Investment Objective

The fund objective is to provide long-term capital appreciation through a portfolio of investments in U.S. stocks, both long and short positions, that are sufficiently diversified to minimize investment risk. The strategy seeks to outperform the S&P 500 by 2% over a full market cycle.

Growth of $1,000†

Industry Group Mix

Annual Returns to September 30 (%)
1999	2000	2001	2002	2003	2004	2005	2006	2007	2008
—	—	—	—	—	—	—	—	5.4	-17.2
Annualized Returns to September 30, 2008 (%)
Qtr*	6 mo*	1 yr	2 yr	3 yr	4 yr	5 yr	6 yr	7 yr	10 yr
-7.5	-9.8	-17.2	-6.5	—	—	—	—	—	—

Top Holdings (%) Long Positions** Exxon Mobil Corp. Chevron Corp. Microsoft Corp. Hewlett-Packard Co. J.P. Morgan Chase & Co. 5.6 3.4 3.2 3.1 3.1 Short Positions** FTI Consulting Inc. BioMarin Pharmaceutical Inc. Central European Media Enterprises Ltd. Dreamworks Animation SKG Inc. Energizer Holdings Inc. 1.3 1.1 1.1 0.9 0.9

Industry Group Mix (%) Sector S&P 500 INTEGRA Long Short Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecommunication Services Utilities 13.4 3.4 11.1 8.5 12.2 13.1 15.8 15.9 3.0 3.6 13.7 2.1 11.6 7.3 11.0 15.1 15.2 18.1 3.3 2.6 15.9 4.4 16.4 13.3 12.4 18.9 17.7 21.7 5.0 3.1 2.2 2.3 4.8 6.0 1.4 3.8 2.5 3.6 1.7 0.5

†Growth is calculated based on compounded monthly returns.
*Performance for the quarter and 6 months to September 30 represent the actual total return of the funds for the period, and are not annualized.
**As a percentage of the total portfolio

Analytic Investors - Core Manager
Los Angeles, CA., founded 1970, managing $11.5 billion U.S.

The 130/30 Equity process is a core, “benchmark-oriented” strategy designed to add significant value through stock selection. Analytic Investors uses a 70-factor quantitative approach to identify stocks currently ‘in and out of favour’ and maintain volatility no greater than the S&P 500 Index. The strategy invests 130% long and 30% short, thereby fully utilizing Analytic’s ability to identify and execute on stocks expected to out/underperform.

Thematically, economic uncertainty ruled the quarter, while investor sentiment swung between optimism and pessimism. In this crisis-like atmosphere, dispersion rallied and persistence waned. Value factors such as cash flow to price and dividend yield were handsomely rewarded during the month, while growth factors such as recent earnings per share growth and growth in profitability were penalized. In addition, stocks with above average price momentum and highly leveraged stocks largely underperformed their peers.

Our process is based on the premise that investor behaviour changes, but changes slowly, and is fairly persistent from month to month. Thus, market inconsistency presented a challenging environment to add value and the strategy underperformed the benchmark. Active tilts towards several growth factors such as recent earnings per share growth, growth in equity, and growth in profitability hurt performance, as did a sizeable underweight exposure to dividend yield. Our underweight position in highly leveraged stocks helped performance, but not enough to make up for other unprofitable tilts.

All performance is presented in Canadian dollar terms, gross of investment management fees. Past performance is not indicative of future results.