Semi-Annual Financial Statements - June 30, 2019

JFT Strategies Fund Table of Contents

JFT Strategies Fund Financial Statements STATEMENTS OF FINANCIAL POSITION ...... 1 STATEMENTS OF COMPREHENSIVE INCOME ...... 2 STATEMENTS OF CHANGES IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE SECURITIES ...... 4 STATEMENTS OF CASH FLOWS ...... 7 SCHEDULE OF INVESTMENT PORTFOLIO...... 8 FUND SPECIFIC NOTES TO FINANCIAL STATEMENTS ...... 15

NOTES TO FINANCIAL STATEMENTS ...... 19

NOTICE TO READER: CI Investments Inc., the Manager of the Fund, appoints independent auditors to audit the Fund’s Annual Financial Statements. Under Canadian securities laws (National Instrument 81-106), if an auditor has not reviewed the Semi-Annual Financial Statements, this must be disclosed in an accompanying notice.

Semi-Annual Financial Statements - June 30, 2019 JFT Strategies Fund

STATEMENTS OF FINANCIAL POSITION (Unaudited) As at

Jun. 30, 2019 Dec. 31, 2018 $ $

ASSETS Current assets Investments, at fair value (note 2) 166,668,597 153,067,644 Cash and cash equivalents 31,597,364 36,834,085 Cash on deposit with broker as collateral 29,969,697 86,138,090 Due from broker 526,308 829,877 Unrealized gain on futures and forward foreign currency contracts - - Swaps and options - - Subscriptions receivable - - Dividends receivable 140,572 130,304 Interest receivable 671,616 954,914 229,574,154 277,954,914

LIABILITIES Current liabilities Investments sold short 38,978,801 47,454,441 Bank overdraft - - Due to broker 6,726,032 9,661,604 Unrealized loss on futures and forward foreign currency contracts - - Swaps and options - - Dividends payable on investments sold short 69,270 97,277 Distributions payable to holders of redeemable securities (note 8) - - Management fee payable 72,850 90,490 Redemptions payable - - Performance fee payable 985,290 261,925 Accounts payable and accrued liabilities 539,199 500,691 47,371,442 58,066,428 Net assets attributable to holders of redeemable securities 182,202,712 219,888,486

Net assets attributable to holders of redeemable securities per class Class A 93,404,717 116,122,504 Class F 83,146,343 98,335,623 Private Placement Class 5,651,652 5,430,359

Net assets attributable to holders of redeemable securities per security Class A 14.73 14.38 Class F 15.47 15.08 Private Placement Class 19.82 19.05

See accompanying notes to financial statements.

Semi-Annual Financial Statements - June 30, 2019 – 1 – 580640067 JFT Strategies Fund

STATEMENTS OF COMPREHENSIVE INCOME (Unaudited) Periods ended June 30 (in $ except for number of securities)

2019 2018 $ $

INCOME Net gains (losses) on investments and derivatives Dividends 638,930 1,212,307 Interest for distribution purposes 2,006,707 1,170,534 Change in unrealized appreciation (depreciation) in value of investments and derivatives (535,104) (5,935,193) Net realized gain (loss) on sale of investments and derivatives 8,617,779 6,490,078 Net gains (losses) on investments and derivatives (1) 10,728,312 2,937,726 Other income Securities lending revenue (2) - - Foreign exchange gain (loss) on cash (987,945) 1,411,707 Other income - - Total other income (987,945) 1,411,707 Total income 9,740,367 4,349,433

EXPENSES Custodian and fund valuation fees 7,293 4,237 Securityholder reporting costs 40,536 56,168 Performance fees (note 7) 1,023,768 143,048 Management fee (notes 7 and 11) (1) 1,366,358 1,622,068 Dealer service fee (notes 7 and 11) (1) 242,211 312,958 Transaction costs (note 7) (3) 1,531,181 1,004,541 Withholding taxes (note 9) 4,124 14,351 Harmonized Sales Tax 338,708 267,719 Audit fees 30,250 11,500 Legal fees - 10,294 Interest expense - - Independent Review Committee fees (note 11) 3,282 3,553 Dividends paid on investments sold short 828,910 944,464 Other expenses - - Total expenses 5,416,621 4,394,901 Increase (decrease) in net assets attributable to holders of redeemable securities from operations (excluding distributions) 4,323,746 (45,468)

Increase (decrease) in net assets attributable to holders of redeemable securities from operations (excluding distributions) per class Class A 2,066,967 (116,464) Class F 2,035,486 17,171 Private Placement Class 221,293 53,825

Increase (decrease) in net assets attributable to holders of redeemable securities from operations (excluding distributions) per security (note 2) Class A 0.31 (0.01) Class F 0.37 - Private Placement Class 0.78 0.20

Weighted average number of securities Class A 6,642,323 8,796,170 Class F 5,572,134 6,126,211 Private Placement Class 285,093 272,839

See accompanying notes to financial statements.

Semi-Annual Financial Statements - June 30, 2019 – 2 – JFT Strategies Fund

STATEMENTS OF COMPREHENSIVE INCOME (Unaudited) (cont’d) Periods ended June 30

(1) Management and dealer service fee rates (notes 7 and 11) % Management fee Class A 1.50 Class F 1.50 Private Placement Class - Dealer service fee Class A 0.50 Class F - Private Placement Class -

(2) Securities lending (note 2) 2019 2018 $ $ Value of securities loaned - - Value of collateral received - -

Gross amount generated from the securities lending transactions - - Charges - - Net securities lending revenue as reported in the Statements of Comprehensive Income - -

(3) Commissions (note 7) 2019 2018 $ $ Brokerage commissions 405,459 377,871 Soft dollar commissions - -

See accompanying notes to financial statements.

Semi-Annual Financial Statements - June 30, 2019 – 3 – JFT Strategies Fund

STATEMENTS OF CHANGES IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE SECURITIES (Unaudited) Periods ended June 30

2019 2018 $ $

Class A Net assets attributable to holders of redeemable securities, beginning of period 116,122,504 137,854,414 Increase (decrease) in net assets attributable to holders of redeemable securities from operations (excluding distributions) 2,066,967 (116,464)

Distributions to holders of redeemable securities (note 8) (1) From net investment income - - From capital gains - - Return of capital - - - -

Redeemable securities transactions (note 6) (1) Issuance of securities - - Distributions reinvested - - Agents’ fees and expenses of issue - - Redemption of securities (25,830,964) (11,672,654) Securities converted from Class F to Class A 4,920,897 3,766,789 Securities converted from Class A to Class F (3,874,687) (9,435,407) (24,784,754) (17,341,272) Net increase (decrease) in net assets attributable to holders of redeemable securities (22,717,787) (17,457,736) Net assets attributable to holders of redeemable securities, end of period 93,404,717 120,396,678

Class F Net assets attributable to holders of redeemable securities, beginning of period 98,335,623 93,889,823 Increase (decrease) in net assets attributable to holders of redeemable securities from operations (excluding distributions) 2,035,486 17,171

Distributions to holders of redeemable securities (note 8) (1) From net investment income - - From capital gains - - Return of capital - - - -

Redeemable securities transactions (note 6) (1) Issuance of securities - - Distributions reinvested - - Agents’ fees and expenses of issue - - Redemption of securities (16,178,556) (5,984,685) Securities converted from Class F to Class A (4,920,897) (3,766,789) Securities converted from Class A to Class F 3,874,687 9,435,407 (17,224,766) (316,067) Net increase (decrease) in net assets attributable to holders of redeemable securities (15,189,280) (298,896) Net assets attributable to holders of redeemable securities, end of period 83,146,343 93,590,927

See accompanying notes to financial statements.

Semi-Annual Financial Statements - June 30, 2019 – 4 – JFT Strategies Fund

STATEMENTS OF CHANGES IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE SECURITIES (Unaudited) (cont’d) Periods ended June 30

2019 2018 $ $

Private Placement Class Net assets attributable to holders of redeemable securities, beginning of period 5,430,359 4,595,921 Increase (decrease) in net assets attributable to holders of redeemable securities from operations (excluding distributions) 221,293 53,825

Distributions to holders of redeemable securities (note 8) (1) From net investment income - - From capital gains - - Return of capital - - - -

Redeemable securities transactions (note 6) (1) Issuance of securities - 699,982 Distributions reinvested - - Agents’ fees and expenses of issue - - Redemption of securities - - Securities converted from Class F to Class A - - Securities converted from Class A to Class F - - - 699,982 Net increase (decrease) in net assets attributable to holders of redeemable securities 221,293 753,807 Net assets attributable to holders of redeemable securities, end of period 5,651,652 5,349,728

The Fund Net assets attributable to holders of redeemable securities, beginning of period 219,888,486 236,340,158 Increase (decrease) in net assets attributable to holders of redeemable securities from operations (excluding distributions) 4,323,746 (45,468)

Distributions to holders of redeemable securities (note 8) (1) From net investment income - - From capital gains - - Return of capital - - - -

Redeemable securities transactions (note 6) (1) Issuance of securities - 699,982 Distributions reinvested - - Agents’ fees and expenses of issue - - Redemption of securities (42,009,520) (17,657,339) Securities converted from Class F to Class A - - Securities converted from Class A to Class F - - (42,009,520) (16,957,357) Net increase (decrease) in net assets attributable to holders of redeemable securities (37,685,774) (17,002,825) Net assets attributable to holders of redeemable securities, end of period 182,202,712 219,337,333

See accompanying notes to financial statements.

Semi-Annual Financial Statements - June 30, 2019 – 5 – JFT Strategies Fund

STATEMENTS OF CHANGES IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE SECURITIES (Unaudited) (cont’d) Periods ended June 30

(1) Redeemable securities issued and outstanding 2019 2018 # # Class A Securities outstanding, beginning of period 8,075,346 9,617,447 Issuance of securities - - Distributions satisfied through issuance of securities - - Consolidation of securities - - Redemption of securities (1,807,548) (817,902) Securities converted from Class F to Class A 333,912 262,731 Securities converted from Class A to Class F (261,930) (658,505) Securities outstanding, end of period 6,339,780 8,403,771

Class F Securities outstanding, beginning of period 6,521,148 6,292,242 Issuance of securities - - Distributions satisfied through issuance of securities - - Consolidation of securities - - Redemption of securities (1,078,943) (429,506) Securities converted from Class F to Class A (318,228) (251,499) Securities converted from Class A to Class F 249,601 629,933 Securities outstanding, end of period 5,373,578 6,241,170

Private Placement Class Securities outstanding, beginning of period 285,093 247,500 Issuance of securities - 37,593 Distributions satisfied through issuance of securities - - Consolidation of securities - - Redemption of securities - - Securities converted from Class F to Class A - - Securities converted from Class A to Class F - - Securities outstanding, end of period 285,093 285,093

See accompanying notes to financial statements.

Semi-Annual Financial Statements - June 30, 2019 – 6 – JFT Strategies Fund

STATEMENTS OF CASH FLOWS (Unaudited) Periods ended June 30

2019 2018 $ $

OPERATING ACTIVITIES Increase (decrease) in net assets attributable to holders of redeemable securities from operations (excluding distributions) 4,323,746 (45,468) Adjustments to reconcile cash flows from (used in) operating activities Proceeds from sale of investments 239,627,994 216,672,784 Purchases of investments (253,621,912) (228,289,806) Change in due to/from broker (2,632,003) 1,612,975 Change in other assets and liabilities 989,256 40,492 Unrealized foreign exchange (gain) loss on cash 1,066,156 (694,133) Change in unrealized (appreciation) depreciation in value of investments and derivatives 535,104 5,935,193 Net realized (gain) loss on sale of investments and derivatives (8,617,779) (6,490,078) Change in cash on deposit with broker as collateral 56,168,393 (22,220,836) Cash flows from (used in) operating activities 37,838,955 (33,478,877)

FINANCING ACTIVITIES Subscriptions received - 699,982 Distributions to securityholders - - Redemption of securities (42,009,520) (17,830,416) Cash flows from (used in) financing activities (42,009,520) (17,130,434)

Unrealized foreign exchange gain (loss) on cash (1,066,156) 694,133 Net increase (decrease) in cash and cash equivalents during the period (4,170,565) (50,609,311) Cash and cash equivalents (bank overdraft), beginning of period 36,834,085 87,025,747 Cash and cash equivalents (bank overdraft), end of period 31,597,364 37,110,569

Supplementary Information: Dividends received, net of withholding tax 624,538 1,099,239 Interest received, net of withholding tax 2,290,005 1,148,581 Dividends paid (856,917) (941,249) Interest paid - -

See accompanying notes to financial statements.

Semi-Annual Financial Statements - June 30, 2019 – 7 – JFT Strategies Fund

SCHEDULE OF INVESTMENT PORTFOLIO (Unaudited) As at June 30, 2019

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

LONG POSITIONS EQUITIES Communication Services 183,600 AcuityAds Holdings Inc. 284,580 290,088 USD 696 Alphabet Inc., Class ‘A’ 1,108,792 986,915 38,900 BCE Inc., Preferred, Series ‘AK’, Variable Rate, Perpetual 565,632 528,651 44,200 Cineplex Inc. 1,118,179 1,016,158 USD 27,400 Points International Ltd. 524,990 443,139 10,400 Stingray Group Inc. 63,703 65,624 17,900 TeraGo Inc. 188,760 196,900 USD 3,300 Walt Disney Co. (The) 602,804 603,456 4,457,440 4,130,931 2.27% Consumer Discretionary 12,900 A&W Revenue Royalties Income Fund 478,738 562,827 21,400 BRP Inc. 866,088 1,001,520 26,500 Goose Holdings Inc. 1,256,737 1,343,285 USD 49,800 Carrols Restaurant Group Inc. 682,631 588,897 USD 10,323 Century Communities Inc. 226,383 359,321 USD 15,100 Del Taco Restaurants Inc. 222,761 253,505 984,556 Diversified Royalty Corp. 2,682,179 3,032,433 USD 10,120 Papa John’s International Inc. 636,441 592,658 14,000 Pizza Pizza Royalty Corp. 127,765 139,860 USD 4,900 RCI Hospitality Holdings Inc. 182,268 112,358 14,400 Restaurant Brands International Inc. 1,284,535 1,311,408 8,646,526 9,298,072 5.10% Consumer Staples 14,000 Empire Co. Ltd., Class ‘A’ 440,016 461,720 8,000 George Weston Ltd. 804,989 794,960 5,100 George Weston Ltd., 5.20%, Preferred, Series ‘IV’, Perpetual 119,378 122,145 615,846 Ionic Brands Corp., Warrants, 2019/09/16, Restricted - 1 646,825 Mimi’s Rock Corp. 436,496 679,166 1,800,879 2,057,992 1.13% Energy USD 44,080 Enbridge Inc., Preferred, Series ‘1’, Variable Rate, Perpetual 1,509,130 1,166,044 USD 26,600 Enbridge Inc., Preferred, Series ‘L’, Variable Rate, Perpetual 699,265 632,586 25,600 Kinder Morgan Canada Ltd., Preferred, Series ‘1’, Variable Rate, Perpetual 640,000 588,544 20,900 Parex Resources Inc. 459,026 439,109 18,600 Parkland Fuel Corp. 769,857 772,830 197,800 Questor Technology Inc. 786,350 968,231 4,863,628 4,567,344 2.51% Financials 10,600 Accord Financial Corp. 106,091 104,940 10,700 Brookfield Asset Management Inc., Class ‘A’ 562,831 670,355 8,900 Brookfield Asset Management Inc., Preferred, Class ‘A’, Series ‘26’, Variable Rate, Perpetual 147,131 134,301 13,200 Canaccord Genuity Group Inc. 66,669 79,200 16,300 CI Financial Corp. 344,678 347,842 9,500 ECN Capital Corp., Preferred, Series ‘A’, Variable Rate, Perpetual 224,873 202,065 527,900 Ether Capital Corp. 256,454 322,019 USD 1,160,900 Mercer Park Brand Acquisition Corp., Class ‘A’ 15,682,622 15,050,540 USD 511,800 Mercer Park Brand Acquisition Corp., Class ‘A’, Warrants, 2027/05/13 - 938,319 17,900 Power Corp. of Canada, 5.00%, Preferred, Series ‘D’, Perpetual 394,156 396,843 5,200 Trisura Group Ltd. 140,131 155,948 17,925,636 18,402,372 10.10%

See accompanying notes to financial statements.

Semi-Annual Financial Statements - June 30, 2019 – 8 – JFT Strategies Fund

SCHEDULE OF INVESTMENT PORTFOLIO (Unaudited) (cont’d) As at June 30, 2019

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

LONG POSITIONS (cont’d) EQUITIES (cont’d) Health Care 277,000 Ayr Strategies Inc. 2,893,233 5,263,001 375,300 Ayr Strategies Inc., Warrants, 2025/12/21 1,492,015 2,615,841 51,712 Britannia Bud Canada Holdings Inc., Subscription Receipts 69,811 69,811 215,706 Extendicare Inc. 1,642,795 1,809,773 187,493 IMV Inc. 1,136,494 714,348 10,022,600 Kalytera Therapeutics Inc. 501,130 501,130 11,563,600 Kalytera Therapeutics Inc., Warrants, 2022/04/26 - 173,454 60,941 Medexus Pharmaceuticals Inc. 310,799 280,329 91,470 Medexus Pharmaceuticals Inc., Restricted, Warrants, 2023/10/16 - - 662,500 Microbix Biosystems Inc. 154,661 205,375 130,826 OrganiGram Holdings Inc. 1,016,716 1,102,863 1,400,600 Profound Medical Corp. 1,085,653 1,106,474 226,350 Profound Medical Corp., Warrants, 2023/03/20 - - 48,867 Trulieve Cannabis Corp., Warrants, 2022/06/18 - 151,488 446,605 Vireo Health International Inc. 1,565,997 1,505,059 11,869,304 15,498,946 8.50% Industrials 8,900 Badger Daylighting Ltd. 259,572 425,242 1,491,700 Canaccord Genuity Growth II Corp., Class ‘A’ 4,547,127 4,683,938 26,716 Cervus Equipment Corp. 348,352 324,332 107,988 Chorus Aviation Inc. 770,339 833,667 174,900 IBI Group Inc. 793,857 874,500 USD 16,800 Knight-Swift Transportation Holdings Inc. 598,792 722,494 233,100 Xebec Adsorption Inc 326,340 365,967 7,644,379 8,230,140 4.52% Information Technology 64,927 Alithya Group Inc., Class ‘A’ 368,201 230,491 802,800 Converge Technology Partners Inc., Warrants, 2020/02/15 - 200,700 42,400 Converge Technology Solutions Corp. 25,440 36,040 USD 65 Everledger Ltd. 365,342 - 78,500 goNumerical Ltd. 1,218,320 243,350 253,900 HashChain Technology Inc., Restricted, Warrants, 2020/01/10 - - 5,573,400 MediaValet Inc. 334,404 195,069 222,199 Nubeva Technologies Ltd. 172,204 44,440 10,200 Open Text Corp. 452,028 551,208 40,620 Vecima Networks Inc. 379,297 365,580 131,900 VersaPay Corp. 197,754 197,850 USD 4,390 Visa Inc., Class ‘A’ 730,803 997,726 418,400 Vitalhub Corp. 73,967 67,990 4,317,760 3,130,444 1.72% Materials 860,900 Burcon NutraScience Corp. 511,599 611,239 1,332,100 Fortune Minerals Ltd., Warrants, 2019/12/08 - 1 511,599 611,240 0.33% Real Estate 69,800 Brookfield Office Properties Inc., 6.15%, Preferred, Class ‘AAA’, Series ‘N’, Perpetual 1,184,276 1,079,806 5,100 Brookfield Office Properties Inc., Preferred, Class ‘AAA’, Series ‘AA’, Variable Rate, Perpetual 96,173 84,915 47,900 Brookfield Office Properties Inc., Preferred, Class ‘AAA’, Series ‘R’, Variable Rate, Perpetual 896,832 802,325

See accompanying notes to financial statements.

Semi-Annual Financial Statements - June 30, 2019 – 9 – JFT Strategies Fund

SCHEDULE OF INVESTMENT PORTFOLIO (Unaudited) (cont’d) As at June 30, 2019

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

LONG POSITIONS (cont’d) EQUITIES (cont’d) Real Estate (cont’d) 5,100 Brookfield Office Properties Inc., Preferred, Class ‘CC’, Variable Rate, Perpetual 129,884 132,804 9,100 Brookfield Office Properties Inc., Preferred, Series ‘P’, Variable Rate, Perpetual 139,608 142,415 37,200 Cominar REIT 434,706 465,372 24,800 Dream Office REIT 577,367 586,272 255,530 Innovative Properties Inc., Restricted, Warrants, 2022/03/26 - - 88,633 Inovalis REIT 816,868 885,444 595,144 Nexus REIT 1,071,482 1,178,385 82,600 Slate Office REIT 485,464 484,862 USD 48,660 WPT Industrial REIT 753,494 844,326 6,586,154 6,686,926 3.67% Utilities 372,500 Blockchain Power Trust, Restricted, Warrants, 2020/01/08 - - 7,300 Innergex Renewable Energy Inc., Preferred, Series’, Variable Rate, Perpetual 96,514 102,310 33,683 Northland Power Inc. 778,740 858,917 80,600 Superior Plus Corp. 972,977 1,076,816 1,848,231 2,038,043 1.12% Total Equities 70,471,536 74,652,450 40.97%

BONDS Canada 342,300 AutoCanada Inc., 5.63%, May 25, 2021 342,300 326,683 699,000 Fiera Capital Corp, 5.60%, July 31, 2024 699,000 699,000 230,000 Innovative Properties Inc., Restricted, 8.00%, March 26, 2022 230,000 230,000 462,000 Ionic Brands Corp., Restricted, 8.00%, May 16, 2022 462,000 462,000 345,700 Parkland Fuel Corp., 5.50%, May 28, 2021 345,700 350,886 USD 2,327,000 Trulieve Cannabis Corp., 9.75%, June 18, 2024 3,040,651 2,955,903 5,119,651 5,024,472 2.76% Government of Canada & Guaranteed 9,323,000 Government of Canada, 0.75%, March 1, 2021 9,379,792 9,205,474 9,057,100 Government of Canada, 1.25%, February 1, 2020 8,969,246 9,032,687 13,657,900 Government of Canada, 1.25%, November 1, 2019 13,598,607 13,636,765 24,407,600 Government of Canada, 1.75%, May 1, 2020 24,347,801 24,416,570 56,295,446 56,291,496 30.92% Provincial Government & Guaranteed 7,000,000 Province of Ontario, 2.30%, September 8, 2024 7,058,380 7,153,060 7,058,380 7,153,060 3.90% Total Bonds 68,473,477 68,469,028 37.58%

CONVERTIBLE DEBENTURES 1,396,000 Alaris Royalty Corp., 5.50%, June 30, 2024 1,345,974 1,340,160 777,300 Alcanna Inc., 4.70%, January 31, 2022 796,568 773,033 269,000 Baylin Technologies Inc., 6.50%, July 10, 2023 269,000 301,632 1,978,000 Canaccord Genuity Group Inc., 6.25%, December 31, 2023 1,997,059 2,016,571 863,000 Chemtrade Logistics Income Fund, 5.00%, August 31, 2023 866,881 772,471 4,637,000 Diversified Royalty Corp., 5.25%, December 31, 2022 4,618,598 4,663,385 USD 188,800 Inc., 5.50%, November 30, 2019 211,217 247,490 562,300 Fiera Capital Corp., 5.00%, June 30, 2023 562,300 583,021 343,000 IBI Group Inc., 5.50%, December 31, 2021 348,657 367,010 USD 46,000 Invesque Inc., 6.00%, September 30, 2023 57,596 50,902 1,869,000 Medexus Pharmaceuticals Inc., Restricted, 6.00%, October 16, 2023 1,869,000 1,850,310 349,000 Mullen Group Ltd., 5.75%, November 30, 2026 349,000 358,772

See accompanying notes to financial statements.

Semi-Annual Financial Statements - June 30, 2019 – 10 – JFT Strategies Fund

SCHEDULE OF INVESTMENT PORTFOLIO (Unaudited) (cont’d) As at June 30, 2019

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

LONG POSITIONS (cont’d) CONVERTIBLE DEBENTURES (cont’d) 93,000 NorthWest Healthcare Properties REIT, 5.25%, December 31, 2021 95,015 96,000 USD 930,000 Pattern Energy Group Inc., 4.00%, July 15, 2020 1,244,477 1,233,039 1,392,000 Stuart Olson Inc., 6.00%, December 31, 2019 1,377,520 1,395,480 USD 5,616,000 Tricon Capital Group Inc., 5.75%, March 31, 2022 7,657,601 7,497,843 Total Convertible Debentures 23,666,463 23,547,119 12.92% Total Long Positions 162,611,476 166,668,597 91.47%

SHORT POSITIONS EQUITIES Communication Services (33,200) DHX Media Ltd. (113,601) (61,752) USD (7,000) IMAX Corp. (192,920) (185,170) (306,521) (246,922) (0.14)% Consumer Discretionary USD (7,900) 1-800-FLOWERS.COM Inc., Class ‘A’ (136,581) (195,322) USD (5,100) Adient PLC (119,704) (162,092) USD (71,700) Ascena Retail Group Inc. (249,726) (57,276) USD (3,300) Dick’s Sporting Goods Inc. (162,165) (149,654) USD (1,500) Dillard’s Inc., Class ‘A’ (136,126) (122,338) (5,100) Inc. (193,760) (234,957) (7,500) Dorel Industries Inc., Class ‘B’ (176,695) (79,575) USD (14,000) Ford Motor Co. (165,863) (187,554) USD (14,900) Fossil Group Inc. (323,640) (224,391) USD (4,600) Gentex Corp. (135,717) (148,249) USD (3,700) Macy’s Inc. (120,059) (103,981) USD (2,100) Mattel Inc. (86,668) (30,828) (1,900) MTY Food Group Inc. (118,227) (124,184) (6,700) Spin Master Corp. (291,337) (253,729) USD (1,300) Starbucks Corp. (110,404) (142,713) USD (470) Tesla Motors Inc. (141,752) (137,537) USD (1,600) Wingstop Inc. (157,582) (198,528) (6,100) Yellow Pages Ltd. (45,727) (43,188) (2,871,733) (2,596,096) (1.42)% Consumer Staples (23,100) High Liner Foods Inc. (170,816) (205,359) USD (2,000) John B. Sanfilippo & Son Inc. (168,605) (208,716) (900) Mav Beauty Brands Inc. (7,239) (5,715) USD (920) McCormick & Co. Inc. (170,413) (186,754) USD (1,400) Post Holdings Inc. (179,094) (190,615) (69,300) SunOpta Inc. (420,759) (298,683) USD (1,400) Walmart Inc. (182,523) (202,569) USD (1,390) WD-40 Co. (303,473) (289,496) (1,602,922) (1,587,907) (0.87)% Energy (163,100) Bonavista Energy Corp. (198,648) (79,919) (21,200) Computer Modelling Group Ltd. (127,186) (154,336) (4,600) Keyera Corp. (145,001) (155,020) (60,200) NexGen Energy Ltd. (123,478) (122,808) (4,600) North American Construction Group Ltd. (71,666) (64,906) (18,500) Secure Energy Services Inc. (143,485) (132,090) (7,000) ShawCor Ltd. (153,082) (128,240)

See accompanying notes to financial statements.

Semi-Annual Financial Statements - June 30, 2019 – 11 – JFT Strategies Fund

SCHEDULE OF INVESTMENT PORTFOLIO (Unaudited) (cont’d) As at June 30, 2019

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

SHORT POSITIONS (cont’d) EQUITIES (cont’d) Energy (cont’d) (4,600) Suncor Energy Inc. (207,885) (187,910) (17,900) Tervita Corp. (162,027) (121,720) (1,332,458) (1,146,949) (0.63)% Financials (500) Alignvest Acquisition II Corp., Class ‘A’ (5,370) (4,655) (800) Currency Exchange International Corp. (20,860) (17,996) (6,900) Genworth MI Canada Inc. (295,092) (285,936) (5,600) IGM Financial Inc. (197,613) (209,384) (518,935) (517,971) (0.28)% Health Care (71,550) Aurora Cannabis Inc. (764,723) (734,103) (10,700) Canopy Growth Corp. (720,644) (565,709) (34,900) Charlotte’s Web Holdings Inc. (652,542) (667,288) (21,500) Cresco Labs Inc. (346,495) (291,110) (16,200) CRH Medical Corp. (65,124) (63,828) (36,800) Cronos Group Inc. (883,342) (773,168) (85,500) Flowr Corp. (The) (465,436) (524,115) (60,600) Green Organic Dutchman Holdings Ltd. (The) (247,168) (195,738) (7,500) Green Organic Dutchman Holdings Ltd. (The), Warrants, 2023/07/15 - - (74,500) HEXO Corp. (564,205) (520,755) (38,100) Neptune Wellness Solutions Inc. (153,892) (217,170) USD (9,290) Tilray Inc., Class ‘2’ (807,990) (566,436) USD (700) UnitedHealth Group Inc. (236,962) (223,680) (5,908,523) (5,343,100) (2.93)% Industrials (9,300) Aecon Group Inc. (170,358) (178,281) USD (690) Boeing Co. (The) (342,653) (328,916) (6,000) CAE Inc. (216,746) (211,260) (2,000) Cargojet Inc. (145,264) (168,320) (22,800) Dirtt Environmental Solutions Ltd. (139,456) (169,860) (99,600) Drone Delivery Canada Corp. (158,204) (113,544) (20,900) Exco Technologies Ltd. (181,907) (161,975) USD (4,600) Ritchie Bros. Auctioneers Inc. (202,350) (200,115) (20,950) Savaria Corp. (302,480) (282,197) (5,600) TFI International Inc. (231,708) (221,928) USD (3,700) Uber Technologies Inc. (204,198) (224,727) USD (6,900) Welbilt Inc. (149,707) (150,899) (2,445,031) (2,412,022) (1.32)% Information Technology (19,400) Absolute Software Corp. (161,131) (154,812) USD (900) Apple Inc. (255,587) (233,268) (1,550) CGI Inc. (127,439) (156,054) (1,480) Kinaxis Inc. (109,356) (120,872) (2,300) POS Inc. (73,652) (83,743) USD (1,600) Maxim Integrated Products Inc. (116,419) (125,340) (101,000) Photon Control Inc. (134,639) (117,160) (23,100) Pivot Technology Solutions Inc. (28,012) (32,571) (12,000) TECSYS Inc. (172,875) (165,600) (1,179,110) (1,189,420) (0.65)%

See accompanying notes to financial statements.

Semi-Annual Financial Statements - June 30, 2019 – 12 – JFT Strategies Fund

SCHEDULE OF INVESTMENT PORTFOLIO (Unaudited) (cont’d) As at June 30, 2019

Number of Shares, Units Average Cost Fair Value % of and Par Value Description $ $ Net Assets

SHORT POSITIONS (cont’d) EQUITIES (cont’d) Investment Funds USD (46,300) ETFMG Alternative Harvest ETF (1,954,237) (1,920,827) (141,500) Horizons Medical Marijuana Life Sciences ETF, Class ‘A’ (2,918,244) (2,585,205) USD (14,000) Invesco Senior Loan ETF (418,424) (415,442) USD (6,500) iShares iBoxx $ Investment Grade Corporate Bond ETF (1,018,160) (1,058,647) USD (17,700) iShares iBoxx High Yield Corporate Bond ETF (1,975,901) (2,020,748) USD (5,600) iShares J.P. Morgan USD Emerging Markets Bond ETF (789,176) (830,810) USD (55,900) iShares MSCI Australia ETF (1,521,929) (1,650,015) USD (9,300) iShares MSCI Canada ETF (349,736) (348,558) USD (34,900) iShares MSCI Hong Kong ETF (1,193,515) (1,182,801) USD (11,600) iShares MSCI Mexico ETF (686,884) (658,976) USD (18,600) iShares MSCI Turkey ETF (556,479) (580,199) USD (6,000) iShares Russell 2000 ETF (1,242,091) (1,221,810) (69,700) iShares S&P/TSX 60 Index ETF (1,679,743) (1,718,105) USD (13,900) SPDR Bloomberg Barclays High Yield Bond ETF (1,943,374) (1,983,007) USD (6,960) SPDR S&P 500 ETF Trust (2,691,066) (2,670,539) USD (10,200) SPDR S&P Retail ETF (601,292) (565,953) (21,540,251) (21,411,642) (11.75)% Materials (30,300) 5N Plus Inc. (85,923) (80,598) USD (2,300) BHP Group Ltd., ADR (165,156) (175,025) (3,700) CCL Industries Inc., Class ‘B’ (198,707) (237,614) (30,200) Chemtrade Logistics Income Fund (261,882) (282,974) (16,200) First Majestic Silver Corp. (124,126) (167,508) USD (76,500) Hecla Mining Co. (262,403) (180,325) (12,300) IPL Plastics Inc. (125,931) (121,155) (93,100) New Gold Inc. (213,552) (118,237) (5,100) Norbord Inc. (183,440) (165,546) (14,800) Novo Resources Corp. (48,186) (31,228) (1,669,306) (1,560,210) (0.87)% Real Estate (4,300) Altus Group Ltd. (126,169) (137,901) (9,300) First Capital Realty Inc. (197,182) (203,298) (9,700) RioCan REIT (253,319) (252,103) (6,000) SmartCentres REIT (191,804) (199,260) (17,400) Tricon Capital Group Inc. (197,434) (174,000) (965,908) (966,562) (0.53)% Total Equities (40,340,698) (38,978,801) (21.39)% Total Short Positions (40,340,698) (38,978,801) (21.39)% Adjustment for transaction costs (153,602) Total Investments 122,117,176 127,689,796 70.08% Other Net Assets (Liabilities) 54,512,916 29.92% Net Assets Attributable to Holders of Redeemable Securities 182,202,712 100.00%

See accompanying notes to financial statements.

Semi-Annual Financial Statements - June 30, 2019 – 13 – JFT Strategies Fund

SCHEDULE OF INVESTMENT PORTFOLIO (Unaudited) (cont’d) As at June 30, 2019

PORTFOLIO CONCENTRATION For Portfolio Concentration as at June 30, 2019, refer to the Schedule of Investment Portfolio.

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

As at December 31, 2018

% of Net Assets

LONG POSITIONS Equities Communication Services 0.73 Consumer Discretionary 4.30 Energy 3.09 Financials 10.52 Health Care 2.79 Industrials 1.37 Information Technology 2.05 Investment Funds 4.20 Materials 0.08 Real Estate 2.58 Utilities 0.69 Bonds Canada 2.52 Government of Canada & Guaranteed 25.50 U.S.A. 2.14 Convertible Debentures 7.04 Other Net Assets (Liabilities) 51.97

SHORT POSITIONS Equities Communication Services (0.60) Consumer Discretionary (2.85) Consumer Staples (1.36) Energy (0.30) Financials (0.32) Health Care (2.95) Industrials (1.18) Information Technology (0.90) Investment Funds (8.71) Materials (0.77) Real Estate (1.06) Utilities (0.57)

See accompanying notes to financial statements.

Semi-Annual Financial Statements - June 30, 2019 – 14 – JFT Strategies Fund

FUND SPECIFIC NOTES TO FINANCIAL STATEMENTS (Unaudited) June 30, 2019

(A) FAIR VALUE OF FINANCIAL INSTRUMENTS The following tables show the fair value hierarchy classification of financial instruments measured or disclosed at their fair value.

As at June 30, 2019

Level 1 Level 2 Level 3 Total $ $ $ $ Financial assets Equities 74,409,100 - 243,350 74,652,450 Bonds - 68,469,028 - 68,469,028 Convertible debentures - 23,547,119 - 23,547,119 Total 74,409,100 92,016,147 243,350 166,668,597

Financial liabilities Equities 38,978,801 - - 38,978,801 Total 38,978,801 - - 38,978,801

As at December 31, 2018

Level 1 Level 2 Level 3 Total $ $ $ $ Financial assets Equities 66,814,691 1,471,097 2,984,362 71,270,150 Bonds - 65,962,053 360,800 66,322,853 Convertible debentures - 15,474,641 - 15,474,641 Total 66,814,691 82,907,791 3,345,162 153,067,644

Financial liabilities Equities 47,454,441 - - 47,454,441 Total 47,454,441 - - 47,454,441

There were no transfers between Level 1 and 2 and Level 1 and 3 during the period ended June 30, 2019 and the year ended December 31, 2018.

See accompanying notes to financial statements.

Semi-Annual Financial Statements - June 30, 2019 – 15 – JFT Strategies Fund

FUND SPECIFIC NOTES TO FINANCIAL STATEMENTS (Unaudited) (cont’d) June 30, 2019

(A) FAIR VALUE OF FINANCIAL INSTRUMENTS (cont’d) During the period ended June 30, 2019, the reconciliation of Level 3 investments measured using non-observable inputs is presented as follows:

$ Beginning balance 3,345,163 Purchases - Sales (405,336) Net transfers (out of) Level 3 (2,571,281) Net transfers (in to) Level 3 - Realized gains (losses) (45,664) Change in unrealized appreciation (depreciation) (79,532) Ending balance 243,350

During the period ended June 30, 2019, investments with a fair value of $2,751,281 were transferred out of Level 3 into Level 2 as observable market inputs became available for these investments.

During the year ended December 31, 2018, the reconciliation of Level 3 investments measured using non-observable inputs is presented as follows:

$ Beginning balance 2,570,925 Purchases 4,975,367 Sales (1,947,559) Net transfers (out of) Level 3 (939,850) Net transfers (in to) Level 3 - Realized gains (losses) 40,849 Change in unrealized appreciation (depreciation) (1,354,569) Ending balance 3,345,163

During the year ended December 31, 2018, investments with a fair value of $939,850 were transferred out of Level 3 into Level 2 as observable market inputs became available for these investments.

The following section discusses the significant unobservable inputs for individually material Level 3 positions and quantitatively outlines the inputs used to calculate fair value in accordance with IFRS 13, Fair Value Measurement.

The Fund did not hold any significant position of Level 3 investment at the end of the reporting period ended June 30, 2019; therefore, sensitivity analysis of Level 3 is not required.

The table below presents the valuation technique and the nature of significant input used to determine the fair value of the Level 3 investments:

As at December 31, 2018

Fair Value $ Valuation Techniques Significant Unobservable Inputs

Vireo Health LLC., Preferred, Series ‘D’ 1,333,118 Recent transaction price Recent transaction price Blacklist Finco Inc., Subscription Receipt 408,700 Recent transaction price Recent transaction price SLANG Worldwide Inc. 267,930 Recent transaction price Recent transaction price Mimi’s Rock Inc. 471,000 Recent transaction price Recent transaction price ALQ Gold Corp 180,400 Recent transaction price Recent transaction price Emblem Corp., 8.00%, February 2, 2021 360,800 Recent transaction price Estimated sale price, Discount Everledger Ltd. 79,864 Market comparable analysis Estimated sale price, Discount goNumerical Ltd. 243,350 Market comparable analysis Estimated sale price, Discount

The above investments are valued using the valuation techniques detailed below:

Recent Transaction price: The investments are valued based on recent completed third party transaction, which may include external financing, secondary market trades or other transactions near the measurement dates.

See accompanying notes to financial statements.

Semi-Annual Financial Statements - June 30, 2019 – 16 – JFT Strategies Fund

FUND SPECIFIC NOTES TO FINANCIAL STATEMENTS (Unaudited) (cont’d) June 30, 2019

(A) FAIR VALUE OF FINANCIAL INSTRUMENTS (cont’d) Market Comparable Analysis: The investments are valued based on comparable companies valuation in the same or similar businesses.

For investments valued based on recent transaction prices, a sensitivity analysis to show the potential effect of using reasonably possible alternative assumptions would not be applicable. For financial assets valued using a market comparable analysis, using reasonably possible alternative assumptions does not result in a material impact to the fair value.

(B) MANAGEMENT OF FINANCIAL RISKS

Credit risk

% of Net Assets Credit Rating June 30, 2019 December 31, 2018 AAA 31.06 27.78 A 3.93 - BB 0.87 0.31 B - 0.15 CCC 0.18 - C and Lower - 0.73 Not Rated 14.46 8.23

Interest rate risk

Fair Value June 30, 2019 December 31, 2018 $ $ Less than 1 year 48,728,991 13,921,549 1 - 3 years 20,541,969 56,473,335 3 - 5 years 13,194,195 11,402,610 Greater than 5 years 9,550,992 -

As at June 30, 2019, if the prevailing interest rates had been raised or lowered by 1%, assuming a parallel shift in the yield curve, with all other factors remaining constant, net assets could possibly have decreased or increased, respectively, by approximately $1,673,389 or 0.92% of net assets (December 31, 2018 - $1,448,426 or 0.66%).

Currency risk The tables below indicate the foreign currencies to which the Fund has significant exposure in terms, including any underlying principal amount of forward foreign currency contracts. The tables also illustrate the potential impact on the net assets attributable to holders of redeemable securities of the Fund, all other variables held constant, as a result of a 5% change in these currencies relative to the Canadian dollar.

As at June 30, 2019

Forward Foreign Impact on Investments Cash Other Currency Contracts Total Net Assets Currency $ $ $ $ $ $ British pound - 825,682 - - 825,682 41,284 United States dollar 16,866,654 18,048,383 (4,600,898) - 30,314,139 1,515,707 Total 16,866,654 18,874,065 (4,600,898) - 31,139,821 1,556,991 As a % of Net Assets 9.3 10.4 (2.5) - 17.2 0.9

See accompanying notes to financial statements.

Semi-Annual Financial Statements - June 30, 2019 – 17 – JFT Strategies Fund

FUND SPECIFIC NOTES TO FINANCIAL STATEMENTS (Unaudited) (cont’d) June 30, 2019

(B) MANAGEMENT OF FINANCIAL RISKS (cont’d)

Currency risk (cont’d)

As at December 31, 2018

Forward Foreign Impact on Investments Cash Other Currency Contracts Total Net Assets Currency $ $ $ $ $ $ British pound - 863,921 - - 863,921 43,196 Euro - - 727 - 727 36 United States dollar 37,849,475 3,863,890 (6,209,295) - 35,504,070 1,775,204 Total 37,849,475 4,727,811 (6,208,568) - 36,368,718 1,818,436 As a % of Net Assets 17.2 2.2 (2.8) - 16.6 0.8

Leverage and short selling risk The Fund exercises leverage through participating in short selling transactions, which exposes the Fund to short selling risk.

Short selling risk is the risk of loss related to short selling transactions. There is no assurance that securities will decline in value during the period of the short sale and make a profit for the Funds, and securities sold short may instead appreciate in value, resulting in a loss to the Fund. The Fund may experience difficulties repurchasing and returning the borrowed securities if a liquid market for the securities does not exist. The lender may also recall the borrowed securities at any time. The lender may go bankrupt and the Fund may lose the collateral they have deposited with the lender. The Fund mitigates such risk by depositing collateral only with regulated financial institutions or dealers. Short exposure of the portfolio will not exceed 75% of the net asset value of the Fund.

During the period ended June 30, 2019, the lowest aggregated fair value amount of the leverage exercised by the Fund was $39.0 million (21.4% of NAV - June 30, 2019), $47.5 million (21.6% of NAV - December 31, 2018) and the highest aggregated fair value amount of the leverage used during the period was $61.3 million (34.2% of NAV - January 31, 2019), $85.0 million (39.0% of NAV - July 31, 2018).

Other price risk The table below indicates how net assets attributable to holders of redeemable securities would have increased or decreased had the value of the Fund’s benchmark(s) increased or decreased by 10%. This change is estimated based on the historical correlation between the return of the Fund’s securities as compared to the return of the benchmark(s), as at year end, with all other variables held constant. The historical correlation may not be representative of the future correlation, and accordingly the impact on net assets attributable to holders of redeemable securities could be different.

Impact on Net Assets Attributable to Redeemable Securities June 30, 2019 December 31, 2018 Benchmark $ $ S&P/TSX Composite Total Return Index 423,536 354,795

See accompanying notes to financial statements.

Semi-Annual Financial Statements - June 30, 2019 – 18 – NOTES TO FINANCIAL STATEMENTS (Unaudited)

June 30, 2019

1. THE FUND JFT Strategies Fund (the “Fund”) was formed as an investment trust under the laws of the Province of Ontario on April 23, 2012.

The Fund’s investment objective is to maximize return on investment to unitholders while seeking to mitigate market risk and volatility by investing in an actively managed portfolio of long and short positions in any one or a combination of equities, debt securities or other securities.

On July 1, 2019, First Asset Investment Management Inc. amalgamated with CI Investments Inc. (“CI”).

Effective July 1, 2019, CI became the Manager (“Manager”) and Trustee (“Trustee”) of the Fund. CI is a subsidiary of CI Financial Corp. (Toronto Stock Exchange (“TSX”): CIX). CIBC World Market is the custodian (the “Custodian”) of the Fund.

Timelo Investment Management Inc. is the Portfolio Advisor (“Portfolio Advisor”) of the Fund.

The Fund’s registered office is at 2 Queen Street East, Suite 1200, Toronto, Canada, M5C 3G7.

These financial statements were authorized for issue by the Manager on August 12, 2019.

The Schedule of Investment Portfolio is as at June 30, 2019. The Statements of Financial Position are as at June 30, 2019 and December 31, 2018. The Statements of Comprehensive Income, Statements of Changes in Net Assets Attributable to Holders of Redeemable Securities and Statements of Cash Flows are for the 6-month periods ended June 30, 2019 and 2018.

2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES Basis of preparation These financial statements have been prepared in compliance with International Financial Reporting Standards as published by the International Accounting Standards Board (“IFRS”). The financial statements have been prepared on a going concern basis using the historical cost convention, except for financial assets and financial liabilities measured at fair value recognized in profit and loss (“FVTPL”). The Fund’s accounting policies for measuring fair value of investments and derivatives are consistent with those used in measuring the net asset value (“NAV”) for transactions with holders of units.

Functional and presentation currency The primary objective of the Fund is to generate returns in Canadian dollars, its capital-raising currency. The liquidity of the Fund is managed on a day-to-day basis in Canadian dollars in order to handle the issuance and redemption of the Fund’s redeemable securities. The Fund’s performance is evaluated in Canadian dollars. Therefore, the Manager considers Canadian dollars as the currency that most faithfully represents the economic effects of the underlying transactions, events and conditions. The financial statements are presented in Canadian dollars, which is the functional currency of the Fund, and all values are rounded to the nearest dollar.

Financial instruments

(i) Classification and recognition of financial instruments Financial instruments include financial assets and liabilities such as debt and equity securities and open-ended investment.

The Fund classifies and measures its investments based on both the Fund’s business model for managing those financial assets and the contractual cash flow characteristics of the financial assets. The Fund’s portfolio of financial assets is managed and performance is evaluated on a fair value basis. The Fund is primarily focused on fair value information and used that information to assess the assets’ performance and to make decisions. The contractual cash flows of the Fund’s debt securities are solely principal and interest, however, these securities are neither held for the purpose of collecting contractual cash flows nor held both for collecting contractual cash flows and for sale. The collection of contractual cash flows is only incidental to achieving the Fund’s business model’s objective. Consequently, all investments and derivatives are measured at FVTPL.

The Fund’s obligation for net assets attributable to holders of redeemable securities represents a financial liability and is measured at the residual amount (total assets less total liabilities). Other financial assets and financial liabilities are measured at amortized cost, which approximates their

Semi-Annual Financial Statements - June 30, 2019 – 19 – NOTES TO FINANCIAL STATEMENTS (Unaudited) (cont’d)

June 30, 2019

fair value. Under this method, financial assets and liabilities reflect the amount required to be received or paid, discounted, where appropriate, at the effective rate of interest.

All financial instruments are recognized in the Statements of Financial Position when the Fund becomes a party to the contractual requirements of the instrument. Financial assets are derecognized when the right to receive cash flows from the instrument has expired or the Fund has transferred substantially all risks and rewards of ownership. Financial liabilities are derecognized when the obligation is discharged, cancelled and expires. Investments purchase and sale transactions are recorded as of the trade date.

(ii) Valuation of financial instruments Financial assets and financial liabilities at FVTPL are recorded in the Statements of Financial Position at fair value. Subsequent changes in the fair value of those financial instruments are recorded as “Change in unrealized appreciation (depreciation) in value of investments and derivatives” in the Statements of Comprehensive Income. Net realized gain (loss) on sale of investments and unrealized appreciation (depreciation) on investments are determined on an average cost basis. Average cost does not include amortization of premiums or discounts on fixed income securities, with the exception of zero-coupon bonds. All transaction costs, such as brokerage commissions incurred in the purchase and sale of securities, for such instruments, are recognized directly in profit or loss.

The Fund meets the definition of an investment entity within IFRS 10, Consolidated Financial Statements and is required to measure its subsidiaries, if any, at FVTPL rather than consolidate them; therefore, these investments will be recorded at fair value in the same manner as any other investment that meets these criteria. The fair values of each specific type of investment and derivative are determined in the following manner:

Portfolio investments In the case of publicly traded securities, fair value means the close or last traded price when the price falls within the day’s bid-ask spread. For bonds and debentures, fair value means the most recent price provided by independent security pricing services. In the circumstance where the close or last traded price falls outside of the bid-ask spread, then fair value is determined by using bid price for long positions and ask price for short positions, or a different point within the bid-ask spread that the Manager determines to be the best representative of fair value.

Investments held that are not traded in an active market are recorded at estimated fair value determined by the Manager using appropriate and accepted industry valuation techniques including valuation models. The fair value of a security determined using valuation models requires the use of inputs and assumptions, which, at times, may not be supported by observable market data.

Short sales When the Fund sells a security short, it will borrow that security from a broker to complete the sale. The Fund will incur a loss as a result of a short sale if the price of the borrowed security increases between the date of the short sale and the date on which the Fund closes out its short position by buying that security. The Fund will realize a gain if the security declines in price between those dates. There can be no assurance that the Fund will be able to close out a short position at an acceptable time or price.

(iii) Offsetting of financial instruments Financial assets and liabilities are offset and the net amount presented in the Statements of Financial Position when there is a legally enforceable right to offset the recognized amounts and there is an intention to settle on a net basis, or to realize the asset and settle the liability simultaneously.

Income recognition

(i) Interest income for distribution purposes The interest for distribution purposes shown in the Statements of Comprehensive Income represents the coupon interest received by the Fund accounted for on an accrual basis. The Fund does 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.

(ii) Dividend revenue Dividend revenue is recognized when the Fund’s right to receive the payment is established. Dividend revenue is presented gross of any non-recoverable withholding taxes, which are disclosed separately in the Statements of Comprehensive Income.

Semi-Annual Financial Statements - June 30, 2019 – 20 – NOTES TO FINANCIAL STATEMENTS (Unaudited) (cont’d)

June 30, 2019

(iii) Other investment income Distributions received from income trusts are recorded as income, capital gains or a return of capital based on the best information available. Due to the nature of these investments, actual allocations could vary from this information. Distributions from income trusts that are treated as a return of capital for income tax purposes will reduce the average cost of the income trusts.

(iv) Securities lending The Fund may enter a securities lending program with the Bank of New York Mellon, who acts as the securities lending agent. These transactions involve the temporary exchange of securities for collateral with a commitment to re-deliver 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 paid on cash or securities held as collateral. Income from securities lending is included in the Statements of Comprehensive Income and is recognized when earned.

The aggregate market value of all securities loaned by the Fund cannot exceed 50% of the assets of the Fund. Collateral received consists of qualified securities and securities that are immediately convertible into, or exchangeable for, securities of the same type, the same term and in the same number as those loaned by the Fund, or cash or letters of credit with market values of at least 102% of the market value of the loaned securities. The Fund’s lending agent is entitled to receive payments out of the gross amount generated from the securities lending transactions of the Fund and bears all operational costs directly related to securities lending as well as the cost of borrowing default indemnification. Aggregate values of securities on loan and related collateral held as well as a reconciliation between gross securities lending revenue received by the Fund as disclosed in the Fund’s Statements of Comprehensive Income as at June 30, 2019 and 2018 are disclosed as a footnote to the Statements of Comprehensive Income.

Investment transactions and expense recognition If applicable, expenses directly attributable to a class are charged to that class. Other expenses, income, and realized gains and losses from investment transactions are allocated proportionately to each class based on the relative NAV of each class.

Cash and cash equivalents Cash and cash equivalents comprise cash and short-term investments with a term to maturity of less than three months from date of purchase. Cash and cash equivalents are carried at FVTPL. Short-term investments are valued at cost plus accrued interest, which approximates fair value.

Redeemable participating securities The Fund’s redeemable securities are classified as financial liabilities and are redeemable at a unitholder’s option at prices based on the Fund’s NAV per security at the time of redemption.

Foreign currency translation Transactions during the period, including purchases and sales of securities, income and expenses, are translated at the rate of exchange prevailing on the date of the transaction.

Monetary assets and liabilities denominated in foreign currencies are translated at the functional currency rate of exchange ruling at the reporting date.

Non-monetary items that are measured in terms of historical cost in a foreign currency are translated using the exchange rates as at the dates of the initial transactions. Non-monetary items measured at fair value in a foreign currency are translated using the exchange rates at the date when the fair value was determined.

Foreign currency transaction gains (losses) on financial instruments classified as FVTPL are included in the Statements of Comprehensive Income as part of “Change in unrealized appreciation (depreciation) in value of investments and derivatives” for unsettled positions or “Net realized gain (loss) on sale of investments and derivatives” for closed-out positions, and foreign exchange gains and losses relating to cash and other assets and liabilities are presented as “Foreign exchange gain (loss) on cash”.

Increase (decrease) in net assets attributable to holders of redeemable securities per security Increase (decrease) in net assets attributable to holders of redeemable securities per security of each class, if applicable, is calculated by dividing the “Increase (decrease) in net assets attributable to holders of redeemable securities from operations (excluding distributions) per security”, as disclosed in the Statements of Comprehensive Income, by the weighted average number of securities outstanding during the period of that class.

Semi-Annual Financial Statements - June 30, 2019 – 21 – NOTES TO FINANCIAL STATEMENTS (Unaudited) (cont’d)

June 30, 2019

3. SIGNIFICANT ACCOUNTING JUDGMENTS, ESTIMATES AND ASSUMPTIONS In classifying and measuring financial instruments held by the Fund, the Manager is required to make significant judgments in determining the most appropriate classification in accordance with IFRS 9. The Manager has assessed the Fund’s business model, the manner in which all financial assets and financial liabilities 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 measurement and presentation of the Fund’s financial assets and financial liabilities.

The Manager has made an assessment of the Fund’s ability to continue as a going concern and is satisfied that the Fund has the resources to continue in business for the foreseeable future. Furthermore, the Manager is not aware of any material uncertainties that may cast significant doubt upon the Fund’s ability to continue as a going concern. Therefore, the financial statements of the Fund continue to be prepared on a going concern basis.

The key assumptions concerning the future and other key sources of estimation uncertainty at the reporting date that have a significant risk of causing a material adjustment to the carrying amounts of assets and liabilities within the next financial period are discussed in these notes. The Fund based its assumptions and estimates on parameters available when the financial statements were prepared. However, existing circumstances and assumptions about future developments may change due to market changes or circumstances arising beyond the control of the Fund. Such changes are reflected in the assumptions when they occur.

4. MANAGEMENT OF FINANCIAL RISKS In the normal course of business, the Fund is exposed to various financial risks, including credit risk, liquidity risk and market risk (consisting of interest rate risk, currency risk and other price risk). The Fund’s overall risk management program seeks to minimize potentially adverse effects of these risks on the Fund’s financial performance by employing professional, experienced portfolio advisors, by monitoring daily the Fund’s positions and market events and by diversifying the investment portfolio within the constraints of the investment guidelines and periodically may use derivatives to hedge certain risk exposure. To assist in managing risk, the Manager maintains a governance structure that oversees the Fund’s investment activities and monitors compliance with the Fund’s stated investment strategies, investment guidelines and securities regulations. Refer to the Fund Specific Notes for specific risk disclosures related to the Fund.

(i) Credit risk Credit risk is the risk that a counterparty to a financial instrument will fail to discharge an obligation or commitment that it has entered into with the Fund.

The value presented on the Schedule of Investment Portfolio includes consideration of the creditworthiness of the issuer and, accordingly, represents the maximum credit risk exposure of the Fund. The Fund’s holding is continually monitored in regard to credit quality and relative value. Generally, the higher the credit rating of a security, the lower the probability of it defaulting on its obligations. In order to mitigate credit risk, the Manager attempts to focus on only highly creditworthy issuers that are less likely to suffer harshly during a downturn in the economic environment. As well, credit risk is managed by selecting Schedule I Banks operating in Canada as counterparties to the forward foreign currency contracts, if applicable, and by regular monitoring of credit exposures. Carrying amounts for accrued income represent minimal credit risk exposure as they will be settled in the short term. Credit ratings are obtained from S&P Global Ratings. Where more than one rating is obtained for a security, the lowest rating has been used. See the Schedule of Investment Portfolio for the credit ratings of counterparties from over-the-counter derivative contracts, where applicable.

All transactions executed by the Fund in listed securities are settled/paid for upon delivery using approved brokers. The risk of default is considered minimal, as delivery of securities sold is only made once the broker has received payment. Payment is made on a purchase once the securities have been received by the broker. The trade will fail if either party fails to meet its obligation.

(ii) Liquidity risk Liquidity risk is the risk that the Fund may not be able to meet its obligation on time or at a reasonable price.

Generally, the Fund invests in securities that are considered readily realizable as they are actively traded on public exchanges. Certain securities may be less liquid than other securities and involve the risk that the Manager may not be able to dispose of them at the current market prices. As such, it may be difficult to significantly alter the composition of the Fund’s portfolio in a short period of time.

The maturities of the Fund’s financial liabilities are all between 1 to 3 months, except for the redeemable securities, which are redeemable on demand at the holder’s option. The Manager does not expect that this contractual maturity is representative of the actual cash outflows, as holders of these instruments typically retain them for a longer period.

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(iii) Interest rate risk Interest rate risk arises from the possibility that changes in interest rates will affect future cash flows or fair values of financial instruments.

The Fund invests in interest-bearing financial instruments. As such, the Fund is exposed to the risk that the value of such financial instruments will fluctuate due to changes in the prevailing levels of market interest rates. Prices of longer-term fixed income securities will generally fluctuate more in response to interest rate changes than would shorter-term securities. For portfolios that contain fixed income securities, the Manager reviews the remaining term-to- maturity dates on a regular basis to ensure diverse and balanced exposure, within the limits of the Fund’s investment objectives and strategies.

(iv) Currency risk Currency risk is the risk that the value of a financial instrument will fluctuate due to changes in foreign exchange rates.

The Fund invests in securities that are denominated in currencies other than the Fund’s reporting currency. Consequently, the Fund is exposed to currency risk as the value of the portfolio securities denominated in currencies other than the Fund’s reporting currency will vary due to changes in foreign currencies exchange rates. The Fund that is hedged back to the Fund’s reporting currency does not have significant exposure to currency risk.

(v) Other price risk Other price risk is the risk that the fair value or future cash flows of financial instruments will fluctuate because of changes in market prices (other than those arising from interest rate risk or currency 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 the market.

All investments in securities present a risk of loss of capital. The value of the portfolios will be influenced by factors that are not within the control of the Fund including the performance of the portfolio securities, the condition of the equity markets generally and other factors. Market price risk is mitigated through the careful selection and diversification of securities within the limits of the Fund’s investment objectives and strategies as well as the daily monitoring of the Fund’s investment portfolio by the Manager.

5. FAIR VALUE MEASUREMENT HIERARCHY The Fund classifies financial instruments into three levels based on inputs used to value the financial instruments. Level 1 securities are valued based on quoted prices in active markets for identical securities. Level 2 securities are valued based on significant observable market inputs, such as quoted prices from similar securities and quoted prices in inactive markets or based on observable inputs to models. Level 3 securities are valued based on significant unobservable inputs that reflect the Manager’s determination of assumptions that market participants might reasonably use in valuing the securities.

For assets and liabilities that are recognized in the financial statements on a recurring basis, the Fund determines whether transfers have occurred between levels in the hierarchy by re-assessing the categorization (based on the lowest level input that is significant to the fair value measurement as a whole) at the beginning of each reporting period.

Financial assets and liabilities transferred from Level 1 to Level 2 are the result of securities no longer being traded in an active market. For the period ended June 30, 2019 and year ended December 31, 2018, there were no transfers of financial assets and liabilities from Level 1 to Level 2.

Financial assets and liabilities transferred from Level 2 to Level 1 are the result of securities now being traded in an active market. For the period ended June 30, 2019 and year ended December 31, 2018, there were no transfers of financial assets and liabilities from Level 2 to Level 1.

JFT in aggregate has level 3 investments that are about 0.13% of NAV.

Refer to the Fund Specific Notes for the relevant disclosure.

6. REDEEMABLE SECURITIES The Fund is authorized to issue an unlimited number of units of three classes, Class A units, Class F units and Private Placement units. The beneficial interests in the net assets and net income of the Fund are divided into these classes.

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The Class F units are designed for fee-based and/or institutional accounts and differ from the Class A units in the following ways: (i) the Class F units are not to be listed on a stock exchange; (ii) the agents’ fees paid on the issuance of Class F units are lower than those paid on the issuance of Class A units; and (iii) the management fee payable in respect of Class F units is lower than the management fee payable in respect of the Class A units by an amount equal to the service fee. Accordingly, the NAV per unit of each class will not be the same as a result of the different fees allocable to each class of units.

Commencing in 2014, securityholders are entitled to redeem their units outstanding on the Annual Redemption Date, the second last business day in January of each year. Securityholders are entitled to receive a redemption price equal to 100% of the NAV per Class A unit or Class F unit, as applicable, as determined on the Annual Redemption Date, less any costs and expenses incurred by the Fund in order to fund such redemption.

In addition to the annual redemption, units may be surrendered at any time for a monthly redemption by the Fund but will be redeemed only on a Monthly Redemption Date which is the second last business day of each month (other than the Annual Redemption Date). Holders surrendering a Class A unit for redemption are entitled to receive the amount per Class A unit equal to the lesser of (i) 95% of the weighted average trading price of the Class A units on the principal exchange or market on which the Class A units are quoted for trading for the 10 business days immediately preceding the applicable Monthly Redemption Date and (ii) 100% of the closing market price on the applicable Monthly Redemption Date, less, in each case, any costs and expenses associated with the redemption including commissions and other such costs, if any, related to the liquidation of any portion of the portfolio required to fund such redemption (“Monthly Redemption Amount”). Holders surrendering the Class F units for redemption are entitled to receive an amount equal to the product of (i) the Monthly Redemption Amount, and (ii) a fraction, the numerator of which is the most recently calculated NAV per Class F unit and the denominator of which is the most recently calculated NAV per Class A unit.

A holder of Class F units may convert Class F units into Class A units in accordance with the Declaration of Trust and it is expected that liquidity for the Class F units is largely obtained by means of conversion into Class A units and the sale of those Class A units through the facilities of the TSX. For each Class F unit so converted, a holder receives that number of Class A units that is equal to the NAV per Class F unit as of the close of trading on the Conversion Date, the second last business day of such month, divided by the NAV per Class A unit as of the close of trading on the Conversion Date. No fractions of Class A units will be issued upon any conversion of Class F units. Any remaining fraction of a Class F unit will be redeemed at its NAV.

Commencing on October 1, 2012, a holder of Class A units may convert Class A units into Class F units, in accordance with the Declaration of Trust. For each Class A unit so converted, a holder will receive that number of Class F units equal to the NAV per Class A unit as of the close of trading on the relevant Conversion Date divided by the NAV per Class F unit as of the close of trading on such Conversion Date. No fractions of Class F units will be issued upon conversion of Class A units. Any remaining fraction of a Class A unit will be redeemed at its NAV.

The Private Placement units are redeemable on the Annual Redemption Date at the NAV per Private Placement unit and on the Monthly Redemption Date at a price equal to the product of (i) the Monthly Redemption Amount, and (ii) a fraction, the numerator of which shall be the most recently calculated NAV per Private Placement unit and the denominator of which shall be the most recently calculated NAV per Class A unit. Private Placement units may be converted on a Conversion Date into Class A units and may be issued from time to time. No management fee, performance fee or other fee is paid in respect of the Private Placement units. The Private Placement units will be non-voting except in circumstances in which amendments may disproportionally affect the rights of the holders of the Private Placement units as a class.

7. EXPENSES The Manager manages and administers the business, operations and affairs of the Fund. The Manager has retained Portfolio Advisors to provide portfolio management services and is responsible for overseeing those portfolio management services.

As compensation for the services it provides to the Fund, the Manager is entitled to receive an annual management fee from the Fund calculated as a percentage of the NAV of each class of the Fund, as applicable. This fee is calculated daily and paid monthly in arrears. If applicable, the Manager pays the Portfolio Advisor out of its management fee. In certain circumstances, the Manager is also entitled to an amount equal to the service fee payable to registered dealers. This fee is calculated daily and paid quarterly in arrears.

The annual management fee and service fee rates are disclosed in a footnote to the Statements of Comprehensive Income.

The Fund is responsible for all costs relating to its operation and administration.

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In addition to covering brokerage services on security transactions, commissions paid to dealers may also cover research services provided to the Manager or the relevant Portfolio Advisor of the Fund. The value of research services included in commissions and other transaction costs during the year (soft dollar commissions) is presented as a footnote to the Statements of Comprehensive Income.

The Portfolio Advisor is entitled to an annual performance fee (the “Performance Fee”), payable on December 31 (the “Determination Date”) of each year, equal to 20% of the appreciation in the net asset value of the units in that calendar year. For this purpose, the Performance Fee is calculated separately for each of the Class A units and the Class F units. The appreciation in the net asset value of each class of units is calculated by subtracting the High Water Mark for the applicable class of units from the Adjusted NAV per unit for that class of units on the relevant Determination Date and multiplying the result by the number of units of that class outstanding on such Determination Date (before giving effect to any redemption of units of such class on such date). The “High Water Mark” of each class of units on any date is the greater of: (i) $10.00; and (ii) the net asset value per unit of that class as of the last Determination Date on which a Performance Fee was paid in respect of such class (after giving effect to the Performance Fee paid on such date). The High Water Mark for units of a class will be appropriately adjusted in the event of a consolidation or subdivision of units of that class. The “Adjusted NAV per unit” of a class of units is the net asset value per unit of that class on the relevant Determination Date, excluding any accrual for the Performance Fee that would otherwise be included in the net asset value per unit calculation on such date, plus the amount of any distribution declared by the Fund to the holder of that unit since the date as of which the High Water Mark was set. The Performance Fee, plus applicable taxes, shall be calculated and accrued daily and payable annually on December 31, if earned.

Notwithstanding the foregoing, if any units are redeemed in a calendar year prior to the relevant Determination Date, the amount of any accrued Performance Fee in respect of such redeemed units will be paid to the Portfolio Advisor immediately following such redemption as if the date on which the units are redeemed was a Determination Date in respect of such units.

If Class A units are converted into Class F units or Class F units into Class A units, and the amount of any accrued Performance Fee per unit of the converting units is greater than or less than the accrued Performance Fee per unit of the class into which such units are converting, then the Portfolio Advisor will receive an amount equal to such difference times the number of units being converted or the Performance Fee expense is adjusted such that the amount of the Performance Fee accrued per unit of both classes is unchanged.

As at June 30, 2019, the Performance Fee payable is $985,290 (December 31, 2018 - $261,925).

8. DISTRIBUTIONS The Fund will make, on or before December 31 of that year, a distribution of any excess net income or net realized capital gains as is necessary to ensure that the Fund will not be liable for income tax under the Income Tax Act (Canada) (the “Tax Act”), after taking into account all available deductions, credits and refunds.

9. TAXATION The Fund qualifies as a mutual fund trust under the provisions of the Tax Act and is not subject to tax on its net taxable income for the tax year, including net realized capital gains, which are paid or payable to its holders of units as at the end of the tax year. Such distributed income is taxable in the hands of the holders of units. Income tax on net realized capital gains not paid or payable is generally recoverable, as redemptions occur, by virtue of refunding provisions contained in the Tax Act. As a result, no provision for income taxes has been recorded in the accompanying financial statements.

The tax year-end for the Fund is December 31.

The Fund may be subject to withholding taxes, deducted at the source of the income, imposed by certain countries on investment income and capital gains. Such income and gains are recorded on a gross basis, and the related withholding taxes are shown as a separate expense in the Statements of Comprehensive Income. For the purpose of the Statements of Cash Flows, cash flows from investments are presented net of withholding taxes.

10. CAPITAL MANAGEMENT The Fund manages its capital in accordance with its investment objectives and strategies outlined in the Fund Specific Notes and the risk management practices disclosed in Note 4 while maintaining sufficient liquidity to meet redemptions and distributions, if any. In order to manage its capital structures, the Fund may adjust the amount of any distributions paid to holders of units.

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11. RELATED PARTY TRANSACTIONS The Manager manages and administers the business operations and affairs of the Fund, except for investment advisory and portfolio management services required by the Fund. These services are in the normal course of operations and are recorded at the amount of the consideration agreed to by the parties.

Members of the Independent Review Committee (“IRC”) receive fees from the Fund for services rendered to the Fund and are reimbursed for out-of- pocket expenses.

The above services are reported in the Statements of Comprehensive Income as management fee, dealer service fees and IRC fees, as applicable. Management fee payable is reported in the Statements of Financial Position, and the amounts are payable to the Manager.

Concurrent with the offering of Class A and Class F units of the Fund, the Manager and the Portfolio Advisor and/or their directors and officers acquired 262,500 Private Placement units on a private placement basis. These units were purchased at the same issue price of $10.00 as the Class A and Class F units, for total subscription proceeds of $2,625,000. The transaction was measured at the exchange amount of $10.00 per Private Placement unit, which was equivalent to the closing NAV of the Fund on the days of the transactions. During 2015,15,000 Private Placement units were tendered for redemption through the annual redemption privilege. During the period ended June 30, 2019, the Fund engaged in trading securities of CI Financial Corp. (referred to as “Related Issuer Trades”), which indirectly owns and controls the Manager. The Related Issuer Trades were executed by an unrelated broker and through the facilities of the TSX at prevailing market prices on the days of the transaction. No related parties received any fees in connection with the trades. The trades were executed in reliance on a standing instruction issued by the Fund’s IRC. As at June 30, 2019, the Fund held a long position of 16,300 shares of CI Financial Corp. (December 31, 2018 - 33,200 shares), with a fair value of 347,842 (December 31, 2018 - $573,696) representing 0.2% (December 31, 2018 - 0.3%) of the Fund’s net assets, and a short position as at June 30, 2019 of nil shares (December 31, 2018 - nil) with a fair value of nil (December 31, 2018 - nil) representing nil (December 31, 2018 - nil) of the Fund’s net assets.

12. BROKER MARGIN INDEBTEDNESS For the Fund, leverage is obtained by way of a prime brokerage arrangement. This arrangement provides the Fund with margin to execute trades and for working capital purposes. The prime broker is also the custodian of the Fund’s portfolio, a portion of which is required to be deposited as collateral for amounts borrowed under this arrangement. Interest on amounts borrowed is based on a floating rate. Details of broker margin indebtedness are disclosed in the Fund Specific Notes, if applicable.

Semi-Annual Financial Statements - June 30, 2019 – 26 – 2 Queen Street East, Twentieth Floor, Toronto, Ontario M5C 3G7 I www.ci.com Head Office / Toronto Calgary Vancouver Client Services 416-364-1145 403-205-4396 514-875-0090 604-681-3346 English: 1-800-563-5181 1-800-268-9374 1-800-776-9027 1-800-268-1602 1-800-665-6994 French: 1-800-668-3528 FirstAsset_580640067_08/19E