bmo balanced etf portfolio(the “fund”)the portfolio manager employs a strategic asset allocation...

For the 12-month period ended September 30, 2019 (the “Period”)

Manager: BMO Investments Inc. (the “Manager” or “BMOII”)

Portfolio manager: BMO Asset Management Inc., Toronto, Ontario (the “portfolio manager”)

2019 Annual Management Report of Fund Performance

This annual management report of fund performance contains financial highlights but does not contain the complete annualfinancial statements of the Fund. If the annual financial statements of the Fund do not accompany the mailing of this report,you may obtain a copy of the annual financial statements at your request, and at no cost, by calling 1-800-665-7700 and 1-800-668-7327, by writing to us at BMO Investments Inc., First Canadian Place, 100 King Street West, 43rd Floor, Toronto, Ontario,M5X 1A1 or by visiting our website at www.bmo.com/mutualfunds and www.bmo.com/gam/ca or SEDAR at www.sedar.com.You may also contact us using one of these methods to request a copy of the Fund’s interim financial report, proxy voting policiesand procedures, proxy voting disclosure record and/or quarterly portfolio disclosure.

BMO Balanced ETF Portfolio (the “Fund”)

Investment Objective and StrategiesThe Fund’s objective is to provide a balanced portfolio byinvesting primarily in exchange traded funds that invest inCanadian, U.S. and international fixed income and equitysecurities. The Fund may also invest in other mutual fundsor invest directly in individual fixed income and equitysecurities and cash or cash equivalents.

The portfolio manager employs a strategic asset allocationstrategy. The portfolio manager may invest up to 100% ofthe Fund’s assets in securities of exchange traded fundsand/or other mutual funds, including funds that aremanaged by the Manager or one of its affiliates orassociates; however, they will invest majority of the assetsin exchange traded funds. The portfolio manager allocatesassets among the underlying exchange traded funds andother mutual funds based on each underlying fund’sinvestment objectives and strategies, among other factors.

RiskThe risks associated with an investment in the Fund remainas disclosed in the Fund’s most recent simplified prospectusor any amendments thereto and fund facts. During the Periodthere were no changes to the Fund that materially affected theoverall risk level associated with an investment in the Fund.On May 10, 2019, the Manager reviewed the Fund using thestandardized investment risk classification methodologyprescribed by National Instrument 81-102 Investment Fundsand determined that the risk rating of the Fund had notchanged. The Manager reviews the Fund’s investment risklevel and reference index, if any, at least annually.

MANAGEMENT DISCUSSION OF FUND PERFORMANCE

Results of OperationsDuring the Period, the Fund’s total net asset value changedfrom approximately $2,522 million to approximately$3,325 million. Series A units of the Fund returned 5.70%.Please see the Past Performance section for information onthe performance returns of the Fund’s other series.

The Period began with heightened concerns over a re-escalation of U.S.-China trade tensions. This, combinedwith increasing concerns over a slowing of global growthled fixed income to perform well as long-term rates fell.The U.S. Federal Reserve Board (“Fed”) delivered theirfinal rate increase of the cycle despite criticism fromPresident Trump. The slower growth environmentimpacted oil prices worldwide with Canadian Energystocks suffering both insult and injury. Refinery outagesand distribution constraints drove the discount of WesternCanada Select (“WCS”) versus West Texas Intermediate(“WTI”) to a record high of US$50 per barrel.

The 2019 year began on a higher note with equitiesrebounding from their Christmas Eve lows, primarilydriven by a sharp reversal in the Fed’s commentary,from hawkish to dovish, citing the increased risks to theeconomy created by global trade disruptions. Other centralbanks similarly adopted a benign tone, resulting in a reboundin 10-year interest rates. Energy stocks benefitted from oilprices recovering to the US$60 per barrel range with theWCS-WTI spread narrowing back to its long-term averageof US$13-US$15 per barrel. Strong job creation, a stabilization

of housing prices and new construction benefittedCanadian equities, as well as a slightly stronger Canadiandollar in the first half of the Period.

Spring brought a return to worry as the U.S. announcedtheir intentions to increase tariffs on Chinese goods. Inaddition, Canada was caught in the middle of the arrest ofHuawei chief financial officer in Vancouver at the directionof the U.S. Attorney General, which pursued extraditionunder charges of investor fraud. The coincidence of thiswith U.S. efforts to sanction the use of Huawei products byAmerica and its allies could not be ignored. PresidentTrump escalated his Twitter criticism of the Fed, whileJerome Powell continued to balance continued strongeconomic data, persistently low inflation and increasingcalls for an “insurance cut”. Oil fell sharply on concerns ofslowing global growth with WTI falling from its April peakof US$66.30 per barrel to a low of just over US$51 perbarrel by mid-June, before settling into a tight range ofUS$55-US$60 per barrel until mid-September’s droneattacks on Saudi oil facilities.

In the final quarter of the Period, trade tensions remaineda focus as the back and forth tone of developments led to asharp rotation from equities to fixed income, driving yieldson U.S. 10-year treasuries even lower. This downwardmove in rates was compounded by two cuts in the Fed rate,lowering the upper target rate from 2.5% to 2%. Thisresulted in a brief inversion of the ten-to-two year U.S.treasury yield curve, the most widely watched leadingindicator of potential forthcoming recession.

As of the end of September, the U.S. market implied thatthere is a 73% probability of a third rate cut in the Decembermeeting despite upside surprises in several economicreleases. This cut was widely priced in, but the Fed’s returnto open market transactions in the repurchasing agreementmarket raised eyebrows as they attempted to addressliquidity issues driven by end of the quarter cash demandsamong corporate participants.

The European Central Bank contributed to the falling rateenvironment, lowering their overnight lending rate by10 basis points to -0.50% and announcing the restart of theirmonthly asset purchases. German Manufacturing indicescontinued to show economic contraction with the likelihoodof a eurozone recession increasing. The U.K. added toworries as Brexit drama reached a head with Prime MinisterBoris Johnson proroguing parliament to avoid having hisintent for a no-deal departure blocked. His efforts werethwarted by the upper courts, allowing parliament toreconvene, which contributed to the ongoing uncertainty.

Overall during the Period, equity returns were lacklustrewith a strengthening Canadian dollar further detractingfrom most international markets’ returns, except the U.S.The Fund diversified its equity exposure into low-volatilityexposures, reducing the overall sensitivity of the Fund tomarket gyrations.

Among fixed income markets, rates fell globally throughoutthe Period with 10-year U.S. treasuries declining 118 basispoints (“bps”) to end at 1.68%, a level last seen in October2016. Canadian rates mirrored the move, falling 89 bps to1.38%. More shockingly, while falling less on an absolutebasis, German bonds fell 32 bps to leave the 10-year yield ata -0.21%, which may be a harsh (and arguably exaggerated)commentary on expectations of future long-term growth.As a result, Canadian fixed income securities, as measuredby the FTSE Canada Universe Bond Index, returned 9.7%during the Period. Investment grade U.S. corporate bondsperformed well, a function of the combination of fallingrates and increased demand as investors stretched for higheryields. U.S. high-yield bonds were less successful as theirhigher sensitivity to equity market conditions made themless attractive to investors. The Fund maintained anunderweight to both high-yield and investment gradecorporate bonds during the Period, favouring the relativerisk allocation of equities.

The Manager confirms that the Fund did not borrow moneyduring the Period.

Fund MergerEffective April 12, 2019, after obtaining all necessaryunitholder and regulatory approvals, BMO Balanced YieldPlus ETF Portfolio merged into the Fund.

For information on the Fund’s performance and composition,please refer to the Past Performance section and Summary ofInvestment Portfolio section of this report.

Recent DevelopmentsThe number of warning flags on the global investmentlandscape continues to grow. In the U.S., political wranglingis moving to the forefront and there is weaker job creationand manufacturing output data. There is renewed escalationof protests in Hong Kong and lingering concerns over theSaudi-Iran military conflict. While there appears to besomewhat of a bottoming in German manufacturing, it isstill unclear as to what catalyst will emerge to reverse thedamage already done by reduced global trade and exportsdue to trade wars. The strong U.S. dollar has reflected thenervousness of the market, rising despite well telegraphedFed rate cuts. Given the importance of foreign earnings

BMO Balanced ETF Portfolio

among the multinationals that reside in the S&P 500 Index,the consensus estimates of 10% earnings growth for U.S.equities in 2020 would appear optimistic.

The Canadian economy continues to muddle along with jobcreation and housing starts both acting as positive tailwinds.Economic growth rebounded sharply in the second quarterof 2019, while manufacturing activity has been moreresilient compared to other developed economies. Oil hasbecome a smaller component of the overall equity marketand remains nonetheless an important driver of overalleconomic growth. The gold component of the Materialssector has acted as a hedge against overall market volatility.While there have been observations regarding the relativelevels of consumer debt and mortgage lending, the nature ofCanadian bank lending policies is far more conservativethan in the U.S., providing a relative level of security shouldthere be a sharper downturn in global growth.

The Fund continues to hold a modest overweight to equitiesversus bonds as trade-wars linger and the earnings outlookdeteriorates. In this context, the portfolio manager favoursU.S. and Canadian equities, while being underweight inEurope, Australasia, and Far East equities, where the growthpain is more acute. They remain neutral on emerging marketsequities, as their current relative valuation to developedmarkets is near the long-term average with uncertaintiesregarding trade disputes and higher tariffs overshadowingany higher short-term growth potential.

Although the downward move in government bond yieldslooks overdone, its magnitude has been surprising to mostinvestors and demand for safe-haven assets could runfurther, despite the poor implied relative valuationsresulting from inverted curves and negative yields. Theportfolio manager’s longer-term view is that the currentyield environment is unsustainable barring a sudden sharpglobal economic slowdown. However, they have adopted amore neutral duration position versus the benchmark withthe continued volatility and headline risk.

On December 6, 2018, the Fund’s independent reviewcommittee (the “IRC”) was decreased to five members whenJohn McBride retired as an IRC member. On December 31,2018, Louise Vaillancourt ceased to act as Chair of the IRC.On January 1, 2019, Marlene Davidge was appointed asChair of the IRC. On April 4, 2019, the Fund’s IRC wasdecreased to four members when Louise Vaillancourtretired as an IRC member.

RELATED PARTY TRANSACTIONS

BMO Investments Inc., an indirect, wholly-owned subsidiaryof Bank of Montreal (“BMO”), is the Manager of the Fund.From time to time, the Manager may, on behalf of the Fund,enter into transactions or arrangements with or involvingother members of BMO Financial Group, or certain otherpersons or companies that are related or connected to theManager (each a “Related Party”). The purpose of this sectionis to provide a brief description of any transaction involvingthe Fund and a Related Party.

Portfolio ManagerThe Fund’s portfolio manager is BMO Asset Management Inc.(“BMOAM”), an affiliate of the Manager. BMOAM providesportfolio management services to the Fund. BMOAM receivesfrom the Manager a management fee based on assets undermanagement, calculated daily and payable monthly.

Administration Fee and Operating ExpensesThe Fund pays a fixed administration fee to the Manager inrespect of each series other than Series I. The Manager inreturn pays the operating expenses of these series of theFund, other than certain specified expenses that are paiddirectly by the Fund (“Fund Expenses”). Fund Expenses,include expenses incurred in respect of preparing anddistributing fund facts, interest or other borrowing expenses,all reasonable costs and expenses incurred in relation tocompliance with National Instrument 81-107 IndependentReview Committee for Investment Funds, includingcompensation and expenses payable to the Fund’s IRCmembers, taxes to which the Fund is or might be subject,and costs associated with compliance with any newgovernmental or regulatory requirement introduced afterDecember 1, 2007. Fund Expenses are allocatedproportionately among the relevant series. If the FundExpenses are specific to a series, the Fund Expenses areallocated to that series. The fixed administration fee iscalculated as a fixed annual percentage of the average netasset value of each relevant series of the Fund. Separate feesand expenses are negotiated and paid directly by each Series Iinvestor. Further details about the fixed administration feeand/or Fund Expenses can be found in the Fund’s most recentsimplified prospectus at www.bmo.com/mutualfunds andwww.bmo.com/gam/ca or www.sedar.com.



Buying and Selling SecuritiesDuring the Period, the Fund relied on standing instructionsprovided by the IRC with respect to one or more of thefollowing related party transactions:

(a) investments in securities of BMO, an affiliate of theManager;

(b) investments in a class of non-government debt securitiesand/or equity securities of an issuer during the period ofdistribution of those securities to the public and/or the60-day period following the distribution period whereBMO Nesbitt Burns Inc., an affiliate of the Manager,acted as an underwriter in the distribution;

(c) trades in debt securities in the secondary market withBMO Nesbitt Burns Inc. who is trading with the Fund asprincipal; and

(d) inter-fund trades (each, a “Related Party Transaction”).

In accordance with the IRC’s standing instructions, inmaking a decision to cause the Fund to make a RelatedParty Transaction, the Manager and portfolio manager ofthe Fund, are required to comply with the Manager’swritten policies and procedures governing the Related PartyTransaction and report periodically to the IRC, describingeach instance that the Manager relied on the standinginstructions and its compliance or non-compliance with thegoverning policies and procedures. The governing policiesand procedures are designed to ensure that each RelatedParty Transaction (i) is made free from any influence of BMO,BMO Nesbitt Burns Inc. or an associate or affiliate of BMOand/or BMO Nesbitt Burns Inc. and without taking intoaccount any considerations relevant to BMO, BMO NesbittBurns Inc. or an associate or affiliate of BMO and/or BMONesbitt Burns Inc., (ii) represents the business judgment ofthe Manager, uninfluenced by considerations other than thebest interests of the Fund, and (iii) achieves a fair andreasonable result for the Fund.

Brokerage CommissionsThe Fund pays standard brokerage commissions at marketrates to BMO Nesbitt Burns Inc., an affiliate of the Manager,for executing a portion of its trades. The brokeragecommissions charged to the Fund (excluding exchange andother fees) during the periods indicated, were as follows:

Period ended Period ended Sep. 30, 2019 Sep. 30, 2018 $000 $000

Total brokerage commissions 623 469

Brokerage commissions paid to BMO Nesbitt Burns Inc. 102 141

Distribution ServicesThe Manager markets and distributes the Fund throughBMO branches and/or (depending on the series) throughregistered dealers and brokers, including BMO InvestorLineInc. and BMO Nesbitt Burns Inc., both affiliates of theManager. The Manager pays to these affiliates a service feecalled a “trailing commission” based on the average dailyvalue of the units and/or shares that are held in investoraccounts. This service fee is paid monthly or quarterly andvaries by purchase option and by series.

Management FeesThe Manager is responsible for the day-to-day managementof the business and operations of the Fund. The Managermonitors and evaluates the Fund’s performance, pays for theinvestment advice provided by the Fund’s portfolio managerand provides certain administrative services required by theFund. As compensation for its services, the Manager is entitledto receive a management fee payable monthly, calculatedbased on the daily net asset value of each series of the Fundat the annual rate set out in the table below.

As a Percentageof Management Fees

General Annual Administration, Management Dealer Investment Fee Rate* Compensation Advice and Profit % % %

Series A Units 1.40 71 29Advisor Series Units 1.40 83 17Series T6 Units 1.40 79 21Series F Units 0.40 0 100Series F2 Units 0.40 0 100Series F4 Units 0.40 0 100Series F6 Units 0.40 0 100Series D Units 0.65 38 62Series G Units 0.75 47 53Series I Units — — —

* For Series I Units, separate Series I fees are negotiated and paid directly by each Series I investor. Since theManager pays no distribution, service or trailing fees on Series I Units, the combined management andadministrative fees for Series I Units will not exceed the management fee charged for Advisor Series orSeries A Units.


Series T6 Units Periods ended Sep. 30 2019 2018 2017 2016 2015

Net assets, beginning of period $ 9.53 9.64 10.04 10.00 10.23

Increase (decrease)

from operations:

Total revenue $ 0.33 0.36 0.33 0.40 0.36

Total expenses (2) $ -0.14 -0.15 -0.15 -0.15 -0.16

Realized gains (losses)

for the period $ 0.01 0.02 0.04 0.24 0.28

Unrealized gains (losses)

for the period $ 0.27 0.21 0.15 0.25 -0.90

Total increase (decrease)

from operations (3) $ 0.47 0.44 0.37 0.74 -0.42

Distributions:

From income

(excluding dividends) $ — — — 0.15 0.20

From dividends $ 0.11 0.13 0.19 0.04 0.02

From capital gains $ 0.06 — 0.27 0.12 0.01

Return of capital $ 0.44 0.46 0.40 0.42 0.40

Total Annual Distributions (4) $ 0.61 0.59 0.86 0.73 0.63

Net assets, end of period $ 9.43 9.53 9.64 10.04 10.00

Series F Units Periods ended Sep. 30 2019 2018 2017 2016 2015


Increase (decrease)

from operations:

Total revenue $ 0.43 0.46 0.40 0.46 0.38

Total expenses (2) $ -0.05 -0.05 -0.05 -0.05 -0.04


for the period $ 0.04 0.03 0.05 0.25 0.30


for the period $ 0.44 0.25 0.17 0.40 -0.37


from operations (3) $ 0.86 0.69 0.57 1.06 0.27

Distributions:

From income

(excluding dividends) $ 0.05 0.01 0.01 0.27 0.22

From dividends $ 0.32 0.21 0.25 0.05 0.05





FINANCIAL HIGHLIGHTS

The following tables show selected key financial informationabout the Fund and are intended to help you understandthe Fund’s financial performance for the periods indicated.

The Fund’s Net Assets per Unit (1)

Series A Units Periods ended Sep. 30 2019 2018 2017 2016 2015


Increase (decrease)

from operations:

Total revenue $ 0.42 0.45 0.40 0.45 0.38

Total expenses (2) $ -0.19 -0.19 -0.18 -0.17 -0.17


for the period $ 0.04 0.02 0.05 0.26 0.29


for the period $ 0.43 0.27 0.14 0.34 -0.48


from operations (3) $ 0.70 0.55 0.41 0.88 0.02

Distributions:

From income


From dividends $ 0.21 0.12 0.16 0.05 0.05


Return of capital $ 0.01 0.03 — — —



Advisor Series Units Periods ended Sep. 30 2019 2018 2017 2016 2015


Increase (decrease)

from operations:

Total revenue $ 0.42 0.45 0.39 0.46 0.38

Total expenses (2) $ -0.19 -0.18 -0.18 -0.17 -0.17


for the period $ 0.04 0.02 0.04 0.24 0.29


for the period $ 0.42 0.28 0.24 0.43 -0.46


from operations (3) $ 0.69 0.57 0.49 0.96 0.04

Distributions:

From income


From dividends $ 0.21 0.12 0.17 0.05 0.05


Return of capital $ 0.01 0.04 — — —



Series F2 Units Periods ended Sep. 30 2019 2018 2017)

(6)

Net assets, beginning of period $ 10.53 10.14 10.00)*

Increase (decrease)

from operations:

Total revenue $ 0.37 0.39 0.24

Total expenses (2) $ -0.05 -0.04 -0.03


for the period $ 0.03 0.02 0.06


for the period $ 0.40 0.19 -0.26


from operations (3) $ 0.75 0.56 0.01

Distributions:

From income

(excluding dividends) $ 0.03 0.04 —

From dividends $ 0.24 0.20 0.12

From capital gains $ 0.06 — —

Return of capital $ — — —

Total Annual Distributions (4) $ 0.33 0.24 0.12

Net assets, end of period $ 10.90 10.53 10.14


(7)

Net assets, beginning of period $ 9.85 9.65 10.00)*

Increase (decrease)

from operations:

Total revenue $ 0.36 0.36 0.15

Total expenses (2) $ -0.04 -0.04 -0.02


for the period $ 0.05 0.00 0.04


for the period $ 0.54 0.27 0.21


from operations (3) $ 0.91 0.59 0.38

Distributions:

From income

(excluding dividends) $ 0.03 0.03 —

From dividends $ 0.19 0.16 0.17

From capital gains $ 0.03 — —

Return of capital $ 0.16 0.21 —

Total Annual Distributions (4) $ 0.41 0.40 0.17

Net assets, end of period $ 10.09 9.85 9.65


Series F6 Units Periods ended Sep. 30 2019 2018 2017 2016)

(5)

Net assets, beginning of period $ 9.98 9.98 10.16 10.00)*

Increase (decrease)

from operations:

Total revenue $ 0.35 0.37 0.34 0.36

Total expenses (2) $ -0.04 -0.04 -0.04 -0.04


for the period $ 0.01 0.02 0.04 0.04


for the period $ 0.28 0.21 0.12 0.70


from operations (3) $ 0.60 0.56 0.46 1.06

Distributions:

From income

(excluding dividends) $ 0.03 0.02 0.04 0.22

From dividends $ 0.18 0.23 0.25 0.04

From capital gains $ 0.06 — 0.15 0.01

Return of capital $ 0.36 0.36 0.31 0.26

Total Annual Distributions (4) $ 0.63 0.61 0.75 0.53

Net assets, end of period $ 9.99 9.98 9.98 10.16

Series D Units Periods ended Sep. 30 2019 2018 2017 2016 2015


Increase (decrease)

from operations:

Total revenue $ 0.40 0.43 0.38 0.43 0.36

Total expenses (2) $ -0.08 -0.08 -0.08 -0.07 -0.08


for the period $ 0.03 0.03 0.04 0.27 0.28


for the period $ 0.40 0.21 0.19 0.21 -0.47


from operations (3) $ 0.75 0.59 0.53 0.84 0.09

Distributions:

From income

(excluding dividends) $ 0.01 — — 0.22 0.11

From dividends $ 0.30 0.18 0.26 0.04 0.03






Series G Units Periods ended Sep. 30 2019 2018)

(8)

Net assets, beginning of period $ 10.42 10.00)*

Increase (decrease)

from operations:

Total revenue $ 0.38 0.26

Total expenses (2) $ -0.09 -0.05


for the period $ 0.03 0.07


for the period $ 0.47 0.01


from operations (3) $ 0.79 0.29

Distributions:

From income

(excluding dividends) $ 0.01 —

From dividends $ 0.21 —

From capital gains $ 0.04 —

Return of capital $ 0.01 —

Total Annual Distributions (4) $ 0.27 —

Net assets, end of period $ 10.80 10.42

Series I Units Periods ended Sep. 30 2019 2018 2017 2016 2015


Increase (decrease)

from operations:

Total revenue $ 0.44 0.48 0.44 0.47 0.39

Total expenses (2) $ 0.02 0.03 0.02 0.02 0.02


for the period $ 0.05 0.03 0.07 0.26 0.32


for the period $ 0.47 0.23 -0.01 0.32 -0.32


from operations (3) $ 0.98 0.77 0.52 1.07 0.41

Distributions:

From income

(excluding dividends) $ 0.15 0.06 0.04 0.33 0.21

From dividends $ 0.33 0.18 0.18 0.05 0.05





* Initial net assets.(1) This information is derived from the Fund’s audited financial statements.(2) Includes commissions and other portfolio transaction costs and withholding taxes.(3) Net assets and distributions are based on the actual number of units outstanding at the relevant time. The

increase/decrease from operations is based on the weighted average number of units outstanding over thefinancial period. This table is not intended to be a reconciliation of beginning to ending net assets per unit.

(4) Distributions were either paid in cash or reinvested in additional units of the Fund, or both. The allocationof the distributions from each of income, dividends, capital gains and return of capital is based on theManager’s estimate as at September 30 of the period shown, as applicable, which is the Fund’s financialyear-end. However, the actual allocation of distributions is determined as at December 15, the Fund’s taxyear-end. Accordingly, the actual allocation among income, dividends, capital gains and return of capital maydiffer from these estimates.

(5) The information shown in this column is for the period beginning November 16, 2015 (the series’ inceptiondate) and ending September 30, 2016.

(6) The information shown in this column is for the period beginning February 15, 2017 (the series’ inceptiondate) and ending September 30, 2017.

(7) The information shown in this column is for the period beginning May 4, 2017 (the series’ inception date)and ending September 30, 2017.


Ratios and Supplemental Data

Series A Units Periods ended Sep. 30 2019 2018 2017 2016 2015

Total net asset value (000’s) (1) $ 2,381,057 1,750,411 1,368,783 560,050 414,290

Number of units

outstanding (000’s) (1) 188,393 142,715 115,780 47,717 36,640

Management expense ratio (2) % 1.71 1.71 1.72 1.71 1.71

Management expense ratio

before waivers or absorptions % 1.71 1.71 1.72 1.71 1.71

Trading expense ratio (3) % 0.04 0.03 0.07 0.06 0.05

Portfolio turnover rate (4) % 53.04 15.47 20.07 83.68 15.72

Net asset value per unit $ 12.64 12.27 11.82 11.74 11.31

Advisor Series Units Periods ended Sep. 30 2019 2018 2017 2016 2015

Total net asset value (000’s) (1) $ 382,955 333,504 271,067 185,747 100,153

Number of units

outstanding (000’s) (1) 30,211 27,120 22,863 15,795 8,853







Series T6 Units Periods ended Sep. 30 2019 2018 2017 2016 2015


Number of units

outstanding (000’s) (1) 5,139 5,173 3,743 1,911 1,266







Series F Units Periods ended Sep. 30 2019 2018 2017 2016 2015


Number of units

outstanding (000’s) (1) 20,412 16,100 10,844 5,111 2,916








(6)

Total net asset value (000’s) (1) $ 4,303 4,193 2,826

Number of units

outstanding (000’s) (1) 395 398 279

Management expense ratio (2) % 0.61 0.61 0.61


before waivers or absorptions % 0.61 0.62 0.64

Trading expense ratio (3) % 0.04 0.03 0.07

Portfolio turnover rate (4) % 53.04 15.47 20.07

Net asset value per unit $ 10.90 10.53 10.14


(7)

Total net asset value (000’s) (1) $ 963 408 460

Number of units

outstanding (000’s) (1) 96 41 48

Management expense ratio (2) % 0.60 0.62 0.62


before waivers or absorptions % 0.61 0.63 0.72

Trading expense ratio (3) % 0.04 0.03 0.07

Portfolio turnover rate (4) % 53.04 15.47 20.07

Net asset value per unit $ 10.09 9.85 9.65

Series F6 Units Periods ended Sep. 30 2019 2018 2017 2016)

(5)

Total net asset value (000’s) (1) $ 11,557 11,869 8,272 2,923

Number of units

outstanding (000’s) (1) 1,156 1,189 829 288

Management expense ratio (2) % 0.61 0.61 0.61 0.61


before waivers or absorptions % 0.61 0.62 0.63 0.63

Trading expense ratio (3) % 0.04 0.03 0.07 0.06

Portfolio turnover rate (4) % 53.04 15.47 20.07 83.68

Net asset value per unit $ 9.99 9.98 9.98 10.16

Series D Units Periods ended Sep. 30 2019 2018 2017 2016 2015


Number of units

outstanding (000’s) (1) 971 868 598 355 291








Series G Units Periods ended Sep. 30 2019 2018)

(8)

Total net asset value (000’s) (1) $ 29,561 10,558Number of units outstanding (000’s) (1) 2,737 1,013Management expense ratio (2) % 1.00 1.00Management expense ratio before waivers or absorptions % 1.00 1.00Trading expense ratio (3) % 0.04 0.03Portfolio turnover rate (4) % 53.04 15.47Net asset value per unit $ 10.80 10.42

Series I Units Periods ended Sep. 30 2019 2018 2017 2016 2015


Number of units

outstanding (000’s) (1) 14,152 11,391 7,016 745 411

Management expense ratio + % — — — — —


before waivers or absorptions + % — — — — —




+ Operating expenses are paid by BMOII and management fees are paid directly to BMOII as negotiated withthe investor.

(1) This information is provided as at September 30 of the period shown.(2) Management expense ratio is based on total expenses (excluding commissions and other portfolio

transaction costs) for the stated period and is expressed as an annualized percentage of daily average netasset value during the period.

(3) The trading expense ratio represents total commissions and other portfolio transaction costs expressed as anannualized percentage of daily average net asset value during the period.

(4) The Fund’s portfolio turnover rate indicates how actively the Fund’s portfolio manager manages its portfolioinvestments. A portfolio turnover rate of 100% is equivalent to the Fund buying and selling all of the securitiesin its portfolio once in the course of the year. The higher a fund’s portfolio turnover rate in a year, the greaterthe trading costs payable by the fund in the year, and the greater the chance of an investor receiving taxablecapital gains in the year. There is not necessarily a relationship between a high turnover rate and theperformance of a fund.

(5) The information shown in this column is for the period beginning November 16, 2015 (the series’ inceptiondate) and ending September 30, 2016.


(7) The information shown in this column is for the period beginning May 4, 2017 (the series’ inception date)and ending September 30, 2017.


PAST PERFORMANCE

The Fund’s performance information assumes that alldistributions made by the Fund in the periods shown wereused to purchase additional securities of the Fund and isbased on the net asset value of the Fund.

The performance information does not take into accountsales, redemption, distribution or other optional chargesthat, if applicable, would have reduced returns orperformance. Please remember that how the Fund hasperformed in the past does not indicate how it will performin the future.

The returns of each series may differ from one another for anumber of reasons, including if the series was not issuedand outstanding for the entire reporting period and becauseof the different levels of management fees and expensesallocated and payable by each series.

On April 12, 2019, after obtaining all necessary unitholderand regulatory approvals, BMO Balanced Yield Plus ETFPortfolio merged into the Fund. This change could haveaffected the performance of the Fund, had it been in effectthroughout the performance measurement periods presented.

Year-by-Year ReturnsThe following bar charts show the performance of eachseries of the Fund for each of the financial years shown.The charts show in percentage terms how an investmentmade on the first day of each financial year would haveincreased or decreased by the last day of each financial year.


-10%

-5%

0%

5%

10%

15%

Series T6 Units

2019

5.71

2014(2)

8.00

-10%

-5%

0%

5%

10%

15%

Series F Units

2019

6.88

20142013(1)

12.60

0.53

2016

7.95

2016

9.14

2015

3.75

2015

4.92

-10%

-5%

0%

5%

10%

15%

Series F2 Units

2019

6.87

-10%

-5%

0%

5%

10%

15%

Series F4 Units

2019

6.87

2017

4.74

2018

5.06

2018

6.23

2018

6.23

2018

6.22

2017

5.81

2017(5)

2.35

2017(6)

-1.93

Series A Units

2013(1)-10%

-5%

0%

5%

10%

15%

2013(1)-10%

-5%

0%

5%

10%

15%

Advisor Series Units

0.41

0.42

2019

20192014

5.69

2014

11.36

11.38

2016

2016

7.93

7.93

2015

2015

3.75

3.75

2017

2017

4.63

2018

2018

5.05

5.06 5.704.63

Annual Compound ReturnsThis table compares the historical annual compoundreturns of the Fund with its blended benchmark (composedof 40% FTSE Canada Universe Bond Index, 20% S&P/TSXComposite Total Return Index (“S&P/TSX”) and 40% MSCIWorld Index (C$)), in addition to the S&P/TSX, a broad-based index.

The FTSE Canada Universe Bond Index is a broad measure ofthe total return of Canadian bonds that mature in more thanone year.

The S&P/TSX is a market capitalization-weighted index ofsecurities of the largest and most liquid companies on theToronto Stock Exchange.

The MSCI World Index (C$) is a broad-based global indexthat represents large- and mid-cap equity performanceacross 23 developed markets countries. It coversapproximately 85% of the free float-adjusted marketcapitalization in each country.

Series A Units 1 3 5 10 Since year years years years Inception(1)

BMO Balanced ETF Portfolio % 5.70 5.13 5.40 6.30

Blended Benchmark % 6.03 7.06 6.98 8.75

S&P/TSX % 7.06 7.36 5.31 7.93

Advisor Series Units 1 3 5 10 Since year years years years Inception(1)



S&P/TSX % 7.06 7.36 5.31 7.93

Series T6 Units 1 3 5 10 Since year years years years Inception(2)



S&P/TSX % 7.06 7.36 5.31 7.00

Series F Units 1 3 5 10 Since year years years years Inception(1)



S&P/TSX % 7.06 7.36 5.31 7.93

Series F2 Units 1 3 5 10 Since year years years years Inception(5)

BMO Balanced ETF Portfolio % 6.87 5.90

Blended Benchmark % 6.03 6.91

S&P/TSX % 7.06 5.06


Series D Units

-10%

-5%

0%

5%

10%

15%

2019

Series F6 Units

-10%

-5%

0%

5%

10%

15%

2019

6.57

Series I Units

2013(1)-10%

-5%

0%

5%

10%

15%

0.63

2019(1) For the period beginning with the performance launch date of August 12, 2013 to September 30, 2013.(2) For the period beginning with the performance launch date of November 4, 2013 to September 30, 2014.(3) For the period beginning with the performance launch date of April 8, 2014 to September 30, 2014.(4) For the period beginning with the performance launch date of November 16, 2015 to September 30, 2016.(5) For the period beginning with the performance launch date of February 17, 2017 to September 30, 2017.(6) For the period beginning with the performance launch date of May 5, 2017 to September 30, 2017.(7) For the period beginning with the performance launch date of February 16, 2018 to September 30, 2018.

7.51

2014(3)

4.46

2014

13.29

6.87

2016

2016(4)

8.81

2016

9.79

7.13

2015

4.61

2015

5.54

2017

2017

5.49

Series G Units

-10%

-5%

0%

5%

10%

15%

2019

6.45

2018

2018

5.93

2018

6.87

6.23

2018(7)

3.10

2017

6.44

5.81




S&P/TSX % 7.06 6.02


BMO Balanced ETF Portfolio % 6.87 6.30 6.73

Blended Benchmark % 6.03 7.06 7.56

S&P/TSX % 7.06 7.36 9.74

Series D Units 1 3 5 10 Since year years years years Inception(3)



S&P/TSX % 7.06 7.36 5.31 5.82

Series G Units 1 3 5 10 Since year years years years Inception(7)



S&P/TSX % 7.06 8.33

Series I Units 1 3 5 10 Since year years years years Inception(1)



S&P/TSX % 7.06 7.36 5.31 7.93

(1) Return from the performance launch date of August 12, 2013 to September 30, 2019.(2) Return from the performance launch date of November 4, 2013 to September 30, 2019.(3) Return from the performance launch date of April 8, 2014 to September 30, 2019.(4) Return from the performance launch date of November 16, 2015 to September 30, 2019.(5) Return from the performance launch date of February 17, 2017 to September 30, 2019.(6) Return from the performance launch date of May 5, 2017 to September 30, 2019.(7) Return from the performance launch date of February 16, 2018 to September 30, 2019.

As noted above, the table shows a comparison of thehistorical annual compound returns of the Fund with theS&P/TSX, a broad-based index. The Fund, however, uses ablended benchmark to compare its overall relativeperformance. The reason for this is that the blendedbenchmark is a better reflection of the asset mix of theunderlying investments within the Fund’s portfolio.Accordingly, the blended benchmark is a more accurate anduseful comparison.

A commentary on the market and/or information regardingthe relative performance of the Fund as compared to itsbenchmark can be found under the Results of Operationssection of this report.



SUMMARY OF INVESTMENT PORTFOLIO

As at September 30, 2019

% of NetPortfolio Allocation Asset Value

Fixed Income Funds 42.8

U.S. Equity Funds 20.4

Canadian Equity Funds 17.6

International Equity Funds 12.1

Emerging Markets Equity Funds 5.3

Cash/Receivables/Payables 1.8

Total Portfolio Allocation 100.0

Holdings*+ % of NetIssuer Asset Value

BMO Aggregate Bond Index ETF 21.7

BMO S&P/TSX Capped Composite Index ETF 16.0

BMO S&P 500 Index ETF 15.2

BMO MSCI EAFE Index ETF 10.6

BMO Mid-Term US IG Corporate Bond Hedged to CAD Index ETF 5.5

BMO MSCI Emerging Markets Index ETF 4.3

BMO US Dividend ETF 4.1

BMO Mid Corporate Bond Index ETF 3.8

BMO Long Federal Bond Index ETF 3.6

BMO Core Plus Bond Fund, ETF Series 3.0

BMO High Yield US Corporate Bond Hedged to CAD Index ETF 2.1

Cash/Receivables/Payables 1.8

BMO Low Volatility Canadian Equity ETF 1.6

BMO Emerging Markets Bond Hedged to CAD Index ETF 1.6

BMO Low Volatility US Equity ETF 1.1

BMO Short Federal Bond Index ETF 0.9

BMO MSCI Japan Hedged to USD ETF 0.6

BMO Low Volatility Emerging Markets Equity ETF 0.6

BMO India Equity Index ETF 0.4

BMO Enhanced Income Euro Equity UCITS ETF 0.4

BMO Global Multi Sector Bond, ETF Series 0.3

BMO Asia USD Investment Grade Bond ETF++ 0.3

BMO Asia High Dividend ETF++ 0.3

BMO Enhanced Income UK Equity UCITS ETF 0.2

Total Holdings as a Percentage of Total Net Asset Value 100.0

Total Net Asset Value $3,324,768,447

*Represents entire portfolio.

+The prospectus and other information about the underlying exchangetraded fund(s) held in the portfolio are available on the internet atwww.sedar.com and, also at www.bmo.com/etflegal.

+The prospectus and other information about the underlying UCITSexchange traded fund(s) held in the portfolio are available on the internetat www.bmo.com/gam/uk/etf.

++The prospectus and other information about the underlying exchangetraded fund(s) are available on the internet at www.bmo.hk/en/bmo-etfs.

The summary of investment portfolio may change due to the Fund’s ongoingportfolio transactions. Updates are available quarterly.

BMO Investments Inc. First Canadian Place, 43rd Floor100 King Street WestToronto, Ontario M5X 1A1

This document may contain forward-looking statements relating to anticipated future events, results, circumstances, performance or expectations thatare not historical facts but instead represent our beliefs regarding future events. By their nature, forward-looking statements require us to makeassumptions and are subject to inherent risks and uncertainties. There is significant risk that predictions and other forward-looking statements will notprove to be accurate. We caution readers of this document not to place undue reliance on our forward-looking statements as a number of factors couldcause actual future results, conditions, actions or events to differ materially from the targets, expectations, estimates or intentions expressed or impliedin the forward-looking statements. Actual results may differ materially from management expectations as projected in such forward-looking statementsfor a variety of reasons, including but not limited to market and general economic conditions, interest rates, regulatory and statutory developments,the effects of competition in the geographic and business areas in which the Fund may invest in and the risks detailed from time to time in BMO MutualFunds’ simplified prospectus. We caution that the foregoing list of factors is not exhaustive and that when relying on forward-looking statements tomake decisions with respect to investing in the Fund, investors and others should carefully consider these factors, as well as other uncertainties andpotential events, and the inherent uncertainty of forward-looking statements. Due to the potential impact of these factors, BMO Investments Inc. doesnot undertake, and specifically disclaims, any intention or obligation to update or revise any forward-looking statements, whether as a result of newinformation, future events or otherwise, unless required by applicable law.

®/™ Registered trade-marks/trade-mark of Bank of Montreal, used under licence.BMO Mutual Funds are offered by BMO Investments Inc., a financial services firm and separate legal entity from Bank of Montreal.

If you have any questions, please give us a call as follows:

• If you purchased BMO Mutual Funds through a BMO Bank of Montreal branch or BMO Online Banking, please call 1-800-665-7700.

• If you purchased BMO Mutual Funds through a full-service or discount broker, please call 1-800-668-7327 or [email protected].

www.bmo.com/mutualfunds and www.bmo.com/gam/ca

bmo balanced etf portfolio(the “fund”)the portfolio manager employs a strategic asset allocation...

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