Portfolio Review – First Quarter 2020
Q11
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The information provided in the Portfolio Series Review includes:
Underlying fund allocations
Performance
Allocations by sector, region, asset class and their change over the prior quarter.
In addition, each report includes detailed commentary explaining the fund’sperformance for the quarter. The commentary is provided by CI Multi-AssetManagement, CI’s in-house team of investment professionals responsible formanaging and monitoring the Portfolio Series portfolios.
Q1 2020 Portfolio Series Review
The G
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3 Commentary
7 Portfolio Series Income Fund
13 Portfolio Series Conservative Fund
19Portfolio Series Conservative Balanced Fund
25 Portfolio Series Balanced Fund
31 Portfolio Series Balanced Growth Fund
37 Portfolio Series Growth Fund
43Portfolio Series Maximum Growth Fund
49 Benchmark History
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CommentaryQuarterly Portfolio Review as at March 31, 2020
3
Market Performance
Initially, the COVID-19 pandemic was expected to be contained within the Hubei province of China and affect only a handful of surrounding
provinces. Stocks globally reached new highs in February even though China locked down Hubei and manufacturing activity contracted
substantially. The consensus was that the virus would not be widespread, manufacturing would re-open and any economic damage would
be offset by central government programs. Investors quickly realized in March this would not be the case when the World Health
Organization officially declared the outbreak as a pandemic, with rapid increases in new cases around the globe and deaths in G7 nations.
It is extremely difficult to model economic impacts attributed to a new virus outbreak as there is no way to determine when and how it will
end. As with other major events in history, investors tend to focus on worst-case scenarios, as was seen in March’s dramatic decline in
stock prices. Other investments such as corporate bonds, government bonds and gold bullion were also dumped for cash. Suddenly, it was
a buyers’ market. U.S. markets as measured by the S&P 500 Index in Canadian dollar terms, performed relatively well due to an 8.3% gain
in the U.S. dollar for the quarter. Canada felt even more pain as oil prices fell over 60% in a matter of days when Saudi Arabia raised oil
production at a time when demand was already declining.
Markets stabilized somewhat when central banks started cutting interest rates and launching quantitative easing measures, and
governments announced subsidies to individuals and businesses, as well as other stimulus programs. Globally, there were over 300
“rescue” measures announced, the size and speed of which were unprecedented. The balance sheets of many individuals and businesses
are being supported temporarily but they desperately need economic activity to resume to generate income. The good news is that once
the spread of COVID-19 moderates, we expect the majority of consumer activities to return. The bad news is that consumers have turned
cautious. Until there is safe vaccine, people’s lifestyles will be different, and a portion of consumption and spending will be suspended for a
longer time period. We believe that markets were likely priced for an outcome worse than what will actually transpire, so some stability and
market recovery should be expected.
Benchmark returns in % at March 31, 2020 3 months 1 year 3 years 5 years 10 years
S&P/TSX Composite Index -20.9 -14.2 -1.9 0.9 4.1
S&P 500 Index (C$) -12.8 -2.0 7.1 9.0 14.2
MSCI World Index (C$) -14.4 -5.6 3.9 5.4 10.1
FTSE Canada Universe Bond Index 1.6 4.5 3.7 2.7 4.3
Source: Bloomberg Finance L.P., FTSE
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Commentary
4
Portfolio performance
We were constructive on our 2020 economic and market outlook based on some leading indicators and announcements in 2019 that
included a phase-one trade agreement between the U.S. and China, and interest rate cuts in the U.S. No one was able to foresee the
COVID-19 pandemic. However, as the outbreak spread in China, we turned more cautious and raised cash in all of our portfolios.
Portfolios that were managed for short investment horizons went defensive as we added U.S. Treasuries and introduced the Japanese
yen and gold bullion for additional downside protection. The equity-centric portfolios were optimized for the long term; we cut our equity
position by 2-4% and added exposure to the U.S. dollar and yen to reduce short-term volatility.
Our underlying fund managers actively trimmed holdings that held up well through the drawdown, raising cash that was used to add to
quality names that are trading at a discount to fair value for the first time in years. Such opportunities have been found in health care
(drug development and medical supplies), consumer staples (grocery stores and other essential services), consumer discretionary
(discount retail chains) and technology, which is benefiting from the increase in working remotely. On the other hand, our managers are
reducing exposure to sectors like energy due to lower oil prices, financials, where lower interest rates could impair the earnings potential
for some banks and asset managers, as well as travel and tourism.
Generally, stock markets fall dramatically for two reasons: 1) new capital has run dry following excessive speculation; and 2) natural
disasters. In a recent whitepaper titled Market Disruptions – Then and Now, I highlighted three incidents in recent history to demonstrate
how and why markets reacted as they did following this template, before outlining our expectation for the current COVID-19 pandemic.
Returns in % at March 31, 2020 (Class I) 3 months 1 year 3 years 5 years 10 years
Portfolio Series Income Fund -7.2 -1.5 2.0 3.0 6.5
Portfolio Series Conservative Fund -8.7 -2.2 2.2 2.9 6.5
Portfolio Series Conservative Balanced Fund -10.6 -3.8 1.8 2.9 6.9
Portfolio Series Balanced Fund -12.9 -5.7 1.2 2.7 6.9
Portfolio Series Balanced Growth Fund -15.8 -8.4 0.2 2.4 7.0
Portfolio Series Growth Fund -17.6 -9.8 0.0 2.3 7.2
Portfolio Series Maximum Growth Fund -19.7 -11.5 -0.4 2.4 7.6
Source: RBC Investor & Treasury Services, as at March 31, 2020
Quarterly Portfolio Review as at March 31, 2020
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Commentary
5
Outlook and positioningShort-term results remain unclear as they depend on consumer confidence and the evolution of the pandemic, something markets
appear to have priced in. As long as the pandemic doesn’t worsen, further downside should be limited. In the meantime, central
banks and governments are doing whatever they can to avoid a deep recession. The fiscal and monetary policy actions
announced over the past few weeks are significant. In our view, the monetary policy package (which includes unlimited
quantitative easing) will:
• Unclog contagion in credit markets
• Support bond prices and potentially restore negative correlation between government bonds and stocks
• Increase inflationary pressures
• Lead to a weaker U.S. dollar as dollar supply increases.
Looking ahead, investors should focus on growth. Central banks are expanding their balances sheets (printing money) and
interest rates are zero. Paper money will be worth less and investors need to invest in assets to protect their purchasing power.
We are committed to investing investors’ capital in a diversified basket of quality businesses. That is the only way to win.
We hope you and your family are keeping well and are taking comfort in knowing that your financial health is being managed by
your financial advisor and our team. It can be challenging to go through a pandemic event of this severity but this one, like others,
shall pass.
Source: CI Multi-Asset Management, Bloomberg Finance L.P. and CI Investments Inc. as at April 7, 2020.
Quarterly Portfolio Review as at March 31, 2020
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CommentaryQuarterly Portfolio Review as at March 31, 2020
6
Outlook and positioning
Neutral weight refers to the targeted strategic asset allocation for the portfolios. Overweight/underweight is the amount the current asset allocation differs from the neutral weighting.
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Calendar Year Returns (Gross of Fees)
3 Year Risk Statistics
Portfolio Series Income Fund – Class IQuarterly Portfolio Review as at March 31, 2020
Bond Information#
Annualized Returns (Gross of Fees)
Portfolio yield (approx.) 3.5%
Duration in years 6.00
*Returns are presented using the Class I units of the fund, which do not include any embedded fees or expenses accordingly net returns and gross returns are the same. Source - CI Investments.**15% S&P/TSX Composite TR Index, 70% FTSE Canada Universe Bond Index, 15% MSCI World TR Index (CAD$) – Sourced from Bloomberg based on monthly rebalancing of weights. # Bond Characteristics have been sourced from MSCI BarraOne as at March 31, 2020. The Benchmark for this fund has changed recently. Please see page 49 for Benchmark history.
7
Standard Deviation Sharpe Ratio Tracking Error Up Capture Ratio Down Capture Ratio
Portfolio Series Income* 5.26 0.13 1.87 80.64% 86.78%
Benchmark** 5.21 0.29 - 100.00% 100.00%
Standard Deviation Sharpe Ratio Tracking Error Up Capture Ratio Down Capture Ratio
Portfolio Series Income* 4.92 0.40 1.94 100.91% 95.84%
Benchmark** 4.53 0.38 - 100.00% 100.00%
5 Year Risk Statistics
As at March 31, 2020 3 mos (%) 1 yr (%) 3 yr (%) 4 yr (%) 5 yr (%) 7 yr (%) 10 yr (%)
Portfolio Series Income* -7.17 -1.55 2.05 3.62 3.02 5.29 6.47
Benchmark** -4.42 0.22 2.88 3.55 2.75 4.31 5.00
Difference -2.75 -1.77 -0.83 0.07 0.27 0.98 1.47
2019 (%) 2018 (%) 2017 (%) 2016 (%) 2015 (%) 2014 (%) 2013 (%)
Portfolio Series Income* 10.54 0.24 5.86 5.56 6.65 9.81 10.78
Benchmark** 11.06 -0.27 4.74 4.80 3.18 9.75 4.20
Difference -0.52 0.51 1.12 0.76 3.47 0.06 6.58
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Asset Class
Portfolio Series Income Fund – Class IQuarterly Portfolio Review as at March 31, 2020
Top Holdings
8
SectorFund Avg.
Allocation (%)Benchmark* Avg.
Allocation (%)Active Weight (%) Active Contribution (%)
Cash 9.20 0.00
Fixed Income 53.06 70.69
Equity 33.07 29.23
Others** 4.67 0.08
Total 100.00 100.00
Total Effect
*15% S&P/TSX Composite TR Index, 70% FTSE Canada Universe Bond Index, 15% MSCI World TR Index (CAD$). Attribution, weights, contribution and total effect sourced from Factset. The Benchmark for this fund has changed recently. Please see page 49 for Benchmark history.** Others includes – Currency forwards, derivatives, Exchange Traded Funds and Preferred shares.
Signature Canadian Bond Fund (Class I) 16.57%
CI Income Fund (Class I) 14.67%
CI Global High Dividend Advantage Fund (Class I) 7.40%
Signature Global Bond Fund (Class I) 7.15%
Signature Corporate Bond Fund (Class I) 6.30%
CI Investment Grade Bond Fund (Class I) 5.09%
Cambridge Bond Fund (Class C) 5.04%
Signature Global Dividend Corporate Class (Class I) 4.19%
Cambridge Global Dividend Fund (Class I) 4.01%
Signature Dividend Corporate Class (Class I) 3.96%
Lawrence Park Alternate Investment Grade Fund (Class I) 3.47%
CI U.S. Income US$ Pool (Class I) 3.39%
CI First Asset Enhanced Government Bond ETF 3.20%
Sentry Canadian Income Fund (Class I) 3.04%
Munro Altern Glb Growth Fundd (Class I) 2.43%
SPDR S&P 500 ETF Trust 2.01%
Cambridge Canadian Dividend Fund (Class I) 1.48%
4.59
3.84
-17.63
9.20
-1.71
-0.95
-0.45
0.39
-1.20
-0.98
-1.56
1.03
-2.72
-3.00 -2.00 -1.00 0.00 1.00 2.00
Fixed Income
Equity
Others
Cash & Equivalents
Portfolio
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Portfolio Series Income Fund – Class IQuarterly Portfolio Review as at March 31, 2020
Equity Sector Analysis
9
SectorFund Avg. Allocation
(%)
Benchmark* Avg.
Allocation (%)
Active Weight (%) Active Contribution (%)
Communication Services 6.21 7.87
Health Care 12.14 6.70
Materials 5.01 7.74
Information Technology 10.92 12.23
Consumer Discretionary 6.01 7.32
Utilities 7.30 4.26
Real Estate 3.88 3.40
Energy 8.40 9.98
Financials 18.32 23.66
Consumer Staples 10.46 6.15
Industrials 11.36 10.69
Total 100.00 100.00
*15% S&P/TSX Composite TR Index, 70% FTSE Canada Universe Bond Index, 15% MSCI World TR Index (CAD$). Attribution, weights, contribution and total effect sourced from Factset. The Benchmark for this fund has changed recently. Please see page 49 for Benchmark history.
0.66
4.31
-5.34
-1.59
0.48
3.03
-1.31
-1.31
-2.73
5.45
-1.66
-0.34
-0.19
-0.16
-0.15
-0.10
-0.06
-0.03
-0.02
0.03
0.03
0.05
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Portfolio Series Income Fund – Class IQuarterly Portfolio Review as at March 31, 2020
10
CountryFund Avg. Allocation
(%)
Benchmark* Avg.
Allocation (%)Active Weight (%) Active Contribution (%)
Japan 1.93 1.05
Switzerland 1.18 0.42
Spain 1.03 0.12
Italy 0.96 0.10
Germany 1.14 0.36
Netherlands 0.75 0.18
Others 5.46 2.71
France 2.26 0.48
United Kingdom 3.73 0.73
Canada 49.80 84.89
United States 31.77 8.96
Total 100.00 100.00
Geographic Analysis
*15% S&P/TSX Composite TR Index, 70% FTSE Canada Universe Bond Index, 15% MSCI World TR Index (CAD$). Attribution, weights, contribution and total effect sourced from Factset. The Benchmark for this fund has changed recently. Please see page 49 for Benchmark history.
22.80
-35.08
3.00
1.79
2.74
0.57
0.77
0.86
0.91
0.76
0.88
-1.13
-0.79
-0.26
-0.22
-0.17
-0.12
-0.11
-0.03
0.01
0.05
0.06
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Portfolio Series Income Fund – Class IQuarterly Portfolio Review as at March 31, 2020
11
Fund Performance -7.22
Benchmark Performance -4.50
Difference -2.72
Fixed Income -1.20
Asset Allocation Effect -1.17
Sector Allocation Effect -0.65
Security Selection -0.91
Interest Rate Effect -0.07
Currency Effect 1.59
Equity -0.98
Asset Allocation Effect -0.42
Sector Allocation Effect 0.54
Security Selection -1.70
Interest Rate Effect 0.00
Currency Effect 0.59
Others -1.56
Asset Allocation Effect -0.69
Sector Allocation Effect -0.10
Security Selection 0.46
Interest Rate Effect 0.09
Currency Effect -1.33
Cash & Equivalents 1.03
Asset Allocation Effect 0.74
Sector Allocation Effect 0.00
Security Selection 0.00
Interest Rate Effect 0.00
Currency Effect 0.29
Benchmark - 15% S&P/TSX Composite TR Index, 70% FTSE Canada Universe Bond Index, 15% MSCI World TR Index (CAD$). The Benchmark for this fund has changed recently. Please see page 49 for Benchmark history.Attribution report produced by Factset, as at March 31, 2020. Attribution results are meant to provide general insight into results and not exact performance spread against benchmarks. Portfolio returns are shown gross of all fees and expenses.* Others includes – Currency forwards, derivatives, Exchange Traded Funds and Preferred shares.
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Portfolio Series Income Fund – Class I
12
Quarterly Portfolio Commentary as at March 31, 2020
Performance Summary
▪ The portfolio returned -7.17% during the first quarter of 2020, underperforming against its blended benchmark (15% S&P/TSX CompositeTR Index, 70% FTSE Canada Universe Bond Index, 15% MSCI World TR Index (C$)), which returned -4.42 %.
Contributors to Performance
▪ Key contributors to performance over the quarter included government bonds, gold, Canadian equities and liquid alternatives.
▪ Signature Global Bond Fund, CI First Asset Enhanced Government Bond ETF, SPDR Gold Shares, Sentry Canadian Income Fund, SignatureDividend Corporate Class and CI Munro Alternative Global Growth Fund added value on a relative basis.
▪ Top contributors over the quarter were Microsoft Corp., Gilead Sciences Inc. and Roche Holding AG.
Detractors from Performance
▪ Detractors from performance included the value factor and global dividend funds.
▪ CI First Asset Morningstar International Value Index ETF, CI Global High Dividend Advantage Corporate Class and Signature Global DividendCorporate Class detracted value on a relative basis.
▪ Top detractors over the quarter were Vermilion Energy Inc., Canadian Natural Resources Ltd. and Keyera Corp.
Portfolio Activity
▪ We added to the portfolio’s currency exposure to the Japanese yen as we expected other central banks would cut interest rates andJapan’s rate was already at zero.
▪ We increased the portfolio’s exposure to gold bullion as we believe it has higher upside potential and diversification benefits compared tofixed income.
▪ We reduced our weighting to equity at the beginning of the quarter in favor of cash, before averaging back into the market in the latterhalf.
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Calendar Year Returns (Gross of Fees)
3 Year Risk Statistics
Portfolio Series Conservative Fund – Class IQuarterly Portfolio Review as at March 31, 2020
Annualized Returns (Gross of Fees)
*Returns are presented using the Class I units of the fund, which do not include any embedded fees or expenses accordingly net returns and gross returns are the same. Source - CI Investments.**20% S&P/TSX Composite TR Index, 60% FTSE Canada Universe Bond Index, 20% MSCI World TR Index (CAD$) – Sourced from Bloomberg based on monthly rebalancing of weights. 13
Standard Deviation
Sharpe Ratio Tracking ErrorUp Capture
RatioDown Capture
Ratio
Portfolio Series Conservative* 6.26 0.12 1.63 88.12% 94.38%
Benchmark** 6.15 0.24 - 100.00% 100.00%
5 Year Risk Statistics
As at March 31, 2020 3 mos (%) 1 yr (%) 3 yr (%) 4 yr (%) 5 yr (%) 7 yr (%) 10 yr (%)
Portfolio Series Conservative* -8.67 -2.21 2.16 4.01 2.88 5.73 6.54
Benchmark** -6.37 -1.21 2.86 4.14 3.13 5.21 5.70
Difference -2.30 -1.00 -0.70 -0.13 -0.25 0.51 0.84
2019 (%) 2018 (%) 2017 (%) 2016 (%) 2015 (%) 2014 (%) 2013 (%)
Portfolio Series Conservative* 12.73 -0.19 6.43 5.24 6.53 10.57 14.21
Benchmark** 12.91 -0.94 6.33 6.11 4.03 10.50 8.37
Difference -0.18 0.75 0.10 -0.87 2.50 0.07 5.84
Standard Deviation
Sharpe Ratio Tracking ErrorUp Capture
RatioDown Capture
Ratio
Portfolio Series Conservative* 5.77 0.32 1.64 98.98% 102.73%
Benchmark** 5.43 0.39 - 100.00% 100.00%
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Portfolio Series Conservative Fund – Class IQuarterly Portfolio Review as at March 31, 2020
Top Holdings
14
Signature Canadian Bond Fund (Class I) 21.35%
CI Income Fund (Class I) 11.76%
Synergy Canadian Corporate Class (Class I) 6.32%
Cambridge Canadian Dividend Fund (Class I) 5.90%
Signature Global Bond Fund (Class I) 5.71%
Signature Corporate Bond Fund (Class I) 5.34%
CI American Managers Corporate Class (Class I) 4.33%
Cambridge Bond Fund (Class C) 4.04%
Munro Alternate Global Growth Fund 3.52%
CI First Asset Enhanced Government Bond ETF 3.21%
CI First Asset Morningstar Canada Momentum Index ETF 3.20%
CI First Asset MSCI Canada Quality Index Class ETF 2.68%
CI U.S. Income US$ Pool (Class I) 2.66%
CI First Asset Morningstar International Value Index ETF 2.16%
Signature Emerging Markets Corporate Class (Class I) 2.10%
SPDR S&P 500 ETF Trust 2.03%
CI International Value Corporate Class (Class I) 1.98%
SectorFund Avg.
Allocation (%)Benchmark* Avg.
Allocation (%)Active Weight (%) Active Contribution (%)
Cash 9.42 0.00
Fixed Income 44.41 60.80
Others** 2.28 0.03
Equity 43.88 39.16
Total 100.00 100.00
Asset Class
Total Effect
*20% S&P/TSX Composite TR Index, 60% FTSE Canada Universe Bond Index, 20% MSCI World TR Index (CAD$). Attribution, weights, contribution and total effect sourced from Factset. ** Others includes – Currency forwards, derivatives, Exchange Traded Funds and Preferred shares.
4.72
2.25
-16.39
9.42
-1.65
-0.93
-0.39
0.39
-1.36
-1.62
-0.82
1.22
-2.59
-3.00 -2.00 -1.00 0.00 1.00 2.00
Fixed Income
Equity
Others
Cash & Equivalents
Portfolio
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Portfolio Series Conservative Fund – Class IQuarterly Portfolio Review as at March 31, 2020
15
SectorFund Avg. Allocation
(%)
Benchmark* Avg.
Allocation (%)Active Weight (%) Active Contribution (%)
Energy 6.98 9.79
Utilities 4.45 4.36
Communication Services 6.36 7.16
Health Care 7.96 7.32
Materials 6.44 7.63
Financials 20.52 23.42
Information Technology 12.70 12.40
Real Estate 5.30 3.44
Consumer Staples 7.88 6.30
Consumer Discretionary 9.21 7.07
Industrials 12.20 11.10
Total 100.00 100.00
Equity Sector Analysis
*20% S&P/TSX Composite TR Index, 60% FTSE Canada Universe Bond Index, 20% MSCI World TR Index (CAD$). Attribution, weights, contribution and total effect sourced from Factset.
1.11
2.14
1.58
1.86
0.29
-2.89
-1.19
0.64
-0.80
0.08
-2.81
-0.56
-0.42
-0.22
-0.17
-0.13
-0.13
-0.09
-0.04
0.01
0.03
0.06
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Portfolio Series Conservative Fund – Class IQuarterly Portfolio Review as at March 31, 2020
16
CountryFund Avg. Allocation
(%)
Benchmark* Avg. Allocation
(%)Active Weight (%) Active Contribution (%)
United States 26.06 13.25
Spain 0.94 0.18
Switzerland 0.93 0.64
Japan 3.17 1.60
Germany 1.07 0.55
France 1.84 0.73
China 1.60 0.00
Netherlands 0.89 0.27
United Kingdom 3.04 1.07
Others 7.27 1.52
Canada 53.19 80.20
Total 100.00 100.00
Geographic Analysis
*20% S&P/TSX Composite TR Index, 60% FTSE Canada Universe Bond Index, 20% MSCI World TR Index (CAD$). Attribution, weights, contribution and total effect sourced from Factset.
-27.01
5.76
1.97
0.62
1.60
1.11
0.52
1.57
0.29
0.76
12.81
-1.23
-0.81
-0.22
-0.14
-0.09
-0.07
-0.06
-0.04
-0.03
0.02
0.10
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Portfolio Series Conservative Fund – Class IQuarterly Portfolio Review as at March 31, 2020
17
Benchmark - 20% S&P/TSX Composite TR Index, 60% FTSE Canada Universe Bond Index, 20% MSCI World TR Index (CAD$).Attribution report produced by Factset, as at March 31, 2020. Attribution results are meant to provide general insight into results and not exact performance spread against benchmarks. Portfolio returns are shown gross of all fees and expenses.* Others includes – Currency forwards, derivatives, Exchange Traded Funds and Preferred shares.
Fund Performance -8.93
Benchmark Performance -6.34
Difference -2.59
Fixed Income -1.36
Asset Allocation Effect -1.37
Sector Allocation Effect -0.31
Security Selection -1.03
Interest Rate Effect 0.05
Currency Effect 1.29
Equity -1.62
Asset Allocation Effect -0.43
Sector Allocation Effect 0.35
Security Selection -1.82
Interest Rate Effect 0.00
Currency Effect 0.28
Others -0.82
Asset Allocation Effect 0.13
Sector Allocation Effect 0.06
Security Selection 0.00
Interest Rate Effect 0.02
Currency Effect -1.03
Cash & Equivalents 1.22
Asset Allocation Effect 0.97
Sector Allocation Effect 0.00
Security Selection 0.00
Interest Rate Effect 0.00
Currency Effect 0.25
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Portfolio Series Conservative Fund – Class I
18
Quarterly Portfolio Commentary as at March 31, 2020
Performance Summary
▪ The portfolio returned -8.67% during the first quarter of 2020, underperforming against its blended benchmark (20% S&P/TSX CompositeTR Index, 60% FTSE Canada Universe Bond Index, 20% MSCI World TR Index (CAD$)), which returned -6.37%.
Contributors to Performance
▪ Key contributors to performance over the quarter included government bonds, gold and liquid alternatives.
▪ Signature Global Bond Fund, CI First Asset Enhanced Government Bond ETF, SPDR Gold Shares and CI Munro Alternative Global GrowthFund added value on a relative basis.
▪ Top contributors over the quarter were Microsoft Corp., Amazon.com, Inc. and Gilead Sciences Inc.
Detractors from Performance
▪ Detractors from performance included corporate bonds, equities and currency hedging.
▪ Signature Corporate Bond Fund, Cambridge Canadian Dividend Fund, CI American Value Corporate Class, Black Creek International EquityFund and CI First Asset Morningstar International Value Index ETF detracted value on a relative basis.
▪ Top detractors over the quarter were Keyera Corp., Canadian Natural Resources Ltd. and Air Canada
Portfolio Activity
▪ We added to the portfolio’s currency exposure to the Japanese yen as we expected other central banks would cut interest rates andJapan’s rate was already at zero.
▪ We increased the portfolio’s exposure to gold bullion as we believe it has higher upside potential and diversification benefits compared tofixed income.
▪ We reduced our weighting to equity at the beginning of the quarter in favor of cash, before averaging back into the market in the latterhalf.
▪ Despite the strengthening of the U.S. dollar over the quarter due to a flight to safety and global dollar shortage, we increased our hedgeratios within the portfolio as we expect the U.S. dollar to weaken going forward.
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Calendar Year Returns (Gross of Fees)
3 Year Risk Statistics
Portfolio Series Conservative Balanced Fund – Class IQuarterly Portfolio Review as at March 31, 2020
Annualized Returns (Gross of Fees)
*Returns are presented using the Class I units of the fund, which do not include any embedded fees or expenses accordingly net returns and gross returns are the same. Source – CI Investments.**25% S&P/TSX Composite TR Index, 50% FTSE Canada Universe Bond Index, 25% MSCI World TR Index (CAD$) – Sourced from Bloomberg based on monthly rebalancing of weights. 19
Standard Deviation
Sharpe Ratio Tracking ErrorUp Capture
RatioDown Capture
Ratio
Portfolio Series Conservative Balanced* 7.14 0.06 1.62 87.39% 94.56%
Benchmark** 7.07 0.17 - 100.00% 100.00%
As at March 31, 2020 3 mos (%) 1 yr (%) 3 yr (%) 4 yr (%) 5 yr (%) 7 yr (%) 10 yr (%)
Portfolio Series Conservative Balanced*
-10.62 -3.83 1.80 4.14 2.92 6.18 6.91
Benchmark** -8.30 -2.64 2.61 4.36 3.22 5.63 6.02
Difference -2.32 -1.19 -0.82 -0.22 -0.30 0.55 0.90
2019 (%) 2018 (%) 2017 (%) 2016 (%) 2015 (%) 2014 (%) 2013 (%)
Portfolio Series Conservative Balanced*
14.12 -1.11 7.55 6.39 6.58 11.45 17.47
Benchmark** 14.44 -1.54 7.29 7.23 4.14 10.93 10.88
Difference -0.31 0.43 0.26 -0.83 2.44 0.53 6.59
Standard Deviation
Sharpe Ratio Tracking ErrorUp Capture
RatioDown Capture
Ratio
Portfolio Series Conservative Balanced* 6.54 0.29 1.65 97.53% 100.96%
Benchmark** 6.23 0.35 - 100.00% 100.00%
5 Year Risk Statistics
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Portfolio Series Conservative Balanced Fund – Class IQuarterly Portfolio Review as at March 31, 2020
Top Holdings
20
SectorFund Avg.
Allocation (%)Benchmark* Avg.
Allocation (%)Active Weight (%) Active Contribution (%)
Cash 8.06 0.00
Fixed Income 36.74 50.86
Others** 2.21 0.04
Equity 52.98 49.10
Total 100.00 100.00
Asset Class
Signature Canadian Bond Fund (Class I) 17.63%
CI Income Fund (Class I) 7.59%
Signature Global Bond Fund (Class I) 5.86%
Cambridge Canadian Dividend Fund (Class I) 5.83%
Synergy Canadian Corporate Class (Class I) 5.39%
CI American Managers Corporate Class (Class I) 5.37%
Signature Emerging Markets Corporate Class (Class I) 4.48%
Signature Corporate Bond Fund (Class I) 4.38%
Cambridge Canadian Equity Corporate Class (Class I) 3.88%
CI First Asset Morningstar Canada Momentum Index ETF 3.80%
Munro Alternate Global Growth Fund 3.79%
Signature Select Canadian Fund (Class I) 3.28%
Cambridge Bond Fund (Class C) 3.04%
CI International Value Corporate Class (Class I) 2.88%
CI First Asset MSCI Canada Quality Index Class ETF 2.73%
CI First Asset Morningstar International Value Index ETF 2.65%
CI First Asset MSCI World Low Risk Weighted ETF 2.38%
Total Effect
*25% S&P/TSX Composite TR Index, 50% FTSE Canada Universe Bond Index, 25% MSCI World TR Index (CAD$). Attribution, weights, contribution and total effect sourced from Factset.** Others includes – Currency forwards, derivatives, Exchange Traded Funds and Preferred shares.
3.89
2.17
-14.12
8.06
-1.63
-0.96
-0.19
0.33
-1.29
-1.57
-0.86
1.27
-2.46
-3.00 -2.00 -1.00 0.00 1.00 2.00
Fixed Income
Equity
Others
Cash & Equivalents
Portfolio
FOR INSTITUTIONAL USE ONLY
Portfolio Series Conservative Balanced Fund – Class IQuarterly Portfolio Review as at March 31, 2020
21
Equity Sector Analysis
SectorFund Avg. Allocation
(%)
Benchmark* Avg.
Allocation (%)
Active Weight (%) Active Contribution (%)
Energy 7.12 9.82
Communication Services 6.43 7.66
Utilities 4.60 4.33
Health Care 7.89 7.32
Information Technology 12.06 12.37
Materials 7.09 7.55
Real Estate 5.04 3.42
Financials 20.72 23.19
Consumer Staples 7.94 6.28
Consumer Discretionary 9.33 7.04
Industrials 11.78 11.02
Total 100.00 100.00
*25% S&P/TSX Composite TR Index, 50% FTSE Canada Universe Bond Index, 25% MSCI World TR Index (CAD$). Attribution, weights, contribution and total effect sourced from Factset.
0.76
2.28
1.66
-2.47
1.63
-0.46
-0.31
0.57
0.27
-1.23
-2.71
-0.60
-0.39
-0.27
-0.20
-0.17
-0.15
-0.10
-0.02
-0.01
0.13
0.15
FOR INSTITUTIONAL USE ONLY
Portfolio Series Conservative Balanced Fund – Class IQuarterly Portfolio Review as at March 31, 2020
22
Geographic Analysis
CountryFund Avg. Allocation
(%)
Benchmark Avg. Allocation
(%)Active Weight (%) Active Contribution (%)
United States 26.60 16.40
Hong Kong 0.93 0.29
Switzerland 1.01 0.80
France 1.91 0.91
Germany 1.13 0.69
Japan 3.48 2.01
China 2.57 0.00
Netherlands 0.90 0.33
United Kingdom 3.27 1.32
Canada 49.75 75.42
Others 8.45 1.82
Total 100.00 100.00
*25% S&P/TSX Composite TR Index, 50% FTSE Canada Universe Bond Index, 25% MSCI World TR Index (CAD$). Attribution, weights, contribution and total effect sourced from Factset.
6.63
-25.67
1.95
0.57
2.57
1.47
0.44
1.00
0.22
0.63
10.20
-1.08
-0.71
-0.27
-0.15
-0.10
-0.05
-0.05
-0.04
-0.03
-0.02
0.06
FOR INSTITUTIONAL USE ONLY
Portfolio Series Conservative Balanced Fund – Class IQuarterly Portfolio Review as at March 31, 2020
23
Benchmark -25% S&P/TSX Composite TR Index, 50% FTSE Canada Universe Bond Index, 25% MSCI World TR Index (CAD$).Attribution report produced by Factset, as at March 31, 2020. Attribution results are meant to provide general insight into results and not exact performance spread against benchmarks. Portfolio returns are shown gross of all fees and expenses.* Others includes – Currency forwards, derivatives, Exchange Traded Funds and Preferred shares.
Fund Performance -10.78
Benchmark Performance -8.33
Difference -2.46
Fixed Income -1.29
Asset Allocation Effect -1.43
Sector Allocation Effect -0.22
Security Selection -0.80
Interest Rate Effect 0.04
Currency Effect 1.12
Equity -1.57
Asset Allocation Effect -0.22
Sector Allocation Effect 0.38
Security Selection -2.00
Interest Rate Effect 0.00
Currency Effect 0.27
Others -0.86
Asset Allocation Effect 0.19
Sector Allocation Effect 0.04
Security Selection 0.00
Interest Rate Effect 0.01
Currency Effect -1.10
Cash & Equivalents 1.27
Asset Allocation Effect 1.08
Sector Allocation Effect 0.00
Security Selection 0.00
Interest Rate Effect 0.00
Currency Effect 0.18
FOR INSTITUTIONAL USE ONLY
Portfolio Series Conservative Balanced Fund – Class I
24
Quarterly Portfolio Commentary as at March 31, 2020
Performance Summary
▪ The portfolio returned -10.62 % during the first quarter of 2020, underperforming against its blended benchmark (25% S&P/TSXComposite TR Index, 50% FTSE Canada Universe Bond Index, 25% MSCI World TR Index (CAD$)), which returned -8.30%.
Contributors to Performance
▪ Key contributors to performance over the quarter included government bonds, gold and liquid alternatives
▪ Signature Global Bond Fund, CI First Asset Enhanced Government Bond ETF, SPDR Gold Shares and CI Munro Alternative Global GrowthFund added value on a relative basis.
▪ Top contributors over the quarter were Microsoft Corp., Amazon.com, Inc. and Gilead Sciences Inc.
Detractors from Performance
▪ Detractors from performance included corporate bonds, equities and currency hedging.
▪ Signature Corporate Bond Fund, Cambridge Canadian Dividend Fund, CI American Value Corporate Class, Black Creek International EquityFund and CI First Asset Morningstar International Value Index ETF detracted value on a relative basis.
▪ Top detractors over the quarter were Keyera Corp., Canadian Natural Resources Ltd. and Vermilion Energy Inc
Portfolio Activity
▪ We added to the portfolio’s currency exposure to the Japanese yen as we expected other central banks would cut interest rates andJapan’s rate was already at zero.
▪ We increased the portfolio’s exposure to gold bullion as we believe it has higher upside potential and diversification benefits compared tofixed income.
▪ We reduced our weighting to equity at the beginning of the quarter in favor of cash, before averaging back into the market in the latterhalf.
▪ Despite the strengthening of the U.S. dollar over the quarter due to a flight to safety and global dollar shortage, we increased our hedgeratios within the portfolio as we expect the U.S. dollar to weaken going forward.
FOR INSTITUTIONAL USE ONLY
Calendar Year Returns (Gross of Fees)
3 Year Risk Statistics
Portfolio Series Balanced Fund – Class IQuarterly Portfolio Review as at March 31, 2020
Annualized Returns (Gross of Fees)
*Returns are presented using the Class I units of the fund, which do not include any embedded fees or expenses accordingly net returns and gross returns are the same. Source – CI Investments.**30% S&P/TSX Composite TR Index, 40% FTSE Canada Universe Bond Index, 30% MSCI World TR Index (CAD$) – Sourced from Bloomberg based on monthly rebalancing of weights. The Benchmark for this fund has changed recently. Please see page 49 for Benchmark history. 25
Standard Deviation
Sharpe Ratio Tracking ErrorUp Capture
RatioDown Capture
Ratio
Portfolio Series Balanced* 8.29 -0.02 1.69 85.33% 96.71%
Benchmark** 8.07 0.14 - 100.00% 100.00%
As at March 31, 2020 3 mos (%) 1 yr (%) 3 yr (%) 4 yr (%) 5 yr (%) 7 yr (%) 10 yr (%)
Portfolio Series Balanced* -12.86 -5.71 1.19 4.02 2.66 6.24 6.93
Benchmark** -10.21 -4.08 2.50 4.67 3.45 6.35 6.60
Difference -2.66 -1.63 -1.31 -0.66 -0.79 -0.11 0.34
2019 (%) 2018 (%) 2017 (%) 2016 (%) 2015 (%) 2014 (%) 2013 (%)
Portfolio Series Balanced* 15.44 -2.22 8.79 6.81 6.85 11.52 19.36
Benchmark** 15.81 -1.71 8.56 7.58 5.60 11.58 14.51
Difference -0.37 -0.51 0.23 -0.77 1.26 -0.06 4.85
Standard Deviation
Sharpe Ratio Tracking ErrorUp Capture
RatioDown Capture
Ratio
Portfolio Series Balanced* 7.54 0.22 1.61 94.13% 101.93%
Benchmark** 7.20 0.34 - 100.00% 100.00%
5 Year Risk Statistics
FOR INSTITUTIONAL USE ONLY
Asset Class
Portfolio Series Balanced Fund – Class IQuarterly Portfolio Review as at March 31, 2020
Top Holdings
26
Signature Canadian Bond Fund (Class I) 15.10%
Synergy Canadian Corporate Class (Class I) 5.64%
Munro Alternate Global Growth Fund 5.57%
Cambridge Canadian Dividend Fund (Class I) 5.15%
Signature Emerging Markets Corporate Class (Class I) 5.00%
CI American Managers Corporate Class (Class I) 4.92%
CI First Asset Morningstar Canada Momentum Index ETF 4.49%
Signature Corporate Bond Fund (Class I) 3.91%
Cambridge Canadian Equity Corporate Class (Class I) 3.90%
CI First Asset MSCI Canada Quality Index Class ETF 3.70%
CI International Value Corporate Class (Class I) 3.33%
CI Income Fund (Class I) 3.27%
Signature Select Canadian Fund (Class I) 3.27%
Sentry Canadian Income Fund I 3.17%
Black Creek International Equity Fund (Class I) 2.98%
CI First Asset Morningstar International Value Index ETF 2.74%
CI U.S. Income US$ Pool (Class I) 2.60%
SectorFund Avg.
Allocation (%)Benchmark* Avg.
Allocation (%)Active Weight (%) Active Contribution (%)
Cash 8.30 0.00
Fixed Income 26.15 40.84
Others** 1.97 0.05
Equity 63.57 59.11
Total 100.00 100.00
Total Effect
*30% S&P/TSX Composite TR Index, 40% FTSE Canada Universe Bond Index, 30% MSCI World TR Index (CAD$). Attribution, weights, contribution and total effect sourced from Factset. The Benchmark for this fund has changed recently. Please see page 49 for Benchmark history.** Others includes – Currency forwards, derivatives, Exchange Traded Funds and Preferred shares.
4.46
1.92
-14.69
8.30
-1.93
-0.90
-0.32
0.34
-1.70
-1.76
-0.77
1.42
-2.81
-3.00 -2.00 -1.00 0.00 1.00 2.00
Fixed Income
Equity
Others
Cash & Equivalents
Portfolio
FOR INSTITUTIONAL USE ONLY
Portfolio Series Balanced Fund – Class IQuarterly Portfolio Review as at March 31, 2020
Equity Sector Analysis
27
SectorFund Avg. Allocation
(%)
Benchmark* Avg.
Allocation (%)Active Weight (%) Active Contribution (%)
Energy 6.55 9.77
Communication Services 6.77 7.17
Utilities 4.32 4.36
Health Care 8.06 7.33
Materials 6.59 7.63
Information Technology 12.77 12.41
Financials 20.53 23.41
Real Estate 5.10 3.44
Consumer Staples 7.77 6.31
Consumer Discretionary 9.44 7.07
Industrials 12.10 11.10
Total 100.00 100.00
*30% S&P/TSX Composite TR Index, 40% FTSE Canada Universe Bond Index, 30% MSCI World TR Index (CAD$). Attribution, weights, contribution and total effect sourced from Factset. The Benchmark for this fund has changed recently. Please see page 49 for Benchmark history.
1.01
2.37
1.47
1.66
-2.87
0.36
-1.04
0.73
-0.05
-0.39
-3.23
-0.77
-0.44
-0.33
-0.28
-0.19
-0.15
-0.10
-0.05
-0.02
0.03
0.39
FOR INSTITUTIONAL USE ONLY
Portfolio Series Balanced Fund – Class IQuarterly Portfolio Review as at March 31, 2020
28
CountryFund Avg.
Allocation (%)
Benchmark* Avg.
Allocation (%)Active Weight (%) Active Contribution (%)
Hong Kong 1.06 0.35
Switzerland 1.20 0.96
France 2.02 1.10
Japan 3.51 2.42
Germany 1.29 0.83
Canada 46.03 70.61
China 3.09 0.00
Netherlands 1.08 0.40
United States 28.74 19.57
United Kingdom 3.44 1.57
Others 8.53 2.18
Total 100.00 100.00
Geographic Analysis
*30% S&P/TSX Composite TR Index, 40% FTSE Canada Universe Bond Index, 30% MSCI World TR Index (CAD$). Attribution, weights, contribution and total effect sourced from Factset. The Benchmark for this fund has changed recently. Please see page 49 for Benchmark history.
6.35
1.87
9.16
0.68
3.09
-24.58
0.46
1.09
0.93
0.24
0.71
-1.35
-0.37
-0.32
-0.17
-0.15
-0.10
-0.09
-0.08
-0.07
-0.06
-0.03
FOR INSTITUTIONAL USE ONLY
Portfolio Series Balanced Fund – Class IQuarterly Portfolio Review as at March 31, 2020
29
Benchmark - 30% S&P/TSX Composite TR Index, 40% FTSE Canada Universe Bond Index, 30% MSCI World TR Index (CAD$) – Sourced from Bloomberg based on monthly rebalancing of weights. The Benchmark for this fund has changed recently. Please see page 49 for Benchmark history.Attribution report produced by Factset, as at March 31, 2020. Attribution results are meant to provide general insight into results and not exact performance spread against benchmarks. Portfolio returns are shown gross of all fees and expenses.* Others includes – Currency forwards, derivatives, Exchange Traded Funds and Preferred shares.
Fund Performance -12.97
Benchmark Performance -10.16
Difference -2.81
Fixed Income -1.70
Asset Allocation Effect -1.75
Sector Allocation Effect -0.22
Security Selection -0.65
Interest Rate Effect 0.07
Currency Effect 0.86
Equity -1.76
Asset Allocation Effect -0.25
Sector Allocation Effect 0.55
Security Selection -2.47
Interest Rate Effect 0.00
Currency Effect 0.41
Others -0.77
Asset Allocation Effect 0.33
Sector Allocation Effect 0.03
Security Selection 0.00
Interest Rate Effect 0.01
Currency Effect -1.14
Cash & Equivalents 1.42
Asset Allocation Effect 1.27
Sector Allocation Effect 0.00
Security Selection 0.00
Interest Rate Effect 0.00
Currency Effect 0.16
FOR INSTITUTIONAL USE ONLY
Portfolio Series Balanced Fund – Class I
30
Quarterly Portfolio Commentary as at March 31, 2020
Performance Summary
▪ The portfolio returned -12.86% during the first quarter of 2020, underperforming against its blended benchmark (40% FTSE CanadaUniverse Bond Index, 30% S&P/TSX Composite Index and 30% MSCI World C$ Index), which returned -10.21%.
Contributors to Performance
▪ Key contributors to performance over the quarter included government bonds, gold, the low volatility factor and the growth factor.
▪ Signature Global Bond Fund, CI First Asset Enhanced Government Bond ETF, SPDR Gold Shares, CI First Asset MSCI World Low RiskWeighted ETF, CI First Asset MSCI International Low Risk Weighted ETF and Munro Global Growth Equity Fund added value on a relativebasis.
▪ Top contributors over the quarter were Microsoft Corp., Amazon.com, Inc. and Harley-Davidson Inc.
Detractors from Performance
▪ Detractors from performance included corporate bonds, equities and currency hedging.
▪ Signature Corporate Bond Fund, Cambridge Canadian Dividend Fund, CI American Value Corporate Class, Black Creek International EquityFund and CI First Asset Morningstar International Value Index ETF detracted value on a relative basis.
▪ Top detractors over the quarter were Keyera Corp., Canadian Natural Resources Ltd. and Air Canada.
Portfolio Activity
▪ We added to the portfolio’s currency exposure to the Japanese yen as we expected other central banks would cut interest rates andJapan’s rate was already at zero.
▪ We increased the portfolio’s exposure to gold bullion as we believe it has higher upside potential and diversification benefits compared tofixed income.
▪ We reduced our weighting to equity at the beginning of the quarter in favour of cash, before averaging back into the market in the latterhalf.
▪ Despite the strengthening of the U.S. dollar over the quarter due to a flight to safety and global dollar shortage, we increased our hedgeratios within the portfolio as we expect the U.S. dollar to weaken going forward.
FOR INSTITUTIONAL USE ONLY
Calendar Year Returns (Gross of Fees)
3 Year Risk Statistics
Portfolio Series Balanced Growth Fund – Class IQuarterly Portfolio Review as at March 31, 2020
Annualized Returns (Gross of Fees)
*Returns are presented using the Class I units of the fund, which do not include any embedded fees or expenses accordingly net returns and gross returns are the same. Source – CI Investments.**35% S&P/TSX Composite TR Index, 30% FTSE Canada Universe Bond Index, 35% MSCI World TR Index (CAD$) – Sourced from Bloomberg based on monthly rebalancing of weights. The Benchmark for this fund has changed recently. Please see page 49 for Benchmark history. 31
Standard Deviation
Sharpe Ratio Tracking ErrorUp Capture
RatioDown Capture
Ratio
Portfolio Series Balanced Growth* 9.81 -0.12 2.09 87.58% 104.91%
Benchmark** 9.10 0.09 - 100.00% 100.00%
As at March 31, 2020 3 mos (%) 1 yr (%) 3 yr (%) 4 yr (%) 5 yr (%) 7 yr (%) 10 yr (%)
Portfolio Series Balanced Growth*
-15.79 -8.40 0.21 3.72 2.38 6.31 6.99
Benchmark** -12.09 -5.52 2.23 4.87 3.52 6.75 6.89
Difference -3.70 -2.87 -2.02 -1.15 -1.14 -0.44 0.10
2019 (%) 2018 (%) 2017 (%) 2016 (%) 2015 (%) 2014 (%) 2013 (%)
Portfolio Series Balanced Growth*
16.96 -3.89 10.53 7.70 7.08 11.14 22.32
Benchmark** 17.36 -2.33 9.54 8.70 5.69 12.01 17.14
Difference -0.39 -1.56 0.99 -1.00 1.39 -0.86 5.17
Standard Deviation
Sharpe Ratio Tracking ErrorUp Capture
RatioDown Capture
Ratio
Portfolio Series Balanced Growth* 8.82 0.15 1.96 96.46% 107.70%
Benchmark** 8.11 0.31 - 100.00% 100.00%
5 Year Risk Statistics
FOR INSTITUTIONAL USE ONLY
Asset Class
Portfolio Series Balanced Growth Fund – Class IQuarterly Portfolio Review as at March 31, 2020
Top Holdings
32
SectorFund Avg.
Allocation (%)Benchmark* Avg.
Allocation (%)Active Weight (%) Active Contribution (%)
Cash 4.81 0.00
Fixed Income 19.54 30.76
Others** 1.27 0.18
Equity 74.37 69.06
Total 100.00 100.00
Total Effect
*35% S&P/TSX Composite TR Index, 30% FTSE Canada Universe Bond Index, 35% MSCI World TR Index (CAD$) . Attribution, weights, contribution and total effect sourced from Factset. The Benchmark for this fund has changed recently. Please see page 49 for Benchmark history.** Others includes – Currency forwards, derivatives, Exchange Traded Funds and Preferred shares.
Signature Canadian Bond Fund (Class I) 17.36%
Cambridge Canadian Equity Corporate Class (Class I) 9.14%
Synergy Canadian Corporate Class (Class I) 6.46%
Signature Emerging Markets Corporate Class (Class I) 6.33%
Munro Global Growth Equity Fund (Class I) 6.09%
CI American Managers Corporate Class (Class I) 5.34%
CI First Asset Morningstar Canada Momentum Index ETF 5.13%
CI Income Fund (Class I) 5.02%
Signature Select Canadian Fund (Class I) 4.82%
Sentry Canadian Income Fund I 4.33%
CI Canadian Small/Mid Cap Fund (Class I) 4.26%
Black Creek International Equity Fund (Class I) 4.11%
CI First Asset MSCI Canada Quality Index Class ETF 3.06%
CI International Value Corporate Class (Class I) 3.05%
CI First Asset Morningstar International Value Index ETF 2.87%
CI First Asset MSCI World Low Risk Weighted ETF 2.50%
CI American Small Companies Corporate Class (Class I) 2.36%
5.31
1.09
-11.21
4.81
-2.35
-1.11
-0.16
0.13
-1.54
-1.79
-1.00
0.83
-3.50
-4.00 -3.00 -2.00 -1.00 0.00 1.00
Fixed Income
Equity
Others
Cash & Equivalents
Portfolio
FOR INSTITUTIONAL USE ONLY
Portfolio Series Balanced Growth Fund – Class IQuarterly Portfolio Review as at March 31, 2020
33
Equity Sector Analysis
SectorFund Avg.
Allocation (%)Benchmark* Avg.
Allocation (%)Active Weight (%) Active Contribution (%)
Energy 6.10 9.95
Communication Services 6.67 7.87
Utilities 4.16 4.27
Information Technology 13.30 12.24
Health Care 7.95 6.71
Financials 20.06 23.65
Materials 7.24 7.74
Consumer Staples 6.82 6.16
Real Estate 5.35 3.40
Consumer Discretionary 9.70 7.32
Industrials 12.65 10.69
Total 100.00 100.00
*35% S&P/TSX Composite TR Index, 30% FTSE Canada Universe Bond Index, 35% MSCI World TR Index (CAD$) . Attribution, weights, contribution and total effect sourced from Factset. The Benchmark for this fund has changed recently. Please see page 49 for Benchmark history.
1.96
2.38
1.95
0.66
-0.50
-3.59
1.24
1.06
-0.11
-1.20
-3.85
-1.09
-0.54
-0.40
-0.34
-0.26
-0.17
-0.16
-0.10
-0.08
0.09
0.68
FOR INSTITUTIONAL USE ONLY
Portfolio Series Balanced Growth Fund – Class IQuarterly Portfolio Review as at March 31, 2020
34
Geographic Analysis
CountryFund Avg.
Allocation (%)
Benchmark* Avg. Allocation
(%)Active Weight (%) Active Contribution (%)
Canada 46.71 65.62
Hong Kong 1.13 0.37
Switzerland 1.12 0.99
Germany 1.30 0.86
Japan 3.39 2.49
France 2.06 1.13
Netherlands 1.08 0.41
China 3.73 1.54
United Kingdom 3.26 1.61
United States 27.56 20.04
Others 8.67 4.94
Total 100.00 100.00
*35% S&P/TSX Composite TR Index, 30% FTSE Canada Universe Bond Index, 35% MSCI World TR Index (CAD$) . Attribution, weights, contribution and total effect sourced from Factset. The Benchmark for this fund has changed recently. Please see page 49 for Benchmark history.
3.73
7.52
1.65
2.18
0.67
0.93
0.90
0.44
0.13
0.77
-18.92
-1.07
-1.00
-0.53
-0.17
-0.16
-0.16
-0.14
-0.13
-0.09
-0.04
-0.01
FOR INSTITUTIONAL USE ONLY
Portfolio Series Balanced Growth Fund – Class IQuarterly Portfolio Review as at March 31, 2020
35
Benchmark: 35% S&P/TSX Composite TR Index, 30% FTSE Canada Universe Bond Index, 35% MSCI World TR Index (CAD$) .The Benchmark for this fund has changed recently. Please see page 49 for Benchmark history.Attribution report produced by Factset, as at March 31, 2020. Attribution results are meant to provide general insight into results and not exact performance spread against benchmarks. Portfolio returns are shown gross of all fees and expenses.* Others includes – Currency forwards, derivatives, Exchange Traded Funds and Preferred shares.
Fund Performance -15.77
Benchmark Performance -12.27
Difference -3.50
Fixed Income -1.54
Asset Allocation Effect -1.66
Sector Allocation Effect -0.20
Security Selection -0.05
Interest Rate Effect 0.01
Currency Effect 0.36
Equity -1.79
Asset Allocation Effect -0.25
Sector Allocation Effect 0.75
Security Selection -3.00
Interest Rate Effect 0.00
Currency Effect 0.70
Others -1.00
Asset Allocation Effect 0.19
Sector Allocation Effect 0.00
Security Selection 0.00
Interest Rate Effect 0.00
Currency Effect -1.18
Cash & Equivalents 0.83
Asset Allocation Effect 0.82
Sector Allocation Effect 0.00
Security Selection 0.00
Interest Rate Effect 0.00
Currency Effect 0.01
FOR INSTITUTIONAL USE ONLY
Portfolio Series Balanced Growth Fund – Class I
36
Quarterly Portfolio Commentary as at March 31, 2020
Performance Summary
▪ The portfolio returned -15.79% during the first quarter of 2020, underperforming against its blended benchmark (35% S&P/TSX CompositeTR Index, 30% FTSE Canada Universe Bond Index, 35% MSCI World TR Index (CAD$) ), which returned -12.09%.
Contributors to Performance
▪ Key contributors to performance over the quarter included gold, the low volatility factor and the growth factor.
▪ SPDR Gold Shares, CI First Asset MSCI World Low Risk Weighted ETF, CI First Asset MSCI International Low Risk Weighted ETF and MunroGlobal Growth Equity Fund added value on a relative basis.
▪ Top contributors over the quarter were Microsoft Corp., Amazon.com, Inc. and NVIDIA Corp.
Detractors from Performance
▪ Detractors from performance included the small-cap factor, equities and currency hedging.
▪ CI Canadian Small/Mid Cap Fund, CI American Value Corporate Class, Black Creek International Equity Fund and CI First Asset MorningstarInternational Value Index ETF detracted value on a relative basis.
▪ Top detractors over the quarter were Keyera Corp., Air Canada and Boeing Co.
Portfolio Activity
▪ We added to the portfolio’s currency exposure to the Japanese yen as we expected other central banks would cut interest rates and Japan’srate was already at zero.
▪ We increased the portfolio’s exposure to gold bullion as we believe it has higher upside potential and diversification benefits compared tofixed income.
▪ We reduced our weighting to equity at the beginning of the quarter in favor of cash, before averaging back into the market in the latter half.
▪ Despite the strengthening of the U.S. dollar over the quarter due to a flight to safety and global dollar shortage, we increased our hedgeratios within the portfolio as we expect the U.S. dollar to weaken going forward
FOR INSTITUTIONAL USE ONLY
Calendar Year Returns (Gross of Fees)
3 Year Risk Statistics
Portfolio Series Growth Fund – Class IQuarterly Portfolio Review as at March 31, 2020
Annualized Returns (Gross of Fees)
*Returns are presented using the Class I units of the fund, which do not include any embedded fees or expenses accordingly net returns and gross returns are the same. Source – CI Investments.**40% S&P/TSX Composite TR Index, 20% FTSE Canada Universe Bond Index, 40% MSCI World TR Index (CAD$) – Sourced from Bloomberg based on monthly rebalancing of weights. The Benchmark for this fund has changed recently. Please see page 49 for Benchmark history. 37
Standard Deviation
Sharpe Ratio Tracking ErrorUp Capture
RatioDown Capture
Ratio
Portfolio Series Growth* 10.84 -0.13 2.16 85.98% 102.07%
Benchmark** 10.18 0.07 - 100.00% 100.00%
As at March 31, 2020 3 mos (%) 1 yr (%) 3 yr (%) 4 yr (%) 5 yr (%) 7 yr (%) 10 yr (%)
Portfolio Series Growth* -17.57 -9.82 -0.01 3.75 2.34 6.64 7.22
Benchmark** -13.96 -6.97 2.09 5.16 3.72 7.45 7.45
Difference -3.61 -2.85 -2.10 -1.41 -1.38 -0.81 -0.23
2019 (%) 2018 (%) 2017 (%) 2016 (%) 2015 (%) 2014 (%) 2013 (%)
Portfolio Series Growth* 18.81 -4.28 10.93 8.16 7.16 11.32 25.64
Benchmark** 18.74 -2.51 10.83 9.04 7.15 12.67 20.96
Difference 0.08 -1.77 0.10 -0.88 0.01 -1.34 4.68
Standard Deviation
Sharpe Ratio Tracking ErrorUp Capture
RatioDown Capture
Ratio
Portfolio Series Growth* 9.71 0.14 2.04 92.28% 103.26%
Benchmark** 9.15 0.29 - 100.00% 100.00%
5 Year Risk Statistics
FOR INSTITUTIONAL USE ONLY
Portfolio Series Growth Fund – Class IQuarterly Portfolio Review as at March 31, 2020
Top Holdings
38
Cambridge Canadian Equity Corporate Class (Class I) 11.47%
Munro Global Growth Equity Fund (Class I) 9.69%
Signature Canadian Bond Fund (Class I) 9.61%
Signature Emerging Markets Corporate Class (Class I) 7.48%
Synergy Canadian Corporate Class (Class I) 7.22%
CI First Asset Morningstar Canada Momentum Index ETF 5.94%
CI American Managers Corporate Class (Class I) 5.86%
Signature Select Canadian Fund (Class I) 5.57%
Black Creek International Equity Fund (Class I) 4.78%
CI Canadian Small/Mid Cap Fund (Class I) 4.50%
CI International Value Corporate Class (Class I) 4.10%
Sentry Canadian Income Fund (Class I) 4.07%
CI First Asset MSCI Canada Quality Index Class ETF 4.04%
CI American Small Companies Corporate Class (Class I) 2.89%
CI First Asset MSCI World Low Risk Weighted ETF 2.59%
SPDR S&P 500 ETF Trust 2.54%
CI First Asset MSCI International Low Risk Weighted ETF 2.10%
Asset Class
SectorFund Avg.
Allocation (%)Benchmark* Avg.
Allocation (%)Active Weight (%) Active Contribution (%)
Cash 4.79 0.00
Fixed Income 9.74 20.51
Others** 0.24 0.00
Equity 85.23 79.49
Total 100.00 100.00
Total Effect
*40% S&P/TSX Composite TR Index, 20% FTSE Canada Universe Bond Index, 40% MSCI World TR Index (CAD$). Attribution, weights, contribution and total effect sourced from Factset.** Others includes – Currency forwards, derivatives, Exchange Traded Funds and Preferred shares. The Benchmark for this fund has changed recently. Please see page 49 for Benchmark history.
5.75
0.24
-10.77
4.79
-3.18
-1.02
-0.11
0.08
-1.40
-2.63
-0.91
0.72
-4.23
-5.00 -4.00 -3.00 -2.00 -1.00 0.00 1.00
Fixed Income
Equity
Others
Cash & Equivalents
Portfolio
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Portfolio Series Growth Fund – Class IQuarterly Portfolio Review as at March 31, 2020
39
Equity Sector Analysis
SectorFund Avg.
Allocation (%)Benchmark* Avg.
Allocation (%)Active Weight (%) Active Contribution (%)
Energy 6.05 9.40
Communication Services 6.90 8.19
Health Care 7.95 7.85
Utilities 3.79 4.28
Information Technology 14.25 15.53
Real Estate 4.86 3.30
Materials 7.24 6.77
Consumer Staples 7.03 5.76
Financials 19.75 21.94
Consumer Discretionary 9.98 6.87
Industrials 12.20 10.10
Total 100.00 100.00
*40% S&P/TSX Composite TR Index, 20% FTSE Canada Universe Bond Index, 40% MSCI World TR Index (CAD$). Attribution, weights, contribution and total effect sourced from Factset. The Benchmark for this fund has changed recently. Please see page 49 for Benchmark history.
2.10
3.11
-2.19
1.27
0.47
1.56
-1.28
-0.49
0.10
-1.29
-3.36
-1.25
-0.73
-0.52
-0.43
-0.43
-0.42
-0.16
-0.05
-0.05
0.11
0.75
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Portfolio Series Growth Fund – Class IQuarterly Portfolio Review as at March 31, 2020
40
Geographic Analysis
CountryFund Avg.
Allocation (%)Benchmark* Avg.
Allocation (%)Active Weight (%) Active Contribution (%)
United States 29.38 40.62
Hong Kong 1.09 0.00
Switzerland 1.23 0.00
Netherlands 1.26 0.00
China 4.44 0.00
Japan 3.27 0.00
Germany 1.42 0.00
France 2.36 0.00
Canada 42.67 59.35
United Kingdom 3.55 0.02
Others 9.31 0.01
Total 100.00 100.00
*40% S&P/TSX Composite TR Index, 20% FTSE Canada Universe Bond Index, 40% MSCI World TR Index (CAD$). Attribution, weights, contribution and total effect sourced from Factset. The Benchmark for this fund has changed recently. Please see page 49 for Benchmark history.
9.30
3.54
-16.67
2.36
1.42
3.27
4.44
1.26
1.23
1.09
-11.25
-2.45
-0.96
-0.45
-0.41
-0.32
-0.30
-0.25
-0.20
-0.13
-0.07
1.32
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Portfolio Series Growth Fund – Class IQuarterly Portfolio Review as at March 31, 2020
41
Benchmark: 40% S&P/TSX Composite TR Index, 20% FTSE Canada Universe Bond Index, 40% MSCI World TR Index (CAD$).The Benchmark for this fund has changed recently. Please see page 49 for Benchmark history.Attribution report produced by Factset, as at March 31, 2020. Attribution results are meant to provide general insight into results and not exact performance spread against benchmarks. Portfolio returns are shown gross of all fees and expenses.* Others includes – Currency forwards, derivatives, Exchange Traded Funds and Preferred shares.
Fund Performance -17.60
Benchmark Performance -13.37
Difference -4.23
Fixed Income -1.40
Asset Allocation Effect -1.63
Sector Allocation Effect -0.10
Security Selection -0.01
Interest Rate Effect 0.00
Currency Effect 0.33
Equity -2.63
Asset Allocation Effect -0.14
Sector Allocation Effect 0.57
Security Selection -3.18
Interest Rate Effect 0.00
Currency Effect 0.13
Others -0.91
Asset Allocation Effect 0.00
Sector Allocation Effect 0.00
Security Selection 0.00
Interest Rate Effect 0.00
Currency Effect -0.91
Cash & Equivalents 0.72
Asset Allocation Effect 0.78
Sector Allocation Effect 0.00
Security Selection 0.00
Interest Rate Effect 0.00
Currency Effect -0.06
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Portfolio Series Growth Fund – Class I
42
Quarterly Portfolio Commentary as at March 31, 2020
Performance Summary
▪ The portfolio returned -17.57% during the first quarter of 2020, underperforming against its blended benchmark (40% S&P/TSX CompositeTR Index, 20% FTSE Canada Universe Bond Index, 40% MSCI World TR Index (CAD$)), which returned -13.96%.
Contributors to Performance
▪ Key contributors to performance over the quarter included the low volatility factor and the growth factor.
▪ CI First Asset MSCI World Low Risk Weighted ETF, CI First Asset MSCI International Low Risk Weighted ETF and Munro Global GrowthEquity Fund added value on a relative basis.
▪ Top contributors over the quarter were Microsoft Corp., Amazon.com, Inc. and NVIDIA Corp.
Detractors from Performance
▪ Detractors from performance included the small-cap factor, equities and currency hedging.
▪ CI Canadian Small/Mid Cap Fund, CI American Value Corporate Class, Black Creek International Equity Fund and CI First Asset MorningstarInternational Value Index ETF detracted value on a relative basis.
▪ Top detractors over the quarter were Keyera Corp., Air Canada and Boeing Co.
Portfolio Activity
▪ We added to the portfolio’s currency exposure to the Japanese yen as we expected other central banks would cut interest rates andJapan’s rate was already at zero.
▪ We increased the portfolio’s exposure to gold bullion as we believe it has higher upside potential and diversification benefits compared tofixed income.
▪ We reduced our weighting to equity at the beginning of the quarter in favor of cash, before averaging back into the market in the latterhalf.
▪ Despite the strengthening of the U.S. dollar over the quarter due to a flight to safety and global dollar shortage, we increased our hedgeratios within the portfolio as we expect the U.S. dollar to weaken going forward.
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Calendar Year Returns (Gross of Fees)
3 Year Risk Statistics
Portfolio Series Maximum Growth Fund – Class IQuarterly Portfolio Review as at March 31, 2020
Annualized Returns (Gross of Fees)
*Returns are presented using the Class I units of the fund, which do not include any embedded fees or expenses accordingly net returns and gross returns are the same. Source – CI Investments**50% S&P/TSX Composite TR Index, 50% MSCI World TR Index (CAD$) – Sourced from Bloomberg based on monthly rebalancing of weights.The Benchmark for this fund has changed recently. Please see page 49 for Benchmark history. 43
Standard Deviation
Sharpe Ratio Tracking ErrorUp Capture
RatioDown Capture
Ratio
Portfolio Series Maximum Growth* 12.27 -0.15 2.15 83.31% 96.10%
Benchmark** 12.37 0.01 - 100.00% 100.00%
As at March 31, 2020 3 mos (%) 1 yr (%) 3 yr (%) 4 yr (%) 5 yr (%) 7 yr (%) 10 yr (%)
Portfolio Series Maximum Growth*
-19.69 -11.54 -0.43 3.99 2.35 7.23 7.58
Benchmark** -17.62 -9.88 1.48 5.49 3.79 8.21 7.99
Difference -2.06 -1.66 -1.91 -1.49 -1.44 -0.98 -0.41
2019 (%) 2018 (%) 2017 (%) 2016 (%) 2015 (%) 2014 (%) 2013 (%)
Portfolio Series Maximum Growth*
20.85 -5.63 12.58 9.23 7.86 11.92 30.16
Benchmark** 21.87 -3.78 12.82 11.27 7.30 13.51 26.53
Difference -1.02 -1.85 -0.24 -2.04 0.56 -1.59 3.63
Standard Deviation
Sharpe Ratio Tracking ErrorUp Capture
RatioDown Capture
Ratio
Portfolio Series Maximum Growth* 11.07 0.12 2.16 89.89% 99.03%
Benchmark** 11.08 0.25 - 100.00% 100.00%
5 Year Risk Statistics
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Portfolio Series Maximum Growth Fund – Class IQuarterly Portfolio Review as at March 31, 2020
Top Holdings
44
Cambridge Canadian Equity Corporate Class (Class I) 13.01%
Munro Global Growth Equity Fund (Class I) 9.71%
Signature Emerging Markets Corporate Class (Class I) 8.12%
CI American Managers Corporate Class (Class I) 8.00%
Synergy Canadian Corporate Class (Class I) 7.12%
Black Creek International Equity Fund (Class I) 6.65%
CI First Asset Morningstar Canada Momentum Index ETF 6.56%
Signature Select Canadian Fund (Class I) 5.39%
Sentry Canadian Income Fund 5.05%
CI International Value Corporate Class (Class I) 4.97%
CI Canadian Small/Mid Cap Fund (Class I) 4.68%
CI First Asset MSCI Canada Quality Index Class ETF 4.04%
CI American Small Companies Corporate Class (Class I) 3.76%
CI American Value Corporate Class (Class I) 2.88%
SPDR S&P 500 ETF Trust 2.54%
CI First Asset MSCI World Low Risk Weighted ETF 2.13%
CI First Asset MSCI International Low Risk Weighted ETF 2.07%
Asset Class
SectorFund Avg.
Allocation (%)Benchmark* Avg.
Allocation (%)Active Weight (%) Active Contribution (%)
Cash 4.57 0.00
Fixed Income 0.00 0.00
Equity 95.22 99.91
Others** 0.21 0.09
Total 100.00 100.00
Total Effect
*50% S&P/TSX Composite TR Index, 50% MSCI World TR Index (CAD$). Attribution, weights, contribution and total effect sourced from Factset. The Benchmark for this fund has changed recently. Please see page 49 for Benchmark history.** Others includes – Currency forwards, derivatives, Exchange Traded Funds and Preferred shares.
0.12
-4.69
0.00
4.57
-1.17
-0.95
0.00
0.09
0.00
-2.14
-1.02
1.13
-2.03
-2.50 -2.00 -1.50 -1.00 -0.50 0.00 0.50 1.00 1.50
Fixed Income
Equity
Others
Cash & Equivalents
Portfolio
FOR INSTITUTIONAL USE ONLY
Portfolio Series Maximum Growth Fund – Class IQuarterly Portfolio Review as at March 31, 2020
45
Equity Sector Analysis
SectorFund Avg.
Allocation (%)Benchmark* Avg.
Allocation (%)Active Weight (%) Active Contribution (%)
Energy 5.96 9.77
Financials 19.67 23.17
Communication Services 7.08 7.67
Utilities 3.57 4.33
Information Technology 14.17 12.38
Health Care 8.40 7.33
Real Estate 4.66 3.42
Materials 7.22 7.56
Consumer Staples 7.02 6.29
Consumer Discretionary 10.02 7.04
Industrials 12.23 11.02
Total 100.00 100.00
*50% S&P/TSX Composite TR Index, 50% MSCI World TR Index (CAD$). Attribution, weights, contribution and total effect sourced from Factset.The Benchmark for this fund has changed recently. Please see page 49 for Benchmark history.
1.21
2.97
0.73
-0.35
1.24
1.07
1.78
-0.77
-0.59
-3.50
-3.81
-1.12
-0.56
-0.45
-0.24
-0.19
-0.18
-0.13
0.04
0.21
0.33
1.34
FOR INSTITUTIONAL USE ONLY
Portfolio Series Maximum Growth Fund – Class IQuarterly Portfolio Review as at March 31, 2020
46
Geographic Analysis
CountryFund Avg.
Allocation (%)Benchmark* Avg.
Allocation (%)Active Weight (%) Active Contribution (%)
Canada 35.10 50.96
Japan 3.46 4.10
France 2.59 1.85
Germany 1.60 1.41
Switzerland 1.36 1.63
Netherlands 1.43 0.67
China 5.15 0.00
United States 33.73 32.53
India 1.29 0.00
United Kingdom 4.11 2.60
Others 10.18 4.24
Total 100.00 100.00
*50% S&P/TSX Composite TR Index, 50% MSCI World TR Index (CAD$). Attribution, weights, contribution and total effect sourced from Factset.The Benchmark for this fund has changed recently. Please see page 49 for Benchmark history.
5.94
1.51
1.29
1.20
5.15
0.75
-0.27
0.19
0.74
-0.64
-15.87
-1.45
-0.60
-0.55
-0.53
-0.30
-0.16
-0.12
-0.10
-0.05
-0.02
1.86
FOR INSTITUTIONAL USE ONLY
Portfolio Series Maximum Growth Fund – Class IQuarterly Portfolio Review as at March 31, 2020
47
Benchmark: 50% S&P/TSX Composite TR Index, 50% MSCI World TR Index (CAD$).The Benchmark for this fund has changed recently. Please see page 49 for Benchmark history.Attribution report produced by Factset, as at March 31, 2020. Attribution results are meant to provide general insight into results and not exact performance spread against benchmarks. Portfolio returns are shown gross of all fees and expenses.* Others includes – Currency forwards, derivatives, Exchange Traded Funds and Preferred shares.
Fund Performance -19.71
Benchmark Performance -17.68
Difference -2.03
Fixed Income 0.00
Asset Allocation Effect 0.00
Sector Allocation Effect 0.00
Security Selection 0.00
Interest Rate Effect 0.00
Currency Effect 0.00
Equity -2.14
Asset Allocation Effect 0.00
Sector Allocation Effect 0.97
Security Selection -3.76
Interest Rate Effect 0.00
Currency Effect 0.65
Others -1.02
Asset Allocation Effect 0.08
Sector Allocation Effect -0.03
Security Selection 0.00
Interest Rate Effect 0.00
Currency Effect -1.08
Cash & Equivalents 1.13
Asset Allocation Effect 1.20
Sector Allocation Effect 0.00
Security Selection 0.00
Interest Rate Effect 0.00
Currency Effect -0.07
FOR INSTITUTIONAL USE ONLY
Portfolio Series Maximum Growth Fund – Class I
48
Quarterly Portfolio Commentary as at March 31, 2020
Performance Summary
▪ The portfolio returned -19.69% during the first quarter of 2020, underperforming against its blended benchmark (50% S&P/TSX CompositeTR Index, 50% MSCI World TR Index (CAD$)), which returned -17.62%.
Contributors to Performance
▪ Key contributors to performance over the quarter included the low volatility factor and the growth factor.
▪ CI First Asset MSCI World Low Risk Weighted ETF, CI First Asset MSCI International Low Risk Weighted ETF and Munro Global GrowthEquity Fund added value on a relative basis.
▪ Top contributors over the quarter were Microsoft Corp., Amazon.com, Inc. and NVIDIA Corp.
Detractors from Performance
▪ Detractors from performance included the small-cap factor, equities and currency hedging.
▪ CI Canadian Small/Mid Cap Fund, CI American Value Corporate Class, Black Creek International Equity Fund and CI First Asset MorningstarInternational Value Index ETF detracted value on a relative basis.
▪ Top detractors over the quarter were Keyera Corp., Air Canada and Boeing Co.
Portfolio Activity
▪ We added to the portfolio’s currency exposure to the Japanese yen as we expected other central banks would cut interest rates andJapan’s rate was already at zero.
▪ We increased the portfolio’s exposure to gold bullion as we believe it has higher upside potential and diversification benefits compared tofixed income.
▪ We reduced our weighting to equity at the beginning of the quarter in favour of cash, before averaging back into the market in the latterhalf.
▪ Despite the strengthening of the U.S. dollar over the quarter due to a flight to safety and global dollar shortage, we increased our hedgeratios within the portfolio as we expect the U.S. dollar to weaken going forward.
FOR INSTITUTIONAL USE ONLY
Portfolio Series Benchmarks
49
Benchmark History
Portfolio Series Income Fund
From Inception to 31-Mar-2019 : 75% FTSE Canada Universe Bond Index, 15% S&P/TSX Composite Index & 10% MSCI World Index. From 31-Mar-2019 to Current: 70% FTSE Canada Universe Bond Index, 15% S&P/TSX Composite Index & 15% MSCI World Index
Portfolio Series Conservative Fund
From Inception to Current : 60% FTSE Canada Universe Bond Index, 20% S&P/TSX Composite Index & 20% MSCI World Index.
Portfolio Series Conservative Balanced Fund
From Inception to Current : 50% FTSE Canada Universe Bond Index, 25% S&P/TSX Composite Index & 25% MSCI World Index.
Portfolio Series Balanced Fund
From Inception to 31-Mar-2019 : 40% FTSE Canada Universe Bond Index, 25% S&P/TSX Composite Index & 35% MSCI World Index. From 31-Mar-2019 to Current: 40% FTSE Canada Universe Bond Index, 30% S&P/TSX Composite Index & 30% MSCI World Index
Portfolio Series Balanced Growth Fund
From Inception to 31-Mar-2019 : 30% FTSE Canada Universe Bond Index, 30% S&P/TSX Composite Index & 40% MSCI World Index. From 31-Mar-2019 to Current: 30% FTSE Canada Universe Bond Index, 35% S&P/TSX Composite Index & 35% MSCI World Index
Portfolio Series Growth Fund
From Inception to 31-Mar-2019 : 20% FTSE Canada Universe Bond Index, 30% S&P/TSX Composite Index & 50% MSCI World Index. From 31-Mar-2019 to Current: 20% FTSE Canada Universe Bond Index, 40% S&P/TSX Composite Index & 40% MSCI World Index
Portfolio Series Maximum Growth Fund
From Inception to 31-Mar-2019 : 40% S&P/TSX Composite Index & 60% MSCI World Index. From 31-Mar-2019 to Current: 50% S&P/TSXComposite Index & 50% MSCI World Index
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Portfolio Series
Portfolio Management Teams
CI Investments
50
Sub-advisors
Quarterly Portfolio Review as at March 31, 2020
FOR INSTITUTIONAL USE ONLY
Portfolio Series
IMPORTANT DISCLAIMERS
Commissions, trailing commissions, management fees and expenses all may be associated with mutual fund investments. Please read the
prospectus before investing. The indicated rates of return are the historical annual compounded total returns (net of fees and expenses payable
by the fund) including changes in security value and reinvestment of all dividends/distributions and do not take into account sales, redemption,
distribution or optional charges or income taxes payable by any securityholder that would have reduced returns. Mutual funds are not guaranteed,
their values change frequently and past performance may not be repeated.
This presentation is intended only as a general overview and is for information purposes only. It has been prepared solely for the use of the
person(s) to whom it has been delivered and may not be reproduced or used for any other purpose. It is intended only for institutional investment
consultants or institutional investors. It is not meant for the general public.
The contents of this piece are not to be used or construed as investment advice or as an endorsement or recommendation of any entity or
security discussed. Certain statements contained in this communication are based in whole or in part on information provided by third parties and
CI has taken reasonable steps to ensure their accuracy.
CI Institutional Asset Management is a division of CI Investments Inc., a subsidiary of CI Financial Corp. CI Institutional Asset Management
mandates is available to institutional investors such as financial institutions, pension plans, group retirement plans, endowments, foundations and
certain individual investors who meet specified investment criteria. The performance of the mandates is not guaranteed, the values change
frequently and past performance may not be repeated. Past performance is not a reliable indicator of future performance. You should not rely on
past performance to make investment decisions.
Sentry Investment Management, CI Multi-Asset Management, CI First Asset Exchange Traded Funds, Cambridge Global Asset Management,
Signature Global Asset Management and Harbour Advisors are each a division of CI Investments Inc. Certain funds associated with Cambridge
Global Asset Management and Signature Global Asset Management are sub-advised by CI Global Investments Inc., a firm registered with the
U.S. Securities and Exchange Commission and an affiliate of CI Investments Inc
51
Quarterly Portfolio Review as at March 31, 2020
FOR INSTITUTIONAL USE ONLY
Portfolio Series
IMPORTANT DISCLAIMERS
1832 Asset Management L.P., Altrinsic Global Advisors, LLC., Black Creek Investment Management Inc., CBRE Global Investors, Epoch
Investment Partners, Inc., Lawrence Park Asset Management Ltd., Manulife, Marret Asset Management Inc., Munro Partners and QV Investors
Inc. are portfolio sub-advisors to certain funds offered and managed by CI Investments Inc. Marret Asset Management Inc., is a majority owned
subsidiary of CI Financial Corp. and an affiliate of CI Investments Inc. CI Financial Corp. holds a minority interest in Lawrence Park Asset
Management and Altrinsic Global Advisors, LLC.
The CI First Asset ETFs are managed by CI Investments Inc., a subsidiary of CI Financial Corp., which is listed on the Toronto Stock Exchange
under the symbol “CIX”.
Portfolio Select Series™ and Portfolio Series™ are trademarks of CI Investments Inc.
CI Investments® and the CI Investments design are registered trademarks of CI Investments Inc. ©CI Investments Inc. 2020. All rights reserved.
Not to be reproduced or copied without the prior consent of CI Investments Inc.
Published: April 28, 2020
52
Quarterly Portfolio Review as at March 31, 2020
CI Institutional Asset Management2 Queen Street East
19th FloorToronto, Ontario
M5C 3G7Tel: 1.866.760.5274
E-mail: [email protected]