basware Oyj Trs 6,547 537 199 30-Jul-21 Bigben Interactive Trs 5,782 448 337 30-Jul-21 Bnp Paribas Trs 22,644 166 103 30-Jul-21 Boiron Sa Trs 6,639 480 25 30-Jul-21 Cegedim Sa Trs 994 (42) 3,836 30-Jul-21 Cgg Sa Trs 4,843 (521) 241 30-Jul-21 Coface Sa Trs 3,084 (112) 155 30-Jul-21 Compagnie De Saint Gobain Trs 9,061 (14) 16 30-Jul-21 Covivio Trs 1,879 106 2,519 30-Jul-21 Edf Trs 50,634 1,174 619 30-Jul-21 Elior Group Trs 5,326 696 841 30-Jul-21 Elis Sa Trs 17,868 (11) 68 30-Jul-21 Esker Sa Trs 18,719 1,993 470 30-Jul-21 Faurecia Trs 30,705 220 125 30-Jul-21 Groupe Crit Trs 12,178 374 50 30-Jul-21 Guerbet Trs 2,560 56 7 30-Jul-21 Hapag-Lloyd Ag Trs 1,003 287 4 30-Jul-21 Icade Trs 392 7 742 30-Jul-21 Intertrust Nv Trs 16,054 (94) 86 30-Jul-21 Jcdecaux Sa Trs 2,498 (93) 405 30-Jul-21 Kemira Oyj Trs 8,169 548 86 30-Jul-21 Kingspan Group Plc Trs 7,695 (432) 221 30-Jul-21 Klepierre Trs 6,335 (132) 3 30-Jul-21 Korian Trs 147 16 20 30-Jul-21 Maisons Du Monde Sa Trs 466 34 94 30-Jul-21 Manitou Bf Trs 3,502 287 25 30-Jul-21 Mensch Und Maschine Software Trs 2,338 63 24 30-Jul-21 Mersen Trs 926 11 542 30-Jul-21 Metsa Board Oyj Trs 7,283 872 50 30-Jul-21 Mlp Se Trs 421 16 16,721 30-Jul-21 Natixis Trs 72,695 5,463 100 30-Jul-21 Neopost Sa Trs 2,452 122 276 30-Jul-21 Nexans Sa Trs 25,491 2,658 196 30-Jul-21 Pernod Ricard Sa Trs 47,906 (176) 175 30-Jul-21 Peugeot Sa Trs 6,102 712 25 30-Jul-21 Publity Ag Trs 1,302 22 4,172 30-Jul-21 Redes Energeticas Nacionais Trs 15,380 453 1,470 30-Jul-21 Renault Sa Trs 81,942 4,121 44 30-Jul-21 Revenio Group Oyj Trs 3,450 434 1,269 30-Jul-21 Rexel Sa Trs 25,508 3,005

The accompanying notes are an integral part of these financial statements. 62 CC&L Alternative Global Equity Fund Swap Agreements (Schedule 2) As at December 31, 2020 Unrealized Market Appreciation/ Number of Maturity Value (Depreciation) Contracts Date Security Name $ $

373 30-Jul-21 Sanofi Trs 45,759 447 8 30-Jul-21 Sartorius Stedim Biotech Trs 3,631 (30) 1,551 30-Jul-21 Schaeffler Ag - Pref Trs 16,525 1,339 114 30-Jul-21 Ses Trs 1,371 2 617 30-Jul-21 Showroomprive Trs 2,751 972 3 30-Jul-21 Sma Solar Technology Ag Trs 262 37 2,843 30-Jul-21 Societe Generale Sa Trs 75,436 1,567 166 30-Jul-21 Somfy Sa Trs 35,864 1,454 4,140 30-Jul-21 Sonae Trs 4,269 (115) 222 30-Jul-21 Group Trs 45,748 1,539 12 30-Jul-21 Synergie Sa Trs 599 63 989 30-Jul-21 Tarkett Trs 22,200 (278) 18 30-Jul-21 Teleperformance Trs 7,612 4 323 30-Jul-21 Television Francaise (T.F.1) Trs 3,318 31 642 30-Jul-21 Terveystalo Oyj Trs 10,048 713 25 30-Jul-21 Tessenderlo Group Trs 1,272 54 412 30-Jul-21 Total Produce Plc Trs 881 (17) 1,954 30-Jul-21 Total Sa Trs 107,520 (2,299) 97 30-Jul-21 Valeo Sa Trs 4,881 (30) 784 30-Jul-21 Valneva Se Trs 9,471 1,626 150 30-Jul-21 Vgp Trs 28,666 663 418 30-Jul-21 Vicat Trs 22,382 99 71 30-Jul-21 Virbac Sa Trs 26,341 2,332 25 30-Jul-21 Wienerberger Ag Trs 1,016 111 196 30-Jul-21 X-Fab Silicon Foundries Se Trs 1,503 126 135 30-Jul-21 Zardoya Otis Sa Trs 1,206 (35) 40,425 Hong Kong Dollar LIBOR 1 month 1,000 30-Jul-21 3Sbio Inc Trs 1,162 (101) 6,000 30-Jul-21 Agile Group Holdings Ltd Trs 10,174 (869) 2,000 30-Jul-21 Alibaba Health Information T Trs 7,525 122 8,500 30-Jul-21 Baic Motor Corp Ltd-H Trs 4,008 70 12,000 30-Jul-21 Baioo Family Interactive Ltd Trs 1,834 (159) 2,500 30-Jul-21 Bestway Global Holding Inc Trs 694 (62) 100 30-Jul-21 Boc Aviation Ltd Trs 1,101 31 3,000 30-Jul-21 Bocom International Holdings Trs 508 (14) 6,000 30-Jul-21 Bright Smart Securities And Trs 2,129 185 1,000 30-Jul-21 Byd Electronic Intl Co Ltd Trs 6,671 365 1,000 30-Jul-21 Chaowei Power Holdings Ltd Trs 521 (12) 27,000 30-Jul-21 China Construction Bank-H Trs 26,130 1,046 2,000 30-Jul-21 China Everbright Bank Co L-H Trs 969 14 2,000 30-Jul-21 China Trs 4,896 (181) 8,000 30-Jul-21 China Grand Pharmaceutical A Trs 9,043 163 8,000 30-Jul-21 China Hongqiao Group Ltd Trs 9,333 310 5,000 30-Jul-21 China Life Insurance Co-H Trs 14,048 124 1,000 30-Jul-21 China Medical System Holding Trs 1,423 118 2,000 30-Jul-21 China Merchants Land Ltd Trs 375 (10) 4,000 30-Jul-21 China Minsheng Banking Cor-H Trs 2,905 55 2,000 30-Jul-21 China National Building Ma-H Trs 3,063 (117) 7,000 30-Jul-21 China Overseas Grand Oceans Trs 4,785 (532) 12,000 30-Jul-21 China Overseas Land & Invest Trs 33,242 (1,913) 2,000 30-Jul-21 China Petroleum & Chemical-H Trs 1,140 34 1,000 30-Jul-21 China Railway Signal & Com-H Trs 427 (26) 14,000 30-Jul-21 China Reinsurance Group Co-H Trs 1,840 (95) 4,000 30-Jul-21 China Resources Land Ltd Trs 21,031 694 38,994 30-Jul-21 China Sce Group Holdings Ltd Trs 20,502 (2,256) 200 30-Jul-21 China Taiping Insurance Hold Trs 459 9 24,000 30-Jul-21 China Youzan Ltd Trs 9,109 1,019 1,000 30-Jul-21 Rural Commercial-H Trs 519 (20) 2,000 30-Jul-21 Chow Sang Sang Hldg Trs 2,892 (116) 2,600 30-Jul-21 Chow Tai Fook Jewellery Grou Trs 4,165 (178) 4,000 30-Jul-21 Cifi Holdings Group Co Ltd Trs 4,318 (88) 5,000 30-Jul-21 Citic Ltd Trs 4,510 20

The accompanying notes are an integral part of these financial statements. 63 CC&L Alternative Global Equity Fund Swap Agreements (Schedule 2) As at December 31, 2020 Unrealized Market Appreciation/ Number of Maturity Value (Depreciation) Contracts Date Security Name $ $

38,000 30-Jul-21 Cnooc Ltd Trs 44,829 555 1,000 30-Jul-21 Cosco Shipping Holdings Co-H Trs 1,528 346 3,000 30-Jul-21 Crystal International Group Trs 1,173 (132) 500 30-Jul-21 Csc Financial Co Ltd-H Trs 846 (27) 3,200 30-Jul-21 Cspc Pharmaceutical Group Lt Trs 4,169 335 4,000 30-Jul-21 Dongfeng Motor Grp Co Ltd-H Trs 5,941 661 2,400 30-Jul-21 Dynam Japan Holdings Co Ltd Trs 4,342 1,121 200 30-Jul-21 Everbright Securities Co L-H Trs 228 (9) 24,000 30-Jul-21 Far East Consortium Internat Trs 11,515 1,411 2,000 30-Jul-21 Fufeng Group Ltd Trs 953 (16) 45,000 30-Jul-21 Fullshare Holdings Ltd Trs 1,405 309 1,000 30-Jul-21 Galaxy Entertainment Group L Trs 9,899 262 9,000 30-Jul-21 Genertec Universal Medical G Trs 8,562 (215) 1,000 30-Jul-21 Greentown China Holdings Trs 1,863 18 5,600 30-Jul-21 Guangzhou R&F Properties - H Trs 9,173 (128) 19,500 30-Jul-21 Guolian Securities Co Ltd-H Trs 12,527 97 600 30-Jul-21 Guotai Junan Securities Co-H Trs 1,114 (10) 6,000 30-Jul-21 Hang Lung Properties Ltd Trs 20,160 767 2,000 30-Jul-21 Huaneng Power Intl Inc-H Trs 930 (66) 13,000 30-Jul-21 Huishang Bank Corp Ltd-H Trs 5,425 (2) 3,000 30-Jul-21 Igg Inc Trs 4,002 180 1,000 30-Jul-21 Innovent Biologics Inc Trs 13,481 5,009 3,500 30-Jul-21 Johnson Electric Holdings Trs 11,139 625 1,000 30-Jul-21 Kaisa Group Holdings Ltd Trs 629 (42) 5,500 30-Jul-21 Kerry Logistics Network Ltd Trs 15,363 3 4,000 30-Jul-21 Kingboard Holdings Ltd Trs 21,675 2,144 17,500 30-Jul-21 Kingboard Laminates Hldg Ltd Trs 41,865 5,863 500 30-Jul-21 Li Ning Co Ltd Trs 4,379 926 1,000 30-Jul-21 Logan Property Holdings Co L Trs 2,087 (47) 500 30-Jul-21 Luye Pharma Group Ltd Trs 297 (7) 2,400 30-Jul-21 Man Wah Holdings Ltd Trs 6,672 1,035 400 30-Jul-21 Meituan Dianping-Class B Trs 19,362 1,001 2,000 30-Jul-21 Minth Group Ltd Trs 13,440 1,143 13,000 30-Jul-21 Nvc Lighting Holdings Ltd Trs 367 4 2,000 30-Jul-21 Oriental Watch Holdings Trs 871 (24) 3,000 30-Jul-21 People'S Insurance Co Grou-H Trs 1,213 3 8,000 30-Jul-21 Petrochina Co Ltd-H Trs 3,155 (51) 10,000 30-Jul-21 Picc Property & Casualty-H Trs 9,645 (668) 500 30-Jul-21 Ping An Insurance Group Co-H Trs 7,805 327 2 30-Jul-21 Powerlong Real Estate Holdin Trs 2 - 1,000 30-Jul-21 Pw Medtech Group Ltd Trs 353 16 14,700 30-Jul-21 Samsonite International Sa Trs 33,186 2,337 1,000 30-Jul-21 Shanghai Industrial Hldg Ltd Trs 1,742 (6) 3,000 30-Jul-21 Shimao Property Holdings Ltd Trs 12,175 (1,867) 1,000 30-Jul-21 Sino-Ocean Group Holding Ltd Trs 255 (11) 800 30-Jul-21 Sinopharm Group Co-H Trs 2,479 (18) 3,000 30-Jul-21 Sinotruk Hong Kong Ltd Trs 9,760 270 1,000 30-Jul-21 Sitc International Holdings Trs 2,750 283 6,000 30-Jul-21 Skyworth Group Ltd Trs 2,130 40 500 30-Jul-21 Stella International Trs 740 5 4,500 30-Jul-21 Swire Pacific Ltd - Cl A Trs 31,793 (961) 4,000 30-Jul-21 Tcl Electronics Holdings Ltd Trs 3,818 (117) 500 30-Jul-21 Techtronic Industries Co Ltd Trs 9,086 920 800 30-Jul-21 Tencent Holdings Ltd Trs 74,135 537 4,000 30-Jul-21 Tianjin Development Hldgs Lt Trs 973 (14) 396 30-Jul-21 Times China Holdings Ltd Trs 701 (38) 1,300 30-Jul-21 Vtech Holdings Ltd Trs 12,848 70 3,500 30-Jul-21 Weiqiao Textile Co Ltd-H Trs 983 (12) 400 30-Jul-21 Wynn Macau Ltd Trs 856 (21) 2,000 30-Jul-21 Xin Point Holdings Ltd Trs 1,584 286 1,000 30-Jul-21 Xinhua Winshare Publishing-H Trs 785 5 18,000 30-Jul-21 Xinyi Glass Holdings Ltd Trs 64,030 12,528 8,000 30-Jul-21 Yadea Group Holdings Ltd Trs 21,057 2,613

The accompanying notes are an integral part of these financial statements. 64 CC&L Alternative Global Equity Fund Swap Agreements (Schedule 2) As at December 31, 2020 Unrealized Market Appreciation/ Number of Maturity Value (Depreciation) Contracts Date Security Name $ $

3,000 30-Jul-21 Yue Yuen Industrial Hldg Trs 7,956 24 1,000 30-Jul-21 Yuzhou Properties Co Trs 460 (28) 2,000 30-Jul-21 Zijin Mining Group Co Ltd-H Trs 2,885 437 37,609 Israeli New Shekel LIBOR 1 month 256 30-Jul-21 Avgol Industries 1953 Ltd Trs 327 - 432 30-Jul-21 Bank Leumi Le-Israel Trs 3,240 (77) 12,412 30-Jul-21 Bezeq The Israeli Telecom Co Trs 15,755 (1,884) 3 30-Jul-21 Formula Systems (1985) Ltd Trs 330 15 6 30-Jul-21 Hilan Ltd Trs 363 2 38 30-Jul-21 Matrix It Ltd Trs 1,096 5 39 30-Jul-21 Maytronics Ltd Trs 747 1 59 30-Jul-21 Mizrahi Tefahot Bank Ltd Trs 1,738 107 36 30-Jul-21 Sapiens International Corp Trs 1,418 13 5 30-Jul-21 Tadiran Holdings Ltd Trs 470 48 70 30-Jul-21 Tower Semiconductor Ltd Trs 2,316 2 (1,768) Japanese Yen LIBOR 1 month 600 30-Jul-21 Eps Holdings Inc Trs 7,226 106 100 30-Jul-21 Furukawa Battery Co Ltd Trs 2,280 273 100 30-Jul-21 Gurunavi Inc Trs 645 7 100 30-Jul-21 Macnica Fuji Electronics Hol Trs 2,499 (42) 100 30-Jul-21 Nihon House Holdings Co Ltd Trs 407 113 200 30-Jul-21 Nisshin Fudosan Co Ltd Trs 1,041 106 100 30-Jul-21 Sankyo Frontier Co Ltd Trs 4,874 116 100 30-Jul-21 Tamron Co Ltd Trs 2,253 276 955 New Zealand Dollar LIBOR 1 month 705 30-Jul-21 Argosy Property Ltd Trs 1,028 64 908 30-Jul-21 Chorus Ltd Trs 6,588 (247) 1,095 30-Jul-21 Ebos Group Ltd Trs 28,827 3,695 1,644 30-Jul-21 Fisher & Paykel Healthcare C Trs 49,719 (3,772) 106 30-Jul-21 Freightways Ltd Trs 978 73 780 30-Jul-21 Genesis Energy Ltd Trs 2,594 281 275 30-Jul-21 Mercury Nz Ltd Trs 1,647 133 3,465 30-Jul-21 Precinct Properties New Zeal Trs 5,594 124 3,199 30-Jul-21 Property For Industry Ltd Trs 8,598 83 271 30-Jul-21 Skycity Entertainment Group Trs 798 23 2,122 30-Jul-21 Spark New Zealand Ltd Trs 9,148 241 79 30-Jul-21 Summerset Group Holdings Ltd Trs 909 141 839 Norwegian Krone LIBOR 1 month 65 30-Jul-21 Adevinta Asa Trs 1,393 13 100 30-Jul-21 Orkla Asa Trs 1,295 26 25 30-Jul-21 Salmar Asa Trs 1,873 59 50 30-Jul-21 Yara International Asa Trs 2,649 (21) 77 Polish Zloty LIBOR 1 month 178 30-Jul-21 Budimex Trs 18,715 1,997 108 30-Jul-21 Cd Projekt Sa Trs 10,144 (3,886) 20 30-Jul-21 Grupa Kety Sa Trs 3,361 196 103 30-Jul-21 Livechat Software Sa Trs 3,729 364 223 30-Jul-21 Lubelski Wegiel Bogdanka Sa Trs 1,464 45 27 30-Jul-21 Neuca Sa Trs 6,010 258 1,690 30-Jul-21 Orange Polska Sa Trs 3,808 147 1,879 30-Jul-21 Pge Sa Trs 4,176 449 44 30-Jul-21 Playway Sa Trs 9,523 1,168 31 30-Jul-21 Stalprodukt Sa Trs 3,185 905 14,659 30-Jul-21 Tauron Polska Energia Sa Trs 13,643 2,940 660 30-Jul-21 Warsaw Stock Exchange Trs 10,313 603 5,186 Russian Ruble LIBOR 1 month 7,186 30-Jul-21 Bank St Petersburg Pjsc Trs 6,410 (805)

The accompanying notes are an integral part of these financial statements. 65 CC&L Alternative Global Equity Fund Swap Agreements (Schedule 2) As at December 31, 2020 Unrealized Market Appreciation/ Number of Maturity Value (Depreciation) Contracts Date Security Name $ $

124,071 30-Jul-21 Enel Russia Pjsc Trs 1,923 (21) 8,792,451 30-Jul-21 Federal Grid Co Unified Ener Trs 33,636 2,879 2,130 30-Jul-21 Gazprom Neft Pjsc Trs 11,812 (32) 2,188,630 30-Jul-21 Interregional Distribution G Trs 9,549 712 574 30-Jul-21 Lenenergo-Pfd-Cls Trs 1,511 4 160 30-Jul-21 M Video Pjsc Trs 1,962 (13) 7,417 30-Jul-21 Magnitogorsk Iron & Steel Wo Trs 7,131 362 40 30-Jul-21 Mmc Norilsk Nickel Pjsc Trs 16,756 1,870 1,449 30-Jul-21 Novolipetsk Steel Pjsc Trs 5,298 (63) 58,137 30-Jul-21 Novorossiysk Commercial Sea Trs 8,111 (176) 325,667 30-Jul-21 Rosseti Pjsc Trs 9,833 288 1,453,913 30-Jul-21 Rushydro Pjsc Trs 19,589 (105) 110 30-Jul-21 Severstal Pjsc Trs 2,492 337 32,240 30-Jul-21 Unipro Pjsc Trs 1,612 65 5,302 Singapore Dollar LIBOR 1 month 800 30-Jul-21 Capitaland Commercial Trust Trs 1,272 7 1,700 30-Jul-21 China Sunsine Chemical Hldgs Trs 811 (16) 500 30-Jul-21 Dbs Group Holdings Ltd Trs 12,069 (85) 1,800 30-Jul-21 Genting Singapore Ltd Trs 1,475 (11) 700 30-Jul-21 Haw Par Corp Ltd Trs 7,220 86 1,700 30-Jul-21 Ifast Corp Ltd Trs 4,916 (1,024) 4,400 30-Jul-21 Japfa Ltd Trs 3,923 637 2,900 30-Jul-21 Jardine Cycle & Carriage Ltd Trs 54,651 65 12,000 30-Jul-21 Moya Holdings Asia Ltd Trs 821 32 22,000 30-Jul-21 Olam International Ltd Trs 32,446 192 100 30-Jul-21 Oversea-Chinese Banking Corp Trs 970 (3) 13,900 30-Jul-21 Riverstone Holdings Ltd Trs 14,873 (2,573) 16,000 30-Jul-21 Sheng Siong Group Ltd Trs 23,906 (171) 100 30-Jul-21 Singapore Telecommunications Trs 228 (3) 3,200 30-Jul-21 Ums Holdings Ltd Trs 3,331 121 400 30-Jul-21 United Overseas Bank Ltd Trs 8,710 (67) 15,400 30-Jul-21 Yanlord Land Group Ltd Trs 16,626 137 (2,676) South African Rand LIBOR 1 month 1,848 30-Jul-21 African Rainbow Minerals Ltd Trs 41,980 3,397 694 30-Jul-21 Exxaro Resources Ltd Trs 8,361 1,103 62 30-Jul-21 Kumba Iron Ore Ltd Trs 3,349 504 150 30-Jul-21 Lewis Group Ltd Trs 291 3 889 30-Jul-21 Trencor Ltd Trs 310 (217) 4,790 Swedish Krona LIBOR 1 month 875 30-Jul-21 Academedia Ab Trs 11,538 107 1,198 30-Jul-21 Addtech Ab-B Shares Trs 20,257 183 1,742 30-Jul-21 Arjo Ab - B Shares Trs 16,984 971 1,455 30-Jul-21 Avanza Bank Holding Ab Trs 52,591 10,016 2,978 30-Jul-21 Betsson Ab Trs 34,047 (190) 1,214 30-Jul-21 Bilia Ab-A Shs Trs 19,096 949 37 30-Jul-21 Boozt Ab Trs 1,072 133 527 30-Jul-21 Bygghemma Group First Ab Trs 14,617 1,748 225 30-Jul-21 Byggmax Group Ab Trs 1,789 156 115 30-Jul-21 Catena Ab Trs 6,868 (1) 25 30-Jul-21 Clas Ohlson Ab-B Shs Trs 304 (18) 25 30-Jul-21 Eastnine Ab Trs 485 - 85 30-Jul-21 Humana Ab Trs 781 67 230 30-Jul-21 Instalco Ab Trs 8,956 1,034 201 30-Jul-21 Invisio Communications Ab Trs 7,795 1,833 925 30-Jul-21 Inwido Ab Trs 17,291 2,236 951 30-Jul-21 Lagercrantz Group Ab-B Shs Trs 11,212 869 1,020 30-Jul-21 Leovegas Ab Trs 5,522 189 151 30-Jul-21 Lifco Ab-B Shs Trs 18,482 2,059 520 30-Jul-21 Lindab International Ab Trs 13,746 1,708 566 30-Jul-21 Medicover Ab - B Share Trs 14,400 2,351

The accompanying notes are an integral part of these financial statements. 66 CC&L Alternative Global Equity Fund Swap Agreements (Schedule 2) As at December 31, 2020 Unrealized Market Appreciation/ Number of Maturity Value (Depreciation) Contracts Date Security Name $ $

2,037 30-Jul-21 Munters Group Ab Trs 26,228 1,893 85 30-Jul-21 Nolato Ab-B Shs Trs 10,971 809 2,023 30-Jul-21 Nyfosa Ab Trs 25,718 (725) 446 30-Jul-21 Paradox Interactive Ab Trs 17,712 (542) 11 30-Jul-21 Proact It Group Ab Trs 466 41 93 30-Jul-21 Recipharm Ab-B Shs Trs 3,165 1,089 397 30-Jul-21 Scandi Standard Ab Trs 4,237 135 357 30-Jul-21 Sectra Ab-B Shs Trs 40,622 2,736 53 30-Jul-21 Sedana Medical Ab Trs 2,820 657 125 30-Jul-21 Systemair Ab Trs 4,993 387 150 30-Jul-21 Troax Group Ab Trs 4,472 572 912 30-Jul-21 Vitrolife Ab Trs 30,531 1,043 34,495 Swiss Franc LIBOR 1 month 62 30-Jul-21 Also Holding Ag-Reg Trs 22,608 1,528 1 30-Jul-21 Bachem Holding Ag-Reg B Trs 570 35 81 30-Jul-21 Bkw Ag Trs 11,581 637 14 30-Jul-21 Dufry Ag-Reg Trs 1,121 98 19 30-Jul-21 Gurit Holding Ag-Br Trs 67,912 5,778 22 30-Jul-21 Julius Baer Group Ltd Trs 1,617 319 193 30-Jul-21 Kuehne + Nagel Intl Ag-Reg Trs 55,855 (1,332) 5 30-Jul-21 Lem Holding Sa-Reg Trs 12,452 337 88 30-Jul-21 Nestle Sa-Reg Trs 13,223 396 50 30-Jul-21 Orascom Development Holding Trs 665 23 17 30-Jul-21 Sensirion Holding Ag Trs 1,404 64 783 30-Jul-21 Swiss Re Ag Trs 94,050 402 117 30-Jul-21 Swissquote Group Holding-Reg Trs 14,485 (61) 140 30-Jul-21 Valora Holding Ag-Reg Trs 35,069 (832) 164 30-Jul-21 Vz Holding Ag Trs 19,122 1,166 63 30-Jul-21 Zehnder Group Ag-Rg Trs 5,366 865 9,423 US Dollar LIBOR 1 month 4,200 30-Jul-21 Braskem Sa-Pref A Trs 24,283 1,614 100 30-Jul-21 360 Security Technology In-A Trs 307 (15) 1,100 30-Jul-21 Aapico Hitech Pcl Trs 832 (20) 7,000 30-Jul-21 Acer Inc Trs 7,507 290 670 30-Jul-21 Action Construction Equipmen Trs 1,588 281 100 30-Jul-21 Aes Tiete Energia Sa - Unit Trs 405 5 600 30-Jul-21 Aisino Corp-A Trs 1,476 31 250 30-Jul-21 Ajanta Pharma Ltd Trs 7,119 507 1,000 30-Jul-21 Alchip Technologies Ltd Trs 28,160 (1,549) 211 30-Jul-21 Alembic Pharmaceuticals Ltd Trs 3,803 177 28,223 30-Jul-21 Alfa S.A.B.-A Trs 26,062 2,267 400 30-Jul-21 Allianz Malaysia Bhd Trs 1,874 161 1,975 30-Jul-21 Alpargatas Sa - Pref Trs 20,348 1,376 2,815 30-Jul-21 Anant Raj Ltd Trs 1,334 33 2,000 30-Jul-21 Anpec Electronics Corp Trs 7,745 123 4,800 30-Jul-21 Arcplus Group Plc-A Trs 7,345 (222) 6,000 30-Jul-21 Ardentec Corp Trs 10,516 546 8,000 30-Jul-21 Asia Plus Group Holdings Pcl Trs 741 56 77 30-Jul-21 Astec Lifesciences Ltd Trs 1,733 474 98,128 30-Jul-21 Axtel Sab De Cv - Cpo Trs 39,135 (11,846) 8,300 30-Jul-21 B3 Sa-Brasil Bolsa Balcao Trs 126,192 13,803 1,432 30-Jul-21 Bajaj Consumer Care Ltd Trs 5,350 316 3,524 30-Jul-21 Bajaj Hindusthan Sugar Ltd Trs 378 38 15 30-Jul-21 Balaji Telefilms Ltd Trs 18 2 100 30-Jul-21 Banco Estado Rio Gran-Pref B - Trs 357 6 569 30-Jul-21 Banco Products (India) Ltd Trs 1,466 139 400 30-Jul-21 Bank Of Beijing Co Ltd -A Trs 378 - 300 30-Jul-21 Bank Of Jiangsu Co Ltd-A Trs 320 (43) 200 30-Jul-21 Bank Of Nanjing Co Ltd -A Trs 315 (19) 200 30-Jul-21 Bank Of Shanghai Co Ltd-A Trs 306 (7) 400 30-Jul-21 Baoshan Iron & Steel Co-A Trs 465 (17)

The accompanying notes are an integral part of these financial statements. 67 CC&L Alternative Global Equity Fund Swap Agreements (Schedule 2) As at December 31, 2020 Unrealized Market Appreciation/ Number of Maturity Value (Depreciation) Contracts Date Security Name $ $

15 30-Jul-21 Bayer Cropscience Ltd Trs 1,423 120 1,200 30-Jul-21 Bb Seguridade Participacoes Trs 8,722 (187) 300 30-Jul-21 Beijing Sdl Technology Co -A Trs 360 (9) 200 30-Jul-21 Beijing Supermap Software -A Trs 720 (19) 400 30-Jul-21 Bgi Genomics Co Ltd-A Trs 10,037 (109) 35 30-Jul-21 Bharat Rasayan Ltd Trs 5,925 149 1,275 30-Jul-21 Birlasoft Ltd Trs 5,489 1,151 564 30-Jul-21 Bluecom Co Ltd Trs 3,432 (400) 461 30-Jul-21 Bnk Financial Group Inc Trs 3,070 81 600 30-Jul-21 Boe Technology Group Co Lt-A Trs 703 74 1,000 30-Jul-21 Bohai Ferry Group Ltd-A Trs 1,718 (89) 2,225 30-Jul-21 Bolsa Mexicana De Valores Sa Trs 6,727 248 4,300 30-Jul-21 Brf Sa Trs 23,248 639 1 30-Jul-21 Brigade Enterprises Ltd Trs 4 - 15,500 30-Jul-21 Cal-Comp Electronics Thailan Trs 1,422 (54) 625 30-Jul-21 Camil Alimentos Sa Trs 1,706 32 3,625 30-Jul-21 Camlin Fine Sciences Ltd Trs 7,739 536 887 30-Jul-21 Cap Sa Trs 15,181 3,994 150 30-Jul-21 Castrol India Ltd Trs 322 (2) 200 30-Jul-21 Central China Land Media-A Trs 266 (20) 2,976 30-Jul-21 Cg Power And Industrial Solu Trs 2,327 46 23 30-Jul-21 Changhae Ethanol Co Ltd Trs 364 1 1,000 30-Jul-21 Cheng Loong Corp Trs 1,542 126 6,000 30-Jul-21 Cheng Mei Material Technology Trs 3,006 268 3,000 30-Jul-21 Chicony Power Technology Co Trs 9,604 607 100 30-Jul-21 China Building Material Te-A Trs 382 (13) 900 30-Jul-21 China Electric Manufacturing Trs 569 97 100 30-Jul-21 China Fortune Land Develop-A Trs 252 (35) 100 30-Jul-21 China Jushi Co Ltd -A Trs 390 64 1,000 30-Jul-21 China Man-Made Fiber Corp Trs 508 89 100 30-Jul-21 China Merchants Shekou Ind-A Trs 259 (25) 400 30-Jul-21 China National Nuclear Pow-A Trs 384 4 400 30-Jul-21 China Shipbuilding Industr-A Trs 327 (9) 500 30-Jul-21 China United Network-A Trs 435 (40) 400 30-Jul-21 China Yangtze Power Co Ltd-A Trs 1,496 (5) 125 30-Jul-21 Cia De Gas De Sao Paulo-Pr A Trs 5,296 38 2,700 30-Jul-21 Cia De Transmissao De Ene-Pf Trs 18,536 615 1,000 30-Jul-21 Cia Energetica De Sp-Pref B Trs 7,106 291 100 30-Jul-21 Cia Energetica Minas Ger-Prf Trs 357 21 100 30-Jul-21 Cia Ferro Ligas Da Bahia -Fe Trs 474 21 2,175 30-Jul-21 Cia Saneamento Minas Gerais - Trs 8,750 949 79,087 30-Jul-21 Cia Sud Americana De Vapores Trs 4,066 919 14,000 30-Jul-21 Cielo Sa Trs 13,929 1,472 219 30-Jul-21 Clariant Chemicals (I) Ltd Trs 1,402 14 196 30-Jul-21 Corestem Inc Trs 5,332 463 3,200 30-Jul-21 Cosan Logistica Sa Trs 14,530 1,668 100 30-Jul-21 Cpfl Energia Sa Trs 798 15 175 30-Jul-21 Cpfl Energia Sa-Adr Trs 3,870 (6) 15,000 30-Jul-21 Crrc Corp Ltd-A Trs 15,546 (908) 4 30-Jul-21 Cuckoo Holdings Co Ltd Trs 469 27 115 30-Jul-21 Cyient Ltd Trs 1,029 60 500 30-Jul-21 Cia Siderurgica Nactional Sa Trs 3,906 1,102 21,000 30-Jul-21 Controladora Nemak Sab Trs 3,629 3,629 127 30-Jul-21 Daeduck Electronics Co Trs 1,039 105 460 30-Jul-21 Daehan Steel Co Ltd - Trs 5,609 521 735 30-Jul-21 Daesang Holdings Co Ltd Trs 8,791 452 16 30-Jul-21 Daihan Pharmaceutical Co Ltd Trs 618 39 2,500 30-Jul-21 Dairy Farm Intl Hldgs Ltd Trs 13,281 252 1,053 30-Jul-21 Dalmia Bharat Sugar & Indust Trs 2,642 149 300 30-Jul-21 Daqin Railway Co Ltd -A Trs 378 (16) 4,600 30-Jul-21 Datasonic Group Bhd Trs 765 16 3,000 30-Jul-21 Delta Electronics Thai Pcl Trs 61,933 32,437 2,311 30-Jul-21 Dewan Housing Finance Corp Trs 1,193 (237)

The accompanying notes are an integral part of these financial statements. 68 CC&L Alternative Global Equity Fund Swap Agreements (Schedule 2) As at December 31, 2020 Unrealized Market Appreciation/ Number of Maturity Value (Depreciation) Contracts Date Security Name $ $

1,000 30-Jul-21 Dezhan Health Care Co Ltd-A Trs 865 90 289 30-Jul-21 Dhanuka Agritech Ltd Trs 3,875 138 1,400 30-Jul-21 Diamond Building Products Pc Trs 348 (3) 24,364 30-Jul-21 Dish Tv India Ltd Trs 5,692 1,374 2,161 30-Jul-21 Dishman Carbogen Amcis Ltd Trs 5,230 (156) 67 30-Jul-21 Dnf Co Ltd Trs 1,665 456 100 30-Jul-21 Dongbu Securities Co Ltd Trs 546 10 7,100 30-Jul-21 Dongguan Development Hldgs-A Trs 13,955 1,237 1,070 30-Jul-21 Dongkook Pharmaceutical Co L Trs 36,698 5,079 1,491 30-Jul-21 Dongkuk Industries Co Ltd Trs 5,935 (155) 206 30-Jul-21 Dongkuk Steel Mill Co Ltd - Trs 1,961 176 21 30-Jul-21 Dongwha Pharm Co Ltd Trs 484 20 3,293 30-Jul-21 Dongwon Development Co - Trs 19,538 2,826 350 30-Jul-21 Dtr Automotive Corp Trs 10,568 911 457 30-Jul-21 Dy Power Corp Trs 6,377 216 1,225 30-Jul-21 Duratex Sa Trs 5,846 354 354 30-Jul-21 Easy Bio Inc Trs 1,700 18 484 30-Jul-21 Eclerx Services Ltd Trs 7,454 1,415 1,808 30-Jul-21 Elgi Equipments Ltd Trs 4,823 644 200 30-Jul-21 Engie Brasil Energia Sa Trs 2,156 (22) 249 30-Jul-21 Epl Ltd Trs 1,094 (24) 42 30-Jul-21 Eugene Technology Co Ltd Trs 1,642 62 7,400 30-Jul-21 Evergreen Fibreboard Bhd Trs 1,079 84 1,000 30-Jul-21 Evergreen Marine Corp Ltd Trs 1,846 737 1,000 30-Jul-21 Everlight Electronics Co Ltd Trs 1,914 261 314 30-Jul-21 Falabella Sa Trs 1,481 119 1,025 30-Jul-21 Fdc Ltd Trs 5,935 (126) 189 30-Jul-21 Fiem Industries Ltd Trs 1,868 81 300 30-Jul-21 Focus Media Information Te-A Trs 578 14 10,396 30-Jul-21 Forth Smart Service Pcl Trs 3,025 (123) 100 30-Jul-21 Foxconn Industrial Interne-A Trs 267 - 300 30-Jul-21 Fujian Septwolves Industry-A Trs 307 (9) 400 30-Jul-21 Fleury Sa - Trs 2,651 79 100 30-Jul-21 Gamevil Inc Trs 4,321 507 9,100 30-Jul-21 Gd Express Carrier Bhd Trs 1,154 (85) 2,000 30-Jul-21 Gem Services Inc/Tw Trs 6,185 772 100 30-Jul-21 Gemdale Corp-A Trs 264 (30) 311 30-Jul-21 Genie Music Corp Trs 1,388 (24) 8,675 30-Jul-21 Genomma Lab Internacional-B Trs 10,440 (347) 7,891 30-Jul-21 Geojit Financial Services Lt Trs 7,636 2,291 800 30-Jul-21 Gfpt Public Co Ltd Trs 483 9 4,700 30-Jul-21 Globetronics Technology Bhd Trs 4,021 (336) 600 30-Jul-21 Glodon Co Ltd-A Trs 9,221 1,404 9 30-Jul-21 Golfzon Co Ltd Trs 731 11 391 30-Jul-21 Golfzon Newdin Holding Co Ltd Trs 2,540 (121) 1,492 30-Jul-21 Granules India Ltd Trs 9,161 (1,437) 8,000 30-Jul-21 Greatek Electronics Inc Trs 20,315 656 100 30-Jul-21 Gree Electric Appliances I-A Trs 1,209 (19) 200 30-Jul-21 Greenland Holdings Corp Lt-A Trs 228 (22) 452 30-Jul-21 Grindwell Norton Ltd Trs 5,654 984 448 30-Jul-21 Grupo Nutresa Sa Trs 3,993 303 18 30-Jul-21 Gs Holdings - Trs 793 53 100 30-Jul-21 Guangdong Ly Intelligent M-A Trs 234 (20) 3,830 30-Jul-21 Gujarat Ambuja Exports Ltd Trs 7,876 (100) 1,319 30-Jul-21 Gujarat Inds Power Co Ltd Trs 1,928 194 5,231 30-Jul-21 Gujarat State Fert & Chemica Trs 6,585 199 100 30-Jul-21 Guosen Securities Co Ltd-A Trs 266 - 193 30-Jul-21 Haesung Ds Co Ltd Trs 5,522 1,142 2,000 30-Jul-21 Hai-O Enterprise Bhd Trs 1,445 113 2,500 30-Jul-21 Co Ltd -A Trs 1,483 132 7,200 30-Jul-21 Hana Microelectronics Pcl Trs 12,157 (803) 5 30-Jul-21 Transportation Co - Trs 280 49 232 30-Jul-21 Hanmi Semiconductor Co Ltd Trs 4,924 1,662

The accompanying notes are an integral part of these financial statements. 69 CC&L Alternative Global Equity Fund Swap Agreements (Schedule 2) As at December 31, 2020 Unrealized Market Appreciation/ Number of Maturity Value (Depreciation) Contracts Date Security Name $ $

331 30-Jul-21 Hansol Homedeco Co Ltd Trs 833 (4) 23 30-Jul-21 Hansol Paper Co Ltd Trs 374 (1) 912 30-Jul-21 Hanwha Corporation - Trs 30,263 3,154 872 30-Jul-21 Hanwha General Insurance Co - Trs 3,921 (108) 6,952 30-Jul-21 Hanwha Life Insurance Co Ltd Trs 19,890 3,247 11,400 30-Jul-21 Hartalega Holdings Bhd Trs 43,858 (7,521) 100 30-Jul-21 Hexing Electrical Co Ltd-A Trs 268 (22) 183 30-Jul-21 Hikal Ltd Trs 526 (15) 200 30-Jul-21 Hisense Visual Tech Co Ltd-A Trs 448 34 1,382 30-Jul-21 Hitejinro Holdings Co Ltd Trs 24,388 (762) 791 30-Jul-21 Hsil Ltd Trs 1,637 198 300 30-Jul-21 Huaxia Bank Co Ltd-A Trs 366 (14) 100 30-Jul-21 Huayu Automotive Systems -A Trs 563 (40) 115 30-Jul-21 Humax Co Ltd Trs 774 61 900 30-Jul-21 Hunan Haili Chemical Indus-A Trs 1,435 (56) 34,100 30-Jul-21 Hutchison Port Holdings Tr-U Trs 8,602 436 366 30-Jul-21 Hwasung Industrial Co Ltd Trs 5,343 178 187 30-Jul-21 Hyosungitx Co Ltd Trs 5,087 413 194 30-Jul-21 Hyundai Electric & Energy Sy- Trs 3,731 111 523 30-Jul-21 Hyundai Motor Securities Co Trs 7,727 294 28 30-Jul-21 Co Trs 1,300 275 100 30-Jul-21 I.G. Petrochemicals Ltd Trs 739 (92) 382 30-Jul-21 Iljin Electric Co Ltd Trs 1,420 (15) 1,398 30-Jul-21 Indo Count Industries Ltd Trs 3,550 (216) 400 30-Jul-21 Industrial Bank Co Ltd -A Trs 1,629 86 200 30-Jul-21 Industrial Securities Co-A Trs 339 (10) 100 30-Jul-21 Inner Mongolia Yili Indus-A Trs 866 134 597 30-Jul-21 Intellect Design Arena Ltd Trs 3,279 476 131 30-Jul-21 Interconexion Electrica Sa Trs 1,250 181 343 30-Jul-21 Intops Co Ltd Trs 12,126 3,234 2,500 30-Jul-21 Iochpe-Maxion S.A. Trs 9,505 290 242 30-Jul-21 Iones Co Ltd Trs 2,015 702 52,800 30-Jul-21 Irpc Pcl Trs 8,343 520 58 30-Jul-21 J.B. Chemicals & Pharma Ltd Trs 1,029 35 49,566 30-Jul-21 Jaiprakash Associates Ltd Trs 6,395 3,099 1,500 30-Jul-21 Jardine Strategic Hldgs Ltd Trs 47,546 1,612 15,325 30-Jul-21 Jbs Sa Trs 88,944 4,448 30,100 30-Jul-21 Jcy International Bhd Trs 5,056 (741) 100 30-Jul-21 Jiangsu Hengrui Medicine C-A Trs 2,176 509 1,800 30-Jul-21 Jiangsu Phoenix Publish-A Trs 2,224 (167) 500 30-Jul-21 Jiangxi Ganyue Expressway -A Trs 334 (8) 2,200 30-Jul-21 Jiangxi Hongcheng Waterwor-A Trs 2,903 (19) 12,448 30-Jul-21 Jindal Stainless Ltd Trs 16,429 2,693 275 30-Jul-21 Jk Lakshmi Cement Ltd Trs 1,630 62 930 30-Jul-21 Joycity Corp Trs 11,995 4,854 1,115 30-Jul-21 Jubilant Life Sciences Ltd Trs 16,425 2,545 162 30-Jul-21 Jvm Co Ltd Trs 6,829 (514) 210 30-Jul-21 Jw Holdings Corp Trs 1,436 34 32 30-Jul-21 Inc Trs 882 18 6,000 30-Jul-21 Karmarts Pcl Trs 1,009 4 2,942 30-Jul-21 Karur Vysya Bank Ltd Trs 2,347 276 520 30-Jul-21 Kc Tech Co Ltd/New Trs 18,749 4,164 385 30-Jul-21 Kgmobilians Co Ltd Trs 4,672 (117) 6,100 30-Jul-21 Khon Kaen Sugar Industry Pcl Trs 596 (1) 1,721 30-Jul-21 Kirloskar Brothers Ltd Trs 3,871 (288) 1,208 30-Jul-21 Kisco Corp - Trs 9,264 372 17,800 30-Jul-21 Knm Group Bhd Trs 1,156 42 50 30-Jul-21 Kolon Corp Trs 1,278 54 704 30-Jul-21 Kolon Global Corp Trs 15,932 (692) 135 30-Jul-21 Kona I Co Ltd Trs 4,234 98 480 30-Jul-21 Korea Asset In Trust Co Ltd Trs 2,218 28 10 30-Jul-21 Korea Gas Corporation Trs 362 14 508 30-Jul-21 Korea Information Certificat Trs 4,706 (141)

The accompanying notes are an integral part of these financial statements. 70 CC&L Alternative Global Equity Fund Swap Agreements (Schedule 2) As at December 31, 2020 Unrealized Market Appreciation/ Number of Maturity Value (Depreciation) Contracts Date Security Name $ $

463 30-Jul-21 Korea Real Estate Invest Trs 1,097 30 32 30-Jul-21 Korean Air Lines Co Ltd Trs 1,021 64 21,300 30-Jul-21 Kossan Rubber Industries Trs 30,375 (11,076) 192 30-Jul-21 Kpr Mill Ltd Trs 2,929 244 648 30-Jul-21 Ktb Investment & Securities Trs 2,424 121 100 30-Jul-21 Kukdo Chemical Co Ltd Trs 6,332 495 466 30-Jul-21 Kyeryong Const Indust Co Ltd Trs 15,299 2,272 611 30-Jul-21 Kyobo Securities Co Ltd - Trs 5,474 (53) 4,125 30-Jul-21 Klabin Sa - Unit Trs 26,784 2,129 4,994 30-Jul-21 Laurus Labs Ltd Trs 30,749 3,505 100 30-Jul-21 Lens Technology Co Ltd-A Trs 597 12 100 30-Jul-21 Lepu Medical Technology-A Trs 531 (24) 729 30-Jul-21 Lg International Corp Trs 21,113 4,875 14,200 30-Jul-21 Lotte Chemical Titan Holding Trs 12,465 587 158 30-Jul-21 Lotte Fine Chemical Co Ltd Trs 10,227 215 7 30-Jul-21 Lotte Food Co Ltd Trs 2,721 161 38 30-Jul-21 Lotte Himart Co Ltd - Trs 1,388 12 88 30-Jul-21 Lotte Shopping Co - Trs 10,576 273 7,500 30-Jul-21 Loxley Public Company Ltd Trs 513 61 100 30-Jul-21 Ls Corp - Trs 8,372 1,077 123 30-Jul-21 Lumens Co Ltd Trs 449 69 60 30-Jul-21 Lupin Ltd Trs 1,022 101 4,900 30-Jul-21 Macquarie Mexico Real Estate Trs 8,827 892 900 30-Jul-21 Magazine - Trs 5,508 (230) 1,000 30-Jul-21 Magni-Tech Industries Bhd Trs 744 (7) 50 30-Jul-21 Magnit Pjsc-Spon Gdr Regs Trs 1,121 158 922 30-Jul-21 Majesco Ltd Trs 248 (14,872) 100 30-Jul-21 Malaysian Pacific Industries Trs 823 39 7,500 30-Jul-21 Marfrig Global Foods Sa Trs 26,695 475 380 30-Jul-21 Mastek Ltd Trs 7,503 1,191 600 30-Jul-21 Mbm Resources Berhad Trs 645 34 1,000 30-Jul-21 Mediatek Inc Trs 33,874 2,509 4,400 30-Jul-21 Mega Lifesciences Pcl Trs 6,682 (38) 100 30-Jul-21 Meinian Onehealth Healthca-A Trs 221 (23) 1,395 30-Jul-21 Meritz Fire & Marine Insuran- Trs 23,881 620 14,950 30-Jul-21 Metalurgica Gerdau Sa Trs 41,293 4,727 282 30-Jul-21 Mirae Asset Life Insurance Trs 1,273 (9) 611 30-Jul-21 Mk Electron Co Ltd Trs 7,558 717 1,021 30-Jul-21 Mmc Norilsk Nickel Pjsc-Adr Trs 40,584 1,258 19,000 30-Jul-21 Nanya Technology Corp Trs 74,785 13,376 100 30-Jul-21 Nari Technology Co Ltd-A Trs 519 61 11,901 30-Jul-21 Nava Bharat Ventures Ltd Trs 13,145 2,095 37 30-Jul-21 Naver Corp - Trs 12,690 861 1,000 30-Jul-21 Neo Solar Power Corp Trs 646 (15) 53 30-Jul-21 Neuland Laboratories Ltd Trs 1,012 71 9,800 30-Jul-21 Neusoft Corp-A Trs 19,912 (1,123) 100 30-Jul-21 New Hope Liuhe Co Ltd-A Trs 437 (66) 104 30-Jul-21 Nong Shim Holdings Co Trs 9,439 260 1 30-Jul-21 Co Ltd Trs 352 21 388 30-Jul-21 Noroo Paint & Coatings Co Lt Trs 4,509 1,040 231 30-Jul-21 Nucleus Software Exports Ltd Trs 2,543 333 100 30-Jul-21 Odontoprev Sa Trs 357 9 100 30-Jul-21 Offcn Education Technology-A Trs 686 20 1,100 30-Jul-21 Orbia Advance Corp Sab De Cv Trs 3,289 417 96 30-Jul-21 Pan Ocean Co Ltd Trs 565 95 225 30-Jul-21 Persistent Systems Ltd Trs 5,952 1,329 1,461 30-Jul-21 Phosagro Pjsc-Gdr Reg S Trs 25,388 1,516 200 30-Jul-21 Poly Real Estate Group Co -A Trs 618 (50) 59 30-Jul-21 Polyplex Corporation Ltd Trs 731 (16) 4,400 30-Jul-21 Polyplex Pcl Trs 4,224 (38) 6 30-Jul-21 Polyus Pjsc-Reg S-Gdr Trs 771 (12) 3,800 30-Jul-21 Porto Seguro Sa Trs 45,675 824 500 30-Jul-21 Portobello Sa Trs 841 22

The accompanying notes are an integral part of these financial statements. 71 CC&L Alternative Global Equity Fund Swap Agreements (Schedule 2) As at December 31, 2020 Unrealized Market Appreciation/ Number of Maturity Value (Depreciation) Contracts Date Security Name $ $

23 30-Jul-21 Posco Daewoo Corp - Trs 392 3 1,000 30-Jul-21 Pou Chen Trs 1,424 33 400 30-Jul-21 Power Construction Corp Of-A Trs 303 (24) 2,439 30-Jul-21 Prakash Industries Ltd Trs 2,339 405 8,900 30-Jul-21 Precious Shipping Pcl Trs 2,873 343 1,300 30-Jul-21 Press Metal Aluminium Holdin Trs 3,461 388 2 30-Jul-21 Procter & Gamble Hygiene Trs 386 24 6,250 30-Jul-21 Prologis Property Mexico Sa Trs 17,872 577 1,200 30-Jul-21 Puyang Refractories Group-A Trs 1,068 (12) 2,650 30-Jul-21 Qgep Participacoes Sa Trs 7,703 1,166 100 30-Jul-21 Qingdao Haier Co Ltd-A Trs 570 46 3,500 30-Jul-21 Qualitas Controladora Sab Cv Trs 24,028 2,271 1,000 30-Jul-21 Raia Drogasil Sa Trs 6,149 (9) 400 30-Jul-21 Rajthanee Hospital Pcl Trs 403 10 500 30-Jul-21 Rajthanee Hospital Pcl Trs 503 17 775 30-Jul-21 Rallis India Ltd Trs 3,800 38 2,700 30-Jul-21 Randon Participacoes Sa-Pref Trs 10,750 1,131 4,535 30-Jul-21 Redington India Ltd Trs 10,453 181 8,395 30-Jul-21 Rojana Indus Park Pub Co Ltd Trs 1,605 3 3,500 30-Jul-21 S 11 Group Pcl Trs 1,115 109 229 30-Jul-21 S&T Holdings Co Ltd Trs 4,001 119 200 30-Jul-21 Saic Motor Corp Ltd-A Trs 954 (4) 83 30-Jul-21 Samchully Co Ltd Trs 7,922 (108) 33 30-Jul-21 Samchuly Bicycle Co Ltd Trs 348 - 333 30-Jul-21 Samho International Co - Trs 11,929 1,266 342 30-Jul-21 Sammok S-Form Co Ltd Trs 3,457 437 15 30-Jul-21 Electr-Gdr Trs 34,876 4,629 227 30-Jul-21 Samt Co Ltd Trs 644 23 13,800 30-Jul-21 Sc Asset Corp Pcl Trs 1,630 30 200 30-Jul-21 Sdic Power Holdings Co Ltd-A Trs 337 (30) 100 30-Jul-21 Seah Besteel Corp - Trs 1,243 44 100 30-Jul-21 Seah Steel Holdings - Trs 5,224 (72) 131 30-Jul-21 Sebang Global Battery Co Ltd Trs 10,583 3,957 50 30-Jul-21 Seowonintech Co Ltd Trs 451 62 534 30-Jul-21 Severstal - Gdr Reg S Trs 11,953 407 200 30-Jul-21 Shaanxi Coal Industry Co L-A Trs 365 (29) 24,900 30-Jul-21 Shanghai Bailian Group Co-A Trs 70,957 7,702 1,100 30-Jul-21 Shanghai Guangdian Electri-A Trs 700 (43) 500 30-Jul-21 Shanghai Pudong Devel Bank-A Trs 945 (30) 400 30-Jul-21 Shenwan Hongyuan Group Co-A Trs 412 (6) 10,800 30-Jul-21 Overseas Chinese-A Trs 14,946 (80) 789 30-Jul-21 Shilpa Medicare Ltd Trs 6,194 (209) 400 30-Jul-21 Siam Makro Public Co Ltd Trs 671 (24) 137 30-Jul-21 Sigurd Microelectronics Corp Trs 281 6 121 30-Jul-21 Silicon Works Co Ltd Trs 8,257 1,705 1,908 30-Jul-21 Sk Securities Co Ltd Trs 1,794 18 200 30-Jul-21 Smiles Fidelidade Sa - Trs 1,172 221 5,183 30-Jul-21 Smu Sa Trs 994 (5) 507 30-Jul-21 Solara Active Pharma Science Trs 10,533 317 12,700 30-Jul-21 Somboon Advance Technology P Trs 8,847 1,084 226 30-Jul-21 Soulbrain Co Ltd Trs 11,951 733 9,936 30-Jul-21 Spicejet Ltd Trs 16,449 3,540 2,600 30-Jul-21 Sri Trang Agro-Industry Pcl Trs 2,927 (2) 700 30-Jul-21 Sul America Sa - Units Trs 7,615 457 488 30-Jul-21 Sunflag Iron & Steel Co Ltd Trs 511 40 200 30-Jul-21 Suning.Com Co Ltd-A Trs 301 (54) 11,700 30-Jul-21 Super Energy Corp Pcl Trs 477 22 14,200 30-Jul-21 Supermax Corp Bhd Trs 27,045 (12,113) 1,026 30-Jul-21 Surya Roshni Ltd Trs 6,481 1,815 1,000 30-Jul-21 Synnex Thailand Pcl Trs 637 9 3,075 30-Jul-21 Sao Martinho Sa Trs 20,638 1,413 550 30-Jul-21 Slc Agricola Sa Trs 3,703 178 43 30-Jul-21 Taewoong Co Ltd Trs 787 63

The accompanying notes are an integral part of these financial statements. 72 CC&L Alternative Global Equity Fund Swap Agreements (Schedule 2) As at December 31, 2020 Unrealized Market Appreciation/ Number of Maturity Value (Depreciation) Contracts Date Security Name $ $

246 30-Jul-21 Taeyoung Engineering & Const Trs 3,404 514 390 30-Jul-21 Taita Chemical Trs 689 122 374 30-Jul-21 Tata Communications Ltd Trs 7,177 342 400 30-Jul-21 Telekom Malaysia Bhd Trs 686 42 900 30-Jul-21 Thai Union Group Pcl Trs 520 (53) 300 30-Jul-21 Thai Vegetable Oil Pcl Trs 430 20 62,700 30-Jul-21 Thaifoods Group Pcl Trs 12,944 (387) 24,300 30-Jul-21 Thoresen Thai Agencies Pcl Trs 5,832 1,134 50 30-Jul-21 Thyrocare Technologies Ltd Trs 796 (150) 31,000 30-Jul-21 Top Glove Corp Bhd Trs 61,743 (6,703) 14,050 30-Jul-21 Totvs Sa - Trs 99,328 9,782 38,900 30-Jul-21 Trident Ltd Trs 6,714 1,423 7,495 30-Jul-21 Triveni Engineering & Indus Trs 9,324 71 139 30-Jul-21 Tse Co Ltd Trs 10,219 1,333 13 30-Jul-21 Ttcl Pcl Trs 3 - 3,350 30-Jul-21 Tupy Sa Trs 17,232 91 403 30-Jul-21 Tanla Platforms Ltd Trs 4,735 83 51 30-Jul-21 Uju Electronics Co Ltd - Trs 2,359 356 777 30-Jul-21 Unichem Laboratories Ltd Trs 3,553 137 97 30-Jul-21 Unid Co Ltd Trs 5,494 577 49 30-Jul-21 Union Semiconductor Equipmen Trs 492 75 600 30-Jul-21 Unipar Carbocloro Sa Trs 7,534 1,913 1,300 30-Jul-21 Unisem (M) Berhad Trs 2,546 197 700 30-Jul-21 United Paper Pcl Trs 387 (3) 1,000 30-Jul-21 Universal Cement Trs 1,052 37 1,000 30-Jul-21 Usi Corp Trs 1,025 127 11,400 30-Jul-21 Usinas Sider Minas Ger-Pf A Trs 40,856 3,763 453 30-Jul-21 Vaibhav Global Ltd Trs 19,326 2,713 86 30-Jul-21 Viatron Technologies Inc Trs 1,099 46 1,950 30-Jul-21 Vinati Organics Ltd Trs 41,077 8,188 23 30-Jul-21 Vst Tillers Tractors Ltd Trs 750 (11) 8,000 30-Jul-21 Walton Advanced Engineering Trs 5,006 572 100 30-Jul-21 Wanhua Chemical Group Co -A Trs 1,777 80 6,250 30-Jul-21 Weg Sa Trs 116,176 6,525 2,631 30-Jul-21 Welspun Corp Ltd Trs 6,106 755 951 30-Jul-21 Welspun India Ltd Trs 1,126 2 140 30-Jul-21 Wens Foodstuffs Group Co - A Trs 498 (25) 2,900 30-Jul-21 Wiz Solucoes E Corretagem Trs 5,719 (374) 357 30-Jul-21 Wonik Holdings Co Ltd Trs 2,654 88 4,200 30-Jul-21 Workpoint Entertainment Pcl Trs 2,801 478 100 30-Jul-21 Wuliangye Yibin Co Ltd-A Trs 5,696 323 100 30-Jul-21 Xiamen Meiya Pico Informat-A Trs 420 (43) 500 30-Jul-21 Xiandai Investment Co Ltd-A Trs 415 33 3,800 30-Jul-21 Xinhua Winshare Publishing-A Trs 6,742 (917) 46,000 30-Jul-21 Yfy Inc Trs 61,430 12,455 900 30-Jul-21 Yinchuan Xinhua Commercial-A Trs 2,224 (214) 200 30-Jul-21 Yonghui Superstores Co Ltd-A Trs 280 (23) 1 30-Jul-21 Young Poong Corporation Trs 631 45 204 30-Jul-21 Youngone Holdings Co Ltd Trs 9,030 11 2,000 30-Jul-21 Youngtek Electronics Corp Trs 5,623 44 100 30-Jul-21 Yto Express Group Co Ltd-A Trs 224 (26) 43 30-Jul-21 Zeus Co Ltd Trs 1,457 229 100 30-Jul-21 Dahua Technology-A Trs 388 (10) 100 30-Jul-21 Zhejiang Sanhua Intelligen-A Trs 481 27 203,889 Net unrealized appreciation (depreciation) on equity swaps - Long 492,044

Equity Swaps - Short

Australian Dollar LIBOR 1 month 378 30-Jul-21 Abacus Property Group Trs (1,067) 68 126 30-Jul-21 Advance Nanotek Ltd Trs (543) 67 8,276 30-Jul-21 Ama Group Ltd Trs (6,509) (447)

The accompanying notes are an integral part of these financial statements. 73 CC&L Alternative Global Equity Fund Swap Agreements (Schedule 2) As at December 31, 2020 Unrealized Market Appreciation/ Number of Maturity Value (Depreciation) Contracts Date Security Name $ $

730 30-Jul-21 Amp Ltd Trs (1,120) 108 55 30-Jul-21 Appen Ltd Trs (1,335) 63 1,125 30-Jul-21 Ardent Leisure Group Ltd Trs (763) 155 200 30-Jul-21 Aventus Group Trs (547) (22) 92 30-Jul-21 Ampol Ltd Trs (2,570) 189 38 30-Jul-21 Beach Energy Ltd Trs (67) (1) 1,584 30-Jul-21 Bingo Industries Ltd Trs (3,800) 190 7,422 30-Jul-21 Carnarvon Petroleum Ltd Trs (2,189) (214) 681 30-Jul-21 Cedar Woods Properties Ltd Trs (4,184) 177 495 30-Jul-21 Challenger Ltd Trs (3,134) (261) 2,595 30-Jul-21 Cimic Group Ltd Trs (62,171) 3,426 36 30-Jul-21 Coca-Cola Amatil Ltd Trs (458) (10) 492 30-Jul-21 Computershare Ltd Trs (7,057) (110) 3,500 30-Jul-21 Cooper Energy Ltd Trs (1,342) (103) 618 30-Jul-21 Costa Group Holdings Ltd Trs (2,479) (39) 926 30-Jul-21 Downer Edi Ltd Trs (4,852) (41) 218 30-Jul-21 Event Hospitality And Entert Trs (2,034) 212 56 30-Jul-21 Flight Centre Travel Group L Trs (873) 69 677 30-Jul-21 Fortescue Metals Group Ltd Trs (15,594) (272) 4,177 30-Jul-21 Gold Road Resources Ltd Trs (5,441) (452) 2,228 30-Jul-21 Ht&E Ltd Trs (4,052) (679) 337 30-Jul-21 Idp Education Ltd Trs (6,576) 1,138 67 30-Jul-21 Link Administration Holdings Trs (366) 1 2,676 30-Jul-21 Mirvac Group Trs (7,071) (222) 143 30-Jul-21 Money3 Corp Ltd Trs (409) 5 92 30-Jul-21 Nanosonics Ltd Trs (726) (124) 406 30-Jul-21 New Hope Corp Ltd Trs (565) (40) 426 30-Jul-21 Oil Search Ltd Trs (1,554) (45) 450 30-Jul-21 Orica Ltd Trs (6,775) 334 14,500 30-Jul-21 Panoramic Resources Ltd Trs (1,924) (71) 4,746 30-Jul-21 Perenti Global Ltd Trs (6,392) (159) 6,461 30-Jul-21 Perseus Mining Ltd Trs (8,257) (1,035) 1,673 30-Jul-21 Pilbara Minerals Ltd Trs (1,431) (263) 1,299 30-Jul-21 Polynovo Ltd Trs (4,955) (856) 1,316 30-Jul-21 Qantas Airways Ltd Trs (6,275) 602 4,839 30-Jul-21 Resolute Mining Ltd Trs (3,782) (198) 3,545 30-Jul-21 Santos Ltd Trs (21,851) (171) 201 30-Jul-21 Select Harvests Ltd Trs (1,043) 68 2,000 30-Jul-21 Senex Energy Ltd Trs (619) 72 389 30-Jul-21 Sims Metal Management Ltd Trs (5,144) (582) 179 30-Jul-21 Star Entertainment Grp Ltd/T Trs (648) 18 701 30-Jul-21 Tabcorp Holdings Ltd Trs (2,688) (40) 468 30-Jul-21 Test Local Currency Trs (5,884) (679) 92 30-Jul-21 Vocus Group Ltd Trs (365) (1) 225 30-Jul-21 Webjet Ltd Trs (1,121) 155 358 30-Jul-21 Westgold Resources Ltd Trs (929) 47 12 30-Jul-21 Wisetech Global Ltd Trs (363) (5) 3,265 30-Jul-21 Worleyparsons Ltd Trs (36,880) 3,287 3,309 British Pound LIBOR 1 month 175 30-Jul-21 Ab Dynamics Plc Trs (6,430) (1,223) 30 30-Jul-21 Abcam Plc Trs (810) (58) 565 30-Jul-21 Advanced Medical Solutions Trs (2,391) 25 4,482 30-Jul-21 Angle Plc Trs (3,727) (562) 1,351 30-Jul-21 Anglo Pacific Group Plc Trs (3,007) (398) 1,781 30-Jul-21 Ascential Plc Trs (11,910) (1,447) 684 30-Jul-21 Ashmore Group Plc Trs (5,136) (74) 251 30-Jul-21 Asos Plc Trs (20,907) (981) 16,520 30-Jul-21 Assura Plc Trs (22,299) (781) 970 30-Jul-21 Aston Martin Lagonda Global Trs (33,937) (9,161) 6 30-Jul-21 Astrazeneca Plc Trs (765) 50 562 30-Jul-21 Beazley Plc Trs (3,568) 3 18 30-Jul-21 Big Yellow Group Plc Trs (349) 4

The accompanying notes are an integral part of these financial statements. 74 CC&L Alternative Global Equity Fund Swap Agreements (Schedule 2) As at December 31, 2020 Unrealized Market Appreciation/ Number of Maturity Value (Depreciation) Contracts Date Security Name $ $

39 30-Jul-21 British American Tobacco Plc Trs (1,875) (52) 10,425 30-Jul-21 British Land Co Plc Trs (88,778) (3,053) 1,192 30-Jul-21 Bt Group Plc Trs (2,745) (113) 9,324 30-Jul-21 Cairn Energy Plc Trs (34,034) (7,923) 7,533 30-Jul-21 Capital & Counties Propertie Trs (19,022) (1,334) 10,025 30-Jul-21 Coats Group Plc Trs (11,749) (330) 742 30-Jul-21 Convatec Group Plc Trs (2,574) 99 7,419 30-Jul-21 Plc Trs (7,649) (340) 257 30-Jul-21 Plc Trs (2,092) (188) 4,302 30-Jul-21 Custodian Reit Plc Trs (6,578) (79) 1,050 30-Jul-21 Daily Mail&General Tst-A Nv Trs (13,926) (1,437) 843 30-Jul-21 Dart Group Plc Trs (10,695) (190) 507 30-Jul-21 Derwent London Plc Trs (27,335) (438) 2,365 30-Jul-21 Dignity Plc Trs (26,153) 3,626 12,319 30-Jul-21 Diversified Gas & Oil Plc Trs (24,242) (815) 1,359 30-Jul-21 Empiric Student Property Plc Trs (1,773) (56) 15,655 30-Jul-21 Enquest Plc Trs (3,081) 139 12,150 30-Jul-21 Equals Group Plc Trs (5,977) 1,111 480 30-Jul-21 Entain Plc Trs (9,475) (308) 100 30-Jul-21 Faron Pharmaceuticals Oy Trs (453) 25 21 30-Jul-21 Flutter Entertainment Plc Trs (5,526) (34) 1,044 30-Jul-21 Glencore Plc Trs (4,236) 136 173 30-Jul-21 Grainger Plc Trs (865) (16) 3,314 30-Jul-21 Great Portland Estates Plc Trs (38,824) (1,736) 374 30-Jul-21 Greencore Group Plc Trs (759) 20 6,887 30-Jul-21 Gym Group Plc/The Trs (26,026) (717) 2,250 30-Jul-21 Helical Plc Trs (14,635) (284) 896 30-Jul-21 Hill & Smith Holdings Plc Trs (22,145) (1,518) 4,978 30-Jul-21 Hostelworld Group Plc Trs (6,805) 130 99,687 30-Jul-21 Hurricane Energy Plc Trs (4,340) 2,448 6,260 30-Jul-21 Hyve Group Plc Trs (12,330) (3,123) 180 30-Jul-21 Ig Design Group Plc Trs (2,034) (120) 1,232 30-Jul-21 Informa Plc Trs (11,779) (240) 61 30-Jul-21 Integrafin Holdings Plc Trs (597) (84) 1,019 30-Jul-21 Itm Power Plc Trs (9,157) (1,865) 744 30-Jul-21 Jd Sports Fashion Plc Trs (11,143) (883) 739 30-Jul-21 Jet2 Plc Trs (18,404) (618) 358 30-Jul-21 John Laing Group Plc Trs (2,070) (88) 2,225 30-Jul-21 Joules Group Plc Trs (6,548) (310) 600 30-Jul-21 Keywords Studios Plc Trs (29,884) (5,892) 601 30-Jul-21 Lancashire Holdings Ltd Trs (7,572) 161 2,730 30-Jul-21 Land Securities Group Plc Trs (32,605) (1,294) 153 30-Jul-21 Legal & General Group Plc Trs (709) (16) 10 30-Jul-21 London Stock Exchange Group Trs (1,569) (49) 1,347 30-Jul-21 Londonmetric Property Plc Trs (5,421) (298) 193 30-Jul-21 Man Group Plc/Jersey Trs (464) (17) 599 30-Jul-21 Mccarthy & Stone Plc Trs (1,250) (29) 1,029 30-Jul-21 Mckay Securities Plc-Ord Trs (3,666) (225) 94 30-Jul-21 Meggitt Plc Trs (764) (39) 1,061 30-Jul-21 National Express Group Plc Trs (4,387) 25 11,411 30-Jul-21 Newriver Reit Plc Trs (16,812) (2,779) 207 30-Jul-21 On The Beach Group Plc Trs (1,343) (18) 4,144 30-Jul-21 Onesavings Bank Plc Trs (30,570) (2,506) 654 30-Jul-21 Paragon Banking Group Plc Trs (5,565) (366) 80 30-Jul-21 Pennon Group Plc Trs (1,324) (6) 8,115 30-Jul-21 Petrofac Ltd Trs (19,516) 2,058 215 30-Jul-21 Phoenix Group Holdings Plc Trs (2,623) 61 24,198 30-Jul-21 Premier Oil Plc Trs (8,274) 287 8,638 30-Jul-21 Primary Health Properties Trs (22,985) (1,585) 145 30-Jul-21 Prudential Plc Trs (3,401) (59) 4,447 30-Jul-21 Rdi Reit Plc Trs (7,357) (207) 6,146 30-Jul-21 Regional Reit Ltd Trs (8,991) (818) 51 30-Jul-21 Rentokil Initial Plc Trs (453) (11)

The accompanying notes are an integral part of these financial statements. 75 CC&L Alternative Global Equity Fund Swap Agreements (Schedule 2) As at December 31, 2020 Unrealized Market Appreciation/ Number of Maturity Value (Depreciation) Contracts Date Security Name $ $

12,625 30-Jul-21 Restaurant Group Plc Trs (14,115) (11) 467 30-Jul-21 Rsa Insurance Group Plc Trs (5,509) (27) 601 30-Jul-21 Saga Plc Trs (2,648) (57) 2,374 30-Jul-21 Sanne Group Plc Trs (25,467) (1,885) 554 30-Jul-21 Savills Plc Trs (9,209) (268) 1,341 30-Jul-21 Scapa Group Plc Trs (4,343) (629) 9,866 30-Jul-21 Schroder Real Estate Investm Trs (6,701) (447) 509 30-Jul-21 Secure Income Reit Plc Trs (2,659) (60) 704 30-Jul-21 Serica Energy Plc Trs (1,410) (25) 49 30-Jul-21 Severn Trent Plc Trs (1,988) 48 1,810 30-Jul-21 Shaftesbury Plc Trs (17,935) (1,212) 18 30-Jul-21 Softcat Plc Trs (431) (48) 32,781 30-Jul-21 Solgold Plc Trs (18,496) 1,257 5,680 30-Jul-21 St James'S Place Plc Trs (112,123) (10,434) 1,489 30-Jul-21 St. Modwen Properties Plc Trs (10,372) (951) 193 30-Jul-21 Standard Chartered Plc Trs (1,566) (24) 281 30-Jul-21 Standard Life Aberdeen Plc Trs (1,377) 33 4,315 30-Jul-21 Standard Life Inv Prop Inc Trs (4,509) (312) 28,642 30-Jul-21 Stobart Group Ltd Trs (12,994) (1,802) 12,635 30-Jul-21 Talktalk Telecom Group Trs (21,564) (1,453) 1,091 30-Jul-21 Target Healthcare Reit Plc Trs (2,166) (1) 1,573 30-Jul-21 Telecom Plus Plc Trs (39,282) (13) 2,145 30-Jul-21 Tp Icap Plc Trs (8,898) (865) 3,471 30-Jul-21 Trifast Plc Trs (9,248) (181) 2,751 30-Jul-21 U And I Group Plc Trs (2,956) 81 178 30-Jul-21 United Utilities Group Plc Trs (2,819) (14) 5,664 30-Jul-21 Urban & Civic Plc Trs (33,932) (98) 9,219 30-Jul-21 Vectura Group Plc Trs (20,004) (1,955) 14 30-Jul-21 Victrex Plc Trs (572) (17) 9,212 30-Jul-21 Virgin Money Uk Plc Trs (21,577) (1,283) 192 30-Jul-21 Plc Trs (3,141) (243) 540 30-Jul-21 Vodafone Group Plc Trs (1,138) 25 2,560 30-Jul-21 Watkin Jones Plc Trs (8,212) (299) 3,100 30-Jul-21 Wetherspoon (J.D.) Plc Trs (60,249) (630) 1,240 30-Jul-21 Wizz Air Holdings Plc Trs (98,557) (1,276) 2,096 30-Jul-21 Workspace Group Plc Trs (28,070) (2,433) 1,175 30-Jul-21 Xps Pensions Group Plc Trs (2,650) (153) 1,085 30-Jul-21 Zotefoams Plc Trs (7,180) 303 (76,142) Danish Krone LIBOR 1 month 1,012 30-Jul-21 Bavarian Nordic A/S Trs (39,631) (35) 562 30-Jul-21 Dfds A/S Trs (32,389) (620) 52 30-Jul-21 Drilling Co Of 1972/The Trs (2,098) (154) 74 30-Jul-21 Dsv Panalpina A/S Trs (15,807) (380) 615 30-Jul-21 H Lundbeck A/S Trs (26,892) (2,169) 204 30-Jul-21 Ringkjoebing Landbobank A/S Trs (23,668) (558) 32 30-Jul-21 Spar Nord Bank A/S Trs (401) 11 484 30-Jul-21 Topdanmark A/S Trs (26,779) 1 408 30-Jul-21 Zealand Pharma A/S Trs (18,849) 1,458 (2,446) Euro LIBOR 1 month 25 30-Jul-21 Aedas Homes Sau Trs (822) (76) 242 30-Jul-21 Aeffe Spa Trs (416) 13 19,201 30-Jul-21 Aegon Nv Trs (96,825) (2,978) 763 30-Jul-21 Ahlstrom-Munksjo Oyj Trs (21,682) (281) 11 30-Jul-21 Akzo Nobel N.V. Trs (1,507) (26) 10 30-Jul-21 Alstom Trs (727) (13) 42 30-Jul-21 Alten Sa Trs (6,066) (205) 3,583 30-Jul-21 Altri Sgps Sa Trs (28,820) (3,639) 10 30-Jul-21 Amundi Sa Trs (1,041) 4 200 30-Jul-21 Applegreen Plc Trs (1,777) (629) 525 30-Jul-21 Ascencio Trs (39,241) 490 2,703 30-Jul-21 Atlantia Spa Trs (62,001) 2,148

The accompanying notes are an integral part of these financial statements. 76 CC&L Alternative Global Equity Fund Swap Agreements (Schedule 2) As at December 31, 2020 Unrealized Market Appreciation/ Number of Maturity Value (Depreciation) Contracts Date Security Name $ $

200 30-Jul-21 Atrium European Real Estate Trs (781) (5) 9,598 30-Jul-21 Banco Comercial Portugues-R Trs (1,843) (71) 375 30-Jul-21 Bank Of Cyprus Holdings Plc Trs (430) (52) 956 30-Jul-21 Basic-Fit Nv Trs (44,707) 722 1,258 30-Jul-21 Basicnet Spa Trs (8,158) (1,082) 50 30-Jul-21 Biocartis Nv Trs (362) 11 264 30-Jul-21 Bollore Trs (1,392) (46) 659 30-Jul-21 Boskalis Westminster Trs (23,154) (2,631) 35 30-Jul-21 Brembo Spa Trs (589) (3) 856 30-Jul-21 Brunello Cucinelli Spa Trs (47,636) (3,783) 15 30-Jul-21 Bureau Veritas Sa Trs (509) (12) 68 30-Jul-21 Ca Immobilien Anlagen Ag Trs (3,323) (233) 4,968 30-Jul-21 Cairn Homes Plc Trs (7,450) (286) 2 30-Jul-21 Se Trs (395) (27) 178 30-Jul-21 Carmila Trs (3,268) 8 28 30-Jul-21 Celyad Trs (289) 11 31 30-Jul-21 Cerved Group Spa Trs (360) (5) 293 30-Jul-21 Cfe Trs (38,182) (4,340) 209 30-Jul-21 Coima Res Spa Trs (2,137) (155) 41 30-Jul-21 Crh Plc Trs (2,174) (17) 9,069 30-Jul-21 D'Amico International Shippi Trs (1,286) 49 1,173 30-Jul-21 Danone Trs (98,299) (455) 5 30-Jul-21 Dassault Systemes Sa Trs (1,295) (81) 67 30-Jul-21 Dbv Technologies Sa Trs (453) (23) 535 30-Jul-21 Delivery Hero Se Trs (105,913) (21,110) 24 30-Jul-21 Deutsche Euroshop Ag Trs (690) (34) 275 30-Jul-21 Do & Co Ag Trs (28,635) (6,869) 1,351 30-Jul-21 Dovalue Spa Trs (20,322) (1,217) 34 30-Jul-21 Edp Renovaveis Sa Trs (1,208) (80) 11 30-Jul-21 Encavis Ag Trs (366) (56) 479 30-Jul-21 Essilorluxottica Trs (95,237) (4,355) 6 30-Jul-21 Eurofins Scientific Trs (642) 6 1,500 30-Jul-21 Euronav Nv Trs (15,432) (1) 1,005 30-Jul-21 Exmar Nv Trs (4,308) (383) 82 30-Jul-21 Elia Group Sa/Nv Trs (12,463) (361) 875 30-Jul-21 Facc Ag Trs (11,580) 704 2 30-Jul-21 Ferrari Nv Trs (588) (17) 315 30-Jul-21 Fiera Milano Spa Trs (1,395) 44 78 30-Jul-21 Fila Spa Trs (1,115) (93) 36 30-Jul-21 Finecobank Spa Trs (752) (21) 12,118 30-Jul-21 Finnair Oyj Trs (14,309) (2,634) 62 30-Jul-21 Flow Traders Trs (2,615) (43) 100 30-Jul-21 Flughafen Wien Ag Trs (4,747) (523) 306 30-Jul-21 Galapagos Nv Trs (38,388) 8,104 1,138 30-Jul-21 Galp Energia Sgps Sa Trs (15,529) 506 225 30-Jul-21 Glanbia Plc Trs (3,641) (30) 7,724 30-Jul-21 Glenveagh Properties Plc Trs (10,390) (291) 531 30-Jul-21 Guala Closures Spa Trs (6,812) (1,091) 3 30-Jul-21 Heineken Holding Nv Trs (360) 2 5 30-Jul-21 Iliad Sa Trs (1,310) 20 690 30-Jul-21 Immofinanz Ag Trs (18,252) (1,455) 2,977 30-Jul-21 Infrastrutture Wireless Ital Trs (46,081) 3,784 552 30-Jul-21 Innate Pharma Sa Trs (2,979) 649 688 30-Jul-21 Intl Consolidated Airline-Di Trs (1,921) (66) 354 30-Jul-21 Intl Consolidated Airline-Di Trs (17) (17) 15 30-Jul-21 Ipsen Trs (1,588) 282 1,596 30-Jul-21 Irish Residential Properties Trs (3,722) (243) 46 30-Jul-21 Italgas Spa Trs (373) 7 4,507 30-Jul-21 Juventus Football Club Spa Trs (5,723) (14) 795 30-Jul-21 Just Eat Takeaway.Com Nv Trs (114,506) (4,431) 895 30-Jul-21 Kapsch Trafficcom Ag Trs (18,276) (833) 117 30-Jul-21 Kaufman & Broad Sa Trs (6,675) (179) 890 30-Jul-21 Kendrion Nv Trs (23,029) (565)

The accompanying notes are an integral part of these financial statements. 77 CC&L Alternative Global Equity Fund Swap Agreements (Schedule 2) As at December 31, 2020 Unrealized Market Appreciation/ Number of Maturity Value (Depreciation) Contracts Date Security Name $ $

21 30-Jul-21 Kerry Group Plc-A Trs (3,879) 11 77 30-Jul-21 Kinepolis Trs (4,171) 190 7,490 30-Jul-21 Koninklijke Bam Groep Nv Trs (19,907) 1,205 55 30-Jul-21 Leasinvest Real Estate Sca Trs (6,670) 133 1,096 30-Jul-21 Marr Spa Trs (28,804) (2,000) 2,350 30-Jul-21 Maurel Et Prom Trs (6,367) (663) 372 30-Jul-21 Metrovacesa Sa Trs (3,502) 108 3 30-Jul-21 Morphosys Ag Trs (439) 1 207 30-Jul-21 Mota Engil Sgps Sa Trs (440) 29 25 30-Jul-21 Neinor Homes Sa Trs (425) (41) 270 30-Jul-21 Neoen Sa Trs (26,389) (4,472) 526 30-Jul-21 Oyj Trs (48,507) (2,285) 1,015 30-Jul-21 Nokian Renkaat Oyj Trs (45,599) 1,021 78 30-Jul-21 Nos Sgps Trs (347) 22 23 30-Jul-21 Nsi Nv Trs (1,176) 20 2,411 30-Jul-21 Oci Nv Trs (59,081) (4,273) 33 30-Jul-21 Oeneo Trs (559) (18) 17 30-Jul-21 Omv Ag Trs (874) (119) 14,301 30-Jul-21 Pharming Group Nv Trs (28,356) (1,874) 526 30-Jul-21 Promotora De Informaciones-A Trs (732) (88) 1,456 30-Jul-21 Publicis Groupe Trs (92,510) (5,119) 7,198 30-Jul-21 Rcs Mediagroup Spa Trs (6,396) 143 135 30-Jul-21 Remy Cointreau Trs (32,050) (703) 323 30-Jul-21 Retail Estates Trs (29,756) 640 12,339 30-Jul-21 Safilo Group Spa Trs (15,330) (1,795) 178 30-Jul-21 Safran Sa Trs (32,172) 1,313 14,036 30-Jul-21 Saras Spa Trs (13,007) (1,221) 2,426 30-Jul-21 Sbm Offshore Nv Trs (58,862) 946 337 30-Jul-21 Scor Se Trs (13,879) 999 13 30-Jul-21 Seb Sa Trs (3,019) (39) 200 30-Jul-21 Sioen Industries Nv Trs (6,890) (32) 100 30-Jul-21 Sligro Food Group Nv Trs (2,641) 179 1,699 30-Jul-21 Smcp Sa Trs (13,173) 698 8 30-Jul-21 Snp Schneider-Neureither & P Trs (759) (95) 104 30-Jul-21 Societe Bic Sa Trs (7,500) 554 32 30-Jul-21 Solutions 30 Se Trs (525) (34) 782 30-Jul-21 Suez Trs (19,772) (138) 744 30-Jul-21 Thales Sa Trs (86,865) 2,341 30 30-Jul-21 Tietoevry Oyj Trs (1,256) (15) 3 30-Jul-21 Tlg Immobilien Ag Trs (107) (9) 216 30-Jul-21 Tomtom Trs (2,842) (540) 41 30-Jul-21 Tubacex Sa Trs (88) 3 222 30-Jul-21 Ubisoft Entertainment Trs (27,283) 311 310 30-Jul-21 Umicore Trs (18,986) (778) 25 30-Jul-21 Uniqa Insurance Group Ag Trs (249) (2) 17 30-Jul-21 Upm-Kymmene Oyj Trs (807) (174) 200 30-Jul-21 Van De Velde Nv Trs (7,139) 184 233 30-Jul-21 Vastned Retail Nv Trs (8,408) (94) 22 30-Jul-21 Verbund Ag Trs (2,395) (302) 184 30-Jul-21 Voltalia Sa- Regr Trs (7,414) (1,718) 5 30-Jul-21 Vopak Trs (335) (2) 7,713 30-Jul-21 Webuild Trs (14,211) 1,107 12 30-Jul-21 Worldline Sa Trs (1,480) (48) (67,135) Hong Kong Dollar LIBOR 1 month 115,000 30-Jul-21 Agritrade Resources Ltd Trs (1,568) 1 4,000 30-Jul-21 Air China Ltd-H Trs (4,009) 80 8,000 30-Jul-21 Ak Medical Holdings Ltd Trs (17,692) (1,500) 10,000 30-Jul-21 Alibaba Pictures Group Ltd Trs (1,577) 133 102,000 30-Jul-21 Anton Oilfield Services Gp Trs (7,290) 85 2,000 30-Jul-21 Aoyuan Healthy Life Group Co Trs (1,643) 23 18,000 30-Jul-21 Avichina Industry & Tech-H Trs (16,000) (2,404) 200 30-Jul-21 Bank Of East Asia Ltd Trs (544) 13

The accompanying notes are an integral part of these financial statements. 78 CC&L Alternative Global Equity Fund Swap Agreements (Schedule 2) As at December 31, 2020 Unrealized Market Appreciation/ Number of Maturity Value (Depreciation) Contracts Date Security Name $ $

5,750 30-Jul-21 Beijing Chunlizhengda Medi-H Trs (20,690) (798) 10,000 30-Jul-21 Beijing North Star Co Ltd-H Trs (2,382) 242 2,000 30-Jul-21 Beijing Tong Ren Tang Chines Trs (2,678) 395 2,000 30-Jul-21 Byd Co Ltd-H Trs (66,774) (6,306) 2,000 30-Jul-21 Cafe De Coral Holdings Ltd Trs (5,488) 94 1,000 30-Jul-21 Canvest Environmental Protec Trs (545) 4 24,000 30-Jul-21 Car Inc Trs (14,748) 137 28,000 30-Jul-21 China Eastern Airlines Co-H Trs (15,412) 701 2,000 30-Jul-21 China Everbright Intl Ltd Trs (1,439) 2 1,000 30-Jul-21 China Galaxy Securities Co-H Trs (799) 25 105,000 30-Jul-21 China Molybdenum Co Ltd-H Trs (87,295) (23,830) 12,000 30-Jul-21 China Southern Airlines Co-H Trs (9,109) 277 52,000 30-Jul-21 China Travel Intl Inv Hk Trs (9,057) 263 2,800 30-Jul-21 China Zhongwang Holdings Ltd Trs (672) 106 12,000 30-Jul-21 Citic Resources Holdings Ltd Trs (582) (10) 4,000 30-Jul-21 Citychamp Watch & Jewellery Trs (1,124) (52) 6,000 30-Jul-21 Cosco Shipping Energy Tran-H Trs (3,007) 355 8,000 30-Jul-21 Emperor Intl Hldg Ltd Trs (1,446) (30) 104,700 30-Jul-21 Esprit Holdings Ltd Trs (19,439) (2,061) 5,000 30-Jul-21 Fairwood Holdings Ltd Trs (14,541) (56) 1,000 30-Jul-21 Flat Glass Group Co Ltd-H Trs (5,365) (1,689) 11,000 30-Jul-21 Fortune Reit Trs (13,356) (626) 500 30-Jul-21 Great Wall Motor Company-H Trs (2,185) (348) 153,006 30-Jul-21 Guotai Junan International Trs (26,145) 1,113 32,008 30-Jul-21 Haichang Ocean Park Holdings Trs (2,498) (210) 39,500 30-Jul-21 Hc Group Inc Trs (7,204) (519) 88,000 30-Jul-21 Hengten Networks Group Ltd Trs (3,832) 217 2,500 30-Jul-21 Hkbn Ltd Trs (5,085) 125 28,000 30-Jul-21 Honbridge Holdings Ltd Trs (2,116) (598) 219,000 30-Jul-21 Honghua Group Trs (8,924) (427) 4,500 30-Jul-21 Hongkong & Shanghai Hotels Trs (5,102) 70 5,000 30-Jul-21 Huabao International Holding Trs (8,774) (119) 20,000 30-Jul-21 Huadian Fuxin Energy Corp -H Trs (8,182) 3 4,000 30-Jul-21 Hutchison Telecomm Hong Kong Trs (762) 34 2,200 30-Jul-21 Imax China Holding Inc Trs (4,743) 138 10,000 30-Jul-21 Jinchuan Group International Trs (1,676) (296) 6,000 30-Jul-21 Kasen International Holdings Trs (720) 40 18,995 30-Jul-21 Kwg Group Holdings Ltd Trs (34,268) (2,064) 12,500 30-Jul-21 Lifestyle Intl Hldgs Ltd Trs (12,631) 1,050 2,000 30-Jul-21 Luk Fook Holdings Intl Ltd Trs (6,146) 290 34,000 30-Jul-21 Pacific Basin Shipping Ltd Trs (8,156) (1,061) 102,000 30-Jul-21 Panda Green Energy Group Ltd Trs (5,196) (1,206) 22,000 30-Jul-21 Poly Property Group Co Ltd Trs (8,205) 400 3,800 30-Jul-21 Prada S.P.A. Trs (31,967) (7,905) 4,600 30-Jul-21 Prosperity Reit Trs (1,829) 15 2,000 30-Jul-21 Redco Properties Group Ltd Trs (953) 136 14,000 30-Jul-21 Regal Real Estate Investment Trs (3,151) (179) 28,000 30-Jul-21 Sa Sa International Hldgs Trs (5,567) 323 7,000 30-Jul-21 Shanghai Fosun Pharmaceuti-H Trs (42,613) (2,233) 8,000 30-Jul-21 Shenzhen Investment Holdings Trs (3,431) (118) 2,000 30-Jul-21 Shougang Fushan Resources Gr Trs (598) 47 18,500 30-Jul-21 Shui On Land Ltd Trs (3,283) (31) 36,000 30-Jul-21 Silver Grant Intl Holdings Trs (5,382) 57 36,000 30-Jul-21 Smartone Telecommunications Trs (24,488) 849 4,000 30-Jul-21 Spring Real Estate Investmen Trs (1,775) 138 18,000 30-Jul-21 Tai Cheung Holdings Trs (14,343) (407) 1,900 30-Jul-21 Television Broadcasts Ltd Trs (2,495) 26 12,000 30-Jul-21 Times Neighborhood Holdings Trs (14,314) 968 4,000 30-Jul-21 Tong Ren Tang Technologies-H Trs (3,188) 421 36,799 30-Jul-21 Tongcheng-Elong Holdings Ltd Trs (90,694) (3,100) 800 30-Jul-21 Transport Intl Hldg Ltd Trs (1,969) 9 1,000 30-Jul-21 Travelsky Technology Ltd-H Trs (3,073) (11) 52,000 30-Jul-21 Value Partners Group Ltd Trs (34,944) 863

The accompanying notes are an integral part of these financial statements. 79 CC&L Alternative Global Equity Fund Swap Agreements (Schedule 2) As at December 31, 2020 Unrealized Market Appreciation/ Number of Maturity Value (Depreciation) Contracts Date Security Name $ $

4,000 30-Jul-21 Vitasoy Intl Holdings Ltd Trs (19,848) 906 10,000 30-Jul-21 Weimob Inc Trs (22,904) (5,217) 27,997 30-Jul-21 Xinyi Solar Holdings Ltd Trs (93,151) (29,781) 6,000 30-Jul-21 Yanzhou Coal Mining Co-H Trs (6,112) 200 11,997 30-Jul-21 Yichang Hec Changjiang Pha-H Trs (17,405) 2,509 38,000 30-Jul-21 Yuexiu Real Estate Investmen Trs (23,601) (228) 20,500 30-Jul-21 Zhaojin Mining Industry - H Trs (31,090) 2,492 800 30-Jul-21 Zhongan Online P&C Insuran-H Trs (4,758) - 3,800 30-Jul-21 Zoomlion Heavy Industry - H Trs (5,807) (146) 9,400 30-Jul-21 Zte Corp-H Trs (30,117) 638 (78,553) Israeli New Shekel LIBOR 1 month 988 30-Jul-21 Azorim-Investment Developmen Trs (4,332) (1,214) 9 30-Jul-21 Delek Group Ltd Trs (357) (2) 841 30-Jul-21 Gilat Satellite Networks Ltd Trs (6,998) (290) 1,926 30-Jul-21 Israel Land Development - Ur Trs (22,926) (140) 895 30-Jul-21 Norstar Holdings Inc Trs (8,292) (1,143) 14 30-Jul-21 Paz Oil Co Ltd Trs (1,914) (82) 5 30-Jul-21 Property & Building Corp Ltd Trs (628) (35) 487 30-Jul-21 Summit Real Estate Holding Trs (9,254) (1,717) (4,623) Japanese Yen LIBOR 1 month 100 30-Jul-21 Acom Co Ltd Trs (544) 73 100 30-Jul-21 Create Restaurants Holdings Trs (765) (85) 100 30-Jul-21 Harada Industry Co Ltd Trs (1,056) (4) 100 30-Jul-21 Toho Titanium Co Ltd Trs (1,093) (243) 100 30-Jul-21 Treasure Factory Co Ltd Trs (850) 5 400 30-Jul-21 Via Holdings Inc Trs (1,051) 178 (76) New Zealand Dollar LIBOR 1 month 360 30-Jul-21 A2 Milk Co Ltd Trs (3,986) (97) 3,823 30-Jul-21 Air New Zealand Ltd Trs (6,312) 71 2,834 30-Jul-21 Auckland Intl Airport Ltd Trs (19,705) 537 285 30-Jul-21 Contact Energy Ltd Trs (2,329) (174) 5,563 30-Jul-21 Fletcher Building Ltd Trs (30,107) (1,527) 5,330 30-Jul-21 Kathmandu Holdings Ltd Trs (6,258) (293) 4,620 30-Jul-21 Kiwi Property Group Ltd Trs (5,170) (127) 2,894 30-Jul-21 Meridian Energy Ltd Trs (19,697) (2,041) 1,622 30-Jul-21 New Zealand Refining Co Ltd Trs (818) 60 539 30-Jul-21 Restaurant Brands Nz Ltd Trs (5,710) 347 42 30-Jul-21 Ryman Healthcare Ltd Trs (585) (9) 736 30-Jul-21 Sanford Limited Trs (3,531) (99) 8,491 30-Jul-21 Sky Network Television Ltd Trs (1,254) 55 1,037 30-Jul-21 Synlait Milk Ltd Trs (4,975) 152 535 30-Jul-21 Z Energy Ltd Trs (1,570) (5) (3,150) Norwegian Krone LIBOR 1 month 2,100 30-Jul-21 Aker Bp Asa Trs (67,557) (3,053) 263 30-Jul-21 Aker Solutions Asa Trs (644) (21) 90 30-Jul-21 American Shipping Company As Trs (378) 4 1,081 30-Jul-21 Atlantic Sapphire Asa Trs (19,302) (2,719) 30 30-Jul-21 Austevoll Seafood Asa Trs (391) (30) 714 30-Jul-21 Aker Carbon Capture As Trs (977) (977) 714 30-Jul-21 Aker Offshore Wind Holding As Trs (718) (718) 129 30-Jul-21 Bakkafrost P/F Trs (11,757) (1,048) 595 30-Jul-21 Bonheur Asa Trs (21,425) (769) 4,028 30-Jul-21 Bw Lpg Ltd Trs (35,362) (1,123) 210 30-Jul-21 Bw Offshore Ltd Trs (1,179) (7) 429 30-Jul-21 Dno Asa Trs (438) (55) 425 30-Jul-21 Flex Lng Ltd Trs (4,749) (419) 43 30-Jul-21 Leroy Seafood Group Asa Trs (387) (32) 2,365 30-Jul-21 Nel Asa Trs (10,191) (1,255) 851 30-Jul-21 Norway Royal Salmon Asa Trs (27,174) (1,127)

The accompanying notes are an integral part of these financial statements. 80 CC&L Alternative Global Equity Fund Swap Agreements (Schedule 2) As at December 31, 2020 Unrealized Market Appreciation/ Number of Maturity Value (Depreciation) Contracts Date Security Name $ $

36 30-Jul-21 Norwegian Finance Holding As Trs (392) (14) 300 30-Jul-21 Odfjell Drilling Ltd Trs (765) (11) 125 30-Jul-21 Olav Thon Eiendomsselskap As Trs (3,413) (492) 18,334 30-Jul-21 Pgs Asa Trs (14,311) (2,276) 2,134 30-Jul-21 Sbanken Asa Trs (21,878) 703 2,302 30-Jul-21 Scatec Solar Asa Trs (116,941) (19,874) 5,013 30-Jul-21 Storebrand Asa Trs (47,888) (969) 1,250 30-Jul-21 Tgs Nopec Geophysical Co Asa Trs (24,682) (1,706) 877 30-Jul-21 Vow Asa Trs (4,952) (653) (38,641) Polish Zloty LIBOR 1 month 2,877 30-Jul-21 Amrest Holdings Se Trs (27,249) (3,195) 3 30-Jul-21 Benefit Systems Sa Trs (855) (86) 19,376 30-Jul-21 Develia Sa Trs (13,051) (1,245) 5,647 30-Jul-21 Globe Trade Centre Sa Trs (13,902) (583) 27 30-Jul-21 Ing Bank Slaski Sa Trs (1,579) (157) 300 30-Jul-21 Kruk Sa Trs (14,566) (60) 5 30-Jul-21 Lpp Sa Trs (14,164) (2,295) 471 30-Jul-21 Polski Koncern Naftowy Orlen Trs (9,296) (375) 15 30-Jul-21 Ten Square Games Sa Trs (2,826) 93 8,954 30-Jul-21 Vrg Sa Trs (8,481) (1,071) (8,974) Russian Ruble LIBOR 1 month 5,441 30-Jul-21 Credit Bank Of Moscow Pjsc Trs (576) (12) (12) Singapore Dollar LIBOR 1 month 13,300 30-Jul-21 Ascott Residence Trust Trs (13,846) (445) 12,100 30-Jul-21 Cdl Hospitality Trusts Trs (14,813) 203 6,965 30-Jul-21 Esr-Reit Trs (2,652) 65 34,700 30-Jul-21 Far East Hospitality Trust Trs (20,738) 504 3,700 30-Jul-21 First Real Estate Invt Trust Trs (838) 678 500 30-Jul-21 Frasers Centrepoint Trust Trs (1,186) (68) 19,500 30-Jul-21 Frasers Hospitality Trust Trs (9,868) 95 2,400 30-Jul-21 Frasers Property Ltd Trs (2,869) (23) 14,469 30-Jul-21 Ireit Global Trs (9,066) (156) 5,947 30-Jul-21 Ireit Global Trs (648) (648) 2,200 30-Jul-21 Keppel Corp Ltd Trs (11,409) (616) 400 30-Jul-21 Keppel Reit Trs (432) (10) 2,500 30-Jul-21 Mapletree North Asia Commerc Trs (2,338) (98) 2,000 30-Jul-21 Oue Commercial Real Estate I Trs (742) (12) 17,000 30-Jul-21 Raffles Medical Group Ltd Trs (16,305) (2,518) 2,700 30-Jul-21 Rex International Holding Trs (380) 16 1,900 30-Jul-21 Sabana Shariah Comp Ind Reit Trs (650) (11) 8,500 30-Jul-21 Sembcorp Marine Ltd Trs (1,172) 68 1,100 30-Jul-21 Sia Engineering Co Ltd Trs (2,089) 22 12,684 30-Jul-21 Singapore Airlines Ltd Trs (52,330) 583 600 30-Jul-21 Singapore Post Ltd Trs (408) 6 16,600 30-Jul-21 Soilbuild Business Space Rei Trs (8,561) (638) 12,400 30-Jul-21 Starhill Global Reit Trs (6,036) (180) 600 30-Jul-21 Suntec Reit Trs (862) 12 4,600 30-Jul-21 Wing Tai Holdings Ltd Trs (8,647) (315) (3,486) South African Rand LIBOR 1 month 2,852 30-Jul-21 Advtech Ltd Trs (2,350) 6 2,185 30-Jul-21 Alexander Forbes Group Holdi Trs (750) (11) 34,377 30-Jul-21 Attacq Ltd Trs (14,819) (3,602) 2,089 30-Jul-21 Bid Corp Ltd Trs (47,657) 2,646 258 30-Jul-21 Bidvest Group Ltd Trs (3,514) 147 3,442 30-Jul-21 Blue Label Telecoms Ltd Trs (1,152) 30 26,157 30-Jul-21 Brait Se Trs (8,462) 943 435 30-Jul-21 Capitec Bank Holdings Ltd Trs (54,052) (5,000) 15,905 30-Jul-21 Curro Holdings Ltd Trs (13,078) 61 13,450 30-Jul-21 Dis-Chem Pharmacies Pty Ltd Trs (24,509) (1,001)

The accompanying notes are an integral part of these financial statements. 81 CC&L Alternative Global Equity Fund Swap Agreements (Schedule 2) As at December 31, 2020 Unrealized Market Appreciation/ Number of Maturity Value (Depreciation) Contracts Date Security Name $ $

16,454 30-Jul-21 Emira Property Fund Ltd Trs (9,504) (67) 16,060 30-Jul-21 Equites Property Fund Ltd Trs (24,195) (130) 1,471 30-Jul-21 Famous Brands Ltd Trs (6,245) (233) 89 30-Jul-21 Firstrand Ltd Trs (394) (40) 44,632 30-Jul-21 Fortress Reit Ltd-A Trs (52,840) (2,401) 2,706 30-Jul-21 Grindrod Ltd Trs (1,185) (197) 42,747 30-Jul-21 Growthpoint Properties Ltd Trs (46,604) (2,470) 1,000 30-Jul-21 Hyprop Investments Ltd Trs (2,560) (109) 15,000 30-Jul-21 Kap Industrial Holdings Ltd Trs (4,111) (406) 6,689 30-Jul-21 Liberty Holdings Ltd Trs (35,958) (1,206) 11,026 30-Jul-21 Mas Real Estate Inc Trs (12,193) (2,573) 7,992 30-Jul-21 Massmart Holdings Ltd Trs (29,127) (2,585) 58 30-Jul-21 Mr Price Group Ltd Trs (858) (38) 48 30-Jul-21 Multichoice Group Ltd Trs (558) 14 1 30-Jul-21 Naspers Ltd-N Shs Trs (262) 8 5,566 30-Jul-21 Nepi Rockcastle Plc Trs (45,138) (5,987) 1,523 30-Jul-21 Netcare Ltd Trs (1,651) (34) 2,882 30-Jul-21 Pepkor Holdings Ltd Trs (3,407) 54 3,205 30-Jul-21 Psg Konsult Ltd Trs (2,502) (49) 11,080 30-Jul-21 Redefine Properties Ltd Trs (3,200) (853) 12,892 30-Jul-21 Resilient Reit Ltd Trs (47,298) (4,815) 2,019 30-Jul-21 Reunert Ltd Trs (6,339) 171 8,307 30-Jul-21 Rmb Holdings Ltd Trs (1,009) (83) 131 30-Jul-21 Royal Bafokeng Platinum Ltd Trs (743) 5 13,674 30-Jul-21 Sa Corporate Real Estate Ltd Trs (2,052) (388) 162 30-Jul-21 Sanlam Ltd Trs (825) (41) 983 30-Jul-21 Santam Ltd Trs (21,722) (747) 3,989 30-Jul-21 Sun International Ltd Trs (11) (11) 3,167 30-Jul-21 Sun International Ltd Trs (3,401) 324 1,297 30-Jul-21 Super Group Ltd Trs (2,633) 85 290 30-Jul-21 The Foschini Group Ltd Trs (717) (717) 6,933 30-Jul-21 The Foschini Group Ltd Trs (61,521) (2,289) 6,869 30-Jul-21 Transaction Capital Trs (14,829) (423) 1,184 30-Jul-21 Truworths International Ltd Trs (3,784) (85) 1,735 30-Jul-21 Vukile Property Fund Ltd Trs (1,204) (135) 857 30-Jul-21 Wilson Bayly Holmes-Ovcon Trs (6,774) 679 3,643 30-Jul-21 Woolworths Holdings Ltd Trs (12,493) (1,392) 5,327 30-Jul-21 Zeder Investments Ltd Trs (1,206) 56 (34,889) Swedish Krona LIBOR 1 month 1,261 30-Jul-21 Af Poyry Ab Trs (49,139) (1,433) 423 30-Jul-21 Alimak Group Ab Trs (8,596) (552) 1,843 30-Jul-21 Ambea Ab Trs (18,612) (1,920) 141 30-Jul-21 Beijer Ref Ab Trs (8,233) (1,702) 11 30-Jul-21 Biogaia Ab-B Shs Trs (916) (70) 16 30-Jul-21 Boliden Ab Trs (723) 8 3,112 30-Jul-21 Bonava Ab-B Shares Trs (37,993) (2,337) 662 30-Jul-21 Boule Diagnostics Internatio Trs (6,110) (690) 118 30-Jul-21 Catella Ab Trs (496) (18) 408 30-Jul-21 Cellavision Ab Trs (19,431) (945) 15 30-Jul-21 Cibus Nordic Real Estate Ab Trs (390) (11) 20 30-Jul-21 Ctt Systems Ab Trs (472) 9 616 30-Jul-21 Duni Ab Trs (10,301) (632) 2,118 30-Jul-21 Elekta Ab-B Shs Trs (36,290) 1,702 18 30-Jul-21 Eolus Vind Ab-B Shs Trs (661) (81) 357 30-Jul-21 Fabege Ab Trs (7,164) 290 595 30-Jul-21 Fastighets Ab Balder-B Shrs Trs (39,588) (14) 2,778 30-Jul-21 Fingerprint Cards Ab-B Trs (7,503) (969) 1,340 30-Jul-21 Granges Ab Trs (2,603) (2,603) 2,807 30-Jul-21 Haldex Ab Trs (19,051) (1,944) 815 30-Jul-21 Hennes & Mauritz Ab-B Shs Trs (21,746) 1,211 350 30-Jul-21 Hoist Finance Ab Trs (1,980) (17) 420 30-Jul-21 Hufvudstaden Ab-A Shs Trs (8,874) (8)

The accompanying notes are an integral part of these financial statements. 82 CC&L Alternative Global Equity Fund Swap Agreements (Schedule 2) As at December 31, 2020 Unrealized Market Appreciation/ Number of Maturity Value (Depreciation) Contracts Date Security Name $ $

70 30-Jul-21 Husqvarna Ab-B Shs Trs (1,156) (84) 75 30-Jul-21 Iar Systems Group Ab Trs (1,627) 42 543 30-Jul-21 Intrum Ab Trs (18,262) 536 482 30-Jul-21 Jm Ab Trs (21,729) (1,130) 410 30-Jul-21 Kambi Group Plc Trs (24,678) (3,660) 9,827 30-Jul-21 Klovern Ab-B Shs Trs (23,690) (2,167) 306 30-Jul-21 Loomis Ab Trs (10,738) 897 3,045 30-Jul-21 Lundin Energy Ab Trs (105,125) (8,017) 896 30-Jul-21 Millicom Intl Cellular-Sdr Trs (45,007) 2,164 195 30-Jul-21 Ncc Ab-B Shs Trs (4,538) (10) 56 30-Jul-21 Nibe Industrier Ab-B Shs Trs (2,343) (144) 1,293 30-Jul-21 Nobia Ab Trs (13,208) (1,335) 15 30-Jul-21 Oncopeptides Ab Trs (395) (22) 1,475 30-Jul-21 Orexo Ab Trs (11,441) (915) 2,804 30-Jul-21 Pandox Ab Trs (63,159) 1,211 56 30-Jul-21 Peab Ab-Class B Trs (779) (28) 920 30-Jul-21 Platzer Fastigheter Hold-B Trs (15,328) (544) 96 30-Jul-21 Powercell Ab Trs (4,843) (366) 1,673 30-Jul-21 Rottneros Ab Trs (2,115) 75 797 30-Jul-21 Saab Ab-B Trs (29,611) (1,741) 40,348 30-Jul-21 Sas Ab Trs (11,423) (1,766) 871 30-Jul-21 Scandic Hotels Group Ab Trs (4,702) (341) 750 30-Jul-21 Stendorren Fastigheter Ab Trs (17,743) (1,398) 1,546 30-Jul-21 Swedish Orphan Biovitrum Ab Trs (39,836) (1,255) 614 30-Jul-21 Tethys Oil Ab Trs (4,686) (275) 15 30-Jul-21 Thule Group Ab/The Trs (716) (12) 104 30-Jul-21 Trelleborg Ab-B Shs Trs (2,944) (38) 218 30-Jul-21 Wihlborgs Fastigheter Ab Trs (6,270) 124 264 30-Jul-21 Xvivo Perfusion Ab Trs (12,860) 40 (32,885) Swiss Franc LIBOR 1 month 283 30-Jul-21 Ams Ag Trs (7,896) 543 150 30-Jul-21 Burkhalter Holding Ag Trs (14,290) (291) 6 30-Jul-21 Cembra Money Bank Ag Trs (927) (16) 100 30-Jul-21 Efg International Ag Trs (836) 15 1,224 30-Jul-21 Evolva Holding Sa Trs (356) 8 1,083 30-Jul-21 Gam Holding Ag Trs (3,378) (373) 448 30-Jul-21 Implenia Ag-Reg Trs (15,522) (704) 33 30-Jul-21 Intershop Holding Ag Trs (29,250) (1,588) 1 30-Jul-21 Ina Invest Holding Ag Trs (28) (28) 86 30-Jul-21 Jungfraubahn Holding Ag-Reg Trs (17,006) (405) 7 30-Jul-21 Mobimo Holding Ag-Reg Trs (2,885) (213) 3 30-Jul-21 Novartis Ag-Reg Trs (362) (6) 73 30-Jul-21 Oc Oerlikon Corp Ag-Reg Trs (963) (55) 12 30-Jul-21 Rieter Holding Ag-Reg Trs (1,672) (12) 7 30-Jul-21 St Galler Kantonalbank A-Reg Trs (4,187) (6) 79 30-Jul-21 Temenos Ag - Reg Trs (14,079) (1,007) 78 30-Jul-21 Ypsomed Holding Ag-Reg Trs (16,660) (618) (4,756) US Dollar LIBOR 1 month 319 30-Jul-21 3D Systems Corp Trs (4,259) (540) 1,152 30-Jul-21 Able C&C Trs (9,996) 73 475 30-Jul-21 Adma Biologics Inc Trs (1,180) 55 400 30-Jul-21 Aecc Aviation Power Co-A Trs (4,634) (1,111) 79 30-Jul-21 Aerospace Ch Uav Co Ltd Trs (513) (101) 171 30-Jul-21 Agenus Inc Trs (693) 113 300 30-Jul-21 Aliansce Sonae Shoppig Center Trs (2,147) (265) 7,725 30-Jul-21 Alsea Sab De Cv Trs (12,818) 695 100 30-Jul-21 Altisource Portfolio Sol Trs (1,641) 38 125 30-Jul-21 Alupar Investimento Sa-Unit Trs (831) (115) 25 30-Jul-21 Ambac Financial Group Inc Trs (490) (24) 852 30-Jul-21 Antares Pharma Inc Trs (4,331) (944) 1 30-Jul-21 Apartment Income Reit Co Trs (49) 1

The accompanying notes are an integral part of these financial statements. 83 CC&L Alternative Global Equity Fund Swap Agreements (Schedule 2) As at December 31, 2020 Unrealized Market Appreciation/ Number of Maturity Value (Depreciation) Contracts Date Security Name $ $

143 30-Jul-21 Ares Commercial Real Estate Trs (2,230) (200) 2,193 30-Jul-21 Arlington Asset Investment-A Trs (10,561) (1,592) 400 30-Jul-21 Avic Aircraft Co Ltd-A Trs (2,864) (472) 100 30-Jul-21 Avic Shenyang Aircraft Co -A Trs (1,526) (269) 81 30-Jul-21 Avy Precision Technology Inc Trs (92) (7) 4,075 30-Jul-21 Azul Sa Trs (39,285) (2,086) 2,200 30-Jul-21 B2W Cia Digital Trs (40,804) (1,042) 6,625 30-Jul-21 Banco Abc Brasil Sa Trs (25,466) (2,535) 1,600 30-Jul-21 Banco Btg Pactual Sa-Unit Trs (36,893) (6,137) 2,075 30-Jul-21 Banco Del Bajio Sa Trs (3,661) (369) 25 30-Jul-21 Banco Latinoamericano Come-E Trs (504) (34) 1,200 30-Jul-21 Banco Pan Sa Trs (2,865) (130) 900 30-Jul-21 Bank Danamon Indonesia Tbk Trs (256) 2 200 30-Jul-21 Bank Of Co Ltd-A Trs (582) (23) 1,900 30-Jul-21 Bank Tabungan Negara Persero Trs (297) (16) 220 30-Jul-21 Bdo Unibank Inc Trs (623) (21) 400 30-Jul-21 Beijing Easpring Material-A Trs (5,063) (654) 133 30-Jul-21 Bloom Energy Corp- A Trs (4,856) (701) 4,375 30-Jul-21 Br Malls Participacoes Sa Trs (10,625) (428) 400 30-Jul-21 Br Properties Sa Trs (971) 31 2,000 30-Jul-21 Brighton-Best International Trs (2,499) (156) 1,000 30-Jul-21 Brogent Technologies Inc Trs (5,124) 406 1,000 30-Jul-21 Bts Group Holdings Pcl Trs (395) 34 1,000 30-Jul-21 Career Technology Co Ltd Trs (1,585) 67 872 30-Jul-21 Central Puerto-Sponsored Adr Trs (3,000) (1) 500 30-Jul-21 Ch. Karnchang Public Co Ltd Trs (353) 34 100 30-Jul-21 Kanghong Pharmaceu-A Trs (940) (11) 100 30-Jul-21 Chieftek Precision Co Ltd Trs (379) 13 666 30-Jul-21 Citizens Inc Trs (4,862) 518 191 30-Jul-21 Cj Cgv Co Ltd- Trs (5,643) (607) 5 30-Jul-21 Cj Corp Trs (540) (85) 1,310 30-Jul-21 Clovis Oncology Inc Trs (8,011) (25) 74 30-Jul-21 Commercial Intl Bank-Gdr Reg Trs (354) - 1,085 30-Jul-21 Comstock Resources Inc Trs (6,041) 692 16 30-Jul-21 Comtech Telecommunications Trs (422) (33) 1,300 30-Jul-21 Concentradora Fibra Hotelera Trs (360) (8) 159 30-Jul-21 Connectone Bancorp Inc Trs (4,009) (417) 488 30-Jul-21 Contango Oil & Gas Trs (1,424) (347) 62 30-Jul-21 Controladora Vuela Cia-Adr Trs (981) (155) 290 30-Jul-21 Corbus Pharmaceuticals Holdi Trs (462) 42 100 30-Jul-21 Corenergy Infrastructure Tru Trs (873) (102) 60 30-Jul-21 Cosmax Inc - Trs (7,000) (416) 350 30-Jul-21 Coson Co Ltd - Trs (1,808) 389 8,975 30-Jul-21 Credito Real Sab De Cv Sofom Trs (6,946) (463) 50 30-Jul-21 Cresud S.A.-Spons Adr Trs (305) (52) 9,000 30-Jul-21 Cvc Brasil Operadora E Agenc - Trs (45,435) (6,345) 7,000 30-Jul-21 Cyrela Brazil Realty Sa Emp Trs (50,621) (5,479) 100 30-Jul-21 Dentium Co Ltd Trs (4,819) 23 953 30-Jul-21 Diostech Co Ltd Trs (420) 31 150 30-Jul-21 Duluth Holdings Inc - Cl B Trs (2,018) 791 70 30-Jul-21 Dynex Capital Inc Trs (1,599) (28) 1,000 30-Jul-21 El Puerto De Liverpool-C1 Trs (4,468) (213) 281 30-Jul-21 Ellington Residential Mortga Trs (4,768) (401) 500 30-Jul-21 Embraer Sa Trs (1,085) (123) 959 30-Jul-21 Emp Distrib Y Comerc Nor-Adr Trs (5,180) (1,050) 166 30-Jul-21 Energy Fuels Inc Trs (901) (460) 440 30-Jul-21 Enlink Midstream Llc Trs (2,080) 74 50 30-Jul-21 Eventbrite Inc-Class A Trs (1,153) (85) 738 30-Jul-21 Exone Co/The Trs (8,923) 2,285 320 30-Jul-21 Eyepoint Pharmaceuticals Inc Trs (2,683) (461) 1,547 30-Jul-21 Eros Stx Global Corp Trs (3,587) 603 477 30-Jul-21 Feelux Co Ltd Trs (2,290) 621 740 30-Jul-21 Flexion Therapeutics Inc Trs (10,879) (782)

The accompanying notes are an integral part of these financial statements. 84 CC&L Alternative Global Equity Fund Swap Agreements (Schedule 2) As at December 31, 2020 Unrealized Market Appreciation/ Number of Maturity Value (Depreciation) Contracts Date Security Name $ $

2,000 30-Jul-21 Forest Water Environmental Trs (3,718) 153 77 30-Jul-21 Fulgent Genetics Inc Trs (5,111) (704) 600 30-Jul-21 Gaec Educacao Sa Trs (5,299) (128) 3,238 30-Jul-21 Gafisa Sa Trs (3,455) (170) 2,783 30-Jul-21 Gafisa Sa Trs (221) (221) 2 30-Jul-21 Gemvax & Kael Co Ltd Trs (56) (2) 5 30-Jul-21 Genofocus Inc Trs (64) (7) 8,150 30-Jul-21 Gentera Sab De Cv Trs (5,165) (679) 15,300 30-Jul-21 Global Power Synergy Pcl Trs (47,931) (2,672) 725 30-Jul-21 Globalstar Inc Trs (313) (15) 7,000 30-Jul-21 Gloria Material Technology Trs (5,460) (386) 89 30-Jul-21 Goodrich Petroleum Corp Trs (1,144) 169 2,000 30-Jul-21 Grand Ocean Retail Group Ltd Trs (1,936) - 400 30-Jul-21 Grendene Sa - Trs (822) (26) 8,500 30-Jul-21 Grupo Comercial Chedraui Sa Trs (15,622) (412) 400 30-Jul-21 Grupo Herdez Sab-Series * Trs (1,365) (353) 8,625 30-Jul-21 Grupo Lala Sab De Cv Trs (8,613) (1,071) 822 30-Jul-21 Grupo Rotoplas Sab De Cv Trs (1,435) (302) 1,224 30-Jul-21 Grupo Supervielle Sa-Sp Adr Trs (3,306) (180) 75 30-Jul-21 Guararapes Confeccoes Sa Trs (274) 18 300 30-Jul-21 Gulf Energy Development Pcl Trs (436) 6 3 30-Jul-21 Gw Pharmaceuticals -Adr Trs (441) 94 100 30-Jul-21 Hengli Petrochemical Co L-A Trs (546) (21) 200 30-Jul-21 Hongkong Land Holdings Ltd Trs (1,052) 25 700 30-Jul-21 Horizon Global Corp Trs (7,661) (1,186) 12 30-Jul-21 Co Ltd - Trs (1,158) (52) 170,450 30-Jul-21 Hoteles City Express Sab De Trs (60,887) 8,897 1,400 30-Jul-21 Hubei Dinglong Co Ltd-A Trs (5,167) (597) 90 30-Jul-21 Hyundai Elevator Co Trs (4,190) (49) 1,321 30-Jul-21 Inovio Pharmaceuticals Inc Trs (14,894) 3,062 872 30-Jul-21 Integrated Diagnostics Holdi Trs (1,222) 2,944 6,475 30-Jul-21 International Meal Company - Trs (6,687) (198) 532 30-Jul-21 Interpark Corp - Trs (2,870) (41) 783 30-Jul-21 Invesco Mortgage Capital Trs (3,372) (60) 2,800 30-Jul-21 Irb Brasil Resseguros Sa Trs (5,618) (695) 4 30-Jul-21 Irsa -Sp Adr Trs (23) (1) 2 30-Jul-21 Irsa Propiedades Comerciales Sa Trs (23) (23) 73 30-Jul-21 Itau Corpbanca Trs (460) (75) 300 30-Jul-21 Jasa Marga (Persero) Tbk Pt Trs (126) (13) 500 30-Jul-21 Jiangsu Shagang Co Ltd -A Trs (1,071) 104 321 30-Jul-21 Kandi Technologies Group Inc Trs (2,822) 1,097 24 30-Jul-21 L&F Co Ltd Trs (2,012) (622) 1,072 30-Jul-21 Li Cheng Enterprise Co Ltd Trs (1,417) (2) 4,925 30-Jul-21 Light Sa Trs (29,357) (2,081) 1,369 30-Jul-21 Liqtech International Inc Trs (13,953) (1,325) 4,975 30-Jul-21 Localiza Rent A Car - Trs (84,249) (4,434) 2,000 30-Jul-21 Lojas Renner S.A. Trs (21,361) (62) 15,000 30-Jul-21 Long Bon International Co Lt Trs (9,761) (608) 600 30-Jul-21 Magazine Luiza Sa Trs (1,800) (173) 3 30-Jul-21 Magnite Inc Trs (117) (45) 775 30-Jul-21 Maiden Holdings Ltd Trs (2,459) (365) 300 30-Jul-21 Malaysia Airports Hldgs Bhd Trs (563) (74) 400 30-Jul-21 Mandarin Oriental Intl Ltd Trs (866) 77 4,000 30-Jul-21 Manulife Us Real Estate Inv Trs (3,797) (5) 4,600 30-Jul-21 Marisa Lojas Sa Trs (7,684) (162) 2,002 30-Jul-21 Marker Therapeutics Inc Trs (3,698) 638 23 30-Jul-21 Maui Land & Pineapple Co Trs (338) 20 65 30-Jul-21 Mgp Ingredients Inc Trs (3,897) (285) 800 30-Jul-21 Minerva Sa Trs (1,998) 37 181 30-Jul-21 Modetour Network Inc Trs (4,361) (307) 20 30-Jul-21 Monarch Casino & Resort Inc Trs (1,560) (153) 1,575 30-Jul-21 Mrv Engenharia - Trs (7,321) (191) 2,050 30-Jul-21 Multiplan Empreendimentos Trs (12,061) (958)

The accompanying notes are an integral part of these financial statements. 85 CC&L Alternative Global Equity Fund Swap Agreements (Schedule 2) As at December 31, 2020 Unrealized Market Appreciation/ Number of Maturity Value (Depreciation) Contracts Date Security Name $ $

106 30-Jul-21 Nanomedics Co Ltd Trs (446) 41 1,031 30-Jul-21 Nanthealth Inc Trs (4,243) (943) 200 30-Jul-21 Natura &Co Holding Sa Trs (2,576) (48) 1,312 30-Jul-21 New Age Beverages Corp Trs (4,396) 1,318 7,000 30-Jul-21 Newmax Technology Co Ltd Trs (16,569) 2,074 407 30-Jul-21 Nextdecade Corp Trs (1,084) 234 15,000 30-Jul-21 Nien Hsing Textile Co Ltd Trs (11,767) (593) 221 30-Jul-21 Northern Oil And Gas Inc Trs (2,466) (707) 3 30-Jul-21 Novatek Pjsc-Spons Gdr Reg S Trs (625) (1) 1 30-Jul-21 Nv5 Global Inc Trs (100) (7) 39,300 30-Jul-21 Oi Sa Trs (21,209) (1,365) 1,300 30-Jul-21 Omega Geracao Sa Trs (12,871) (1,479) 432 30-Jul-21 Omeros Corp Trs (7,862) (1,483) 270 30-Jul-21 Optinose Inc Trs (1,424) (31) 1,000 30-Jul-21 Oriental Union Chemical Trs (921) (132) 234 30-Jul-21 Paysign Inc Trs (1,383) 75 4,000 30-Jul-21 Petro Rio Sa Trs (68,871) (21,014) 700 30-Jul-21 Pla Administradora Industria Trs (1,378) (93) 300 30-Jul-21 Positivo Tecnologia Sa - Trs (375) (10) 35 30-Jul-21 Prog Holdings Inc Trs (2,402) 190 105 30-Jul-21 Promotora Y Operadora De Inf Trs (1,180) (94) 300 30-Jul-21 Ptt Pcl Trs (542) (36) 203 30-Jul-21 Precigen Inc Trs (2,638) (71) 4,000 30-Jul-21 Radium Life Tech Co Ltd Trs (2,186) 189 1,225 30-Jul-21 Ramaco Resources Inc Trs (4,495) 281 1,075 30-Jul-21 Regional Sab De Cv Trs (6,359) (430) 11,950 30-Jul-21 Santos Brasil Participacoes Trs (15,390) (1,230) 227 30-Jul-21 Scholar Rock Holding Corp Trs (14,035) 375 425 30-Jul-21 Seaspan Corp Trs (5,366) 1,178 248 30-Jul-21 Select Energy Services Inc-A Trs (1,295) 41 2,000 30-Jul-21 Shin Kong Financial Holding Trs (799) (37) 253 30-Jul-21 Shinwon Corp Trs (418) 7 6,500 30-Jul-21 Sino Thai Engr & Constr Pcl Trs (3,507) 138 100 30-Jul-21 Sinocare Inc - A Trs (699) (65) 400 30-Jul-21 Sinqia Sa Trs (2,306) (177) 1,000 30-Jul-21 Sinyi Realty Co Trs (1,320) 37 21 30-Jul-21 Smart Global Holdings Inc Trs (1,007) (186) 165 30-Jul-21 Solid Biosciences Inc Trs (1,593) (898) 112 30-Jul-21 Spc Samlip Trs (9,455) (363) 3 30-Jul-21 Stoneridge Inc Trs (116) (13) 36 30-Jul-21 Sunpower Corp Trs (1,176) (160) 4,000 30-Jul-21 Suzano Papel E Celulose Sa Trs (57,440) (3,378) 44 30-Jul-21 Switch Inc - A Trs (918) (10) 6,202 30-Jul-21 T'Way Holdings Inc Trs (7,490) 151 13,300 30-Jul-21 Tecnisa Sa Trs (32,593) (2,724) 1,050 30-Jul-21 Teekay Corp Trs (2,876) 268 3,600 30-Jul-21 Telesites Sab De Cv Trs (4,957) (177) 7,167 30-Jul-21 Tellurian Inc Trs (11,687) 1,919 1,369 30-Jul-21 Therapeuticsmd Inc Trs (2,110) 224 1,331 30-Jul-21 Transportador Gas Sur-Sp B Trs (8,818) 458 1,600 30-Jul-21 Trisul Sa Trs (4,808) (279) 304 30-Jul-21 Tyme Technologies Inc Trs (473) 24 500 30-Jul-21 Ue Furniture Co Ltd -A Trs (1,296) (16) 3,850 30-Jul-21 Unifin Financiera Sab De Cv Trs (6,905) (641) 6 30-Jul-21 Veeco Instruments Inc Trs (133) (6) 705 30-Jul-21 Veoneer Inc Trs (19,131) (1,229) 45 30-Jul-21 Veritone Inc Trs (1,631) (93) 106 30-Jul-21 Veru Inc Trs (1,168) 107 1,500 30-Jul-21 Vhq Media Holdings Ltd Trs (2,643) 4 23,100 30-Jul-21 Via Varejo Sa Trs (91,570) 6,166 2,000 30-Jul-21 Vivotek Inc Trs (8,217) (1,342) 100 30-Jul-21 Walmart De Mexico Sab De Cv Trs (358) (23) 224 30-Jul-21 Wave Life Sciences Ltd Trs (2,246) 271

The accompanying notes are an integral part of these financial statements. 86 CC&L Alternative Global Equity Fund Swap Agreements (Schedule 2) As at December 31, 2020 Unrealized Market Appreciation/ Number of Maturity Value (Depreciation) Contracts Date Security Name $ $

3,650 30-Jul-21 Woongjin Co Ltd Trs (4,644) (167) 217 30-Jul-21 Xbiotech Inc Trs (4,327) 943 50 30-Jul-21 Xoma Corp Trs (2,811) (702) 5,000 30-Jul-21 Yageo Corporation Trs (117,447) (18,584) 2,900 30-Jul-21 Yduqs Part Trs (23,418) (587) 230 30-Jul-21 Yirendai Ltd - Adr Trs (979) 144 2,873 30-Jul-21 Ziopharm Oncology Inc Trs (9,224) 1,026 (79,081) Net unrealized appreciation (depreciation) on equity swaps - Short (431,540)

Total unrealized appreciation on equity swaps 751,196 Total unrealized depreciation on equity swaps (690,692) Net unrealized appreciation (depreciation) on equity swaps 60,504

The accompanying notes are an integral part of these financial statements. 87 CC&L Alternative Global Equity Fund Notes to Financial Statements – Fund Specific Information December 31, 2020 and 2019

These fund specific notes shall be read in conjunction with the accompanying notes to the financial statements, which are an integral part of these financial statements. These fund specific notes can be referenced to the accompanying notes by the corresponding note number. Since they are supplemental to the accompanying notes, there may not be a corresponding specific note to match every accompanying note.

Reporting entity and investment objective (Note 1)

The CC&L Alternative Global Equity Fund (the “Fund”) is an open-ended unit trust established under the laws of Ontario and is governed by the Declaration of Trust dated May 1, 2012, as amended from time to time. The Fund commenced operations on February 15, 2019. The address of the Fund’s registered office is 1400 – 130 King St. West, P.O. Box 240, Toronto, Ontario, Canada, M5X 1C8.

The investment objective of the Fund is to construct a diversified portfolio of global equity securities by utilizing both long and short positions while typically maintaining close to 100% net long global equity exposure with a view to maximize long-term total returns. The Fund seeks to generate returns in excess of the MSCI ACWI Index (CAD) (net) over a market cycle.

Fair value of financial instruments (Note 5)

Classification of investments under the Fair Value Hierarchy The tables below illustrate the classification of the Fund’s financial instruments measured at fair value at the reporting date. The amounts are based on the values recognized in the Statements of Financial Position. As at December 31, 2020: Assets at Fair Value Level 1 Level 2 Level 3 Total Canadian common stocks - long $ 666,881 $ - $ - $ 666,881 U.S. common stocks - long 13,807,866 1,382 - 13,809,248 Foreign common stocks - long 9,938,127 2,437 - 9,940,564 Income trusts - long 1,462,203 - - 1,462,203 Limited partnerships - long 7,698 - - 7,698 Currency forward contracts - 15,836 - 15,836 Swap contracts - 751,196 - 751,196 $ 25,882,775 $ 770,851 $ - $ 26,653,626

Liabilities at Fair Value Level 1 Level 2 Level 3 Total Canadian common stocks - short $ 562,144 $ 1,456 $ - $ 563,600 U.S. common stocks - short 1,502,830 - - 1,502,830 Foreign common stocks - short 1,138,972 3,649 - 1,142,621 Income trusts - short 193,135 - - 193,135 Currency forward contracts - 32,838 - 32,838 Swap contracts - 690,692 - 690,692 $ 3,397,081 $ 728,635 $ - $ 4,125,716

88 CC&L Alternative Global Equity Fund Notes to Financial Statements – Fund Specific Information December 31, 2020 and 2019

As at December 31, 2019: Assets at Fair Value Level 1 Level 2 Level 3 Total Canadian common stocks - long $ 1,486,260 $ - $ - $ 1,486,260 U.S. common stocks - long 13,384,675 655 - 13,385,330 Foreign common stocks - long 9,290,220 4,313 - 9,294,533 Income trusts - long 985,778 - - 985,778 Limited partnerships - long 32,430 - - 32,430 Currency forward contracts - 6,297 - 6,297 Swap contracts - 289,059 - 289,059 $ 25,179,363 $ 300,324 $ - $ 25,479,687

Liabilities at Fair Value Level 1 Level 2 Level 3 Total Canadian common stocks - short $ 995,151 $ - $ - $ 995,151 U.S. common stocks - short 3,728,705 7 - 3,728,712 Foreign common stocks - short 1,401,963 1,975 - 1,403,938 Income trusts - short 308,832 - - 308,832 Currency forward contracts - 11,013 - 11,013 Swap contracts - 219,975 - 219,975 $ 6,434,651 $ 232,970 $ - $ 6,667,621

There were no significant transfers of financial assets or liabilities between Level 1, Level 2 and Level 3 for the year ended December 31, 2020 and period from February 15, 2019 (commencement of operations) to December 31, 2019. All fair value measurements above are recurring.

Redeemable units of the Fund (Note 6)

For the year ended December 31, 2020 and period from February 15, 2019 (commencement of operations) to December 31, 2019, changes in outstanding units were as follows:

Balance - Beginning Redeemable units Redeemable units Redeemable units Balance - 2020 of period issued reinvested redeemed End of period Series A 9,391 795 633 (2,623) 8,196 Series F 220,130 71,846 24,716 (20,809) 295,883 Series I 1,591,554 511 154,052 (107) 1,746,010

2019 Series A - 9,188 203 - 9,391 Series F - 218,633 9,694 (8,197) 220,130 Series I - 1,510,013 81,541 - 1,591,554

89 CC&L Alternative Global Equity Fund Notes to Financial Statements – Fund Specific Information December 31, 2020 and 2019

Taxation of the Fund (Note 7)

As at December 31, 2020 the Fund had unused capital losses of $Nil (2019 - $Nil), which may be carried forward indefinitely to reduce future realized capital gains. There were $Nil (2019 - $Nil) unused non-capital losses available for tax purposes.

During the year, withholding tax rates were between 0% and 35% (2019 - between 0% and 35%).

Related party transactions and other expenses (Note 8)

Management fees The Fund pays a management fee, which is accrued daily and paid monthly. The annual management fee rates, exclusive of taxes, are 1.50% for Series A and 0.50% for Series F. No management fees are paid by the Fund with respect to Series I units, but are negotiable and paid directly by the unitholder to the Manager and will not exceed the management fee payable on Series A units of the Fund.

Performance fees

The Fund will pay a quarterly incentive fee (a “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 20% 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 MSCI ACWI Index (CAD) (net) return is the Hurdle for the Fund.

Units held by related parties

Connor, Clark & Lunn Financial Group Investments Inc. (“CCLFGII”) and Connor, Clark & Lunn Financial Group Ltd. (“CCLFGL”), companies related to the Manager through common ownership, hold units of the Fund. At December 31, 2020, CCLFGII held 1,717,248 Series I units with a total fair value of $18,855,383 (2019 - 1,565,731 Series I units with a total fair value of $16,440,176). At December 31, 2020, CCLFGL held 5,540 Series A units, 5,708 Series F units and 5,270 Series I units with respective total fair values of $61,322, $62,678 and $57,865 (2019 - 5,044 Series A units, 5,044 Series F units and 5,045 Series I units with respective total fair values of $53,971, $53,012 and $52,973).

Brokerage commissions and other transaction costs (Note 9)

The Fund paid $60,470 (2019 - $303,568) in brokerage commissions and other transactions costs for portfolio transactions during the year. The soft dollars paid during the year were $13,036 (2019 - $8,589).

90 CC&L Alternative Global Equity Fund Notes to Financial Statements – Fund Specific Information December 31, 2020 and 2019

Financial risk management (Note 10)

Currency risk

The tables below summarize the Fund’s exposure to foreign currencies as at December 31, 2020 and 2019 in Canadian dollars. Amounts shown are based on the fair value of monetary assets (including cash and short-term investments) as well as the underlying principal amounts of forward foreign currency contracts, as applicable.

The tables also illustrate the potential impact on Net Assets attributable to holders of redeemable units as a result of a 5% change in these currencies relative to the Canadian dollar, with all other factors remaining constant. In practice, actual results may differ from this sensitivity analysis and the difference could be material.

As at December 31, 2020: Monetary Derivative Assets Currency Net % of Impact on Currency (Liabilities) ($) Contracts ($) Exposure($) Net Assets Net Assets ($) Australian Dollar (24,664) - (24,664) (0.1) (1,233) British Pound 148,238 475,428 623,666 2.8 31,183 Danish Krone (10,666) - (10,666) - (533) Euro (84,782) (317,996) (402,778) (1.8) (20,139) Hong Kong Dollar (6,444) (448,061) (454,505) (2.0) (22,725) Hungarian Forint (4,055) - (4,055) - (203) Israeli New Shekel 19,537 - 19,537 0.1 977 Japanese Yen (50,365) 44,262 (6,103) - (305) Mexican Peso (593) - (593) - (30) New Zealand Dollar (2,574) - (2,574) - (129) Norwegian Krone (36,667) (385,387) (422,054) (1.9) (21,103) Polish Zloty (26,971) 13,783 (13,188) (0.1) (659) Russian Ruble 5,601 - 5,601 - 280 Singapore Dollar 46,938 - 46,938 0.2 2,347 South African Rand (24,514) (457,430) (481,944) (2.1) (24,097) Swedish Krona 67 (150,785) (150,718) (0.7) (7,536) Swiss Franc 6,840 - 6,840 - 342 Turkish Lira 28,263 - 28,263 0.1 1,413 UAE Dirham (1,593) - (1,593) - (80) US Dollar (210,454) 1,205,182 994,728 4.4 49,736 Total (228,858) (21,004) (249,862) (1.1) (12,494)

91 CC&L Alternative Global Equity Fund Notes to Financial Statements – Fund Specific Information December 31, 2020 and 2019

As at December 31, 2019: Monetary Derivative Assets Currency Net % of Impact on Currency (Liabilities) ($) Contracts ($) Exposure($) Net Assets Net Assets ($) Australian Dollar (10,238) (266,173) (276,411) (1.4) (13,821) British Pound 51,553 271,423 322,976 1.7 16,149 Czech Koruna 12,957 - 12,957 0.1 648 Danish Krone 9,903 - 9,903 0.1 495 Euro 49,035 296,943 345,978 1.8 17,299 Hong Kong Dollar 71,031 (267,112) (196,081) (1.0) (9,804) Hungarian Forint 383 - 383 - 19 Israeli New Shekel 38,614 - 38,614 0.2 1,931 Japanese Yen (11,953) (280,160) (292,113) (1.5) (14,606) Mexican Peso 540 - 540 - 27 New Zealand Dollar 9,125 - 9,125 - 456 Norwegian Krone (5,843) - (5,843) - (292) Polish Zloty (3,296) - (3,296) - (165) Russian Ruble (1,240) - (1,240) - (62) Singapore Dollar 45,961 - 45,961 0.2 2,298 South African Rand 23,350 - 23,350 0.1 1,168 Swedish Krona 5,558 - 5,558 - 278 Swiss Franc 10,811 - 10,811 0.1 541 US Dollar (282,526) 518,943 236,417 1.2 11,821 Total 13,725 273,864 287,589 1.6 14,380

Interest rate risk

As at December 31, 2020 and 2019 interest rate risk was negligible as the Fund had no significant exposure to long- term interest-bearing investments.

Other price risk

As at December 31, 2020 and 2019 the Fund was exposed to other price risk primarily through its equity investments that trade on stock exchanges. Substantially all of the Fund’s net assets attributable to holders of redeemable units were exposed to other price risk because of exposure to market fluctuations (not caused by other factors mentioned previously). If stock exchange prices had increased or decreased by 10%, with all other factors remaining constant, net assets attributable to holders of redeemable units would have increased or decreased by approximately $2,248,000 (2019 - $1,875,000). In practice, actual results may differ from this sensitivity analysis and the difference could be material.

Credit risk

As at December 31, 2020 and 2019, credit risk arising from debt instruments was negligible as the Fund had no significant exposure to debt-based securities. The Fund was exposed to credit risk through derivative instruments. The unrealized gains on contractual obligations with counterparties were 3.41% (2019 - 1.58%) of the Fund’s net assets attributable to holders of redeemable units. All counterparties to the derivative instruments are rated “A” or better (as determined from a composite of bond rating services such as Standard & Poor’s, Moody’s and Dominion Bond Rating Services).

92 CC&L Alternative Global Equity Fund Notes to Financial Statements – Fund Specific Information December 31, 2020 and 2019

Securities lending (Note 12)

For the year ended December 31, 2020 and period from February 15, 2019 (commencement of operations) to December 31, 2019, securities lending income was as follows:

2020 2019 ($) ($) Gross securities lending income 2,599 876 Securities lending charges (504) (149) Net securities lending income 2,095 727 Withholding taxes on securities lending income (89) (67) Net securities lending income received by the Fund 2,006 660

Securities lending charges represented 19.4% (2019 – 17.0%) of the gross securities lending income, all of which was paid to the Fund’s custodian.

The following table summarizes the securities loaned and collateral held as at December 31, 2020 and 2019.

December 31, 2020 December 31, 2019 ($000's) ($000's) Securities loaned 974 743 Collateral received 1,022 780 Collateral percentage of securities loaned 105% 105%

Leverage and borrowing (Note 13)

During the year ended December 31, 2020 and period from inception to December 31, 2019, the Fund’s aggregate exposure to leverage ranged from 60.7% to 84.2% (2019 - 0.0% to 66.3%) of the Fund’s Net Asset Value (“NAV”). The aggregate exposure range to leverage was within the expected range as outlined in the simplified prospectus. As at December 31, 2020, the Fund’s aggregate exposure was 69.0% (2019 – 64.0%) of the Fund’s NAV. The primary sources of leverage were short positions in equity securities, short equity swap contracts and cash borrowings.

A component of the Fund’s leverage is cash borrowing. Such facilities are repayable on demand. During the year ended December 31, 2020 and period from inception to December 31, 2019, the Fund’s range of bank indebtedness was $1,030,080 to $3,678,214 (2019 - $Nil to $2,202,149) with an average interest rate of 0.94% (2019 - 4.36%). As at December 31, 2020, bank indebtedness represented 13.8% (2019 – 5.4%) of the Fund’s NAV.

93 CC&L Alternative Canadian Equity Fund Statements of Financial Position As at December 31

2020 2019

Assets Current assets Cash $ 13,424 $ 220,871 Investments 20,877,324 22,427,422 Unrealized appreciation on currency forward contracts 10,228 - Unrealized appreciation on swap contracts 608,879 306,218 Daily variation margin 2,701,235 1,084,973 Due from broker 315,482 1,652,547 Dividends receivable 45,617 45,173 Other receivables 151 -

24,572,340 25,737,204

Liabilities Current liabilities Bank indebtedness 2,524,480 269,895 Investments sold short 3,304,305 6,661,122 Unrealized depreciation on currency forward contracts 5,022 10,652 Unrealized depreciation on swap contracts 526,594 197,469 Dividends payable on securities sold short 3,162 6,357 Due to broker 300,718 1,433,932 Accrued security borrowing fees 2,977 12,051 Accrued expenses 33,455 16,239 Management fees payable 410 -

6,701,123 8,607,717

Net Assets attributable to holders of redeemable units $ 17,871,217 $ 17,129,487

Net Assets attributable to holders of redeemable units for each class Series A $ 228,619 $ 212,081 Series F $ 279,270 $ 434,337 Series I $ 17,363,328 $ 16,483,069

Redeemable units outstanding (note 6) Series A 21,600 20,206 Series F 25,945 41,007 Series I 1,618,362 1,550,645

Net Assets attributable to holders of redeemable units per unit Series A $ 10.58 $ 10.50 Series F $ 10.76 $ 10.59 Series I $ 10.73 $ 10.63

Approved by the Manager

"Michael Freund" "Tim Elliott"

Director Director

The accompanying notes are an integral part of these financial statements. 94 CC&L Alternative Canadian Equity Fund Statements of Comprehensive Income For the year ended December 31, 2020 and period from February 15, 2019 (commencement of operations) to December 31, 2019

2020 2019

Income Realized foreign exchange gain (loss) on currency $ (41,936) $ 1,931 Change in unrealized foreign exchange gain (loss) on currency 133,078 2,554 Securities lending income (note 12) 5,240 5,353

Net gain (loss) on investments Dividends 582,251 493,250 Dividend expense on securities sold short (51,419) (75,906) Interest for distribution purposes 2,110 9,412 Income from income trusts 1,436 53,859 Net realized gain (loss) on investments 203,078 (83,301) Net realized gain (loss) on investments sold short (233,681) (251,866) Net realized gain (loss) on currency forward contracts (20,836) (24,421) Net realized gain (loss) on futures contracts 5,771 (17,171) Net realized gain (loss) on swap contracts (91,142) 178,617 Net change in unrealized appreciation (depreciation) on investments 982,398 990,466 Net change in unrealized appreciation (depreciation) on investments sold short (350,971) 73,634 Net change in unrealized appreciation (depreciation) on currency forward contracts 15,858 (10,652) Net change in unrealized appreciation (depreciation) on swap contracts (26,464) 108,749 Total net gain (loss) on investments 1,018,389 1,444,670

Total income (loss), net 1,114,771 1,454,508

Expenses (note 8) Administrative fees - 155 Audit fees 21,044 24,260 Custodial fees 60,235 52,310 Filing fees 8,724 - Fundserv fees 9 - Independent review committee fees 5,124 3,919 Independent review committee insurance 626 478 Interest expense 38,467 36,689 Management fees 5,185 3,779 Professional fees 27,603 - Security borrowing expense 43,485 95,556 Securityholder reporting fees 7,558 5,429 Transaction costs (note 9) 27,804 82,000

Total operating expenses 245,864 304,575

Withholding taxes (note 7) (14,567) (19,448)

Increase (decrease) in Net Assets attributable to holders of redeemable units from operations $ 854,340 $ 1,130,485

The accompanying notes are an integral part of these financial statements. 95 CC&L Alternative Canadian Equity Fund Statements of Comprehensive Income For the year ended December 31, 2020 and period from February 15, 2019 (commencement of operations) to December 31, 2019

2020 2019

Increase (decrease) in Net Assets attributable to holders of redeemable units for each class Series A $ 6,403 $ 9,381 Series F $ (12,948) $ 20,174 Series I $ 860,885 $ 1,100,930

Weighted average number of units outstanding Series A 21,051 16,452 Series F 31,666 29,949 Series I 1,551,111 1,453,169

Increase (decrease) in Net Assets attributable to holders of redeemable units per unit Series A $ 0.30 $ 0.57 Series F $ (0.41) $ 0.67 Series I $ 0.56 $ 0.76

The accompanying notes are an integral part of these financial statements. 96 CC&L Alternative Canadian Equity Fund Statements of Changes in Net Assets Attributable to Holders of Redeemable Units For the year ended December 31, 2020 and period from February 15, 2019 (commencement of operations) to December 31, 2019

Series A Series A 2020 2019

Net Assets attributable to holders of redeemable units - Beginning of period $ 212,081 $ -

Increase (decrease) in Net Assets attributable to holders of redeemable units from operations 6,403 9,381

Redeemable unit transactions Proceeds from redeemable units issued 10,135 202,700 Reinvestments of distributions to holders of redeemable units 4,709 1,819

Net increase (decrease) from redeemable unit transactions 14,844 204,519

Distributions to holders of redeemable units From net realized capital gains (4,709) (1,819)

Total distributions to holders of redeemable units (4,709) (1,819)

Increase (decrease) in Net Assets attributable to holders of redeemable units during the period 16,538 212,081

Net Assets attributable to holders of redeemable units - End of period $ 228,619 $ 212,081

Series F Series F 2020 2019

Net Assets attributable to holders of redeemable units - Beginning of period $ 434,337 $ -

Increase (decrease) in Net Assets attributable to holders of redeemable units from operations (12,948) 20,174

Redeemable unit transactions Proceeds from redeemable units issued 22,950 442,075 Reinvestments of distributions to holders of redeemable units 7,502 3,745 Redemption of redeemable units (164,674) (27,912)

Net increase (decrease) from redeemable unit transactions (134,222) 417,908

Distributions to holders of redeemable units From net realized capital gains (7,897) (3,745)

Total distributions to holders of redeemable units (7,897) (3,745)

Increase (decrease) in Net Assets attributable to holders of redeemable units during the period (155,067) 434,337

Net Assets attributable to holders of redeemable units - End of period $ 279,270 $ 434,337

The accompanying notes are an integral part of these financial statements. 97 CC&L Alternative Canadian Equity Fund Statements of Changes in Net Assets Attributable to Holders of Redeemable Units For the year ended December 31, 2020 and period from February 15, 2019 (commencement of operations) to December 31, 2019

Series I Series I 2020 2019

Net Assets attributable to holders of redeemable units - Beginning of period $ 16,483,069 $ -

Increase (decrease) in Net Assets attributable to holders of redeemable units from operations 860,885 1,100,930

Redeemable unit transactions Proceeds from redeemable units issued 20,500 15,382,139 Reinvestments of distributions to holders of redeemable units 706,893 144,957 Redemption of redeemable units (1,124) -

Net increase (decrease) from redeemable unit transactions 726,269 15,527,096

Distributions to holders of redeemable units From net investment income - (2,823) From net realized capital gains (706,895) (142,134)

Total distributions to holders of redeemable units (706,895) (144,957)

Increase (decrease) in Net Assets attributable to holders of redeemable units during the period 880,259 16,483,069

Net Assets attributable to holders of redeemable units - End of period $ 17,363,328 $ 16,483,069

Total Total 2020 2019

Net Assets attributable to holders of redeemable units - Beginning of period $ 17,129,487 $ -

Increase (decrease) in Net Assets attributable to holders of redeemable units from operations 854,340 1,130,485

Redeemable unit transactions Proceeds from redeemable units issued 53,585 16,026,914 Reinvestments of distributions to holders of redeemable units 719,104 150,521 Redemption of redeemable units (165,798) (27,912)

Net increase (decrease) from redeemable unit transactions 606,891 16,149,523

Distributions to holders of redeemable units From net investment income - (2,823) From net realized capital gains (719,501) (147,698)

Total distributions to holders of redeemable units (719,501) (150,521)

Increase (decrease) in Net Assets attributable to holders of redeemable units during the period 741,730 17,129,487

Net Assets attributable to holders of redeemable units - End of period $ 17,871,217 $ 17,129,487

The accompanying notes are an integral part of these financial statements. 98 CC&L Alternative Canadian Equity Fund Statements of Cash Flows For the year ended December 31, 2020 and period from February 15, 2019 (commencement of operations) to December 31, 2019

2020 2019

Cash flows from (used in) Operating activities Increase (decrease) in Net Assets attributable to holders of redeemable units from operations $ 854,340 $ 1,130,485

Adjustments to reconcile to operating cash flows: Change in unrealized foreign exchange (gain) loss on currency (133,078) (2,554) Net realized (gain) loss on investments (203,078) 83,301 Net realized (gain) loss on investments sold short 233,681 251,866 Net change in unrealized (appreciation) depreciation of investments (982,398) (990,466) Net change in unrealized (appreciation) depreciation of investments sold short 350,971 (73,634) Net change in unrealized (appreciation) depreciation on currency forward contracts (15,858) 10,652 Net change in unrealized (appreciation) depreciation on swap contracts 26,464 (108,749)

Purchase of investments (94,098,597) (117,310,175) Proceeds from investments sold 93,096,553 102,054,193 (Increase) decrease in daily variation margin (1,616,262) (1,084,973) (Increase) decrease in dividends receivable (444) (45,173) (Increase) decrease in other receivables (151) - Increase (decrease) in accrued security borrowing fees (9,074) 12,051 Increase (decrease) in dividends payable on securities sold short (3,195) 6,357 Increase (decrease) in accrued expenses 17,216 16,239 Increase (decrease) in management fees payable 410 -

Net cash flows from (used in) operating activities (2,482,500) (16,050,580)

Cash flows from (used in) Financing activities Proceeds from redeemable units issued 53,585 16,026,914 Redemption of redeemable units (165,798) (27,912) Distributions paid to holders of redeemable units, net of reinvestments (397) -

Net cash flows from (used in) financing activities (112,610) 15,999,002

Increase (decrease) in cash (bank indebtedness) Net increase (decrease) in cash (bank indebtedness) (2,595,110) (51,578) Change in unrealized foreign exchange gain (loss) on currency 133,078 2,554 Cash, beginning of period 220,871 - Bank indebtedness, beginning of period (269,895) - (2,511,056) (49,024)

Cash, end of period $ 13,424 $ 220,871 Bank indebtedness, end of period $ (2,524,480) $ (269,895) $ (2,511,056) $ (49,024)

Dividends received, net of withholding taxes* $ 567,598 $ 429,016 Dividends paid* 54,614 69,549 Interest received* 2,110 9,412 Interest paid* 38,467 36,689

*included in operating activities

The accompanying notes are an integral part of these financial statements. 99 CC&L Alternative Canadian Equity Fund Schedule of Investment Portfolio As at December 31, 2020 Average Fair Percentage of Number of Cost Value Net Assets Shares $ $ %

Canadian Common Stocks - Long

Energy (December 31, 2019: 15.84%) ARC Resources Ltd. 2,200 13,356 13,200 Athabasca Oil Corp. 1,500 1,405 255 Cameco Corp. 2,900 33,321 49,445 Canacol Energy Ltd. 100 361 375 Canadian Natural Resources Ltd., TSE 8,100 223,343 247,779 Cenovus Energy Inc. 9,700 69,789 75,175 Crescent Point Energy Corp. 12,713 39,748 37,758 Enbridge Inc. 14,300 664,977 582,153 Enerplus Corp. 10,633 40,959 42,319 Gibson Energy Inc. 3,500 77,421 71,960 Husky Energy Inc. 2,200 8,286 13,860 Imperial Oil Ltd. 1,600 32,818 38,656 MEG Energy Corp. 5,100 15,878 22,695 Parex Resources Inc. 4,400 71,919 77,088 Pembina Pipeline Corp. 1,400 58,856 42,140 Precision Drilling Corp. 270 13,251 5,651 Seven Generations Energy Ltd. 3,900 13,222 25,779 Suncor Energy Inc. 11,000 304,002 234,850 TC Energy Corp. 6,800 428,201 351,900 Tervita Corp. 3,400 21,231 9,860 Tidewater Midstream and Infrastructure Ltd. 200 269 164 TORC Oil & Gas Ltd. 300 745 819 Tourmaline Oil Corp. 1,900 28,112 32,604 Vermilion Energy Inc. 1,100 5,895 6,248 Whitecap Resources Inc. 6,800 13,269 33,048 2,180,634 2,015,781 11.28 Materials (December 31, 2019: 12.15%) 5N Plus Inc. 1,400 4,288 4,130 Agnico Eagle Mines Ltd. 1,800 146,381 161,262 Airboss of America Corp. 100 1,594 1,576 Alamos Gold Inc. 2,900 33,766 32,248 Argonaut Gold Inc. 2,400 5,169 6,576 Barrick Gold Corp. 12,900 342,289 374,100 Belo Sun Mining Corp. 8,000 3,706 7,760 Canfor Corp. 1,700 30,042 39,066 Capstone Mining Corp. 600 666 1,428 Cascades Inc. 1,300 18,916 18,915 Centerra Gold Inc. 1,600 19,768 23,584 China Gold International Resources Corp. Ltd. 200 241 364 Copper Mountain Mining Corp. 500 813 905 Dundee Precious Metals Inc. 1,200 9,415 10,980 Eldorado Gold Corp. 5,800 86,743 97,846 ERO Copper Corp. 200 4,126 4,084 First Majestic Silver Corp. 1,400 21,356 23,912 First Quantum Minerals Ltd. 4,100 52,085 93,685 Fortuna Silver Mines Inc. 500 4,776 5,230 Franco-Nevada Corp. 1,400 211,582 223,440 Golden Star Resources Ltd. 1,600 7,487 7,536 Hudbay Minerals Inc. 1,600 9,284 14,256 IAMGOLD Corp. 3,400 17,648 15,878 Imperial Metals Corp. 200 785 1,020

The accompanying notes are an integral part of these financial statements. 100 CC&L Alternative Canadian Equity Fund Schedule of Investment Portfolio As at December 31, 2020 Average Fair Percentage of Number of Cost Value Net Assets Shares $ $ % Interfor Corp. 600 9,767 14,262 Intertape Polymer Group Inc. 400 5,263 9,656 Karora Resources Inc. 600 2,122 2,262 Kinross Gold Corp. 9,100 78,144 84,994 Kirkland Lake Gold Ltd. 564 27,553 29,666 Labrador Iron Ore Royalty Corp. 400 10,929 13,044 Largo Resources Ltd. 12,600 27,294 17,388 Lucara Diamond Corp. 4,400 7,134 2,288 Lundin Gold Inc. 800 6,823 8,744 Lundin Mining Corp. 4,600 37,100 51,980 Methanex Corp. 500 27,730 29,245 New Gold Inc. 7,000 9,630 19,600 Norbord Inc. 300 11,282 16,488 Nutrien Ltd. 4,100 226,945 251,084 OceanaGold Corp. 12,499 36,767 30,748 Pan American Silver Corp. 900 32,705 39,510 Pretium Resources Inc. 1,700 22,371 24,803 Roxgold Inc. 1,400 1,267 2,254 Sandstorm Gold Ltd. 400 3,836 3,648 Silvercorp Metals Inc. 600 4,146 5,106 Stella-Jones Inc. 500 22,327 23,140 Taseko Mines Ltd. 3,371 3,510 5,596 Teck Resources Ltd. 3,416 69,044 78,910 Teranga Gold Corp. 900 12,816 12,294 Torex Gold Resources Inc. 600 10,617 11,454 Wesdome Gold Mines Ltd. 1,000 7,222 10,620 West Fraser Timber Co., Ltd. 700 50,397 57,246 Western Forest Products Inc. 6,600 11,979 8,448 Wheaton Precious Metals Corp. 2,800 125,042 148,848 Winpak Ltd. 200 8,804 8,564 Yamana Gold Inc. 6,400 32,203 46,528 1,975,695 2,238,199 12.52 Capital Goods (December 31, 2019: 2.69%) Aecon Group Inc. 400 5,957 6,544 ATS Automation Tooling Systems Inc. 500 8,934 11,175 Bombardier Inc. 15,100 36,472 7,248 CAE Inc. 2,100 56,751 74,067 Finning International Inc. 100 1,975 2,703 Heroux-Devtek Inc. 500 8,963 7,050 Magellan Aerospace Corp. 1,100 14,296 9,647 Russel Metals Inc. 400 7,526 9,092 SNC-Lavalin Group Inc. 200 4,498 4,346 WSP Global Inc. 100 12,291 12,059 157,663 143,931 0.81 Commercial & Professional Services (December 31, 2019: 2.40%) Black Diamond Group Ltd. 2,800 5,893 7,616 Boyd Group Services Inc. 200 39,066 43,912 Civeo Corp. 37 492 655 Dexterra Group Inc. 2,799 23,629 18,166 Ritchie Bros Auctioneers Inc. 500 39,324 44,240 Stantec Inc. 800 30,717 33,024 Thomson Reuters Corp. 1,200 117,029 125,016 Transcontinental Inc. 2,700 41,321 55,377 Waste Connections Inc. 1,800 224,747 234,936 522,218 562,942 3.15

The accompanying notes are an integral part of these financial statements. 101 CC&L Alternative Canadian Equity Fund Schedule of Investment Portfolio As at December 31, 2020 Average Fair Percentage of Number of Cost Value Net Assets Shares $ $ % Transportation (December 31, 2019: 6.67%) Air Canada 100 2,341 2,277 Canadian National Railway Co. 5,200 616,917 727,688 Canadian Pacific Railway Ltd. 1,100 383,570 485,683 Mullen Group Ltd. 1,900 18,306 20,710 TFI International Inc. 1,800 103,704 117,954 Westshore Terminals Investment Corp. 2,800 48,153 43,652 1,172,991 1,397,964 7.82 Automobiles & Components (December 31, 2019: 0.96%) Exco Technologies Ltd. 4,900 41,637 45,227 Linamar Corp. 300 10,970 20,226 Magna International Inc., TSE 1,725 119,051 155,440 Martinrea International Inc. 2,600 28,741 38,636 200,399 259,529 1.45 Consumer Durables & Apparel (December 31, 2019: 0.73%) BRP Inc. 372 26,262 31,281 Canada Goose Holdings Inc. 400 16,571 15,136 Gildan Activewear Inc. 1,400 41,089 49,826 83,922 96,243 0.54 Consumer Services (December 31, 2019: 1.19%) Pizza Pizza Royalty Corp. 100 1,047 920 Restaurant Brands International Inc. 1,200 93,952 93,396 94,999 94,316 0.53 Retailing (December 31, 2019: 0.73%) Aritzia Inc. 2,000 35,718 51,580 Canadian Tire Corp. Ltd. 500 66,014 83,665 Dollarama Inc. 2,100 94,312 108,948 196,044 244,193 1.37 Food & Staples Retailing (December 31, 2019: 2.93%) Alimentation Couche-Tard Inc., Class B 5,700 244,053 247,266 Empire Co., Ltd. 1,600 53,409 55,664 George Weston Ltd. 500 48,793 47,540 Loblaw Cos Ltd. 1,200 80,301 75,372 Metro Inc. 1,800 102,506 102,240 North West Co Inc. 400 11,551 12,976 540,613 541,058 3.03 Food, Beverage & Tobacco (December 31, 2019: 0.59%) High Liner Foods Inc. 100 1,049 1,110 Leaf Foods Inc. 600 16,667 16,932 Rogers Sugar Inc. 900 4,305 5,049 Saputo Inc. 1,700 57,518 60,571 79,539 83,662 0.47 Household & Personal Products (December 31, 2019: 0.14%) Jamieson Wellness Inc. 1,100 37,198 39,743 0.22

Health Care Equipment & Services (December 31, 2019: 0.39%) CRH Medical Corp. 3,300 12,857 9,834 Extendicare Inc. 2,600 14,769 17,264 Sienna Senior Living Inc. 500 6,800 7,070 Viemed Healthcare Inc. 300 3,231 2,985 37,657 37,153 0.21 Pharmaceuticals & Biotechnology (December 31, 2019: 0.75%) Aphria Inc. 600 5,571 5,280 Bausch Health Cos Inc. 5,100 125,216 134,691 Canopy Growth Corp. 2,200 71,116 68,904

The accompanying notes are an integral part of these financial statements. 102 CC&L Alternative Canadian Equity Fund Schedule of Investment Portfolio As at December 31, 2020 Average Fair Percentage of Number of Cost Value Net Assets Shares $ $ % Trillium Therapeutics Inc. 600 10,833 11,238 212,736 220,113 1.23 Banks (December 31, 2019: 21.82%) Bank of Montreal, NYSE 200 13,510 19,372 Bank of Montreal, TSE 4,300 383,446 416,154 Bank of Nova Scotia 7,700 495,659 529,760 Canadian Imperial Bank of Commerce 2,600 264,577 282,672 Canadian Western Bank 1,700 41,211 48,654 Equitable Group Inc. 100 9,343 10,100 Genworth MI Canada Inc. 300 11,180 13,023 Home Capital Group Inc. 400 11,201 11,880 National Bank of Canada 2,400 159,464 171,936 Royal Bank of Canada 10,300 1,038,539 1,077,277 Toronto-Dominion Bank 13,100 893,145 942,152 3,321,275 3,522,980 19.71 Diversified Financials (December 31, 2019: 3.77%) Brookfield Asset Management Inc. 9,949 458,449 523,516 CI Financial Corp. 1,400 22,780 22,092 Element Fleet Management Corp. 3,200 36,692 42,816 Fiera Capital Corp. 100 1,113 1,068 IGM Financial Inc. 600 16,316 20,706 Onex Corp. 800 45,909 58,448 Sprott Inc. 100 4,421 3,696 TMX Group Ltd. 400 46,946 50,856 632,626 723,198 4.05 Insurance (December 31, 2019: 5.79%) Fairfax Financial Holdings Ltd. 200 94,463 86,770 Great-West Lifeco Inc. 1,900 50,301 57,665 iA Financial Corp. Inc. 800 43,847 44,144 Intact Financial Corp. 1,000 138,832 150,720 Manulife Financial Corp. 10,614 224,234 240,407 Power Corp. of Canada 4,173 113,604 121,977 Sun Life Financial Inc. 4,200 224,944 237,720 Trisura Group Ltd. 64 5,561 5,700 895,786 945,103 5.29 Software & Services (December 31, 2019: 6.04%) CGI Inc. 1,700 156,069 171,683 Constellation Software Inc. 200 293,761 330,584 Descartes Systems Group Inc. 600 43,840 44,670 Enghouse Systems Ltd. 1,000 66,187 61,650 Kinaxis Inc. 400 70,011 72,136 Open Text Corp. 2,500 139,659 144,600 Shopify Inc. 800 519,230 1,149,856 Topicus.com Inc. 367 - 1,766 1,288,757 1,976,945 11.06 Technology Hardware & Equipment (December 31, 2019: 0.18%) Celestica Inc. 800 9,533 8,216 Photon Control Inc. 400 701 808 Quarterhill Inc. 4,700 6,933 12,032 17,167 21,056 0.12 Semiconductors & Semiconductor Equipment (December 31, 2019: 0.19%) Canadian Solar Inc. 43 1,651 2,807 0.02

Telecommunication Services (December 31, 2019: 4.02%) BCE Inc. 6,500 385,115 353,795

The accompanying notes are an integral part of these financial statements. 103 CC&L Alternative Canadian Equity Fund Schedule of Investment Portfolio As at December 31, 2020 Average Fair Percentage of Number of Cost Value Net Assets Shares $ $ % Rogers Communications Inc. 2,500 154,130 148,150 TELUS Corp. 9,300 226,154 234,453 765,399 736,398 4.12 Media & Entertainment (December 31, 2019: 1.37%) Aimia Inc. 8,700 31,820 35,931 Cogeco Communications Inc. 500 48,107 48,930 Corus Entertainment Inc. 4,900 20,380 20,972 Lions Gate Entertainment Corp., Class A 447 5,697 6,475 MDC Partners Inc. 355 736 1,135 Quebecor Inc. 1,300 41,044 42,588 Shaw Communications Inc., Class B 3,300 80,040 73,722 Yellow Pages Ltd. 1,100 8,611 13,783 236,435 243,536 1.36 Utilities (December 31, 2019: 1.86%) Algonquin Power & Utilities Corp. 4,300 87,889 90,085 Atco Ltd. 500 19,379 18,245 Atlantic Power Corp. 600 2,115 1,602 Canadian Utilities Ltd. 800 24,760 24,872 Capital Power Corp. 1,300 41,311 45,474 Emera Inc. 1,800 96,976 97,380 Fortis Inc. 3,400 176,776 176,800 Hydro One Ltd. 2,200 64,848 63,030 Innergex Renewable Energy Inc. 900 21,841 24,633 Northland Power Inc. 1,300 41,123 59,371 Polaris Infrastructure Inc. 200 3,772 3,542 Superior Plus Corp. 1,300 14,842 15,834 TransAlta Corp. 1,800 16,026 17,406 TransAlta Renewables Inc. 100 1,560 2,176 613,218 640,450 3.58 Real Estate (December 31, 2019: 0.85%) Altus Group Ltd. 400 18,810 19,656 Colliers International Group Inc. 200 18,462 22,656 DREAM Unlimited Corp. 200 3,511 4,250 FirstService Corp. 300 45,505 52,266 Real Matters Inc. 2,200 47,727 42,262 Tricon Residential Inc. 2,000 21,885 22,860 155,900 163,950 0.92 Total Canadian Common Stocks - Long 15,420,522 16,951,250 94.86

Canadian Common Stocks - Short

Energy (December 31, 2019: -0.15%) Advantage Oil & Gas Ltd. (200) (331) (342) Computer Modelling Group Ltd. (200) (1,066) (976) Freehold Royalties Ltd. (300) (1,444) (1,563) Kelt Exploration Ltd. (500) (693) (900) NuVista Energy Ltd. (8,000) (16,612) (7,520) Pason Systems Inc. (300) (1,586) (2,364) Secure Energy Services Inc. (400) (925) (984) Total Energy Services Inc. (400) (710) (1,312) (23,367) (15,961) (0.09) Materials (December 31, 2019: -0.05%) Equinox Gold Corp. (500) (6,509) (6,585) MAG Silver Corp. (200) (4,630) (5,212) Northern Dynasty Minerals Ltd. (10) (20) (4)

The accompanying notes are an integral part of these financial statements. 104 CC&L Alternative Canadian Equity Fund Schedule of Investment Portfolio As at December 31, 2020 Average Fair Percentage of Number of Cost Value Net Assets Shares $ $ % SilverCrest Metals Inc. (400) (4,590) (5,676) Wallbridge Mining Co., Ltd. (1,000) (770) (780) (16,519) (18,257) (0.10) Capital Goods (December 31, 2019: Nil%) DIRTT Environmental Solutions (300) (931) (933) (0.01)

Transportation (December 31, 2019: Nil%) Chorus Aviation Inc. (100) (262) (370) -

Retailing (December 31, 2019: Nil%) Diversified Royalty Corp. (500) (910) (1,190) (0.01)

Pharmaceuticals & Biotechnology (December 31, 2019: -0.17%) BELLUS Health Inc. (600) (2,010) (2,298) Charlottes Web Holdings Inc. (500) (1,818) (2,095) HEXO Corp. (2,575) (11,430) (12,025) MediPharm Labs Corp. (300) (330) (159) XBiotech Inc. (30) (670) (598) (16,258) (17,175) (0.10) Software & Services (December 31, 2019: Nil%) Lightspeed POS Inc. (300) (17,324) (26,952) (0.15)

Real Estate (December 31, 2019: Nil%) Invesque Inc. (100) (288) (233) - Total Canadian Common Stocks - Short (75,859) (81,071) (0.46)

United States Common Stocks - Long

Energy (December 31, 2019: 1.62%) Antero Resources Corp. 1,857 11,897 12,894 Baker Hughes Co. 1,100 28,024 29,219 Centennial Resource Development Inc. 2,106 2,405 4,025 CNX Resources Corp. 2,662 32,321 36,627 CVR Energy Inc. 19 363 361 Delek US Holdings Inc. 73 1,501 1,495 Gran Tierra Energy Inc., ASE 733 372 340 Gran Tierra Energy Inc., TSE 1,100 3,444 517 Helmerich & Payne Inc. 276 6,594 8,144 Kosmos Energy Ltd. 1 2 3 Magnolia Oil & Gas Corp. 410 3,803 3,688 Marathon Oil Corp. 221 1,991 1,878 Matador Resources Co. 357 5,340 5,485 Murphy Oil Corp. 1,270 16,216 19,578 National Oilwell Varco Inc. 3,858 61,853 67,484 Newpark Resources Inc. 322 449 788 NexTier Oilfield Solutions Inc. 551 3,030 2,415 Oil States International Inc. 321 1,585 2,053 Ovintiv Inc. 3,000 39,415 54,870 PBF Energy Inc. 778 7,649 7,037 Peabody Energy Corp. 124 362 381 Penn Virginia Corp. 45 585 582 ProPetro Holding Corp. 922 5,742 8,681 QEP Resources Inc. 178 653 542 Range Resources Corp. 186 1,758 1,588 SM Energy Co. 364 2,591 2,838

The accompanying notes are an integral part of these financial statements. 105 CC&L Alternative Canadian Equity Fund Schedule of Investment Portfolio As at December 31, 2020 Average Fair Percentage of Number of Cost Value Net Assets Shares $ $ % Targa Resources Corp. 422 10,600 14,183 US Silica Holdings Inc. 100 641 894 Williams Cos Inc. 87 2,318 2,222 253,504 290,812 1.63 Materials (December 31, 2019: 0.76%) Century Aluminum Co. 26 356 365 Intrepid Potash Inc. 81 3,882 2,492 Resolute Forest Products Inc., NYSE 300 1,188 2,500 Southern Copper Corp. 961 58,276 79,727 TimkenSteel Corp. 83 359 494 United States Steel Corp. 428 9,487 9,144 Verso Corp. 667 15,740 10,214 89,288 104,936 0.59 Capital Goods (December 31, 2019: 0.88%) Argan Inc. 6 338 340 CAI International Inc. 250 8,247 9,950 L B Foster Co. 50 1,597 959 Mercury Systems Inc. 9 923 1,010 MRC Global Inc. 701 4,612 5,921 MSC Industrial Direct Co Inc. 6 661 645 NOW Inc. 495 4,618 4,528 REV Group Inc. 155 1,437 1,740 Triumph Group Inc. 23 380 368 Ultralife Corp. 42 396 346 Veritiv Corp. 42 979 1,112 Watsco Inc. 2 610 577 24,798 27,496 0.15 Commercial & Professional Services (December 31, 2019: 0.15%) ACCO Brands Corp. 13 140 140 Heidrick & Struggles International Inc. 100 5,762 3,743 IBI Group Inc. 100 532 819 Mistras Group Inc. 174 907 1,720 Rollins Inc. 41 1,926 2,041 9,267 8,463 0.05 Transportation (December 31, 2019: 0.09%) Allegiant Travel Co. 30 5,249 7,233 American Airlines Group Inc. 1,020 21,281 20,493 Covenant Logistics Group Inc. 45 1,245 849 Mesa Air Group Inc. 88 775 750 Southwest Airlines Co. 31 1,833 1,841 US Xpress Enterprises Inc. 38 492 331 30,875 31,497 0.18 Automobiles & Components (December 31, 2019: 0.25%) Cooper-Standard Holdings Inc. 25 1,007 1,104 Fox Factory Holding Corp. 40 4,130 5,387 Harley-Davidson Inc. 124 5,674 5,798 Modine Manufacturing Co. 29 383 464 Standard Motor Products Inc. 6 369 309 11,563 13,062 0.07 Consumer Durables & Apparel (December 31, 2019: 0.19%) Bassett Furniture Industries Inc. 75 1,151 1,919 Escalade Inc. 21 519 566 Ethan Allen Interiors Inc. 123 2,743 3,167 G-III Apparel Group Ltd. 24 351 726 Hooker Furniture Corp. 10 379 411

The accompanying notes are an integral part of these financial statements. 106 CC&L Alternative Canadian Equity Fund Schedule of Investment Portfolio As at December 31, 2020 Average Fair Percentage of Number of Cost Value Net Assets Shares $ $ % Kontoor Brands Inc. 193 8,230 9,973 NIKE Inc., Class B 70 12,610 12,616 Superior Group of Cos Inc. 28 807 829 Tupperware Brands Corp. 187 6,548 7,717 Vera Bradley Inc. 123 1,647 1,247 34,985 39,171 0.22 Consumer Services (December 31, 2019: 0.40%) American Public Education Inc. 100 4,307 3,883 Biglari Holdings Inc. 75 10,041 10,625 BJ's Restaurants Inc. 142 4,680 6,963 Bloomin' Brands Inc. 589 9,229 14,572 Bluegreen Vacations Holding Corp. 38 486 655 Bright Horizons Family Solutions Inc. 2 436 441 Brinker International Inc. 205 11,690 14,774 Carrols Restaurant Group Inc. 127 1,210 1,016 Cheesecake Factory Inc. 400 17,928 18,886 Chegg Inc. 290 26,345 33,373 Chipotle Mexican Grill Inc. 1 1,672 1,767 Collectors Universe Inc. 4 363 384 Fiesta Restaurant Group Inc. 67 877 973 Houghton Mifflin Harcourt Co. 1,601 7,164 6,792 Inspired Entertainment Inc. 50 398 419 McDonald's Corp. 3 812 820 Papa John's International Inc. 62 6,405 6,702 Perdoceo Education Corp. 131 3,155 2,108 PlayAGS Inc. 1,078 5,249 9,888 Potbelly Corp. 200 983 1,121 Red Robin Gourmet Burgers Inc. 178 2,419 4,361 Red Rock Resorts Inc. 237 5,290 7,561 SeaWorld Entertainment Inc. 161 5,413 6,480 Service Corp. International/US 30 1,905 1,877 Starbucks Corp. 82 10,931 11,176 Target Hospitality Corp. 821 1,507 1,653 Texas Roadhouse Inc. 132 12,929 13,144 Vail Resorts Inc. 2 708 711 Wingstop Inc. 77 13,924 13,003 168,456 196,128 1.10 Retailing (December 31, 2019: 0.37%) Abercrombie & Fitch Co. 660 10,454 17,119 American Eagle Outfitters Inc. 275 4,986 7,032 Bed Bath & Beyond Inc. 59 1,470 1,335 Caleres Inc. 31 433 618 Children's Place Inc. 61 1,719 3,893 Haverty Furniture Cos Inc. 98 2,496 3,455 Hibbett Sports Inc. 138 6,931 8,119 L Brands Inc. 801 17,985 37,951 Lumber Liquidators Holdings Inc. 66 1,017 2,585 ODP Corp. 27 710 1,008 Tilly's Inc. 95 926 988 Urban Outfitters Inc. 291 8,467 9,491 57,594 93,594 0.52 Food & Staples Retailing (December 31, 2019: 0.07%)

Food, Beverage & Tobacco (December 31, 2019: 0.12%) Coca-Cola Co. 12 811 838

The accompanying notes are an integral part of these financial statements. 107 CC&L Alternative Canadian Equity Fund Schedule of Investment Portfolio As at December 31, 2020 Average Fair Percentage of Number of Cost Value Net Assets Shares $ $ % Freshpet Inc. 18 3,184 3,256 Monster Beverage Corp. 6 567 707 Sanderson Farms Inc. 7 1,169 1,179 5,731 5,980 0.03 Household & Personal Products (December 31, 2019: 0.12%) Coty Inc. 3,210 14,306 28,709 Lifevantage Corp. 217 4,047 2,577 Nature's Sunshine Products Inc. 20 356 381 Nu Skin Enterprises Inc. 8 503 557 19,212 32,224 0.18 Health Care Equipment & Services (December 31, 2019: 0.52%) Brookdale Senior Living Inc. 122 417 689 Chembio Diagnostics Inc. 25 481 151 Community Health Systems Inc. 1,600 10,533 15,145 CryoPort Inc. 45 2,808 2,516 Genesis Healthcare Inc. 495 358 306 Invacare Corp. 37 354 422 LENSAR Inc. 114 488 1,053 National Healthcare Corp. 5 445 423 Neogen Corp. 8 740 808 Penumbra Inc. 64 17,427 14,269 Providence Service Corp. 3 366 530 SeaSpine Holdings Corp. 25 493 556 Surgalign Holdings Inc. 118 347 329 Tivity Health Inc. 87 1,651 2,171 Triple-S Management Corp. 94 1,999 2,557 38,907 41,925 0.23 Pharmaceuticals & Biotechnology (December 31, 2019: 0.81%) Abeona Therapeutics Inc. 963 2,543 1,926 Acceleron Pharma Inc. 10 1,674 1,630 Actinium Pharmaceuticals Inc. 25 373 248 Amicus Therapeutics Inc. 134 4,117 3,942 AnaptysBio Inc. 39 1,022 1,068 Arcus Biosciences Inc. 640 19,918 21,167 Blueprint Medicines Corp. 27 4,142 3,858 CareDx Inc. 34 3,155 3,138 Catalyst Biosciences Inc. 364 2,794 2,926 Celldex Therapeutics Inc. 94 1,451 2,098 Chimerix Inc. 675 2,420 4,154 Cidara Therapeutics Inc. 191 857 487 Corvus Pharmaceuticals Inc. 75 352 340 CytomX Therapeutics Inc. 452 4,404 3,772 Denali Therapeutics Inc. 63 7,006 6,723 Dicerna Pharmaceuticals Inc. 37 1,086 1,038 Eagle Pharmaceuticals Inc. 8 485 475 Fate Therapeutics Inc. 85 10,373 9,847 FibroGen Inc. 66 3,524 3,119 Fluidigm Corp. 330 2,682 2,523 G1 Therapeutics Inc. 22 537 504 GlycoMimetics Inc. 629 3,037 3,013 Halozyme Therapeutics Inc. 18 988 979 Harvard Bioscience Inc. 287 1,415 1,569 Intellia Therapeutics Inc. 12 986 832 Intercept Pharmaceuticals Inc. 18 730 566 Invitae Corp. 66 3,777 3,516

The accompanying notes are an integral part of these financial statements. 108 CC&L Alternative Canadian Equity Fund Schedule of Investment Portfolio As at December 31, 2020 Average Fair Percentage of Number of Cost Value Net Assets Shares $ $ % Johnson & Johnson 5 966 1,003 Lexicon Pharmaceuticals Inc. 924 2,325 4,026 MEI Pharma Inc. 924 3,618 3,108 Minerva Neurosciences Inc. 267 1,275 796 Mirati Therapeutics Inc. 4 1,212 1,119 Myriad Genetics Inc. 37 880 932 Novavax Inc. 51 7,911 7,245 Ovid Therapeutics Inc. 355 2,993 1,045 Pacific Biosciences of California Inc. 763 16,170 25,215 PDL BioPharma Inc. 1,517 7,899 4,774 Radius Health Inc. 25 607 569 Rocket Pharmaceuticals Inc. 6 459 419 Sage Therapeutics Inc. 9 1,011 992 Sangamo Therapeutics Inc. 669 10,372 13,300 Sio Gene Therapies Inc. 318 1,239 1,126 Spectrum Pharmaceuticals Inc. 575 3,282 2,498 TG Therapeutics Inc. 90 6,113 5,965 Translate Bio Inc. 116 3,180 2,724 Travere Therapeutics Inc. 39 1,396 1,354 Twist Bioscience Corp. 5 925 900 Ultragenyx Pharmaceutical Inc. 11 2,084 1,940 United Therapeutics Corp. 2 381 387 Vanda Pharmaceuticals Inc. 39 681 653 Verastem Inc. 582 1,734 1,579 Voyager Therapeutics Inc. 34 391 310 VYNE Therapeutics Inc. 1,602 3,639 3,225 168,591 172,662 0.97 Banks (December 31, 2019: 0.38%) Berkshire Hills Bancorp Inc. 23 382 502 Cathay General Bancorp 10 364 410 City Holding Co. 10 806 886 Community Bank System Inc. 5 377 397 First Foundation Inc. 17 366 433 First Interstate Bancsystem Inc. 8 406 416 Flagstar Bancorp Inc. 13 556 675 HarborOne Bancorp Inc. 47 613 650 Hope Bancorp Inc. 30 377 417 Level One Bancorp Inc. 14 358 361 Ocwen Financial Corp. 65 1,165 2,394 Provident Bancorp Inc. 100 1,523 1,529 Tristate Capital Holdings Inc. 23 463 510 Trustmark Corp. 11 353 383 Wintrust Financial Corp. 5 351 389 8,460 10,352 0.06 Diversified Financials (December 31, 2019: 0.74%) Blucora Inc. 38 591 770 Curo Group Holdings Corp. 218 3,322 3,980 Elevate Credit Inc. 253 715 1,286 4,628 6,036 0.03 Insurance (December 31, 2019: 0.13%)

Software & Services (December 31, 2019: 1.33%) Brightcove Inc., Rights 68 1,014 1,594 ChannelAdvisor Corp. 74 1,691 1,507 Computer Task Group Inc. 86 752 671

The accompanying notes are an integral part of these financial statements. 109 CC&L Alternative Canadian Equity Fund Schedule of Investment Portfolio As at December 31, 2020 Average Fair Percentage of Number of Cost Value Net Assets Shares $ $ % Concentrix Corp. 2 207 251 Conduent Inc. 2,575 21,695 15,747 Guidewire Software Inc. 7 1,155 1,148 Magic Software Enterprises Ltd. 219 2,790 4,366 Net 1 UEPS Technologies Inc. 125 672 784 PayPal Holdings Inc. 20 5,909 5,967 PRGX Global Inc. 100 661 972 Sabre Corp. 113 1,266 1,730 SecureWorks Corp. 175 3,333 3,170 SolarWinds Corp. 103 2,065 1,962 Visa Inc. 276 74,560 76,911 117,770 116,780 0.65 Technology Hardware & Equipment (December 31, 2019: 0.05%) Emcore Corp. 161 679 1,118 Ribbon Communications Inc. 86 711 719 SYNNEX Corp. 2 381 208 1,771 2,045 0.01 Semiconductors & Semiconductor Equipment (December 31, 2019: Nil%) Kulicke & Soffa Industries Inc. 31 1,260 1,256 Magnachip Semiconductor Corp. 311 5,189 5,357 Monolithic Power Systems Inc. 1 459 467 Teradyne Inc. 4 613 611 7,521 7,691 0.04 Telecommunication Services (December 31, 2019: 0.03%) NII Holdings Inc. 992 2,791 2,742 T-Mobile US Inc. 112 18,883 19,241 21,674 21,983 0.12 Media & Entertainment (December 31, 2019: 0.11%) Cars.com Inc. 125 741 1,800 Charter Communications Inc. 2 1,648 1,686 Cinemark Holdings Inc. 362 6,635 8,029 comScore Inc. 211 868 669 DHI Group Inc. 1,200 5,983 3,394 Gaia Inc. 56 873 705 Lee Enterprises Inc. 200 497 321 Liberty Media Corp-Liberty Braves, Series C 18 471 571 Liberty Media Corp-Liberty Formula One 101 4,982 5,482 LiveXLive Media Inc. 625 1,629 2,612 Marcus Corp. 27 351 464 National CineMedia Inc. 140 536 664 Roku Inc. 81 27,078 34,262 Snap Inc. 256 17,013 16,330 TrueCar Inc. 1,013 4,395 5,420 Yelp Inc. 26 883 1,082 74,583 83,491 0.47 Utilities (December 31, 2019: 0.46%) Dominion Energy Inc. 4 379 383 Pure Cycle Corp. 25 414 358 793 741 - Real Estate (December 31, 2019: 0.04%)

Total United States Common Stocks - Long 1,149,971 1,307,069 7.30

The accompanying notes are an integral part of these financial statements. 110 CC&L Alternative Canadian Equity Fund Schedule of Investment Portfolio As at December 31, 2020 Average Fair Percentage of Number of Cost Value Net Assets Shares $ $ % United States Common Stocks - Short

Energy (December 31, 2019: -2.01%) Aspen Aerogels Inc. (25) (307) (532) Cactus Inc. (16) (538) (531) ChampionX Corp. (1,888) (24,635) (36,801) Clean Energy Fuels Corp. (772) (6,801) (7,731) Comstock Resources Inc. (1,642) (10,413) (9,142) Contango Oil & Gas Co. (722) (2,149) (2,106) Diamondback Energy Inc. (1,181) (62,554) (72,822) Falcon Minerals Corp. (183) (724) (734) Matrix Service Co. (100) (1,687) (1,404) Natural Gas Services Group Inc. (55) (801) (664) Northern Oil and Gas Inc. (119) (1,185) (1,328) Oceaneering International Inc. (81) (834) (820) ONEOK Inc. (1,035) (39,427) (50,607) PDC Energy Inc. (540) (9,573) (14,124) Select Energy Services Inc. (227) (2,008) (1,186) Solaris Oilfield Infrastructure Inc. (312) (5,589) (3,236) Tidewater Inc. (25) (302) (275) (169,527) (204,043) (1.14) Materials (December 31, 2019: -1.19%) Amyris Inc. (1,819) (9,469) (14,310) Avient Corp. (10) (358) (513) Glatfelter Corp. (24) (536) (501) Marrone Bio Innovations Inc. (387) (656) (616) Materion Corp. (5) (392) (406) Warrior Met Coal Inc. (183) (4,114) (4,971) (15,525) (21,317) (0.12) Capital Goods (December 31, 2019: -1.34%) Air Lease Corp. (92) (4,715) (5,206) American Superconductor Corp. (65) (1,669) (1,939) Apogee Enterprises Inc. (19) (793) (767) Barnes Group Inc. (12) (776) (775) Bloom Energy Corp. (736) (25,182) (26,873) EVI Industries Inc. (50) (2,390) (1,906) Evoqua Water Technologies Corp. (88) (2,844) (3,025) GMS Inc. (10) (383) (388) Infrastructure and Energy Alternatives Inc. (41) (892) (866) LiqTech International Inc. (67) (607) (683) Meritor Inc. (40) (1,447) (1,422) NV5 Global Inc. (86) (5,636) (8,631) Textron Inc. (1) (47) (62) Tutor Perini Corp. (72) (1,218) (1,188) (48,599) (53,731) (0.30) Commercial & Professional Services (December 31, 2019: -0.10%) Harsco Corp. (57) (1,148) (1,306) Steelcase Inc. (129) (2,109) (2,227) Team Inc. (44) (472) (611) US Ecology Inc. (76) (3,596) (3,518) Willdan Group Inc. (25) (1,012) (1,328) (8,337) (8,990) (0.05) Transportation (December 31, 2019: -0.05%) Air Transport Services Group Inc. (498) (15,058) (19,884) Daseke Inc. (175) (831) (1,295)

The accompanying notes are an integral part of these financial statements. 111 CC&L Alternative Canadian Equity Fund Schedule of Investment Portfolio As at December 31, 2020 Average Fair Percentage of Number of Cost Value Net Assets Shares $ $ % SkyWest Inc. (72) (3,264) (3,698) (19,153) (24,877) (0.14) Automobiles & Components (December 31, 2019: -0.46%) Dana Inc. (160) (3,832) (3,979) Horizon Global Corp. (447) (2,762) (4,892) Kandi Technologies Group Inc. (333) (4,876) (2,927) Motorcar Parts of America Inc. (450) (11,345) (11,248) Veoneer Inc. (86) (1,757) (2,334) Winnebago Industries Inc. (20) (1,477) (1,527) (26,049) (26,907) (0.15) Consumer Durables & Apparel (December 31, 2019: -0.35%) Callaway Golf Co. (154) (4,228) (4,711) Century Communities Inc. (7) (389) (390) Hovnanian Enterprises Inc. (8) (378) (335) Installed Building Products Inc. (14) (1,789) (1,818) KB Home (335) (14,947) (14,306) Meritage Homes Corp. (26) (2,959) (2,743) Nautilus Inc. (233) (5,359) (5,385) Taylor Morrison Home Corp. (114) (3,729) (3,725) Tempur Sealy International Inc. (159) (5,132) (5,469) TRI Pointe Group Inc. (59) (1,327) (1,297) (40,237) (40,179) (0.22) Consumer Services (December 31, 2019: -0.37%) Denny's Corp. (686) (8,528) (12,830) Dine Brands Global Inc. (11) (670) (813) Penn National Gaming Inc. (126) (13,118) (13,864) (22,316) (27,507) (0.15) Retailing (December 31, 2019: -1.23%) 1-800-Flowers.com Inc. (31) (891) (1,027) Aaron's Co Inc. (77) (2,194) (1,860) America's Car-Mart Inc. (9) (1,262) (1,259) Asbury Automotive Group Inc. (45) (7,619) (8,355) Boot Barn Holdings Inc. (13) (343) (718) Conn's Inc. (124) (1,957) (1,847) Duluth Holdings Inc. (814) (14,435) (10,951) Expedia Group Inc. (444) (60,123) (74,893) Magnite Inc. (1,045) (12,004) (40,885) Sleep Number Corp. (95) (7,874) (9,908) Stamps.com Inc. (3) (837) (750) (109,539) (152,453) (0.85) Food & Staples Retailing (December 31, 2019: -0.01%) Chefs' Warehouse Inc. (177) (3,692) (5,793) Performance Food Group Co. (6) (352) (364) (4,044) (6,157) (0.03) Food, Beverage & Tobacco (December 31, 2019: -0.27%) MGP Ingredients Inc. (25) (1,370) (1,499) NewAge Inc. (763) (2,229) (2,557) (3,599) (4,056) (0.02) Household & Personal Products (December 31, 2019: -0.02%) Veru Inc. (185) (2,294) (2,039) (0.01)

Health Care Equipment & Services (December 31, 2019: -1.56%) Allscripts Healthcare Solutions Inc. (58) (893) (1,067) Antares Pharma Inc. (412) (1,530) (2,094) Cantel Medical Corp. (63) (3,388) (6,329)

The accompanying notes are an integral part of these financial statements. 112 CC&L Alternative Canadian Equity Fund Schedule of Investment Portfolio As at December 31, 2020 Average Fair Percentage of Number of Cost Value Net Assets Shares $ $ % Cerus Corp. (72) (581) (635) CONMED Corp. (4) (542) (571) Evolent Health Inc. (656) (9,735) (13,397) Fulgent Genetics Inc. (160) (8,425) (10,620) Icad Inc. (50) (822) (841) IntriCon Corp. (100) (2,262) (2,306) Lantheus Holdings Inc. (574) (9,914) (9,865) MEDNAX Inc. (85) (2,156) (2,657) Merit Medical Systems Inc. (6) (356) (424) Premier Inc. (126) (5,397) (5,634) Quidel Corp. (3) (773) (687) Sientra Inc. (211) (1,071) (1,046) Tabula Rasa HealthCare Inc. (345) (22,707) (18,829) Tactile Systems Technology Inc. (48) (2,832) (2,748) US Physical Therapy Inc. (26) (2,923) (3,983) Varex Imaging Corp. (37) (746) (786) (77,053) (84,519) (0.47) Pharmaceuticals & Biotechnology (December 31, 2019: -2.66%) AcelRx Pharmaceuticals Inc. (1,604) (7,032) (2,534) ADMA Biologics Inc. (220) (923) (547) Adverum Biotechnologies Inc. (807) (20,031) (11,145) Agenus Inc. (303) (1,277) (1,228) Allakos Inc. (102) (12,588) (18,193) Ampio Pharmaceuticals Inc. (449) (1,092) (910) Arrowhead Pharmaceuticals Inc. (392) (21,727) (38,320) Avid Bioservices Inc. (56) (782) (823) Avrobio Inc. (85) (2,250) (1,510) BioDelivery Sciences International Inc. (224) (1,080) (1,199) Calithera Biosciences Inc. (65) (420) (407) Codexis Inc. (145) (2,397) (4,033) Coherus Biosciences Inc. (1,008) (24,927) (22,319) Constellation Pharmaceuticals Inc. (12) (353) (440) Corbus Pharmaceuticals Holdings Inc. (1,007) (1,447) (1,604) Cyclerion Therapeutics Inc. (75) (560) (292) Deciphera Pharmaceuticals Inc. (38) (2,948) (2,763) DermTech Inc. (16) (654) (661) Dynavax Technologies Corp. (1,035) (5,768) (5,868) Evolus Inc. (25) (463) (107) EyePoint Pharmaceuticals Inc. (86) (1,372) (721) Flexion Therapeutics Inc. (719) (15,304) (10,571) Gossamer Bio Inc. (48) (835) (591) Immunogen Inc. (2,450) (14,404) (20,132) Inovio Pharmaceuticals Inc. (569) (6,776) (6,415) Insmed Inc. (171) (6,225) (7,252) Lannett Co Inc. (416) (4,170) (3,455) LogicBio Therapeutics Inc. (89) (724) (865) Marker Therapeutics Inc. (1,811) (19,375) (3,345) Merrimack Pharmaceuticals Inc. (34) (363) (298) Omeros Corp. (560) (12,374) (10,191) Oncocyte Corp. (532) (927) (1,593) Optinose Inc. (314) (2,682) (1,656) Precigen Inc. (184) (2,358) (2,391) Scholar Rock Holding Corp. (219) (11,957) (13,540) Solid Biosciences Inc. (143) (802) (1,381) Syneos Health Inc. (188) (14,439) (16,318)

The accompanying notes are an integral part of these financial statements. 113 CC&L Alternative Canadian Equity Fund Schedule of Investment Portfolio As at December 31, 2020 Average Fair Percentage of Number of Cost Value Net Assets Shares $ $ % TCR2 Therapeutics Inc. (14) (367) (552) TherapeuticsMD Inc. (3,251) (14,852) (5,012) Zynerba Pharmaceuticals Inc. (225) (4,147) (946) (243,172) (222,128) (1.24) Banks (December 31, 2019: -0.77%) Allegiance Bancshares Inc. (14) (628) (609) Banc of California Inc. (807) (16,579) (15,124) Byline Bancorp Inc. (25) (431) (492) FB Financial Corp. (12) (537) (531) Seacoast Banking Corp. of Florida (32) (1,197) (1,201) Veritex Holdings Inc. (24) (771) (785) WSFS Financial Corp. (111) (4,190) (6,347) (24,333) (25,089) (0.14) Diversified Financials (December 31, 2019: -0.33%) PROG Holdings Inc. (97) (7,416) (6,657) Virtu Financial Inc. (78) (2,446) (2,501) (9,862) (9,158) (0.05) Insurance (December 31, 2019: -0.14%)

Software & Services (December 31, 2019: -1.82%) Digimarc Corp. (100) (3,550) (6,018) DXC Technology Co. (612) (16,827) (20,077) FireEye Inc. (158) (4,326) (4,642) Ideanomics Inc. (445) (1,604) (1,128) KBR Inc. (973) (31,069) (38,341) Limelight Networks Inc. (1,219) (5,960) (6,196) OneSpan Inc. (79) (2,294) (2,081) Paysign Inc. (113) (800) (668) Pluralsight Inc. (108) (2,490) (2,884) PROS Holdings Inc. (243) (11,422) (15,717) ShotSpotter Inc. (75) (4,358) (3,602) Switch Inc. (75) (1,523) (1,564) Unisys Corp. (40) (751) (1,003) Veritone Inc. (315) (10,812) (11,417) Verra Mobility Corp. (304) (4,517) (5,198) Wex Inc. (39) (8,959) (10,113) Xperi Holding Corp. (202) (3,605) (5,379) Zix Corp. (288) (2,410) (3,166) (117,277) (139,194) (0.78) Technology Hardware & Equipment (December 31, 2019: -1.17%) 3D Systems Corp. (1,361) (18,546) (18,171) Benchmark Electronics Inc. (11) (370) (379) Casa Systems Inc. (113) (701) (888) CommScope Holding Co Inc. (247) (3,068) (4,217) Comtech Telecommunications Corp. (165) (3,888) (4,349) DZS Inc. (25) (243) (493) Insight Enterprises Inc. (4) (386) (388) Intevac Inc. (100) (679) (919) MTS Systems Corp. (11) (366) (815) Napco Security Technologies Inc. (25) (721) (835) NCR Corp. (819) (23,987) (39,201) PC Connection Inc. (8) (540) (482) (53,495) (71,137) (0.40) Semiconductors & Semiconductor Equipment (December 31, 2019: -1.65%) ACM Research Inc. (118) (11,409) (12,214)

The accompanying notes are an integral part of these financial statements. 114 CC&L Alternative Canadian Equity Fund Schedule of Investment Portfolio As at December 31, 2020 Average Fair Percentage of Number of Cost Value Net Assets Shares $ $ % CMC Materials Inc. (26) (5,340) (5,012) Enphase Energy Inc. (207) (29,652) (46,275) First Solar Inc. (11) (1,463) (1,386) Impinj Inc. (66) (2,824) (3,521) MaxLinear Inc. (55) (2,149) (2,676) SunPower Corp. (426) (10,204) (13,915) Veeco Instruments Inc. (302) (4,842) (6,679) (67,883) (91,678) (0.51) Telecommunication Services (December 31, 2019: -0.26%) Boingo Wireless Inc. (25) (456) (405) Globalstar Inc. (2,623) (1,421) (1,131) ORBCOMM Inc. (51) (444) (482) Shenandoah Telecommunications Co. (24) (1,676) (1,322) (3,997) (3,340) (0.02) Media & Entertainment (December 31, 2019: -0.46%) Eventbrite Inc. (781) (12,297) (18,009) EW Scripps Co. (64) (1,208) (1,247) JOYY Inc. (180) (19,867) (18,341) Liberty TripAdvisor Holdings Inc. (70) (369) (387) Scholastic Corp. (12) (361) (382) TripAdvisor Inc. (1,210) (39,091) (44,365) ViacomCBS Inc. (1,344) (51,499) (63,799) (124,692) (146,530) (0.82) Utilities (December 31, 2019: -0.20%) South Jersey Industries Inc. (14) (386) (384) -

Real Estate (December 31, 2019: -0.06%) eXp World Holdings Inc. (17) (1,212) (1,367) Maui Land & Pineapple Co Inc. (100) (1,478) (1,469) Redfin Corp. (16) (1,388) (1,399) (4,078) (4,235) (0.02) Total United States Common Stocks - Short (1,195,447) (1,369,648) (7.63)

Foreign Common Stocks - Long

Energy (December 31, 2019: 1.49%) BP PLC 1,864 50,211 48,730 BW Energy Ltd. 45 160 185 CNOOC Ltd., NYSE 165 21,395 19,266 CropEnergies AG 50 728 927 Eni SpA 143 3,899 3,753 Golar LNG Ltd. 104 850 1,277 Nabors Industries Ltd. 35 2,568 2,596 Scorpio Tankers Inc. 145 2,257 2,067 SFL Corp. Ltd. 1,160 9,916 9,281 TechnipFMC PLC 1,671 16,777 20,011 Teekay Tankers Ltd. 98 1,497 1,375 Tenaris SA 2,273 44,647 46,188 YPF SA 848 6,408 5,078 161,313 160,734 0.90 Materials (December 31, 2019: 2.04%) ArcelorMittal SA, NYSE 1,523 21,642 44,433 Cemex SAB de CV 11,095 39,491 73,078 Cia Siderurgica Nacional SA 925 2,075 7,012 DRDGOLD Ltd., ADR 250 1,102 3,736

The accompanying notes are an integral part of these financial statements. 115 CC&L Alternative Canadian Equity Fund Schedule of Investment Portfolio As at December 31, 2020 Average Fair Percentage of Number of Cost Value Net Assets Shares $ $ % Ferrexpo PLC 3,850 17,196 18,948 Ferroglobe PLC 831 869 1,736 Fujikura Kasei Co., Ltd. 200 1,390 1,355 Grange Resources Ltd. 5,050 1,286 1,465 Harmony Gold Mining Co., Ltd. 1,469 9,322 8,759 Hokko Chemical Industry Co., Ltd. 800 4,852 11,352 Macmahon Holdings Ltd. 5,225 1,063 1,361 Medusa Mining Ltd. 4,300 2,535 3,255 Mount Gibson Iron Ltd. 1,000 638 904 Nippon Fine Chemical Co., Ltd. 100 1,651 1,758 Sandfire Resources Ltd. 825 4,074 4,339 Sasol Ltd., ADR 1,349 13,285 15,227 Sibanye Stillwater Ltd., ADR 2,160 37,005 43,727 Silver Lake Resources Ltd. 772 978 1,359 St Barbara Ltd. 940 2,028 2,181 Swiss Steel Holding AG 75 22 25 Venator Materials PLC 696 2,622 2,935 Wienerberger AG 345 10,796 14,025 175,922 262,970 1.47 Capital Goods (December 31, 2019: 1.95%) AerCap Holdings NV 83 3,376 4,820 Alinco Inc. 200 2,702 2,330 Austal Ltd. 1,475 4,350 3,872 Elco Ltd. 363 19,425 23,434 Electra Ltd. 3 2,067 2,090 Endo Lighting Corp. 100 831 627 FSE Services Group Ltd. 996 651 586 Furusato Industries Ltd. 100 1,720 1,615 Instalco AB 46 722 1,791 INVISIO AB 14 254 543 Inwido AB 175 1,678 3,271 Isolite Insulating Products Co., Ltd. 300 2,273 1,795 Kongsberg Gruppen ASA 75 1,723 1,966 Lindab International AB 150 2,179 3,965 Meiwa Corp. 1,100 7,780 6,040 Miyaji Engineering Group Inc. 100 2,449 2,974 Munters Group AB 75 506 966 Nakano Corp. 100 575 512 Nikkiso Co., Ltd. 300 4,599 3,717 Nitta Corp. 100 3,631 2,752 Nitto Kogyo Corp. 200 4,926 5,042 NKT A/S 26 695 1,477 Nordic Waterproofing Holding AB 25 352 636 Shikun & Binui Ltd. 6 28 45 Shinnihon Corp. 400 4,470 4,092 Shinwa Co., Ltd. 100 2,952 2,643 Sinotruk Hong Kong Ltd. 498 1,234 1,620 Systemair AB 40 798 1,598 Tsubaki Nakashima Co., Ltd. 100 907 1,385 Xinyi Glass Holdings Ltd. 2,000 3,299 7,114 Yamato Corp. 200 1,743 1,710 Zardoya Otis SA 25 258 223 85,153 97,251 0.54 Commercial & Professional Services (December 31, 2019: 1.09%) 51job Inc. 14 1,316 1,249

The accompanying notes are an integral part of these financial statements. 116 CC&L Alternative Canadian Equity Fund Schedule of Investment Portfolio As at December 31, 2020 Average Fair Percentage of Number of Cost Value Net Assets Shares $ $ % China Index Holdings Ltd. 138 361 346 Collection House Ltd. 1,125 1,403 1,200 Danel Adir Yeoshua Ltd. 2 337 420 Intertrust NV 828 20,994 17,915 IPH Ltd. 73 468 461 Pasco Corp. 300 3,327 5,112 Serco Group PLC 8,975 20,766 18,678 Tinexta Spa 100 1,570 3,273 50,542 48,654 0.27 Transportation (December 31, 2019: 0.62%) Atlas Corp. 23 353 318 Cia de Distribucion Integral Logista Holdings SA 65 1,684 1,607 Copa Holdings SA 6 611 590 Corp America Airports SA 344 1,365 1,749 ICHINEN HOLDINGS CO Ltd. 100 1,303 1,561 Safe Bulkers Inc. 4,702 7,544 7,787 12,860 13,612 0.08 Automobiles & Components (December 31, 2019: 0.22%) Adient plc 8 339 354 BAIC Motor Corp. Ltd. 496 312 234 IJTT Co., Ltd. 100 607 596 Imasen Electric Industrial 200 2,305 1,841 3,563 3,025 0.02 Consumer Durables & Apparel (December 31, 2019: 0.52%) Avgol Industries 1953 Ltd. 313 498 399 Cleanup Corp. 300 2,091 1,773 Janome Sewing Machine Co., Ltd. 100 559 1,096 JVCKenwood Corp. 400 1,330 785 Tamron Co., Ltd. 100 3,126 2,253 7,604 6,306 0.04 Consumer Services (December 31, 2019: 0.59%) After You PCL 2 1 1 Arcos Dorados Holdings Inc. 2,330 13,809 14,931 Huazhu Group Ltd. 21 1,264 1,205 Melco Resorts & Entertainment Ltd. 70 1,642 1,654 Mitchells & Butlers PLC 21 106 88 Playa Hotels & Resorts NV 86 442 652 Playtech Plc 150 1,109 1,048 TAL Education Group 9 795 820 19,168 20,399 0.11 Retailing (December 31, 2019: 0.89%) BHG Group AB 308 2,217 8,543 Bilia AB 50 623 787 China Yongda Automobiles Services Holdings Ltd. 3,500 4,689 7,372 Delek Automotive Systems Ltd. 89 725 1,065 Despegar.com Corp. 207 2,165 3,378 D'ieteren SA 6 439 634 eDreams ODIGEO SA 200 1,197 1,295 Europris ASA 3,125 14,024 23,761 Hornbach Baumarkt AG 50 1,534 2,790 Hornbach Holding AG & Co KGaA 2 188 245 Lastminute.com NV 25 630 937 Nissan Tokyo Sales Holdings Co., Ltd. 500 1,689 1,660 Signet Jewelers Ltd. 184 4,710 6,393 Tadiran Holdings Ltd. 22 1,467 2,070

The accompanying notes are an integral part of these financial statements. 117 CC&L Alternative Canadian Equity Fund Schedule of Investment Portfolio As at December 31, 2020 Average Fair Percentage of Number of Cost Value Net Assets Shares $ $ % Unieuro SpA 50 869 1,072 37,166 62,002 0.35 Food & Staples Retailing (December 31, 2019: 0.16%) Eco's Co., Ltd. 200 4,226 5,128 GrainCorp Ltd. 214 649 881 United Super Markets Holdings Inc. 100 1,202 1,394 6,077 7,403 0.04 Food, Beverage & Tobacco (December 31, 2019: 0.39%) Adecoagro SA 586 5,144 5,077 Altia Oyj 200 2,343 3,111 Ambev SA 357 1,295 1,392 BRF SA, ADR 4,493 22,984 24,041 Raisio Oyj 182 910 905 Scandi Standard AB 300 2,820 3,202 Tassal Group Ltd. 350 1,187 1,156 36,683 38,884 0.22 Household & Personal Products (December 31, 2019: Nil%) Vinda International Holdings Ltd. 1,000 3,435 3,475 0.02

Health Care Equipment & Services (December 31, 2019: 0.88%) Fisher & Paykel Healthcare Corp. Ltd. 12 369 363 Humana AB 25 250 230 JMS Co., Ltd. 700 5,877 7,739 Summerset Group Holdings Ltd. 86 783 990 Virtus Health Ltd. 100 386 523 7,665 9,845 0.06 Pharmaceuticals & Biotechnology (December 31, 2019: 1.45%) Affimed NV 42 363 311 Alkermes PLC 32 876 813 BeiGene Ltd. 9 2,633 2,963 Bergenbio ASA 150 390 719 China Medical System Holdings Ltd. 3,000 5,200 4,269 Kamada Ltd. 28 365 230 Laboratorios Farmaceuticos Rovi SA 28 801 1,654 Myovant Sciences Ltd. 75 1,254 2,639 Richter Gedeon Nyrt 56 1,516 1,791 Teva Pharmaceutical Industries Ltd. 4,403 59,444 54,131 uniQure NV 56 2,917 2,578 75,759 72,098 0.40 Banks (December 31, 2019: 0.47%) Chiba Kogyo Bank Ltd. 200 741 612 Credicorp Ltd. 4 827 836 FIDEA Holdings Co., Ltd. 2,300 3,329 3,008 Grupo Aval Acciones y Valores SA 233 1,535 2,042 HSBC Holdings PLC 30 992 990 ING Groep NV 114 1,168 1,371 Sparebanken Vest 96 984 1,034 Tochigi Bank Ltd. 1,400 3,375 2,971 TOMONY Holdings Inc. 400 1,713 1,540 14,664 14,404 0.08 Diversified Financials (December 31, 2019: 0.36%) Gruppo MutuiOnline SpA 100 2,963 5,432 Humm Group Ltd. 275 426 304 Magellan Financial Group Ltd. 264 11,857 13,927 Noah Holdings Ltd. 33 1,214 2,010

The accompanying notes are an integral part of these financial statements. 118 CC&L Alternative Canadian Equity Fund Schedule of Investment Portfolio As at December 31, 2020 Average Fair Percentage of Number of Cost Value Net Assets Shares $ $ % NZX Ltd. 1,025 1,099 1,843 Pacific Current Group Ltd. 635 3,977 3,845 Warsaw Stock Exchange 243 3,654 3,797 25,190 31,158 0.17 Insurance (December 31, 2019: 0.02%) Everest Re Group Ltd. 1 300 298 Unipol Gruppo SpA 100 470 609 770 907 0.01 Software & Services (December 31, 2019: 1.91%) 21Vianet Group Inc. 1,077 34,884 47,598 AddNode Group AB 125 2,697 5,546 Asseco Poland SA 25 485 582 Atea ASA 175 3,458 3,156 Aveva Group PLC 40 2,625 2,231 Check Point Software Technologies Ltd. 69 10,752 11,684 Cheetah Mobile Inc. 250 1,134 573 Computer Institute of Japan Ltd. 100 1,206 1,141 Cresco Ltd. 100 2,066 1,616 Data#3 Ltd. 275 918 1,517 Formula Systems 1985 Ltd. 25 2,353 2,753 Fortnox AB 490 9,937 35,156 GFT Technologies AG 25 477 465 Hilan Ltd. 6 366 363 Ines Corp. 700 9,949 12,058 Infomedia Ltd. 675 1,281 1,281 Integrated Research Ltd. 150 390 392 iSignthis Ltd. 3,745 3,967 3,939 Kainos Group PLC 200 2,046 4,242 Lectra 4 119 156 Matrix IT Ltd. 794 20,541 22,901 Micro Focus International PLC 903 34,300 6,669 Netbay PCL 1 1 1 Rhipe Ltd. 150 401 271 Sapiens International Corp. NV 1,126 28,182 44,352 Sinch AB 3 104 624 Technology One Ltd. 649 4,710 5,232 Wix.com Ltd. 90 31,889 28,660 Xunlei Ltd. 715 3,827 2,633 215,065 247,792 1.39 Technology Hardware & Equipment (December 31, 2019: 1.43%) ADVA Optical Networking SE 275 2,279 3,026 AT&S Austria Technologie & Systemtechnik AG 25 515 1,017 Canon Inc., ADR 25 669 618 Codan Ltd. 406 1,907 4,462 Daitron Co., Ltd. 100 1,526 1,945 EVS Broadcast Equipment SA 25 713 651 Hochiki Corp. 300 5,719 4,720 Kingboard Laminates Holdings Ltd. 1,000 1,329 2,080 Kitron ASA 3,375 4,475 9,100 Kyowa Electronic Instruments Co., Ltd. 800 4,130 3,978 Saxa Holdings Inc. 300 6,758 5,083 Sun-Wa Technos Corp. 200 2,875 2,396 Truly International Holdings Ltd. 4,000 809 631 Tsuzuki Denki Co., Ltd. 100 1,529 2,018 35,233 41,725 0.23

The accompanying notes are an integral part of these financial statements. 119 CC&L Alternative Canadian Equity Fund Schedule of Investment Portfolio As at December 31, 2020 Average Fair Percentage of Number of Cost Value Net Assets Shares $ $ % Semiconductors & Semiconductor Equipment (December 31, 2019: 1.16%) ChipMOS Technologies Inc. 100 2,516 3,102 Nordic Semiconductor ASA 2,525 19,749 51,849 Nova Measuring Instruments Ltd. 452 17,140 40,658 Towa Corp. 500 7,312 12,963 46,717 108,572 0.61 Telecommunication Services (December 31, 2019: 0.34%) Bezeq The Israeli Telecommunication Corp. Ltd. 4,016 4,957 5,098 China Mobile Ltd. 29 1,050 1,054 China Telecom Corp. Ltd. 36 1,467 1,264 China Unicom Hong Kong Ltd., ADR 1,202 9,300 8,698 Chorus Ltd. 84 423 609 Citic Telecom International Holdings Ltd. 1,000 472 401 Orange Polska SA 150 362 338 Telefonica Brasil SA 32 378 361 Turkcell Iletisim Hizmetleri AS 5,517 35,471 37,884 53,880 55,707 0.31 Media & Entertainment (December 31, 2019: 0.86%) Arnoldo Mondadori Editore SpA 597 1,802 1,405 Gurunavi Inc. 300 3,561 1,936 Mediaset Espana Comunicacion SA 25 258 166 Momo Inc. 2,230 53,816 39,661 Paradox Interactive AB 16 298 635 Phoenix New Media Ltd. 664 1,690 1,015 Sohu.com Ltd. 22 521 447 Tencent Music Entertainment Group 1,022 21,986 25,051 83,932 70,316 0.39 Utilities (December 31, 2019: 0.63%) Enea SA 375 1,294 838 Kenon Holdings Ltd. 25 717 937 2,011 1,775 0.01 Real Estate (December 31, 2019: 1.28%) Agile Group Holdings Ltd. 10,000 17,539 16,956 Care Property Invest NV, Rights 25 - - China Overseas Grand Oceans Group Ltd. 1,000 933 684 Eastnine AB 125 1,869 2,424 Investis Holding SA 25 2,250 3,293 IWG PLC 4,200 24,006 25,103 Nisshin Group Holdings Co., Ltd. 400 2,439 2,083 NP3 Fastigheter AB 91 1,096 1,711 Nyfosa AB 512 4,465 6,509 Peach Property Group AG 100 4,519 6,630 Precinct Properties New Zealand Ltd. 725 1,171 1,170 Selvaag Bolig ASA 700 5,114 6,031 65,401 72,594 0.41 Total Foreign Common Stocks - Long 1,225,773 1,451,608 8.13

Foreign Common Stocks - Short

Energy (December 31, 2019: -2.11%) Akastor ASA (6,035) (9,633) (6,358) Ampol Ltd. (16) (409) (447) Beach Energy Ltd. (14,841) (20,876) (26,335) Borr Drilling Ltd. (5,086) (39,525) (5,627) Carnarvon Petroleum Ltd. (11,763) (2,204) (3,469)

The accompanying notes are an integral part of these financial statements. 120 CC&L Alternative Canadian Equity Fund Schedule of Investment Portfolio As at December 31, 2020 Average Fair Percentage of Number of Cost Value Net Assets Shares $ $ % Cooper Energy Ltd. (20,591) (7,979) (7,895) Core Laboratories NV (170) (3,622) (5,742) Delek Group Ltd. (381) (51,314) (15,118) DNO ASA (28,375) (56,103) (28,998) Drilling Co of 1972 A/S (4) (172) (161) Equital Ltd. (816) (27,817) (27,155) Esso Thailand PCL (4,100) (1,394) (1,290) FAR Ltd. (16,425) (1,000) (178) FLEX LNG Ltd. (2,533) (33,566) (28,306) Frontline Ltd., NYSE (1,894) (15,490) (15,009) Hoegh LNG Holdings Ltd. (1,475) (7,702) (3,376) Hurricane Energy PLC (4,725) (2,357) (206) Naphtha Israel Petroleum Corp. Ltd. (882) (6,476) (5,389) New Hope Corp. Ltd. (1,501) (1,696) (2,088) New Zealand Refining Co., Ltd. (475) (831) (240) Novatek PJSC (66) (13,818) (13,739) Ocean Yield ASA (275) (1,386) (1,086) Odfjell Drilling Ltd. (325) (1,214) (829) Oil Refineries Ltd. (4,669) (1,214) (1,349) Oil Search Ltd. (1,395) (4,147) (5,088) Origin Energy Ltd. (257) (1,394) (1,203) Pantheon Resources PLC (1,375) (354) (1,042) Paz Oil Co., Ltd. (70) (9,167) (9,569) Premier Oil PLC (1) (1) - Santos Ltd. (9,681) (49,288) (59,673) Savannah Energy PLC (3,048) (462) (727) Senex Energy Ltd. (23,160) (6,250) (7,172) Stanmore Coal Ltd. (707) (365) (563) Teekay Corp. (159) (370) (436) Whitehaven Coal Ltd. (14,480) (15,231) (23,417) Z Energy Ltd. (300) (1,201) (881) (396,028) (310,161) (1.74) Materials (December 31, 2019: -2.32%) Ahlstrom-Munksjo Oyj (39) (809) (1,100) AMG Advanced Metallurgical Group NV (1,001) (38,888) (38,166) AngloGold Ashanti Ltd. (1,011) (30,095) (29,135) Cia de Minas Buenaventura SAA (18) (291) (280) CRH PLC (26) (1,365) (1,410) Gold Fields Ltd. (108) (1,307) (1,275) Grupo Cementos de Chihuahua SAB de CV (45) (317) (345) Hadera paper Ltd. (300) (19,060) (20,284) ioneer Ltd. (17,525) (2,597) (4,824) Loma Negra Cia Industrial Argentina SA (50) (440) (392) Mitsubishi Steel Manufacturing Co., Ltd. (100) (927) (748) New Century Resources Ltd. (3,358) (575) (792) Oji Holdings Corp. (300) (2,015) (2,173) Orocobre Ltd. (11,850) (34,415) (52,073) Panoramic Resources Ltd. (5,469) (360) (726) Pilbara Minerals Ltd. (3,487) (973) (2,982) Red 5 Ltd. (1,407) (392) (360) Sociedad Quimica y Minera de Chile SA (50) (3,198) (3,127) Sumitomo Metal Mining Co., Ltd. (200) (10,567) (11,301) Suzano SA (1,037) (10,195) (14,770) Swiss Steel Holding AG (75) (20) (25) Tokyo Rope Manufacturing Co., Ltd. (200) (2,330) (1,871)

The accompanying notes are an integral part of these financial statements. 121 CC&L Alternative Canadian Equity Fund Schedule of Investment Portfolio As at December 31, 2020 Average Fair Percentage of Number of Cost Value Net Assets Shares $ $ % Tubacex SA (250) (992) (534) (162,128) (188,693) (1.06) Capital Goods (December 31, 2019: -1.90%) Acerinox SA (40) (355) (529) Aker Offshore Wind AS (400) (161) (649) CIMIC Group Ltd. (1,902) (39,463) (45,568) Climeon AB (229) (1,782) (1,514) Eidai Co., Ltd. (100) (407) (338) Electro Optic Systems Holdings Ltd. (1,485) (8,040) (8,628) Eltel AB (250) (761) (873) Embraer SA (1,050) (8,070) (9,110) Eolus Vind AB (15) (368) (551) Italian-Thai Development PCL, NVDR (43,900) (3,763) (2,072) ITM Power PLC (73) (390) (656) Keihan Holdings Co., Ltd. (100) (5,439) (6,102) Keppel Corp. Ltd. (2,700) (12,813) (14,002) Kornit Digital Ltd. (165) (5,956) (18,736) Maire Tecnimont SpA (125) (397) (355) Mie Kotsu Group Holdings Inc. (100) (627) (611) Nishimatsu Construction Co., Ltd. (200) (4,877) (5,217) NRC Group ASA (550) (5,236) (2,598) PowerCell Sweden AB (9) (373) (454) Reliance Worldwide Corp. Ltd. (15,113) (58,437) (60,172) SembCorp Marine Ltd. (700) (761) (96) Textainer Group Holdings Ltd., NYSE (66) (1,128) (1,613) Vossloh AG (50) (2,379) (3,223) (161,983) (183,667) (1.03) Commercial & Professional Services (December 31, 2019: -0.22%) Aker Carbon Capture AS (400) (257) (1,003) AMA Group Ltd. (7,036) (4,141) (5,534) Bingo Industries Ltd. (950) (1,532) (2,279) Brunel International NV (25) (465) (284) Clean TeQ Holdings Ltd. (4,800) (1,380) (1,180) Downer EDI Ltd. (303) (1,247) (1,588) Fiera Milano SpA (172) (620) (761) Fila SpA (100) (1,841) (1,429) Prosegur Cia de Seguridad SA (50) (292) (190) Vow ASA (73) (344) (412) (12,119) (14,660) (0.08) Transportation (December 31, 2019: -0.45%) Air New Zealand Ltd. (511) (895) (844) Bangkok Airways PCL (1,800) (588) (490) China Southern Airlines Co., Ltd., ADR (262) (7,962) (9,897) Finnair OYJ (5,316) (4,751) (6,277) Hankyu Hanshin Holdings Inc. (100) (4,589) (4,232) International Consolidated Airlines Group SA (511) (1,624) (1,427) Japan Airport Terminal Co., Ltd. (300) (17,732) (23,137) Keikyu Corp. (100) (2,281) (2,183) Keio Corp. (200) (18,975) (19,743) Nankai Electric Railway Co., Ltd. (100) (3,577) (3,231) Odakyu Electric Railway Co., Ltd. (500) (16,561) (19,990) Qantas Airways Ltd. (3,336) (12,516) (15,906) SG Holdings Co., Ltd. (200) (7,414) (6,940) Singapore Airlines Ltd. (4,900) (17,928) (20,216)

The accompanying notes are an integral part of these financial statements. 122 CC&L Alternative Canadian Equity Fund Schedule of Investment Portfolio As at December 31, 2020 Average Fair Percentage of Number of Cost Value Net Assets Shares $ $ % ZTO Express Cayman Inc. (695) (29,826) (25,819) (147,219) (160,332) (0.90) Automobiles & Components (December 31, 2019: -0.22%) AB Dynamics PLC (11) (347) (404) Aston Martin Lagonda Global Holdings PLC (468) (10,598) (16,374) Daido Metal Co., Ltd. (200) (1,420) (1,261) Harada Industry Co., Ltd. (100) (1,056) (1,056) Kongsberg Automotive Holding ASA (55,878) (2,171) (2,914) Mikuni Corp. (100) (358) (339) Yasunaga Corp. (100) (1,359) (1,471) (17,309) (23,819) (0.13) Consumer Durables & Apparel (December 31, 2019: -0.42%) Aquafil SpA (75) (875) (567) Geox SpA (1,175) (2,253) (1,454) Hoosiers Holdings (100) (818) (821) Sekisui House Ltd. (100) (2,408) (2,591) Sharp Corp. (200) (3,450) (3,860) (9,804) (9,293) (0.05) Consumer Services (December 31, 2019: -0.80%) Alsea SAB de CV (10) (26) (17) AmRest Holdings SE (25) (302) (237) Ardent Leisure Group Ltd. (2,724) (2,167) (1,848) Aristocrat Leisure Ltd. (17) (466) (518) CHIMNEY Co., Ltd. (200) (3,010) (2,863) Corporate Travel Management Ltd. (61) (681) (1,049) Create Restaurants Holdings Inc. (200) (1,461) (1,530) Flight Centre Travel Group Ltd. (1,710) (21,392) (26,645) Hiramatsu Inc. (200) (842) (333) Hoteles City Express SAB de CV (3,980) (1,371) (1,392) I K K Inc. (300) (2,197) (2,184) IDP Education Ltd. (7) (95) (137) Invocare Ltd. (52) (499) (585) Japan Best Rescue System Co., Ltd. (200) (2,782) (2,221) Minor International PCL, Warrants, Expiry: 31/07/2023 (45) - (15) Restaurant Group PLC (3) (6) (3) Scandic Hotels Group AB (2,278) (10,281) (12,298) Sushiro Global Holdings Ltd. (500) (15,464) (24,371) Tabcorp Holdings Ltd. (156) (466) (598) (63,508) (78,844) (0.44) Retailing (December 31, 2019: -0.79%) Accent Group Ltd. (1,000) (576) (2,271) Demae-Can Co., Ltd. (100) (2,019) (3,875) El Puerto de Liverpool SAB de CV (400) (2,708) (1,787) Farfetch Ltd. (414) (13,950) (33,656) Foschini Group Ltd. (140) (1,361) (1,242) Gfoot Co., Ltd. (100) (756) (510) J Front Retailing Co., Ltd. (500) (5,546) (5,028) Kathmandu Holdings Ltd. (2) (2) (2) Komehyo Holdings Co., Ltd. (300) (3,450) (2,610) Konaka Co., Ltd. (100) (408) (360) Lovisa Holdings Ltd. (1) (6) (11) Mr Price Group Ltd. (50) (775) (740) Pepkor Holdings Ltd. (2,936) (4,585) (3,471) Pinduoduo Inc. (225) (35,491) (50,929) Right On Co., Ltd. (100) (657) (754)

The accompanying notes are an integral part of these financial statements. 123 CC&L Alternative Canadian Equity Fund Schedule of Investment Portfolio As at December 31, 2020 Average Fair Percentage of Number of Cost Value Net Assets Shares $ $ % SMCP SA (25) (340) (194) Super Group Ltd. (1) (2) (2) Trip.com Group Ltd. (552) (21,235) (23,721) Vipshop Holdings Ltd. (1,199) (30,869) (42,939) Webjet Ltd. (501) (1,563) (2,497) (126,299) (176,599) (0.99) Food & Staples Retailing (December 31, 2019: -0.43%) Dis-Chem Pharmacies Ltd. (4,075) (8,974) (7,426) (0.04)

Food, Beverage & Tobacco (December 31, 2019: -1.57%) Agrana Beteiligungs AG (30) (785) (754) British American Tobacco PLC (77) (3,695) (3,678) Coca-Cola European Partners PLC (376) (22,687) (23,870) Costa Group Holdings Ltd. (191) (475) (766) Fomento Economico Mexicano SAB de CV (402) (32,760) (38,805) Select Harvests Ltd. (69) (429) (354) (60,831) (68,227) (0.38) Household & Personal Products (December 31, 2019: -0.34%) Unilever PLC (89) (6,607) (6,876) (0.04)

Health Care Equipment & Services (December 31, 2019: -0.90%) Asahi Intecc Co., Ltd. (500) (20,058) (23,229) Attendo AB (412) (2,540) (2,836) Biocartis Group NV (120) (1,187) (870) Integrated Diagnostics Holdings PLC (400) (582) (561) Raffles Medical Group Ltd. (1,613) (1,434) (1,547) WIN-Partners Co., Ltd. (100) (1,163) (1,523) (26,964) (30,566) (0.17) Pharmaceuticals & Biotechnology (December 31, 2019: -1.06%) Acacia Pharma Group PLC (82) (355) (338) AstraZeneca PLC, ADR (122) (7,821) (7,770) Clinuvel Pharmaceuticals Ltd. (196) (3,850) (4,301) Dr Reddy's Laboratories Ltd. (181) (14,712) (16,439) GlaxoSmithKline PLC (72) (3,403) (3,376) Grifols SA, ADR (135) (3,481) (3,171) GW Pharmaceuticals PLC (21) (3,007) (3,088) Innate Pharma SA (549) (2,858) (2,963) Novartis AG (36) (4,325) (4,331) Pharming Group NV (2,243) (3,921) (4,447) PolyNovo Ltd. (295) (775) (1,125) ProQR Therapeutics NV (640) (4,714) (3,425) Sosei Group Corp. (100) (1,991) (2,221) WaVe Life Sciences Ltd. (321) (5,398) (3,218) Zai Lab Ltd. (16) (1,882) (2,759) (62,493) (62,972) (0.35) Banks (December 31, 2019: -1.17%) Banca Popolare di Sondrio SCPA (130) (373) (446) Banco Bradesco SA (466) (3,180) (3,123) Banco Santander Brasil SA (479) (4,192) (5,273) Bank Handlowy w Warszawie SA (32) (590) (385) Bank Millennium SA (183) (339) (205) BPER Banca (2,097) (4,470) (4,854) Collector AB (400) (928) (1,505) Fukuoka Financial Group Inc. (400) (8,906) (9,047) Grupo Financiero Galicia SA (937) (13,500) (10,433)

The accompanying notes are an integral part of these financial statements. 124 CC&L Alternative Canadian Equity Fund Schedule of Investment Portfolio As at December 31, 2020 Average Fair Percentage of Number of Cost Value Net Assets Shares $ $ % Grupo Financiero Inbursa SAB de CV (1,720) (2,642) (2,206) Itau CorpBanca Chile SA (332) (1,762) (2,094) Itau Unibanco Holding SA (174) (1,036) (1,350) State Bank of India (89) (3,498) (4,410) Suruga Bank Ltd. (100) (461) (417) Yamagata Bank Ltd. (200) (3,256) (2,535) (49,133) (48,283) (0.27) Diversified Financials (December 31, 2019: -0.62%) AMP Ltd. (14,468) (18,123) (22,188) Axactor SE (1,150) (2,782) (1,831) Challenger Ltd. (149) (599) (943) Credit Suisse Group AG (64) (923) (1,044) GAM Holding AG (175) (913) (546) GCA Corp. (200) (1,735) (1,814) Hoist Finance AB (199) (579) (1,126) Israel Land Development - Urban Renewal Ltd. (143) (1,622) (1,702) (27,276) (31,194) (0.17) Insurance (December 31, 2019: -0.23%) Aegon NV, NYSE (607) (2,028) (3,055) Athene Holding Ltd. (9) (483) (495) Clal Insurance Enterprises Holdings Ltd. (955) (14,305) (19,015) Greenlight Capital Re Ltd. (195) (1,734) (1,816) IDI Insurance Co., Ltd. (181) (8,822) (6,992) Migdal Insurance & Financial Holdings Ltd. (2,047) (2,102) (3,005) (29,474) (34,378) (0.19) Software & Services (December 31, 2019: -0.90%) Appen Ltd. (32) (1,064) (777) Bravura Solutions Ltd. (109) (373) (345) Cardtronics PLC (83) (4,090) (3,733) Computershare Ltd. (998) (12,684) (14,314) CyberArk Software Ltd. (7) (1,322) (1,441) EML Payments Ltd. (1,164) (3,529) (4,783) SNP Schneider-Neureither & Partner SE (1) (86) (95) (23,148) (25,488) (0.14) Technology Hardware & Equipment (December 31, 2019: -0.34%) Amper SA (1,021) (350) (304) Fingerprint Cards AB (398) (955) (1,075) Ituran Location and Control Ltd. (100) (2,516) (2,427) Japan Cash Machine Co., Ltd. (300) (2,176) (1,962) MIMAKI Engineering Co., Ltd. (300) (1,483) (1,777) Telefonaktiebolaget LM Ericsson (346) (5,503) (5,268) Tobii AB (95) (441) (834) (13,424) (13,647) (0.08) Semiconductors & Semiconductor Equipment (December 31, 2019: -0.01%) Daqo New Energy Corp. (581) (37,469) (42,457) JinkoSolar Holding Co., Ltd. (7) (730) (552) SMART Global Holdings Inc. (38) (1,106) (1,822) (39,305) (44,831) (0.25) Telecommunication Services (December 31, 2019: -0.69%) America Movil SAB de CV (186) (3,151) (3,463) Cellcom Israel Ltd. (560) (1,705) (3,520) Chunghwa Telecom Co., Ltd. (265) (13,244) (13,038) Orange SA (96) (1,425) (1,451) SpeedCast International Ltd. (4,877) (11,289) (3,788) Telecom Argentina SA (25) (400) (209)

The accompanying notes are an integral part of these financial statements. 125 CC&L Alternative Canadian Equity Fund Schedule of Investment Portfolio As at December 31, 2020 Average Fair Percentage of Number of Cost Value Net Assets Shares $ $ % Uniti Group Ltd. (407) (616) (684) Vodafone Group PLC (1,220) (25,581) (25,615) (57,411) (51,768) (0.29) Media & Entertainment (December 31, 2019: -1.34%) Baidu Inc. (272) (62,233) (74,933) Borussia Dortmund GmbH & Co KGaA (120) (1,066) (1,018) Capcom Co., Ltd. (100) (6,068) (8,268) Eros STX Global Corp. (724) (2,503) (1,679) Event Hospitality and Entertainment Ltd. (336) (2,655) (3,135) Grupo Televisa SAB (203) (1,738) (2,131) HT&E Ltd. (650) (759) (1,182) JUVENTUS FOOTBALL CLUB SPA (350) (390) (444) mm2 Asia Ltd. (2,200) (578) (318) NetEase Inc. (147) (17,585) (17,936) Promotora de Informaciones SA (516) (569) (718) Sky Network Television Ltd. (19,550) (5,412) (2,887) (101,556) (114,649) (0.64) Utilities (December 31, 2019: -0.03%) Atlantica Sustainable Infrastructure PLC (10) (367) (484) Central Puerto SA (655) (2,221) (2,253) Enel Americas SA (35) (367) (367) Toho Gas Co., Ltd. (100) (5,889) (8,428) (8,844) (11,532) (0.06) Real Estate (December 31, 2019: -0.05%) AFI Properties Ltd. (76) (2,710) (3,965) Airport City Ltd. (53) (794) (1,024) Big Shopping Centers Ltd. (5) (466) (708) Cresud SACIF y A (75) (304) (458) Gazit-Globe Ltd. (675) (4,892) (5,616) Grupo GICSA SAB de CV (700) (144) (209) Hulic Co., Ltd. (200) (2,616) (2,796) Ichigo Inc. (200) (696) (765) IRSA Inversiones y Representaciones SA (207) (1,053) (1,181) IRSA Propiedades Comerciales SA (1) (12) (12) Lifestyle Communities Ltd. (59) (488) (742) Melisron Ltd. (14) (710) (969) Norstar Holdings Inc. (233) (1,548) (2,159) Peet Ltd. (367) (367) (431) Property & Building Corp. Ltd. (5) (406) (628) Summit Real Estate Holdings Ltd. (30) (363) (570) Wing Tai Holdings Ltd. (2,000) (3,675) (3,759) Yoma Strategic Holdings Ltd. (1,700) (626) (475) (21,870) (26,467) (0.15) Total Foreign Common Stocks - Short (1,633,707) (1,724,372) (9.64)

Income Trusts - Long (December 31, 2019: 5.44%) Agree Realty Corp. 215 18,311 18,237 Allied Properties Real Estate Investment Trust 1,800 76,021 68,094 American Tower Corp. 2 557 572 Apple Hospitality REIT Inc. 3,242 43,464 53,322 Arbor Realty Trust Inc. 108 1,902 1,951 Artis Real Estate Investment Trust 900 9,519 9,594 Boston Beer Co Inc. 13 13,427 16,467 Camden Property Trust 17 2,086 2,164 Canadian Apartment Properties REIT 1,200 60,149 59,988

The accompanying notes are an integral part of these financial statements. 126 CC&L Alternative Canadian Equity Fund Schedule of Investment Portfolio As at December 31, 2020 Average Fair Percentage of Number of Cost Value Net Assets Shares $ $ % Cedar Realty Trust Inc. 170 1,765 2,194 Colony Credit Real Estate Inc. 53 461 506 Cominar Real Estate Investment Trust 200 1,584 1,622 Crombie Real Estate Investment Trust 700 10,435 10,045 CT Real Estate Investment Trust 1,100 16,584 17,237 Diversified Healthcare Trust 395 1,754 2,073 Dream Industrial Real Estate Investment Trust 2,400 25,455 31,560 EPR Properties 33 1,358 1,366 First Capital Real Estate Investment Trust 2,200 35,189 29,810 Gannett Co Inc. 1,193 2,352 5,107 Grafton Group PLC 25 374 402 Granite Real Estate Investment Trust 800 58,602 62,320 Great Ajax Corp. 19 211 253 Healthcare Trust of America Inc. 20 722 702 Healthpeak Properties Inc. 16 598 616 Inovalis Real Estate Investment Trust 400 3,138 3,572 InterRent Real Estate Investment Trust 6,200 85,587 84,878 Killam Apartment Real Estate Investment Trust 3,400 60,870 58,174 MFA Financial Inc. 2,826 11,369 14,005 Mid-America Apartment Communities Inc. 3 463 484 Montea C.V.A 139 12,526 20,172 Morguard North American Residential Real Estate Investment 700 13,412 11,165 Park Hotels & Resorts Inc. 2,805 40,107 61,287 Reit 1 Ltd. 5 42 32 RioCan Real Estate Investment Trust 6,800 122,843 113,895 Ryman Hospitality Properties Inc. 101 5,009 8,719 SmartCentres Real Estate Investment Trust 1,200 29,000 27,696 Starwood Property Trust Inc. 61 1,163 1,500 Summit Industrial Income REIT 4,600 57,295 62,790 Sunstone Hotel Investors Inc. 1,355 18,980 19,559 TPG RE Finance Trust Inc. 599 7,293 8,104 True North Commercial Real Estate Investment Trust 1,800 10,338 11,358 Western Asset Mortgage Capital Corp. 400 1,504 1,661 WPT Industrial Real Estate Investment Trust - CAD 600 10,364 11,040 WPT Industrial Real Estate Investment Trust - USD 3,100 52,129 57,069 Total Income Trusts - Long 926,312 973,362 5.40

Income Trusts - Short (December 31, 2019: -1.12%) Abacus Property Group (201) (527) (567) Alexander & Baldwin Inc. (72) (1,554) (1,576) Alony Hetz Properties & Investments Ltd. (267) (4,009) (4,757) Apartment Income REIT Corp. (101) (4,972) (4,951) Arlington Asset Investment Corp. (425) (3,300) (2,047) Armada Hoffler Properties Inc. (55) (772) (786) ARMOUR Residential REIT Inc. (400) (5,502) (5,499) Aventus Group (2,358) (4,858) (6,352) Brighthouse Financial Inc. (124) (4,891) (5,720) BWP Trust (1,862) (5,815) (8,091) CapitaLand Integrated Commercial Trust (199) (371) (414) CapitaLand Retail China Trust (317) (372) (425) Charter Hall Long Wale REIT (6) (29) (27) Custodian Reit PLC (406) (618) (621) Ellington Residential Mortgage REIT (29) (384) (482) Equites Property Fund Ltd. (1) (1) (2) ESR-REIT (1,400) (528) (533)

The accompanying notes are an integral part of these financial statements. 127 CC&L Alternative Canadian Equity Fund Schedule of Investment Portfolio As at December 31, 2020 Average Fair Percentage of Number of Cost Value Net Assets Shares $ $ % Fortress REIT Ltd. (225) (351) (266) Frasers Centrepoint Trust (201) (424) (477) Frasers Hospitality Trust (800) (348) (405) Gladstone Commercial Corp. (40) (876) (917) GLP J-Reit (14) (28,457) (28,084) Growthpoint Properties Ltd. (1) (1) (1) Invesco Mortgage Capital Inc. (812) (3,571) (3,497) Invesco Office J-Reit Inc. (10) (1,643) (1,865) Invincible Investment Corp. (11) (4,352) (4,500) Japan Hotel REIT Investment Corp. (1) (598) (654) LaSalle Logiport REIT (3) (6,823) (6,160) Lippo Malls Indonesia Retail Trust (10,700) (1,204) (639) Mapletree North Asia Commercial Trust (2,329) (1,905) (2,178) Megacable Holdings SAB de CV (90) (481) (418) Mirvac Group (981) (1,848) (2,546) Morguard Real Estate Investment Trust (200) (937) (1,078) Mori Hills REIT Investment Corp. (1) (1,862) (1,756) National Storage REIT (8,771) (14,688) (16,463) PRS REIT Plc (3,475) (5,435) (4,648) Resilient REIT Ltd. (228) (699) (836) Retail Properties of America Inc. (59) (651) (643) Samty Residential Investment Corp. (1) (968) (1,343) Shopping Centres Australasia Property Group (1,638) (3,132) (4,058) Simon Property Group Inc. (4) (448) (435) Star Asia Investment Corp. (3) (1,341) (1,866) Waypoint REIT (235) (409) (631) Total Income Trusts - Short (121,955) (129,214) (0.72)

Limited Partnerships - Long (December 31, 2019: 1.05%) Brookfield Infrastructure Partners LP 2,100 127,291 132,258 Brookfield Renewable Partners LP 1,100 57,277 60,445 Viper Energy Partners LP 90 1,446 1,332 Total Limited Partnerships - Long 186,014 194,035 1.09

Embedded Broker Commissions (note 3) (4,132)

Total Investments 15,877,492 17,573,019 98.33

Total unrealized appreciation on currency forward contracts (Schedule 1) 10,228 0.06

Total unrealized depreciation on currency forward contracts (Schedule 1) (5,022) (0.03)

Total unrealized appreciation on swap contracts (Schedule 2) 608,879 3.41

Total unrealized depreciation on swap contracts (Schedule 2) (526,594) (2.95)

Other Assets Less Liabilities 210,707 1.18

Net Assets Attributable to Holders of Redeemable Units 17,871,217 100.00

The accompanying notes are an integral part of these financial statements. 128 CC&L Alternative Canadian Equity Fund Currency forward contracts (Schedule 1) As at December 31, 2020

Unrealized Appreciation/ Currency Amount Currency Amount Maturity (Depreciation) Counterparty* Code Sold Code Bought Date $ Royal Bank of Canada USD (339,427) AUD 450,000 17-Mar-21 10,228 10,228 Royal Bank of Canada CAD (343,000) USD 268,726 17-Mar-21 (713) Royal Bank of Canada EUR (61,000) USD 74,038 17-Mar-21 (925) Royal Bank of Canada GBP (48,000) USD 64,001 17-Mar-21 (2,093) Royal Bank of Canada SEK (519,000) USD 62,284 17-Mar-21 (1,229) Royal Bank of Canada ZAR (895,000) USD 60,293 17-Mar-21 (62) (5,022) 5,206

*All counterparties have a rating of AA or better.

The accompanying notes are an integral part of these financial statements. 129 CC&L Alternative Canadian Equity Fund Swap Agreements (Schedule 2) As at December 31, 2020 Unrealized Market Appreciation/ Number of Maturity Value (Depreciation) Contracts Date Security Name $ $

Counterparties: Bank of Nova Scotia, Credit Rating "AA"; Credit Suisse First Boston Corporation, Credit Rating "NR"

Equity Swaps - Long

Australian Dollar LIBOR 1 month 184 30-Jul-21 Adairs Ltd Trs 597 22 364 30-Jul-21 Afterpay Touch Group Ltd Trs 42,225 8,096 4,107 30-Jul-21 Agl Energy Ltd Trs 48,248 (5,026) 20 30-Jul-21 Alkane Resources Ltd Trs 19 (1) 10 30-Jul-21 Ansell Ltd Trs 342 (14) 1,684 30-Jul-21 Ap Eagers Ltd Trs 22,002 386 456 30-Jul-21 Arb Corp Ltd Trs 13,807 1,364 7 30-Jul-21 Asx Ltd Trs 495 (14) 256 30-Jul-21 Aub Group Ltd Trs 4,075 (129) 3,321 30-Jul-21 Aurizon Holdings Ltd Trs 12,733 (1,078) 332 30-Jul-21 Austal Ltd Trs 871 (82) 686 30-Jul-21 Baby Bunting Group Ltd Trs 3,176 245 64 30-Jul-21 Bank Of Queensland Ltd Trs 487 1 636 30-Jul-21 Bigtincan Holdings Ltd Trs 688 (78) 41 30-Jul-21 Bluescope Steel Ltd Trs 705 15 3,434 30-Jul-21 Brambles Ltd Trs 35,785 (1,208) 639 30-Jul-21 Breville Group Ltd Trs 16,063 930 529 30-Jul-21 Brickworks Ltd Trs 9,985 (52) 106 30-Jul-21 Bwx Ltd Trs 428 7 1,580 30-Jul-21 Capitol Health Ltd Trs 427 (8) 1,074 30-Jul-21 Carsales.Com Ltd Trs 21,127 (250) 75 30-Jul-21 Charter Hall Retail Reit Trs 278 (3) 804 30-Jul-21 Class Ltd Trs 1,553 (8) 547 30-Jul-21 Codan Ltd Trs 6,012 252 903 30-Jul-21 Collins Foods Ltd Trs 8,558 256 6 30-Jul-21 Commonwealth Bank Of Austral Trs 484 18 81 30-Jul-21 Csr Ltd Trs 416 32 186 30-Jul-21 Data#3 Ltd Trs 1,026 (20) 449 30-Jul-21 Domino'S Pizza Enterprises L Trs 38,261 5,246 963 30-Jul-21 Elders Ltd Trs 9,335 (589) 652 30-Jul-21 Emeco Holdings Ltd Trs 731 31 178 30-Jul-21 G.U.D. Holdings Ltd Trs 2,054 66 607 30-Jul-21 G8 Education Ltd Trs 704 - 1,737 30-Jul-21 Graincorp Ltd-A Trs 7,155 (310) 725 30-Jul-21 Hansen Technologies Ltd Trs 2,659 (51) 461 30-Jul-21 Healius Ltd Trs 1,691 16 327 30-Jul-21 Hub24 Ltd Trs 6,860 (31) 430 30-Jul-21 Iluka Resources Ltd Trs 2,743 332 300 30-Jul-21 Integral Diagnostics Ltd Trs 1,280 32 411 30-Jul-21 Integrated Research Ltd Trs 1,075 (193) 819 30-Jul-21 Ioof Holdings Ltd Trs 2,834 (164) 253 30-Jul-21 Iph Ltd Trs 1,599 (123) 1,777 30-Jul-21 Iress Ltd Trs 18,536 370 1,080 30-Jul-21 Ive Group Ltd Trs 1,513 104 340 30-Jul-21 Jb Hi-Fi Ltd Trs 16,251 980 71 30-Jul-21 Jumbo Interactive Ltd Trs 981 49 28 30-Jul-21 Kogan.Com Ltd Trs 523 71 375 30-Jul-21 Lendlease Group Trs 4,830 (392) 453 30-Jul-21 Lynas Corp Ltd Trs 1,772 61 500 30-Jul-21 Maca Ltd Trs 597 24 907 30-Jul-21 Magellan Financial Group Ltd Trs 47,846 (4,934) 2,758 30-Jul-21 Mayne Pharma Group Ltd Trs 935 (14) 297 30-Jul-21 Mcmillan Shakespeare Ltd Trs 3,618 154 532 30-Jul-21 Medusa Mining Ltd Trs 403 26 712 30-Jul-21 Megaport Ltd Trs 9,974 954 2,036 30-Jul-21 Mesoblast Ltd Trs 4,504 (2,474)

The accompanying notes are an integral part of these financial statements. 130 CC&L Alternative Canadian Equity Fund Swap Agreements (Schedule 2) As at December 31, 2020 Unrealized Market Appreciation/ Number of Maturity Value (Depreciation) Contracts Date Security Name $ $

859 30-Jul-21 Netwealth Group Ltd Trs 13,461 (722) 570 30-Jul-21 Nick Scali Ltd Trs 5,407 514 4,270 30-Jul-21 Ooh!Media Ltd Trs 6,968 (44) 1,033 30-Jul-21 Oz Minerals Ltd Trs 19,173 2,342 75 30-Jul-21 Pacific Current Group Ltd Trs 454 (4) 198 30-Jul-21 Perpetual Ltd Trs 6,766 151 181 30-Jul-21 Platinum Asset Management Trs 726 (40) 2,082 30-Jul-21 Praemium Ltd Trs 1,351 (57) 33 30-Jul-21 Premier Investments Ltd Trs 763 26 178 30-Jul-21 Qube Holdings Ltd Trs 514 14 8 30-Jul-21 Ramsay Health Care Ltd Trs 489 (4) 1,337 30-Jul-21 Redbubble Ltd Trs 7,255 418 72 30-Jul-21 Reece Ltd Trs 1,048 (2) 559 30-Jul-21 Ridley Corp Ltd Trs 503 1 2,446 30-Jul-21 Sandfire Resources Nl Trs 12,865 2,329 179 30-Jul-21 Sealink Travel Group Ltd Trs 1,177 (51) 57 30-Jul-21 Seek Ltd Trs 1,599 57 235 30-Jul-21 Servcorp Ltd Trs 695 (86) 2,869 30-Jul-21 Silver Lake Resources Ltd Trs 5,049 9 974 30-Jul-21 Smartgroup Corp Ltd Trs 6,540 496 171 30-Jul-21 Sonic Healthcare Ltd Trs 5,405 (72) 2,180 30-Jul-21 St Barbara Ltd Trs 5,058 (286) 577 30-Jul-21 Super Retail Group Ltd Trs 5,973 364 472 30-Jul-21 Sydney Airport Trs 2,975 (140) 493 30-Jul-21 Tassal Group Ltd Trs 1,628 (54) 922 30-Jul-21 Technology One Ltd Trs 7,433 (400) 69 30-Jul-21 Virtus Health Ltd Trs 361 (6) 1,739 30-Jul-21 Vita Group Ltd Trs 1,838 39 149 30-Jul-21 Wesfarmers Ltd Trs 7,383 138 4,200 30-Jul-21 West African Resources Ltd Trs 4,315 640 150 30-Jul-21 Western Areas Ltd Trs 388 14 28 30-Jul-21 Xero Ltd Trs 4,041 (3) 8,475 British Pound LIBOR 1 month 775 30-Jul-21 888 Holdings Plc Trs 3,853 181 790 30-Jul-21 Aa Plc Trs 464 23 1,269 30-Jul-21 Aggreko Plc Trs 13,834 1,391 325 30-Jul-21 Amino Technologies Plc Trs 679 22 1,733 30-Jul-21 Ao World Plc Trs 12,404 1,804 2 30-Jul-21 Aveva Group Plc Trs 112 (5) 483 30-Jul-21 Babcock Intl Group Plc Trs 2,354 (249) 699 30-Jul-21 Bakkavor Group Plc Trs 986 (14) 311 30-Jul-21 Bank Of Georgia Group Plc Trs 6,608 467 1,411 30-Jul-21 Barratt Developments Plc Trs 16,464 1,237 56 30-Jul-21 Beazley Plc Trs 356 - 565 30-Jul-21 Bellway Plc Trs 29,568 1,684 120 30-Jul-21 Bodycote Plc Trs 1,558 51 1,844 30-Jul-21 Bp Plc Trs 8,182 133 613 30-Jul-21 Brown (N) Group Plc Trs 643 4 1,570 30-Jul-21 Burford Capital Ltd Trs 19,440 (956) 14,295 30-Jul-21 Capita Plc Trs 9,761 (809) 1,878 30-Jul-21 Card Factory Plc Trs 1,398 (15) 67,321 30-Jul-21 Centrica Plc Trs 54,633 2,898 574 30-Jul-21 Ceres Power Holdings Plc Trs 13,195 4,558 359 30-Jul-21 Chemring Group Plc Trs 1,785 210 138 30-Jul-21 Clipper Logistics Plc Trs 1,389 138 688 30-Jul-21 Cmc Markets Plc Trs 4,685 47 60 30-Jul-21 Compass Group Plc Trs 1,424 (24) 425 30-Jul-21 Computacenter Plc Trs 18,119 1,654 697 30-Jul-21 Crest Nicholson Holdings Trs 3,955 387 6 30-Jul-21 Dcc Plc Trs 541 (29) 155 30-Jul-21 De La Rue Plc Trs 456 24 439 30-Jul-21 Diploma Plc Trs 16,988 780

The accompanying notes are an integral part of these financial statements. 131 CC&L Alternative Canadian Equity Fund Swap Agreements (Schedule 2) As at December 31, 2020 Unrealized Market Appreciation/ Number of Maturity Value (Depreciation) Contracts Date Security Name $ $

1,114 30-Jul-21 Dixons Carphone Plc Trs 2,247 34 161 30-Jul-21 Drax Group Plc Trs 1,051 130 111 30-Jul-21 Dunelm Group Plc Trs 2,344 (15) 4,721 30-Jul-21 Easyjet Plc Trs 68,239 1,312 325 30-Jul-21 Eckoh Plc Trs 365 (6) 4,355 30-Jul-21 Elementis Plc Trs 8,722 (363) 17 30-Jul-21 Emis Group Plc Trs 320 30 225 30-Jul-21 Fdm Group Holdings Plc Trs 4,404 380 2,258 30-Jul-21 Ferrexpo Plc Trs 11,113 2,723 654 30-Jul-21 Finsbury Food Group Plc Trs 905 28 895 30-Jul-21 Firstgroup Plc Trs 1,153 168 1,032 30-Jul-21 Frasers Group Plc Trs 8,113 440 19 30-Jul-21 Fresnillo Plc Trs 374 9 14 30-Jul-21 Future Plc Trs 424 (11) 125 30-Jul-21 Plc Trs 269 31 244 30-Jul-21 Gamesys Group Plc Trs 4,844 127 724 30-Jul-21 Gcp Student Living Plc Trs 1,806 (43) 66 30-Jul-21 Gear4Music Holdings Plc Trs 943 126 29 30-Jul-21 Go-Ahead Group Plc Trs 497 88 801 30-Jul-21 Grafton Group Plc-Uts Trs 12,868 991 60 30-Jul-21 Greggs Plc Trs 1,870 101 957 30-Jul-21 Halfords Group Plc Trs 4,450 31 1,807 30-Jul-21 Hammerson Plc Trs 782 21 28 30-Jul-21 Hargreaves Lansdown Plc Trs 744 41 710 30-Jul-21 Hays Plc Trs 1,768 138 232 30-Jul-21 Hochschild Mining Plc Trs 840 (21) 1,044 30-Jul-21 Imi Plc Trs 21,181 799 380 30-Jul-21 Indivior Plc Trs 720 51 5,369 30-Jul-21 Iwg Plc Trs 32,090 1,891 1,220 30-Jul-21 Jupiter Fund Management Trs 6,000 834 1,492 30-Jul-21 Just Group Plc Trs 1,816 359 705 30-Jul-21 Kainos Group Plc Trs 14,954 17 38 30-Jul-21 Keller Group Plc Trs 462 41 580 30-Jul-21 M&C Saatchi Plc Trs 844 48 3,707 30-Jul-21 M&G Plc Trs 12,779 656 12,270 30-Jul-21 Marks & Spencer Group Plc Trs 29,125 2,234 475 30-Jul-21 Mcbride Plc Trs 678 114 680 30-Jul-21 Micro Focus International Trs 5,022 766 1,261 30-Jul-21 Mitchells & Butlers Plc Trs 5,281 625 1,796 30-Jul-21 Moneysupermarket.Com Trs 8,151 492 100 30-Jul-21 Morgan Advanced Materials Pl Trs 542 51 301 30-Jul-21 Morgan Sindall Group Plc Trs 8,031 655 5,644 30-Jul-21 Natwest Group Plc Trs 16,478 1,033 89 30-Jul-21 Oxford Instruments Plc Trs 3,087 204 6,665 30-Jul-21 Pan African Resources Plc Trs 2,739 447 41 30-Jul-21 Paypoint Plc Trs 467 41 13,245 30-Jul-21 Petropavlovsk Plc Trs 7,496 1,160 600 30-Jul-21 Playtech Plc Trs 4,193 180 50 30-Jul-21 Porvair Plc Trs 462 (9) 8,506 30-Jul-21 Premier Foods Plc Trs 14,843 1,745 1,705 30-Jul-21 Rank Group Plc Trs 4,133 (148) 38 30-Jul-21 Rathbone Brothers Plc Trs 1,019 36 2,449 30-Jul-21 Redrow Plc Trs 24,374 2,216 75 30-Jul-21 Renew Holdings Plc Trs 731 85 241 30-Jul-21 Rightmove Plc Trs 2,731 48 4,632 30-Jul-21 Rotork Plc Trs 25,652 1,566 10,218 30-Jul-21 Royal Mail Plc Trs 60,092 5,285 299 30-Jul-21 Rps Group Plc Trs 364 (16) 85 30-Jul-21 Sage Group Plc/The Trs 862 (2) 15 30-Jul-21 Serco Group Plc Trs 31 2 334 30-Jul-21 Spectris Plc Trs 16,391 764 684 30-Jul-21 Plc Trs 848 28 1,197 30-Jul-21 Spirent Communications Plc Trs 5,503 114

The accompanying notes are an integral part of these financial statements. 132 CC&L Alternative Canadian Equity Fund Swap Agreements (Schedule 2) As at December 31, 2020 Unrealized Market Appreciation/ Number of Maturity Value (Depreciation) Contracts Date Security Name $ $

464 30-Jul-21 Stagecoach Group Plc Trs 598 75 244 30-Jul-21 Superdry Plc Trs 1,048 (59) 199 30-Jul-21 Supermarket Income Reit Plc Trs 369 3 56 30-Jul-21 Synthomer Plc Trs 438 7 167 30-Jul-21 Ted Baker Plc Trs 338 (42) 133 30-Jul-21 Ti Fluid Systems Plc Trs 568 50 1,493 30-Jul-21 Travis Perkins Plc Trs 35,023 1,668 1,635 30-Jul-21 Tullow Oil Plc Trs 842 32 216 30-Jul-21 Tyman Plc Trs 1,318 95 17 30-Jul-21 Ultra Electronics Hldgs Plc Trs 613 (15) 200 30-Jul-21 Vesuvius Plc Trs 1,869 160 100 30-Jul-21 Volution Group Plc Trs 486 (2) 1,382 30-Jul-21 Wh Smith Plc Trs 36,342 2,051 128 30-Jul-21 Wincanton Plc Trs 571 9 35 30-Jul-21 Xp Power Ltd Trs 2,871 102 50,628 Danish Krone LIBOR 1 month 4 30-Jul-21 Alk-Abello A/S Trs 2,094 245 47 30-Jul-21 Chemometec A/S Trs 5,689 1,277 77 30-Jul-21 D/S Norden Trs 1,767 (13) 133 30-Jul-21 Iss A/S Trs 2,936 (92) 97 30-Jul-21 Matas A/S Trs 1,755 114 106 30-Jul-21 Nkt A/S Trs 6,020 823 606 30-Jul-21 Scandinavian Tobacco Group A Trs 13,211 1,040 6 30-Jul-21 Schouw & Co Trs 774 11 3,405 Euro LIBOR 1 month 342 30-Jul-21 Aalberts Nv Trs 19,437 115 1,135 30-Jul-21 Abn Amro Bank Nv-Cva Trs 14,189 (968) 104 30-Jul-21 Accor Sa Trs 4,799 (15) 16 30-Jul-21 Adp Trs 2,646 3 1 30-Jul-21 Adyen Nv Trs 2,970 (17) 2 30-Jul-21 Aedifica Trs 306 5 542 30-Jul-21 Airbus Se Trs 75,853 1,305 66 30-Jul-21 Akka Technologies Trs 2,649 35 194 30-Jul-21 Aktia Bank Oyj Trs 2,961 (64) 43 30-Jul-21 Alfen Nv Trs 5,536 965 270 30-Jul-21 Allgeier Se Trs 7,849 (829) 130 30-Jul-21 Alma Media Corp Trs 1,808 178 365 30-Jul-21 Altia Corp Trs 5,679 49 320 30-Jul-21 Amadeus It Group Sa Trs 29,709 839 243 30-Jul-21 Anheuser-Busch Inbev Sa/Nv Trs 21,595 123 1,768 30-Jul-21 Anima Holding Spa Trs 10,699 582 10 30-Jul-21 Aperam Trs 532 21 33 30-Jul-21 Applus Services Sa Trs 464 46 1,171 30-Jul-21 Arcelormittal Trs 34,463 6,128 22 30-Jul-21 Argenx Se Trs 8,299 73 2,150 30-Jul-21 Arnoldo Mondadori Editore Trs 5,061 82 8 30-Jul-21 Asm International Nv Trs 2,245 247 4 30-Jul-21 Se Trs 466 (13) 75 30-Jul-21 Aubay Trs 4,016 77 1,745 30-Jul-21 Autogrill Spa Trs 14,879 452 32 30-Jul-21 Axway Software Sa Trs 1,347 170 8 30-Jul-21 Banca Generali Spa Trs 340 (7) 259 30-Jul-21 Banca Mediolanum Spa Trs 2,866 (203) 142 30-Jul-21 Banco Bilbao Vizcaya Argenta Trs 893 24 2,180 30-Jul-21 Bankia Sa Trs 4,924 29 206 30-Jul-21 Be Semiconductor Industries Trs 15,921 1,580 2 30-Jul-21 Bechtle Ag Trs 556 4 19 30-Jul-21 Bekaert Nv Trs 804 - 8 30-Jul-21 Boiron Sa Trs 516 37 230 30-Jul-21 Bpost Sa Trs 3,044 (429) 230 30-Jul-21 Carel Industries Spa Trs 6,877 604

The accompanying notes are an integral part of these financial statements. 133 CC&L Alternative Canadian Equity Fund Swap Agreements (Schedule 2) As at December 31, 2020 Unrealized Market Appreciation/ Number of Maturity Value (Depreciation) Contracts Date Security Name $ $

11 30-Jul-21 Oyj-B Share Trs 580 2 52 30-Jul-21 Cattolica Assicurazioni Sc Trs 372 (16) 704 30-Jul-21 Ceconomy Ag Trs 6,217 1,558 50 30-Jul-21 Cellnex Telecom Sa Trs 3,828 (71) 7,156 30-Jul-21 Cgg Sa Trs 9,035 (972) 50 30-Jul-21 Cia De Distribucion Integral Trs 1,236 38 1,360 30-Jul-21 Cnh Industrial Nv Trs 21,889 2,458 339 30-Jul-21 Coface Sa Trs 4,338 (158) 294 30-Jul-21 Commerzbank Ag Trs 2,413 29 25 30-Jul-21 Compagnie Des Alpes Trs 743 (6) 109 30-Jul-21 Continental Ag Trs 20,601 1,241 75 30-Jul-21 Cropenergies Ag Trs 1,391 (238) 126 30-Jul-21 Ctt-Correios De Portugal Trs 462 (18) 133 30-Jul-21 D'Ieteren Sa/Nv Trs 14,056 1,915 354 30-Jul-21 Davide Campari-Milano Spa Trs 5,154 (137) 111 30-Jul-21 De'Longhi Spa Trs 4,461 (585) 51 30-Jul-21 Derichebourg Trs 467 169 312 30-Jul-21 Deutsche Pfandbriefbank Ag Trs 4,277 211 50 30-Jul-21 Deutz Ag Trs 397 22 190 30-Jul-21 Digia Oyj Trs 2,227 376 1,937 30-Jul-21 Distribuidora Internacional Trs 346 (90) 488 30-Jul-21 Duerr Ag Trs 25,407 2,173 105 30-Jul-21 Dws Group Gmbh & Co Kgaa Trs 5,696 349 73 30-Jul-21 Edf Trs 1,467 34 826 30-Jul-21 Elior Group Trs 7,107 929 807 30-Jul-21 Elis Sa Trs 17,146 (11) 79 30-Jul-21 Elringklinger Ag Trs 1,951 266 87 30-Jul-21 Enel Spa Trs 1,122 (1) 95 30-Jul-21 Eni Spa Trs 1,266 30 98 30-Jul-21 Esker Sa Trs 26,978 2,872 150 30-Jul-21 Esprinet Spa Trs 2,521 571 25 30-Jul-21 Evn Ag Trs 697 68 300 30-Jul-21 Faes Farma Sa Trs 1,710 (29) 166 30-Jul-21 Faurecia Trs 10,845 78 100 30-Jul-21 Ferratum Oyj Trs 789 55 59 30-Jul-21 Fiat Chrysler Automobiles Nv Trs 1,348 164 142 30-Jul-21 Flatex Ag Trs 14,056 1,663 6 30-Jul-21 Fnac Darty Sa Trs 493 74 5,033 30-Jul-21 Fnm Spa Trs 4,472 (250) 263 30-Jul-21 Fraport Ag Frankfurt Airport Trs 20,236 400 15 30-Jul-21 Gea Group Ag Trs 685 17 345 30-Jul-21 Gft Technologies Se Trs 6,421 (332) 75 30-Jul-21 Groupe Ldlc Trs 5,015 (23) 25 30-Jul-21 Gruppo Mutuionline Spa Trs 1,358 205 139 30-Jul-21 Hapag-Lloyd Ag Trs 19,913 5,704 50 30-Jul-21 Haulotte Group Trs 473 23 265 30-Jul-21 Heineken Nv Trs 37,682 676 4 30-Jul-21 Hella Gmbh & Co Kgaa Trs 330 8 269 30-Jul-21 Hellofresh Se Trs 26,501 4,291 175 30-Jul-21 Hibernia Reit Plc Trs 315 3 3 30-Jul-21 Hochtief Ag Trs 372 (6) 74 30-Jul-21 Hornbach Baumarkt Ag Trs 4,129 (305) 56 30-Jul-21 Hornbach Holding Ag & Co Kga Trs 6,870 (899) 3,300 30-Jul-21 Immsi Spa Trs 2,127 (86) 361 30-Jul-21 Indra Sistemas Sa Trs 3,928 132 3,632 30-Jul-21 Ing Groep Nv Trs 43,260 (2,334) 25 30-Jul-21 Intertrust Nv Trs 541 (3) 27 30-Jul-21 Jcdecaux Sa Trs 784 (29) 10 30-Jul-21 Jost Werke Ag Trs 672 62 8 30-Jul-21 Jungheinrich - Prfd Trs 456 1 104 30-Jul-21 K+S Ag-Reg Trs 1,263 (1) 223 30-Jul-21 Kemira Oyj Trs 4,498 302 28 30-Jul-21 Kesko Oyj-B Shs Trs 918 17

The accompanying notes are an integral part of these financial statements. 134 CC&L Alternative Canadian Equity Fund Swap Agreements (Schedule 2) As at December 31, 2020 Unrealized Market Appreciation/ Number of Maturity Value (Depreciation) Contracts Date Security Name $ $

13 30-Jul-21 Kingspan Group Plc Trs 1,163 (65) 93 30-Jul-21 Klepierre Trs 2,666 (55) 211 30-Jul-21 Kloeckner & Co Se Trs 2,632 182 9 30-Jul-21 Konecranes Oyj Trs 404 3 25 30-Jul-21 Ksb Se & Co Kgaa-Vorzug Trs 8,807 314 350 30-Jul-21 La Doria Spa Trs 7,464 448 25 30-Jul-21 Laboratorios Farmaceuticos R Trs 1,477 (55) 411 30-Jul-21 Lar Espana Real Estate Socim Trs 2,992 (184) 544 30-Jul-21 Lassila & Tikanoja Oyj Trs 12,771 1,275 25 30-Jul-21 Lectra Trs 974 117 2,961 30-Jul-21 Leonardo Spa Trs 27,278 (540) 20 30-Jul-21 Maisons Du Monde Sa Trs 466 34 1,282 30-Jul-21 Mapfre Sa Trs 3,184 (48) 102 30-Jul-21 Melia Hotels International Trs 909 4 176 30-Jul-21 Metsa Board Oyj Trs 2,365 283 145 30-Jul-21 Metso Outotec Oyj Trs 1,848 144 425 30-Jul-21 Mlp Se Trs 3,577 133 100 30-Jul-21 Mondo Tv Spa Trs 207 (15) 12,511 30-Jul-21 Natixis Trs 54,392 4,088 13 30-Jul-21 Nemetschek Se Trs 1,224 (115) 235 30-Jul-21 Nexans Sa Trs 21,704 2,263 778 30-Jul-21 Nordex Se Trs 26,874 3,138 46 30-Jul-21 Norma Group Se Trs 3,003 332 70 30-Jul-21 Nagarro Se Trs 9,013 9,013 25 30-Jul-21 Ontex Group Nv Trs 429 29 1,601 30-Jul-21 Outokumpu Oyj Trs 8,036 1,236 526 30-Jul-21 Ovs Spa Trs 861 (4) 112 30-Jul-21 Pharma Mar Sa Trs 12,396 (3,492) 59 30-Jul-21 Porsche Automobil Hldg-Prf Trs 5,187 285 3,311 30-Jul-21 Postnl Nv Trs 14,400 (379) 48 30-Jul-21 Prosiebensat.1 Media Se Trs 1,029 73 1,816 30-Jul-21 Raisio Oyj-V Shs Trs 9,030 25 156 30-Jul-21 Randstad Nv Trs 12,947 235 192 30-Jul-21 Redes Energeticas Nacionais Trs 708 21 935 30-Jul-21 Renault Sa Trs 52,120 2,621 853 30-Jul-21 Repsol Sa Trs 11,353 272 50 30-Jul-21 Revenio Group Oyj Trs 3,920 493 1,061 30-Jul-21 Rexel Sa Trs 21,327 2,512 13 30-Jul-21 Rheinmetall Ag Trs 1,754 140 45 30-Jul-21 Rovio Entertainment Oy Trs 443 94 25 30-Jul-21 S Immo Ag Trs 661 52 135 30-Jul-21 Saes Getters Spa Trs 4,851 14 27 30-Jul-21 Saf-Holland Sa Trs 471 32 368 30-Jul-21 Salzgitter Ag Trs 12,448 2,526 46 30-Jul-21 Sanoma Oyj Trs 985 36 2 30-Jul-21 Sartorius Ag-Vorzug Trs 1,071 (1) 100 30-Jul-21 Scanfil Oyj Trs 1,016 113 565 30-Jul-21 Schaeffler Ag - Pref Trs 6,020 488 4 30-Jul-21 Scout24 Ag Trs 418 1 19 30-Jul-21 Semperit Ag Holding Trs 720 9 42 30-Jul-21 Ses Trs 505 1 79 30-Jul-21 Sesa Spa Trs 12,684 2,283 7 30-Jul-21 Shop Apotheke Europe Nv Trs 1,617 175 381 30-Jul-21 Showroomprive Trs 1,699 600 1,213 30-Jul-21 Siemens Gamesa Renewable Ene Trs 62,568 6,176 23 30-Jul-21 Signify Nv Trs 1,238 41 39 30-Jul-21 Sma Solar Technology Ag Trs 3,401 477 269 30-Jul-21 Societe Generale Sa Trs 7,138 148 23 30-Jul-21 Solocal Group Trs 95 (2) 3 30-Jul-21 Solvay Sa Trs 453 (4) 15,907 30-Jul-21 Sonae Trs 16,402 (440) 77 30-Jul-21 Sopra Steria Group Trs 15,868 534 10 30-Jul-21 Stratec Se Trs 1,914 122

The accompanying notes are an integral part of these financial statements. 135 CC&L Alternative Canadian Equity Fund Swap Agreements (Schedule 2) As at December 31, 2020 Unrealized Market Appreciation/ Number of Maturity Value (Depreciation) Contracts Date Security Name $ $

43 30-Jul-21 Suess Microtec Se Trs 1,267 23 50 30-Jul-21 Takkt Ag Trs 831 (9) 113 30-Jul-21 Tarkett Trs 2,536 (32) 25 30-Jul-21 Technogym Spa Trs 360 3 946 30-Jul-21 Telecom Italia Spa Trs 557 (26) 120 30-Jul-21 Telefonica Sa Trs 607 (1) 16 30-Jul-21 Telenet Group Holding Nv Trs 875 8 97 30-Jul-21 Television Francaise (T.F.1) Trs 996 9 425 30-Jul-21 Terveystalo Oyj Trs 6,652 472 7 30-Jul-21 Tessenderlo Group Trs 356 15 24 30-Jul-21 Tikkurila Oyj Trs 933 422 14 30-Jul-21 Tinexta Spa Trs 458 45 597 30-Jul-21 Total Sa Trs 32,850 (703) 693 30-Jul-21 Unibail-Rodamco-Westfield Trs 69,763 4,724 765 30-Jul-21 Unicredit Spa Trs 9,120 (356) 75 30-Jul-21 Unieuro Spa Trs 1,609 143 168 30-Jul-21 Unipol Gruppo Spa Trs 1,024 (29) 74 30-Jul-21 Uponor Oyj Trs 2,095 119 8 30-Jul-21 Va-Q-Tec Ag Trs 385 (112) 236 30-Jul-21 Valeo Sa Trs 11,875 (72) 71 30-Jul-21 Valmet Oyj Trs 2,585 235 379 30-Jul-21 Valneva Se Trs 4,579 786 54 30-Jul-21 Verbio Vereinigte Bioenergi Trs 2,584 312 93 30-Jul-21 Vgp Trs 17,773 411 100 30-Jul-21 Vidrala Sa Trs 14,793 644 46 30-Jul-21 Virbac Sa Trs 17,066 1,511 441 30-Jul-21 Wienerberger Ag Trs 17,928 1,956 850 30-Jul-21 Zardoya Otis Sa Trs 7,592 (221) 375 30-Jul-21 Zignago Vetro Spa Trs 7,997 177 10 30-Jul-21 Zooplus Ag Trs 2,646 203 125 30-Jul-21 Zumtobel Group Ag Trs 1,189 (29) 175 30-Jul-21 Q.Beyond Ag Trs 459 7 82,685 Hong Kong Dollar LIBOR 1 month 6,000 30-Jul-21 361 Degrees International Trs 1,065 108 7,000 30-Jul-21 3Sbio Inc Trs 8,132 (710) 18,000 30-Jul-21 Agile Group Holdings Ltd Trs 30,521 (2,608) 6,000 30-Jul-21 Apt Satellite Holdings Ltd Trs 1,716 (110) 20,504 30-Jul-21 Baic Motor Corp Ltd-H Trs 9,669 168 4,000 30-Jul-21 Baioo Family Interactive Ltd Trs 611 (53) 1,500 30-Jul-21 Bbi Life Sciences Corp Trs 860 (1) 1,500 30-Jul-21 Beijing Enterprises Hldgs Trs 6,235 57 6,000 30-Jul-21 Bocom International Holdings Trs 1,015 (29) 4,000 30-Jul-21 Bright Smart Securities And Trs 1,420 124 10,000 30-Jul-21 Cgn New Energy Holdings Co L Trs 2,005 145 1,000 30-Jul-21 Chaowei Power Holdings Ltd Trs 521 (12) 48,000 30-Jul-21 China Aerospace Intl Hldg Trs 3,589 50 14,000 30-Jul-21 China Aoyuan Group Ltd Trs 17,344 (1,229) 5,000 30-Jul-21 China Datang Corp Renewabl-H Trs 1,002 85 10,000 30-Jul-21 China Dongxiang Group Co Trs 1,331 (121) 1,500 30-Jul-21 China Hongqiao Group Ltd Trs 1,750 58 2,000 30-Jul-21 China Medical System Holding Trs 2,846 236 2,000 30-Jul-21 China Overseas Grand Oceans Trs 1,367 (152) 1,000 30-Jul-21 China Overseas Land & Invest Trs 2,770 (159) 3,500 30-Jul-21 China Resources Pharmaceutic Trs 2,289 (114) 8,000 30-Jul-21 China Shineway Pharmaceutica Trs 6,980 (8) 20,000 30-Jul-21 China South City Holdings Trs 3,779 1,015 4,000 30-Jul-21 China Taiping Insurance Hold Trs 9,188 176 12,000 30-Jul-21 China Yongda Automobiles Ser Trs 25,277 (842) 9,500 30-Jul-21 China Zhengtong Auto Service Trs 1,343 (263) 200 30-Jul-21 Chow Tai Fook Jewellery Grou Trs 320 (14) 10,000 30-Jul-21 Cimc Enric Holdings Ltd Trs 7,624 319 5,000 30-Jul-21 Citic Ltd Trs 4,510 20

The accompanying notes are an integral part of these financial statements. 136 CC&L Alternative Canadian Equity Fund Swap Agreements (Schedule 2) As at December 31, 2020 Unrealized Market Appreciation/ Number of Maturity Value (Depreciation) Contracts Date Security Name $ $

500 30-Jul-21 Ck Infrastructure Holdings L Trs 3,422 162 40,000 30-Jul-21 Cnooc Ltd Trs 47,189 584 13,000 30-Jul-21 Cogobuy Group Trs 3,246 (333) 30,000 30-Jul-21 Concord New Energy Group Ltd Trs 2,317 143 1,000 30-Jul-21 Consun Pharmaceutical Group Trs 501 (5) 8,000 30-Jul-21 Cosco Shipping Ports Ltd Trs 7,085 312 1,000 30-Jul-21 Crrc Corp Ltd - H Trs 439 (73) 2,500 30-Jul-21 Crystal International Group Trs 978 (110) 2,000 30-Jul-21 Dawnrays Pharmaceutical Hold Trs 460 95 4,000 30-Jul-21 Dongfeng Motor Grp Co Ltd-H Trs 5,942 662 4,000 30-Jul-21 Far East Consortium Internat Trs 1,919 235 2,004 30-Jul-21 Fse Services Group Ltd Trs 1,179 32 14,000 30-Jul-21 Fufeng Group Ltd Trs 6,671 (114) 55,000 30-Jul-21 Fullshare Holdings Ltd Trs 1,717 378 2,000 30-Jul-21 Genscript Biotech Corp Trs 3,707 22 4,500 30-Jul-21 Grand Baoxin Auto Group Ltd Trs 614 (119) 1,500 30-Jul-21 Greentown China Holdings Trs 2,795 27 9,200 30-Jul-21 Guangzhou R&F Properties - H Trs 15,071 (211) 2,500 30-Jul-21 Guolian Securities Co Ltd-H Trs 1,606 12 15,000 30-Jul-21 Hi Sun Technology China Ltd Trs 2,489 285 516 30-Jul-21 Hisense Home Appliances Gr-H Trs 1,012 21 1,200 30-Jul-21 Huifu Payment Ltd Trs 664 191 19,000 30-Jul-21 Igg Inc Trs 25,349 1,137 4,000 30-Jul-21 Inspur International Ltd Trs 1,065 (164) 18,000 30-Jul-21 Jiangnan Group Ltd Trs 1,316 (141) 500 30-Jul-21 Johnson Electric Holdings Trs 1,591 89 2,000 30-Jul-21 Kerry Logistics Network Ltd Trs 5,586 1 10,000 30-Jul-21 Kingboard Holdings Ltd Trs 54,188 5,361 27,500 30-Jul-21 Kingboard Laminates Hldg Ltd Trs 65,788 9,214 20,000 30-Jul-21 Kunlun Energy Co Ltd Trs 22,017 2,661 1,000 30-Jul-21 Li Ning Co Ltd Trs 8,757 1,851 3,000 30-Jul-21 Lianhua Supermarket Hldgs -H Trs 710 69 7,000 30-Jul-21 Lonking Holdings Ltd Trs 2,760 182 13,600 30-Jul-21 Man Wah Holdings Ltd Trs 37,809 5,864 9,000 30-Jul-21 Modern Dental Group Ltd Trs 2,203 146 14,000 30-Jul-21 Nexteer Automotive Group Ltd Trs 19,161 142 13,000 30-Jul-21 Pax Global Technology Ltd Trs 14,695 4,341 4,000 30-Jul-21 Picc Property & Casualty-H Trs 3,858 (267) 13,000 30-Jul-21 Powerlong Real Estate Holdin Trs 11,428 (542) 2,000 30-Jul-21 Co Ltd-H Trs 506 6 11,100 30-Jul-21 Samsonite International Sa Trs 25,059 1,765 4,000 30-Jul-21 Shandong Xinhua Pharmaceut-H Trs 2,333 (152) 1,000 30-Jul-21 Shanghai Fudan-Zhangjiang-H Trs 626 (120) 26,000 30-Jul-21 Shun Tak Holdings Ltd Trs 10,125 (349) 1,000 30-Jul-21 Sinopec Engineering Group-H Trs 549 (14) 6,000 30-Jul-21 Sinopharm Group Co-H Trs 18,593 (132) 10,000 30-Jul-21 Sinotrans Limited-H Trs 4,633 114 4,001 30-Jul-21 Sinotruk Hong Kong Ltd Trs 13,017 360 1,000 30-Jul-21 Sitc International Holdings Trs 2,750 283 16,000 30-Jul-21 Skyworth Group Ltd Trs 5,678 107 1,000 30-Jul-21 Sunevision Holdings Trs 1,158 (34) 5,000 30-Jul-21 Swire Pacific Ltd - Cl A Trs 35,326 (1,068) 4,000 30-Jul-21 Tcl Electronics Holdings Ltd Trs 3,818 (117) 2,000 30-Jul-21 The United Laboratories Inte Trs 1,807 (104) 12,000 30-Jul-21 Tianjin Development Hldgs Lt Trs 2,918 (43) 6,000 30-Jul-21 Tianneng Power Intl Ltd Trs 18,435 2,396 1,451 30-Jul-21 Times China Holdings Ltd Trs 2,570 (140) 10,000 30-Jul-21 Tongda Group Holdings Ltd Trs 937 110 6,000 30-Jul-21 Towngas China Co Ltd Trs 3,450 (40) 20,000 30-Jul-21 Trigiant Group Ltd Trs 2,531 (101) 36,000 30-Jul-21 Truly International Holdings Trs 5,679 110 1,000 30-Jul-21 Vinda International Holdings Trs 3,475 (167) 4,000 30-Jul-21 Vstecs Holdings Ltd Trs 4,180 (107)

The accompanying notes are an integral part of these financial statements. 137 CC&L Alternative Canadian Equity Fund Swap Agreements (Schedule 2) As at December 31, 2020 Unrealized Market Appreciation/ Number of Maturity Value (Depreciation) Contracts Date Security Name $ $

2,900 30-Jul-21 Vtech Holdings Ltd Trs 28,660 157 10,000 30-Jul-21 Wasion Holdings Ltd Trs 3,746 127 4,000 30-Jul-21 Weiqiao Textile Co Ltd-H Trs 1,123 (14) 50,000 30-Jul-21 West China Cement Ltd Trs 9,447 (490) 2,000 30-Jul-21 Wisdom Education Internation Trs 1,242 9 600 30-Jul-21 Xinjiang Goldwind Sci&Tec-H Trs 1,536 316 10,000 30-Jul-21 Xinyi Glass Holdings Ltd Trs 35,572 6,960 12,000 30-Jul-21 Yadea Group Holdings Ltd Trs 31,586 3,919 1,000 30-Jul-21 Yue Yuen Industrial Hldg Trs 2,652 8 41,831 Israeli New Shekel LIBOR 1 month 4,194 30-Jul-21 Bezeq The Israeli Telecom Co Trs 5,324 (637) 7 30-Jul-21 Danel (Adir Yeoshua) Ltd Trs 1,470 82 17 30-Jul-21 Kenon Holdings Ltd Trs 637 67 25 30-Jul-21 Matrix It Ltd Trs 721 3 13 30-Jul-21 Mizrahi Tefahot Bank Ltd Trs 383 24 7 30-Jul-21 Tadiran Holdings Ltd Trs 659 67 38 30-Jul-21 Tower Semiconductor Ltd Trs 1,257 1 (393) Japanese Yen LIBOR 1 month 300 30-Jul-21 Aeon Hokkaido Corp Trs 3,617 77 200 30-Jul-21 Alinco Inc Trs 2,330 88 100 30-Jul-21 All About Inc Trs 1,280 23 100 30-Jul-21 Alps Alpine Co Ltd Trs 1,676 61 100 30-Jul-21 Arcs Co Ltd Trs 2,862 166 100 30-Jul-21 Artnature Inc Trs 806 (20) 100 30-Jul-21 Bic Camera Inc Trs 1,413 30 200 30-Jul-21 Cawachi Ltd Trs 7,253 (92) 200 30-Jul-21 Cresco Ltd Trs 3,233 66 100 30-Jul-21 Dena Co Ltd Trs 2,269 (24) 300 30-Jul-21 Dexerials Corp Trs 4,994 248 200 30-Jul-21 Ef-On Inc Trs 3,070 259 1,200 30-Jul-21 Electric Power Development C Trs 21,041 449 100 30-Jul-21 Endo Lighting Corp Trs 627 (70) 100 30-Jul-21 Freund Corp Trs 938 86 100 30-Jul-21 Fujikura Kasei Co Ltd Trs 677 52 100 30-Jul-21 Fukui Computer Holdings Inc Trs 4,948 828 100 30-Jul-21 Furukawa Battery Co Ltd Trs 2,280 273 200 30-Jul-21 Furyu Corp Trs 2,816 (100) 100 30-Jul-21 Future Corp Trs 2,177 (16) 100 30-Jul-21 Gunma Bank Ltd/The Trs 392 (7) 100 30-Jul-21 Gurunavi Inc Trs 645 7 100 30-Jul-21 Hochiki Corp Trs 1,573 35 100 30-Jul-21 Ijtt Co Ltd Trs 596 (3) 100 30-Jul-21 Ines Corp Trs 1,723 (32) 100 30-Jul-21 Isolite Insulating Products Trs 598 53 200 30-Jul-21 Jac Recruitment Co Ltd Trs 4,669 89 100 30-Jul-21 Janome Sewing Machine Co Ltd Trs 1,096 42 200 30-Jul-21 Keiyo Co Ltd Trs 1,809 (22) 500 30-Jul-21 Konica Minolta Inc Trs 2,431 368 300 30-Jul-21 Kuriyama Holdings Corp Trs 2,384 (106) 100 30-Jul-21 Kyowa Electronic Instruments Trs 497 1 200 30-Jul-21 Life Corp Trs 8,798 (245) 700 30-Jul-21 Maezawa Industries Inc Trs 3,827 (134) 400 30-Jul-21 Mrmax Holdings Ltd Trs 3,815 (401) 700 30-Jul-21 Nikon Corp Trs 5,623 (144) 200 30-Jul-21 Nippon Sheet Glass Co Ltd Trs 1,172 182 100 30-Jul-21 Nissan Motor Co Ltd Trs 691 6 400 30-Jul-21 Nissha Co Ltd Trs 7,394 506 100 30-Jul-21 Outsourcing Inc Trs 1,704 (61) 100 30-Jul-21 Pasco Corp Trs 1,704 120 200 30-Jul-21 Persol Holdings Co Ltd Trs 4,593 (178) 100 30-Jul-21 Qol Holdings Co Ltd Trs 1,388 63

The accompanying notes are an integral part of these financial statements. 138 CC&L Alternative Canadian Equity Fund Swap Agreements (Schedule 2) As at December 31, 2020 Unrealized Market Appreciation/ Number of Maturity Value (Depreciation) Contracts Date Security Name $ $

100 30-Jul-21 Quick Co Ltd Trs 1,302 (84) 400 30-Jul-21 Retail Partners Co Ltd Trs 7,201 (94) 500 30-Jul-21 Ricoh Co Ltd Trs 4,177 (124) 200 30-Jul-21 Sanken Electric Co Ltd Trs 11,044 1,464 200 30-Jul-21 Scroll Corp Trs 1,920 12 300 30-Jul-21 Septeni Holdings Co Ltd Trs 1,566 (44) 200 30-Jul-21 Seria Co Ltd Trs 9,353 299 200 30-Jul-21 Sumitomo Rubber Industries Trs 2,189 (75) 200 30-Jul-21 Sun-Wa Technos Corp Trs 2,396 70 300 30-Jul-21 Takemoto Yohki Co Ltd Trs 3,520 (115) 600 30-Jul-21 Tatsuta Elec Wire & Cable Trs 5,560 899 300 30-Jul-21 Tokyo Electric Power Company Trs 1,007 - 300 30-Jul-21 Tokyu Fudosan Holdings Corp Trs 2,036 161 200 30-Jul-21 Tomony Holdings Inc Trs 770 (54) 100 30-Jul-21 Topcon Corp Trs 1,582 19 100 30-Jul-21 Tosho Co Ltd Trs 1,930 289 1,100 30-Jul-21 Toyo Seikan Group Holdings L Trs 15,297 1,627 600 30-Jul-21 United Super Markets Holding Trs 8,366 351 200 30-Jul-21 Wacom Co Ltd Trs 2,135 (142) 300 30-Jul-21 Will Group Inc Trs 3,724 88 100 30-Jul-21 Yamabiko Corp Trs 1,599 (120) 300 30-Jul-21 Yamaha Motor Co Ltd Trs 7,789 (62) 6,888 New Zealand Dollar LIBOR 1 month 134 30-Jul-21 Ebos Group Ltd Trs 3,528 452 90 30-Jul-21 Fisher & Paykel Healthcare C Trs 2,722 (206) 53 30-Jul-21 Infratil Ltd Trs 355 (5) 4,464 30-Jul-21 Pushpay Holdings Ltd Trs 7,411 160 271 30-Jul-21 Skycity Entertainment Group Trs 798 23 450 30-Jul-21 Spark New Zealand Ltd Trs 1,940 51 475 Norwegian Krone LIBOR 1 month 5,100 30-Jul-21 Abg Sundal Collier Holding Trs 4,842 349 764 30-Jul-21 Adevinta Asa Trs 16,370 149 125 30-Jul-21 Aker Solutions Asa Trs 306 10 289 30-Jul-21 Atea Asa Trs 5,212 175 427 30-Jul-21 Bergenbio Asa Trs 2,046 79 76 30-Jul-21 Bw Offshore Ltd Trs 427 3 158 30-Jul-21 Elkem Asa Trs 667 (1) 775 30-Jul-21 Europris Asa Trs 5,893 334 173 30-Jul-21 Funcom Nv Trs 436 28 159 30-Jul-21 Kitron Asa Trs 429 16 687 30-Jul-21 Kongsberg Gruppen Asa Trs 18,012 746 55 30-Jul-21 Nordic Semiconductor Asa Trs 1,129 85 295 30-Jul-21 Norsk Hydro Asa Trs 1,750 86 44 30-Jul-21 Orkla Asa Trs 570 12 149 30-Jul-21 Salmar Asa Trs 11,165 350 287 30-Jul-21 Schibsted Asa-Cl A Trs 15,643 228 150 30-Jul-21 Selvaag Bolig Asa Trs 1,292 133 75 30-Jul-21 Sparebank 1 Smn Trs 1,089 26 73 30-Jul-21 Stolt-Nielsen Ltd Trs 1,195 122 202 30-Jul-21 Subsea 7 Sa Trs 2,640 15 468 30-Jul-21 Tomra Systems Asa Trs 29,429 2,765 149 30-Jul-21 Veidekke Asa Trs 2,457 (55) 118 30-Jul-21 Wallenius Wilhelmsen Asa Trs 407 24 2,427 30-Jul-21 Xxl Asa Trs 6,973 (96) 217 30-Jul-21 Yara International Asa Trs 11,495 (91) 5,492 Polish Zloty LIBOR 1 month 225 30-Jul-21 Amica Sa Trs 11,294 38 60 30-Jul-21 Budimex Trs 6,308 673 72 30-Jul-21 Ccc Sa Trs 2,155 617 109 30-Jul-21 Cd Projekt Sa Trs 10,238 (3,922)

The accompanying notes are an integral part of these financial statements. 139 CC&L Alternative Canadian Equity Fund Swap Agreements (Schedule 2) As at December 31, 2020 Unrealized Market Appreciation/ Number of Maturity Value (Depreciation) Contracts Date Security Name $ $

578 30-Jul-21 Enea Sa Trs 1,292 216 78 30-Jul-21 Grupa Kety Sa Trs 13,108 765 198 30-Jul-21 Grupa Lotos Sa Trs 2,806 418 146 30-Jul-21 Kghm Polska Miedz Sa Trs 9,135 1,615 121 30-Jul-21 Livechat Software Sa Trs 4,381 427 11 30-Jul-21 Neuca Sa Trs 2,449 105 246 30-Jul-21 Orange Polska Sa Trs 554 21 1,774 30-Jul-21 Pge Sa Trs 3,943 424 36 30-Jul-21 Playway Sa Trs 7,792 955 19,090 30-Jul-21 Tauron Polska Energia Sa Trs 17,767 3,829 129 30-Jul-21 Warsaw Stock Exchange Trs 2,016 118 6,299 Russian Ruble LIBOR 1 month 7,446 30-Jul-21 Bank St Petersburg Pjsc Trs 6,642 (834) 588,391 30-Jul-21 Enel Russia Pjsc Trs 9,121 (101) 4,165,765 30-Jul-21 Federal Grid Co Unified Ener Trs 15,936 1,364 150 30-Jul-21 Gazprom Neft Pjsc Trs 832 (2) 1,073,400 30-Jul-21 Interregional Distribution G Trs 4,683 349 66 30-Jul-21 M Video Pjsc Trs 809 (5) 816 30-Jul-21 Magnitogorsk Iron & Steel Wo Trs 784 40 741 30-Jul-21 Novolipetsk Steel Pjsc Trs 2,709 (32) 21,772 30-Jul-21 Novorossiysk Commercial Sea Trs 3,038 (66) 328 30-Jul-21 Raspadskaya Ojsc Trs 880 45 1,012,087 30-Jul-21 Rosseti Pjsc Trs 30,560 895 744,439 30-Jul-21 Rushydro Pjsc Trs 10,030 (54) 192,853 30-Jul-21 Unipro Pjsc Trs 9,640 390 1,989 Singapore Dollar LIBOR 1 month 300 30-Jul-21 Aims Apac Reit Trs 361 14 5,000 30-Jul-21 Best World International Ltd Trs 6,796 296 900 30-Jul-21 Bumitama Agri Ltd Trs 442 (9) 1,200 30-Jul-21 China Sunsine Chemical Hldgs Trs 573 (11) 4,900 30-Jul-21 Cse Global Ltd Trs 2,220 47 3,000 30-Jul-21 Fu Yu Corp Ltd Trs 766 10 100 30-Jul-21 Haw Par Corp Ltd Trs 1,031 12 1,200 30-Jul-21 Ifast Corp Ltd Trs 3,470 (723) 1,500 30-Jul-21 Jardine Cycle & Carriage Ltd Trs 28,268 34 800 30-Jul-21 Lian Beng Group Ltd Trs 339 15 1,400 30-Jul-21 Olam International Ltd Trs 2,065 12 1,300 30-Jul-21 Qaf Ltd Trs 1,134 10 11,100 30-Jul-21 Riverstone Holdings Ltd Trs 11,877 (2,055) 8,800 30-Jul-21 Sheng Siong Group Ltd Trs 13,148 (94) 20,355 30-Jul-21 Singapore Airlines Ltd Trs 19 19 1,500 30-Jul-21 Sunpower Group Ltd Trs 1,157 180 (2,243) South African Rand LIBOR 1 month 1,745 30-Jul-21 Aeci Ltd Trs 13,167 195 1,743 30-Jul-21 African Rainbow Minerals Ltd Trs 39,594 3,204 854 30-Jul-21 Afrimat Ltd Trs 3,187 36 3,072 30-Jul-21 Allied Electronics Cor-A Shr Trs 2,907 (756) 489 30-Jul-21 Anglo American Platinum Ltd Trs 61,208 13,287 547 30-Jul-21 Assore Ltd Trs 15,158 92 463 30-Jul-21 Cashbuild Ltd Trs 9,517 (900) 200 30-Jul-21 Datatec Ltd Trs 426 (20) 1,743 30-Jul-21 Exxaro Resources Ltd Trs 20,999 2,771 4,408 30-Jul-21 Impala Platinum Holdings Ltd Trs 77,191 14,676 1,041 30-Jul-21 Kumba Iron Ore Ltd Trs 56,233 8,466 1,402 30-Jul-21 Lewis Group Ltd Trs 2,718 29 5,777 30-Jul-21 Life Healthcare Group Holdin Trs 8,428 540 1,368 30-Jul-21 Motus Holdings Ltd Trs 6,644 (243) 1,065 30-Jul-21 Mpact Ltd Trs 1,279 201 5,309 30-Jul-21 Mtn Group Ltd Trs 27,716 (2,922) 4,324 30-Jul-21 Northam Platinum Ltd Trs 78,581 12,244

The accompanying notes are an integral part of these financial statements. 140 CC&L Alternative Canadian Equity Fund Swap Agreements (Schedule 2) As at December 31, 2020 Unrealized Market Appreciation/ Number of Maturity Value (Depreciation) Contracts Date Security Name $ $

551 30-Jul-21 Raubex Group Ltd Trs 1,027 (152) 479 30-Jul-21 Sappi Limited Trs 1,364 106 182 30-Jul-21 Sasol Ltd Trs 2,114 199 613 30-Jul-21 Spar Group Limited/The Trs 10,077 (126) 3,118 30-Jul-21 Telkom Sa Soc Ltd Trs 8,305 (222) 43 30-Jul-21 Tiger Brands Ltd Trs 776 38 12,417 30-Jul-21 Tsogo Sun Gaming Ltd Trs 5,492 (164) 50,579 Swedish Krona LIBOR 1 month 211 30-Jul-21 Academedia Ab Trs 2,782 26 186 30-Jul-21 Addtech Ab-B Shares Trs 3,145 28 103 30-Jul-21 Arjo Ab - B Shares Trs 1,004 57 1,661 30-Jul-21 Avanza Bank Holding Ab Trs 60,037 11,434 1,811 30-Jul-21 Betsson Ab Trs 20,705 (115) 127 30-Jul-21 Bilia Ab-A Shs Trs 1,998 99 351 30-Jul-21 Bimobject Ab Trs 769 (15) 146 30-Jul-21 Biotage Ab Trs 3,148 (93) 366 30-Jul-21 Boozt Ab Trs 10,606 1,313 231 30-Jul-21 Bygghemma Group First Ab Trs 6,407 766 1,175 30-Jul-21 Byggmax Group Ab Trs 9,342 817 12 30-Jul-21 Camurus Ab Trs 347 (36) 6 30-Jul-21 Catena Ab Trs 358 - 670 30-Jul-21 Dometic Group Ab Trs 11,324 92 146 30-Jul-21 Dustin Group Ab Trs 1,450 97 58 30-Jul-21 Elanders Ab-B Shs Trs 1,076 331 326 30-Jul-21 Electrolux Professional Ab-B Trs 2,356 90 901 30-Jul-21 Getinge Ab-B Shs Trs 26,850 1,247 166 30-Jul-21 Hansa Biopharma Ab Trs 6,191 (258) 51 30-Jul-21 Humana Ab Trs 468 40 312 30-Jul-21 Invisio Communications Ab Trs 12,100 2,845 250 30-Jul-21 Inwido Ab Trs 4,673 604 90 30-Jul-21 Know It Ab Trs 4,349 565 1,508 30-Jul-21 Leovegas Ab Trs 8,164 280 229 30-Jul-21 Lifco Ab-B Shs Trs 28,029 3,123 17 30-Jul-21 Modern Times Group-B Shs Trs 387 (19) 45 30-Jul-21 Nolato Ab-B Shs Trs 5,808 428 232 30-Jul-21 Nyfosa Ab Trs 2,949 (83) 293 30-Jul-21 Paradox Interactive Ab Trs 11,636 (356) 70 30-Jul-21 Proact It Group Ab Trs 2,965 260 76 30-Jul-21 Recipharm Ab-B Shs Trs 2,587 890 5,582 30-Jul-21 Samhallsbyggnadsbolaget I No Trs 24,817 (436) 49 30-Jul-21 Sedana Medical Ab Trs 2,607 608 82 30-Jul-21 Sinch Ab Trs 17,046 2,733 48 30-Jul-21 Skistar Ab Trs 795 63 185 30-Jul-21 Ssab Ab-A Shares Trs 841 28 80 30-Jul-21 Stillfront Group Ab Trs 1,241 16 28 30-Jul-21 Sweco Ab-B Shs Trs 656 7 64 30-Jul-21 Telia Co Ab Trs 337 (24) 258 30-Jul-21 Vitrolife Ab Trs 8,637 295 27,747 Swiss Franc LIBOR 1 month 5 30-Jul-21 Also Holding Ag-Reg Trs 1,823 123 336 30-Jul-21 Aryzta Ag Trs 330 11 5 30-Jul-21 Autoneum Holding Ag Trs 1,165 5 12 30-Jul-21 Bachem Holding Ag-Reg B Trs 6,840 418 22 30-Jul-21 Bkw Ag Trs 3,145 173 1 30-Jul-21 Bucher Industries Ag-Reg Trs 585 34 185 30-Jul-21 Dufry Ag-Reg Trs 14,819 1,298 4 30-Jul-21 Kardex Ag-Reg Trs 1,116 93 3 30-Jul-21 Kuehne + Nagel Intl Ag-Reg Trs 868 (21) 5,252 30-Jul-21 Meyer Burger Technology Ag Trs 2,549 129 46 30-Jul-21 Mobilezone Holding Ag-Reg Trs 668 27 3 30-Jul-21 Swatch Group Ag/The-Br Trs 1,044 75

The accompanying notes are an integral part of these financial statements. 141 CC&L Alternative Canadian Equity Fund Swap Agreements (Schedule 2) As at December 31, 2020 Unrealized Market Appreciation/ Number of Maturity Value (Depreciation) Contracts Date Security Name $ $

386 30-Jul-21 Swiss Re Ag Trs 46,364 198 56 30-Jul-21 Swissquote Group Holding-Reg Trs 6,933 (29) 2 30-Jul-21 Tecan Group Ag-Reg Trs 1,250 92 27 30-Jul-21 Valora Holding Ag-Reg Trs 6,763 (160) 2,466 US Dollar LIBOR 1 month 1,500 30-Jul-21 Braskem Sa-Pref A Trs 8,673 576 100 30-Jul-21 Abeona Therapeutics Inc Trs 200 (6) 1,000 30-Jul-21 Acbel Polytech Inc Trs 1,313 (3) 18,000 30-Jul-21 Acer Inc Trs 19,304 747 22 30-Jul-21 Actoz Soft Co Ltd - Trs 244 (43) 3,400 30-Jul-21 Adaro Energy Tbk Pt Trs 441 (36) 421 30-Jul-21 Adecoagro Sa Trs 3,647 332 267 30-Jul-21 Aekyung Petrochemical Co Ltd Trs 2,799 (98) 2,500 30-Jul-21 Aes Tiete Energia Sa - Unit Trs 10,137 119 35 30-Jul-21 Ahn-Gook Pharmaceutical Co Trs 534 (6) 86 30-Jul-21 Ajanta Pharma Ltd Trs 2,449 174 27 30-Jul-21 Aju Capital Co Ltd Trs 386 (9) 625 30-Jul-21 Alembic Ltd Trs 1,168 25 311 30-Jul-21 Alembic Pharmaceuticals Ltd Trs 5,605 261 33,338 30-Jul-21 Alfa S.A.B.-A Trs 30,786 2,677 1,000 30-Jul-21 All Ring Tech Co Ltd Trs 4,045 112 1,450 30-Jul-21 Alpargatas Sa - Pref Trs 14,939 1,010 760 30-Jul-21 Anant Raj Ltd Trs 360 9 1,000 30-Jul-21 Anpec Electronics Corp Trs 3,873 62 250 30-Jul-21 Applied Genetic Technologies Trs 1,303 (112) 2,000 30-Jul-21 Arcplus Group Plc-A Trs 3,060 (92) 7,000 30-Jul-21 Ardentec Corp Trs 12,268 638 16,000 30-Jul-21 Asia Plus Group Holdings Pcl Trs 1,482 111 197 30-Jul-21 Astec Lifesciences Ltd Trs 4,433 1,214 7,000 30-Jul-21 Au Optronics Corp Trs 4,444 641 75,374 30-Jul-21 Axtel Sab De Cv - Cpo Trs 30,061 (9,100) 2,300 30-Jul-21 B3 Sa-Brasil Bolsa Balcao Trs 34,969 3,825 100 30-Jul-21 Banco Estado Rio Gran-Pref B - Trs 357 6 14 30-Jul-21 Bayer Cropscience Ltd Trs 1,328 112 200 30-Jul-21 Bb Seguridade Participacoes Trs 1,454 (31) 900 30-Jul-21 Beijing Capital Co Ltd-A Trs 497 (35) 100 30-Jul-21 Beijing Supermap Software -A Trs 360 (10) 500 30-Jul-21 Bgi Genomics Co Ltd-A Trs 12,547 (136) 1,675 30-Jul-21 Birlasoft Ltd Trs 7,210 1,512 1,000 30-Jul-21 Bohai Ferry Group Ltd-A Trs 1,718 (89) 1,000 30-Jul-21 Bolsa Mexicana De Valores Sa Trs 3,023 111 142 30-Jul-21 Borosil Renewables Ltd Trs 744 421 18,900 30-Jul-21 Bpd Jawa Timur Tbk Pt Trs 1,165 45 300 30-Jul-21 Brf Sa Trs 1,622 45 7,700 30-Jul-21 Cal-Comp Electronics Thailan Trs 707 (27) 1,450 30-Jul-21 Camil Alimentos Sa Trs 3,957 75 236 30-Jul-21 Camlin Fine Sciences Ltd Trs 504 35 281 30-Jul-21 Cap Sa Trs 4,809 1,265 275 30-Jul-21 Castrol India Ltd Trs 590 (4) 594 30-Jul-21 Centennial Resource Develo-A Trs 1,135 240 300 30-Jul-21 Central China Land Media-A Trs 399 (30) 2,906 30-Jul-21 Cg Power And Industrial Solu Trs 2,272 45 52 30-Jul-21 Changhae Ethanol Co Ltd Trs 823 3 6,000 30-Jul-21 Channel Well Technology Co Trs 12,012 17 5,000 30-Jul-21 Cheng Loong Corp Trs 7,709 632 12,000 30-Jul-21 Cheng Mei Material Technology Trs 6,013 535 2,000 30-Jul-21 Chia Chang Co Ltd Trs 3,442 (38) 900 30-Jul-21 China Electric Manufacturing Trs 569 97 4,000 30-Jul-21 China Man-Made Fiber Corp Trs 2,032 355 100 30-Jul-21 China Oilfield Services-A Trs 249 (4) 8,000 30-Jul-21 Chipbond Technology Corp Trs 24,088 1,028 42 30-Jul-21 Chipmos Technologies Inc-Adr Trs 1,303 124

The accompanying notes are an integral part of these financial statements. 142 CC&L Alternative Canadian Equity Fund Swap Agreements (Schedule 2) As at December 31, 2020 Unrealized Market Appreciation/ Number of Maturity Value (Depreciation) Contracts Date Security Name $ $

100 30-Jul-21 Chow Tai Seng Jewellery Co-A Trs 520 5 5,400 30-Jul-21 Cia De Transmissao De Ene-Pf Trs 37,071 1,230 900 30-Jul-21 Cia Energetica De Sp-Pref B Trs 6,396 262 300 30-Jul-21 Cia Saneamento Minas Gerais - Trs 1,207 131 79,087 30-Jul-21 Cia Sud Americana De Vapores Trs 4,066 919 3,050 30-Jul-21 Cielo Sa Trs 3,035 321 261 30-Jul-21 Clariant Chemicals (I) Ltd Trs 1,671 17 1,000 30-Jul-21 Community Health Systems Inc Trs 9,466 (928) 1,000 30-Jul-21 Compucase Enterprise Trs 1,968 (42) 470 30-Jul-21 Comscore Inc Trs 1,491 (36) 87 30-Jul-21 Conduent Inc Trs 532 64 1,275 30-Jul-21 Consorcio Ara S.A.B.-Ser * Trs 310 86 11,000 30-Jul-21 Coretronic Corp Trs 20,227 3,010 125 30-Jul-21 Corp America Airports Sa Trs 635 (13) 375 30-Jul-21 Cosan Logistica Sa Trs 1,703 195 25 30-Jul-21 Cosan Sa Industria Comercio - Trs 464 (3) 200 30-Jul-21 Cpfl Energia Sa-Adr Trs 4,423 (7) 4,200 30-Jul-21 Crrc Corp Ltd-A Trs 4,353 (254) 600 30-Jul-21 Cia Siderurgica Nactional Sa Trs 4,688 1,322 24,725 30-Jul-21 Controladora Nemak Sab Trs 4,273 4,273 25 30-Jul-21 Covenant Logistics Group Inc Trs 472 (117) 1,000 30-Jul-21 D-Link Corp Trs 1,301 120 132 30-Jul-21 Daeduck Electronics Co Trs 1,080 109 394 30-Jul-21 Daehan Steel Co Ltd - Trs 4,805 446 158 30-Jul-21 Daesang Holdings Co Ltd Trs 1,890 97 10 30-Jul-21 Daihan Pharmaceutical Co Ltd Trs 386 25 1,000 30-Jul-21 Dairy Farm Intl Hldgs Ltd Trs 5,313 101 300 30-Jul-21 Daqin Railway Co Ltd -A Trs 378 (16) 12,400 30-Jul-21 Datasonic Group Bhd Trs 2,063 44 2,000 30-Jul-21 Delta Electronics Thai Pcl Trs 41,289 21,625 2,000 30-Jul-21 Dezhan Health Care Co Ltd-A Trs 1,729 179 471 30-Jul-21 Dhanuka Agritech Ltd Trs 6,316 225 5,800 30-Jul-21 Diamond Building Products Pc Trs 1,441 (12) 1,558 30-Jul-21 Dish Tv India Ltd Trs 364 88 963 30-Jul-21 Dishman Carbogen Amcis Ltd Trs 2,330 (70) 122 30-Jul-21 Dongbu Securities Co Ltd Trs 666 12 9,100 30-Jul-21 Dongguan Development Hldgs-A Trs 17,886 1,585 120 30-Jul-21 Dongkook Pharmaceutical Co L Trs 4,116 570 164 30-Jul-21 Dongkuk Industries Co Ltd Trs 653 (17) 340 30-Jul-21 Dongkuk Steel Mill Co Ltd - Trs 3,237 291 38 30-Jul-21 Dongwha Pharm Co Ltd Trs 876 36 136 30-Jul-21 Dongwon Development Co - Trs 807 117 827 30-Jul-21 Drdgold Ltd-Sponsored Adr Trs 12,359 1,187 100 30-Jul-21 Dtr Automotive Corp Trs 3,019 261 167 30-Jul-21 Duksan Hi-Metal Co Ltd Trs 2,506 1,075 165 30-Jul-21 Dy Corp - Trs 876 (7) 1,000 30-Jul-21 E-Life Mall Corporation Trs 3,310 117 4,000 30-Jul-21 Eastern Media International Trs 3,165 111 378 30-Jul-21 Easy Bio Inc Trs 1,815 19 799 30-Jul-21 Eclerx Services Ltd Trs 12,305 2,335 100 30-Jul-21 Ecorodovias Infra E Log Sa Trs 328 29 93 30-Jul-21 Emcore Corp Trs 646 125 169 30-Jul-21 Epl Ltd Trs 743 (16) 500 30-Jul-21 Eucatex Sa Industria-Pref Trs 873 (15) 2,600 30-Jul-21 Evergreen Fibreboard Bhd Trs 379 30 9,000 30-Jul-21 Evergreen Marine Corp Ltd Trs 16,610 6,636 975 30-Jul-21 Fdc Ltd Trs 5,645 (120) 42 30-Jul-21 Fiem Industries Ltd Trs 415 18 1,900 30-Jul-21 First Tractor Co Ltd-A Trs 4,513 466 553 30-Jul-21 Fluidigm Corp Trs 4,227 (184) 1,900 30-Jul-21 Focus Dynamics Group Bhd Trs 391 (8) 800 30-Jul-21 Focus Technology Co Ltd-A Trs 2,580 (275) 6,500 30-Jul-21 Forth Smart Service Pcl Trs 1,891 (77)

The accompanying notes are an integral part of these financial statements. 143 CC&L Alternative Canadian Equity Fund Swap Agreements (Schedule 2) As at December 31, 2020 Unrealized Market Appreciation/ Number of Maturity Value (Depreciation) Contracts Date Security Name $ $

1 30-Jul-21 Fts International Inc Trs 24 14 500 30-Jul-21 Fleury Sa - Trs 3,314 99 43,500 30-Jul-21 Gajah Tunggal Tbk Pt Trs 2,583 480 84 30-Jul-21 Gamevil Inc Trs 3,630 426 100 30-Jul-21 Gd Express Carrier Bhd Trs 13 (1) 1,000 30-Jul-21 Gem Services Inc/Tw Trs 3,093 386 175 30-Jul-21 Genesis Healthcare Inc Trs 108 (4) 850 30-Jul-21 Genomma Lab Internacional-B Trs 1,023 (34) 22,000 30-Jul-21 Global Ferronickel Holdings Trs 1,587 200 3 30-Jul-21 Globe Life Inc Trs 363 7 100 30-Jul-21 Glodon Co Ltd-A Trs 1,537 234 50 30-Jul-21 Golfzon Co Ltd Trs 4,063 60 100 30-Jul-21 Golfzon Newdin Holding Co Ltd Trs 650 (31) 1,024 30-Jul-21 Granules India Ltd Trs 6,287 (986) 1,000 30-Jul-21 Greatek Electronics Inc Trs 2,539 82 100 30-Jul-21 Grupo Financiero Banorte-O Trs 703 57 1,500 30-Jul-21 Grupo Traxion Sab De Cv Trs 1,628 102 100 30-Jul-21 Gudang Garam Tbk Pt Trs 372 (4) 118 30-Jul-21 Haesung Ds Co Ltd Trs 3,376 698 2,600 30-Jul-21 Haima Automobile Co Ltd -A Trs 1,543 137 1,400 30-Jul-21 Hana Microelectronics Pcl Trs 2,364 (156) 1 30-Jul-21 Hanjin Transportation Co - Trs 14 11 440 30-Jul-21 Hanmi Semiconductor Co Ltd Trs 9,338 3,152 1,000 30-Jul-21 Hannstar Board Corp Trs 1,966 (29) 4 30-Jul-21 Hansol Chemical Co Ltd Trs 922 203 312 30-Jul-21 Hansol Homedeco Co Ltd Trs 785 (4) 48 30-Jul-21 Hanwha Corporation - Trs 1,593 165 3,522 30-Jul-21 Hanwha Life Insurance Co Ltd Trs 10,077 1,646 8,800 30-Jul-21 Hartalega Holdings Bhd Trs 33,855 (5,806) 627 30-Jul-21 Hdc Hyundai Engineering Plast Trs 4,867 311 237 30-Jul-21 Hdc I Controls Co Ltd Trs 2,918 316 200 30-Jul-21 Hisense Visual Tech Co Ltd-A Trs 448 34 169 30-Jul-21 Hitejinro Holdings Co Ltd Trs 2,982 (93) 2,900 30-Jul-21 Hm Sampoerna Tbk Pt Trs 396 (12) 2,000 30-Jul-21 Ho Tung Chemical Corp Trs 943 40 2,000 30-Jul-21 Hsing Ta Cement Co Ltd Trs 1,814 (3) 12,000 30-Jul-21 Hua Eng Wire & Cable Co Ltd Trs 7,455 734 75 30-Jul-21 Humax Co Ltd Trs 505 40 1,500 30-Jul-21 Hunan Haili Chemical Indus-A Trs 2,392 (93) 211 30-Jul-21 Hyosungitx Co Ltd Trs 5,739 466 79 30-Jul-21 Hyundai Electric & Energy Sy- Trs 1,519 45 252 30-Jul-21 Hyundai Motor Securities Co Trs 3,723 142 7,600 30-Jul-21 Ichitan Group Pcl Trs 2,986 (503) 100 30-Jul-21 Il Dong Holdings Co Ltd Trs 1,624 368 302 30-Jul-21 Iljin Electric Co Ltd Trs 1,123 (12) 372 30-Jul-21 Indian Metals & Ferro Alloy Trs 1,824 (92) 551 30-Jul-21 Indo Count Industries Ltd Trs 1,399 (85) 300 30-Jul-21 Indo Tambangraya Megah Tbk P Trs 377 (26) 1,800 30-Jul-21 Indosat Tbk Pt Trs 824 467 117 30-Jul-21 Industrias Romi Sa Trs 472 130 261 30-Jul-21 Interpark Holdings Corp Trs 658 (22) 50 30-Jul-21 Invacare Corp Trs 570 27 2,300 30-Jul-21 Iochpe-Maxion S.A. Trs 8,745 267 32 30-Jul-21 Isc Co Ltd Trs 1,014 286 1,000 30-Jul-21 Ite Technology Inc Trs 3,088 (57) 42 30-Jul-21 J.B. Chemicals & Pharma Ltd Trs 745 26 10,500 30-Jul-21 Jaiprakash Power Ventures Lt Trs 586 161 7,450 30-Jul-21 Jbs Sa Trs 43,239 2,162 43,400 30-Jul-21 Jcy International Bhd Trs 7,289 (1,068) 200 30-Jul-21 Jiangsu Changqing Agrochem-A Trs 280 (7) 1,000 30-Jul-21 Jiangsu Phoenix Publish-A Trs 1,236 (93) 600 30-Jul-21 Jiangsu Sinojit Wind Ener-A Trs 450 45 5,500 30-Jul-21 Jiangxi Hongcheng Waterwor-A Trs 7,257 (47)

The accompanying notes are an integral part of these financial statements. 144 CC&L Alternative Canadian Equity Fund Swap Agreements (Schedule 2) As at December 31, 2020 Unrealized Market Appreciation/ Number of Maturity Value (Depreciation) Contracts Date Security Name $ $

2,025 30-Jul-21 Jindal Stainless Ltd Trs 2,673 438 200 30-Jul-21 Jinling Hotel Corp Ltd-A Trs 308 (17) 400 30-Jul-21 Jsl Sa Trs 1,062 (1,883) 100 30-Jul-21 Kalyani Steels Ltd Trs 489 79 36,600 30-Jul-21 Karmarts Pcl Trs 6,157 22 406 30-Jul-21 Kc Co Ltd Trs 13,163 1,519 32 30-Jul-21 Kgmobilians Co Ltd Trs 388 (10) 776 30-Jul-21 Kisco Corp - Trs 5,951 239 5,600 30-Jul-21 Knm Group Bhd Trs 364 13 166 30-Jul-21 Kolon Global Corp Trs 3,757 (163) 101 30-Jul-21 Korea Asset In Trust Co Ltd Trs 467 6 313 30-Jul-21 Korea Information Certificat Trs 2,899 (87) 106 30-Jul-21 Korea Line Corp Trs 378 1 1,700 30-Jul-21 Kossan Rubber Industries Trs 2,424 (884) 52 30-Jul-21 Kpr Mill Ltd Trs 793 66 25 30-Jul-21 Kpx Chemical Co Ltd Trs 1,609 58 34,900 30-Jul-21 Krakatau Steel Persero Tbk Trs 1,354 14 129 30-Jul-21 Kyongbo Pharmaceutical Co Lt Trs 2,473 763 27 30-Jul-21 Kyungdong Pharm Co Ltd Trs 355 (17) 3,250 30-Jul-21 Klabin Sa - Unit Trs 21,103 1,677 4,644 30-Jul-21 Laurus Labs Ltd Trs 28,594 3,259 1,000 30-Jul-21 Lemtech Holdings Co Ltd Trs 5,008 (283) 68 30-Jul-21 Lf Corp Trs 1,172 15 533 30-Jul-21 Lg International Corp Trs 15,437 3,564 50 30-Jul-21 Lifevantage Corp Trs 594 (84) 4,400 30-Jul-21 Lotte Chemical Titan Holding Trs 3,862 182 37 30-Jul-21 Lotte Shopping Co - Trs 4,447 115 23,000 30-Jul-21 Loxley Public Company Ltd Trs 1,573 186 21 30-Jul-21 Ls Corp - Trs 1,758 226 532 30-Jul-21 Lumens Co Ltd Trs 1,943 299 2,600 30-Jul-21 Macquarie Mexico Real Estate Trs 4,683 473 4,100 30-Jul-21 Magni-Tech Industries Bhd Trs 3,051 (31) 159 30-Jul-21 Majesco Ltd Trs 43 (2,565) 5,675 30-Jul-21 Marfrig Global Foods Sa Trs 20,199 360 5,375 30-Jul-21 Marksans Pharma Ltd Trs 5,684 228 10,100 30-Jul-21 Mc Group Pcl Trs 4,226 (114) 9,425 30-Jul-21 Metalurgica Gerdau Sa Trs 26,033 2,980 15,700 30-Jul-21 Metrodata Electronic Pt Trs 2,249 (14) 5,000 30-Jul-21 Microbio Co Ltd Trs 15,418 (1,278) 321 30-Jul-21 Mirae Asset Life Insurance Trs 1,449 (10) 869 30-Jul-21 Mk Electron Co Ltd Trs 10,750 1,021 1,001 30-Jul-21 Motech Industries Inc Trs 1,571 (128) 1,000 30-Jul-21 Nanya Technology Corp Trs 3,936 704 2 30-Jul-21 Naver Corp - Trs 686 47 10,800 30-Jul-21 Nemak Sab De Cv Trs 3,982 (56) 9,000 30-Jul-21 Neo Solar Power Corp Trs 5,816 (137) 200 30-Jul-21 Netbay Pcl Trs 236 4 58 30-Jul-21 Neuland Laboratories Ltd Trs 1,108 78 7,500 30-Jul-21 Neusoft Corp-A Trs 15,239 (859) 128 30-Jul-21 Nextier Oilfield Solutions I Trs 561 103 1,233 30-Jul-21 Nii Holdings Inc Trs 3,409 (5) 55 30-Jul-21 Noroo Paint & Coatings Co Lt Trs 639 147 1,100 30-Jul-21 North Huajin Chemical Indu-A Trs 1,185 (14) 10 30-Jul-21 Nrg Energy Inc Trs 478 61 252 30-Jul-21 Nucleus Software Exports Ltd Trs 2,774 363 100 30-Jul-21 Odontoprev Sa Trs 357 9 1 30-Jul-21 Old Dominion Freight Line Trs 249 34 3 30-Jul-21 One Gas Inc Trs 293 (9) 750 30-Jul-21 Orbia Advance Corp Sab De Cv Trs 2,242 284 75 30-Jul-21 Ovid Therapeutics Inc Trs 221 (393) 735 30-Jul-21 Peabody Energy Corp Trs 2,257 992 8,000 30-Jul-21 Pepsi-Cola Products Philippi Trs 361 - 76 30-Jul-21 Persistent Systems Ltd Trs 2,010 449

The accompanying notes are an integral part of these financial statements. 145 CC&L Alternative Canadian Equity Fund Swap Agreements (Schedule 2) As at December 31, 2020 Unrealized Market Appreciation/ Number of Maturity Value (Depreciation) Contracts Date Security Name $ $

1,323 30-Jul-21 Phosagro Pjsc-Gdr Reg S Trs 22,990 1,373 1,344 30-Jul-21 Pitney Bowes Inc Trs 10,548 784 27 30-Jul-21 Polyplex Corporation Ltd Trs 335 (7) 3,100 30-Jul-21 Polyplex Pcl Trs 2,976 (26) 1,900 30-Jul-21 Porto Seguro Sa Trs 22,838 412 5,000 30-Jul-21 Powertech Technology Inc Trs 21,517 1,025 70,300 30-Jul-21 Pp Properti Tbk Pt Trs 599 (109) 9,700 30-Jul-21 Premier Marketing Pcl Trs 3,317 (136) 725 30-Jul-21 Prologis Property Mexico Sa Trs 2,073 67 900 30-Jul-21 Puyang Refractories Group-A Trs 801 (9) 1,500 30-Jul-21 Qgep Participacoes Sa Trs 4,360 660 500 30-Jul-21 Qualitas Controladora Sab Cv Trs 3,433 325 700 30-Jul-21 Raia Drogasil Sa Trs 4,305 (6) 900 30-Jul-21 Rajthanee Hospital Pcl Trs 906 22 850 30-Jul-21 Rallis India Ltd Trs 4,168 42 43 30-Jul-21 Ramco Systems Ltd Trs 450 119 1,800 30-Jul-21 Randon Participacoes Sa-Pref Trs 7,166 754 537 30-Jul-21 Redington India Ltd Trs 1,238 21 3,164 30-Jul-21 Reliance Infrastructure Ltd Trs 1,481 318 2,138 30-Jul-21 Resolute Forest Products Trs 17,814 2,883 12,600 30-Jul-21 Rojana Indus Park Pub Co Ltd Trs 2,409 5 9,500 30-Jul-21 Ruentex Development Co Ltd Trs 17,619 (160) 6,700 30-Jul-21 S 11 Group Pcl Trs 2,135 208 437 30-Jul-21 S&T Dynamics Co Ltd Trs 3,018 161 213 30-Jul-21 S&T Holdings Co Ltd Trs 3,721 110 215 30-Jul-21 Samchuly Bicycle Co Ltd Trs 2,266 1 171 30-Jul-21 Samho International Co - Trs 6,125 650 100 30-Jul-21 Sammok S-Form Co Ltd Trs 1,011 128 36,000 30-Jul-21 Sampo Corp Trs 42,526 (495) 22 30-Jul-21 Co Ltd Trs 342 (4) 689 30-Jul-21 Samt Co Ltd Trs 1,955 70 4,000 30-Jul-21 Sanyang Motor Co Ltd Trs 6,475 206 14,500 30-Jul-21 Sc Asset Corp Pcl Trs 1,712 32 1 30-Jul-21 Scynexis Inc Trs 10 - 33 30-Jul-21 Seah Besteel Corp - Trs 410 15 25 30-Jul-21 Seaspine Holdings Corp Trs 556 103 96 30-Jul-21 Sebang Global Battery Co Ltd Trs 7,756 2,900 75 30-Jul-21 Secureworks Corp - A Trs 1,359 58 15,300 30-Jul-21 Selamat Sempurna Pt Trs 1,921 40 717 30-Jul-21 Seowonintech Co Ltd Trs 6,474 885 200 30-Jul-21 Shandong Xinhua Pharm Co-A Trs 366 (16) 13,500 30-Jul-21 Shanghai Bailian Group Co-A Trs 38,471 4,176 600 30-Jul-21 Shanghai Guangdian Electri-A Trs 382 (23) 11,400 30-Jul-21 Shenzhen Overseas Chinese-A Trs 15,776 (84) 327 30-Jul-21 Shilpa Medicare Ltd Trs 2,567 (87) 50 30-Jul-21 Sillajen Inc Trs 635 (62) 2,876 30-Jul-21 Sk Securities Co Ltd Trs 2,705 28 5,400 30-Jul-21 Snc Former Pcl Trs 2,753 (169) 1,000 30-Jul-21 Soft-World Intl Corp Trs 4,807 792 50 30-Jul-21 Sohu.Com Ltd-Adr Trs 1,015 (155) 266 30-Jul-21 Solara Active Pharma Science Trs 5,526 166 2,500 30-Jul-21 Somboon Advance Technology P Trs 1,742 213 104 30-Jul-21 Soulbrain Co Ltd Trs 5,500 337 4,900 30-Jul-21 Spcg Pcl Trs 4,184 (186) 2,281 30-Jul-21 Spicejet Ltd Trs 3,776 813 1,400 30-Jul-21 Sri Trang Agro-Industry Pcl Trs 1,576 (1) 200 30-Jul-21 Sul America Sa - Units Trs 2,176 130 3,000 30-Jul-21 Sunplus Technology Co Ltd Trs 2,490 372 27,000 30-Jul-21 Super Energy Corp Pcl Trs 1,101 50 7,100 30-Jul-21 Supermax Corp Bhd Trs 13,523 (6,056) 297 30-Jul-21 Surya Roshni Ltd Trs 1,876 525 6,500 30-Jul-21 Svi Pcl Trs 1,182 (160) 2,000 30-Jul-21 Syncmold Enterprise Corp Trs 7,872 168

The accompanying notes are an integral part of these financial statements. 146 CC&L Alternative Canadian Equity Fund Swap Agreements (Schedule 2) As at December 31, 2020 Unrealized Market Appreciation/ Number of Maturity Value (Depreciation) Contracts Date Security Name $ $

51 30-Jul-21 Syngene International Ltd Trs 569 61 1,450 30-Jul-21 Sao Martinho Sa Trs 9,732 666 2,400 30-Jul-21 Slc Agricola Sa Trs 16,160 778 400 30-Jul-21 Ta Ann Holdings Berhad Trs 397 5 7,000 30-Jul-21 Ta Ya Electric Wire & Cable Trs 6,380 (274) 43 30-Jul-21 Taewoong Co Ltd Trs 787 63 242 30-Jul-21 Taeyoung Engineering & Const Trs 3,348 505 11,000 30-Jul-21 Taita Chemical Trs 19,429 3,434 1,000 30-Jul-21 Taiwan Navigation Co Ltd Trs 957 28 4,000 30-Jul-21 Taiwan Pcb Techvest Co Ltd Trs 8,053 (63) 64 30-Jul-21 Tata Communications Ltd Trs 1,228 58 1,000 30-Jul-21 Test-Rite International Co Trs 1,211 69 300 30-Jul-21 Thai Vegetable Oil Pcl Trs 430 20 1,000 30-Jul-21 Thinking Electronic Industri Trs 7,255 746 50 30-Jul-21 Thyrocare Technologies Ltd Trs 796 (150) 12,800 30-Jul-21 Timah Tbk Pt Trs 1,723 440 8,500 30-Jul-21 Tipco Foods Pcl Trs 2,582 36 29 30-Jul-21 Tokai Carbon Korea Co Ltd Trs 4,261 831 17,900 30-Jul-21 Top Glove Corp Bhd Trs 35,652 (3,871) 7,000 30-Jul-21 Totvs Sa - Trs 49,487 4,874 1,000 30-Jul-21 Tpk Holding Co Ltd Trs 2,100 19 319 30-Jul-21 Triveni Engineering & Indus Trs 397 3 1,000 30-Jul-21 Tsann Kuen Enterprise Co Ltd Trs 911 61 4,000 30-Jul-21 Tsec Corp Trs 7,573 252 23,300 30-Jul-21 Tunas Baru Lampung Tbk Pt Trs 1,975 272 300 30-Jul-21 Tupy Sa Trs 1,543 8 1,000 30-Jul-21 Turvo International Co Ltd Trs 3,795 246 125 30-Jul-21 Tanla Platforms Ltd Trs 1,469 26 55 30-Jul-21 Uju Electronics Co Ltd - Trs 2,544 384 300 30-Jul-21 Unipar Carbocloro Sa Trs 3,767 957 1,500 30-Jul-21 Unisem (M) Berhad Trs 2,937 228 800 30-Jul-21 United Paper Pcl Trs 442 (3) 1,000 30-Jul-21 Universal Cement Trs 1,052 37 1,000 30-Jul-21 Upc Technology Corp Trs 871 94 6,000 30-Jul-21 Usi Corp Trs 6,149 762 6,100 30-Jul-21 Usinas Sider Minas Ger-Pf A Trs 21,862 2,013 34 30-Jul-21 Vaibhav Global Ltd Trs 1,451 204 15 30-Jul-21 Valhi Inc Trs 290 (18) 75 30-Jul-21 Venator Materials Plc Trs 316 78 10 30-Jul-21 Vst Tillers Tractors Ltd Trs 326 (5) 1,000 30-Jul-21 Wah Lee Industrial Corp Trs 3,446 (20) 2,000 30-Jul-21 Walton Advanced Engineering Trs 1,252 143 6,000 30-Jul-21 Wan Hai Lines Ltd Trs 14,393 3,045 3,425 30-Jul-21 Weg Sa Trs 63,665 3,576 3,467 30-Jul-21 Welspun Corp Ltd Trs 8,046 995 1,000 30-Jul-21 Winstek Semiconductor Co Ltd Trs 1,320 92 1,000 30-Jul-21 Wiz Solucoes E Corretagem Trs 1,972 (129) 737 30-Jul-21 Wonik Holdings Co Ltd Trs 5,479 182 1,600 30-Jul-21 Xiandai Investment Co Ltd-A Trs 1,327 105 1,600 30-Jul-21 Xinhua Winshare Publishing-A Trs 2,839 (386) 200 30-Jul-21 Xinjiang Goldwind Sci&Tech-A Trs 556 71 9,000 30-Jul-21 Yang Ming Marine Transport - Trs 11,937 6,622 2,000 30-Jul-21 Yc Co Ltd Trs 1,496 11 1,200 30-Jul-21 Yinchuan Xinhua Commercial-A Trs 2,965 (285) 6,000 30-Jul-21 Youngtek Electronics Corp Trs 16,869 131 300 30-Jul-21 Zhejiang Kingland Pipeline-A Trs 371 (43) 1,000 30-Jul-21 Gamania Digital Entertainmen Trs 3,170 227 116,426 Net unrealized appreciation (depreciation) on equity swaps - Long 402,749

The accompanying notes are an integral part of these financial statements. 147 CC&L Alternative Canadian Equity Fund Swap Agreements (Schedule 2) As at December 31, 2020 Unrealized Market Appreciation/ Number of Maturity Value (Depreciation) Contracts Date Security Name $ $

Equity Swaps - Short

Australian Dollar LIBOR 1 month 775 30-Jul-21 Abacus Property Group Trs (2,187) 139 2,925 30-Jul-21 Ama Group Ltd Trs (2,300) (158) 2,479 30-Jul-21 Amp Ltd Trs (3,802) 368 53 30-Jul-21 Appen Ltd Trs (1,286) 61 1,125 30-Jul-21 Ardent Leisure Group Ltd Trs (763) 155 18 30-Jul-21 Aristocrat Leisure Ltd Trs (549) 12 200 30-Jul-21 Aventus Group Trs (547) (22) 64 30-Jul-21 Ampol Ltd Trs (1,788) 131 1,299 30-Jul-21 Beach Energy Ltd Trs (2,305) (51) 88 30-Jul-21 Boral Ltd Trs (428) (3) 1,088 30-Jul-21 Bubs Australia Ltd Trs (636) 67 339 30-Jul-21 Bwp Trust Trs (1,503) (57) 2,215 30-Jul-21 Carnarvon Petroleum Ltd Trs (653) (64) 324 30-Jul-21 Challenger Ltd Trs (2,051) (171) 33 30-Jul-21 Charter Hall Group Trs (484) (26) 981 30-Jul-21 Cimic Group Ltd Trs (23,503) 1,295 24 30-Jul-21 Coles Group Ltd Trs (428) 4 366 30-Jul-21 Computershare Ltd Trs (5,250) (82) 3,192 30-Jul-21 Cooper Energy Ltd Trs (1,224) (95) 443 30-Jul-21 Corporate Travel Management Trs (7,621) 1,027 950 30-Jul-21 Cromwell Property Group Trs (830) (36) 162 30-Jul-21 Dexus Trs (1,543) (9) 710 30-Jul-21 Downer Edi Ltd Trs (3,720) (31) 1,227 30-Jul-21 Eml Payments Ltd Trs (5,042) (541) 410 30-Jul-21 Event Hospitality And Entert Trs (3,825) 398 56 30-Jul-21 Flight Centre Travel Group L Trs (873) 69 643 30-Jul-21 Fortescue Metals Group Ltd Trs (14,811) (258) 443 30-Jul-21 Goodman Group Trs (8,300) (234) 525 30-Jul-21 Ht&E Ltd Trs (955) (160) 536 30-Jul-21 Idp Education Ltd Trs (10,460) 1,811 73 30-Jul-21 Insurance Australia Group Trs (337) 37 67 30-Jul-21 Link Administration Holdings Trs (366) 1 139 30-Jul-21 Lovisa Holdings Ltd Trs (1,548) (7) 5,005 30-Jul-21 Mirvac Group Trs (13,226) (415) 375 30-Jul-21 Neuren Pharmaceuticals Ltd Trs (474) 8 389 30-Jul-21 Oil Search Ltd Trs (1,419) (41) 67 30-Jul-21 Orica Ltd Trs (1,009) 50 5,273 30-Jul-21 Pilbara Minerals Ltd Trs (4,510) (829) 2,103 30-Jul-21 Qantas Airways Ltd Trs (10,027) 962 123 30-Jul-21 Qbe Insurance Group Ltd Trs (1,031) 21 2,183 30-Jul-21 Santos Ltd Trs (13,456) (105) 116 30-Jul-21 Select Harvests Ltd Trs (602) 39 5,543 30-Jul-21 Senex Energy Ltd Trs (1,717) 200 1,050 30-Jul-21 Shopping Centres Australasia Trs (2,660) (9) 2,656 30-Jul-21 Tabcorp Holdings Ltd Trs (10,183) (151) 255 30-Jul-21 Tabcorp Holdings Ltd Trs (93) (93) 140 30-Jul-21 Treasury Estates Ltd Trs (1,294) (12) 535 30-Jul-21 Uniti Group Ltd Trs (899) (79) 92 30-Jul-21 Vocus Group Ltd Trs (365) (1) 2,038 30-Jul-21 Webjet Ltd Trs (10,158) 1,403 12 30-Jul-21 Wisetech Global Ltd Trs (363) (5) 4,437 30-Jul-21 Worleyparsons Ltd Trs (50,119) 4,467 2,499 30-Jul-21 Waypoint Reit Ltd Trs (6,897) (288) 8,692 British Pound LIBOR 1 month 39 30-Jul-21 A.G. Barr Plc Trs (353) (13) 1,450 30-Jul-21 Advanced Medical Solutions Trs (6,136) 63 2,098 30-Jul-21 Anglo Pacific Group Plc Trs (4,669) (619) 125 30-Jul-21 Arrow Global Group Plc Trs (445) (63) 1,933 30-Jul-21 Ascential Plc Trs (12,927) (1,571)

The accompanying notes are an integral part of these financial statements. 148 CC&L Alternative Canadian Equity Fund Swap Agreements (Schedule 2) As at December 31, 2020 Unrealized Market Appreciation/ Number of Maturity Value (Depreciation) Contracts Date Security Name $ $

363 30-Jul-21 Ashmore Group Plc Trs (2,726) (39) 91 30-Jul-21 Asos Plc Trs (7,580) (356) 17 30-Jul-21 Associated British Foods Plc Trs (670) (45) 10,919 30-Jul-21 Assura Plc Trs (14,739) (516) 674 30-Jul-21 Aston Martin Lagonda Global Trs (23,581) (6,366) 205 30-Jul-21 Barclays Plc Trs (524) (12) 18 30-Jul-21 Big Yellow Group Plc Trs (349) 4 7,510 30-Jul-21 British Land Co Plc Trs (63,954) (2,199) 2,576 30-Jul-21 Bt Group Plc Trs (5,933) (243) 49 30-Jul-21 Burberry Group Plc Trs (1,527) (51) 8,889 30-Jul-21 Cairn Energy Plc Trs (32,446) (7,554) 5,720 30-Jul-21 Capital & Counties Propertie Trs (14,444) (1,013) 1,876 30-Jul-21 Coats Group Plc Trs (2,198) (62) 1,783 30-Jul-21 Convatec Group Plc Trs (6,185) 237 400 30-Jul-21 Countryside Properties Plc Trs (3,256) (292) 515 30-Jul-21 Custodian Reit Plc Trs (787) (9) 25 30-Jul-21 Daily Mail&General Tst-A Nv Trs (332) (34) 504 30-Jul-21 Dart Group Plc Trs (6,394) (113) 523 30-Jul-21 Derwent London Plc Trs (28,199) (452) 216 30-Jul-21 Dignity Plc Trs (2,389) 331 4,109 30-Jul-21 Diversified Gas & Oil Plc Trs (8,086) (272) 2,766 30-Jul-21 Enquest Plc Trs (544) 25 32 30-Jul-21 Entain Plc Trs (632) (21) 23 30-Jul-21 Flutter Entertainment Plc Trs (6,052) (37) 44 30-Jul-21 Genel Energy Plc Trs (111) (6) 1,533 30-Jul-21 Glencore Plc Trs (6,220) 199 2,973 30-Jul-21 Great Portland Estates Plc Trs (34,829) (1,557) 526 30-Jul-21 Greencore Group Plc Trs (1,067) 28 200 30-Jul-21 Gulf Keystone Petroleum Ltd Trs (426) (105) 136 30-Jul-21 Gym Group Plc/The Trs (514) (14) 11 30-Jul-21 Halma Plc Trs (470) (10) 36 30-Jul-21 Homeserve Plc Trs (646) 42 125 30-Jul-21 Hunting Plc Trs (485) (86) 42,150 30-Jul-21 Hurricane Energy Plc Trs (1,835) 1,035 1,010 30-Jul-21 Hyve Group Plc Trs (1,989) (504) 50 30-Jul-21 Ig Design Group Plc Trs (565) (33) 1,686 30-Jul-21 Informa Plc Trs (16,120) (328) 15 30-Jul-21 Intertek Group Plc Trs (1,475) 25 11,366 30-Jul-21 Intu Properties Plc Trs (352) 1 559 30-Jul-21 Jd Sports Fashion Plc Trs (8,372) (664) 140 30-Jul-21 Jet2 Plc Trs (3,486) (117) 575 30-Jul-21 John Laing Group Plc Trs (3,325) (142) 7,633 30-Jul-21 John Wood Group Plc Trs (41,234) (1,620) 435 30-Jul-21 Keywords Studios Plc Trs (21,666) (4,272) 216 30-Jul-21 Lancashire Holdings Ltd Trs (2,722) 58 4,398 30-Jul-21 Land Securities Group Plc Trs (52,526) (2,085) 204 30-Jul-21 Legal & General Group Plc Trs (946) (21) 30 30-Jul-21 London Stock Exchange Group Trs (4,706) (147) 1,545 30-Jul-21 Londonmetric Property Plc Trs (6,218) (341) 193 30-Jul-21 Man Group Plc/Jersey Trs (464) (17) 285 30-Jul-21 National Express Group Plc Trs (1,178) 7 1,946 30-Jul-21 Newriver Reit Plc Trs (2,867) (474) 125 30-Jul-21 Nmc Health Plc Trs (2,043) - 17 30-Jul-21 Ocado Group Plc Trs (677) (5) 11,030 30-Jul-21 Old Mutual Ltd Trs (11,460) (789) 59 30-Jul-21 On The Beach Group Plc Trs (383) (5) 350 30-Jul-21 Onesavings Bank Plc Trs (2,582) (212) 675 30-Jul-21 Pennon Group Plc Trs (11,167) (49) 5,236 30-Jul-21 Petrofac Ltd Trs (12,593) 1,328 4,525 30-Jul-21 Pharos Energy Plc Trs (1,458) (142) 1,329 30-Jul-21 Phoenix Group Holdings Plc Trs (16,215) 376 332 30-Jul-21 Premier Miton Group Plc (853) (9) 13,134 30-Jul-21 Premier Oil Plc Trs (4,491) 156

The accompanying notes are an integral part of these financial statements. 149 CC&L Alternative Canadian Equity Fund Swap Agreements (Schedule 2) As at December 31, 2020 Unrealized Market Appreciation/ Number of Maturity Value (Depreciation) Contracts Date Security Name $ $

10,001 30-Jul-21 Primary Health Properties Trs (26,612) (1,835) 257 30-Jul-21 Rdi Reit Plc Trs (425) (12) 19 30-Jul-21 Reckitt Benckiser Group Plc Trs (2,165) 14 253 30-Jul-21 Regional Reit Ltd Trs (370) (34) 16,694 30-Jul-21 Restaurant Group Plc Trs (18,665) (14) 543 30-Jul-21 Rsa Insurance Group Plc Trs (6,406) (32) 146 30-Jul-21 Saga Plc Trs (643) (14) 1,653 30-Jul-21 Sanne Group Plc Trs (17,733) (1,312) 7,307 30-Jul-21 Schroder Real Estate Investm Trs (4,963) (331) 11 30-Jul-21 Schroders Plc Trs (639) (19) 155 30-Jul-21 Severn Trent Plc Trs (6,288) 152 124 30-Jul-21 Shaftesbury Plc Trs (1,229) (83) 18 30-Jul-21 Softcat Plc Trs (431) (48) 1,050 30-Jul-21 Solgold Plc Trs (592) 40 40 30-Jul-21 Ssp Group Plc Trs (231) (1) 4,013 30-Jul-21 St James'S Place Plc Trs (79,216) (7,371) 175 30-Jul-21 St. Modwen Properties Plc Trs (1,219) (112) 1,912 30-Jul-21 Standard Chartered Plc Trs (15,513) (234) 409 30-Jul-21 Standard Life Aberdeen Plc Trs (2,004) 48 7,463 30-Jul-21 Stobart Group Ltd Trs (3,386) (470) 1,725 30-Jul-21 Talktalk Telecom Group Trs (2,944) (198) 32 30-Jul-21 Tate & Lyle Plc Trs (381) (15) 233 30-Jul-21 Tp Icap Plc Trs (967) (94) 84 30-Jul-21 Unilever Plc Trs (6,425) 39 1,273 30-Jul-21 United Utilities Group Plc Trs (20,161) (101) 264 30-Jul-21 Urban & Civic Plc Trs (1,582) (5) 388 30-Jul-21 Vectura Group Plc Trs (842) (82) 10 30-Jul-21 Victrex Plc Trs (409) (12) 13,081 30-Jul-21 Virgin Money Uk Plc Trs (30,640) (1,822) 306 30-Jul-21 Vistry Group Plc Trs (5,007) (387) 30 30-Jul-21 Weir Group Plc/The Trs (1,040) (121) 683 30-Jul-21 Wetherspoon (J.D.) Plc Trs (13,274) (139) 46 30-Jul-21 Whitbread Plc Trs (956) (956) 850 30-Jul-21 Wizz Air Holdings Plc Trs (67,560) (875) 869 30-Jul-21 Wm Morrison Supermarkets Trs (2,744) (33) 175 30-Jul-21 Xps Pensions Group Plc Trs (395) (23) 189 30-Jul-21 Zotefoams Plc Trs (1,251) 53 (48,230) Danish Krone LIBOR 1 month 450 30-Jul-21 Bavarian Nordic A/S Trs (17,623) (15) 15 30-Jul-21 Demant A/S Trs (756) (43) 158 30-Jul-21 Dfds A/S Trs (9,106) (174) 54 30-Jul-21 Drilling Co Of 1972/The Trs (2,179) (160) 148 30-Jul-21 Dsv Panalpina A/S Trs (31,614) (759) 1,275 30-Jul-21 H Lundbeck A/S Trs (55,752) (4,496) 20 30-Jul-21 Novozymes A/S-B Shares Trs (1,464) (36) 54 30-Jul-21 Ringkjoebing Landbobank A/S Trs (6,265) (148) 32 30-Jul-21 Spar Nord Bank A/S Trs (401) 11 661 30-Jul-21 Topdanmark A/S Trs (36,572) 1 35 30-Jul-21 Vestas Wind Systems A/S Trs (10,551) (1,284) 157 30-Jul-21 Zealand Pharma A/S Trs (7,253) 561 (6,542) Euro LIBOR 1 month 12 30-Jul-21 1&1 Drillisch Ag Trs (382) (11) 18 30-Jul-21 Acciona Sa Trs (3,274) (190) 50 30-Jul-21 Ackermans & Van Haaren Trs (9,587) (23) 4 30-Jul-21 Adidas Ag Trs (1,857) (149) 19 30-Jul-21 Ado Properties Sa Trs (859) (124) 75 27-Jul-21 Ado Properties Sa Trs (484) (484) 3,204 30-Jul-21 Aeffe Spa Trs (5,514) 177 7,928 30-Jul-21 Aegon Nv Trs (39,979) (1,230) 150 30-Jul-21 Aib Group Plc Trs (393) (37) 14 30-Jul-21 Akzo Nobel N.V. Trs (1,917) (33)

The accompanying notes are an integral part of these financial statements. 150 CC&L Alternative Canadian Equity Fund Swap Agreements (Schedule 2) As at December 31, 2020 Unrealized Market Appreciation/ Number of Maturity Value (Depreciation) Contracts Date Security Name $ $

94 30-Jul-21 Alstom Trs (6,830) (120) 517 30-Jul-21 Alstria Office Reit-Ag Trs (11,927) (1,050) 2 30-Jul-21 Altarea Trs (447) (25) 26 30-Jul-21 Alten Sa Trs (3,755) (127) 3,428 30-Jul-21 Amper Sa Trs (1,022) 115 56 30-Jul-21 Amundi Sa Trs (5,831) 23 35 30-Jul-21 Ascencio Trs (2,616) 33 15 30-Jul-21 Asr Nederland Nv Trs (768) (40) 2,448 30-Jul-21 Atlantia Spa Trs (56,152) 1,946 24,639 30-Jul-21 Banco Comercial Portugues-R Trs (4,732) (183) 27 30-Jul-21 Barco N.V. Trs (750) 14 309 30-Jul-21 Basic-Fit Nv Trs (14,450) 234 62 30-Jul-21 Basicnet Spa Trs (402) (53) 28 30-Jul-21 Beiersdorf Ag Trs (4,122) (49) 50 30-Jul-21 Biocartis Nv Trs (362) 11 4 30-Jul-21 Biomerieux Trs (720) (19) 372 30-Jul-21 Bollore Trs (1,961) (65) 98 30-Jul-21 Boskalis Westminster Trs (3,443) (391) 1,322 30-Jul-21 Bper Banca Trs (3,060) (44) 486 30-Jul-21 Brunello Cucinelli Spa Trs (27,046) (2,148) 41 30-Jul-21 Ca Immobilien Anlagen Ag Trs (2,004) (140) 548 30-Jul-21 Cairn Homes Plc Trs (822) (32) 149 30-Jul-21 Caixabank Sa Trs (488) 10 7 30-Jul-21 Carl Zeiss Meditec Ag - Br Trs (1,188) 3 51 30-Jul-21 Carmila Trs (936) 2 45 30-Jul-21 Carrefour Sa Trs (984) (31) 37 30-Jul-21 Cellnex Telecom Sa Trs (2,833) 52 31 30-Jul-21 Cerved Group Spa Trs (360) (5) 2 30-Jul-21 Christian Dior Se Trs (1,418) (64) 128 30-Jul-21 Cie Automotive Sa Trs (4,402) (238) 3 30-Jul-21 Compugroup Medical Se Trs (368) 22 133 30-Jul-21 Crh Plc Trs (7,053) (53) 925 30-Jul-21 Danone Trs (77,516) (359) 2 30-Jul-21 Dassault Aviation Sa Trs (2,796) (91) 95 30-Jul-21 Dassault Systemes Sa Trs (24,605) (1,532) 33 30-Jul-21 Dbv Technologies Sa Trs (223) (12) 393 30-Jul-21 Delivery Hero Se Trs (77,801) (15,507) 5 30-Jul-21 Deutsche Boerse Ag Trs (1,085) (8) 118 30-Jul-21 Deutsche Euroshop Ag Trs (3,393) (165) 25 30-Jul-21 Deutsche Post Ag-Reg Trs (1,578) 12 316 30-Jul-21 Deutsche Telekom Ag-Reg Trs (7,367) 6 6 30-Jul-21 Dialog Semiconductor Plc Trs (418) (5) 30 30-Jul-21 Do & Co Ag Trs (3,124) (749) 4,693 30-Jul-21 E.On Se Trs (66,307) (941) 94 30-Jul-21 Edp Renovaveis Sa Trs (3,341) (222) 603 30-Jul-21 Enagas Sa Trs (16,886) 2,061 354 30-Jul-21 Encavis Ag Trs (11,781) (1,803) 394 30-Jul-21 Essilorluxottica Trs (78,337) (3,582) 698 30-Jul-21 Euronav Nv Trs (7,181) - 151 30-Jul-21 Evotec Se Trs (7,127) (1,103) 83 30-Jul-21 Elia Group Sa/Nv Trs (12,615) (365) 2 30-Jul-21 Ferrari Nv Trs (588) (17) 350 30-Jul-21 Ferrovial Sa Trs (130) (130) 226 30-Jul-21 Fiera Milano Spa Trs (1,001) 31 50 30-Jul-21 Fila Spa Trs (715) (60) 28 30-Jul-21 Finecobank Spa Trs (585) (16) 2,655 30-Jul-21 Finnair Oyj Trs (3,135) (577) 96 30-Jul-21 Flow Traders Trs (4,049) (67) 27 30-Jul-21 Fomento De Construc Y Contra Trs (370) (1) 5 30-Jul-21 Fuchs Petrolub Se -Pref Trs (362) 11 210 30-Jul-21 Galapagos Nv Trs (26,345) 5,562 1,565 30-Jul-21 Galp Energia Sgps Sa Trs (21,356) 695 2 30-Jul-21 Gerresheimer Ag Trs (274) 30

The accompanying notes are an integral part of these financial statements. 151 CC&L Alternative Canadian Equity Fund Swap Agreements (Schedule 2) As at December 31, 2020 Unrealized Market Appreciation/ Number of Maturity Value (Depreciation) Contracts Date Security Name $ $

582 30-Jul-21 Glanbia Plc Trs (9,417) (77) 2,719 30-Jul-21 Glenveagh Properties Plc Trs (3,658) (103) 501 30-Jul-21 Grifols Sa Trs (18,649) 134 295 30-Jul-21 Hamborner Reit Ag Trs (4,142) (26) 45 30-Jul-21 Hamburger Hafen Und Logistik Trs (1,293) (6) 11 30-Jul-21 Hannover Rueck Se Trs (2,234) 38 3 30-Jul-21 Henkel Ag & Co Kgaa Vorzug Trs (432) (18) 2 30-Jul-21 Hypoport Ag Trs (1,606) (91) 65 30-Jul-21 Iliad Sa Trs (17,032) 265 429 30-Jul-21 Immofinanz Ag Trs (11,348) (905) 50 30-Jul-21 Indus Holding Ag Trs (2,502) 30 2,351 30-Jul-21 Infrastrutture Wireless Ital Trs (36,391) 2,988 337 30-Jul-21 Innate Pharma Sa Trs (1,819) 397 8,892 30-Jul-21 Intl Consolidated Airline-Di Trs (24,825) (857) 4,888 30-Jul-21 Intl Consolidated Airline-Di Trs (236) (236) 56 30-Jul-21 Ipsen Trs (5,927) 1,052 309 30-Jul-21 Italgas Spa Trs (2,505) 49 9 30-Jul-21 Jenoptik Ag Trs (352) (3) 44 30-Jul-21 Jeronimo Martins Trs (948) 2 253 30-Jul-21 Juventus Football Club Spa Trs (321) (1) 558 30-Jul-21 Just Eat Takeaway.Com Nv Trs (80,370) (3,110) 13 30-Jul-21 Kaufman & Broad Sa Trs (742) (20) 25 30-Jul-21 Kendrion Nv Trs (647) (16) 55 30-Jul-21 Kerry Group Plc-A Trs (10,159) 30 89 30-Jul-21 Kinepolis Trs (4,821) 220 27 30-Jul-21 Kion Group Ag Trs (2,995) 6 2,620 30-Jul-21 Koninklijke Bam Groep Nv Trs (6,963) 422 2 30-Jul-21 Korian Sa-Rts Trs (8) (8) 8 30-Jul-21 Korian Trs (391) (44) 4 30-Jul-21 Kws Saat Se & Co Kgaa Trs (405) (8) 13 30-Jul-21 Leg Immobilien Ag Trs (2,575) (131) 20 30-Jul-21 Lenzing Ag Trs (2,581) (334) 13 30-Jul-21 Lpkf Laser & Electronics Trs (597) (95) 1 30-Jul-21 Lvmh Moet Hennessy Louis Vui Trs (796) (88) 250 30-Jul-21 Maire Tecnimont Spa Trs (710) (88) 113 30-Jul-21 Marr Spa Trs (2,970) (206) 36 30-Jul-21 Mercialys Trs (405) (12) 966 30-Jul-21 Merlin Properties Socimi Sa Trs (11,715) (120) 111 30-Jul-21 Metrovacesa Sa Trs (1,045) 32 56 30-Jul-21 Moncler Spa Trs (4,377) (551) 148 30-Jul-21 Morphosys Ag Trs (21,645) 57 101 30-Jul-21 Mtu Aero Engines Ag Trs (33,598) (2,392) 7,744 30-Jul-21 Navigator Co Sa/The Trs (30,154) (39) 204 30-Jul-21 Neinor Homes Sa Trs (3,466) (335) 43 30-Jul-21 Neoen Sa Trs (4,203) (712) 512 30-Jul-21 Neste Oyj Trs (47,216) (2,224) 8 30-Jul-21 Nn Group Nv Trs (443) (19) 337 30-Jul-21 Nokian Renkaat Oyj Trs (15,140) 339 78 30-Jul-21 Nos Sgps Trs (347) 22 1,818 30-Jul-21 Oci Nv Trs (44,549) (3,223) 51 30-Jul-21 Omv Ag Trs (2,623) (357) 13 30-Jul-21 Orpea Trs (2,179) (68) 4,459 30-Jul-21 Pharming Group Nv Trs (8,841) (584) 1,113 30-Jul-21 Promotora De Informaciones-A Trs (1,550) (187) 78 30-Jul-21 Prosus Nv Trs (10,743) 305 950 30-Jul-21 Publicis Groupe Trs (60,360) (3,340) 16 30-Jul-21 Puma Se Trs (2,302) (190) 41 30-Jul-21 Recordati Spa Trs (2,897) (50) 125 30-Jul-21 Red Electrica Corporacion Sa Trs (3,269) 15 211 30-Jul-21 Remy Cointreau Trs (50,093) (1,100) 13 30-Jul-21 Rtl Group Trs (805) (25) 1,364 30-Jul-21 Safilo Group Spa Trs (1,695) (198) 137 30-Jul-21 Safran Sa Trs (24,762) 1,010

The accompanying notes are an integral part of these financial statements. 152 CC&L Alternative Canadian Equity Fund Swap Agreements (Schedule 2) As at December 31, 2020 Unrealized Market Appreciation/ Number of Maturity Value (Depreciation) Contracts Date Security Name $ $

10,492 30-Jul-21 Saras Spa Trs (9,723) (913) 2,183 30-Jul-21 Sbm Offshore Nv Trs (52,966) 851 300 30-Jul-21 Scor Se Trs (12,355) 890 50 30-Jul-21 Seb Sa Trs (11,613) (151) 20 30-Jul-21 Siemens Healthineers Ag Trs (1,309) (95) 193 30-Jul-21 Sligro Food Group Nv Trs (5,096) 345 576 30-Jul-21 Smcp Sa Trs (4,466) 237 33 30-Jul-21 Smurfit Kappa Group Plc Trs (1,957) (26) 332 30-Jul-21 Snam Spa Trs (2,381) 30 22 30-Jul-21 Snp Schneider-Neureither & P Trs (2,088) (260) 247 30-Jul-21 Societe Bic Sa Trs (17,811) 1,315 971 30-Jul-21 Solaria Energia Y Medio Ambi Trs (35,781) (5,867) 66 30-Jul-21 Stroeer Se & Co Kgaa Trs (8,334) (616) 56 30-Jul-21 Suedzucker Ag Trs (1,019) (21) 499 30-Jul-21 Suez Trs (12,617) (88) 100 30-Jul-21 Tag Immobilien Ag Trs (4,037) (135) 643 30-Jul-21 Tecnicas Reunidas Sa Trs (10,845) (478) 910 30-Jul-21 Telefonica Deutschland Holdi Trs (3,198) 80 606 30-Jul-21 Thales Sa Trs (70,753) 1,907 23 30-Jul-21 Tietoevry Oyj Trs (963) (12) 3 30-Jul-21 Tlg Immobilien Ag Trs (107) (9) 37 30-Jul-21 Tomtom Trs (487) (93) 194 30-Jul-21 Tubacex Sa Trs (414) 16 356 30-Jul-21 Ubisoft Entertainment Trs (43,751) 498 717 30-Jul-21 Umicore Trs (43,913) (1,800) 247 30-Jul-21 Unilever Plc Trs (19,084) (520) 11 30-Jul-21 Uniper Se Trs (484) (3) 25 30-Jul-21 Uniqa Insurance Group Ag Trs (249) (2) 9 30-Jul-21 Vastned Retail Nv Trs (325) (4) 108 30-Jul-21 Verbund Ag Trs (11,759) (1,482) 12 30-Jul-21 Voestalpine Ag Trs (548) (47) 14 30-Jul-21 Voltalia Sa- Regr Trs (564) (131) 12 30-Jul-21 Vopak Trs (804) (5) 100 30-Jul-21 Washtec Ag Trs (6,804) (104) 872 30-Jul-21 Webuild Trs (1,607) 125 27 30-Jul-21 Worldline Sa Trs (3,329) (109) 5 30-Jul-21 Xior Student Housing Nv Trs (384) 5 7 30-Jul-21 Zalando Se Trs (994) (51) (44,927) Hong Kong Dollar LIBOR 1 month 2,000 30-Jul-21 Air China Ltd-H Trs (2,005) 40 20,000 30-Jul-21 Alibaba Pictures Group Ltd Trs (3,155) 266 34,000 30-Jul-21 Anton Oilfield Services Gp Trs (2,430) 28 6,000 30-Jul-21 Avichina Industry & Tech-H Trs (5,334) (801) 13,600 30-Jul-21 Bank Of East Asia Ltd Trs (37,004) 914 2,000 30-Jul-21 Beijing Enterprises Water Gr Trs (1,025) 7 2,000 30-Jul-21 Bosideng Intl Hldgs Ltd Trs (1,310) (107) 1,500 30-Jul-21 Byd Co Ltd-H Trs (50,080) (4,730) 2,000 30-Jul-21 C&D International Investment Trs (3,943) 1,039 3,000 30-Jul-21 Car Inc Trs (1,844) 17 4,000 30-Jul-21 China Eastern Airlines Co-H Trs (2,202) 100 500 30-Jul-21 China Galaxy Securities Co-H Trs (399) 12 600 30-Jul-21 China Gas Holdings Ltd Trs (3,036) (193) 86,996 30-Jul-21 China Molybdenum Co Ltd-H Trs (72,327) (19,744) 32,000 30-Jul-21 China Southern Airlines Co-H Trs (24,291) 738 2,800 30-Jul-21 China Zhongwang Holdings Ltd Trs (672) 105 2,000 30-Jul-21 Citychamp Watch & Jewellery Trs (562) (26) 4,000 30-Jul-21 Cosmopolitan Intl Hldgs Trs (1,006) (21) 2,000 30-Jul-21 Esprit Holdings Ltd Trs (371) (39) 200 30-Jul-21 Everbright Securities Co L-H Trs (228) 9 11,000 30-Jul-21 Fortune Reit Trs (13,356) (626) 1,000 30-Jul-21 Great Wall Motor Company-H Trs (4,371) (696) 12,000 30-Jul-21 Guotai Junan International Trs (2,051) 87

The accompanying notes are an integral part of these financial statements. 153 CC&L Alternative Canadian Equity Fund Swap Agreements (Schedule 2) As at December 31, 2020 Unrealized Market Appreciation/ Number of Maturity Value (Depreciation) Contracts Date Security Name $ $

4,008 30-Jul-21 Haichang Ocean Park Holdings Trs (313) (27) 400 30-Jul-21 Haitong Securities Co Ltd-H Trs (455) (17) 12,500 30-Jul-21 Hc Group Inc Trs (2,280) (164) 20,000 30-Jul-21 Hengten Networks Group Ltd Trs (871) 49 20,000 30-Jul-21 Honghua Group Trs (815) (39) 7,000 30-Jul-21 Huabao International Holding Trs (12,283) (167) 700 30-Jul-21 Imax China Holding Inc Trs (1,509) 44 1,000 30-Jul-21 Kingdee International Sftwr Trs (5,192) (715) 5,050 30-Jul-21 Kwg Group Holdings Ltd Trs (9,111) (549) 1,300 30-Jul-21 Link Reit Trs (15,080) (81) 1,000 30-Jul-21 Luk Fook Holdings Intl Ltd Trs (3,073) 145 1,000 30-Jul-21 Microport Scientific Corp Trs (6,893) (1,396) 34,000 30-Jul-21 Panda Green Energy Group Ltd Trs (1,732) (402) 5,100 30-Jul-21 Prada S.P.A. Trs (42,904) (10,609) 1,000 30-Jul-21 Regal Real Estate Investment Trs (225) (13) 10,000 30-Jul-21 Shanghai Fosun Pharmaceuti-H Trs (60,875) (3,190) 17,500 30-Jul-21 Shui On Land Ltd Trs (3,105) (30) 4,000 30-Jul-21 Silver Grant Intl Holdings Trs (598) 6 2,000 30-Jul-21 Sino Land Co Trs (3,319) 94 10,500 30-Jul-21 Smartone Telecommunications Trs (7,142) 248 400 30-Jul-21 Swire Properties Ltd Trs (1,482) 50 2,000 30-Jul-21 Tai Cheung Holdings Trs (1,594) (45) 2,000 30-Jul-21 Times Neighborhood Holdings Trs (2,386) 161 15,200 30-Jul-21 Tongcheng-Elong Holdings Ltd Trs (37,461) (1,280) 400 30-Jul-21 Transport Intl Hldg Ltd Trs (985) 5 4,000 30-Jul-21 Value Partners Group Ltd Trs (2,688) 66 3,000 30-Jul-21 Weimob Inc Trs (6,871) (1,565) 20,000 30-Jul-21 Xinyi Solar Holdings Ltd Trs (66,544) (21,274) 22,000 30-Jul-21 Yanzhou Coal Mining Co-H Trs (22,411) 734 6,200 30-Jul-21 Yichang Hec Changjiang Pha-H Trs (8,995) 1,296 8,000 30-Jul-21 Yuexiu Real Estate Investmen Trs (4,968) (48) 21,000 30-Jul-21 Zhaojin Mining Industry - H Trs (31,848) 2,553 500 30-Jul-21 Zhongan Online P&C Insuran-H Trs (2,974) - 100 30-Jul-21 Zhuzhou Crrc Times Electri-H Trs (555) (94) 1,000 30-Jul-21 Zoomlion Heavy Industry - H Trs (1,528) (39) 8,000 30-Jul-21 Zte Corp-H Trs (25,632) 543 (59,371) Israeli New Shekel LIBOR 1 month 26 30-Jul-21 Alony Hetz Properties & Inv Trs (463) (16) 59 30-Jul-21 Bank Hapoalim Bm Trs (515) (7) 91 30-Jul-21 Clal Insurance Enterpr Hldgs Trs (1,812) (205) 14 30-Jul-21 Equital Ltd Trs (466) (54) 205 30-Jul-21 Gilat Satellite Networks Ltd Trs (1,706) (71) 890 30-Jul-21 Norstar Holdings Inc Trs (8,246) (1,137) 36 30-Jul-21 Paz Oil Co Ltd Trs (4,921) (210) 5 30-Jul-21 Property & Building Corp Ltd Trs (628) (35) (1,735) Japanese Yen LIBOR 1 month 200 30-Jul-21 Acom Co Ltd Trs (1,088) 147 700 30-Jul-21 Ardepro Co Ltd Trs (371) 33 100 30-Jul-21 Bronco Billy Co Ltd Trs (2,832) 6 100 30-Jul-21 Create Restaurants Holdings Trs (765) (85) 100 30-Jul-21 Daio Paper Corp Trs (2,473) (165) 100 30-Jul-21 Gfoot Co Ltd Trs (510) 27 100 30-Jul-21 Harada Industry Co Ltd Trs (1,056) (4) 200 30-Jul-21 Hiramatsu Inc Trs (333) 120 700 30-Jul-21 Hulic Co Ltd Trs (9,787) (616) 100 30-Jul-21 Inui Global Logistics Co Ltd Trs (1,173) (17) 100 30-Jul-21 Itoki Corp Trs (412) 11 100 30-Jul-21 Jfla Holdings Inc Trs (413) (3) 100 30-Jul-21 Joban Kosan Co Ltd Trs (1,702) 87 100 30-Jul-21 Komehyo Co Ltd Trs (870) 2 100 30-Jul-21 Mie Kotsu Group Holdings Inc Trs (611) (34)

The accompanying notes are an integral part of these financial statements. 154 CC&L Alternative Canadian Equity Fund Swap Agreements (Schedule 2) As at December 31, 2020 Unrealized Market Appreciation/ Number of Maturity Value (Depreciation) Contracts Date Security Name $ $

3 30-Jul-21 Mirai Corp Trs (1,423) (9) 100 30-Jul-21 Nichirin Co Ltd Trs (2,064) (237) 100 30-Jul-21 Ohba Co Ltd Trs (887) 38 1 30-Jul-21 Premier Investment Corp Trs (1,573) (98) 100 30-Jul-21 Raysum Co Ltd Trs (1,166) 83 100 30-Jul-21 Renova Inc Trs (4,886) (1,691) 100 30-Jul-21 Right On Co Ltd Trs (754) 9 200 30-Jul-21 Sac'S Bar Holdings Inc Trs (1,335) (25) 100 30-Jul-21 Sigmaxyz Inc Trs (2,261) (237) 100 30-Jul-21 Sosei Group Corp Trs (2,221) (180) 1 30-Jul-21 Star Asia Investment Corpora Trs (622) (28) 200 30-Jul-21 Suncall Corp Trs (1,145) (68) 100 30-Jul-21 Sunny Side Up Inc Trs (790) 16 100 30-Jul-21 T&K Toka Co Ltd Trs (1,081) (25) 100 30-Jul-21 Takamiya Co Ltd Trs (649) 20 100 30-Jul-21 Tama Home Co Ltd Trs (1,816) (41) 100 30-Jul-21 Tokyo Base Co Ltd Trs (654) (53) 200 30-Jul-21 Toridoll Holdings Corp Trs (3,413) 43 500 30-Jul-21 Tsukada Global Holdings Inc Trs (1,549) 31 100 30-Jul-21 Urbanet Corp Co Ltd Trs (315) 14 50 30-Jul-21 Workman Co Ltd Trs (5,429) 191 (2,738) New Zealand Dollar LIBOR 1 month 345 30-Jul-21 A2 Milk Co Ltd Trs (3,820) (93) 1,298 30-Jul-21 Air New Zealand Ltd Trs (2,143) 24 1,912 30-Jul-21 Auckland Intl Airport Ltd Trs (13,294) 363 246 30-Jul-21 Contact Energy Ltd Trs (2,011) (150) 3,902 30-Jul-21 Fletcher Building Ltd Trs (21,117) (1,071) 7,686 30-Jul-21 Kathmandu Holdings Ltd Trs (9,024) (422) 1,597 30-Jul-21 Meridian Energy Ltd Trs (10,870) (1,126) 33 30-Jul-21 Restaurant Brands Nz Ltd Trs (350) 21 280 30-Jul-21 Ryman Healthcare Ltd Trs (3,901) (59) 76 30-Jul-21 Synlait Milk Ltd Trs (365) 11 275 30-Jul-21 Z Energy Ltd Trs (807) (2) (2,504) Norwegian Krone LIBOR 1 month 2,456 30-Jul-21 Aker Bp Asa Trs (79,010) (3,571) 95 30-Jul-21 Atlantic Sapphire Asa Trs (1,696) (239) 257 30-Jul-21 Aker Carbon Capture As Trs (352) (352) 257 30-Jul-21 Aker Offshore Wind Holding As Trs (258) (258) 84 30-Jul-21 Bakkafrost P/F Trs (7,656) (682) 163 30-Jul-21 Bonheur Asa Trs (5,869) (211) 429 30-Jul-21 Dno Asa Trs (438) (55) 43 30-Jul-21 Leroy Seafood Group Asa Trs (387) (32) 182 30-Jul-21 Norwegian Finance Holding As Trs (1,981) (69) 300 30-Jul-21 Odfjell Drilling Ltd Trs (765) (11) 58 30-Jul-21 Olav Thon Eiendomsselskap As Trs (1,584) (228) 4,151 30-Jul-21 Pgs Asa Trs (3,240) (515) 497 30-Jul-21 Scatec Solar Asa Trs (25,247) (4,291) 76 30-Jul-21 Sparebank 1 Sr Bank Asa Trs (1,029) (31) 3,021 30-Jul-21 Storebrand Asa Trs (28,859) (584) 575 30-Jul-21 Tgs Nopec Geophysical Co Asa Trs (11,354) (785) 490 30-Jul-21 Vow Asa Trs (2,767) (365) (12,279) Polish Zloty LIBOR 1 month 203 30-Jul-21 Alior Bank Sa Trs (1,178) (24) 62 30-Jul-21 Amrest Holdings Se Trs (587) (69) 5 30-Jul-21 Benefit Systems Sa Trs (1,426) (144) 2,104 30-Jul-21 Globe Trade Centre Sa Trs (5,180) (217) 318 30-Jul-21 Ing Bank Slaski Sa Trs (18,593) (1,847) 210 30-Jul-21 Kruk Sa Trs (10,196) (42) 5 30-Jul-21 Lpp Sa Trs (14,164) (2,295) 851 30-Jul-21 Polski Koncern Naftowy Orlen Trs (16,795) (677)

The accompanying notes are an integral part of these financial statements. 155 CC&L Alternative Canadian Equity Fund Swap Agreements (Schedule 2) As at December 31, 2020 Unrealized Market Appreciation/ Number of Maturity Value (Depreciation) Contracts Date Security Name $ $

41 30-Jul-21 Santander Bank Polska Sa Trs (2,603) (164) 6 30-Jul-21 Ten Square Games Sa Trs (1,130) 37 (5,442) Russian Ruble LIBOR 1 month 5,765 30-Jul-21 Credit Bank Of Moscow Pjsc Trs (610) (13) (13) Singapore Dollar LIBOR 1 month 10,400 30-Jul-21 Ascott Residence Trust Trs (10,827) (348) 200 30-Jul-21 Capitaland Ltd Trs (632) (4) 2,800 30-Jul-21 Cdl Hospitality Trusts Trs (3,427) 47 300 30-Jul-21 Capitaland Integrated Commerc Trs (625) (27) 1,500 30-Jul-21 Esr-Reit Trs (571) 14 2,700 30-Jul-21 Far East Hospitality Trust Trs (1,614) 39 3,400 30-Jul-21 First Real Estate Invt Trust Trs (770) 623 601 30-Jul-21 Frasers Centrepoint Trust Trs (1,425) (81) 4,200 30-Jul-21 Frasers Hospitality Trust Trs (2,126) 21 500 30-Jul-21 Keppel Reit Trs (540) (13) 10,560 30-Jul-21 Lippo Malls Indonesia Retail Trs (10) (10) 7,412 30-Jul-21 Lippo Malls Indonesia Retail Trs (443) 79 2,400 30-Jul-21 Mapletree Commercial Trust Trs (4,928) (207) 5,500 30-Jul-21 Oxley Holdings Ltd Trs (1,193) 33 800 30-Jul-21 Q & M Dental Group Singapore Trs (362) (1) 18,967 30-Jul-21 Sembcorp Marine Ltd Trs (2,614) 153 10,493 30-Jul-21 Singapore Airlines Ltd Trs (43,291) 482 4,900 30-Jul-21 Starhill Global Reit Trs (2,385) (71) 1,500 30-Jul-21 Suntec Reit Trs (2,154) 30 759 South African Rand LIBOR 1 month 1,850 30-Jul-21 Advtech Ltd Trs (1,524) 4 21,779 30-Jul-21 Attacq Ltd Trs (9,388) (2,282) 1,762 30-Jul-21 Bid Corp Ltd Trs (40,197) 2,233 300 30-Jul-21 Bidvest Group Ltd Trs (4,086) 171 2,580 30-Jul-21 Blue Label Telecoms Ltd Trs (864) 23 19,438 30-Jul-21 Brait Se Trs (6,288) 700 385 30-Jul-21 Capitec Bank Holdings Ltd Trs (47,839) (4,425) 4,756 30-Jul-21 Curro Holdings Ltd Trs (3,911) 18 4,422 30-Jul-21 Dis-Chem Pharmacies Pty Ltd Trs (8,058) (329) 31 30-Jul-21 Discovery Ltd Trs (413) (23) 11,727 30-Jul-21 Emira Property Fund Ltd Trs (6,774) (48) 13,199 30-Jul-21 Equites Property Fund Ltd Trs (19,885) (107) 1,000 30-Jul-21 Famous Brands Ltd Trs (4,246) (159) 2,744 30-Jul-21 Firstrand Ltd Trs (12,147) (7,365) 53,688 30-Jul-21 Fortress Reit Ltd-A Trs (63,562) (2,888) 1,281 30-Jul-21 Grindrod Ltd Trs (561) (93) 40,665 30-Jul-21 Growthpoint Properties Ltd Trs (44,334) (2,350) 155 30-Jul-21 Hosken Cons Investments Ltd Trs (739) 25 817 30-Jul-21 Hyprop Investments Ltd Trs (2,092) (89) 4,400 30-Jul-21 Kap Industrial Holdings Ltd Trs (1,206) (119) 6,532 30-Jul-21 Liberty Holdings Ltd Trs (35,115) (1,178) 4,318 30-Jul-21 Mas Real Estate Inc Trs (4,775) (1,008) 210 30-Jul-21 Massmart Holdings Ltd Trs (765) (68) 431 30-Jul-21 Mr Price Group Ltd Trs (6,379) (279) 49 30-Jul-21 Naspers Ltd-N Shs Trs (12,832) 393 3,889 30-Jul-21 Nepi Rockcastle Plc Trs (31,538) (4,183) 762 30-Jul-21 Netcare Ltd Trs (826) (17) 33,322 30-Jul-21 Pepkor Holdings Ltd Trs (39,392) 620 185 30-Jul-21 Pick N Pay Stores Ltd Trs (806) 7 11,350 30-Jul-21 Redefine Properties Ltd Trs (3,278) (873) 421 30-Jul-21 Remgro Ltd Trs (3,513) (130) 15,808 30-Jul-21 Resilient Reit Ltd Trs (57,997) (5,903) 1,211 30-Jul-21 Reunert Ltd Trs (3,802) 103 508 30-Jul-21 Rhodes Food Group Pty Ltd Trs (532) (2) 69,776 30-Jul-21 Rmb Holdings Ltd Trs (8,473) (5,993)

The accompanying notes are an integral part of these financial statements. 156 CC&L Alternative Canadian Equity Fund Swap Agreements (Schedule 2) As at December 31, 2020 Unrealized Market Appreciation/ Number of Maturity Value (Depreciation) Contracts Date Security Name $ $

207 30-Jul-21 Royal Bafokeng Platinum Ltd Trs (1,174) 7 1,800 30-Jul-21 Sa Corporate Real Estate Ltd Trs (270) (51) 1,285 30-Jul-21 Santam Ltd Trs (28,396) (976) 47 30-Jul-21 Shoprite Holdings Ltd Trs (571) (48) 34 30-Jul-21 Standard Bank Group Ltd Trs (375) (13) 740 30-Jul-21 Sun International Ltd Trs (2) (2) 375 30-Jul-21 Sun International Ltd Trs (403) 38 224 30-Jul-21 Super Group Ltd Trs (455) 15 170 30-Jul-21 The Foschini Group Ltd Trs (421) (421) 4,595 30-Jul-21 The Foschini Group Ltd Trs (40,775) (1,516) 2,287 30-Jul-21 Transaction Capital Trs (4,937) (141) 684 30-Jul-21 Truworths International Ltd Trs (2,186) (49) 48 30-Jul-21 Wilson Bayly Holmes-Ovcon Trs (379) 38 6,114 30-Jul-21 Woolworths Holdings Ltd Trs (20,968) (2,336) 4,086 30-Jul-21 Zeder Investments Ltd Trs (925) 43 (41,026) Swedish Krona LIBOR 1 month 577 30-Jul-21 Af Poyry Ab Trs (22,485) (656) 100 30-Jul-21 Ambea Ab Trs (1,010) (104) 90 30-Jul-21 Beijer Ref Ab Trs (5,255) (1,086) 8 30-Jul-21 Biogaia Ab-B Shs Trs (666) (51) 100 30-Jul-21 Boule Diagnostics Internatio Trs (923) (104) 53 30-Jul-21 Cellavision Ab Trs (2,524) (123) 15 30-Jul-21 Cibus Nordic Real Estate Ab Trs (390) (11) 130 30-Jul-21 Duni Ab Trs (2,174) (133) 1,658 30-Jul-21 Elekta Ab-B Shs Trs (28,408) 1,332 512 30-Jul-21 Fabege Ab Trs (10,274) 416 667 30-Jul-21 Fastighets Ab Balder-B Shrs Trs (44,379) (16) 4,005 30-Jul-21 Fingerprint Cards Ab-B Trs (10,817) (1,398) 81 30-Jul-21 Granges Ab Trs (157) (157) 1,157 30-Jul-21 Hennes & Mauritz Ab-B Shs Trs (30,871) 1,719 200 30-Jul-21 Hoist Finance Ab Trs (1,131) (9) 6 30-Jul-21 Holmen Ab-B Shares Trs (366) (21) 206 30-Jul-21 Hufvudstaden Ab-A Shs Trs (4,352) (4) 202 30-Jul-21 Husqvarna Ab-B Shs Trs (3,337) (241) 65 30-Jul-21 Iar Systems Group Ab Trs (1,410) 36 6 30-Jul-21 Ica Gruppen Ab Trs (382) 8 378 30-Jul-21 Intrum Ab Trs (12,713) 373 426 30-Jul-21 Jm Ab Trs (19,204) (999) 52 30-Jul-21 Kambi Group Plc Trs (3,130) (464) 2,450 30-Jul-21 Klovern Ab-B Shs Trs (5,906) (540) 129 30-Jul-21 Loomis Ab Trs (4,527) 378 2,231 30-Jul-21 Lundin Energy Ab Trs (77,023) (5,874) 419 30-Jul-21 Millicom Intl Cellular-Sdr Trs (21,047) 1,012 14 30-Jul-21 Mips Ab Trs (1,118) (183) 84 30-Jul-21 Ncc Ab-B Shs Trs (1,955) (4) 95 30-Jul-21 Nibe Industrier Ab-B Shs Trs (3,975) (243) 872 30-Jul-21 Nobia Ab Trs (8,908) (900) 2,464 30-Jul-21 Pandox Ab Trs (55,501) 1,064 28 30-Jul-21 Peab Ab-Class B Trs (389) (14) 43 30-Jul-21 Platzer Fastigheter Hold-B Trs (716) (25) 8 30-Jul-21 Powercell Sweden Ab Trs (404) (31) 353 30-Jul-21 Rottneros Ab Trs (446) 16 1,038 30-Jul-21 Saab Ab-B Trs (38,565) (2,267) 33,139 30-Jul-21 Sas Ab Trs (9,382) (1,450) 81 30-Jul-21 Scandic Hotels Group Ab Trs (437) (32) 1,780 30-Jul-21 Swedish Orphan Biovitrum Ab Trs (45,865) (1,444) 426 30-Jul-21 Tethys Oil Ab Trs (3,251) (190) 33 30-Jul-21 Thule Group Ab/The Trs (1,575) (27) 13 30-Jul-21 Trelleborg Ab-B Shs Trs (368) (5) 214 30-Jul-21 Wihlborgs Fastigheter Ab Trs (6,155) 122 (12,330)

The accompanying notes are an integral part of these financial statements. 157 CC&L Alternative Canadian Equity Fund Swap Agreements (Schedule 2) As at December 31, 2020 Unrealized Market Appreciation/ Number of Maturity Value (Depreciation) Contracts Date Security Name $ $

Swiss Franc LIBOR 1 month 390 30-Jul-21 Ams Ag Trs (10,882) 748 62 30-Jul-21 Baloise Holding Ag - Reg Trs (14,074) (211) 6 30-Jul-21 Banque Cantonale Vaudois-Reg Trs (833) (24) 1 30-Jul-21 Burckhardt Compression Holdi Trs (442) (5) 14 30-Jul-21 Cembra Money Bank Ag Trs (2,163) (38) 8 30-Jul-21 Cie Financiere Richemont-Reg Trs (923) (54) 173 30-Jul-21 Implenia Ag-Reg Trs (5,994) (272) 1 30-Jul-21 Intershop Holding Ag Trs (886) (48) 20 30-Jul-21 Jungfraubahn Holding Ag-Reg Trs (3,955) (94) 55 30-Jul-21 Lonza Group Ag-Reg Trs (45,088) 26 10 30-Jul-21 Mobimo Holding Ag-Reg Trs (4,122) (305) 120 30-Jul-21 Oc Oerlikon Corp Ag-Reg Trs (1,583) (90) 3 30-Jul-21 Rieter Holding Ag-Reg Trs (418) (3) 14 30-Jul-21 St Galler Kantonalbank A-Reg Trs (8,374) (13) 438 30-Jul-21 Temenos Ag - Reg Trs (78,057) (5,585) 17 30-Jul-21 Vifor Pharma Ag Trs (3,406) (151) (6,119) US Dollar LIBOR 1 month 2,000 30-Jul-21 Ability Enterprise Co Ltd Trs (1,360) (131) 3,600 30-Jul-21 Aecc Aviation Power Co-A Trs (41,703) (10,003) 200 30-Jul-21 Aliansce Sonae Shoppig Center Trs (1,431) (177) 625 30-Jul-21 Alsea Sab De Cv Trs (1,037) 56 33 30-Jul-21 Amorepacific Corp - Trs (7,971) (1,168) 8,000 30-Jul-21 Amtran Technology Co Ltd Trs (4,535) (440) 1,900 30-Jul-21 Avic Aircraft Co Ltd-A Trs (13,603) (2,244) 200 30-Jul-21 Avic Shenyang Aircraft Co -A Trs (3,052) (538) 1,200 30-Jul-21 Azul Sa Trs (11,568) (614) 800 30-Jul-21 B2W Cia Digital Trs (14,838) (379) 14 30-Jul-21 B2W Cia Digital Trs (1) (1) 1,650 30-Jul-21 Banco Abc Brasil Sa Trs (6,342) (631) 2,900 30-Jul-21 Banco Btg Pactual Sa-Unit Trs (66,869) (11,124) 1,350 30-Jul-21 Banco Del Bajio Sa Trs (2,382) (240) 800 30-Jul-21 Banco Pan Sa Trs (1,910) (87) 1,400 30-Jul-21 Bank Danamon Indonesia Tbk Trs (398) 2 200 30-Jul-21 Bank Of Hangzhou Co Ltd-A Trs (582) (23) 600 30-Jul-21 Beijing Easpring Material-A Trs (7,595) (980) 6,425 30-Jul-21 Br Malls Participacoes Sa Trs (15,603) (628) 2,000 30-Jul-21 Brighton-Best International Trs (2,499) (156) 1,000 30-Jul-21 Bts Group Holdings Pcl Trs (395) 34 8,000 30-Jul-21 Career Technology Co Ltd Trs (12,679) 539 1,000 30-Jul-21 Cathay Financial Holding Co Trs (1,916) (121) 31 30-Jul-21 Cell Biotech Co Ltd Trs (854) (148) 500 30-Jul-21 Ch. Karnchang Public Co Ltd Trs (353) 34 6,000 30-Jul-21 Chang Hwa Commercial Bank Trs (4,884) (160) 100 30-Jul-21 Chengdu Kanghong Pharmaceu-A Trs (940) (11) 50 30-Jul-21 Cherry Hill Mortgage Investm Trs (599) (22) 10,000 30-Jul-21 Chilisin Electronics Corp Trs (50,788) 7,622 5,000 30-Jul-21 China Development Financial Trs (2,109) (104) 2,000 30-Jul-21 China Motor Corp Trs (4,589) (298) 73,000 30-Jul-21 China Petrochemical Dev Corp Trs (38,565) (9,132) 14,000 30-Jul-21 China Synthetic Rubber Trs (16,443) (2,053) 1,000 30-Jul-21 Chung Hwa Pulp Trs (553) (90) 50 30-Jul-21 Cia Ferro Ligas Da Bahia -Fe Trs (237) (11) 114 30-Jul-21 Cj Cgv Co Ltd- Trs (3,369) (362) 22 30-Jul-21 Cj Logistics Corp Trs (4,269) (64) 13,200 30-Jul-21 Cogna Educacional Sa Trs (14,992) (230) 74 30-Jul-21 Commercial Intl Bank-Gdr Reg Trs (354) - 1,000 30-Jul-21 Concraft Holding Co Ltd Trs (3,922) 434 48 30-Jul-21 Coson Co Ltd - Trs (248) 53 5,250 30-Jul-21 Credito Real Sab De Cv Sofom Trs (4,063) (271) 150 30-Jul-21 Cresud S.A.-Spons Adr Trs (915) (157) 1,000 30-Jul-21 Cub Elecparts Inc Trs (9,160) 394

The accompanying notes are an integral part of these financial statements. 158 CC&L Alternative Canadian Equity Fund Swap Agreements (Schedule 2) As at December 31, 2020 Unrealized Market Appreciation/ Number of Maturity Value (Depreciation) Contracts Date Security Name $ $

1,500 30-Jul-21 Cvc Brasil Operadora E Agenc - Trs (7,572) (1,057) 5,950 30-Jul-21 Cyrela Brazil Realty Sa Emp Trs (43,027) (4,658) 2,000 30-Jul-21 Da-Li Development Co Ltd Trs (2,721) 69 103 30-Jul-21 Daesung Industrial Co Ltd Trs (377) 2 355 30-Jul-21 Daewoo Engineering & Constr Trs (2,075) (645) 47 30-Jul-21 Dentium Co Ltd Trs (2,265) 11 1,000 30-Jul-21 E.Sun Financial Holding Co Trs (1,159) (41) 100 30-Jul-21 El Puerto De Liverpool-C1 Trs (447) (21) 5,000 30-Jul-21 Eva Airways Corp Trs (2,982) (179) 100 30-Jul-21 Exone Co/The Trs (1,209) 310 933 30-Jul-21 Feelux Co Ltd Trs (4,480) 1,215 2,100 30-Jul-21 Fibra Uno Administracion Sa Trs (3,027) (51) 364 30-Jul-21 Foosung Co Ltd Trs (5,036) (996) 1,661 30-Jul-21 Gafisa Sa Trs (1,772) (87) 1,370 30-Jul-21 Gafisa Sa Trs (109) (109) 73 30-Jul-21 Gazprom Pjsc-Spon Adr Trs (520) 8 2 30-Jul-21 Gemvax & Kael Co Ltd Trs (56) (2) 3,950 30-Jul-21 Gentera Sab De Cv Trs (2,503) (329) 17,000 30-Jul-21 Global Power Synergy Pcl Trs (53,257) (2,969) 3,000 30-Jul-21 Gloria Material Technology Trs (2,340) (165) 100 30-Jul-21 Grupo Aeromexico Sab De Cv Trs (48) (15) 2,550 30-Jul-21 Grupo Comercial Chedraui Sa Trs (4,687) (124) 1,050 30-Jul-21 Grupo Financiero Inbursa-O Trs (1,345) (39) 12,800 30-Jul-21 Grupo Herdez Sab-Series * Trs (43,683) (11,317) 6,625 30-Jul-21 Grupo Lala Sab De Cv Trs (6,616) (823) 659 30-Jul-21 Grupo Supervielle Sa-Sp Adr Trs (1,780) (97) 75 30-Jul-21 Guararapes Confeccoes Sa Trs (274) 18 1,400 30-Jul-21 Gulf Energy Development Pcl Trs (2,037) 30 100 30-Jul-21 Guoxuan High-Tech Co Ltd-A Trs (764) (197) 50 30-Jul-21 Hanssem Co Ltd Trs (6,127) (519) 435 30-Jul-21 Helixmith Co Ltd Trs (16,832) (3,207) 9,800 30-Jul-21 Highwealth Construction Corp Trs (20,375) (995) 200 30-Jul-21 Hongkong Land Holdings Ltd Trs (1,052) 26 37 30-Jul-21 Hotel Shilla Co Ltd - Trs (3,571) (161) 114,975 30-Jul-21 Hoteles City Express Sab De Trs (41,070) 6,001 9,000 30-Jul-21 Htc Corp Trs (12,550) (71) 2,000 30-Jul-21 Hua Nan Financial Holdings C Trs (1,655) (47) 1,000 30-Jul-21 Huaku Development Co Ltd Trs (2,658) 1,243 4,700 30-Jul-21 Hubei Dinglong Co Ltd-A Trs (17,347) (2,003) 35 30-Jul-21 Hyundai Elevator Co Trs (1,629) (19) 275 30-Jul-21 Inscobee Inc Trs (680) 64 600 30-Jul-21 Integrated Diagnostics Holdi Trs (841) 2,026 550 30-Jul-21 International Meal Company - Trs (568) (17) 2,800 30-Jul-21 Irb Brasil Resseguros Sa Trs (5,618) (695) 300 30-Jul-21 Jasa Marga (Persero) Tbk Pt Trs (126) (13) 800 30-Jul-21 Jiangsu Shagang Co Ltd -A Trs (1,713) 166 1,340 30-Jul-21 Jollibee Foods Corp Trs (6,938) (227) 19 30-Jul-21 Jenax Inc - Trs (63) 7 1,000 30-Jul-21 Kuo Toong Intl Co Ltd Trs (1,059) 27 130 30-Jul-21 L&F Co Ltd Trs (10,899) (3,369) 1,100 30-Jul-21 Light Sa Trs (6,557) (465) 3,875 30-Jul-21 Localiza Rent A Car - Trs (65,621) (3,453) 100 30-Jul-21 Lojas Americanas Sa - Trs (502) (12) 1,425 30-Jul-21 Lojas Renner S.A. Trs (15,220) (44) 67 30-Jul-21 Lotte Confectionery Co Ltd Trs (2,773) (42) 2,000 30-Jul-21 Lotus Pharmaceutical Co Ltd Trs (7,255) 257 371 30-Jul-21 Maiden Holdings Ltd Trs (1,177) (175) 300 30-Jul-21 Malaysia Airports Hldgs Bhd Trs (563) (74) 600 30-Jul-21 Mandarin Oriental Intl Ltd Trs (1,299) 115 500 30-Jul-21 Manulife Us Real Estate Inv Trs (475) (1) 1,200 30-Jul-21 Marisa Lojas Sa Trs (2,005) (42) 50 30-Jul-21 Megacable Holdings-Cpo Trs (231) 1 3,900 30-Jul-21 Metropolitan Bank & Trust Trs (5,074) (117)

The accompanying notes are an integral part of these financial statements. 159 CC&L Alternative Canadian Equity Fund Swap Agreements (Schedule 2) As at December 31, 2020 Unrealized Market Appreciation/ Number of Maturity Value (Depreciation) Contracts Date Security Name $ $

600 30-Jul-21 Mrv Engenharia - Trs (2,789) (73) 3,500 30-Jul-21 Multiplan Empreendimentos Trs (20,592) (1,636) 203 30-Jul-21 Nanomedics Co Ltd Trs (855) 79 100 30-Jul-21 Natura &Co Holding Sa Trs (1,288) (24) 5,000 30-Jul-21 Newmax Technology Co Ltd Trs (11,835) 1,481 34 30-Jul-21 Novatek Pjsc-Spons Gdr Reg S Trs (7,078) (13) 71,825 30-Jul-21 Oi Sa Trs (38,761) (2,494) 11,000 30-Jul-21 Oriental Union Chemical Trs (10,126) (1,452) 1 30-Jul-21 Ottogi Corporation Trs (677) (36) 1,200 30-Jul-21 Petro Rio Sa Trs (20,661) (6,304) 1 30-Jul-21 Petronas Chemicals Group Bhd Trs (2) - 1,400 30-Jul-21 Pla Administradora Industria Trs (2,756) (186) 300 30-Jul-21 Positivo Tecnologia Sa - Trs (375) (10) 5 30-Jul-21 Prog Holdings Inc Trs (343) 27 1,000 30-Jul-21 Radium Life Tech Co Ltd Trs (546) 47 600 30-Jul-21 Regional Sab De Cv Trs (3,549) (240) 200 30-Jul-21 Rumo Na Trs (944) (39) 2,400 30-Jul-21 Run Long Construction Co Ltd Trs (6,497) 15 2,175 30-Jul-21 Santos Brasil Participacoes Trs (2,801) (224) 5,000 30-Jul-21 Shin Kong Financial Holding Trs (1,997) (92) 241 30-Jul-21 Shinwon Corp Trs (398) 7 17 30-Jul-21 Silicom Ltd Trs (906) (64) 9,400 30-Jul-21 Sino Thai Engr & Constr Pcl Trs (5,071) 200 100 30-Jul-21 Sinocare Inc - A Trs (699) (65) 1,500 30-Jul-21 Sm Prime Holdings Inc Trs (1,532) (101) 53 30-Jul-21 Spc Samlip Trs (4,474) (172) 362 30-Jul-21 Ssangyong Cement Ind Trs (2,835) (522) 569 30-Jul-21 State Bank Of Indi-Gdr Reg S Trs (27,148) (2,786) 3 30-Jul-21 Suzano Sa - Spon Adr Trs (43) (1) 2,000 30-Jul-21 Ta Chen Stainless Pipe Co Trs (2,839) (346) 2,000 30-Jul-21 Taiwan Surface Mounting Tech Trs (11,699) (819) 22 30-Jul-21 Tatneft Pao-Sponsored Adr Trs (1,144) 22 73 30-Jul-21 Telecom Argentina Sa-Sp Adr Trs (610) 174 1,000 30-Jul-21 Telesites Sab De Cv Trs (1,377) (49) 22,000 30-Jul-21 Tmb Bank Pcl Trs (1,009) (37) 3,000 30-Jul-21 Toung Loong Textile Manuf Co Trs (3,932) (562) 1,000 30-Jul-21 Transcend Information Inc Trs (2,948) (84) 890 30-Jul-21 Transportador Gas Sur-Sp B Trs (5,896) 307 300 30-Jul-21 Trisul Sa Trs (901) (52) 1,000 30-Jul-21 Unifin Financiera Sab De Cv Trs (1,794) (166) 950 30-Jul-21 Ur-Energy Inc Trs (970) (321) 16,600 30-Jul-21 Via Varejo Sa Trs (65,804) 4,431 612 30-Jul-21 Woongjin Co Ltd Trs (779) (28) 3,000 30-Jul-21 Xintec Inc Trs (24,963) (1,072) 3,000 30-Jul-21 Yageo Corporation Trs (70,468) (11,150) 2,500 30-Jul-21 Yduqs Part Trs (20,188) (506) (86,659) Net unrealized appreciation (depreciation) on equity swaps - Short (320,464)

Total unrealized appreciation on equity swaps 608,879 Total unrealized depreciation on equity swaps (526,594) Net unrealized appreciation (depreciation) on equity swaps 82,285

The accompanying notes are an integral part of these financial statements. 160 CC&L Alternative Canadian Equity Fund Notes to Financial Statements – Fund Specific Information December 31, 2020 and 2019

These fund specific notes shall be read in conjunction with the accompanying notes to the financial statements, which are an integral part of these financial statements. These fund specific notes can be referenced to the accompanying notes by the corresponding note number. Since they are supplemental to the accompanying notes, there may not be a corresponding specific note to match every accompanying note.

Reporting entity and investment objective (Note 1)

The CC&L Alternative Canadian Equity Fund (the “Fund”) is an open-ended unit trust established under the laws of Ontario and is governed by the Declaration of Trust dated May 1, 2012, as amended from time to time. The Fund commenced operations on February 15, 2019. The address of the Fund’s registered office is 1400 – 130 King St. West, P.O. Box 240, Toronto, Ontario, Canada, M5X 1C8.

The investment objective of the Fund is to construct a diversified portfolio of Canadian and global equity securities by utilizing both long and short positions while typically maintaining close to 100% net long Canadian equity exposure with a view to maximize long-term total returns. The Fund seeks to generate returns in excess of the S&P/TSX Composite Index (TR) over a market cycle.

Fair value of financial instruments (Note 5)

Classification of investments under the Fair Value Hierarchy The tables below illustrate the classification of the Fund’s financial instruments measured at fair value at the reporting date. The amounts are based on the values recognized in the Statements of Financial Position. As at December 31, 2020: Assets at Fair Value Level 1 Level 2 Level 3 Total Canadian common stocks - long $ 16,949,484 $ 1,766 $ - $ 16,951,250 U.S. common stocks - long 1,304,327 2,742 - 1,307,069 Foreign common stocks - long 1,446,469 5,139 - 1,451,608 Income trusts - long 973,362 - - 973,362 Limited partnerships - long 194,035 - - 194,035 Currency forward contracts - 10,228 - 10,228 Swap contracts - 608,879 - 608,879 $ 20,867,677 $ 628,754 $ - $ 21,496,431

Liabilities at Fair Value Level 1 Level 2 Level 3 Total Canadian common stocks - short $ 81,071 $ - $ - $ 81,071 U.S. common stocks - short 1,369,648 - - 1,369,648 Foreign common stocks - short 1,720,406 3,966 - 1,724,372 Income trusts - short 129,214 - - 129,214 Currency forward contracts - 5,022 - 5,022 Swap contracts - 526,594 - 526,594 $ 3,300,339 $ 535,582 $ - $ 3,835,921

161 CC&L Alternative Canadian Equity Fund Notes to Financial Statements – Fund Specific Information December 31, 2020 and 2019

As at December 31, 2019: Assets at Fair Value Level 1 Level 2 Level 3 Total Canadian common stocks - long $ 16,113,264 $ - $ - $ 16,113,264 U.S. common stocks - long 1,648,150 - - 1,648,150 Foreign common stocks - long 3,551,936 3,653 - 3,555,589 Income trusts - long 930,038 - - 930,038 Limited partnerships - long 180,381 - - 180,381 Swap contracts - 306,218 - 306,218 $ 22,423,769 $ 309,871 $ - $ 22,733,640

Liabilities at Fair Value Level 1 Level 2 Level 3 Total Canadian common stocks - short $ 64,398 $ - $ - $ 64,398 U.S. common stocks - short 3,165,963 - - 3,165,963 Foreign common stocks - short 3,236,791 565 - 3,237,356 Income trusts - short 193,405 - - 193,405 Currency forward contracts - 10,652 - 10,652 Swap contracts - 197,469 - 197,469 $ 6,660,557 $ 208,686 $ - $ 6,869,243

There were no significant transfers of financial assets or liabilities between Level 1, Level 2 and Level 3 for the year ended December 31, 2020 and period from February 15, 2019 (commencement of operations) to December 31, 2019. All fair value measurements above are recurring.

Redeemable units of the Fund (Note 6)

For the year ended December 31, 2020 and period from February 15, 2019 (commencement of operations) to December 31, 2019, changes in outstanding units were as follows:

Balance - Beginning Redeemable units Redeemable units Redeemable units Balance - 2020 of period issued reinvested redeemed End of period Series A 20,206 951 443 - 21,600 Series F 41,007 2,116 696 (17,874) 25,945 Series I 1,550,645 1,980 65,842 (105) 1,618,362

2019 Series A - 20,033 173 - 20,206 Series F - 43,380 354 (2,727) 41,007 Series I - 1,537,008 13,637 - 1,550,645

Taxation of the Fund (Note 7)

As at December 31, 2020 the Fund had unused capital losses of $Nil (2019 - $Nil), which may be carried forward indefinitely to reduce future realized capital gains. There were $Nil (2019 - $Nil) unused non-capital losses available for tax purposes.

During the year, withholding tax rates were between 0% and 35% (2019 - between 0% and 35%).

162 CC&L Alternative Canadian Equity Fund Notes to Financial Statements – Fund Specific Information December 31, 2020 and 2019

Related party transactions and other expenses (Note 8)

Management fees The Fund pays a management fee, which is accrued daily and paid monthly. The annual management fee rates, exclusive of taxes, are 1.50% for Series A and 0.50% for Series F. No management fees are paid by the Fund with respect to Series I units; but are negotiable and paid directly by the unitholder to the Manager and will not exceed the management fee payable on Series A units of the Fund.

Performance fees

The Fund will pay a quarterly incentive fee (a “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 20% 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 S&P/TSX Composite Index (TR) return is the Hurdle for the Fund.

Units held by related parties

Connor, Clark & Lunn Financial Group Investments Inc. (“CCLFGII”) and Connor, Clark & Lunn Financial Group Ltd. (“CCLFGL”), companies related to the Manager through common ownership, hold units of the Fund. At December 31, 2020, CCLFGII held 1,589,620 Series I units with a total fair value of $17,056,620 (2019 - 1,524,947 Series I units with a total fair value of $16,210,187). At December 31, 2020, CCLFGL held 5,149 Series A units, 5,190 Series F units and 5,044 Series I units with respective total fair values of $54,480, $55,845 and $54,126 (2019 - 5,112 Series A units, 5,232 Series F units and 5,272 Series I units with respective total fair values of $53,676, $55,407 and $56,041).

Brokerage commissions and other transaction costs (Note 9)

The Fund paid $27,804 (2019 - $82,000) in brokerage commissions and other transactions costs for portfolio transactions during the year. The soft dollars paid during the year were $5,302 (2019 - $4,102).

Financial risk management (Note 10)

Currency risk

The tables below summarize the Fund’s exposure to foreign currencies as at December 31, 2020 and 2019 in Canadian dollars. Amounts shown are based on the fair value of monetary assets (including cash and short-term investments) as well as the underlying principal amounts of forward foreign currency contracts, as applicable.

The tables also illustrate the potential impact on Net Assets attributable to holders of redeemable units as a result of a 5% change in these currencies relative to the Canadian dollar, with all other factors remaining constant. In practice, actual results may differ from this sensitivity analysis and the difference could be material.

163 CC&L Alternative Canadian Equity Fund Notes to Financial Statements – Fund Specific Information December 31, 2020 and 2019

As at December 31, 2020: Monetary Derivative Assets Currency Net % of Impact on Currency (Liabilities) ($) Contracts ($) Exposure($) Net Assets Net Assets ($) Australian Dollar 4,051 442,387 446,438 2.5 22,322 British Pound 49,370 (83,592) (34,222) (0.2) (1,711) Danish Krone 26,706 - 26,706 0.1 1,335 Euro 25,253 (95,087) (69,834) (0.4) (3,492) Hong Kong Dollar 22,945 - 22,945 0.1 1,147 Israeli New Shekel 19,590 - 19,590 0.1 980 Japanese Yen 40,694 - 40,694 0.2 2,035 Mexican Peso 8,107 - 8,107 - 405 New Zealand Dollar 48,813 - 48,813 0.3 2,441 Norwegian Krone (2,760) - (2,760) - (138) Polish Zloty (15,838) - (15,838) (0.1) (792) Russian Ruble 3,050 - 3,050 - 153 Singapore Dollar 17,882 - 17,882 0.1 894 South African Rand 38,361 (77,626) (39,265) (0.2) (1,963) Swedish Krona 26,827 (80,512) (53,685) (0.3) (2,684) Swiss Franc 1,035 - 1,035 - 52 US Dollar (468,713) 241,953 (226,760) (1.3) (11,338) Total (154,627) 347,523 192,896 0.9 9,646

As at December 31, 2019: Monetary Derivative Assets Currency Net % of Impact on Currency (Liabilities) ($) Contracts ($) Exposure($) Net Assets Net Assets ($) Australian Dollar (5,852) - (5,852) - (293) British Pound (23,914) (614,997) (638,911) (3.7) (31,946) Danish Krone 35,699 - 35,699 0.2 1,785 Euro 48,161 (21,834) 26,327 0.2 1,316 Hong Kong Dollar 68,195 - 68,195 0.4 3,410 Hungarian Forint (11,604) - (11,604) (0.1) (580) Israeli New Shekel 8,278 - 8,278 - 414 Japanese Yen 20,363 - 20,363 0.1 1,018 Mexican Peso 5,911 - 5,911 - 296 New Zealand Dollar 15,137 - 15,137 0.1 757 Norwegian Krone 9,604 - 9,604 0.1 480 Polish Zloty 2,705 - 2,705 - 135 Russian Ruble 2,656 - 2,656 - 133 Singapore Dollar 7,402 - 7,402 - 370 South African Rand 41 - 41 - 2 Swedish Krona 29,368 - 29,368 0.2 1,468 Swiss Franc (5,062) - (5,062) - (253) US Dollar 574,703 826,625 1,401,328 8.2 70,066 Total 781,791 189,794 971,585 5.7 48,578

164 CC&L Alternative Canadian Equity Fund Notes to Financial Statements – Fund Specific Information December 31, 2020 and 2019

Interest rate risk

As at December 31, 2020 and 2019 interest rate risk was negligible as the Fund had no significant exposure to long- term interest-bearing investments.

Other price risk

As at December 31, 2020 and 2019 the Fund was exposed to other price risk primarily through its equity investments that trade on stock exchanges. Substantially all of the Fund’s net assets attributable to holders of redeemable units were exposed to other price risk because of exposure to market fluctuations (not caused by other factors mentioned previously). If stock exchange prices had increased or decreased by 10%, with all other factors remaining constant, net assets attributable to holders of redeemable units would have increased or decreased by approximately $1,757,000 (2019 - $1,577,000). In practice, actual results may differ from this sensitivity analysis and the difference could be material.

Credit risk

As at December 31, 2020 and 2019, credit risk arising from debt instruments was negligible as the Fund had no significant exposure to debt-based securities. The Fund was exposed to credit risk through derivative instruments. The unrealized gains on contractual obligations with counterparties were 3.47% (2019 - 1.79%) of the Fund’s net assets attributable to holders of redeemable units. All counterparties to the derivative instruments are rated “A” or better (as determined from a composite of bond rating services such as Standard & Poor’s, Moody’s and Dominion Bond Rating Services).

Securities lending (Note 12)

For the year ended December 31, 2020 and period from February 15, 2019 (commencement of operations) to December 31, 2019, securities lending income was as follows: 2020 2019 ($) ($) Gross securities lending income 6,387 6,489 Securities lending charges (1,147) (1,136) Net securities lending income 5,240 5,353 Withholding taxes on securities lending income (358) (387) Net securities lending income received by the Fund 4,882 4,966

Securities lending charges represented 18.0% (2019 - 17.5%) of the gross securities lending income, all of which was paid to the Fund’s custodian.

The following table summarizes the securities loaned and collateral held as at December 31, 2020 and 2019.

December 31, 2020 December 31, 2019 ($000's) ($000's) Securities loaned 973 1,304 Collateral received 1,022 1,370 Collateral percentage of securities loaned 105% 105%

165 CC&L Alternative Canadian Equity Fund Notes to Financial Statements – Fund Specific Information December 31, 2020 and 2019

Leverage and borrowing (Note 13)

During the year ended December 31, 2020 and period from inception to December 31, 2019, the Fund’s aggregate exposure to leverage ranged from 60.9% to 94.4% (2019 - 0.0% to 64.3%) of the Fund’s Net Asset Value (“NAV”). The aggregate exposure range to leverage was within the expected range as outlined in the simplified prospectus. As at December 31, 2020, the Fund’s aggregate exposure was 69.9% (2019 – 59.2%) of the Fund’s NAV. The primary sources of leverage were short positions in equity securities, short equity swap contracts and cash borrowings.

A component of the Fund’s leverage is cash borrowing. Such facilities are repayable on demand. During the year ended December 31, 2020 and period from inception to December 31, 2019, the Fund’s range of bank indebtedness was $410,405 to $4,071,786 (2019 - $Nil to $3,172,629) with an average interest rate of 0.84% (2019 - 2.40%). As at December 31, 2020, bank indebtedness represented 14.1% (2019 – 1.6%) of the Fund’s NAV.

166 CC&L Alternative Income Fund Statements of Financial Position As at December 31

2020 2019

Assets Current assets Cash $ 501,870 $ 45,504 Short-term investments 984,921 558,569 Investments 54,692,791 41,948,982 Unrealized appreciation on currency forward contracts 4,283 84,531 Unrealized appreciation on bond forward contracts 29,139 17,120 Unrealized appreciation on futures contracts 11,858 362,470 Unrealized appreciation on credit default swap contracts 1,093 - Daily variation margin 210,460 170,627 Interest receivable 513,899 383,080 Other receivables 68 -

56,950,382 43,570,883

Liabilities Current liabilities Short-term investments sold short 8,099,242 2,632,213 Investments sold short 19,252,671 11,130,965 Unrealized depreciation on currency forward contracts 12,210 155,332 Unrealized depreciation on bond forward contracts - 166,995 Unrealized depreciation on futures contracts 34,410 18,560 Interest payable on securities sold short 148,157 97,236 Due to broker 56,056 - Accrued security borrowing fees 6,072 6,610 Accrued expenses 35,733 18,529 Management fees payable 751 1,800 Performance fees payable 7,737 14

27,653,039 14,228,254

Net Assets attributable to holders of redeemable units $ 29,297,343 $ 29,342,629

Net Assets attributable to holders of redeemable units for each class Series A $ 129,112 $ 191,995 Series F $ 1,528,419 $ 3,465,785 Series I $ 27,639,812 $ 25,684,849

Redeemable units outstanding (note 6) Series A 13,335 19,500 Series F 156,304 351,369 Series I 2,752,328 2,576,286

Net Assets attributable to holders of redeemable units per unit Series A $ 9.68 $ 9.85 Series F $ 9.78 $ 9.86 Series I $ 10.04 $ 9.97

Approved by the Manager

"Michael Freund" "Tim Elliott"

Director Director

The accompanying notes are an integral part of these financial statements. 167 CC&L Alternative Income Fund Statements of Comprehensive Income For the year ended December 31, 2020 and period from February 15, 2019 (commencement of operations) to December 31, 2019

2020 2019

Income Realized foreign exchange gain (loss) on currency $ (60,702) $ 65,917 Change in unrealized foreign exchange gain (loss) on currency (10,765) 13,546 Securities lending income (note 12) 1,516 4,269 Other income (loss) 657 2,595

Net gain (loss) on investments Interest for distribution purposes 2,012,023 1,564,188 Interest expense on securities sold short (661,369) (448,395) Net realized gain (loss) on investments 49,938 124,082 Net realized gain (loss) on investments sold short 68,280 (146,817) Net realized gain (loss) on currency forward contracts 780,885 43,786 Net realized gain (loss) on bond forward contracts 588,987 101,555 Net realized gain (loss) on futures contracts (967,858) (144,613) Net realized gain (loss) on swap contracts 102,960 - Net change in unrealized appreciation (depreciation) on investments 233,443 (95,673) Net change in unrealized appreciation (depreciation) on investments sold short 221,703 (194,396) Net change in unrealized appreciation (depreciation) on currency forward contracts 62,874 (70,801) Net change in unrealized appreciation (depreciation) on bond forward contracts 179,014 (149,875) Net change in unrealized appreciation (depreciation) on futures contracts (366,462) 343,910 Net change in unrealized appreciation (depreciation) on swap contracts 1,093 - Total net gain (loss) on investments 2,305,511 926,951

Total income (loss), net 2,236,217 1,013,278

Expenses (note 8) Administrative fees - 155 Audit fees 21,044 24,331 Custodial fees 66,447 44,923 Filing fees 14,597 - Fundserv fees 46 7 Independent review committee fees 5,124 3,919 Independent review committee insurance 626 478 Interest expense 29,634 40,939 Management fees 11,632 19,383 Performance fees 14,128 10,474 Professional fees 27,543 - Security borrowing expense 55,792 32,745 Securityholder reporting fees 12,243 9,972 Transaction costs (note 9) 3,831 6,301

Total operating expenses 262,687 193,627

Withholding taxes (note 7) (1,352) (337)

Increase (decrease) in Net Assets attributable to holders of redeemable units from operations $ 1,972,178 $ 819,314

The accompanying notes are an integral part of these financial statements. 168 CC&L Alternative Income Fund Statements of Comprehensive Income For the year ended December 31, 2020 and period from February 15, 2019 (commencement of operations) to December 31, 2019

2020 2019

Increase (decrease) in Net Assets attributable to holders of redeemable units for each class Series A $ 3,074 $ 620 Series F $ (40,597) $ 33,845 Series I $ 2,009,701 $ 784,849

Weighted average number of units outstanding Series A 15,556 11,936 Series F 187,286 394,019 Series I 2,632,905 2,424,051

Increase (decrease) in Net Assets attributable to holders of redeemable units per unit Series A $ 0.20 $ 0.05 Series F $ (0.22) $ 0.09 Series I $ 0.76 $ 0.32

The accompanying notes are an integral part of these financial statements. 169 CC&L Alternative Income Fund Statements of Changes in Net Assets Attributable to Holders of Redeemable Units For the year ended December 31, 2020 and period from February 15, 2019 (commencement of operations) to December 31, 2019

Series A Series A 2020 2019

Net Assets attributable to holders of redeemable units - Beginning of period $ 191,995 $ -

Increase (decrease) in Net Assets attributable to holders of redeemable units from operations 3,074 620

Redeemable unit transactions Proceeds from redeemable units issued 10,000 203,279 Reinvestments of distributions to holders of redeemable units 8,094 3,198 Redemption of redeemable units (75,200) (10,968)

Net increase (decrease) from redeemable unit transactions (57,106) 195,509

Distributions to holders of redeemable units From net investment income (5,310) (2,709) From net realized capital gains (3,541) (1,425)

Total distributions to holders of redeemable units (8,851) (4,134)

Increase (decrease) in Net Assets attributable to holders of redeemable units during the period (62,883) 191,995

Net Assets attributable to holders of redeemable units - End of period $ 129,112 $ 191,995

Series F Series F 2020 2019

Net Assets attributable to holders of redeemable units - Beginning of period $ 3,465,785 $ -

Increase (decrease) in Net Assets attributable to holders of redeemable units from operations (40,597) 33,845

Redeemable unit transactions Proceeds from redeemable units issued 313,784 8,694,727 Reinvestments of distributions to holders of redeemable units 92,231 108,190 Redemption of redeemable units (2,196,250) (5,225,123)

Net increase (decrease) from redeemable unit transactions (1,790,235) 3,577,794

Distributions to holders of redeemable units From net investment income (64,460) (120,049) From net realized capital gains (42,074) (25,805)

Total distributions to holders of redeemable units (106,534) (145,854)

Increase (decrease) in Net Assets attributable to holders of redeemable units during the period (1,937,366) 3,465,785

Net Assets attributable to holders of redeemable units - End of period $ 1,528,419 $ 3,465,785

The accompanying notes are an integral part of these financial statements. 170 CC&L Alternative Income Fund Statements of Changes in Net Assets Attributable to Holders of Redeemable Units For the year ended December 31, 2020 and period from February 15, 2019 (commencement of operations) to December 31, 2019

Series I Series I 2020 2019

Net Assets attributable to holders of redeemable units - Beginning of period $ 25,684,849 $ -

Increase (decrease) in Net Assets attributable to holders of redeemable units from operations 2,009,701 784,849

Redeemable unit transactions Proceeds from redeemable units issued 296,085 24,900,000 Reinvestments of distributions to holders of redeemable units 1,766,272 869,261 Redemption of redeemable units (350,811) -

Net increase (decrease) from redeemable unit transactions 1,711,546 25,769,261

Distributions to holders of redeemable units From net investment income (1,009,276) (678,233) From net realized capital gains (757,008) (191,028)

Total distributions to holders of redeemable units (1,766,284) (869,261)

Increase (decrease) in Net Assets attributable to holders of redeemable units during the period 1,954,963 25,684,849

Net Assets attributable to holders of redeemable units - End of period $ 27,639,812 $ 25,684,849

Total Total 2020 2019

Net Assets attributable to holders of redeemable units - Beginning of period $ 29,342,629 $ -

Increase (decrease) in Net Assets attributable to holders of redeemable units from operations 1,972,178 819,314

Redeemable unit transactions Proceeds from redeemable units issued 619,869 33,798,006 Reinvestments of distributions to holders of redeemable units 1,866,597 980,649 Redemption of redeemable units (2,622,261) (5,236,091)

Net increase (decrease) from redeemable unit transactions (135,795) 29,542,564

Distributions to holders of redeemable units From net investment income (1,079,046) (800,991) From net realized capital gains (802,623) (218,258)

Total distributions to holders of redeemable units (1,881,669) (1,019,249)

Increase (decrease) in Net Assets attributable to holders of redeemable units during the period (45,286) 29,342,629

Net Assets attributable to holders of redeemable units - End of period $ 29,297,343 $ 29,342,629

The accompanying notes are an integral part of these financial statements. 171 CC&L Alternative Income Fund Statements of Cash Flows For the year ended December 31, 2020 and period from February 15, 2019 (commencement of operations) to December 31, 2019

2020 2019

Cash flows from (used in) Operating activities Increase (decrease) in Net Assets attributable to holders of redeemable units from operations $ 1,972,178 $ 819,314

Adjustments to reconcile to operating cash flows: Change in unrealized foreign exchange (gain) loss on currency 10,765 (13,546) Net realized (gain) loss on investments (49,938) (124,082) Net realized (gain) loss on investments sold short (68,280) 146,817 Net change in unrealized (appreciation) depreciation of investments (233,443) 95,673 Net change in unrealized (appreciation) depreciation of investments sold short (221,703) 194,396 Net change in unrealized (appreciation) depreciation on currency forward contracts (62,874) 70,801 Net change in unrealized (appreciation) depreciation on bond forward contracts (179,014) 149,875 Net change in unrealized (appreciation) depreciation on futures contracts 366,462 (343,910) Net change in unrealized (appreciation) depreciation on swap contracts (1,093) -

Purchase of investments (400,386,903) (395,785,238) Proceeds from investments sold 401,434,897 366,728,061 (Increase) decrease in daily variation margin (39,833) (170,627) (Increase) decrease in interest receivable (130,819) (383,080) (Increase) decrease in other receivables (68) - Increase (decrease) in accrued security borrowing fees (538) 6,610 Increase (decrease) in interest payable on securities sold short 50,921 97,236 Increase (decrease) in accrued expenses 17,204 18,529 Increase (decrease) in management fees payable (1,049) 1,800 Increase (decrease) in performance fees payable 7,723 14

Net cash flows from (used in) operating activities 2,484,595 (28,491,357)

Cash flows from (used in) Financing activities Proceeds from redeemable units issued 619,869 33,798,006 Redemption of redeemable units (2,622,261) (5,236,091) Distributions paid to holders of redeemable units, net of reinvestments (15,072) (38,600)

Net cash flows from (used in) financing activities (2,017,464) 28,523,315

Increase (decrease) in cash Net increase (decrease) in cash 467,131 31,958 Change in unrealized foreign exchange gain (loss) on currency (10,765) 13,546 Cash, beginning of period 45,504 -

Cash, end of period $ 501,870 $ 45,504

Interest received, net of withholding taxes* $ 1,879,949 $ 1,181,108 Interest paid* 640,082 392,098

*included in operating activities

The accompanying notes are an integral part of these financial statements. 172 CC&L Alternative Income Fund Schedule of Investment Portfolio As at December 31, 2020 Coupon Average Fair Percentage of Maturity Rate/ Yield Par Value Cost Value Net Assets Date % $ $ %

Short-Term Investments - Long

Canadian Treasury Bills (December 31, 2019: 1.90%) Canadian Treasury Bill* 0.047% 28-Jan-21 250,000 249,960 249,991 Canadian Treasury Bill 0.056% 4-Mar-21 735,000 734,860 734,930 984,820 984,921 3.36 Total Short-Term Investments - Long 984,820 984,921 3.36

Short-Term Investments - Short

Canadian Treasury Bills (December 31, 2019: -8.97%) Canadian Treasury Bill 0.061% 7-Jan-21 (6,280,000) (6,279,439) (6,279,439) Canadian Treasury Bill 0.047% 28-Jan-21 (1,820,000) (1,819,803) (1,819,803) (8,099,242) (8,099,242) (27.64) Total Short-Term Investments - Short (8,099,242) (8,099,242) (27.64)

Bonds - Long

Canadian Federal Bonds (December 31, 2019: 3.26%) Canadian Government Bond 0.500% 1-Sep-25 481,000 482,106 483,446 Canadian Government Bond 1.250% 1-Jun-30 198,000 207,405 208,365 Canadian Government Real Return Bond 0.529% 1-Dec-50 949,000 1,060,263 1,257,438 1,749,774 1,949,249 6.65 Canadian Provincial Bonds (December 31, 2019: 42.48%) Province of Alberta 3.100% 1-Jun-50 793,000 938,066 939,418 Province of New Brunswick 3.550% 3-Jun-43 530,000 652,038 658,786 Province of Nova Scotia 3.150% 1-Dec-51 513,000 616,983 633,649 Province of Ontario 2.050% 2-Jun-30 1,168,000 1,242,402 1,246,452 Province of Saskatchewan 2.200% 2-Jun-30 342,000 366,078 367,839 Province of Saskatchewan 3.100% 2-Jun-50 744,000 896,817 895,160 4,712,384 4,741,304 16.18 Canadian Corporate Bonds (December 31, 2019: 29.67%) 407 International Inc. 3.830% 11-May-46 123,000 152,233 151,795 407 International Inc. 2.840% 7-Mar-50 275,000 270,793 290,741 Bank of Montreal 2.280% 29-Jul-24 1,250,000 1,245,600 1,313,557 Bank of Montreal 2.370% 3-Feb-25 126,000 130,920 133,252 Bank of Montreal 4.800% 31-Dec-49 283,000 404,794 377,017 Bank of Nova Scotia 2.490% 23-Sep-24 651,000 648,975 690,303 Bank of Nova Scotia 1.400% 1-Nov-27 465,000 463,107 467,780 Bank of Nova Scotia 4.900% 31-Dec-49 194,000 266,132 268,206 Bausch Health Cos Inc. 5.750% 15-Aug-27 289,000 410,013 395,570 Bausch Health Cos Inc. 7.000% 15-Jan-28 336,000 474,639 471,251 Baytex Energy Corp. 8.750% 1-Apr-27 254,000 181,956 206,719 Bell Canada 3.350% 12-Mar-25 500,000 507,780 546,074 Bell Canada 1.650% 16-Aug-27 407,000 406,948 412,376 Bell Canada 2.500% 14-May-30 327,000 339,086 343,065 Bell Canada 3.500% 30-Sep-50 225,000 233,206 237,521 Canadian Imperial Bank of Commerce 2.000% 17-Apr-25 770,000 769,415 803,477 Canadian Imperial Bank of Commerce 4.375% 28-Oct-80 517,000 517,000 532,510 Cenovus Energy Inc. 4.250% 15-Apr-27 71,000 88,994 98,857 Cenovus Energy Inc. 6.750% 15-Nov-39 114,000 176,240 192,242 Choice Properties REIT 2.848% 21-May-27 129,000 129,000 137,779 CU Inc. 3.763% 19-Nov-46 236,000 271,320 289,462 CU Inc. 3.950% 23-Nov-48 88,000 104,102 112,202

The accompanying notes are an integral part of these financial statements. 173 CC&L Alternative Income Fund Schedule of Investment Portfolio As at December 31, 2020 Coupon Average Fair Percentage of Maturity Rate/ Yield Par Value Cost Value Net Assets Date % $ $ %

Enbridge Gas Inc. 2.900% 1-Apr-30 1,063,000 1,100,099 1,190,370 Enbridge Gas Inc. 3.010% 9-Aug-49 70,000 79,009 76,732 Enbridge Gas Inc. 3.650% 1-Apr-50 102,000 116,001 124,928 Enbridge Pipelines Inc. 4.550% 29-Sep-45 94,000 111,107 113,367 First Capital Real Estate Investment Trust 3.447% 1-Mar-28 44,000 44,000 46,510 Ford Credit Canada Co. 3.500% 30-Nov-23 330,000 330,000 332,767 Ford Credit Canada Co. 4.460% 13-Nov-24 110,000 100,100 112,765 FortisBC Energy Inc. 3.670% 9-Apr-46 155,000 177,974 188,283 General Motors Financial of Canada Ltd. 5.950% 14-May-24 100,000 99,782 114,545 Greater Toronto Airports Authority 2.730% 3-Apr-29 157,000 171,909 173,714 National Bank of Canada 4.300% 15-Nov-80 269,000 269,000 273,019 NOVA Chemicals Corp. 4.875% 1-Jun-24 268,000 360,360 356,156 Pembina Pipeline Corp. 4.810% 25-Mar-44 45,000 49,260 51,726 RioCan Real Estate Investment Trust 2.361% 10-Mar-27 146,000 144,806 148,841 Rogers Communications Inc. 3.650% 31-Mar-27 132,000 147,802 148,989 Rogers Communications Inc. 3.250% 1-May-29 424,000 467,367 471,108 Royal Bank of Canada 1.936% 1-May-25 533,000 533,000 555,715 Royal Bank of Canada 4.500% 24-Nov-80 208,000 208,000 217,314 Royal Bank of Canada 4.000% 24-Feb-81 319,000 319,000 324,720 SmartCentres Real Estate Investment Trust 3.985% 30-May-23 64,000 65,068 68,394 SmartCentres Real Estate Investment Trust 3.648% 11-Dec-30 71,000 73,472 77,095 Summit Industrial Income REIT 1.820% 1-Apr-26 187,000 186,908 188,087 Suncor Energy Inc. 3.000% 14-Sep-26 76,000 80,792 82,566 Suncor Energy Inc. 5.000% 9-Apr-30 237,000 281,495 290,216 Suncor Energy Inc. 4.340% 13-Sep-46 68,000 73,675 77,052 TELUS Corp. 2.050% 7-Oct-30 98,000 97,272 98,901 TELUS Corp. 4.850% 5-Apr-44 166,000 185,409 206,252 Toronto-Dominion Bank 2.496% 2-Dec-24 114,000 114,760 121,237 Toronto-Dominion Bank 1.943% 13-Mar-25 284,000 290,518 296,198 Transcanada Trust 4.650% 18-May-77 200,000 194,530 206,124 Videotron Ltd. 5.125% 15-Apr-27 329,000 461,598 445,866 15,126,326 15,651,313 53.42 United States Corporate Bonds (December 31, 2019: 67.45%) AMC Networks Inc. 4.750% 15-Dec-22 100,000 134,013 127,843 AMC Networks Inc. 5.000% 1-Apr-24 70,000 95,447 90,741 American Axle & Manufacturing Inc. 6.500% 1-Apr-27 138,000 183,970 185,262 American Axle & Manufacturing Inc. 6.875% 1-Jul-28 97,000 130,222 133,392 AmeriGas Partners LP / AmeriGas Finance Corp. 5.625% 20-May-24 103,000 145,927 141,720 Ashland LLC 4.750% 15-Aug-22 100,000 140,088 133,690 AT&T Inc. 3.100% 1-Feb-43 106,000 135,253 137,497 AT&T Inc. 3.650% 1-Jun-51 48,000 64,616 64,150 AT&T Inc. 3.300% 1-Feb-52 165,000 217,686 208,822 Avis Budget Car Rental LLC 5.250% 15-Mar-25 94,000 120,503 120,579 Avis Budget Car Rental LLC 5.750% 15-Jul-27 118,000 152,501 152,869 Ball Corp. 4.000% 15-Nov-23 219,000 312,118 297,664 Boyd Gaming Corp. 4.750% 1-Dec-27 253,000 333,741 335,476 Buckeye Partners LP 4.150% 1-Jul-23 107,000 144,325 140,493 CDW LLC / CDW Finance Corp. 5.500% 1-Dec-24 150,000 222,253 214,006 CDW LLC / CDW Finance Corp. 4.125% 1-May-25 94,000 132,776 125,511 CDW LLC / CDW Finance Corp. 4.250% 1-Apr-28 90,000 124,370 121,247 Centene Corp. 4.625% 15-Dec-29 892,000 1,305,422 1,263,122 CenturyLink Inc. 4.000% 15-Feb-27 286,000 388,648 376,705 CF Industries Inc. 3.450% 1-Jun-23 100,000 137,432 132,974 Churchill Downs Inc. 5.500% 1-Apr-27 149,000 204,708 201,418

The accompanying notes are an integral part of these financial statements. 174 CC&L Alternative Income Fund Schedule of Investment Portfolio As at December 31, 2020 Coupon Average Fair Percentage of Maturity Rate/ Yield Par Value Cost Value Net Assets Date % $ $ %

CIT Group Inc. 5.000% 1-Aug-23 207,000 301,334 288,606 CommScope Inc. 6.000% 1-Mar-26 89,000 122,828 119,612 CommScope Inc. 8.250% 1-Mar-27 187,000 263,217 254,618 CommScope Technologies LLC 6.000% 15-Jun-25 60,000 80,159 78,263 Continental Resources Inc. 4.500% 15-Apr-23 38,000 46,691 50,006 CoreCivic Inc. 4.625% 1-May-23 130,000 169,536 159,823 Crown Americas LLC 4.500% 15-Jan-23 164,000 229,580 220,977 CyrusOne LP / CyrusOne Finance Corp. 3.450% 15-Nov-29 153,000 217,036 210,012 DCP Midstream Operating LP 4.750% 30-Sep-21 87,000 119,050 112,778 DCP Midstream Operating LP 3.875% 15-Mar-23 121,000 164,281 159,164 Delta Air Lines Inc. 2.900% 28-Oct-24 100,000 110,890 125,787 Diamondback Energy Inc. 3.500% 1-Dec-29 268,000 335,257 365,304 Elanco Animal Health Inc. 3.912% 27-Aug-21 179,000 256,681 233,604 Elanco Animal Health Inc. 4.272% 28-Aug-23 148,000 211,591 206,346 Energy Transfer Operating LP 6.250% 31-Dec-49 89,000 114,919 90,425 EnLink Midstream Partners LP 4.400% 1-Apr-24 215,000 268,623 270,971 Entercom Media Corp. 7.250% 1-Nov-24 136,000 176,562 173,156 Entercom Media Corp. 6.500% 1-May-27 55,000 70,181 71,458 EOG Resources Inc. 4.375% 15-Apr-30 303,000 473,609 469,872 EQM Midstream Partners LP 4.750% 15-Jul-23 108,000 147,197 144,916 EQT Corp. 6.125% 1-Feb-25 99,000 138,669 143,802 EW Scripps Co. 5.125% 15-May-25 81,000 108,033 105,527 Ford Motor Co. 6.625% 1-Oct-28 250,000 313,745 375,416 Ford Motor Credit Co LLC 4.063% 1-Nov-24 1,248,000 1,479,627 1,672,342 Freeport-McMoRan Inc. 4.550% 14-Nov-24 199,000 285,976 277,452 Goodyear Tire & Rubber Co. 9.500% 31-May-25 212,000 305,202 305,618 Goodyear Tire & Rubber Co. 5.000% 31-May-26 117,000 152,825 151,918 Goodyear Tire & Rubber Co. 4.875% 15-Mar-27 110,000 143,485 143,556 Graphic Packaging International LLC 4.750% 15-Apr-21 330,000 473,348 420,935 Gray Television Inc. 7.000% 15-May-27 154,000 222,628 215,080 Hanesbrands Inc. 4.625% 15-May-24 70,000 98,950 93,583 HCA Inc. 5.375% 1-Feb-25 304,000 444,752 436,101 Howmet Aerospace Inc. 5.125% 1-Oct-24 317,000 446,900 445,083 Icahn Enterprises LP 4.750% 15-Sep-24 166,000 227,037 220,010 iHeartCommunications Inc. 8.375% 1-May-27 92,000 119,974 125,327 iHeartCommunications Inc. 5.250% 15-Aug-27 274,000 367,349 367,119 iHeartCommunications Inc. 4.750% 15-Jan-28 111,000 138,870 145,365 Ingles Markets Inc. 5.750% 15-Jun-23 72,000 97,325 92,931 Ingram Micro Inc. 5.450% 15-Dec-24 50,000 70,680 73,345 Iron Mountain Inc. 5.250% 15-Jul-30 98,000 136,631 134,996 iStar Inc. 4.750% 1-Oct-24 100,000 138,087 129,219 KB Home 7.000% 15-Dec-21 211,000 304,537 278,726 Kraft Heinz Foods Co. 3.950% 15-Jul-25 319,000 463,815 447,829 Lamb Weston Holdings Inc. 4.625% 1-Nov-24 405,000 567,292 539,188 Las Vegas Sands Corp. 3.900% 8-Aug-29 183,000 239,650 250,910 Lennar Corp. 4.750% 15-Nov-22 136,000 190,467 183,179 Lennar Corp. 4.500% 30-Apr-24 157,000 216,628 221,395 Lennar Corp. 4.750% 30-May-25 58,000 85,815 84,560 Level 3 Financing Inc. 4.625% 15-Sep-27 182,000 251,567 242,587 Level 3 Financing Inc. 4.250% 1-Jul-28 209,000 281,800 273,854 Level 3 Financing Inc. 3.625% 15-Jan-29 126,000 169,035 160,424 Live Nation Entertainment Inc. 3.750% 15-Jan-28 44,000 55,975 56,779 Meritage Homes Corp. 7.000% 1-Apr-22 78,000 114,349 105,932 MGM Growth Properties Operating LP 5.625% 1-May-24 125,000 180,670 173,268

The accompanying notes are an integral part of these financial statements. 175 CC&L Alternative Income Fund Schedule of Investment Portfolio As at December 31, 2020 Coupon Average Fair Percentage of Maturity Rate/ Yield Par Value Cost Value Net Assets Date % $ $ %

MGM Growth Properties Operating LP 4.625% 15-Jun-25 11,000 14,809 15,023 MGM Resorts International 7.750% 15-Mar-22 117,000 179,728 159,026 MGM Resorts International 6.000% 15-Mar-23 150,000 218,029 205,432 Murphy Oil Corp. 4.000% 1-Jun-22 169,000 231,012 216,269 Navient Corp. 6.125% 25-Mar-24 276,000 395,163 376,454 Netflix Inc. 3.625% 15-Jun-25 103,000 144,045 140,751 Netflix Inc. 4.875% 15-Apr-28 317,000 457,725 456,089 Newell Brands Inc. 3.850% 1-Apr-23 32,000 44,462 42,812 Nexstar Broadcasting Inc. 5.625% 15-Jul-27 142,000 196,549 194,081 NextEra Energy Operating Partners LP 4.250% 15-Jul-24 88,000 122,794 120,100 NGPL PipeCo LLC 4.375% 15-Aug-22 75,000 100,780 99,601 Nielsen Finance LLC / Nielsen Finance Co. 5.625% 1-Oct-28 123,000 161,910 170,558 NRG Energy Inc. 6.625% 15-Jan-27 97,000 147,730 130,684 NRG Energy Inc. 5.750% 15-Jan-28 300,000 433,899 418,270 Occidental Petroleum Corp. 2.900% 15-Aug-24 304,000 329,995 373,353 OneMain Finance Corp. 7.750% 1-Oct-21 269,000 410,985 361,126 OneMain Finance Corp. 6.125% 15-May-22 341,000 509,138 461,586 OneMain Finance Corp. 6.875% 15-Mar-25 63,000 86,165 93,355 PBF Holding Co LLC / PBF Finance Corp. 9.250% 15-May-25 120,000 173,964 150,942 PDC Energy Inc. 5.750% 15-May-26 26,000 27,919 34,263 Pitney Bowes Inc. 4.625% 15-May-22 184,000 255,717 241,686 Plains All American Pipeline LP 6.125% 31-Dec-49 75,000 92,680 77,873 Prime Security Services Borrower LLC 5.250% 15-Apr-24 80,000 112,187 108,927 QVC Inc. 4.850% 1-Apr-24 156,000 216,148 214,892 Radian Group Inc. 4.500% 1-Oct-24 31,000 44,205 41,765 Scientific Games International Inc. 5.000% 15-Oct-25 199,000 268,550 261,928 Scientific Games International Inc. 7.000% 15-May-28 208,000 283,777 285,370 Scripps Escrow Inc. 5.875% 15-Jul-27 108,000 145,959 143,914 Sealed Air Corp. 5.125% 1-Dec-24 194,000 276,236 270,172 Service Properties Trust 4.350% 1-Oct-24 204,000 247,516 256,972 Sinclair Television Group Inc. 5.125% 15-Feb-27 130,000 184,518 169,433 Sirius XM Radio Inc. 5.500% 1-Jul-29 119,000 176,400 167,098 Sprint Corp. 7.125% 15-Jun-24 646,000 999,605 963,947 Sunoco LP / Sunoco Finance Corp. 6.000% 15-Apr-27 23,000 32,035 31,185 Targa Resources Partners LP 4.250% 15-Nov-23 346,000 483,642 444,156 Targa Resources Partners LP 5.500% 1-Mar-30 4,000 5,409 5,538 Taylor Morrison Communities Inc. 5.625% 1-Mar-24 166,000 238,889 227,609 Tenet Healthcare Corp. 6.250% 1-Feb-27 168,000 233,481 227,172 Tenet Healthcare Corp. 5.125% 1-Nov-27 243,000 334,632 328,544 Tenet Healthcare Corp. 6.125% 1-Oct-28 181,000 237,414 240,707 T-Mobile USA Inc. 4.750% 1-Feb-28 344,000 500,787 471,624 Toll Brothers Finance Corp. 4.375% 15-Apr-23 265,000 372,963 359,132 TRI Pointe Group Inc. / TRI Pointe Homes Inc. 5.875% 15-Jun-24 69,000 101,167 96,224 ViacomCBS Inc. 5.875% 28-Feb-57 68,000 94,612 90,043 VICI Properties LP / VICI Note Co Inc. 4.250% 1-Dec-26 424,000 575,076 561,094 VICI Properties LP / VICI Note Co Inc. 3.750% 15-Feb-27 124,000 166,270 161,802 VICI Properties LP / VICI Note Co Inc. 4.125% 15-Aug-30 27,000 36,221 36,355 Vistra Operations Co LLC 5.625% 15-Feb-27 123,000 175,882 166,903 Vistra Operations Co LLC 5.000% 31-Jul-27 412,000 573,769 556,902 Western Midstream Operating LP 3.100% 1-Feb-25 133,000 169,323 174,891 WPX Energy Inc. 5.250% 15-Sep-24 54,000 72,699 75,109 Wyndham Destinations Inc. 4.250% 1-Mar-22 425,000 591,330 554,986 Wynn Las Vegas LLC 4.250% 30-May-23 121,000 168,382 156,686 XPO Logistics Inc. 6.750% 15-Aug-24 174,000 243,555 235,808

The accompanying notes are an integral part of these financial statements. 176 CC&L Alternative Income Fund Schedule of Investment Portfolio As at December 31, 2020 Coupon Average Fair Percentage of Maturity Rate/ Yield Par Value Cost Value Net Assets Date % $ $ %

XPO Logistics Inc. 6.250% 1-May-25 158,000 224,530 216,996 31,059,301 30,447,453 103.93 Foreign Corporate Bonds (December 31, 2019: 0.10%) AerCap Holdings NV 5.875% 10-Oct-79 78,000 76,575 102,195 ArcelorMittal SA 3.600% 16-Jul-24 108,000 148,064 148,556 Carnival Corp. 11.500% 1-Apr-23 276,000 403,297 407,242 Deutsche Bank AG 4.296% 24-May-28 117,000 157,320 153,677 Fiat Chrysler Automobiles NV 5.250% 15-Apr-23 155,000 221,262 212,033 FMG Resources August 2006 Pty Ltd. 5.125% 15-May-24 294,000 415,012 407,095 Royal Caribbean Cruises Ltd. 11.500% 1-Jun-25 228,000 347,383 339,939 Telefonaktiebolaget LM Ericsson 4.125% 15-May-22 100,000 138,432 132,735 1,907,345 1,903,472 6.50 Total Bonds - Long 54,555,130 54,692,791 186.68

Bonds - Short

Canadian Federal Bonds (December 31, 2019: -1.93%) Canadian Government Bond 2.750% 1-Dec-48 (156,000) (208,950) (214,049) Canadian Government Bond 2.000% 1-Dec-51 (3,033,000) (3,607,060) (3,648,459) (3,816,010) (3,862,508) (13.18) Canadian Provincial Bonds (December 31, 2019: Nil%) Province of Ontario 2.650% 2-Dec-50 (1,123,000) (1,300,937) (1,283,417) Province of Ontario 1.900% 2-Dec-51 (564,000) (536,975) (551,469) Province of Quebec 3.100% 1-Dec-51 (435,000) (534,380) (546,813) (2,372,292) (2,381,699) (8.13) Canadian Corporate Bonds (December 31, 2019: -4.29%) AltaGas Ltd. 4.500% 15-Aug-44 (220,000) (253,101) (249,387) Inter Pipeline Ltd. 4.637% 30-May-44 (221,000) (231,798) (237,283) Ovintiv Inc. 6.500% 15-Aug-34 (92,000) (112,115) (135,858) (597,014) (622,528) (2.12) United States Corporate Bonds (December 31, 2019: -27.25%) Allison Transmission Inc. 3.750% 30-Jan-31 (299,000) (387,717) (390,449) Ashtead Capital Inc. 4.250% 1-Nov-29 (560,000) (772,586) (782,886) CCO Holdings LLC / CCO Holdings Capital Corp. 4.500% 1-May-32 (83,000) (111,264) (113,035) CenturyLink Inc. 4.500% 15-Jan-29 (117,000) (152,060) (151,946) Continental Resources Inc. 4.375% 15-Jan-28 (349,000) (419,316) (456,626) CSC Holdings LLC 5.750% 15-Jan-30 (373,000) (540,321) (521,536) DaVita Inc. 4.625% 1-Jun-30 (115,000) (158,273) (155,575) Dell International LLC / EMC Corp. 4.900% 1-Oct-26 (727,000) (1,094,945) (1,094,504) Ford Motor Co. 4.750% 15-Jan-43 (192,000) (244,542) (249,806) HCA Inc. 4.125% 15-Jun-29 (205,000) (309,789) (303,300) HCA Inc. 5.500% 15-Jun-47 (37,000) (61,056) (63,060) HCA Inc. 5.250% 15-Jun-49 (135,000) (227,332) (227,536) Kraft Heinz Foods Co. 5.000% 4-Jun-42 (103,000) (153,718) (154,172) Lennar Corp. 4.750% 29-Nov-27 (205,000) (314,890) (308,977) Level 3 Financing Inc. 3.875% 15-Nov-29 (380,000) (542,255) (538,745) Mylan Inc. 4.550% 15-Apr-28 (102,000) (158,753) (154,577) NRG Energy Inc. 2.000% 2-Dec-25 (355,000) (466,907) (469,209) Penn National Gaming Inc. 5.625% 15-Jan-27 (251,000) (344,521) (334,196) PulteGroup Inc. 5.000% 15-Jan-27 (164,000) (250,513) (246,936) Targa Resources Partners LP 6.875% 15-Jan-29 (168,000) (213,584) (241,455) TEGNA Inc. 5.000% 15-Sep-29 (203,000) (273,905) (273,456) Tenet Healthcare Corp. 6.750% 15-Jun-23 (515,000) (727,545) (704,334) T-Mobile USA Inc. 3.300% 15-Feb-51 (185,000) (242,549) (242,927)

The accompanying notes are an integral part of these financial statements. 177 CC&L Alternative Income Fund Schedule of Investment Portfolio As at December 31, 2020 Coupon Average Fair Percentage of Maturity Rate/ Yield Par Value Cost Value Net Assets Date % $ $ %

United Rentals North America Inc. 3.875% 15-Nov-27 (161,000) (223,058) (215,113) United Rentals North America Inc. 4.875% 15-Jan-28 (327,000) (457,386) (444,197) United Rentals North America Inc. 4.000% 15-Jul-30 (316,000) (431,554) (424,223) Vistra Operations Co LLC 4.300% 15-Jul-29 (227,000) (327,103) (328,505) VMware Inc. 3.900% 21-Aug-27 (546,000) (808,218) (785,184) (10,415,660) (10,376,465) (35.42) Foreign Corporate Bonds (December 31, 2019: -4.47%) NXP BV / NXP Funding LLC 5.350% 1-Mar-26 (244,000) (395,098) (375,011) NXP BV / NXP Funding LLC / NXP USA Inc. 3.400% 1-May-30 (294,000) (426,638) (425,592) Telecom Italia Capital SA 6.000% 30-Sep-34 (68,000) (103,697) (105,742) Telecom Italia Capital SA 7.200% 18-Jul-36 (18,000) (30,388) (31,011) Utah Acquisition Sub Inc. 3.950% 15-Jun-26 (735,000) (1,123,181) (1,072,115) (2,079,002) (2,009,471) (6.86) Total Bonds - Short (19,279,978) (19,252,671) (65.71)

Total Investments 28,160,730 28,325,799 96.69

Total unrealized appreciation on currency forward contracts (Schedule 1) 4,283 0.01

Total unrealized depreciation on currency forward contracts (Schedule 1) (12,210) (0.04)

Total unrealized appreciation on bond forward contracts (Schedule 2) 29,139 0.10

Total unrealized appreciation on futures contracts (Schedule 3) 11,858 0.04

Total unrealized depreciation on futures contracts (Schedule 3) (34,410) (0.12)

Total unrealized appreciation on credit default swap contracts (Schedule 4) 1,093 -

Other Assets Less Liabilities 971,791 3.32

Net Assets Attributable to Holders of Redeemable Units 29,297,343 100.00

* Security pledged as collateral for derivatives held by the Fund.

The accompanying notes are an integral part of these financial statements. 178 CC&L Alternative Income Fund Currency Forward Contracts (Schedule 1) As at December 31, 2020

Unrealized Appreciation/ Currency (Depreciation) Counterparty* Code Amounts Sold Currency Code Amount Bought Maturity Date $ Bank of Nova Scotia CAD (741,424) USD 582,491 17-Mar-21 517 Bank of Nova Scotia CAD (416,536) USD 327,247 17-Mar-21 290 Royal Bank of Canada USD (126,000) CAD 162,563 17-Mar-21 2,071 Royal Bank of Canada USD (73,000) CAD 94,181 17-Mar-21 1,197 Royal Bank of Canada USD (87,000) CAD 111,024 17-Mar-21 208 4,283 Bank of Nova Scotia CAD (80,361) USD 62,806 17-Mar-21 (362) Bank of Nova Scotia CAD (158,348) USD 124,000 17-Mar-21 (404) Bank of Nova Scotia CAD (195,380) USD 153,000 17-Mar-21 (498) Bank of Nova Scotia CAD (240,902) USD 188,000 17-Mar-21 (1,439) Bank of Nova Scotia USD (8,000) CAD 10,183 17-Mar-21 (7) Bank of Nova Scotia USD (562,000) CAD 715,342 17-Mar-21 (499) Bank of Nova Scotia USD (6,132,372) CAD 7,805,589 17-Mar-21 (5,442) Royal Bank of Canada USD (70,000) CAD 88,863 17-Mar-21 (298) Toronto-Dominion Bank CAD (40,902) USD 32,000 17-Mar-21 (142) Toronto-Dominion Bank CAD (69,022) USD 54,000 17-Mar-21 (240) Toronto-Dominion Bank CAD (70,664) USD 55,000 17-Mar-21 (608) Toronto-Dominion Bank USD (1,191,000) CAD 1,514,750 17-Mar-21 (2,271) (12,210) (7,927)

* All counterparties have a credit rating of AA or better.

Bond Forward Contracts (Schedule 2) As at December 31, 2020 Unrealized Coupon Forward Number Fair Appreciation/ Rate Maturity Forward Maturity of Value (Depreciation) Description* (%) Date Type Counterparty Date Contracts Contract Price $ $ Province of Ontario 3.50% 2-Jun-24 Bond BNS 3-Feb-21 5,000,000 109.37 5,486,412 19,872 Province of Ontario 2.60% 2-Jun-25 Bond BNS 3-Feb-21 2,300,000 107.77 2,487,159 9,267 7,973,571 29,139 7,973,571 29,139

* All counterparties have a credit rating of AA or better.

Futures Contracts (Schedule 3) As at December 31, 2020 Unrealized Number Fair Appreciation/ of Value (Depreciation) Description Maturity Date Contracts $ $ CBOT US 10 Year T-Note Futures 22-Mar-21 25 4,397,788 11,858 4,397,788 11,858 Canadian 5 Year Bond Futures 22-Mar-21 (8) (1,021,920) (2,960) MTL Canadian 10-Year Futures 22-Mar-21 (61) (9,095,100) (31,450) (10,117,020) (34,410) (5,719,232) (22,552)

Credit default swaps (Schedule 4) As at December 31, 2020 Unrealized Fair Appreciation/ Effective Expiry Counterparty Notional Value (Depreciation) Description Date Date and credit rating Amount $ $ CDX.NA.HY.35 V1 SP 5% 26-Nov-20 20-Dec-25 Credit Suisse-NR USD 306,000 36,955 1,093 36,955 1,093 36,955 1,093

The accompanying notes are an integral part of these financial statements. 179 CC&L Alternative Income Fund Notes to Financial Statements – Fund Specific Information December 31, 2020 and 2019

These fund specific notes shall be read in conjunction with the accompanying notes to the financial statements, which are an integral part of these financial statements. These fund specific notes can be referenced to the accompanying notes by the corresponding note number. Since they are supplemental to the accompanying notes, there may not be a corresponding specific note to match every accompanying note.

Reporting entity and investment objective (Note 1)

The CC&L Alternative Income Fund (the “Fund”) is an open-ended unit trust established under the laws of Ontario and is governed by the Declaration of Trust dated May 1, 2012, as amended from time to time. The Fund commenced operations on February 15, 2019. The address of the Fund’s registered office is 1400 – 130 King St. West, P.O. Box 240, Toronto, Ontario, Canada, M5X 1C8.

The investment objective of the Fund is to actively manage a diversified portfolio of primarily global fixed income securities by opportunistically utilizing both long and short positions with a view to maximize long-term total returns.

Fair value of financial instruments (Note 5)

Classification of investments under the Fair Value Hierarchy The tables below illustrate the classification of the Fund’s financial instruments measured at fair value at the reporting date. The amounts are based on the values recognized in the Statements of Financial Position. As at December 31, 2020: Assets at Fair Value Level 1 Level 2 Level 3 Total Short-term investments $ - $ 984,921 $ - $ 984,921 Bonds - long - 54,692,791 - 54,692,791 Currency forward contracts - 4,283 - 4,283 Bond forward contracts - 29,139 - 29,139 Futures contracts 11,858 - - 11,858 Credit default swaps 1,093 - - 1,093 $ 12,951 $ 55,711,134 $ - $ 55,724,085

Liabilities at Fair Value Level 1 Level 2 Level 3 Total Short-term investments - short $ - $ 8,099,242 $ - $ 8,099,242 Bonds - short - 19,252,671 - 19,252,671 Currency forward contracts - 12,210 - 12,210 Futures contracts 34,410 - - 34,410 $ 34,410 $ 27,364,123 $ - $ 27,398,533

180 CC&L Alternative Income Fund Notes to Financial Statements – Fund Specific Information December 31, 2020 and 2019

As at December 31, 2019: Assets at Fair Value Level 1 Level 2 Level 3 Total Short-term investments $ - $ 558,569 $ - $ 558,569 Bonds - long - 41,948,982 - 41,948,982 Currency forward contracts - 84,531 - 84,531 Bond forward contracts - 17,120 - 17,120 Futures contracts 362,470 - - 362,470 $ 362,470 $ 42,609,202 $ - $ 42,971,672

Liabilities at Fair Value Level 1 Level 2 Level 3 Total Short-term investments - short $ - $ 2,632,213 $ - $ 2,632,213 Bonds - short - 11,130,965 - 11,130,965 Currency forward contracts - 155,332 - 155,332 Bond forward contracts - 166,995 - 166,995 Futures contracts 18,560 - - 18,560 $ 18,560 $ 14,085,505 $ - $ 14,104,065

There were no transfers of financial assets or liabilities between Level 1, Level 2 and Level 3 for the year ended December 31, 2020 and period from February 15, 2019 (commencement of operations) to December 31, 2019. All fair value measurements above are recurring.

Redeemable units of the Fund (Note 6)

For the year ended December 31, 2020 and period from February 15, 2019 (commencement of operations) to December 31, 2019, changes in outstanding units were as follows:

Balance - Beginning Redeemable units Redeemable units Redeemable units Balance - 2020 of period issued reinvested redeemed End of period Series A 19,500 1,030 836 (8,031) 13,335 Series F 351,369 32,049 9,436 (236,550) 156,304 Series I 2,576,286 33,117 176,577 (33,652) 2,752,328

2019 Series A - 20,269 321 (1,090) 19,500 Series F - 860,135 10,826 (519,592) 351,369 Series I - 2,489,996 86,290 - 2,576,286

Taxation of the Fund (Note 7)

As at December 31, 2020 the Fund had unused capital losses of $Nil (2019 - $Nil), which may be carried forward indefinitely to reduce future realized capital gains. There were $Nil (2019 - $Nil) unused non-capital losses available for tax purposes.

During the year, withholding tax rates were between 0% and 35% (2019 - between 0% and 35%).

181 CC&L Alternative Income Fund Notes to Financial Statements – Fund Specific Information December 31, 2020 and 2019

Related party transactions and other expenses (Note 8)

Management fees The Fund pays a management fee, which is accrued daily and paid monthly. The annual management fee rates, exclusive of taxes, are 1.45% for Series A and 0.45% for Series F. No management fees are paid by the Fund with respect to Series I units; but are negotiable and paid directly by the unitholder to the Manager and will not exceed the management fee payable on Series A units of the Fund.

Performance fees

The Fund will pay a quarterly incentive fee (a “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.

Units held by related parties

Connor, Clark & Lunn Financial Group Ltd. (“CCLFGL”), a company related to the Manager through common ownership, hold units of the Fund. At December 31, 2020, CCLFGL held 5,496 Series A units, 5,525 Series F units and 2,752,328 Series I units with respective total fair values of $53,201, $54,035 and $27,639,812 (2019 - 5,152 Series A units, 5,171 Series F units and 2,576,286 Series I units with respective total fair values of $50,747, $50,986 and $25,684,849)

Brokerage commissions and other transaction costs (Note 9)

The Fund paid $3,831 (2019 - $6,301) in brokerage commissions and other transactions costs for portfolio transactions during the year. The soft dollars paid during the year were $Nil (2019 - $Nil).

Financial risk management (Note 10)

Currency risk

The tables below summarize the Fund’s exposure to foreign currencies as at December 31, 2020 and 2019 in Canadian dollars. Amounts shown are based on the fair value of monetary assets (including cash and short-term investments) as well as the underlying principal amounts of forward foreign currency contracts, as applicable.

The tables also illustrate the potential impact on Net Assets attributable to holders of redeemable units as a result of a 5% change in these currencies relative to the Canadian dollar, with all other factors remaining constant. In practice, actual results may differ from this sensitivity analysis and the difference could be material.

182 CC&L Alternative Income Fund Notes to Financial Statements – Fund Specific Information December 31, 2020 and 2019

As at December 31, 2020: Monetary Derivative Assets Currency Net % of Impact on Currency (Liabilities) ($) Contracts ($) Exposure($) Net Assets Net Assets ($) US Dollar 23,174,952 (8,498,634) 14,676,318 50.1 733,816 Total 23,174,952 (8,498,634) 14,676,318 50.1 733,816

As at December 31, 2019: Monetary Derivative Assets Currency Net % of Impact on Currency (Liabilities) ($) Contracts ($) Exposure($) Net Assets Net Assets ($) US Dollar 11,224,719 3,148,668 14,373,387 49.0 718,669 Total 11,224,719 3,148,668 14,373,387 49.0 718,669

Interest rate risk

As at December 31, 2020 and 2019, the Fund had direct exposure to interest rate risk through its investment in fixed income and short-term debt and interest rate derivative instruments. Amounts shown are based on the carrying values of debt instruments and exclude cash and preferred shares, as applicable.

As at December 31, 2020: Total % of Debt Instruments Grouped by Maturity Date $ Net Assets

Less than 1 year (5,707,152) (19.5) 1 to 3 years 5,834,753 19.9 3 to 5 years 17,077,380 58.3 Greater than 5 years 11,120,818 38.0 Total 28,325,799 96.7

As at December 31, 2019: Total % of Debt Instruments Grouped by Maturity Date $ Net Assets

Less than 1 year (2,073,644) (7.1) 1 to 3 years 3,762,608 12.8 3 to 5 years 10,660,203 36.3 Greater than 5 years 16,395,206 55.9 Total 28,744,373 97.9

As at December 31, 2020, had prevailing interest rates raised or lowered by 1.0%, with all other variables held constant, net assets would have decreased or increased, respectively, by approximately $986,000 (2019 - $761,000). In practice, actual results may differ from this sensitivity analysis and the difference could be material.

183 CC&L Alternative Income Fund Notes to Financial Statements – Fund Specific Information December 31, 2020 and 2019

Other price risk

As at December 31, 2020 and 2019, other price risk was negligible as the Fund had no significant exposure to investments subject to market fluctuations.

Credit risk

The tables below summarize the Fund’s exposure to credit risk as at December 31, 2020 and 2019. Amounts shown are based on the carrying values of debt instruments and the unrealized gain on derivative instruments outstanding with counterparties.

As at December 31, 2020: Total % of Debt and Counterparty Credit Ratings $ Net Assets AAA 2,937,646 10.0% AA 1,926,594 6.6% A 9,490,797 32.4% BBB 9,655,841 33.0% BB 25,555,048 87.2% B 5,045,965 17.2% CCC 1,099,243 3.8% Total 55,711,134 190.2%

As at December 31, 2019: Total % of Debt and Counterparty Credit Ratings $ Net Assets AAA 1,572,917 5.4% AA 5,249,394 17.9% A 12,975,773 44.2% BBB 9,459,252 32.2% BB 8,399,271 28.6% B 4,511,505 15.4% NR 441,090 1.5% Total 42,609,202 145.2%

184 CC&L Alternative Income Fund Notes to Financial Statements – Fund Specific Information December 31, 2020 and 2019

Securities lending (Note 12)

For the year ended December 31, 2020 and period from February 15, 2019 (commencement of operations) to December 31, 2019, securities lending income was as follows: 2020 2019 ($) ($) Gross securities lending income 1,834 5,127 Securities lending charges (318) (858) Net securities lending income 1,516 4,269 Withholding taxes on securities lending income (97) (337) Net securities lending income received by the Fund 1,419 3,932

Securities lending charges represented 17.3% (2019 – 16.7%) of the gross securities lending income, all of which was paid to the Fund’s custodian.

The following table summarizes the securities loaned and collateral held as at December 31, 2020 and 2019.

December 31, 2020 December 31, 2019 ($000's) ($000's) Securities loaned 1,022 1,589 Collateral received 1,073 1,669 Collateral percentage of securities loaned 105% 105%

Leverage (Note 13)

During the year ended December 31, 2020 and period from inception to December 31, 2019, the Fund’s aggregate exposure to leverage ranged from 75.9% to 145.5% (2019 - 0.0% to 139.4%) of the Fund’s Net Asset Value (“NAV”). The aggregate exposure range 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% (2019 – 128.1%) 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. Such facilities are repayable on demand. During the year ended December 31, 2020 and period from inception to December 31, 2019, the Fund’s range of bank indebtedness was $Nil to $1,701,049 (2019 - $Nil to $1,501,841) with an average interest rate of 1.13% (2019 - 2.47%). As at December 31, 2020, bank indebtedness represented 0.0% (December 31, 2019 – 0.0%) of the Fund’s NAV.

185 Connor, Clark & Lunn Funds Inc. Alternative Mutual Funds Notes to Financial Statements December 31, 2020 and 2019

These notes shall be read in conjunction with the accompanying fund specific notes which are an integral part of these financial statements.

1 General information

The investment activities of the below funds, collectively the “Funds”, are managed by Connor, Clark & Lunn Funds Inc. (the “Manager”):

• CC&L Alternative Global Equity Fund

• CC&L Alternative Canadian Equity Fund

• CC&L Alternative Income Fund The Trustee of the Funds is RBC Investor Services Trust. The financial statements were authorized for issue by the Manager on March 5, 2021.

2 Basis of presentation

(a) Statement of compliance: These annual financial statements have been prepared in accordance with International Financial Reporting Standards (“IFRS”), as issued by the International Accounting Standards Board. The Financial Statements have been prepared under the historical cost convention, as modified by the revaluation of financial assets and liabilities (including derivatives) at fair value through profit and loss. (b) Functional and presentational currency: The Funds’ subscriptions, redemptions and certain operating activities are denominated in Canadian dollars, which is also its functional and presentation currency.

3 Significant accounting policies

The accounting policies set out below have been applied consistently to all periods presented in these financial statements. (a) Financial instruments: The Funds have determined that they meet the definition of an ‘investment entity’. An investment entity is an entity that: obtains funds from one or more investors for the purpose of providing them with investment management services; commits to its investors that its business purpose is to invest funds solely for returns from capital appreciation, investment income, or both; and measures and evaluates the performance of substantially all of its investments on a fair value basis. The significant judgment that the Funds have made in determining that they meet this definition is that fair value is the primary measurement attribute used to measure and evaluate the performance of substantially all of its investments.

186 Connor, Clark & Lunn Funds Inc. Alternative Mutual Funds Notes to Financial Statements December 31, 2020 and 2019

The Funds classify and measure financial instruments in accordance with IFRS 9, Financial Instruments - Classification and Measurement (“IFRS 9”). The standard requires financial assets to be classified as amortized cost, fair value through profit or loss (“FVTPL”), or fair value through other comprehensive income (“FVOCI”) based on the entity’s business model for managing the financial assets and the contractual cash flow characteristics of these assets. Assessment and decision on the business model approach used is an accounting judgement. The Funds classify investments based on both the Funds’ business models for managing those financial assets and the contractual cash flow characteristics of the financial assets. The portfolios of financial assets are managed and performance is evaluated on a fair value basis. The Funds are primarily focused on fair value information and uses that information to assess performance and to make decisions. Consequently, all investments are measured at fair value through profit or loss. More specifically, the Funds’ investments, derivative assets and liabilities and short sales, if any, are measured at FVTPL. The Funds’ obligation for Net Assets attributable to holders of redeemable units is presented at the redemption amount. All other financial assets and liabilities are initially recognized at fair value and subsequently measured at amortized cost. Under this method, financial assets and liabilities reflect the amounts required to be received or paid, discounted when appropriate, at the financial instrument’s effective interest rate. The fair values of the Funds’ financial assets and liabilities that are not carried at FVTPL approximate their carrying amounts due to their short-term nature. The net asset value (NAV) per unit is determined by dividing the aggregate market value of the net assets of the Fund by the total number of units of the Fund outstanding before giving effect to redemptions or subscriptions to units on that day. The interest for distribution purposes shown on the Statements of Comprehensive Income represents the coupon interest received by the Funds accounted for on an accrual basis. The Funds do not amortize premiums paid or discounts received on the purchase of fixed income securities except for zero coupon bonds which are amortized on a straight line basis. Dividends received are recognized as income on the ex-dividend date. Dividends paid on securities sold short, if any, are recognized as an expense on the ex-dividend date. Distributions from income trusts and pooled funds are recognized when the Funds have earned the right to receive payment of the distributions. The cost of investments is determined using the average cost method. (b) Redeemable units of the Fund: Under IAS 32, “Financial Instruments: Presentation”, the Funds classify their redeemable units as liabilities. The Funds’ redeemable units do not meet the criteria in IAS 32 for classification as equity as the Funds have more than one contractual obligation to its unitholders. Investors have the right to require redemption, subject to available liquidity, for cash at a unit price based on the Funds’ valuation policies at each redemption date. Unitholders are also entitled to distributions when declared, and have the right to receive distributions in cash. Therefore, the ongoing redemption feature is not the only contractual obligation related to units. (c) Increase (decrease) in net assets attributable to holders of redeemable units per class unit: The increase (decrease) in net assets attributable to holders of redeemable units per class unit is calculated by dividing the increase (decrease) in net assets attributable to holders of redeemable units of each class by the weighted average number of units outstanding of that class during the period. (d) Cash: Cash includes cash in hand and bank indebtedness. Bank indebtedness are shown in current liabilities in the Statements of Financial Position.

187 Connor, Clark & Lunn Funds Inc. Alternative Mutual Funds Notes to Financial Statements December 31, 2020 and 2019

(e) Short-term investments: Short-term investments consist of debt investments with maturities of less than one year on acquisition. (f) Foreign exchange: Foreign denominated investments and other foreign denominated assets and liabilities are translated into Canadian dollars using the exchange rates prevailing on each valuation date. Purchases and sales of investments, as well as income and expense transactions denominated in foreign currencies, are translated using exchange rates prevailing on the date of the transaction. Foreign currency gains and losses on foreign denominated assets and liabilities other than investments are presented separately in the Statements of Comprehensive Income. Foreign currency gains and losses on investments are included in the Net realized gain (loss) on investments and Net change in unrealized appreciation (depreciation) on investments in the Statements of Comprehensive Income. (g) Income and expense : Realized gains/losses, changes in unrealized appreciation (depreciation) on investments and derivatives, income and expenses are allocated daily to each class based on the proportionate share of the net asset value of the class. The proportionate share of each class is determined by adding the current day's net unitholder subscriptions of the class to the prior day's net asset value of the class. Any income or expense amounts that are unique to a particular class (for example, management fees) are accounted for separately in that particular class so as not to affect the net asset value of the other class. (h) Income taxes: The Funds qualify as unit trusts under the Income Tax Act (Canada). All of the Funds’ for tax purposes and sufficient net capital gains realized in any period are required to be distributed to unitholders such that no income tax is payable by the Fund. As a result, the Funds do not record income taxes. Since the Funds do not record income taxes, the tax benefit of capital and non-capital losses has not been reflected in the Statements of Financial Position as a deferred income tax asset. (i) Transaction costs: Transaction costs such as brokerage commissions incurred in the purchase and sale of securities are expensed as incurred and are recognized in the Statements of Comprehensive Income. (j) Investments in underlying funds and unconsolidated structured entities: Underlying funds are valued on each business day at their net asset value as reported by the underlying funds’ managers. A structured entity is an entity that has been designed so that voting or similar rights are not the dominant factor in deciding who controls the entity, such as when any voting rights relate to administrative tasks only and the relevant activities are directed by means of contractual arrangements. A structured entity often has some or all of the following features or attributes: (a) restricted activities, (b) a narrow and well-defined objective, such as to provide investment opportunities for investors by passing on risks and rewards associated with the assets of the structured entity to investors, (c) insufficient equity to permit the structured entity to finance its activities without subordinated financial support and (d) financing in the form of multiple contractually linked instruments to investors that create concentrations of credit or other risks (tranches). The Funds consider all of their investments in other funds (“Investee Funds”) to be investments in unconsolidated structured entities. The Funds may invest in Investee Funds whose objectives range from achieving medium to long term capital growth and whose investment strategy does not include the use of leverage. The Investee Funds may be managed by related or unrelated asset managers and apply various investment strategies to accomplish their respective investment objectives. The Investee Funds finance their operations by issuing redeemable units which are puttable at the holder’s option and entitles the holder to a proportional stake in the respective fund’s net assets. The Fund holds redeemable units in each of its Investee Funds. The change in fair value of each Investee Fund is included

188 Connor, Clark & Lunn Funds Inc. Alternative Mutual Funds Notes to Financial Statements December 31, 2020 and 2019

in the Statements of Comprehensive Income in Net change in unrealized appreciation (depreciation) on investments. (k) Currency forward contracts: The Funds may enter into foreign exchange forward contracts for economic hedging purposes or to establish an exposure to a particular currency. Open forward contracts are valued at the gain or loss that would arise as a result of closing the position on the valuation date. Unrealized gains and losses on foreign exchange forward contracts are included in Net change in unrealized appreciation (depreciation) on currency forward contracts in the Statements of Comprehensive Income, and upon closing of a contract, the realized gain or loss is included in Net realized gain (loss) on currency forward contracts. Outstanding settlement amounts on the close out of foreign exchange forward contracts are listed in the Schedule of Investment Portfolio and are presented in the Statements of Financial Position as unrealized appreciation or unrealized depreciation on currency forward contracts. (l) Bond forward contracts Bond forward contracts are financial instruments that are based on an underlying sovereign bond of a particular government. The Funds utilize these instruments to hedge against and benefit from price movements of the underlying sovereign bond. The Funds may engage in both normal purchases and sales as well as in short-sales and cover-buys of these instruments. All risks associated with traditional short-selling also apply to short-sales of these instruments. The bond forward contracts are traded with coupon payments of the underlying bond with a specified settlement date in the future. Typically bond forward contracts are closed off prior to their settlement by an equal and opposite trade of the same bond forward instrument. Open bond forward contracts are valued at the gain or loss that would arise as a result of closing the position on the valuation date. The Funds record the difference in the change between fair value and cost of each of the bond forward contracts positions as a change in unrealized gain or loss in the net asset value determination of the Funds in the Statements of Comprehensive Income. The Funds benefit or suffer based on the gains or losses realized due to the difference in purchase and sale prices. Unrealized gains and losses on Bond Forward Contracts are included in Net change in unrealized appreciation (depreciation) on bond forward contracts in the Statements of Comprehensive Income, and upon closing of a contract, the realized gain or loss is included in Net realized gain (loss) on bond forward contracts. Outstanding settlement amounts are listed in the Schedule of Investment Portfolio and are presented in the Statements of Financial Position as unrealized appreciation or unrealized depreciation on bond forward contracts. (m) Futures: The Funds may purchase standardized, exchange-traded futures contracts. Any outstanding futures contracts as at reporting period end date are listed in the Schedule of Investment Portfolio and are presented in the Statements of Financial Position as unrealized appreciation or unrealized depreciation on futures contracts. Any difference between the value at the close of business on the current valuation day and that of the previous valuation day is settled in cash daily and recorded in the Statements of Comprehensive Income as Net change in unrealized appreciation (depreciation) on futures contracts, and upon closing of a contract, the realized gain or loss is included in Net realized gain (loss) on futures contracts. Any amounts receivable (payable) from settlement of futures contracts are reflected in the Statements of Financial Position as Daily variation margin. Certain short- term debt instruments, as indicated in the Schedule of Investment Portfolio, may be segregated and held as margin against the futures contracts purchased by the Funds. (n) Swap contracts: The Funds may invest in swap contracts. The fair value of over-the-counter swap contracts is determined using valuation techniques which incorporate the use of observable market data such as market returns, interest rates, and credit spreads. Changes in the fair value of the swap contracts outstanding at the reporting date are disclosed

189 Connor, Clark & Lunn Funds Inc. Alternative Mutual Funds Notes to Financial Statements December 31, 2020 and 2019

in the Statements of Comprehensive Income as Net change in unrealized appreciation (depreciation) on swap contracts. When the swap contracts expire or are closed out, the net realized gain or loss is reflected in the Statements of Comprehensive Income as part of Net realized gain (loss) on swap contracts. Outstanding swap agreements as at reporting period end date are listed in the Schedule of Investment Portfolio and are presented in the Statements of Financial Position as unrealized appreciation or unrealized depreciation on swaps contracts. Any amounts receivable (payable) from settlement of swap contracts are reflected in the Statements of Financial Position as Daily variation margin. (o) Credit default swaps: The Funds may purchase standardized, exchange-traded s credit default swap index (CDX) contracts. Changes in the fair value of the CDX contracts outstanding at the reporting date are disclosed in the Statements of Comprehensive Income as Net change in unrealized appreciation (depreciation) on swap contracts. When the CDX contracts expire or are closed out, the net realized gain or loss is reflected in the Statements of Comprehensive Income as part of Net realized gain (loss) on swap contracts. Outstanding CDX contracts as at reporting period end date are listed in the Schedule of Investment Portfolio and are presented in the Statements of Financial Position as unrealized appreciation or unrealized depreciation on credit default swap contracts. Any amounts receivable (payable) from settlement of CDX contracts are reflected in the Statements of Financial Position as Daily variation margin. (p) Securities lending: The Funds may enter into securities lending transactions. These transactions involve the temporary exchange of securities as collateral with a commitment by the counterparty to return the same securities on a future date. Income is earned from these transactions in the form of fees paid by the counterparty and, in certain circumstances, interest and dividends paid on securities held as collateral. Income earned from these transactions is recognized on an accrual basis and is included in the Statements of Comprehensive Income. (q) New standards and interpretations not yet adopted: The Funds have determined there are no IFRS standards that are issued but not yet effective that could materially impact the Funds’ financial statements.

4 Critical accounting estimates and judgments

The preparation of financial statements in conformity with IFRS requires the Manager to make judgments, estimates and assumptions that affect the application of accounting policies and the reported amounts of assets, liabilities, income and expenses. Actual results may differ from these estimates. Estimates and underlying assumptions are reviewed on an ongoing basis. (a) In determining whether the Funds exhibit instances of control or significant influence, IFRS 10 “Consolidated Financial Statements” provides an exception to any consolidation requirements for entities that meet the definition of an “investment entity”. Amongst other factors, the Funds meet the definition of investment entity as it obtains funds from one or more investors for the purpose of providing those investor(s) with professional investment management services and commit to its investor(s) that its business purpose is to invest funds solely for returns from capital appreciation, investment income or both. The Funds measure and evaluate the performance of substantially all of its investments on a fair value basis. (b) The Funds may hold financial instruments that are not quoted in active markets. Fair values of such instruments are determined using valuation techniques and may be determined using reputable pricing sources (such as pricing

190 Connor, Clark & Lunn Funds Inc. Alternative Mutual Funds Notes to Financial Statements December 31, 2020 and 2019

agencies) or indicative prices from market makers. Broker quotes as obtained from the pricing sources may be indicative and not executable or binding. Where no market data is available, the Funds may value positions using its own models, which are usually based on valuation methods and techniques generally recognized as standard within the industry. The models used to determine fair values are validated and periodically reviewed by experienced personnel of the Manager, independent of the party that created them. Where applicable, the models used for private equity securities are based mainly on earnings multiples adjusted for a lack of marketability as appropriate. Models use observable data, to the extent practicable. However, areas such as credit risk (both own and counterparty), volatilities and correlations require the Manager to make estimates. Changes in assumptions about these factors could affect the reported fair values of financial instruments. The Funds consider observable data to be market data that is readily available, regularly distributed and updated, reliable and verifiable, not proprietary, and provided by independent sources that are actively involved in the relevant market. Refer to Note 5 for further information about the fair value measurement of the Fund’s financial instruments. (c) In classifying and measuring financial instruments held by the Funds, the Manager is required to make significant judgments in determining the most appropriate classification in accordance with IFRS 9. The Manager has assessed the Funds’ business models, the manner in which all investments are managed and performance evaluated as a group on a fair value basis, and concluded that FVTPL in accordance with IFRS 9 provides the most appropriate classification of the Funds’ financial investments and derivative assets and liabilities.

5 Fair value of financial instruments

The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. The Funds classify fair value measurements within a hierarchy which gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). The three levels of the fair value hierarchy are: 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 either directly or indirectly; and Level 3: Inputs that are unobservable. The fair values of financial assets and financial liabilities that are traded in active markets (such as publicly traded derivatives and marketable securities) are based on quoted market prices or dealer price quotations at the close of trading on the reporting date. The Funds use the last traded market price for both financial assets and financial liabilities where the last traded price falls within that day’s bid-ask spread. In circumstances where the last traded price is not within the bid-ask spread, the Manager determines the point within the bid-ask spread that is most representative of fair value based on the specific facts and circumstances. The Funds’ policy is to recognize transfers into and out of the fair value hierarchy levels as of the date of the event or change in circumstances giving rise to the transfer. Fair value measurement of derivatives and securities not quoted in an active market For financial instruments that trade infrequently and have little price transparency, fair value is less objective, and requires varying degrees of judgment depending on liquidity, uncertainty of market factors, pricing assumptions and other risks affecting the specific instrument.

191 Connor, Clark & Lunn Funds Inc. Alternative Mutual Funds Notes to Financial Statements December 31, 2020 and 2019

The Funds use widely recognized valuation models for determining the fair value of financial instruments such as future, option, forward and swap contracts that use only observable market data and require little management judgment and estimation. Observable prices and model inputs are usually available in the market for listed debt and equity securities, and exchange-traded derivatives, such as futures and options, and OTC derivatives such as forward contracts and swaps. The availability of observable market prices and model inputs reduces the need for management judgment and estimation and reduces the uncertainty associated with the determination of fair values. If inputs of different levels are used to measure an asset’s or liability’s fair value, the classification within the hierarchy is based on the lowest level input that is significant to the fair value measurement. Classification of investments under the Fair Value Hierarchy Equity positions (including income trusts, exchange-traded funds and limited partnerships) are classified as Level 1 when the security is actively traded and a reliable price is observable. If equities do not trade frequently and observable prices are not available, fair value is determined using observable market data (e.g. transactions for similar securities of the same issuer) and the fair value is classified as Level 2, unless the determination of fair value requires significant unobservable data, in which case the measurement is classified as Level 3. Bonds and mortgage backed securities include primarily government and corporate bonds and mortgage backed securities, which are valued using models with inputs including interest rate curves, credit spreads and volatilities. The inputs that are significant to valuation are generally observable and therefore the Fund’s investments in bonds and mortgage backed securities have been generally classified as Level 2. Short-term investments are classified as Level 2, since they are stated at amortized cost, which approximates fair value. Pooled fund units (if any) held as investments are classified as Level 2 as their fair value is derived from the respective fund’s Net Asset Value. Derivative assets and liabilities consist of foreign currency forward contracts, forward rate agreements and swap contracts, which are valued based primarily on the contract notional amount, the difference between the contract rate and the forward market rate for the same currency, interest rates and credit spreads. Contracts for which counterparty credit spreads are observable and reliable, or for which the credit-related inputs are determined not to be significant to fair value are classified as Level 2. Futures and CDX contracts are classified as Level 1, as a quoted price is used based on observable market information. Warrants are classified as Level 1, unless observable prices are not available. In such cases, fair value is determined using observable market data and the fair value is classified as Level 2.

6 Redeemable units of the Funds

Each Fund have three series of redeemable units offered to the public by way of prospectus: Series A, Series F and Series I units. The Funds have authorized an unlimited number of series of units and may issue an unlimited number of units of each series. All issued units are fully paid and have been recorded in the official listing of unitholders maintained by the Funds’ trustee RBC Investor Services Trust. The Funds’ units are sold, and are redeemable at the holder’s option, in accordance with the provisions of the declaration of trust at the prevailing net asset value per unit. The Funds have no restrictions or specific capital requirements on the subscription and redemption of units. The relevant movements are shown on the Statements of Changes in Net Assets Attributable to Holders of Redeemable Units. However, switches between series within each Fund are excluded from Proceeds from redeemable units issued

192 Connor, Clark & Lunn Funds Inc. Alternative Mutual Funds Notes to Financial Statements December 31, 2020 and 2019 and Redemption of redeemable units in the Statements of Cash Flows. In accordance with the objectives and risk management policies outlined in Note 10, the Funds endeavour to invest subscriptions received in appropriate investments while maintaining sufficient liquidity to meet redemptions. Liquidity is supported by the disposal of marketable securities when necessary. 7 Taxation of the Funds

The Funds may have unused capital losses which may be carried forward indefinitely to reduce future net realized capital gains, and unused non-capital losses which may be applied against the future investment income, available for tax purposes, as detailed in the fund specific notes of each Fund. Certain dividend, interest and security lending income received by the Funds is subject to withholding tax imposed in the country of origin. Such income and gains are recorded on a gross basis and the related withholding taxes are shown separately in the Statements of Comprehensive Income. As at December 31, 2020 and 2019, the Funds have considered uncertain tax liabilities and related interest and penalties with respect to foreign capital gains taxes and determined that no amount need be accrued in respect of such amounts. While this represents the Manager’s best estimate, the estimated value could differ significantly from the amount ultimately payable.

8 Related party transactions and other expenses

Management fees Management fees may be charged by the Manager as detailed in the fund specific notes either to the Funds or directly to the unitholders. The Manager is responsible for managing the investment portfolio, providing investment analysis and recommendations, making investment decisions, making brokerage arrangements relating to the purchase and sale of the investment portfolio and making arrangements with registered dealers for the purchase and sale of units of the Funds by investors.

Performance fees Performance fees may be charged by the Manager as detailed in the fund specific notes if applicable, either to the Fund or directly to the unitholders.

Independent Review Committee fees

In accordance with National Instrument 81-107, the Funds have in place an Independent Review Committee (IRC). The IRC acts for all of the applicable CC&L funds. The Funds pay a share of expenses of the IRC, as the IRC provides oversight for conflict of interest matters for the Funds. The cost of the IRC is shared amongst the funds for which the IRC provides governance.

Other expenses

The Funds are responsible for audit fees, custodial fees, securityholder reporting fees and other expenses incurred directly for the operations of the Funds.

193 Connor, Clark & Lunn Funds Inc. Alternative Mutual Funds Notes to Financial Statements December 31, 2020 and 2019

Investments in related parties

The Funds may have investment transactions related to activities of investor funds, which are managed by the Manager or entities related to the Manager through common ownership.

9 Brokerage commissions and soft dollars

The Manager may select brokers who charge commission in “soft dollars” if they determine in good faith that the commission is reasonable in relation to the order execution and research services utilized. Soft dollars represent a means of paying for products or services provided by brokerage firms (e.g., research reports) in exchange for direction transactions (e.g., trade execution) to the brokerage. Funds’ managers may use soft dollars allocated by brokerages to pay for a portion of the total commissions owed to the brokerage.

10 Financial risk management

The Funds may be exposed to a variety of financial risks which are described below. The Funds’ exposure to these risks is concentrated in its investment holdings including derivative instruments where applicable. In determining the risks that apply, and the extent to which they apply, reference should be made to the Schedule of Investment Portfolio and supporting schedules that group securities (as applicable) by asset class, market segment and geographic region (when securities are held in multiple currencies). The Manager aims to manage the potential effects of these financial risks on the Funds’ performance by employing and overseeing professional and experienced portfolio managers that regularly monitor the Funds’ holdings, market events and overall economic conditions. The portfolio managers use a variety of means to monitor the Funds including the measurement of specific financial and economic variables pertinent to the Funds. The Funds’ risk management program is based on monitoring compliance against investment guidelines contained in the Statement of Investment Policy (“SIP”). The SIP is an internal document that outlines how the Funds are managed. The SIP states the investment objective of each Fund and the investment guidelines. The guidelines include permitted investments, acceptable levels of diversification and the permitted uses of derivatives. Securities are selected with the intent of maximizing returns within the risk parameters defined in the SIP. On a daily basis, these guidelines and other restrictions are monitored against the positions in the Funds using an electronic compliance system to confirm there are no violations and to ensure market movements do not leave the Funds’ portfolio holdings outside specified ranges. Corrective action is taken when necessary and any guideline violations are reported to the Manager. The Funds may be exposed indirectly to the below risks through investments in ETFs and underlying funds. The global pandemic related to an outbreak of COVID-19 has 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. Refer to the fund specific notes for specific risk disclosures.

194 Connor, Clark & Lunn Funds Inc. Alternative Mutual Funds Notes to Financial Statements December 31, 2020 and 2019

Currency risk Currency risk is the risk that the value of monetary assets and liabilities denominated in currencies other than the Canadian dollar (the functional and presentational currency of the Funds) will fluctuate due to changes in foreign exchange rates. The Schedule of Investment Portfolio and supporting schedules identify all investments and derivative instruments denominated in foreign currencies. Bonds and short-term investments issued in foreign countries are exposed to that country’s currency unless otherwise noted. Bonds, short-term investments and derivatives denominated in foreign currencies are exposed to currency risk as prices are converted to the Funds’ functional currency in determining fair value. Foreign equities are not exposed to currency risk since they are considered non- monetary investments. Changes in the market value of these securities due to fluctuations in exchange rates are considered a component of other price risk (see below). The portfolio manager may utilize hedging strategies at their discretion to minimize exposure to currency risk.

Interest rate risk Interest rate risk is the risk that the fair value of the Funds’ interest-bearing investments will fluctuate due to changes in prevailing interest rates. The longer the term to maturity, all else being equal, the more sensitive a security is to interest rate risk. The Funds’ exposure to interest rate risk is concentrated in its investment in debt securities (such as bonds and short-term investments) and interest rate derivative instruments (if any). Other assets and liabilities are short-term in nature and non-interest bearing. The Funds may also hold a limited amount of floating rate debt, cash and short-term investments that expose the Funds to cash flow interest rate risk. The Funds have direct exposure to interest rate changes on the valuation and cash flows of its interest bearing assets and liabilities. However, it may also be indirectly affected by the impact of interest rate changes on the earnings of certain companies in which the Funds invest. Therefore the sensitivity analysis may not fully indicate the total effect on the Funds' net assets to holders of redeemable shares of redeemable units of future movements in interest rates. The portfolio manager targets the Funds’ duration to be within a specified tolerance of the benchmark or as otherwise specified in the SIP in order to minimize exposure to interest rate risk.

Other price risk Other price risk is the risk that the fair value of financial instruments will fluctuate as a result of changes in market prices (other than those arising from currency risk or interest rate risk), whether those changes are caused by factors specific to the individual financial instrument or its issuer, or factors affecting all similar financial instruments traded in a market. Other assets and liabilities are monetary items that are short-term in nature and not subject to other price risk. The portfolio manager adheres to specified investment constraints in relation to asset class and diversification, thus minimizing exposure to other price risk.

Credit risk Credit risk is the risk that a loss could arise when a security issuer or counterparty to a financial instrument is unable to meet its financial obligations. To maximize the credit quality of its investments, the Fund’s portfolio manager performs ongoing credit evaluations of debt issuers. The fair value of debt securities includes consideration of the credit worthiness of the debt issuer. Credit risk can also arise with counterparties on forward contracts and swaps. Credit risk exposure for over-the-counter derivative instruments is based on the Funds’ unrealized gain of the contractual obligations with the counterparty as at the reporting date. The credit exposure of other assets is represented by their carrying amount.

195 Connor, Clark & Lunn Funds Inc. Alternative Mutual Funds Notes to Financial Statements December 31, 2020 and 2019

The Funds 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. At December 31, 2020, all other receivables, amounts due from brokers, cash and short-term deposits are held with counterparties with a credit ratings ranging from AAA to not rated (2019 – AAA to AA). Credit risk related to unsettled transactions is considered small due to the short settlement period involved. Management considers the probability of default to be close to zero as the counterparties have a strong capacity to meet their contractual obligations in the near term. Credit ratings are determined from a composite of bond rating services such as Standard & Poor’s, Moody’s and Dominion Bond Rating Services and are subject to change without notice. The Funds can also be exposed to credit risk to the extent that the Funds’ custodian may not be able to settle trades for cash. RBC Investor & Treasury Services, which is the custodian for the Funds, is approved by Canadian Securities Administrator to act as custodian.

Liquidity risk Liquidity risk is the risk that the Funds may not be able to settle or meet its obligations on time or at a reasonable price. The Funds’ exposure to liquidity risk is concentrated in the daily cash redemptions of redeemable units, which are due on demand. The liquidity of some securities held by the Funds, which may need to be disposed of in order to meet immediate or short-term obligations, are susceptible to rapid negative movements in credit markets; in particular non-government issued fixed income securities found on the Schedule of Investments Portfolio. Like all fixed income securities, the market value of these securities is based on a credit risk premium or ‘spread’. The greater the credit risk associated with a security, the greater the spread demanded by holders. There is a negative correlation between the size of the spread and the value or price of the underlying security. The Funds may also be exposed to liquidity risk through its investments in underlying funds. The underlying funds invest in the majority of their investments that are traded in an active market and can be readily disposed of to maintain liquidity. The Funds retain sufficient cash, short-term investments and marketable securities that can be readily disposed of to maintain liquidity. Liquidity risk is considered negligible. The Funds’ financial liabilities are all short-term in nature and are expected to mature within three months of the December 31, 2020 financial statement date, with the exception of redeemable units, which are due on demand, bonds held short and certain derivatives. All of the Fund’s financial liabilities as at December 31, 2019 matured within three months of the financial statement date.

Concentration risk Concentration risk arises as a result of the concentration of exposures within the same category, whether it is geographic region, asset type or sector. The portfolio manager adheres to specified investment constraints in relation to asset class and diversification, thus minimizing exposure to concentration risk. The Schedule of Investment Portfolio provides detailed information on the Funds’ concentration risk exposure as at December 31, 2020 and 2019.

196 Connor, Clark & Lunn Funds Inc. Alternative Mutual Funds Notes to Financial Statements December 31, 2020 and 2019

Capital risk management Redeemable units issued and outstanding are considered to be capital of the Funds. The Funds are not subject to any internally or externally imposed restrictions on their capital. Each unit is redeemable at the option of the unitholder in accordance with the Declaration of Trust and entitles the unitholder to a pro rata share of the Funds’ NAV. Unitholders are entitled to distributions when declared. Distributions on units of the Funds are reinvested in additional units of the Fund or at the option of the unitholder, paid in cash.

11 Investments in structured entities

The Funds have determined that all of the underlying pooled funds in which they invest are unconsolidated structured entities. The exposure to investments in underlying funds is disclosed in the Fund Specific Information. The Funds have determined that all of the mortgage-related and other asset-backed securities in which they invest are unconsolidated structured entities. These securities include mortgage pass-through securities, collateralized mortgage obligations, commercial mortgage-backed securities, asset-backed securities, collateralized debt obligations and other securities that directly or indirectly represent a participation in, or are secured by and payable from, mortgage loans on real property. The debt and equity securities issued by these securities may include tranches with varying levels of subordination. These securities may provide a monthly payment which consists of both interest and principal payments. Mortgage-related securities are created from pools of residential or commercial mortgage loans, including mortgage loans made by savings and loan institutions, mortgage bankers, commercial banks and others. Asset-backed securities are created from many types of assets, including auto loans, credit card receivables, home equity loans, and student loans. The Funds have determined that all of the exchange-traded funds in which they invest are unconsolidated structured entities. The Funds may invest in exchange traded funds which provide access to the returns of stock indices, bond indices, or a basket of assets and are intended to replicate the economic effects that would apply had the Funds directly purchased the underlying reference asset or basket of assets. An investment in an exchange traded fund is subject to all of the risks of investing in the securities held by the exchange traded fund. The exposure to underlying pooled funds at fair value is disclosed in the Fund Specific information. The Funds’ maximum loss from these investments is equal to the total carrying value of the investments. The exposure to mortgage-backed securities and asset-backed securities are disclosed in the Schedule of Investment Portfolio, as applicable, which represents the maximum exposure to losses at that date. The Funds account for these unconsolidated structured entities at fair value. The fair value of such securities, as disclosed in the Schedule of Investment Portfolio, as applicable, represents the maximum exposure to losses at that date. During the years ended December 31, 2020 and 2019, the Funds did not provide financial support to unconsolidated structured entities and has no intention of providing financial or other support.

197 Connor, Clark & Lunn Funds Inc. Alternative Mutual Funds Notes to Financial Statements December 31, 2020 and 2019

12 Securities lending

The Funds may enter into a securities lending program with its custodian, RBC Investor & Treasury Services, in order to earn additional income. The aggregate market value of all securities loaned by each Fund will not exceed 50% of the fair value of the assets of the Fund. The Funds will receive collateral of at least 105% of the fair value of the securities on loan. Collateral consists primarily of fixed income securities. Securities lending income reported in the Statements of Comprehensive Income is net of a securities lending charges which the Funds’ custodian is entitled to receive.

13 Leverage and borrowing

Leverage occurs when a Fund borrows money or securities, or uses derivatives, to generate investment exposure that is greater than the amount invested. Each 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 investment purposes; and (iii) the notional value of the Fund’s specified derivatives positions excluding any specified derivatives used for hedging purposes. Each Fund’s exposure to leverage must not exceed 300% of the Fund’s NAV. If a Fund is permitted to use leverage and engages in short selling (as stated in the Fund’s SIP), the Manager will appoint one or more prime brokers as custodians. Accordingly, some or all of the Fund’s net assets attributable to holders of redeemable units may be held in accounts with prime brokers. A prime broker account may provide less segregation of these assets than would be the case with a more conventional custody arrangement. Further, a prime broker may also lend, pledge or hypothecate these assets, which may result in a potential loss of such assets. As a result, these assets could be frozen and inaccessible for withdrawal or subsequent trading for an extended period of time if a prime broker experiences financial difficulty. In such case, the Fund may experience losses due to insufficient assets at a prime broker to satisfy the claims of its creditors and adverse market movements while its positions cannot be traded.

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