For the six-months ended June 30, 2017 (Unaudited) 2017 2016 Income Interest for distribution purposes $ – $ 197,465 Dividend income – 779,794 Net realized gain (loss) on sale of investments (Note 13) – 185,362 Net realized gain (loss) on futures and forward contracts (Note 13) – 3,544,167 Net change in unrealized appreciation (depreciation) in value of investments (Note 13) – 537,416 Foreign exchange gain (loss) on cash – 607,949 income – – – 5,852,153 Expenses Management fees (Note 6) – 857,728 Performance fees (Note 6) – 27,200 Operating expenses (Note 8) – 207,709 Commissions and other portfolio transaction costs (Note 3) – 589,449 Audit fees – 7,724 Legal fees – – – 1,689,810 Comprehensive income (loss) before taxes $ – $ 4,162,343 Withholding tax – 72,897 Increase (decrease) in net assets attributable to holders of redeemable $ – $ 4,089,446 Increase (decrease) in net assets attributable to holders of redeemable per class Class A $ – $ 1,934,277 Class F – 153,739 Class O – 2,001,430 Weighted average of redeemable units outstanding during the period A – 5,989,152 F – 339,311 Class O – 4,124,934 Increase (decrease) in net assets attributable to holders of redeemable per unit A $ – $ 0.32 Class F – 0.45 Class O – 0.49
Statement of Changes in Net Assets Attributable to Holders of Redeemable Units* For the six-months ended June 30, 2017 (Unaudited) Net assets Increase (decrease) Net assets attributable in net assets attributable to holders of attributable to holders of redeemable Sale of Reinvestment to holders of Management Distribution Redemption of redeemable units, redeemable of redeemable fee to redeemable units, beginning of period distributions units per class rebates unitholders1 end of period 2017 Class A $ 94,194,768 $ – $ – $ – $ – $ – $ – $ 94,194,768 Class F 5,073,012 – – – – – – 5,073,012 Class O 57,947,371 – – – – – – 57,947,371 $ 157,215,151 $ – $ – $ – $ – $ – $ – $ 157,215,151 2016 Class A $ 79,261,597 $ 4,254,369 $ 260,077 $ 1,934,277 $ 266,238 $ (266,238) $ (6,492,022) $ 79,218,298 Class F 4,643,329 395,123 – 153,739 – – (220,345) 4,971,846 Class O 54,963,997 2,266,562 – 2,001,430 – – (2,296,820) 56,935,169 $ 138,868,923 $ 6,916,054 $ 260,077 $ 4,089,446 $ 266,238 $ (266,238) $ (9,009,187) $ 141,125,313 1Detailed distribution to unitholders 2017 2016 Class A From return of capital $ – $ (266,238)
Statement of Cash Flows* For the six-months ended June 30, 2017 (Unaudited) 2017 2016 Cash provided by (used in): Operating activities Increase (decrease) in net assets attributable to holders of redeemable units $ – $ 4,089,446 Adjustments for: Net realized (gain) loss on investment transactions – (185,362) Net realized (gain) loss on futures and forward contracts – (3,544,167) Change in unrealized (appreciation) depreciation in value of investments – (537,416) Commissions and other portfolio transaction costs – 589,449 Change in non-cash balances: Interest and dividends receivable (1,705) Management fees payable – (12,023) Performance fees payable – (110,732) Accounts payable and accrued liabilities – (9,060) Proceeds from sale of investments – 332,990,489 Purchase of investments – (344,077,548) – (10,808,629) Financing activities Proceeds from issue of redeemable units – 7,526,508 Amount paid on redemption of redeemable units – (8,726,376) Distributions paid to holders of redeemable net of reinvested distributions – 260,077 – (939,791) Increase (decrease) in cash and cash equivalents during the period – (11,748,420) Cash and cash equivalents, beginning of period – 4,376,860 Cash and cash equivalents, end of period $ – $ (7,371,560) Supplemental information: Interest paid $ – $ 40,539 Interest received $ – $ 251,292 Dividends received, net of withholding taxes $ – $ 651,364
Statement of Financial Position* June 30, 2017 (Unaudited) June 30, 2017 December 31, 2016 ASSETS Current assets Due from broker (Note 9) $ – $ 4,598,924 Interest and dividends receivable – 583,614 Subscriptions receivable – 132,307 Investments, at fair value (Cost: $xxx; 2016: $96,550,471) – 108,049,304 – 113,364,149 LIABILITIES Current liabilities Management fees payable (Note 6) – 366,319 Performance fees payable (Note 6) – 761,927 Futures contracts – 56,475 Forward contracts – 31,387 Accounts payable and accrued liabilities – 95,271 – 1,311,379 Net assets attributable to holders of redeemable units $ – $ 112,052,770 Number of redeemable units outstanding (Note 5) Class A – 5,453,662 Class F – 501,889 Class O – 2,140,848 Net assets attributable to holders of redeemable units per class Class A $ – $ 76,423,600 Class F – 6,589,068 Class O – 29,040,102 Net assets attributable to holders of redeemable per unit Class A $ – $ 14.01 Class F – 13.13 Class O – 13.56 Approved on behalf of the Manager, "Roy Scaini"Roy Scaini" Roy Scaini Director, Barometer Capital Management Inc.
Statement of Cash Flows* For the six-months ended June 30, 2017 (Unaudited) 2017 2016 Cash provided by (used in): Operating activities Increase (decrease) in net assets attributable to holders of redeemable $ – $ 3,181,677 Adjustments for: Net realized (gain) loss on investment transactions – 859,811 Net realized (gain) loss on futures and forward contracts – (1,088,806) Change in unrealized (appreciation) depreciation in value of investments – (2,408,497) Commissions and other portfolio transaction costs – 84,694 Change in non-cash balances: Interest and dividends receivable – (221,709) Management fees payable – 90,610 Performance fees payable – 13,077 Accounts payable and accrued liabilities – (7,972) Proceeds from sale of investments – 61,286,392 Purchase of investments – (91,856,273) – (30,066,996) Financing activities Proceeds from issue of redeemable units – 28,834,563 Amount paid on redemption of redeemable units – (6,728,857) Distributions paid to holders of redeemable units, net of reinvested distributions – 161,428 – 22,267,134 Increase (decrease) in cash and cash equivalents during the period – (7,799,862) Cash and cash equivalents, beginning of period – 9,247,733 Cash and cash equivalents, end of period $ – $ 1,447,871 Supplemental information: Interest paid $ – $ 2,730 Interest received $ – $ 442,300 Dividends received, net of withholding taxes $ – $ 460,643
Statement of Financial Position* June 30, 2017 (Unaudited) June 30, 2017 December 31, 2016 ASSETS Current assets Due from broker (Note 9) $ – $ 2,770,988 Interest and dividends receivable – 1,126,991 Subscriptions receivable – 37,165 Futures contracts – – Investments, at fair value (Cost: $xxx; 2016: $384,121,958) – 432,817,226 – 436,752,370 LIABILITIES Current liabilities Redemptions payable – 119,213 Management fees payable (Note 6) – 1,575,641 Performance fees payable (Note 6) – 17,885 Due to broker (Note 9) – 39,368,648 Futures contracts – 1,362,178 Forward contracts – 243,936 Accounts payable and accrued liabilities – 566,554 – 43,254,055 Net assets attributable to holders of redeemable units $ – $ 393,498,315 Number of redeemable outstanding (Note 5) Class A – 27,900,414 Class F – 5,098,362 Class O – 6,623,904 Net assets attributable to holders of redeemable units per class Class A $ – $ 281,056,085 Class F – 51,628,164 O – 60,814,066 Net assets attributable to holders of redeemable per unit Class A $ – $ 10.07 Class F – 10.13 Class O – 9.18 Approved on behalf of the Manager, ""Roy Scaini"Roy Scaini" Roy Scaini Director, Barometer Capital Management Inc.
Statement of Cash Flows* For the six-months ended June 30, 2017 (Unaudited) 2017 2016 Cash provided by (used in): Operating activities Increase (decrease) in net assets attributable to holders of redeemable units $ – $ 19,467,081 Adjustments for: Net realized (gain) loss on investment transactions – 6,702,069 Net realized (gain) loss on futures and forward contracts – (19,583,443) Change in unrealized (appreciation) depreciation in value of investments – (1,011,242) Commissions and portfolio transaction costs – 1,204,830 Change in non-cash balances: Interest and dividends receivable – 333,347 Management fees payable – (410,684) Performance fees payable – 30,870 Accounts payable and accrued liabilities – (115,073) Proceeds from sale of investments – 1,066,858,604 Purchase of investments – (1,023,760,824) – 49,715,535 Financing activities Proceeds from issue of redeemable units – 6,621,786 Amount paid on redemption of redeemable units – (118,949,134) Distributions paid to holders of redeemable net of reinvested distributions – (2,122,744) – (114,450,092) Increase (decrease) in cash and cash equivalents during the period – (64,734,557) Cash and cash equivalents, beginning of period – 10,920,702 Cash and cash equivalents, end of period $ – $ (53,813,855) Supplemental information: Interest paid $ – $ 92,861 Interest received $ – $ 1,297,586 Dividends received, net withholding taxes $ – $ 7,235,024
Schedule 2 – Futures Contracts The Fund held the following futures contracts as at June 30, 2017 (in Canadian dollars): Counterparty Description Settlement date Contract price Unrealized gain/(loss) RBC Dominion Securities Inc. US 10YR NOTE (CBT) March 31, 2017 $ – $ –
Statement of Financial Position* June 30, 2017 (Unaudited) June 30, 2017 December 30, 2016 ASSETS Current assets Due from broker (Note 9) $ – $ – Interest and dividends receivable – 147,328 Subscriptions receivable – 79,816 Investments, at fair value (Cost: $xxx; 2016: $130,644,570) – 142,971,046 – 143,198,190 LIABILITIES Current liabilities Redemptions payable – 132,000 Management fees payable (Note 6) – 255,113 Performance fees payable (Note 6) – 2,074,419 Due to broker (Note 9) – 23,510,936 Distributions payable – 10,428 Forward contracts – – Accounts payable and accrued liabilities – 187,409 Investments sold short, at fair value – 26,313,428 – 52,483,733 Net assets attributable to holders of redeemable units $ – $ 90,714,457 Number of redeemable units outstanding (Note 5) Class A – 3,731,400 F – 374,608 Class O – 1,335,653 Net assets attributable to holders of redeemable units per class A $ – $ 61,742,932 Class F – 6,023,272 O – 22,948,253 Net assets attributable to holders of redeemable per unit Class A $ – $ 16.55 Class F – 16.08 Class O – 17.18 Approved on behalf of the Manager, "R"Roy Scaini"oy Scaini" Roy Scaini Director, Barometer Capital Management Inc.
Statement of Cash Flows* For the six-months ended June 30, 2017 (Unaudited) 2017 2016 Cash provided by (used in): Operating activities Increase (decrease) in net assets attributable to holders of redeemable units $ – $ 5,388,923 Adjustments for: Net realized (gain) loss on investment transactions – 94,953 Net realized (gain) loss on futures and forward contracts – (6,873,057) Change in unrealized (appreciation) depreciation in value of investments – 1,107,527 Commissions and portfolio transaction costs – 908,633 Change in non-cash balances: Interest and dividends receivable – 154,426 Management fees payable – 50,824 Performance fees payable – 322,348 Accounts payable and accrued liabilities – 27,322 Proceeds from sale of investments – 622,167,230 Purchase of investments – (650,764,328) – (27,415,199) Financing activities Proceeds from issue of redeemable units – 15,571,236 Amount paid on redemption of redeemable units – (4,352,075) Distributions paid to holders of redeemable units, net of reinvested distributions – 101,917 – 11,321,078 Increase (decrease) in cash and cash equivalents during the period – (16,094,121) Cash and cash equivalents, beginning of period – (13,341,298) Cash and cash equivalents, end of period $ – $ (29,435,419) Supplemental information: Interest paid $ – $ 403,070 Interest received $ – $ 52,663 Dividends paid $ – $ 823,861 Dividends received, net of withholding taxes $ – $ 403,070
14. FINANCIAL INSTRUMENTS BY CATEGORY The following tables present the carrying amounts of the Pools’ financial instruments by category as at June 30, 2017 and December 31, 2016. Barometer Equity Pool Financial instruments Financial at FVTPL designated instruments at HFT at inception amortized cost Total June 30, 2017 Assets Due from broker $ – $ – $ – $ – Interest and dividends receivable – – – – Subscriptions receivable – – – – Investments, at fair value – – – – $ – $ – $ – $ – Liabilities Redemptions payable $ – $ – $ – $ – Management fees payable – – – – Performance fees payable – – – – Due to broker – – – – Futures contracts – – – – Forward contracts – – – – – Accounts payable and accrued liabilities – – – – – $ – $ – $ – $ – December 31, 2016 Assets Due from broker $ – $ – $ 564,202 $ 564,202 Interest and dividends receivable – – 114,219 114,219 Subscriptions receivable – – 76,377 76,377 Investments, at fair value – 157,401,835 – 157,401,835 $ – $ 157,401,835 $ 754,798 $ 158,156,633 Liabilities Redemptions payable $ – $ – $ 6,207 $ 6,207 Management fees payable – – 455,463 455,463 Performance fees payable – – 75,266 75,266 Due to broker – – 155,346 155,346 Futures contracts 56,475 – – 56,475 Forward contracts 76,956 – – – 76,956 Accounts payable and accrued liabilities – – – 115,769 115,769 $ 133,431 $ – $ 808,051 $ 941,482 14. FINANCIAL INSTRUMENTS BY CATEGORY (continued) Barometer Tactical Balanced Pool Financial instruments Financial at FVTPL designated instruments at HFT at inception amortized cost Total
June 30, 2017 Assets Due from broker $ – $ – $ – $ – Interest and dividends receivable – – – – Subscriptions receivable – – – – Investments, at fair – – – – $ – $ – $ – $ – Liabilities Management fees payable $ – $ – $ – $ – Performance fees payable – – – – Futures contracts – – – – Forward contracts – – – – Accounts payable and accrued liabilities – – – – $ – $ – $ – $ – December 31, 2016 Assets Due from broker $ – $ – $ 4,598,924 $ 4,598,924 Interest and dividends receivable – – 583,614 583,614 Subscriptions receivable – – 132,307 132,307 Investments, at fair – 108,049,304 – 108,049,304 $ – $ 108,049,304 $ 5,314,845 $ 113,364,149 Liabilities Management fees payable $ – $ – $ 366,319 $ 366,319 Performance fees payable – – 761,927 761,927 Futures contracts 56,475 – – 56,475 Forward contracts 31,387 – – 31,387 Accounts payable and accrued liabilities – – 95,271 95,271 $ 87,862 $ – $ 1,223,517 $ 1,311,379 14. FINANCIAL INSTRUMENTS BY CATEGORY (continued) Barometer Tactical Income Pool Financial instruments Financial at designated instruments at HFT at inception amortized cost Total June 30, 2017 Assets Due from broker $ – $ – $ – $ – Interest and dividends receivable – – – – Subscriptions receivable – – – – Investments, at fair value – – – – $ – $ – $ – $ – Liabilities Redemptions payable $ – $ – $ – $ – Management fees payable – – – – Performance fees payable – – – – Due to broker – – – – Futures contracts – – – –