cibcu.s.broadmarketindexfund annualfinancialstatements · cibcu.s.broadmarketindexfund...

The accompanying notes are an integral part of these financial statements.

CIBC U.S. Broad Market Index Fund

Annual Financial Statementsfor the financial year ended December 31, 2015

† Securities LendingThe tables that follow indicate the Fund had assets involved in securities lending transactionsoutstanding as at December 31, 2015 and 2014.

Aggregate Valueof Securities

on Loan($000s)

AggregateValue

of Collateralfor Loan

($000s)x

x

December 31, 2015 101,357 107,001x

December 31, 2014 61,600 65,021x

Collateral Type* ($000s)i ii iii iv

xx

December 31, 2015 – 106,755 – 246x

December 31, 2014 – 65,021 – –x

x

* See note 2j for Collateral Type definitions.

Organization of the Fund (note 1)The Fund was established on March 6, 1991 (Date Established).

Inception Datexx

Class A May 6, 1991x

Premium Class November 30, 2011x

Institutional Class October 30, 2015x

Class O June 1, 2010xx

Statements of Financial Position(in 000s, except per unit amounts)

As at December 31, 2015 and 2014 (note 1)

December 31, 2015 December 31, 2014x

x

Assetsxxx

Current assetsx

Investments (non-derivative financial assets) † (notes2 and 3) $ 1,033,271 $ 831,878

x

Cash including foreign currency holdings, at fair value 925 798x

Margin 596 16x

Dividends receivable 1,121 866x

Receivable for portfolio securities sold 38 –x

Receivable for units issued 1,048 897x

Other receivables 91 79x

Derivative assets 554 821xxx

Total Assets 1,037,644 835,355xxx

Liabilitiesxxx

Current liabilitiesx

Payable for units redeemed 1,424 601x

Distributions payable to holders of redeemable units 2 2xxx

Total Liabilities 1,426 603xxx

Net Assets Attributable to Holders ofRedeemable Units (note 5) $ 1,036,218 $ 834,752

xxx

Net Assets Attributable to Holders ofRedeemable Units per Class

x

Class A $ 395,044 $ 340,135x

Premium Class $ 150,375 $ 90,707x

Institutional Class $ – n/ax

Class O $ 490,799 $ 403,910xxx

Net Assets Attributable to Holders ofRedeemable Units per Unit (note 5)

x

Class A $ 39.96 $ 34.37x

Premium Class $ 21.26 $ 18.30x

Institutional Class $ 10.54 n/ax

Class O $ 23.94 $ 20.59x

1



Statements of Comprehensive Income(in 000s, except per unit amounts)

For the periods ended December 31, 2015 and 2014 (note 1)


x

Net Gain (loss) on Financial Instrumentsx

Interest for distribution purposes $ 74 $ 52x

Dividend revenue 22,410 18,110x

Derivative income (loss) 201 5,802x

Other changes in fair value of investments andderivatives

x

Net realized gain (loss) on sale of investments andderivatives 13,139 55,950

x

Net realized gain (loss) on foreign currency (notes 2fand g) 5,946 5,375

x

Net change in unrealized appreciation (depreciation)of investments and derivatives 121,456 86,255

xxx

Net Gain (loss) on Financial Instruments ±±± 163,226 171,544xx

x

Other Incomex

Foreign exchange gain (loss) on cash 24 (248)x

Securities lending revenue 277 168xxx

301 (80)xx

x

Expenses (note 6)x

Management fees ± 5,247 3,993x

Audit fees 10 12x

Custodial fees 83 49x

Independent review committee fees – 1x

Legal fees 7 4x

Regulatory fees 58 52x

Transaction costs ±± 43 99x

Unitholder reporting costs 1,036 1,081x

Withholding taxes (note 7) 3,167 2,495x

Other expenses 15 6xxx

9,666 7,792xx

x

Expenses waived/absorbed by the Manager (1,547) (1,264)xx

x

8,119 6,528xx

x

Increase (Decrease) in Net Assets Attributable toHolders of Redeemable Units (excludingdistributions) 155,408 164,936

xx

x

Increase (Decrease) in Net Assets Attributable toHolders of Redeemable Units per Class(excluding distributions)

x

Class A $ 58,629 $ 57,954x

Premium Class $ 19,723 $ 13,164x

Institutional Class $ – n/ax

Class O $ 77,056 $ 93,818xxx

Average Number of Units Outstanding for theperiod per Class

x

Class A 9,961 10,073x

Premium Class 6,349 3,962x

Institutional Class – n/ax

Class O 20,152 25,558xxx

Increase (Decrease) in Net Assets Attributable toHolders of Redeemable Units per Unit(excluding distributions)

x

Class A $ 5.89 $ 5.75x

Premium Class $ 3.10 $ 3.33x

Institutional Class $ 0.86 n/ax

Class O $ 3.82 $ 3.67x

x

±±± Net Gain (Loss) on Financial Instruments(in 000s)

Net gains (losses)

Category December 31, 2015 December 31, 2014x..

Financial assets at FVTPL..

Held for Trading $ (35) $ 3,416..

Designated at Inception 163,261 168,128......

Total financial assets at FVTPL $ 163,226 $ 171,544..

± Maximum Chargeable Annual Management Fee Rates (note 6)xx

Class A 1.00%x

Premium Class 0.75%x

Institutional Class 0.60%x

Class O 0.00%xx

±± Brokerage Commissions and Fees (notes 8 and 9)

2015 2014x

x

Brokerage commissions and other fees ($000s)x

Total Paid 32 77x

Paid to CIBC World Markets Inc. – –x

Paid to CIBC World Markets Corp. – –x

Soft dollars ($000s)x

Total Paid – –x

Paid to CIBC World Markets Inc. and CIBC World Markets Corp. – –xx

Administrative and Other Fund Operating Expenses (note 9)

2015 2014x

x

($000s) 921 920xx

Service Provider (note 9)The amounts paid by the Fund (including all applicable taxes) to CIBC Mellon Trust Company forcustodial fees, and to CIBC Mellon Global Securities Services Company (CIBC GSS) for securitieslending, fund accounting and reporting, and portfolio valuation (all net of absorptions) for the periodsended December 31, 2015 and 2014 were as follows:

2015 2014x

x

($000s) 200 120xx

2


CIBC U.S. Broad Market Index Fundx

Statements of Changes in Net Assets Attributable to Holders of Redeemable Units(in 000s)For the periods ended December 31, 2015 and 2014 (note 1)

Class A Units Premium Class Units Institutional Class Units Class O Units

December 31,2015

December 31,2014

December 31,2015

December 31,2014

December31, 2015

December 31,2014

December 31,2015

December 31,2014

xx.

Increase (Decrease) in Net Assets Attributable toHolders of Redeemable Units (excludingdistributions) $ 58,629 $ 57,954 $ 19,723 $ 13,164 $ – n/a $ 77,056 $ 93,818

xxx.

Distributions Paid or Payable to Holders ofRedeemable Units ‡

x.

From net investment income (3,261) (2,134) (2,412) (626) – n/a (9,558) (14,844)x.xx

(3,261) (2,134) (2,412) (626) – n/a (9,558) (14,844)xxx.

Redeemable Unit Transactionsx.

Amount received from the issuance of units 69,557 55,240 69,313 41,023 – n/a 26,518 57,066x.

Amount received from reinvestment of distributions 3,230 2,114 2,363 615 – n/a 9,558 14,844x.

Amount paid on redemptions of units (73,246) (61,006) (29,319) (13,002) – n/a (16,685) (181,544)x.xx

(459) (3,652) 42,357 28,636 – n/a 19,391 (109,634)xxx.

Increase (Decrease) in Net Assets Attributable toHolders of Redeemable Units 54,909 52,168 59,668 41,174 – n/a 86,889 (30,660)

x.

Net Assets Attributable to Holders of Redeemable Unitsat Beginning of Period 340,135 287,967 90,707 49,533 – n/a 403,910 434,570

x.xx

Net Assets Attributable to Holders of Redeemable Unitsat End of Period $ 395,044 $ 340,135 $ 150,375 $ 90,707 $ – n/a $ 490,799 $ 403,910

xxx.

Redeemable Units Issued and Outstanding (note 5)x.

As at December 31, 2015 and 2014x.

Balance - beginning of period 9,896 10,005 4,958 3,257 – n/a 19,616 24,917x.

Redeemable units issued 1,838 1,802 3,443 2,455 – n/a 1,181 3,141x.

Redeemable units issued on reinvestments 82 61 113 34 – n/a 404 736x.xx

11,816 11,868 8,514 5,746 – n/a 21,201 28,794x.

Redeemable units redeemed (1,930) (1,972) (1,442) (788) – n/a (702) (9,178)x.xx

Balance - end of period 9,886 9,896 7,072 4,958 – n/a 20,499 19,616x

x

‡ Net Capital and Non-Capital Losses (note 7)As at December 2015, the Fund had non-capital and capital losses (in $000s) for income tax purposes available to be carried forward as follows:

Total Net Capital Losses

Total Non-Capital Lossesthat Expire in:

2026 to 2035x..

23,115 –.

.

3


CIBC U.S. Broad Market Index Fundx

x

Statements of Cash Flows(in 000s)For the periods ended December 31, 2015 and 2014 (note 1)

December 31, 2015 December 31, 2014xx.

Cash Flows from Operating Activitiesx.

Increase (Decrease) in Net Assets Attributable to Holders of Redeemable Units from Operations (excluding distributions) $ 155,408 $ 164,936x.

Adjustments for:x.

Foreign exchange loss (gain) on cash (24) 248x.

Net realized (gain) loss on sale of investments and derivatives (13,139) (55,950)x.

Net change in unrealized (appreciation) depreciation of investments and derivatives (121,456) (86,255)x.

Purchase of investments (249,216) (404,349)x.

Proceeds from the sale of investments 182,647 482,057x.

Margin (580) 7x.

Dividends receivable (255) (109)x.

Other receivables (12) –x.

Other liabilities – (1)x.xx

(46,627) 100,584xxx.

Cash Flows from Financing Activitiesx.

Amount received from the issuance of units 165,237 153,132x.

Amount paid on redemptions of units (118,427) (255,437)x.

Distributions paid to unitholders (80) (31)x.xx

46,730 (102,336)xxx.

Increase (Decrease) in Cash during the Period 103 (1,752)xxx.

Foreign exchange loss (gain) on cash 24 (248)xxx.

Cash (Bank Overdraft) at Beginning of Period 798 2,798xxx.

Cash (Bank Overdraft) at End of Period $ 925 $ 798x

x.

Interest received $ 74 $ 52x.

Dividends received, net of withholding taxes $ 18,988 $ 15,506

4



x

Schedule of Investment Portfolio As at December 31, 2015

SecurityNumber

of Shares

AverageCost

($000s)

FairValue

($000s)

% ofNet

Assets

UNITED STATES EQUITIESx

Consumer Discretionary..

1-800-FLOWERS.COM Inc., Class 'A' 2,053 33 21..

2U Inc. 1,238 36 48..

Aaron's Inc. 2,048 35 63..

Abercrombie & Fitch Co., Class 'A' 2,312 76 86..

Advance Auto Parts Inc. 2,211 94 460..

Allison Transmission Holdings Inc. 5,345 161 191..

Amazon.com Inc. 14,059 1,764 13,148..

AMC Entertainment Holdings Inc., Class 'A' 3,076 75 102..

AMC Networks Inc. 2,175 105 225..

American Axle & Manufacturing Holdings Inc. 2,305 69 60..

American Eagle Outfitters Inc. 6,013 58 129..

American Public Education Inc. 619 28 16..

America's Car-Mart Inc. 291 20 11..

Apollo Education Group Inc., Class 'A' 3,312 121 35..

Aramark 7,302 224 326..

Arctic Cat Inc. 504 25 11..

Asbury Automotive Group Inc. 831 17 78..

Ascena Retail Group Inc. 6,128 76 84..

Ascent Capital Group Inc., Series 'A' 449 19 10..

Autoliv Inc. 2,670 265 461..

AutoNation Inc. 3,408 109 281..

AutoZone Inc. 975 87 1,001..

Barnes & Noble Inc. 1,872 55 23..

Beazer Homes USA Inc. 972 56 15..

Bed Bath & Beyond Inc. 5,629 154 376..

Best Buy Co. Inc. 10,672 265 450..

Big Lots Inc. 1,729 84 92..

Biglari Holdings Inc. 65 28 29..

BJ's Restaurants Inc. 837 25 50..

Bloomin' Brands Inc. 3,760 94 88..

Bob Evans Farms Inc. 754 29 41..

Bojangles' Inc. 1,086 32 24..

Boot Barn Holdings Inc. 848 26 14..

BorgWarner Inc. 6,880 138 412..

Boyd Gaming Corp. 3,359 92 92..

Bridgepoint Education Inc. 1,514 27 16..

Bright Horizons Family Solutions Inc. 1,882 78 174..

Brinker International Inc. 1,924 36 128..

Brunswick Corp. 2,816 116 197..

Buckle Inc. 1,479 28 63..

Buffalo Wild Wings Inc. 572 77 126..

Burlington Stores Inc. 2,260 77 134..

Cabela's Inc., Class 'A' 2,133 70 138..

Cable One Inc. 177 49 106..

Cablevision Systems Corp., Class 'A' 8,264 242 365..

Caesars Entertainment Corp. 4,549 94 50..

CalAtlantic Group Inc. 3,191 153 167..

Caleres Inc. 1,325 17 49..

Callaway Golf Co. 2,907 74 38..

Capella Education Co. 432 30 28..

CarMax Inc. 6,288 137 470..

Carmike Cinemas Inc. 874 27 28..

Carnival Corp. 17,893 639 1,349..

Carriage Services Inc. 689 21 23..

Carter's Inc. 1,673 68 206..

Cato Corp. (The), Class 'A' 823 16 42..

Cavco Industries Inc. 328 26 38..

CBS Corp., Class 'B' 14,995 1,073 978..

Cedar Fair L.P. 1,910 72 148..

Century Communities Inc. 732 18 18..

Charter Communications Inc., Class 'A' 3,390 504 859..

Cheesecake Factory Inc. (The) 1,547 46 99..

Chico's FAS Inc. 4,573 53 68..

Children's Place Inc. (The) 695 31 53..

Chipotle Mexican Grill Inc., Class 'A' 941 320 625..

Choice Hotels International Inc. 1,770 46 123..

Churchill Downs Inc. 559 31 109..

Chuy's Holdings Inc. 582 19 25..

Cinemark Holdings Inc. 3,529 115 163..

Clear Channel Outdoor Holdings Inc., Class 'A' 10,990 213 85..

ClubCorp Holdings Inc. 2,194 44 55..

Coach Inc. 8,437 114 382..

Columbia Sportswear Co. 2,145 53 145..

Comcast Corp., Class 'A' 76,783 2,275 5,995..

Conn's Inc. 1,096 56 36..

Container Store Group Inc. (The) 1,415 59 16..

Cooper Tire & Rubber Co. 1,767 52 93..

Core-Mark Holding Co. Inc. 789 34 89..

Cracker Barrel Old Country Store Inc. 768 52 135..

Crocs Inc. 2,455 45 35..

Crown Media Holdings Inc., Class 'A' 10,949 78 85

5



Schedule of Investment Portfolio As at December 31, 2015 (cont'd)

SecurityNumber

of Shares

AverageCost

($000s)

FairValue

($000s)

% ofNet

Assets..

CST Brands Inc. 2,349 118 127..

Cumulus Media Inc., Class 'A' 8,122 79 4..

D.R. Horton Inc. 11,179 206 495..

Dana Holding Corp. 5,196 115 99..

Darden Restaurants Inc. 3,787 86 333..

Dave & Buster's Entertainment Inc. 1,289 51 74..

Deckers Outdoor Corp. 1,072 96 70..

Del Frisco's Restaurant Group Inc. 856 22 19..

Denny's Corp. 2,883 15 39..

DeVry Education Group Inc. 1,908 63 67..

Diamond Resorts International Inc. 2,323 47 82..

Dick's Sporting Goods Inc. 3,613 115 177..

Dillard's Inc., Class 'A' 1,268 56 115..

DineEquity Inc. 627 39 73..

Discovery Communications Inc., Series 'A' 13,306 618 491..

DISH Network Corp., Class 'A' 13,980 821 1,106..

Dollar General Corp. 9,263 267 921..

Dollar Tree Stores Inc. 7,144 204 763..

Domino's Pizza Inc. 1,705 63 262..

Dorman Products Inc. 1,120 52 74..

DreamWorks Animation SKG Inc., Class 'A' 2,611 76 93..

Drew Industries Inc. 736 22 62..

DSW Inc., Class 'A' 2,776 46 92..

Dunkin' Brands Group Inc. 2,995 154 177..

E.W. Scripps Co. (The), Class 'A' 2,558 179 67..

El Pollo Loco Holdings Inc. 1,131 38 20..

Entercom Communications Corp. 1,405 21 22..

Entravision Communications Corp., Class 'A' 2,786 41 30..

Ethan Allen Interiors Inc. 884 36 34..

Etsy Inc. 3,936 69 45..

Expedia Inc. 4,444 361 764..

Express Inc. 2,753 58 66..

Extended Stay America Inc. 6,224 174 137..

Federal-Mogul Holdings Corp., Class 'A' 5,420 99 51..

Fiesta Restaurant Group Inc. 848 47 39..

Finish Line Inc. (The), Class 'A' 1,393 24 35..

Five Below Inc. 1,730 71 77..

Foot Locker Inc. 4,378 122 394..

Ford Motor Co. 119,962 2,553 2,339..

Fossil Group Inc. 1,550 40 78..

Fox Factory Holding Corp. 1,196 22 27..

Francesca's Holdings Corp. 1,432 29 35..

Fred's Inc., Class 'A' 1,098 31 25..

GameStop Corp., Class 'A' 3,389 69 132..

Gannett Co. Inc. 3,240 60 73..

Gap Inc. (The) 12,763 355 436..

General Motors Co. 48,791 1,255 2,296..

Genesco Inc. 758 31 60..

Gentex Corp. 8,758 64 194..

Gentherm Inc. 1,075 35 71..

Genuine Parts Co. 4,578 236 544..

G-III Apparel Group Ltd. 1,387 57 85..

GNC Acquisition Holdings Inc., Class 'A' 2,599 134 112..

Goodyear Tire & Rubber Co. (The) 8,263 363 374..

GoPro Inc., Class 'A' 3,909 201 97..

Graham Holdings Co., Class 'B' 177 85 119..

Grand Canyon Education Inc. 1,464 73 81..

Gray Television Inc. 2,027 31 46..

Group 1 Automotive Inc. 733 36 77..

Groupon Inc. 20,774 270 88..

Guess Inc. 2,652 30 69..

H&R Block Inc. 8,419 189 388..

Habit Restaurants Inc. (The), Class 'A' 841 33 27..

Hanesbrands Inc. 12,240 117 498..

Harley-Davidson Inc. 6,345 228 399..

Harman International Industries Inc. 2,099 99 274..

Hasbro Inc. 3,753 124 350..

Haverty Furniture Cos. Inc. 871 25 26..

Hemisphere Media Group Inc. 1,479 20 30..

Hibbett Sports Inc. 726 14 30..

Hillenbrand Inc. 2,041 53 84..

Hilton Worldwide Holdings Inc. 29,795 735 882..

Home Depot Inc. 39,914 1,584 7,304..

Horizon Global Corp. 599 13 9..

Houghton Mifflin Harcourt Co. 4,469 99 135..

HSN Inc. 1,560 30 109..

Hyatt Hotels Corp., Class 'A' 4,515 145 294..

Icahn Enterprises L.P. 3,769 324 320..

Iconix Brand Group Inc. 1,576 65 15..

Installed Building Products Inc. 1,001 27 34..

International Speedway Corp., Class 'A' 1,670 92 78..

Interpublic Group of Cos. Inc. 12,474 383 402..

Interval Leisure Group Inc. 1,746 29 38..

Intrawest Resorts Holdings Inc. 1,572 18 17..

iRobot Corp. 993 35 49

6




SecurityNumber

of Shares

AverageCost

($000s)

FairValue

($000s)

% ofNet

Assets..

Isle of Capris Casinos Inc. 1,252 23 24..

J.C. Penney Co. Inc. 9,431 512 87..

Jack in the Box Inc. 1,223 24 130..

Jarden Corp. 5,740 145 454..

John Wiley & Sons Inc., Class 'A' 1,869 60 116..

Johnson Controls Inc. 19,949 492 1,090..

K12 Inc. 1,227 28 15..

Kate Spade & Co. 3,786 128 93..

KB Home 2,944 62 50..

Kirkland's Inc. 620 18 12..

Kohl's Corp. 6,159 283 406..

Krispy Kreme Doughnuts Inc. 1,989 34 41..

L Brands Inc. 8,855 232 1,174..

Lamar Advertising Co., Class 'A' 2,813 141 233..

Lands' End Inc. 980 33 32..

Las Vegas Sands Corp. 24,340 1,704 1,477..

La-Z-Boy Inc. 1,522 29 51..

Lear Corp. 2,335 182 397..

Leggett & Platt Inc. 4,040 128 235..

Lennar Corp., Class 'A' 6,218 244 421..

Libbey Inc. 667 16 20..

Liberty Broadband Corp. 2,635 171 188..

Liberty Interactive Corp., Class 'A' 19,947 740 754..

Liberty Media Corp. 10,448 707 567..

Liberty TripAdvisor Holdings Inc. Class 'A' 2,163 86 91..

Liberty Ventures, Series 'A' 4,146 178 259..

LifeLock Inc. 2,892 67 57..

Lithia Motors Inc., Class 'A' 821 32 121..

Live Nation Inc. 6,133 104 209..

LKQ Corp. 9,084 139 372..

Loral Space & Communications Inc. 668 56 38..

Lowe's Cos. Inc. 29,500 582 3,104..

Lumber Liquidators Holdings Inc. 903 78 22..

M.D.C. Holdings Inc. 1,688 68 60..

M/I Homes Inc. 790 32 24..

Macy's Inc. 10,328 323 500..

Madison Square Garden Co. (The) 783 160 175..

Marcus Corp. (The) 808 20 21..

MarineMax Inc. 819 27 21..

Marriott International Inc., Class 'A' 8,464 218 785..

Marriott Vacations Worldwide Corp. 1,005 19 79..

Mattel Inc. 10,361 400 390..

Matthews International Corp., Class 'A' 1,087 45 80..

Mattress Firm Holding Corp. 1,044 50 64..

McDonald's Corp. 29,162 1,397 4,767..

McGraw Hill Financial Inc. (The) 8,235 345 1,123..

Media General Inc. 3,913 80 87..

Men's Wearhouse Inc. (The) 1,474 43 30..

Meredith Corp. 1,357 71 81..

Meritage Homes Corp. 1,308 59 62..

Metaldyne Performance Group Inc. 2,078 50 53..

MGM Resorts International 17,441 287 548..

Michaels Cos Inc. (The) 6,269 224 192..

Modine Manufacturing Co. 1,411 41 18..

Mohawk Industries Inc. 2,179 177 571..

Monro Muffler Brake Inc. 989 63 91..

Morningstar Inc. 1,415 78 157..

Motorcar Parts of America Inc. 538 18 25..

Movado Group Inc. 849 17 30..

MSG Networks Inc., Class 'A' 2,350 77 68..

Murphy USA Inc. 1,391 55 117..

National CineMedia Inc. 2,300 46 50..

Nautilus Inc. 1,028 20 24..

Netflix Inc. 12,803 303 2,026..

New Media Investment Group Inc. 1,434 31 39..

New York Times Co. (The), Class 'A' 4,938 187 92..

Newell Rubbermaid Inc. 8,305 341 507..

News Corp., Class 'A' 17,796 290 329..

Nexstar Broadcasting Group Inc., Class 'A' 939 45 76..

Nike Inc., Class 'B' 52,290 615 4,522..

Noodles & Co. 1,070 41 14..

Nordstrom Inc. 5,749 155 396..

Norwegian Cruise Line Holdings Ltd. 6,804 293 552..

NutriSystem Inc. 954 39 29..

NVR Inc. 121 44 275..

Office Depot Inc. 16,770 205 131..

Omnicom Group Inc. 7,495 320 785..

O'Reilly Automotive Inc. 3,067 91 1,075..

Outerwall Inc. 630 20 32..

Overstock.com Inc. 753 28 13..

Oxford Industries Inc. 531 26 47..

Pandora Media Inc. 6,535 204 121..

Panera Bread Co., Class 'A' 829 56 223..

Papa John's International Inc. 1,248 20 96..

Party City Holdco Inc. 3,545 89 63

7




SecurityNumber

of Shares

AverageCost

($000s)

FairValue

($000s)

% ofNet

Assets..

Penn National Gaming Inc. 2,233 36 50..

Penske Automotive Group Inc. 2,797 58 164..

Pep Boys - Manny, Moe & Jack (The) 1,711 45 44..

Pier 1 Imports Inc. 2,781 58 20..

Pinnacle Entertainment Inc. 1,817 42 78..

Polaris Industries Inc. 2,039 46 243..

Pool Corp. 1,413 35 158..

Popeyes Louisiana Kitchen Inc. 743 34 60..

Priceline Group Inc. (The) 1,573 1,267 2,775..

PulteGroup Inc. 11,227 222 277..

PVH Corp. 2,508 219 256..

Ralph Lauren Corp. 2,681 144 414..

Red Robin Gourmet Burgers Inc. 433 16 37..

Regal Entertainment Group 4,997 124 130..

Regis Corp. 1,914 41 37..

Rent-A-Center Inc. 1,541 28 32..

Rentrak Corp. 468 33 31..

Restoration Hardware Holdings Inc. 1,125 80 124..

RetailMeNot Inc. 1,718 69 24..

Ross Stores Inc. 12,588 69 937..

Ruth's Hospitality Group Inc. 1,109 15 24..

Ryman Hospitality Properties Inc. 1,499 57 107..

Sally Beauty Holdings Inc. 4,745 99 183..

Scholastic Corp. 979 33 52..

Scientific Games Corp., Class 'A' 2,741 55 34..

Scripps Networks Interactive Inc. 3,938 145 301..

Sears Holdings Corp. 3,826 466 109..

SeaWorld Entertainment Inc. 2,762 99 75..

Select Comfort Corp. 1,580 33 47..

Service Corp. International 6,109 202 220..

ServiceMaster Global Holdings Inc. 4,077 184 221..

SFX Entertainment Inc. 2,986 17 1..

Shake Shack Inc., Class 'A' 1,081 67 59..

Shoe Carnival Inc. 681 19 22..

Shutterfly Inc. 1,184 59 73..

Signet Jewelers Ltd. 2,389 193 409..

Sinclair Broadcast Group Inc., Class 'A' 2,886 59 130..

Sirius XM Holdings Inc. 171,043 773 963..

Six Flags Entertainment Corp. 2,829 108 215..

Skechers U.S.A. Inc., Class 'A' 4,758 36 199..

Smith & Wesson Holding Corp. 1,577 22 48..

Sonic Automotive Inc. 1,544 44 49..

Sonic Corp. 1,698 30 76..

Sotheby's Holdings Inc., Class 'A' 2,139 58 76..

Speedway Motorsports Inc. 1,285 38 37..

Sportsman's Warehouse Holdings Inc. 1,324 19 24..

Stage Stores Inc. 747 14 9..

Standard Motor Products Inc. 766 29 40..

Staples Inc. 19,451 339 255..

Starbucks Corp. 45,467 467 3,777..

Starwood Hotels & Resorts Worldwide Inc. 5,257 306 504..

Starz Series 'A' Liberty Capital 3,117 293 145..

Stein Mart Inc. 1,461 18 14..

Steven Madden Ltd. 1,955 72 82..

StoneMor Partners L.P. 1,052 31 39..

Strayer Education Inc. 350 26 29..

Sturm, Ruger & Co. Inc. 586 47 48..

Superior Industries International Inc. 1,086 32 28..

Target Corp. 19,427 734 1,952..

Taylor Morrison Home Corp. 3,829 92 85..

TEGNA Inc. 6,852 543 242..

Tempur Sealy International Inc. 1,842 36 180..

Tenneco Inc. 1,860 54 118..

Tesla Motors Inc. 3,819 795 1,268..

Texas Roadhouse Inc., Class 'A' 2,247 50 111..

Thor Industries Inc. 1,602 27 124..

Tiffany & Co. 3,874 99 409..

Tile Shop Holdings Inc. (The) 1,738 25 39..

Time Inc. 3,460 90 75..

Time Warner Cable Inc. 8,519 395 2,188..

Time Warner Inc. 25,065 2,987 2,243..

TJX Cos. Inc. 20,682 250 2,029..

Toll Brothers Inc. 5,396 120 249..

TopBuild Corp. 1,177 40 50..

Tower International Inc. 812 20 32..

Tractor Supply Co. 4,129 77 489..

TravelCenters of America LLC 1,308 24 17..

TRI Pointe Group Inc. 5,098 96 89..

TripAdvisor Inc. 3,942 149 465..

Tuesday Morning Corp. 1,367 33 12..

Tumi Holdings Inc. 2,097 49 48..

Tupperware Corp. 1,567 66 121..

Twenty-First Century Fox Inc., Class 'A' 64,457 1,294 2,422..

Ulta Salon, Cosmetics & Fragrance Inc. 1,947 188 498..

Under Armour Inc., Class 'A' 6,515 343 727

8




SecurityNumber

of Shares

AverageCost

($000s)

FairValue

($000s)

% ofNet

Assets..

Unifi Inc. 650 17 25..

Universal Electronics Inc. 506 20 36..

Urban Outfitters Inc. 4,154 64 131..

V.F. Corp. 13,034 289 1,123..

Vail Resorts Inc. 1,091 50 193..

Vera Bradley Inc. 1,633 40 36..

Viacom Inc., Class 'B' 12,366 599 704..

Vince Holding Corp. 1,165 31 7..

Vista Outdoor Inc. 1,889 89 116..

Visteon Corp. 1,366 114 216..

Vitamin Shoppe Inc. 850 42 38..

Walt Disney Co. (The) 51,413 2,223 7,475..

Wayfair Inc., Class 'A' 2,530 102 167..

WCI Communities Inc. 826 18 25..

Wendy's Co. (The) 11,076 98 165..

Whirlpool Corp. 2,398 238 487..

William Lyon Homes, Class 'A' 959 28 22..

Williams Sonoma Inc. 2,803 66 227..

Winnebago Industries Inc. 942 27 26..

Wolverine World Wide Inc. 3,294 45 76..

World Wrestling Entertainment Inc., Class 'A' 2,382 44 59..

Wyndham Worldwide Corp. 3,693 132 371..

Wynn Resorts Ltd. 3,119 308 299..

Yum! Brands Inc. 13,125 292 1,327..

Zoe's Kitchen Inc. 616 27 24..

Zumiez Inc. 852 20 18..

....

63,772 138,119 13.3%..x

Consumer Staples..

Altria Group Inc. 59,487 3,208 4,791..

Andersons Inc. (The) 821 43 36..

Archer-Daniels-Midland Co. 19,112 516 970..

Avon Products Inc. 13,773 374 77..

B&G Foods Holdings Corp., Class 'A' 1,554 45 75..

Boston Beer Co. Inc. (The), Class 'A' 399 86 111..

Boulder Brands Inc. 2,491 34 38..

Brown-Forman Corp., Class 'B' 6,329 196 869..

Bunge Ltd. 4,397 259 415..

Calavo Growers Inc. 623 21 42..

Cal-Maine Foods Inc. 1,440 38 92..

Campbell Soup Co. 9,438 565 686..

Casey's General Stores Inc. 1,209 39 202..

Central Garden & Pet Co., Class 'A' 1,581 20 30..

Chefs' Warehouse Inc. (The) 876 22 20..

Church & Dwight Co. Inc. 3,986 108 468..

Clorox Co. 4,006 288 703..

Coca-Cola Bottling Co. Consolidated 302 20 76..

Coca-Cola Co. (The) 131,830 5,124 7,836..

Coca-Cola Refreshments USA Inc. 7,044 163 480..

Colgate-Palmolive Co. 27,440 957 2,529..

ConAgra Foods Inc. 12,878 454 751..

Constellation Brands Inc., Class 'A' 5,867 159 1,156..

Costco Wholesale Corp. 13,247 600 2,960..

Coty Inc., Class 'A' 10,927 169 388..

CVS Health Corp. 34,026 917 4,603..

Darling Ingredients Inc. 5,291 110 77..

Dean Foods Co. 2,928 151 70..

Diamond Foods Inc. 986 31 53..

Diplomat Pharmacy Inc. 1,718 65 81..

Dr. Pepper Snapple Group Inc. 5,716 190 737..

Edgewell Personal Care Co. 1,886 93 205..

Elizabeth Arden Inc. 973 24 13..

Energizer Holdings Inc. 1,886 80 89..

Estée Lauder Cos. Inc., Class 'A' 11,368 487 1,385..

Flowers Foods Inc. 6,496 54 193..

Fresh Del Monte Produce Inc. 1,724 43 93..

Fresh Market Inc. (The) 1,469 62 48..

Freshpet Inc. 1,040 23 12..

General Mills Inc. 18,497 613 1,476..

Hain Celestial Group Inc. 3,152 94 176..

Hershey Co. (The) 6,687 350 826..

Hormel Foods Corp. 7,938 160 869..

HRG Group Inc. 6,272 102 118..

Ingles Markets Inc., Class 'A' 773 15 47..

Ingredion Inc. 2,130 67 282..

Inter Parfums Inc. 1,061 38 35..

J & J Snack Foods Corp. 636 23 103..

J.M. Smucker Co. (The) 3,584 325 612..

John B. Sanfilippo & Son Inc. 342 16 26..

Kellogg Co. 10,772 604 1,077..

Keurig Green Mountain Inc. 4,917 487 612..

Kimberly-Clark Corp. 11,021 880 1,941..

Kroger Co. (The) 29,812 466 1,726..

Lancaster Colony Corp. 871 53 139..

McCormick & Co. Inc. 3,823 117 453

9




SecurityNumber

of Shares

AverageCost

($000s)

FairValue

($000s)

% ofNet

Assets..

Mead Johnson Nutrition Co., Class 'A' 6,185 351 676..

Molson Coors Brewing Co., Class 'B' 5,072 294 659..

Mondelez International Inc., Class 'A' 49,913 1,274 3,097..

Monster Beverage Corp. 5,143 437 1,060..

National Beverage Corp. 1,589 35 100..

Natural Grocers by Vitamin Cottage Inc. 710 29 20..

Nu Skin Enterprises Inc. 1,789 52 94..

PepsiCo Inc. 44,765 2,593 6,189..

Philip Morris International Inc. 46,765 2,545 5,689..

Pilgrim's Pride Corp. 7,828 142 239..

Pinnacle Foods Inc. 3,550 112 209..

Post Holdings Inc. 1,639 86 140..

Prestige Brands Holdings Inc. 1,527 26 109..

PriceSmart Inc. 906 91 104..

Procter & Gamble Co. (The) 81,637 4,762 8,970..

Revlon Inc., Class 'A' 1,598 102 62..

Reynolds American Inc. 38,434 652 2,454..

Rite Aid Corp. 30,222 395 328..

Safeway Inc. 6,996 9 10..

Sanderson Farms Inc. 697 32 75..

Smart & Final Stores Inc. 2,278 47 57..

Snyder's-Lance Inc. 2,216 63 105..

SpartanNash Co. 1,301 33 39..

Sprouts Farmers Markets Inc. 4,714 187 173..

Supervalu Inc. 8,013 189 75..

Synutra International Inc. 2,068 18 14..

Sysco Corp. 18,013 433 1,022..

The Kraft Heinz Corp. 17,782 782 1,790..

Tootsie Roll Industries Inc. 1,887 72 83..

TreeHouse Foods Inc. 1,438 76 156..

Tyson Foods Inc., Class 'A' 11,939 320 881..

United Natural Foods Inc. 1,610 75 88..

Universal Corp. 764 44 59..

USANA Health Sciences Inc. 387 15 68..

Vector Group Ltd. 3,755 88 123..

Village Super Market Inc., Class 'A' 677 26 25..

Walgreens Boots Alliance Inc. 33,021 1,568 3,891..

Wal-Mart Stores Inc. 97,545 5,694 8,274..

WD-40 Co. 468 21 64..

Weis Markets Inc. 1,062 54 65..

WhiteWave Foods Co., Class 'A' 5,317 130 286..

Whole Foods Market Inc. 10,998 336 510..

....

44,538 92,110 8.9%..x

Energy..

Alliance Holdings GP L.P. 1,854 93 52..

Alliance Resource Partners L.P. 2,301 29 43..

Alon USA Energy Inc. 2,186 44 45..

Alon USA Partners L.P. 1,968 33 63..

Anadarko Petroleum Corp. 15,361 726 1,033..

Antero Midstream Partners L.P. 4,585 144 145..

Antero Resources Corp. 7,942 486 240..

Apache Corp. 11,490 593 707..

Archrock Inc. 2,140 130 22..

Archrock Partners L.P. 1,811 57 31..

Atwood Oceanics Inc. 1,871 35 26..

Baker Hughes Inc. 13,164 678 841..

Bill Barrett Corp. 1,831 65 10..

Black Stone Minerals L.P. 13,733 297 274..

Blueknight Energy Partners L.P. 2,187 21 17..

Boardwalk Pipeline Partners L.P. 7,427 108 133..

Bonanza Creek Energy Inc. 1,730 71 13..

BP Prudhoe Bay Royalty Trust 681 27 24..

BreitBurn Energy Partners L.P. 6,686 100 6..

Bristow Group Inc. 1,088 50 39..

Buckeye Partners L.P. 3,822 284 349..

Cabot Oil & Gas Corp. 12,419 115 304..

California Resources Corp. 11,757 100 38..

Callon Petroleum Co. 2,275 24 26..

Calumet Specialty Products Partners L.P. 2,188 63 60..

Cameron International Corp. 5,882 146 514..

CARBO Ceramics Inc. 674 30 16..

Carrizo Oil & Gas Inc. 1,538 61 63..

Cheniere Energy Inc. 7,156 361 369..

Cheniere Energy Partners L.P. 10,301 294 372..

Chesapeake Energy Corp. 20,154 453 125..

Chevron Corp. 56,878 4,113 7,080..

Cimarex Energy Co. 2,664 124 329..

Clayton Williams Energy Inc. 389 20 16..

Clean Energy Fuels Corp. 2,742 33 14..

Cobalt International Energy Inc. 12,531 181 94..

Columbia Pipeline Group Inc. 9,548 335 264..

Columbia Pipeline Partners L.P. 3,005 105 73..

Concho Resources Inc. 3,581 331 460..

Cone Midstream Partners L.P. 1,731 42 24

10




SecurityNumber

of Shares

AverageCost

($000s)

FairValue

($000s)

% ofNet

Assets..

ConocoPhillips 37,262 1,096 2,407..

CONSOL Energy Inc. 6,889 162 75..

Continental Resources Inc. 11,226 325 357..

Crestwood Equity Partners L.P. 2,181 124 63..

CrossAmerica Partners L.P. 674 28 24..

CSI Compressco L.P. 1,005 22 16..

CVR Refining L.P. 4,565 110 120..

DCP Midstream Partners L.P. 3,423 178 117..

Delek Logistics Partners L.P. 461 24 23..

Delek US Holdings Inc. 1,704 49 58..

Denbury Resources Inc. 11,244 134 31..

Devon Energy Corp. 12,349 494 547..

Diamond Offshore Drilling Inc. 4,326 255 126..

Diamondback Energy Inc. 1,797 128 166..

Dominion Midstream Partners L.P. 2,094 103 89..

Dorchester Minerals L.P. 852 15 12..

Dril-Quip Inc. 1,159 47 95..

Eclipse Resources Corp. 6,784 48 17..

Emerge Energy Services L.P. 685 35 4..

Enable Midstream Partnered L.P. 6,440 141 82..

Enbridge Energy Management LLC 2,093 28 65..

Enbridge Energy Partners L.P., Class 'A' 7,590 226 242..

Energen Corp. 2,216 79 126..

Energy Transfer Equity L.P. 32,504 331 618..

Energy Transfer Partners L.P. 15,106 834 705..

Enlink Midstream LLC 4,952 194 103..

EnLink Midstream Partners L.P. 7,544 249 173..

Enterprise Products Partners L.P. 61,901 1,523 2,191..

Enviva Partners L.P. 2,565 57 64..

EOG Resources Inc. 16,584 554 1,624..

EP Energy Corp., Class 'A' 7,495 91 45..

EQT Corp. 4,493 197 324..

EQT GP Holdings L.P. 8,052 342 231..

EQT Midstream Partners L.P. 2,113 187 221..

Era Group Inc. 844 19 13..

EV Energy Partner L.P. 1,965 67 8..

Exterran Corp. 1,070 25 24..

Exxon Mobil Corp. 126,919 6,901 13,689..

Fairmount Santrol Holdings Inc. 4,844 39 16..

FMC Technologies Inc. 6,869 87 276..

Foresight Energy L.P. 2,007 39 10..

Forum Energy Technologies Inc. 2,898 83 50..

Genesis Energy L.P. 2,935 154 149..

Global Partners L.P. 1,068 47 26..

Green Plains Inc. 1,208 34 38..

Gulfport Energy Corp. 3,170 193 108..

Halcon Resources Corp. 3,621 63 6..

Halliburton Co. 25,693 826 1,210..

Helix Energy Solutions Group Inc. 3,340 55 24..

Helmerich & Payne Inc. 3,273 133 243..

Hess Corp. 8,692 408 583..

Holly Energy Partners L.P. 1,752 41 75..

HollyFrontier Corp. 5,923 55 327..

Hornbeck Offshore Services Inc. 1,144 45 16..

Jones Energy Inc., Class 'A' 2,193 34 12..

Kinder Morgan Inc. 67,008 2,575 1,383..

Laredo Petroleum Inc. 6,205 145 69..

Legacy Reserves L.P. 2,343 60 6..

Linn Co. LLC 4,235 125 6..

LINN Energy LLC 10,389 316 19..

Magellan Midstream Partners L.P. 6,890 335 648..

Marathon Oil Corp. 20,640 562 360..

Marathon Petroleum Corp. 16,571 341 1,189..

Martin Midstream Partners L.P. 972 45 29..

Matador Resources Co. 2,659 63 73..

Matrix Service Co. 997 33 28..

McDermott International Inc. 7,496 85 35..

Memorial Production Partners L.P. 2,767 63 10..

Memorial Resource Development Corp. 5,863 125 131..

Midcoast Energy Partners L.P. 1,438 34 19..

MPLX L.P. 7,530 336 410..

Murphy Oil Corp. 5,450 221 169..

National-Oilwell Varco Inc. 12,436 501 576..

Natural Resource Partners L.P. 4,453 62 8..

Newfield Exploration Co. 4,880 163 220..

Newpark Resources Inc. 2,469 18 18..

Noble Energy Inc. 12,839 388 585..

Northern Oil and Gas Inc. 1,849 28 10..

Northern Tier Energy L.P. 2,932 81 105..

NuStar Energy L.P. 2,309 117 128..

NuStar GP Holdings LLC 1,306 45 38..

Oasis Petroleum Inc. 4,229 149 43..

Occidental Petroleum Corp. 23,306 775 2,180..

Oceaneering International Inc. 3,068 68 159..

Oil States International Inc. 1,556 58 59

11




SecurityNumber

of Shares

AverageCost

($000s)

FairValue

($000s)

% ofNet

Assets..

ONEOK Partners L.P. 7,584 308 316..

Parsley Energy Inc., Class 'A' 3,332 60 85..

Patterson-UTI Energy Inc. 4,464 73 93..

PBF Energy Inc. 2,621 79 134..

PDC Energy Inc. 1,236 60 91..

Peabody Energy Corp. 590 151 6..

PHI Inc. 503 20 11..

Phillips 66 16,443 478 1,861..

Phillips 66 Partners L.P. 1,352 78 115..

Pioneer Natural Resources Co. 4,503 295 781..

Plains All American Pipeline L.P. 12,005 484 384..

Plains GP Holding L.P., Class 'A' 18,468 575 241..

QEP Resources Inc. 5,315 172 99..

Range Resources Corp. 4,993 190 170..

Renewable Energy Group Inc. 1,297 16 17..

REX American Resources Corp. 293 22 22..

Rice Energy Inc. 3,853 89 58..

Rice Midstream Partners L.P. 1,014 18 19..

RigNet Inc. 629 30 18..

Rose Rock Midstream L.P. 1,160 54 24..

RPC Inc. 6,637 26 110..

RSP Permian Inc. 2,523 90 85..

Sanchez Energy Corp. 2,115 54 13..

SandRidge Energy Inc. 17,510 96 5..

Schlumberger Ltd. 38,622 2,155 3,728..

Seacor Holdings Inc. 570 38 41..

SemGroup Corp., Class 'A' 1,430 103 57..

Shell Midstream Partners L.P. 4,079 200 234..

SM Energy Co. 2,096 73 57..

Southwestern Energy Co. 11,476 171 113..

Spectra Energy Corp. 20,422 695 677..

Spectra Energy Partners L.P. 8,768 452 579..

Stone Energy Corp. 1,905 70 11..

Summit Midstream Partners L.P. 1,411 60 37..

Sunoco L.P. 742 48 41..

Sunoco Logistics Partners L.P. 6,861 165 244..

Superior Energy Services Inc. 4,549 102 85..

Synergy Resources Corp. 3,295 36 39..

Tallgrass Energy GP L.P. 4,757 191 105..

Tallgrass Energy Partners L.P. 1,736 86 99..

Targa Resources Corp. 1,658 171 62..

Targa Resources Partners L.P. 5,414 288 124..

TC Pipelines L.P. 1,864 75 128..

Tesoro Corp. 3,786 75 552..

Tesoro Logistics L.P. 2,997 197 209..

TETRA Technologies Inc. 2,538 25 26..

Tidewater Inc. 1,615 94 16..

TransMontaigne Partners L.P. 563 27 21..

Triangle Petroleum Corp. 2,977 25 3..

Unit Corp. 1,561 51 26..

USA Compression Partners L.P. 875 25 14..

Valero Energy Corp. 15,632 399 1,529..

Valero Energy Partners L.P. 1,768 71 126..

Viper Energy Partners L.P. 2,500 55 48..

W&T Offshore Inc. 2,857 69 9..

Western Gas Equity Partners L.P. 6,592 306 331..

Western Gas Partners LP 3,787 261 249..

Western Refining Inc. 2,855 116 141..

Western Refining Logistics L.P. 1,386 42 47..

Whiting Petroleum Corp. 6,237 263 81..

Williams Cos. Inc. (The) 22,647 765 805..

World Fuel Services Corp. 2,281 67 121..

World Point Terminals L.P. 1,196 28 22..

WPX Energy Inc. 6,286 145 50..

....

48,480 66,776 6.4%..x

Financials..

1st Source Corp. 947 24 40..

Acadia Realty Trust 2,140 54 98..

Affiliated Managers Group Inc. 1,664 222 368..

Aflac Inc. 13,109 405 1,087..

AG Mortgage Investment Trust Inc. 1,140 22 20..

Agree Realty Corp. 754 25 35..

Alexander & Baldwin Inc. 1,528 50 75..

Alexander's Inc. 155 31 82..

Alexandria Real Estate Equities Inc. 2,090 166 261..

Alleghany Corp. 512 157 339..

AllianceBernstein Holding L.P. 3,171 100 105..

Allstate Corp. (The) 12,741 751 1,095..

Altisource Residential Corp. 1,882 54 32..

American Assets Trust Inc. 1,491 51 79..

American Campus Communities Inc. 3,455 128 198..

American Capital Agency Corp. 10,772 261 258..

American Capital Ltd. 8,089 127 154..

American Capital Mortgage Investment Corp. 1,980 42 38

12




SecurityNumber

of Shares

AverageCost

($000s)

FairValue

($000s)

% ofNet

Assets..

American Equity Investment Life Holding Co. 2,359 36 78..

American Express Co. 30,985 1,575 2,982..

American Financial Group Inc. 2,753 73 275..

American Homes 4 Rent, Class 'A' 6,849 130 158..

American International Group Inc. 41,550 6,287 3,563..

American National Insurance Co. 899 119 127..

American Residential Properties Inc. (ARP) 1,320 28 35..

American Tower Corp. 12,744 1,152 1,710..

Ameriprise Financial Inc. 5,431 240 800..

Ameris Bancorp 1,364 32 64..

Amerisafe Inc. 652 30 46..

AmTrust Financial Services Inc. 2,519 95 215..

Annaly Mortgage Management Inc. 28,578 385 371..

Anworth Mortgage Asset Corp. 4,647 27 28..

Apartment Investment & Management Co., Class 'A' 4,669 185 259..

Apollo Commercial Real Estate Finance Inc. 1,811 34 43..

Apollo Investment Corp. 7,638 73 55..

Apollo Residential Mortgage Inc. 1,270 23 21..

Ares Capital Corp. 10,083 205 199..

Ares Management L.P. 2,708 66 48..

Arlington Asset Investment Corp., Class 'A' 619 101 11..

ARMOUR Residential REIT Inc. 1,481 58 45..

Arthur J. Gallagher & Co. 5,358 204 304..

Artisan Partners Asset Management Inc. 2,306 142 115..

Ashford Hospitality Prime Inc. 119 2 2..

Ashford Hospitality Trust 2,926 34 26..

Associated Banc-Corp. 4,665 117 121..

Associated Capital Group Inc. 850 34 36..

Assurant Inc. 2,131 92 237..

Astoria Financial Corp. 3,712 76 81..

Avalonbay Communities Inc. 3,976 417 1,013..

Banc of California Inc. 1,299 20 26..

BancFirst Corp. 689 28 56..

BancorpSouth Inc. 3,048 90 101..

Bank of America Corp. 318,670 9,625 7,421..

Bank of Hawaii Corp. 1,602 71 139..

Bank of New York Mellon Corp. (The) 33,781 1,615 1,927..

Bank of the Ozarks Inc. 2,690 35 184..

BankUnited Inc. 3,349 116 167..

Banner Corp. 735 48 47..

BB&T Corp. 23,579 1,031 1,234..

BBCN Bancorp Inc. 2,969 56 71..

Beneficial Bancorp Inc. 2,723 32 50..

Berkshire Hathaway Inc., Class 'B' 74,586 6,708 13,627..

Berkshire Hills Bancorp Inc. 1,419 41 57..

BGC Partners Inc., Class 'A' 7,161 83 97..

BioMed Realty Trust Inc. 5,973 143 196..

BlackRock Inc. 5,028 1,366 2,369..

BlackRock Kelso Capital Corp. 4,068 44 53..

Blackstone Group L.P. (The) 16,206 461 656..

Blackstone Mortgage Trust Inc., Class 'A' 2,863 119 106..

BNC Bancorp 1,184 26 42..

BofI Holding Inc. 1,948 44 57..

BOK Financial Corp. 2,135 115 177..

Boston Private Financial Holdings Inc. 2,585 49 41..

Boston Properties Inc. 4,588 401 810..

Brandywine Realty Trust 4,751 105 90..

Bridge Bancorp Inc. 858 29 36..

Brixmor Property Group Inc. 9,204 225 329..

Brookline Bancorp Inc. 3,778 54 60..

Brown & Brown Inc. 4,622 123 205..

Bryn Mawr Bank Corp. 1,225 46 49..

Camden Property Trust 2,571 159 273..

Capital One Financial Corp. 16,869 1,091 1,685..

Capital Southwest Corp. 538 20 10..

Capitol Federal Financial Inc. 5,981 99 104..

Capstead Mortgage Corp. 4,396 61 53..

Cardinal Financial Corp. 1,466 28 46..

Care Capital Properties Inc. 2,519 112 107..

Carlyle Group (The) 2,519 92 54..

Cash America International Inc. 931 25 39..

CatchMark Timber Trust Inc., Class 'A' 1,355 21 21..

Cathay General Bancorp 2,570 69 111..

CBL & Associates Properties Inc. 5,243 95 90..

CBOE Holdings Inc. 2,606 91 234..

CBRE Group Inc. 10,148 260 486..

Cedar Realty Trust Inc. 2,648 19 26..

Centerstate Banks Inc. 1,637 25 35..

Central Pacific Financial Corp. 1,324 51 40..

Charles Schwab Corp. (The) 39,574 813 1,803..

Chatham Lodging Trust 1,295 30 37..

Chemical Financial Corp. 1,331 50 63..

Chesapeake Lodging Trust 1,701 49 59..

Chimera Investment Corp. 6,450 116 122..

Chubb Corp. (The) 6,874 364 1,262

13




SecurityNumber

of Shares

AverageCost

($000s)

FairValue

($000s)

% ofNet

Assets..

CIM Commercial Trust Corp. 3,128 73 69..

Cincinnati Financial Corp. 5,067 270 415..

CIT Group Inc. 5,770 272 317..

Citigroup Inc. 91,850 9,478 6,577..

Citizens Financial Group Inc. 16,686 530 605..

City Holding Co. 926 37 58..

ClearBridge Energy MLP Opportunity Fund Inc. 1,235 31 22..

CME Group Inc. 10,216 599 1,281..

CNA Financial Corp. 8,499 403 413..

CNO Financial Group Inc. 6,276 143 166..

CoBiz Financial Inc. 1,787 34 33..

Cohen & Steers Inc. 1,198 26 51..

Colony Capital Inc. 3,636 101 98..

Columbia Banking Systems Inc. 1,880 58 85..

Columbia Property Trust Inc. 3,947 101 128..

Comerica Inc. 5,633 417 326..

Commerce Bancshares Inc. 3,437 111 202..

Communications Sales & Leasing Inc. 4,819 110 125..

Community Bank Systems Inc. 1,692 52 93..

Community Trust Bancorp Inc. 1,043 32 50..

ConnectOne Bancorp Inc. 1,599 39 41..

Coresite Realty Corp. 775 29 61..

Corporate Office Properties Trust 2,957 76 89..

Cousins Properties Inc. 6,353 97 83..

Cowen Group Inc., Class 'A' 4,695 53 25..

Crawford & Co., Class 'B' 1,898 18 14..

Credit Acceptance Corp. 625 85 185..

Crown Castle International Corp. 10,154 478 1,215..

CubeSmart 4,848 104 205..

Cullen/Frost Bankers Inc. 2,152 138 179..

Customers Bancorp Inc. 885 18 33..

CVB Financial Corp. 3,919 48 92..

CyrusOne Inc. 1,641 53 85..

CYS Investments Inc. 5,460 53 54..

DCT Industrial Trust Inc. 2,751 94 142..

DDR Corp. 11,384 244 265..

Diamond Hill Investment Group 112 21 29..

DiamondRock Hospitality Co. 5,265 68 70..

Digital Realty Trust Inc. 4,050 213 424..

Dime Community Bancshares Inc. 2,627 38 64..

Discover Financial Services 13,722 418 1,018..

Douglas Emmett Inc. 4,257 109 184..

Duke Realty Corp. 10,279 243 299..

DuPont Fabros Technology Inc. 1,853 55 81..

Dynex Capital Inc. 2,163 20 19..

E*TRADE Financial Corp. 8,849 297 363..

Eagle Bancorp Inc. 1,116 43 78..

East West Bancorp Inc. 4,463 165 257..

EastGroup Properties Inc. 982 49 76..

Eaton Vance Corp. 3,579 83 161..

Education Realty Trust Inc. 1,464 51 77..

Ellington Financial LLC 1,110 29 26..

EMC Insurance Group Inc. 953 26 33..

Empire State Realty Trust Inc. 3,744 65 94..

Employers Holdings Inc. 1,080 29 41..

Enova International Inc. 872 31 8..

Enterprise Financial Services Corp. 670 18 26..

Entertainment Properties Trust 1,534 81 124..

Equity Commonwealth 3,928 175 151..

Equity Lifestyle Properties Inc. 2,536 87 234..

Equity One Inc. 3,708 86 139..

Equity Residential 11,003 520 1,242..

Erie Indemnity Co., Class 'A' 1,513 79 200..

Essex Property Trust Inc. 1,964 335 651..

EverBank Financial Corp. 3,866 73 85..

Evercore Partners Inc., Class 'A' 1,182 72 88..

Extra Space Storage Inc. 3,822 152 466..

EZCORP Inc., Class 'A' 1,969 27 14..

F.N.B. Corp. 6,595 135 122..

Fannie Mae 35,632 110 81..

FBL Financial Group Inc., Class 'A' 710 22 63..

FCB Financial Holdings Inc., Class 'A' 1,417 49 70..

Federal Realty Investment Trust 2,097 166 424..

Federated Investors Inc., Class 'B' 3,343 90 133..

Felcor Lodging Trust Inc. 4,576 95 46..

Fidelity & Guaranty Life 1,970 46 69..

Fifth Street Asset Management Inc. 1,713 26 8..

Fifth Street Finance Corp. 6,199 62 55..

Fifth Third Bancorp 25,414 1,043 707..

Financial Engines Inc. 1,585 103 74..

First American Financial Corp. 3,265 68 162..

First Busey Corp. 1,198 39 34..

First Cash Financial Services Inc. 998 22 52..

First Citizens Bancshares Inc. 416 88 149..

First Commonwealth Financial Corp. 3,701 56 46

14




SecurityNumber

of Shares

AverageCost

($000s)

FairValue

($000s)

% ofNet

Assets..

First Financial Bancorp 2,182 43 55..

First Financial Bankshares Inc. 2,366 44 99..

First Financial Corp. 690 26 32..

First Financial Holdings Inc. 877 65 87..

First Horizon National Corp. 7,605 194 153..

First Industrial Realty Trust Inc. 3,371 89 103..

First Interstate BancSystem Inc. 1,664 49 67..

First Merchants Corp. 1,715 47 60..

First Midwest Bancorp Inc. 2,856 66 73..

First NBC Bank Holding Co. 673 25 35..

First Niagara Financial Group Inc. 11,172 159 168..

First Potomac Realty Trust 2,020 42 32..

First Republic Bank 4,302 236 393..

FirstMerit Corp. 5,428 154 140..

Flagstar Bancorp Inc. 1,905 82 61..

Flushing Financial Corp. 1,866 43 56..

FNF Group 8,351 393 401..

Forest City Enterprises Inc., Class 'A' 6,823 148 207..

Forestar Group Inc. 1,485 32 22..

Fortress Investment Group LLC 13,794 118 97..

Four Corners Property Trust Inc. 1,262 33 42..

Franklin Resources Inc. 18,939 374 965..

Franklin Street Properties Corp. 3,985 69 57..

Freddie Mac 20,407 68 46..

FS Investment Corp. 8,540 109 106..

Fulton Financial Corp. 6,449 100 116..

Gain Capital Holdings Inc. 1,578 20 18..

GAMCO Investors Inc., Class 'A' 850 51 36..

Gaming and Leisure Properties Inc. 3,928 180 151..

General Growth Properties Inc. 26,743 616 1,007..

Genworth Financial Inc., Class 'A' 15,154 431 78..

Getty Realty Corp. 1,685 45 40..

GFI Group Inc. 5,499 53 46..

Glacier Bancorp Inc. 2,692 65 99..

Goldman Sachs Group Inc. (The) 13,230 1,843 3,299..

Golub Capital BDC LLC 1,631 33 38..

Government Properties Income Trust 2,800 76 61..

Gramercy Property Trust 13,370 129 143..

Great Southern Bancorp Inc. 451 22 28..

Great Western Bancorp Inc. 1,867 54 75..

Green Dot Corp., Class 'A' 1,671 41 38..

Greenhill & Co. Inc. 1,052 66 42..

Hancock Holding Co. 2,710 152 94..

Hanmi Financial Corp. 1,087 38 36..

Hannon Armstrong Sustainable Infrastructure Capital Inc. 1,047 24 27..

Hanover Insurance Group Inc. 1,500 75 169..

Hartford Financial Services Group Inc. (The) 12,526 684 753..

Hatteras Financial Corp. 3,482 78 63..

HCI Group Inc. 354 16 17..

HCP Inc. 14,107 533 746..

Healthcare Realty Trust Inc. 2,863 92 112..

Healthcare Trust of America Inc., Class 'A' 4,119 101 154..

Heartland Financial USA Inc. 836 28 36..

Hercules Technology Growth Capital Inc. 2,357 41 40..

Heritage Financial Corp. 1,536 32 40..

Heritage Insurance Holdings Inc. 1,013 29 31..

Hersha Hospitality Trust 1,506 36 45..

HFF Inc., Class 'A' 1,255 42 54..

Highwoods Properties Inc. 2,739 110 165..

Hilltop Holdings Inc. 3,256 86 87..

Home Bancshares Inc. 2,079 73 117..

HomeStreet Inc. 717 17 22..

Horace Mann Educators Corp. 1,570 44 72..

Hospitality Properties Trust 4,685 178 170..

Host Hotels & Resorts Inc. 22,581 457 479..

Howard Hughes Corp. (The) 1,270 146 199..

Hudson Pacific Properties Inc. 2,935 84 114..

Huntington Bancshares Inc. 25,506 429 390..

IBERIABANK Corp. 1,306 90 100..

Independent Bank Corp. (Massachusetts) 1,020 37 66..

Independent Bank Group Inc. 623 33 28..

Infinity Property & Casualty Corp. 462 25 53..

InfraREIT Inc. 1,370 46 35..

Inland Real Estate Corp. 3,438 49 51..

Interactive Brokers Group Inc., Class 'A' 1,764 76 106..

Intercontinental Exchange Inc. 3,392 793 1,203..

International Bancshares Corp. 2,362 70 84..

INTL FCStone Inc. 798 31 37..

Invesco Ltd. 13,246 308 614..

Invesco Mortgage Capital Inc. 4,264 78 73..

Investment Technology Group Inc. 990 34 23..

Investors Bancorp Inc. 12,208 179 210..

Investors Real Estate Trust 4,175 39 40..

Iron Mountain Inc. 6,209 285 232..

iStar Inc. 2,786 141 45

15




SecurityNumber

of Shares

AverageCost

($000s)

FairValue

($000s)

% ofNet

Assets..

Janus Capital Group Inc. 5,753 301 112..

Jones Lang LaSalle Inc. 1,393 103 308..

JPMorgan Chase & Co. 112,962 6,047 10,321..

Kansas City Life Insurance Co. 548 28 29..

Kearny Financial Corp. of Maryland 3,085 32 54..

Kemper Corp. 1,787 83 92..

Kennedy-Wilson Holdings Inc. 3,682 100 123..

KeyCorp 26,551 700 485..

Kilroy Realty Corp. 2,540 150 222..

Kimco Realty Corp. 12,835 340 470..

Kite Realty Group Trust 2,841 89 102..

Ladder Capital Corp. 3,238 74 56..

Ladenburg Thalmann Financial Services Inc. 5,292 14 20..

Lakeland Bancorp Inc. 2,001 29 33..

Lakeland Financial Corp. 700 29 45..

LaSalle Hotel Properties 3,261 114 114..

LegacyTexas Financial Group Inc. 1,552 46 54..

Legg Mason Inc. 3,466 169 188..

LendingTree Inc. 365 26 45..

Leucadia National Corp. 11,740 297 282..

Lexington Corporate Properties Trust 6,396 91 71..

Liberty Property Trust 4,588 204 197..

Lincoln National Corp. 7,731 456 538..

Loews Corp. 11,277 405 599..

LPL Financial Holdings Inc. 3,038 172 179..

LTC Properties Inc. 1,291 42 77..

M&T Bank Corp. 4,063 414 681..

Macerich Co. (The) 4,789 328 535..

Mack-Cali Realty Corp. 2,879 105 93..

Main Street Capital Corp. 1,623 62 65..

MainSource Financial Group Inc. 854 21 27..

Marcus & Millichap Inc. 1,140 23 46..

Markel Corp. 436 197 533..

MarketAxess Holdings Inc. 1,161 79 179..

Marsh & McLennan Cos. Inc. 16,327 814 1,253..

MB Financial Inc. 2,637 79 118..

MBIA Inc. 5,629 194 50..

Medical Properties Trust Inc. 6,664 104 106..

Medley Capital Corp. 2,585 29 27..

Mercury General Corp. 1,788 123 115..

Meridian Bancorp Inc. 1,806 19 35..

MetLife Inc. 33,723 1,695 2,250..

MFA Financial Inc. 12,417 112 113..

MGIC Investment Corp. 10,268 282 125..

Mid-America Apartment Communities Inc. 2,233 155 281..

Moelis & Co., Class 'A' 1,677 65 68..

Monmouth Real Estate Investment Corp. 2,263 32 33..

Monogram Residential Trust Inc. 6,137 72 83..

Moody's Corp. 6,313 164 876..

Morgan Stanley 59,280 2,726 2,609..

MSCI Inc., Class 'A' 3,479 160 347..

Nasdaq Inc. 5,105 217 411..

National Bank Holdings Corp., Class 'A' 1,748 39 52..

National General Holdings Corp. 3,106 71 94..

National Health Investors Inc. 1,176 59 99..

National Interstate Corp. 782 19 29..

National Penn Bancshares Inc. 4,765 79 81..

National Retail Properties Inc. 4,062 134 225..

National Storage Affiliates Trust 1,245 20 29..

National Western Life Group Inc., Class 'A' 134 28 47..

Navient Corp. 12,151 239 192..

Navigators Group Inc. (The) 449 22 53..

NBT Bancorp Inc. 1,850 50 71..

Nelnet Inc., Class 'A' 1,476 61 69..

New Mountain Finance Corp. 2,809 48 51..

New Residential Investment Corp. 6,987 114 118..

New Senior Investment Group Inc. 2,215 48 30..

New York Community Bancorp Inc. 14,038 275 317..

New York Mortgage Trust Inc. 3,538 31 26..

New York REIT Inc. 6,004 78 96..

NewStar Financial Inc. 1,747 28 22..

NMI Holdings Inc., Class 'A' 1,915 26 18..

Northern Trust Corp. 7,086 454 707..

Northfield Bancorp Inc. 1,367 21 30..

NorthStar Asset Management Group Inc. 5,928 120 100..

NorthStar Realty Europe Corp. 1,789 27 29..

NorthStar Realty Finance Corp. 5,367 211 126..

Northwest Bancshares Inc. 3,889 52 72..

Oaktree Cap Group LLC 4,695 288 310..

Och-Ziff Capital Management Group 14,393 238 124..

Ocwen Financial Corp. 3,738 97 36..

Old National Bancorp 4,367 86 82..

Old Republic International Corp. 8,265 165 213..

Omega Healthcare Investors Inc. 5,597 128 271..

On Deck Capital Inc. 2,063 48 29

16




SecurityNumber

of Shares

AverageCost

($000s)

FairValue

($000s)

% ofNet

Assets..

OneBeacon Insurance Group Ltd., Class 'A' 3,200 54 55..

OneMain Holdings Inc. 4,124 141 237..

Oritani Financial Corp. 2,139 38 49..

Outfront Media Inc. 4,224 154 128..

PacWest Bancorp 3,767 187 225..

Paramount Group Inc. 7,674 187 192..

Park National Corp. 648 72 81..

Parkway Properties Inc. 3,377 85 73..

Patriot National Inc. 750 15 7..

Pebblebrook Hotel Trust 2,109 79 82..

PennantPark Investment Corp. 3,544 43 30..

Pennsylvania REIT 2,331 67 71..

PennyMac Mortgage Investment Trust 2,557 66 54..

Peoples Bancorp Inc. 1,094 33 29..

People's United Financial Inc. 9,908 134 221..

PHH Corp. 1,751 46 39..

Physicians Realty Trust 2,321 49 54..

Piedmont Office Realty Trust Inc., Series 'A' 4,333 83 113..

Pinnacle Financial Partners Inc. 1,031 38 73..

Piper Jaffray Cos. Inc. 749 36 42..

Plum Creek Timber Co. Inc. 5,411 225 357..

PNC Financial Services Group Inc. 15,803 2,029 2,084..

Post Properties Inc. 1,638 83 134..

Potlatch Corp. 1,487 68 62..

PRA Group Inc. 1,551 23 74..

Primerica Inc. 1,753 87 115..

Principal Financial Group Inc. 8,936 327 556..

PrivateBancorp Inc. 2,375 75 135..

ProAssurance Corp. 1,904 53 128..

Progressive Corp. (The) 18,035 312 794..

Prologis Inc. 15,442 638 917..

Prospect Capital Corp. 10,186 123 98..

Prosperity Bancshares Inc. 2,309 127 153..

Provident Financial Services Inc. 2,318 49 65..

Prudential Financial Inc. 13,716 702 1,545..

PS Business Parks Inc. 831 54 101..

Public Storage Inc. 5,219 400 1,789..

Pzena Investment Management Inc., Class 'A' 2,323 28 28..

QTS Realty Trust Inc., Class 'A' 1,380 46 86..

Radian Group Inc. 5,908 169 109..

RAIT Financial Trust 2,379 44 9..

Ramco-Gershenson Properties Trust 2,601 58 60..

Raymond James Financial Inc. 4,431 146 355..

Rayonier Inc. 3,945 118 121..

RCS Capital Corp., Class 'A' 2,270 38 1..

Realty Income Corp. 6,871 288 491..

Redwood Trust Inc. 2,769 69 51..

Regency Centers Corp. 2,984 154 281..

Regions Financial Corp. 41,272 1,083 548..

Reinsurance Group of America Inc. 2,111 124 250..

Renasant Corp. 1,451 47 69..

Republic Bancorp Inc., Class 'A' 1,088 27 40..

Resource Capital Corp. 1,424 37 25..

Retail Opportunity Investments Corp. 3,218 58 80..

Retail Properties of America Inc. 7,406 113 151..

Rexford Industrial Realty Inc. 2,101 43 48..

RLI Corp. 1,312 23 112..

RLJ Lodging Trust 4,413 123 132..

RMR Group Inc. (The), Class 'A' 239 4 5..

Rouse Properties Inc. 2,134 41 43..

S&T Bancorp Inc. 1,365 46 58..

Sabra Health Care REIT Inc. 1,978 67 55..

Safety Insurance Group Inc. 651 37 51..

Sandy Spring Bancorp Inc. 1,574 56 59..

Santander Consumer USA Holdings Inc. 10,641 300 233..

Saul Centers Inc. 838 30 59..

Seacoast Banking Corp. of Florida 1,927 35 40..

SEI Investments Co. 5,226 83 379..

Select Income REIT 2,915 89 80..

Selective Insurance Group Inc. 2,105 47 98..

Senior Housing Properties Trust 7,174 167 147..

ServisFirst Bancshares Inc. 937 38 62..

Signature Bank 1,515 126 321..

Silver Bay Realty Trust Corp. 1,374 25 30..

Simmons First National Corp., Class 'A' 1,054 43 75..

Simon Property Group Inc. 9,453 938 2,543..

SL Green Realty Corp. 2,985 282 467..

SLM Corp. 13,521 308 122..

Solar Capital Ltd. 1,961 48 45..

Southside Bancshares Inc. 1,116 32 37..

Sovran Self Storage Inc. 1,138 75 169..

Spirit Realty Capital Inc. 13,102 160 182..

St. Joe Corp. 3,016 84 77..

STAG Industrial Inc. 1,991 52 51..

StanCorp Financial Group Inc. 1,251 35 197

17




SecurityNumber

of Shares

AverageCost

($000s)

FairValue

($000s)

% ofNet

Assets..

Starwood Property Trust Inc. 7,218 193 205..

Starwood Waypoint Residential Trust 1,569 51 49..

State Auto Financial Corp. 1,354 42 39..

State Bank Financial Corp. 1,485 30 43..

State National Cos. Inc. 1,623 20 22..

State Street Corp. 12,532 691 1,151..

Sterling Bancorp 3,254 45 73..

Stewart Information Services Corp. 810 34 42..

Stifel Financial Corp. 2,268 118 133..

Stock Yards Bancorp Inc. 1,109 48 58..

Store Capital Corp. 4,136 113 133..

Summit Hotel Properties Inc. 2,852 31 47..

Sun Communities Inc. 1,683 102 160..

Sunstone Hotel Investors Inc. 5,846 103 101..

SunTrust Banks Inc. 15,709 1,008 931..

SVB Financial Group 1,621 121 267..

Symetra Financial Corp. 3,711 79 163..

Synchrony Financial 25,120 1,006 1,057..

Synovus Financial Corp. 4,181 296 187..

T. Rowe Price Group Inc. 7,821 279 774..

Talmer Bancorp Inc., Series 'A' 2,832 54 71..

Tanger Factory Outlet Centers Inc. 2,584 54 117..

Taubman Centers Inc. 1,923 94 204..

TCF Financial Corp. 5,706 122 111..

TCP Capital Corp. 3,021 62 58..

TD Ameritrade Holding Corp. 16,451 399 790..

Tejon Ranch Co. 981 41 26..

Terreno Realty Corp. REIT 1,508 34 47..

Texas Capital Bancshares Inc. 1,375 50 94..

TFS Financial Corp. 9,455 126 246..

Tompkins Trustco Inc. 730 28 57..

Torchmark Corp. 4,035 99 319..

TowneBank 2,316 41 67..

TPG Specialty Lending Inc. 1,682 39 38..

Travelers Cos. Inc. (The) 9,704 562 1,515..

Triangle Capital Corp. 1,169 35 31..

Trico Banchares 1,027 31 39..

Trustco Bank Corp. 4,052 37 34..

Trustmark Corp. 2,597 78 83..

Two Harbors Investment Corp. 11,642 131 130..

U.S. Bancorp 54,283 1,901 3,205..

UDR Inc. 7,793 206 405..

UMB Financial Corp. 1,508 64 97..

Umpqua Holdings Corp. 7,367 153 162..

Union Bankshares Corp. 2,119 64 74..

United Bankshares Inc. 2,504 87 128..

United Community Banks Inc. 2,132 68 57..

United Financial Bancorp Inc. 2,378 38 42..

United Fire Group Inc. 863 26 46..

Universal Health Realty Income Trust 510 24 35..

Universal Insurance Holdings Inc. 1,064 33 34..

Unum Group 7,632 319 352..

Urban Edge Properties 3,181 91 103..

Urstadt Biddle Properties Inc. 1,897 40 47..

Valley National Bancorp 7,720 112 105..

Ventas Inc. 10,077 597 787..

VEREIT Inc. 28,217 407 309..

Virtu Financial Inc. 4,358 127 137..

Virtus Investment Partners Inc. 276 34 45..

Vornado Realty Trust 5,703 455 789..

Voya Financial Inc. 7,427 268 379..

W.R. Berkley Corp. 3,766 68 285..

Waddell & Reed Financial, Class 'A' 2,664 95 106..

Walker & Dunlop Inc. 1,099 18 44..

Walter Investment Management Corp. 1,219 30 24..

Washington Federal Inc. 3,241 81 107..

Washington REIT 2,141 54 80..

Washington Trust Bancorp Inc. 792 29 43..

Webster Financial Corp. 3,077 131 158..

Weingarten Realty Investors 3,883 130 186..

Wells Fargo & Co. 156,287 7,678 11,756..

Welltower Inc. 10,491 701 988..

Wesbanco Inc. 1,246 47 52..

Westamerica Bancorp 1,303 83 84..

Western Alliance Bancorp 3,432 102 170..

Western Asset Mortgage Capital Corp. 1,327 26 19..

Westwood Holdings Group Inc. 421 28 30..

Weyerhaeuser Co. 15,891 612 659..

White Mountains Insurance Group Inc. 214 123 215..

Wilshire Bancorp Inc. 2,439 37 39..

Winthrop Realty Trust 1,357 17 24..

Wintrust Financial Corp. 1,710 92 115..

WisdomTree Investments Inc. 4,079 75 88..

World Acceptance Corp. 325 9 17..

WP Carey Inc. 3,289 201 268

18




SecurityNumber

of Shares

AverageCost

($000s)

FairValue

($000s)

% ofNet

Assets..

WP GLIMCHER Inc. 5,968 133 88..

WSFS Financial Corp. 1,098 21 49..

Yadkin Financial Corp. 1,582 40 55..

Zions Bancorp 6,402 322 242..

....

131,892 176,233 17.0%..x

Health Care..

AAC Holdings Inc. 624 22 16..

Abaxis Inc. 661 30 51..

Abbott Laboratories 45,700 1,321 2,840..

AbbVie Inc. 48,215 1,668 3,952..

ABIOMED Inc. 1,265 38 158..

Acadia Healthcare Co. Inc. 2,024 131 175..

Acadia Pharmaceuticals Inc. 3,052 101 151..

Accelerate Diagnostics Inc. 1,504 28 45..

Acceleron Pharma Inc. 1,040 49 70..

Accretive Health Inc. 2,979 29 13..

Accuray Inc. 2,695 29 25..

Achillion Pharmaceuticals Inc. 3,456 48 52..

Acorda Therapeutics Inc. 1,366 47 81..

Adeptus Health Inc., Class 'A' 641 40 48..

Aduro Biotech Inc. 1,883 71 73..

Advaxis Inc. 959 21 13..

Aegerion Pharmaceuticals Inc. 951 65 13..

Aerie Pharmaceuticals Inc. 743 26 25..

Aetna Inc. 10,597 314 1,585..

Affymetrix Inc. 2,332 62 33..

Agenus Inc. 2,712 28 17..

Agilent Technologies Inc. 10,358 781 599..

Agios Pharmaceuticals Inc. 1,130 66 102..

Air Methods Corp. 1,142 57 66..

Akorn Inc. 3,215 99 166..

Albany Molecular Research Inc. 1,145 27 31..

Alder Biopharmaceuticals Inc. 1,118 36 51..

Alere Inc. 2,571 98 139..

Alexion Pharmaceuticals Inc. 6,861 486 1,811..

Align Technology Inc. 2,481 33 226..

Allscripts Healthcare Solutions Inc. 5,575 124 119..

Alnylam Pharmaceuticals Inc. 2,567 264 334..

AMAG Pharmaceuticals Inc. 901 37 38..

Amedisys Inc. 1,056 35 57..

AmerisourceBergen Corp. 6,692 165 960..

Amgen Inc. 22,954 1,328 5,156..

Amicus Therapeutics Inc. 3,532 46 47..

AMN Healthcare Services Inc. 1,385 41 60..

Amphastar Pharmaceuticals Inc. 1,516 30 30..

AmSurg Corp. 1,493 73 157..

Anacor Pharmaceuticals Inc. 1,320 33 206..

Analogic Corp. 379 21 43..

AngioDynamics Inc. 1,108 20 19..

ANI Pharmaceuticals Inc. 373 29 23..

Anika Therapeutics Inc. 506 19 27..

Anthem Inc. 8,045 484 1,552..

Aratana Therapeutics Inc. 1,057 21 8..

Arena Pharmaceuticals Inc. 7,789 72 20..

ARIAD Pharmaceuticals Inc. 5,703 44 49..

Array BioPharma Inc. 4,650 27 27..

Atara Biotherapeutics Inc. 737 31 27..

athenahealth Inc. 1,176 186 262..

AtriCure Inc. 873 20 27..

Atrion Corp. 62 20 33..

aTyr Pharma Inc. 684 16 9..

Baxalta Inc. 16,463 371 889..

Baxter International Inc. 16,463 457 869..

Becton, Dickinson & Co. 6,313 419 1,346..

Bellicum Pharmaceuticals Inc. 864 25 24..

BioCryst Pharmaceuticals Inc. 2,286 35 33..

Biogen Inc. 7,110 563 3,014..

BioMarin Pharmaceutical Inc. 4,816 295 698..

Bio-Rad Laboratories Inc., Class 'A' 914 83 175..

Bio-Techne Corp. 1,196 48 149..

Bluebird Bio Inc. 990 66 88..

Blueprint Medicines Corp. 781 25 28..

Boston Scientific Corp. 40,562 860 1,035..

Bristol-Myers Squibb Co. 50,308 2,864 4,789..

Brookdale Senior Living Inc. 5,399 189 138..

Bruker BioSciences Corp. 5,255 44 176..

C.R. Bard Inc. 2,257 98 592..

Cambrex Corp. 967 41 63..

Cantel Medical Corp. 1,362 49 117..

Capital Senior Living Corp. 1,000 26 29..

Cardinal Health Inc. 9,995 540 1,235..

Cardiovascular Systems Inc. 1,000 39 21..

Castlight Health Inc. 2,740 27 16..

Catalent Inc. 3,804 145 132

19




SecurityNumber

of Shares

AverageCost

($000s)

FairValue

($000s)

% ofNet

Assets..

Celgene Corp. 24,229 645 4,015..

Celldex Therapeutics Inc. 2,977 87 65..

Cempra Inc. 1,428 68 62..

Centene Corp. 3,598 96 328..

Cepheid Inc. 2,161 38 109..

Cerner Corp. 10,384 265 865..

Cerus Corp. 3,647 24 32..

Charles River Laboratories International Inc. 1,472 80 164..

Chemed Corp. 552 21 114..

Chimerix Inc. 1,405 53 17..

Cigna Corp. 7,827 280 1,585..

Civitas Solutions Inc. 1,075 27 43..

Clovis Oncology Inc. 1,047 79 51..

Coherus Biosciences Inc. 1,149 42 37..

Community Health Systems Inc. 3,586 157 132..

Computer Programs and Systems Inc. 420 21 29..

CONMED Corp. 943 32 57..

Cooper Cos. Inc. (The) 1,473 114 274..

Corcept Therapeutics Inc. 3,307 25 23..

Corindus Vascular Robotics Inc. 5,368 26 24..

CorVel Corp. 570 29 35..

Cross Country Healthcare Inc. 1,313 18 30..

Cynosure Inc., Class 'A' 775 23 48..

DaVita HealthCare Partners Inc. 6,533 199 630..

Dentsply International Inc. 4,256 83 358..

DepoMed Inc. 1,988 29 50..

Dermira Inc. 777 17 37..

Dexcom Inc. 2,393 70 271..

Dyax Corp. 4,186 49 218..

Dynavax Technologies Corp. 990 21 33..

Eagle Pharmaceuticals Inc. 475 33 58..

Edwards Lifesciences Corp. 6,544 79 715..

Eli Lilly and Co. 33,659 2,523 3,924..

Emergent Biosolutions Inc. 1,314 38 73..

Enanta Pharmaceuticals Inc. 581 25 27..

Endologix Inc. 2,298 40 31..

Ensign Group Inc. (The) 1,624 38 51..

Entellus Medical Inc. 581 19 14..

Envision Healthcare Holdings Inc. 5,677 209 204..

Epizyme Inc. 1,288 40 29..

Esperion Therapeutics Inc. 700 65 22..

Exact Sciences Corp. 2,867 53 37..

ExamWorks Group Inc. 1,348 49 50..

Exelixis Inc. 6,506 81 51..

Express Scripts Holding Co. 22,030 716 2,665..

FibroGen Inc. 1,767 64 74..

Five Prime Therapeutics Inc. 811 26 47..

Flexion Therapeutics Inc. 639 21 17..

Fluidigm Corp. 842 40 13..

Foundation Medicine Inc. 1,037 37 30..

Genesis Healthcare Inc. 4,984 45 24..

Genomic Health Inc. 1,057 33 51..

Geron Corp. 4,879 37 33..

Gilead Sciences Inc. 45,076 588 6,311..

Globus Medical Inc., Class 'A' 2,075 54 80..

Greatbatch Inc. 998 39 72..

Haemonetics Corp. 1,667 50 74..

Halozyme Therapeutics Inc. 3,990 69 96..

Halyard Health Inc. 1,541 69 71..

Hanger Inc. 1,308 47 30..

HCA Holdings Inc. 12,756 652 1,194..

Health Net Inc. 2,348 93 222..

HealthEquity Inc. 1,702 52 59..

HealthSouth Corp. 2,669 90 129..

HealthStream Inc. 935 30 28..

Healthways Inc. 1,226 24 22..

HeartWare International Inc. 567 59 40..

Henry Schein Inc. 2,657 134 582..

Hill-Rom Holdings Inc. 1,749 119 116..

HMS Holdings Corp. 2,620 67 45..

Hologic Inc. 8,536 210 457..

Horizon Pharma PLC 4,361 101 131..

Humana Inc. 4,526 193 1,118..

ICU Medical Inc. 507 23 79..

IDEXX Laboratories Inc. 2,881 25 291..

Illumina Inc. 4,295 306 1,141..

Immune Design Corp. 617 19 17..

ImmunoGen Inc. 2,907 48 55..

Impax Laboratories Inc. 2,226 66 132..

IMS Health Holdings Inc. 10,165 330 358..

INC Research Holdings Inc., Class 'A' 1,874 77 126..

Incyte Corp. 5,192 160 779..

Infinity Pharmaceuticals Inc. 1,658 30 18..

Inogen Inc. 562 23 31..

Inovalon Holdings Inc., Class 'A' 4,353 146 102

20




SecurityNumber

of Shares

AverageCost

($000s)

FairValue

($000s)

% ofNet

Assets..

Inovio Pharmaceuticals Inc. 2,156 25 20..

Insmed Inc. 1,882 44 47..

Insulet Corp. 1,838 87 96..

Insys Therapeutic Inc. 4,311 143 171..

Integra LifeSciences Holdings 1,086 51 102..

Intercept Pharmaceuticals Inc. 688 270 142..

Intersect ENT Inc. 872 27 27..

Intrexon Corp. 3,199 115 133..

Intuitive Surgical Inc. 1,110 155 839..

Invacare Corp. 1,148 32 28..

Invitae Corp. 894 16 10..

Ionis Pharmaceuticals Inc. 3,637 186 312..

Ironwood Pharmaceuticals Inc., Class 'A' 4,598 69 74..

Johnson & Johnson 84,176 5,355 11,964..

Juno Therapeutics Inc. 2,769 174 168..

K2M Group Holdings Inc. 1,294 34 35..

Keryx Biopharmaceuticals Inc. 3,227 50 23..

Kindred Healthcare Inc. 2,578 72 42..

Kite Pharma Inc. 1,296 104 110..

Laboratory Corp. of America Holdings 3,000 245 513..

Lannett Co. Inc. 1,124 48 62..

LDR Holding Corp. 822 39 29..

Lexicon Pharmaceuticals Inc. 3,137 41 58..

LHC Group Inc. 653 17 41..

LifePoint Hospitals Inc. 1,356 57 138..

Ligand Pharmaceuticals Inc., Class 'B' 621 48 93..

Luminex Corp. 1,407 28 42..

MacroGenics Inc. 966 40 41..

Magellan Health Inc. 823 33 70..

Mannkind Corp. 12,771 96 26..

Masimo Corp. 1,713 55 98..

McKesson Corp. 7,039 617 1,921..

MedAssets Inc. 2,139 50 92..

MedCath Corp. 1,452 18 –..

Medicines Co. (The) 2,076 70 107..

Medidata Solutions Inc. 1,677 102 114..

Medivation Inc. 4,766 208 319..

MEDNAX Inc. 2,988 85 296..

Merck & Co. Inc. 85,821 5,019 6,272..

Meridian Bioscience Inc. 1,564 27 44..

Merit Medical System Inc. 1,526 27 39..

Merrimack Pharmaceuticals Inc. 3,422 22 37..

Mettler-Toledo International Inc. 869 153 408..

MiMedx Group Inc. 3,321 29 43..

Molina Healthcare Inc. 1,688 60 140..

Momenta Pharmaceutical Inc. 1,970 49 40..

Myriad Genetics Inc. 2,127 56 127..

National Healthcare Corp. 501 23 43..

National Research Corp., Class 'B' 786 35 39..

Natus Medical Inc. 1,110 32 74..

Nektar Therapeutics 4,330 103 101..

Neogen Corp. 1,268 59 99..

Neurocrine Biosciences Inc. 2,554 100 200..

Nevro Corp. 823 48 77..

NewLink Genetics Corp. 856 42 43..

Northwest Biotherapeutics Inc. 2,184 23 10..

Novavax Inc. 8,090 64 94..

NuVasive Inc. 1,472 39 110..

NxStage Medical Inc. 2,190 32 66..

Ocular Therapeutix Inc. 744 36 10..

Omeros Corp. 1,224 38 27..

Omnicell Inc. 1,007 30 43..

OncoMed Pharmaceuticals Inc. 928 35 29..

Ophthotech Corp. 1,069 45 116..

Opko Health Inc. 16,318 169 227..

Orexigen Therapeutics Inc. 4,094 31 10..

Osiris Therapeutics Inc. 1,084 19 16..

Otonomy Inc. 739 36 28..

OvaScience Inc. 802 45 11..

Owens & Minor Inc. 2,193 51 109..

Pacira Pharmaceuticals Inc. 1,138 86 121..

Paratek Pharmaceuticals Inc. 586 21 15..

Parexel International Corp. 1,650 39 156..

Patterson Cos. Inc. 3,242 72 203..

PDL BioPharma Inc. 5,163 74 25..

PerkinElmer Inc. 3,460 108 256..

Pfenex Inc. 714 17 12..

Pfizer Inc. 185,527 7,191 8,287..

PharMerica Corp. 839 16 41..

Phibro Animal Health Corp., Class 'A' 1,193 55 50..

Portola Pharmaceuticals Inc. 1,535 56 109..

PRA Health Sciences Inc. 1,841 71 115..

Premier Inc., Class 'A' 4,470 171 218..

Press Ganey Holdings Inc. 1,579 55 69..

Progenics Pharmaceuticals Inc. 2,367 21 20

21




SecurityNumber

of Shares

AverageCost

($000s)

FairValue

($000s)

% ofNet

Assets..

Providence Service Corp. 554 32 36..

PTC Therapeutics Inc. 1,043 39 47..

Puma Biotechnology Inc. 980 147 106..

Quality Systems Inc. 1,956 44 44..

Quest Diagnostics Inc. 4,327 182 426..

Quidel Corp. 1,179 18 35..

Quintiles Transnational Holdings Inc. 3,796 216 361..

Raptor Pharmaceuticals Corp. 2,567 45 18..

Regeneron Pharmaceuticals Inc. 3,105 388 2,332..

Regulus Therapeutics Inc. 1,606 38 19..

Relypsa Inc. 1,292 57 51..

Repligen Corp. 998 19 39..

ResMed Inc. 4,239 92 315..

Retrophin Inc. 1,014 23 27..

Revance Therapeutics Inc. 714 17 34..

Rockwell Medical Inc. 1,591 20 23..

Sage Therapeutics Inc. 871 56 70..

Sagent Pharmaceuticals Inc. 980 22 22..

Sangamo BioSciences Inc. 2,368 49 30..

Sarepta Therapeutics Inc. 1,277 35 68..

SciClone Pharmaceuticals Inc. 2,125 23 27..

SeaSpine Holdings Corp. 362 9 9..

Seattle Genetics Inc. 3,821 173 237..

Second Sight Medical Products Inc. 1,082 20 9..

Select Medical Holdings Corp. 3,854 49 64..

Sirona Dental Systems Inc. 1,746 137 265..

Spark Therapeutics Inc. 704 57 44..

Spectranetics Corp., Rights 1,298 37 27..

Spectrum Pharmaceuticals Inc. 2,435 21 20..

St. Jude Medical Inc. 8,657 210 740..

Stryker Corp. 11,478 371 1,476..

Sucampo Pharmaceuticals Inc., Class 'A' 1,345 31 32..

Supernus Pharmaceuticals Inc. 1,598 25 30..

Surgical Care Affiliates Inc. 1,330 48 73..

Synergy Pharmaceuticals Inc. 3,357 34 26..

Team Health Holdings Inc. 2,178 111 132..

Teleflex Inc. 1,300 94 236..

Tenet Healthcare Corp. 3,004 336 126..

Tesaro Inc. 1,234 53 89..

Tetraphase Pharmaceuticals Inc. 1,121 56 16..

TherapeuticsMD Inc. 5,257 40 75..

Theravance Inc. 3,673 119 54..

Thermo Fisher Scientific Inc. 12,064 704 2,368..

U.S. Physical Therapy Inc. 412 26 31..

Ultragenyx Pharmaceutical Inc. 1,061 76 165..

United Therapeutics Corp. 1,401 56 304..

UnitedHealth Group Inc. 28,850 806 4,696..

Universal American Corp. 2,770 27 27..

Universal Health Services Inc., Class 'B' 3,004 86 497..

Vanda Pharmaceuticals Inc. 1,274 17 16..

Varian Medical Systems Inc. 3,097 94 346..

Vascular Solutions Inc. 568 21 27..

VCA Inc. 2,573 64 196..

Veeva Systems Inc., Class 'A' 4,041 138 161..

Versartis Inc. 976 24 17..

Vertex Pharmaceuticals Inc. 7,326 592 1,276..

Vital Therapies Inc. 729 24 12..

VWR Corp. 3,976 128 156..

Waters Corp. 2,503 80 466..

WellCare Health Plans Inc. 1,326 72 143..

West Pharmaceutical Services Inc. 2,325 45 194..

Xencor Inc. 1,180 24 24..

XOMA Corp. 4,502 31 8..

Zafgen Inc. 811 45 7..

Zeltiq Aesthetics Inc. 1,202 27 47..

Zimmer Biomet Holdings Inc. 5,169 326 734..

ZIOPHARM Oncology Inc. 4,026 64 46..

Zoetis Inc. 15,021 511 996..

....

58,605 127,257 12.3%..x

Industrials..

3M Co. 19,177 1,443 3,997..

A.O. Smith Corp. 2,779 66 295..

AAON Inc. 1,846 39 59..

AAR Corp. 1,163 32 42..

ABM Industries Inc. 1,998 51 79..

Acacia Research Corp. 2,081 33 12..

Acco Brands Corp. 3,592 44 35..

Aceto Corp. 963 19 36..

Actuant Corp., Class 'A' 2,190 54 73..

Acuity Brands Inc. 1,307 62 423..

ADT Corp. (The) 5,180 191 236..

Advanced Drainage Systems Inc. 1,696 61 56..

Advisory Board Co. (The) 1,372 48 94..

Aecom Technology Corp. 4,797 155 199

22




SecurityNumber

of Shares

AverageCost

($000s)

FairValue

($000s)

% ofNet

Assets..

Aegion Corp. 1,332 30 36..

Aerojet Rocketdyne Holdings Inc. 2,014 34 44..

Aerovironment Inc. 940 31 38..

AGCO Corp. 2,835 102 178..

Air Lease Corp. 2,950 97 137..

Air Transport Services Group Inc. 1,907 22 27..

Aircastle Ltd. 2,659 52 77..

Alamo Group Inc. 445 24 32..

Alaska Air Group Inc. 3,900 86 434..

Albany International Corp., Class 'A' 1,162 40 59..

Allegiant Travel Co. 498 41 116..

Altra Industrial Motion Corp. 929 34 32..

AMERCO Inc. 594 36 320..

American Airlines Group Inc. 21,059 815 1,234..

American Railcar Industries Inc. 637 34 41..

American Woodmark Corp. 498 16 55..

Ametek Inc. 7,440 128 552..

Apogee Enterprises Inc. 943 23 57..

Applied Industrial Technologies Inc. 1,517 37 85..

ArcBest Corp. 814 31 24..

Argan Inc. 535 23 24..

Armstrong World Industries Inc. 1,801 84 114..

Astec Industries Inc. 772 26 43..

Astronics Corp. 742 46 42..

Atlas Air Worldwide Holdings Inc. 700 31 40..

Avery Dennison Corp. 2,851 187 247..

Avis Budget Group Inc. 3,181 903 160..

AZZ Inc. 790 36 61..

B/E Aerospace Inc. 3,297 153 193..

Babcock & Wilcox Enterprises Inc. 1,654 25 48..

Barnes Group Inc. 1,734 41 85..

Beacon Roofing Supply Inc. 1,713 45 98..

Belden CDT Inc. 1,345 59 89..

Blount International Inc. 1,618 29 22..

BMC Stock Holdings Inc. 887 18 21..

Boeing Co. (The) 21,346 1,479 4,271..

Brady Corp., Class 'A' 1,681 44 53..

Briggs & Stratton Corp. 1,402 46 34..

Brink's Co. (The) 1,614 77 64..

Builders FirstSource Inc. 3,066 41 47..

BWX Technologies Inc. 3,308 64 145..

C.H. Robinson Worldwide Inc. 4,398 116 377..

CAI International Inc. 544 14 8..

Carlisle Cos. Inc. 1,941 91 238..

Caterpillar Inc. 18,331 793 1,724..

CBIZ Inc. 2,698 31 37..

CEB Inc. 1,054 57 90..

Celadon Group Inc. 806 19 11..

Chart Industries Inc. 1,058 75 26..

Cintas Corp. 3,498 179 441..

CIRCOR International Inc. 557 18 32..

Clarcor Inc. 1,516 39 104..

Clean Harbors Inc. 1,819 44 105..

Colfax Corp. 3,952 233 128..

Columbus Mckinnon Corp. NY 800 20 21..

Comfort Systems USA Inc. 1,200 15 47..

Continental Building Products Inc. 1,427 34 34..

Copart Inc. 3,935 58 207..

Corrections Corp. of America 3,618 163 133..

Covanta Holding Corp. 4,229 76 91..

Covenant Transport Group Inc., Class 'A' 588 25 15..

Crane Co. 1,906 92 126..

CSW Industrials Inc. 538 23 28..

CSX Corp. 29,610 387 1,063..

Cubic Corp. 939 19 61..

Cummins Inc. 5,510 222 671..

Curtiss-Wright Corp. 1,575 65 149..

Danaher Corp. 21,285 769 2,736..

Deere & Co. 10,287 460 1,086..

Delta Air Lines Inc. 24,907 442 1,747..

Deluxe Corp. 1,546 68 117..

DigitalGlobe Inc. 2,226 90 48..

Donaldson Co. Inc. 4,366 61 173..

Douglas Dynamics Inc. 861 24 25..

Dover Corp. 4,945 256 420..

DXP Enterprises Inc. 459 47 14..

Dycom Industries Inc. 1,062 62 103..

Echo Global Logistics Inc. 885 34 25..

EMCOR Group Inc. 2,006 49 133..

Emerson Electric Co. 20,754 935 1,374..

Encore Capital Group Inc. 977 27 39..

Encore Wire Corp. 715 22 37..

EnerSys 1,301 23 101..

Engility Holdings Inc. 1,176 31 53..

Ennis Inc. 810 19 22

23




SecurityNumber

of Shares

AverageCost

($000s)

FairValue

($000s)

% ofNet

Assets..

EnPro Industries Inc. 819 36 50..

Equifax Inc. 3,592 161 554..

ESCO Technologies Inc. 1,006 35 50..

Essendant Inc . 1,167 24 52..

Esterline Technologies Corp. 1,019 64 114..

Expeditors International of Washington Inc. 5,686 102 355..

Exponent Inc. 965 39 67..

Fastenal Co. 8,997 127 508..

Federal Signal Corp. 2,058 46 45..

FedEx Corp. 8,495 605 1,751..

Flowserve Corp. 4,084 73 238..

Fluor Corp. 4,583 146 299..

Fortress Transportation and Infrastructure Investors LLC 2,226 51 35..

Fortune Brands Home & Security Inc. 4,995 102 384..

Forward Air Corp. 915 26 54..

Franklin Electric Co. Inc. 1,839 54 69..

FTI Consulting Inc. 1,284 51 62..

G&K Services Inc., Class 'A' 595 34 52..

GATX Corp. 1,327 69 78..

General Cable Corp. 1,886 55 35..

General Dynamics Corp. 10,091 505 1,918..

General Electric Co. 304,409 14,830 13,121..

Genesee & Wyoming Inc., Class 'A' 1,477 62 110..

Gibraltar Industries Inc. 1,207 24 42..

Gorman-Rupp Co. (The) 891 30 33..

Graco Inc. 1,829 40 182..

Granite Construction Inc. 1,404 32 83..

Greenbrier Cos. Inc. (The) 789 26 36..

Griffon Corp. 2,226 44 55..

H&E Equipment Services Inc. 1,115 35 27..

Harsco Corp. 2,869 72 31..

Hawaiian Holdings Inc. 1,671 23 82..

HD Supply Holdings Inc. 5,877 152 244..

Healthcare Services Group Inc. 2,323 28 112..

Heartland Express Inc. 2,669 31 63..

HEICO Corp. 2,120 103 144..

Heidrick & Struggles International Inc. 659 20 25..

Herman Miller Inc. 1,813 65 72..

Hertz Global Holdings Inc. 13,535 273 266..

Hexcel Corp. 2,886 91 185..

HNI Corp. 1,267 56 63..

Honeywell International Inc. 23,657 1,361 3,390..

Hub Group Inc., Class 'A' 1,121 25 51..

Hubbell Inc . 1,754 119 245..

Huntington Ingalls Industries Inc. 1,493 68 262..

Huron Consulting Group Inc. 692 23 57..

Hyster-Yale Materials Handling Inc. 422 21 31..

ICF International Inc. 605 22 30..

Idex Corp. 2,533 98 269..

IHS Inc., Class 'A' 2,099 123 344..

II-VI Inc. 1,864 18 48..

Illinois Tool Works Inc. 11,464 496 1,470..

Insperity Inc. 734 22 49..

Interface Inc. 2,077 30 55..

ITT Corp. 2,811 166 141..

J.B. Hunt Transport Services Inc. 3,555 59 361..

Jacobs Engineering Group Inc. 4,056 128 235..

JetBlue Airways Corp. 9,419 163 295..

John Bean Technologies Corp. 924 20 64..

Joy Global Inc. 2,884 46 50..

Kadant Inc. 510 31 29..

Kaman Corp., Class 'A' 796 34 45..

Kansas City Southern Industries Inc. 3,290 253 340..

KAR Auction Services Inc. 4,399 126 225..

KBR Inc. 4,489 125 105..

Kelly Services Inc., Class 'A' 1,380 45 31..

Kennametal Inc. 2,508 92 67..

Kforce Inc. 858 13 30..

Kimball International Inc., Class 'B' 1,388 21 19..

Kirby Corp. 1,709 81 124..

KLX Inc. 1,711 87 73..

Knight Transportation Inc. 2,540 44 85..

Knoll Inc. 1,267 24 33..

Korn Ferry International 1,524 37 70..

L-3 Communications Holdings Inc. 2,493 168 412..

Landstar System Inc. 1,302 27 106..

Lennox International Inc. 1,414 43 244..

Lincoln Electric Holdings Inc. 2,294 47 165..

Lindsay Corp. 388 38 39..

Lockheed Martin Corp. 9,559 806 2,872..

Lydall Inc. 629 25 31..

Manitowoc Co. Inc. (The) 4,220 59 90..

ManpowerGroup Inc. 2,378 132 277..

Marten Transport Ltd. 1,104 19 27..

Masco Corp. 10,600 306 415

24




SecurityNumber

of Shares

AverageCost

($000s)

FairValue

($000s)

% ofNet

Assets..

MasTec Inc. 2,417 53 58..

Matson Inc. 1,282 52 76..

McGrath Rentcorp. 977 19 34..

Meritor Inc. 3,110 98 36..

Middleby Corp. (The) 1,738 40 259..

Mistras Group Inc. 1,165 28 31..

Mobile Mini Inc. 1,381 29 59..

Moog Inc., Class 'A' 1,229 46 103..

MRC Global Inc. 3,405 90 61..

MSA Safety Inc. 1,379 51 83..

MSC Industrial Direct Co. Inc., Class 'A' 1,899 81 148..

Mueller Industries Inc. 1,941 45 73..

Mueller Water Products Inc., Series 'A' 4,617 45 55..

Multi-Color Corp. 494 19 41..

MYR Group Inc. 751 22 21..

Nacco Industries Inc., Class 'A' 235 25 14..

National Presto Industries Inc. 286 16 33..

Navigant Consulting Inc. 1,824 31 41..

Navistar International Corp. 2,435 91 30..

NCI Building Systems Inc. 2,300 57 39..

NN Inc. 719 23 16..

Nordson Corp. 1,848 37 164..

Norfolk Southern Corp. 9,190 448 1,076..

Nortek Inc. 588 51 35..

Northrop Grumman Corp. 6,003 377 1,568..

Now Inc. 3,274 113 72..

Old Dominion Freight Line Inc. 2,495 44 204..

On Assignment Inc. 1,533 50 95..

Orbital ATK Inc. 1,805 108 223..

Oshkosh Truck Corp., Class 'B' 2,476 75 134..

Owens Corning Inc. 3,563 142 232..

P.A.M. Transportation Services Inc. 231 16 9..

Paccar Inc. 10,740 280 704..

Parker Hannifin Corp. 4,335 232 582..

Park-Ohio Holdings Corp. 445 23 23..

Patrick Industries Inc. 537 27 32..

Paylocity Holding Corp. 1,540 58 86..

PGT Inc. 1,578 19 25..

Pitney Bowes Inc. 6,073 340 174..

Plug Power Inc. 5,615 135 16..

Ply Gem Holdings Inc. 2,021 29 35..

Powell Industries Inc. 314 22 11..

Power Solutions International Inc. 346 26 9..

Precision Castparts Corp. 4,287 353 1,376..

Primoris Services Corp. 1,715 59 52..

Proto Labs Inc. 818 70 72..

Quad Graphics Inc. 1,595 41 21..

Quanex Building Products Corp. 1,397 25 40..

Quanta Services Inc. 6,100 162 171..

R.R. Donnelley & Sons Co. 6,411 220 131..

Raven Industries Inc. 1,185 24 26..

Raytheon Co. 9,274 606 1,598..

RBC Bearings Inc. 767 53 69..

Regal-Beloit Corp. 1,413 85 114..

Republic Airways Holdings Inc. 1,583 26 9..

Republic Services Inc. 10,769 356 655..

Resources Connection Inc. 1,601 30 36..

Rexnord Corp. 3,217 97 81..

Roadrunner Transportation Systems Inc. 1,171 30 15..

Robert Half International Inc. 4,052 128 264..

Rockwell Automation Inc. 4,135 257 587..

Rockwell Collins Inc. 4,010 168 512..

Rollins Inc. 6,531 46 234..

Roper Industries Inc. 3,055 191 802..

RPX Corp. 1,971 35 30..

Rush Enterprises Inc., Class 'A' 1,205 38 36..

Ryder System Inc. 1,548 84 122..

Saia Inc. 794 26 24..

Seaboard Corp. 37 36 148..

Simpson Manufacturing Co. Inc. 1,568 52 74..

SkyWest Inc. 1,617 31 43..

Snap-On Inc. 1,753 107 416..

SolarCity Corp. 2,946 196 208..

Southwest Airlines Inc. 20,353 340 1,213..

Spirit Aerosystems Holdings Inc., Class 'A' 4,261 129 295..

Spirit Airlines Inc. 2,203 104 121..

SPX Corp. 1,285 90 17..

SPX FLOW Inc. 1,285 63 50..

Standard Plus Corp. 799 22 26..

Standex International Corp. 413 15 48..

Stanley Black & Decker Inc. 4,775 294 705..

Steelcase Inc., Class 'A' 3,668 58 76..

Stericycle Inc. 2,595 114 433..

Sun Hydraulics Corp. 843 36 37..

Swift Transportation Co. 4,347 103 83

25




SecurityNumber

of Shares

AverageCost

($000s)

FairValue

($000s)

% ofNet

Assets..

Sykes Enterprises Inc. 1,305 22 56..

TAL International Group Inc. 1,043 23 23..

Taser International Inc. 1,611 33 39..

Team Inc. 745 36 33..

Teledyne Technologies Inc. 1,077 49 132..

Tennant Co. 573 18 45..

Terex Corp. 3,433 86 88..

Tetra Tech Inc. 1,806 35 65..

Textainer Group Holdings Ltd. 1,551 61 30..

Textron Inc. 8,299 349 482..

The Dun & Bradstreet Corp. 1,081 42 155..

Thermon Group Holdings Inc. 1,112 30 26..

Timken Co. (The) 2,620 97 104..

Titan International Inc. 1,970 35 11..

Toro Co. (The) 1,685 22 170..

Towers Watson & Co., Class 'A' 2,088 164 371..

TransDigm Group Inc. 1,602 284 506..

Trex Co. Inc. 966 36 51..

TriMas Corp. 1,499 57 39..

TriNet Group Inc. 2,148 93 58..

Trinity Industries Inc. 4,714 104 157..

Triumph Group Inc. 1,528 56 84..

TrueBlue Inc. 1,416 28 50..

Tutor Perini Corp. 1,756 47 41..

UniFirst Corp. 706 83 102..

Union Pacific Corp. 26,473 702 2,865..

United Continental Holdings Inc. 11,646 577 923..

United Parcel Service Inc., Class 'B' 27,212 2,534 3,623..

United Rentals Inc. 2,919 157 293..

United Technologies Corp. 27,572 1,356 3,665..

Universal Forest Products Inc. 737 34 70..

Universal Truckload Services Inc. 1,054 29 20..

US Ecology Inc. 701 26 35..

USG Corp. 4,446 173 149..

UTi Worldwide Inc. 3,239 95 32..

Valmont Industries Inc. 742 33 109..

Verisk Analytics Inc., Class 'A' 4,840 283 515..

Veritiv Corp. 488 25 24..

Viad Corp. 803 64 31..

Vicor Corp. 1,330 25 17..

Virgin America Inc. 1,279 55 64..

W.W. Grainger Inc. 2,070 176 580..

Wabash National Corp. 2,601 59 43..

WABCO Holdings Inc. 1,742 92 246..

Wabtec Corp. 2,852 89 281..

WageWorks Inc. 1,103 68 69..

Waste Connections Inc. 3,772 97 294..

Waste Management Inc. 13,722 676 1,013..

Watsco Inc., Class 'A' 1,071 74 174..

Watts Water Technologies Inc., Class 'A' 1,235 46 85..

Werner Enterprises Inc. 2,124 46 69..

Wesco Aircraft Holdings Inc. 3,004 69 50..

WESCO International Inc. 1,287 36 78..

West Corp. 2,616 72 78..

Woodward Governor Co. 2,043 40 140..

XPO Logistics Inc. 2,410 115 91..

Xylem Inc. 5,514 152 278..

YRC Worldwide Inc. 992 22 19..

....

56,528 101,313 9.8%..x

Information Technology..

3D Systems Corp. 3,425 211 41..

ACI Worldwide Inc. 3,671 49 109..

Activision Blizzard Inc. 21,818 270 1,169..

Actua Corp. 1,576 34 25..

Acxiom Corp. 2,610 70 76..

Adobe Systems Inc. 15,126 355 1,966..

Adtran Inc. 1,844 49 44..

Advanced Energy Industries Inc. 1,267 21 49..

Advanced Micro Devices Inc. 24,335 219 97..

Akamai Technologies Inc. 5,429 378 395..

Alliance Data Systems Corp. 1,907 250 730..

Alphabet Inc., Class 'C' 20,647 6,845 21,681..

Ambarella Inc. 869 35 67..

Amkor Technology Inc. 7,406 79 62..

Amphenol Corp., Class 'A' 9,339 98 675..

Analog Devices Inc. 9,405 361 720..

Anixter International Inc. 1,180 47 99..

ANSYS Inc. 2,732 107 350..

Apple Inc. 176,271 3,516 25,674..

Applied Materials Inc. 37,178 790 960..

Applied Micro Circuits Corp. 2,457 212 22..

Arista Networks Inc. 1,935 171 208..

ARRIS Group Inc. 4,383 92 185..

Arrow Electronics Inc. 2,877 103 216

26




SecurityNumber

of Shares

AverageCost

($000s)

FairValue

($000s)

% ofNet

Assets..

Aspen Technology Inc. 2,826 116 148..

Atmel Corp. 12,972 84 155..

Autodesk Inc. 6,927 146 584..

Automatic Data Processing Inc. 14,320 797 1,679..

Avid Technology Inc. 1,192 23 12..

Avnet Inc. 4,216 148 250..

AVX Corp. 5,506 82 92..

Badger Meter Inc. 507 30 41..

Bankrate Inc. 2,981 56 55..

Bazaarvoice Inc. 2,762 27 17..

Benchmark Electronics Inc. 2,000 49 57..

Benefitfocus Inc. 897 61 45..

Black Knight Financial Services Inc., Class 'A' 4,543 169 208..

Blackbaud Inc. 1,627 38 148..

Blackhawk Network Holdings Inc. 1,713 61 105..

Blucora Inc. 1,316 248 18..

Booz Allen Hamilton Holding Corp. 4,438 96 189..

Bottomline Technologies Inc. 1,226 31 50..

Box Inc., Class 'A' 3,577 80 69..

Broadcom Corp., Class 'A' 18,112 1,520 1,449..

Broadridge Financial Solutions Inc. 3,730 96 277..

BroadSoft Inc. 934 33 46..

Brocade Communications Systems Inc. 13,214 387 168..

Brooks Automation Inc. 2,511 100 37..

CA Inc. 13,755 626 544..

Cabot Microelectronics Corp. 791 55 48..

CACI International Inc., Class 'A' 785 50 101..

Cadence Design Systems Inc. 9,045 264 260..

CalAmp Corp. 1,153 36 32..

Calix Inc. 1,829 20 20..

Callidus Software Inc. 1,713 24 44..

Cardtronics Inc. 1,441 50 67..

Cass Information Systems Inc. 411 23 29..

Cavium Inc. 1,655 63 150..

CDW Corp. 5,346 146 311..

CEVA Inc. 696 20 22..

Checkpoint Systems Inc. 1,928 35 17..

Chegg Inc. 2,772 23 26..

Ciena Corp. 3,611 622 103..

Cirrus Logic Inc. 1,906 29 78..

Cisco Systems Inc. 154,561 6,869 5,808..

Citrix Systems Inc. 4,860 147 509..

Cognex Corp. 2,668 56 125..

Cognizant Technology Solutions Corp., Class 'A' 18,427 339 1,530..

Coherent Inc. 997 74 90..

CommScope Holding Inc. 5,716 125 205..

Commvault Systems Inc. 1,362 99 74..

Computer Sciences Corp. 4,258 276 193..

comScore Inc. 1,328 53 76..

Comtech Telecommunications Corp. 776 20 22..

Constant Contact Inc. 1,007 32 41..

Convergys Corp. 3,191 74 110..

CoreLogic Inc. 2,622 83 123..

Cornerstone OnDemand Inc. 1,669 92 80..

Corning Inc. 38,716 1,051 979..

CoStar Group Inc. 949 176 271..

Cray Inc. 1,297 43 58..

Cree Inc. 3,451 225 127..

CSG Systems International Inc. 1,373 50 68..

CSRA Inc. 4,258 167 177..

CTS Corp. 1,279 22 31..

Cvent Inc. 1,267 51 61..

Cypress Semiconductor Corp. 9,657 147 131..

Daktronics Inc. 1,434 19 17..

Demandware Inc. 1,131 74 84..

DHI Group Inc. 1,796 21 23..

Diebold Inc. 2,106 118 88..

Diodes Inc. 1,503 40 48..

Dolby Laboratories Inc., Class 'A' 3,242 91 151..

DST Systems Inc. 1,175 52 185..

DTS Inc. 552 23 17..

EarthLink Inc. 4,247 120 44..

eBay Inc. 36,733 333 1,397..

Ebix Inc. 1,088 18 49..

EchoStar Communications Corp., Class 'A' 2,993 138 162..

Electronic Arts Inc. 9,352 301 889..

Electronics for Imaging Inc. 1,614 47 104..

Ellie Mae Inc. 871 27 73..

EMC Corp. 60,304 2,631 2,143..

Endurance International Group Holdings Inc. 4,012 58 61..

Entergris Inc. 4,101 54 75..

Envestnet Inc. 1,244 58 51..

EPAM Systems Inc. 1,522 79 166..

EPIQ Systems Inc. 1,376 22 25..

ePlus Inc. 259 18 33

27




SecurityNumber

of Shares

AverageCost

($000s)

FairValue

($000s)

% ofNet

Assets..

Equinix Inc. 1,764 346 738..

Euronet Worldwide Inc. 1,524 54 153..

Everi Holdings Inc. 2,005 30 12..

Everyday Health Inc. 1,082 18 9..

Exar Corp. 1,665 53 14..

Exlservice Holdings Inc. 1,058 31 66..

F5 Network Inc. 2,195 96 294..

Facebook Inc. 84,691 4,292 12,265..

FactSet Research Systems Inc. 1,231 23 277..

Fair Issac Corp. 925 31 121..

Fairchild Semiconductor International Inc., Class 'A' 3,510 131 101..

FARO Technologies Inc. 577 32 24..

FEI Co. 1,331 60 147..

Fidelity National Information Services Inc. 8,693 412 729..

Finisar Corp. 3,243 229 65..

FireEye Inc. 4,749 349 136..

First Solar Inc. 3,086 210 282..

Fiserv Inc. 7,207 119 912..

FleetCor Technologies Inc. 2,840 360 562..

Flir Systems Inc. 4,399 72 171..

FormFactor Inc. 2,120 25 26..

Forrester Research Inc. 722 33 28..

Fortinet Inc. 5,148 131 222..

Gartner Inc. 2,629 93 330..

Genpact Ltd. 6,582 112 227..

Gigamon Inc. 1,028 34 38..

Global Eagle Entertainment Inc. 2,581 45 35..

Global Payments Inc. 4,110 109 367..

Glu Mobile Inc. 3,946 24 13..

GoDaddy Inc., Class 'A' 4,661 164 207..

Gogo Inc. 2,607 61 64..

GrubHub Holdings Inc. 2,420 134 81..

Guidewire Software Inc. 2,210 115 184..

Harmonic Inc. 3,621 56 20..

Harris Corp. 3,828 164 460..

Heartland Payment Systems Inc. 1,156 34 152..

Hewlett Packard Enterprise Co. 55,432 1,085 1,166..

Hortonworks Inc. 1,285 34 39..

HP Inc. 55,432 2,707 908..

HubSpot Inc. 914 47 71..

IAC/InterActiveCorp. 2,594 336 216..

Imperva Inc. 935 59 82..

Infinera Corp. 4,072 45 102..

Infoblox Inc. 1,768 36 45..

Ingram Micro Inc., Class 'A' 4,803 123 202..

Inphi Corp. 1,185 27 44..

Insight Enterprises Inc. 1,429 43 50..

Integrated Device Technology Inc. 4,518 73 165..

Intel Corp. 143,417 5,600 6,836..

Interactive Intelligence Group 739 56 32..

InterDigital Inc. 1,180 34 80..

Internap Corp. 2,621 25 23..

International Business Machines Corp. 29,924 3,554 5,698..

Intersil Corp., Class 'A' 4,208 160 74..

Intralinks Holdings Inc. 1,896 21 24..

Intuit Inc. 8,376 215 1,118..

InvenSense Inc. 2,945 69 42..

IPG Photonics Corp. 1,582 120 195..

Itron Inc. 1,290 47 65..

Ixia 2,882 43 50..

IXYS Corp. 1,265 24 22..

j2 Global Inc. 1,550 43 177..

Jabil Circuit Inc. 6,005 153 194..

Jack Henry & Associates Inc. 2,470 43 267..

Juniper Networks Inc. 12,502 539 477..

Keysight Technologies Inc. 5,120 185 201..

Kimball Electronics Inc. 922 17 14..

KLA Tencor Corp. 4,888 200 469..

Knowles Corp. 2,641 92 49..

Kulicke & Soffa Industries Inc. 2,149 26 35..

Lam Research Corp. 4,791 150 527..

Lattice Semiconductor Corp. 3,771 46 34..

Leidos Holdings Inc. 2,253 180 175..

Lexmark International Inc. 1,897 73 85..

Linear Technology Corp. 7,280 219 428..

LinkedIn Corp., Class 'A' 3,788 793 1,180..

Littelfuse Inc. 741 31 110..

LivePerson Inc. 1,903 27 18..

LogMeIn Inc. 761 29 71..

MA-COM Technology Solutions Holdings Inc. 1,637 37 93..

Manhattan Associates Inc. 2,416 24 221..

ManTech International Corp., Class 'A' 1,434 49 60..

Marketo Inc. 1,391 62 55..

MasterCard Inc., Class 'A' 34,763 1,581 4,683..

Maxim Integrated Products Inc. 8,598 299 452

28




SecurityNumber

of Shares

AverageCost

($000s)

FairValue

($000s)

% ofNet

Assets..

Maximus Inc. 1,915 32 149..

Maxlinear Inc., Class 'A' 1,240 19 25..

Mentor Graphics Corp. 3,558 55 91..

Mercury Systems Inc. 1,284 26 33..

Methode Electronics Inc. 1,219 43 54..

Microchip Technology Inc. 6,124 130 394..

Micron Technology Inc. 32,642 986 640..

Microsemi Corp. 3,025 73 136..

Microsoft Corp. 248,299 9,754 19,061..

MicroStrategy Inc., Class 'A' 340 64 84..

MKS Instruments Inc. 1,740 84 87..

MobileIron Inc. 2,465 27 12..

MoneyGram International Inc. 1,468 72 13..

Monolithic Power Systems Inc. 1,273 26 112..

Monotype Imaging Holdings Inc. 1,181 37 39..

Monster Worldwide Inc. 2,892 171 23..

Motorola Solutions Inc. 6,572 441 622..

MTS Systems Corp. 518 14 45..

Multi-Fineline Electronix Inc. 880 21 25..

National Instruments Corp. 4,008 73 159..

NCR Corp. 5,117 117 173..

NetApp Inc. 9,587 166 352..

Netgear Inc. 1,221 24 71..

NetScout Systems Inc. 1,404 56 60..

NetSuite Inc. 2,346 221 275..

NeuStar Inc., Class 'A' 1,837 67 61..

New Relic Inc. 1,383 61 70..

Newport Corp. 1,480 66 33..

NIC Inc. 2,090 20 57..

Nimble Storage Inc. 2,387 112 30..

Nuance Communications Inc. 9,993 177 275..

NVIDIA Corp. 16,523 229 754..

OmniVision Technologies Inc. 1,886 55 76..

ON Semiconductor Corp. 13,480 123 183..

OPOWER Inc. 1,502 18 22..

Oracle Corp. 134,097 3,194 6,778..

OSI Systems Inc. 603 40 74..

Palo Alto Networks Inc. 2,506 230 611..

Paychex Inc. 10,895 330 797..

Paycom Software Inc. 1,617 66 84..

PayPal Holdings Inc. 36,733 472 1,840..

PC Connection Inc. 823 19 26..

PDF Solutions Inc. 1,092 20 16..

Pegasystems Inc. 2,339 57 89..

Perficient Inc. 1,101 24 26..

Photronics Inc. 1,863 43 32..

Plantronics Inc. 1,126 27 74..

Plexus Corp. 1,080 37 52..

PMC-Sierra Inc. 6,467 57 104..

Polycom Inc. 4,367 69 76..

Power Integration Inc. 936 33 63..

Progress Software Corp. 1,642 33 55..

Proofpoint Inc. 1,227 60 110..

PROS Holdings Inc. 1,110 42 35..

PTC Inc. 3,532 193 169..

Q2 Holdings Inc. 1,110 31 41..

QLIK Technologies Inc. 2,850 89 125..

QLogic Corp. 2,935 92 50..

Qualcomm Inc. 49,973 1,827 3,456..

Qualys Inc. 1,067 38 49..

Quantum Corp. 8,815 19 11..

Quotient Technology Inc. 2,562 34 24..

Rackspace Hosting Inc. 4,315 157 151..

Rambus Inc. 3,590 53 58..

RealD Inc. 1,881 23 27..

RealPage Inc. 2,337 54 73..

Red Hat Inc. 5,533 250 634..

Rofin-Sinar Technologies Inc. 1,059 24 39..

Rogers Corp. 667 37 48..

Rovi Corp. 3,036 106 70..

Rubicon Project Inc. (The) 1,303 29 30..

Ruckus Wireless Inc. 2,678 38 40..

Sabre Corp. 8,278 235 320..

Salesforce.com Inc. 19,097 709 2,072..

SanDisk Corp. 6,471 245 680..

Sanmina Corp. 2,564 345 73..

ScanSource Inc. 1,022 32 46..

Science Applications International Corp. 1,419 55 90..

SciQuest Inc. 945 27 17..

Semtech Corp. 1,987 93 52..

ServiceNow Inc. 4,529 289 542..

ServiceSource International Inc. 2,628 17 17..

ShoreTel Inc. 1,915 17 23..

Shutterstock Inc. 1,087 91 49..

Sigma Designs Inc. 1,243 18 11

29




SecurityNumber

of Shares

AverageCost

($000s)

FairValue

($000s)

% ofNet

Assets..

Silicon Laboratories Inc. 1,326 65 89..

Silver Spring Networks Inc. 1,565 28 31..

Skyworks Solutions Inc. 5,751 157 611..

Solarwinds Inc. 2,313 105 189..

Solera Holdings Inc. 2,097 141 159..

Splunk Inc. 3,616 289 294..

SPS Commerce Inc. 575 42 56..

SS&C Tecnologies Holdings Inc. 2,654 113 251..

Stamps.com Inc. 499 11 76..

SunEdison Inc. 8,301 187 58..

SunPower Corp. 4,079 131 169..

Super Micro Computer Inc. 1,384 34 47..

Symantec Corp. 20,685 444 601..

Synaptics Inc. 1,158 36 129..

Synchronoss Technologies, Inc. 1,357 51 66..

SYNNEX Corp. 1,245 30 155..

Synopsys Inc. 5,117 181 323..

Syntel Inc. 2,596 58 163..

Tableau Software Inc. 2,155 229 281..

Take-Two Interactive Software Inc. 2,665 58 128..

Tangoe Inc. 1,491 29 17..

Tech Data Corp. 1,274 64 117..

TeleTech Holdings Inc. 1,471 35 57..

Teradata Corp. 4,712 135 172..

Teradyne Inc. 6,356 190 182..

Tessera Technologies Inc. 1,614 43 67..

Texas Instruments Inc. 31,682 955 2,403..

Textura Corp. 841 26 25..

TiVo Inc. 3,765 26 45..

Total System Service Inc. 5,632 149 388..

Trimble Navigation Ltd. 8,034 122 238..

TrueCar Inc. 2,523 53 33..

TTM Technologies Inc. 3,222 43 29..

TubeMogul Inc. 1,035 18 19..

Twitter Inc. 19,599 1,142 628..

Tyler Technologies Inc. 1,064 25 257..

Ubiquiti Networks Inc. 2,714 128 119..

Ultimate Software Group Inc. (The) 886 32 240..

Ultratech Inc. 797 18 22..

Unisys Corp. 1,434 198 22..

Universal Display Corp. 1,411 57 106..

Vantiv Inc. 5,742 183 377..

Varonis Systems Inc. 776 29 20..

VASCO Data Security International Inc. 1,266 35 29..

Veeco Instruments Inc. 1,348 32 38..

VeriFone Systems Inc. 3,486 106 135..

Verint Systems Inc. 1,930 99 108..

VeriSign Inc. 3,567 206 431..

ViaSat Inc. 1,493 65 126..

Virtusa Corp. 934 41 53..

Visa Inc., Class 'A' 92,290 2,945 9,903..

Vishay Intertechnology Inc. 5,225 129 87..

VMware Inc., Class 'A' 12,932 1,153 1,012..

Web.com Group Inc. 1,561 54 43..

WebMD Health Corp. 1,184 93 79..

Western Digital Corp. 7,028 254 584..

Western Union Co. 15,831 340 392..

WEX Inc. 1,217 50 149..

Workday Inc., Class 'A' 5,651 563 623..

Workiva Inc. 1,376 24 33..

Xerox Corp. 34,103 737 502..

Xilinx Inc. 8,038 277 522..

XO Group Inc. 1,188 25 26..

Xura Inc. 843 31 29..

Yahoo! Inc. 28,229 680 1,299..

Yelp Inc. 2,282 210 91..

Zebra Technologies Corp., Class 'A' 1,569 45 151..

Zendesk Inc. 2,543 73 93..

Zillow Group Inc., Class 'C' 3,232 – 105..

Zynga Inc. 27,352 154 101..

....

101,593 197,629 19.1%..x

Materials..

A. Schulman Inc. 949 30 40..

Air Products and Chemicals Inc. 6,468 412 1,164..

Airgas Inc. 2,235 90 428..

AK Steel Holding Corp. 5,534 66 17..

Albemarle Corp. 3,393 125 263..

Alcoa Inc. 40,244 987 550..

Allegheny Technologies Inc. 3,179 159 50..

AptarGroup Inc. 1,905 60 192..

Ashland Inc. 2,074 106 295..

Axalta Coating Systems Ltd. 6,951 257 256..

Axiall Corp. 2,133 124 45..

Balchem Corp. 930 49 78

30




SecurityNumber

of Shares

AverageCost

($000s)

FairValue

($000s)

% ofNet

Assets..

Ball Corp. 4,102 61 413..

Bemis Co. Inc. 2,904 81 180..

Berry Plastics Group Inc. 3,703 98 185..

Boise Cascade Co. 1,207 41 43..

Cabot Corp. 2,012 85 114..

Calgon Carbon Corp. 1,996 42 48..

Carpenter Technology Corp. 1,660 56 70..

Celanese Corp., Series 'A' 4,624 130 431..

Century Aluminum Co. 2,644 44 16..

CF Industries Holdings Inc. 7,158 62 404..

Chemours Co. (The) 5,465 102 41..

Chemtura Corp. 2,025 32 76..

Ciner Resources L.P. 624 19 19..

Clearwater Paper Corp. 647 13 41..

Cliffs Natural Resources Inc. 4,666 71 10..

Coeur Mining Inc. 4,735 92 16..

Commercial Metals Co. 3,593 40 68..

Compass Minerals International Inc. 976 39 102..

Crown Holdings Inc. 4,144 114 291..

Deltic Timber Corp. 477 29 39..

Dow Chemical Co. (The) 34,973 1,603 2,491..

E.I. du Pont de Nemours & Co. 27,329 1,849 2,519..

Eagle Materials Inc. 1,558 48 130..

Eastman Chemical Co. 4,477 169 418..

Ecolab Inc. 8,973 437 1,420..

Ferro Corp. 2,689 57 41..

Flotek Industries Inc. 1,732 45 27..

FMC Corp. 4,071 88 220..

Freeport-McMoRan Inc., Class 'B' 31,543 959 296..

FutureFuel Corp. 1,771 30 33..

Graphic Packaging Holding Co. 9,453 85 168..

Greif Inc., Class 'A' 1,621 53 69..

H.B. Fuller Co. 1,649 34 83..

Hawkins, Inc. 392 19 19..

Haynes International Inc. 439 25 22..

Headwaters Inc. 2,400 45 56..

Hecla Mining Co. 12,642 59 33..

Hi-Crush Partners L.P. 1,131 46 9..

Horsehead Holding Corp. 2,073 34 6..

Huntsman Corp. 7,461 164 117..

Innophos Holdings Inc. 648 36 26..

Innospec Inc. 820 40 62..

International Flavors and Fragrances Inc. 2,437 149 403..

International Paper Co. 12,743 665 665..

Intrepid Potash Inc. 2,403 48 10..

Kaiser Aluminum Corp. 604 46 70..

KapStone Paper and Packaging Corp. 2,872 92 90..

Koppers Holdings Inc. 645 20 16..

Kraton Performance Polymers Inc. 966 27 22..

Kronos Worldwide Inc. 3,592 60 28..

Louisiana Pacific Corp. 4,194 103 105..

LSB Industries Inc. 827 32 8..

Martin Marietta Materials Inc. 2,050 199 387..

Materion Corp. 753 25 29..

Minerals Technologies Inc. 1,096 47 70..

Monsanto Co. 14,597 495 1,990..

Mosaic Co. (The) 10,956 376 418..

Myers Industries Inc. 941 13 17..

Neenah Paper Inc. 607 27 52..

NewMarket Corp. 351 121 185..

Newmont Mining Corp. Holding Co. 15,311 619 381..

Nucor Corp. 9,743 263 543..

OCI Partners L.P. 2,574 69 25..

Olin Corp. 2,332 73 56..

Owens Illinois Inc. 5,255 164 127..

P.H. Glatfelter Co. 1,912 47 49..

Packaging Corp. of America 2,934 77 256..

PolyOne Corp. 2,746 43 121..

PPG Industries Inc. 8,274 361 1,131..

Praxair Inc. 8,728 433 1,237..

Quaker Chemical Corp. 421 34 45..

Rayonier Advanced Materials 1,300 49 18..

Reliance Steel & Aluminum Co. 2,353 96 189..

Rentech Nitrogen Partners L.P. 1,591 30 23..

Royal Gold Inc. 2,016 97 102..

RPM International Inc. 4,151 120 253..

Schnitzer Steel Industries Inc., Class 'A' 794 32 16..

Schweitzer-Mauduit International Inc. 825 19 48..

Scotts Miracle-Gro Co. (The), Class 'A' 1,821 61 163..

Sealed Air Corp. 6,316 251 390..

Sensient Technologies Corp. 1,462 51 127..

Sherwin-Williams Co. 2,888 142 1,037..

Silgan Holdings Inc. 1,961 45 146..

Sonoco Products Co. 3,206 149 181..

Southern Copper Corp. 24,424 361 883

31




SecurityNumber

of Shares

AverageCost

($000s)

FairValue

($000s)

% ofNet

Assets..

Steel Dynamics Inc. 7,276 89 180..

Stepan Co. 715 47 49..

Stillwater Mining Co. 4,145 71 49..

Summit Materials Inc., Class 'A' 801 25 22..

SunCoke Energy Inc. 2,509 37 12..

Terra Nitrogen Co. L.P. 607 16 85..

TimkenSteel Corp. 1,378 56 16..

Tredegar Corp. 1,250 28 24..

United States Steel Corp. 4,454 185 49..

US Concrete Inc. 554 23 40..

Valhi Inc. 10,170 62 19..

Valspar Corp. (The) 2,539 77 291..

Vulcan Materials Co. 4,012 209 527..

W.R. Grace & Co. 2,203 225 304..

Wausau Paper Corp. 2,481 52 35..

Westlake Chemical Corp. 4,065 114 306..

Westlake Chemical Partners L.P. 760 26 23..

WestRock Co. 4,897 57 309..

Worthington Industries Inc. 2,027 50 85..

....

17,321 28,787 2.8%..x

Telecommunication Services..

8X8 Inc. 3,039 32 48..

AT&T Inc. 185,812 10,147 8,847..

Atlantic Tele-Network Inc. 538 37 58..

CenturyLink Inc. 17,181 662 598..

Cincinnati Bell Inc. 7,035 114 35..

Cogent Communications Holdings Inc. 1,602 30 77..

Consolidated Communications Holdings Inc. 1,615 29 47..

FairPoint Communications Inc. 869 18 19..

Frontier Communications Corp. 34,646 320 224..

General Communication Inc., Class 'A' 1,385 25 38..

Globalstar Inc. 26,690 83 53..

IDT Corp., Class 'B' 824 19 13..

inContact Inc. 2,114 22 28..

Inteliquent Inc. 1,046 21 26..

Iridium Communications Inc. 3,216 25 37..

Level 3 Communications Inc. 10,410 1,171 783..

ORBCOMM Inc. 3,072 26 31..

RingCentral Inc. 1,849 42 60..

SBA Communications Corp. 3,940 231 573..

Shenandoah Telecommunications Co. 724 21 43..

Sprint Corp. 119,612 952 599..

Telephone and Data Systems Inc. 3,311 174 119..

T-Mobile US Inc. 24,449 820 1,324..

United States Cellular Corp. 2,628 124 148..

Verizon Communications Inc. 125,680 7,385 8,038..

Vonage Holdings Corp. 7,162 36 57..

Windstream Holdings Inc. 3,354 142 30..

Zayo Group Holdings Inc. 7,331 256 270..

....

22,964 22,223 2.1%..x

Utilities..

AES Corp. (The) 21,280 629 282..

AGL Resources Inc. 3,603 147 318..

Allete Inc. 1,657 134 117..

Alliant Energy Corp. 3,140 130 271..

Ameren Corp. 7,373 383 441..

American Electric Power Co. Inc. 14,717 765 1,187..

American States Water Co. 1,334 24 77..

American Water Works Co. Inc. 5,418 170 448..

AmeriGas Partners L.P. 2,888 132 137..

Aqua America Inc. 5,279 79 218..

Atmos Energy Corp. 2,833 118 247..

Avangrid Inc. 1,733 94 92..

Avista Corp. 2,167 71 106..

Black Hills Corp. 1,471 92 94..

California Water Service Group 1,865 38 60..

Calpine Corp. 11,487 225 230..

CenterPoint Energy Inc. 12,835 397 326..

Chesapeake Utilities Corp. 542 25 43..

Cleco Corp. 1,878 62 136..

CMS Energy Corp. 7,865 241 393..

Consolidated Edison Inc. 8,714 485 775..

Dominion Resources Inc. 17,691 708 1,656..

DTE Energy Co. 5,239 307 581..

Duke Energy Corp. 21,321 1,989 2,106..

Edison International 9,783 369 802..

El Paso Electric Co. 1,498 28 80..

Empire District Electric Co. 1,276 35 50..

Entergy Corp. 5,330 317 504..

Eversource Energy 9,456 339 668..

Exelon Corp. 26,032 1,049 1,000..

Ferrellgas Partners L.P. 2,758 74 63..

FirstEnergy Corp. 12,685 593 557..

Great Plains Energy Inc. 4,512 145 170

32




SecurityNumber

of Shares

AverageCost

($000s)

FairValue

($000s)

% ofNet

Assets..

Hawaiian Electric Industries Inc. 3,281 101 131..

IDACORP Inc. 1,662 89 156..

ITC Holdings Corp. 4,649 107 252..

Laclede Group Inc. (The) 1,423 62 117..

MDU Resources Group Inc. 6,010 125 152..

MGE Energy Inc. 1,102 30 71..

National Fuel Gas Co. 2,439 104 144..

New Jersey Resources Corp. 2,762 54 126..

NextEra Energy Inc. 13,374 749 1,923..

NextEra Energy Partners L.P. 634 32 26..

NiSource Inc. 9,548 311 258..

Northwest Natural Gas Co. 1,055 47 74..

NorthWestern Corp. 1,429 60 107..

NRG Energy Inc. 10,120 313 165..

OGE Energy Corp. 5,983 134 218..

ONE Gas Inc. 1,593 82 111..

Oneok Inc. 6,310 149 215..

Ormat Technologies Inc. 1,382 50 70..

Otter Tail Corp. 1,285 39 47..

Pepco Holdings Inc. 7,675 215 276..

PG&E Corp. 14,335 637 1,055..

Piedmont Natural Gas Co. Inc. 2,636 82 208..

Pinnacle West Capital Corp. 3,220 183 287..

PNM Resources Inc. 2,420 63 102..

Portland General Electric Co. 2,365 74 119..

PPL Corp. 20,172 596 953..

Public Services Enterprise Group Inc. 15,178 479 813..

Questar Corp. 5,102 125 138..

SCANA Corp. 4,300 169 360..

Sempra Energy Inc. 7,401 383 963..

SJW Corp. 753 20 31..

South Jersey Industries Inc. 2,402 45 78..

Southern Co. 27,161 1,094 1,758..

Southwest Gas Corp. 1,539 68 117..

Star Gas Partners L.P. 2,273 20 23..

Suburban Propane Partners L.P. 1,867 84 63..

Talen Energy Corp. 2,521 43 22..

Teco Energy Inc. 7,197 194 265..

TerraForm Power Inc., Class 'A' 3,077 132 54..

UGI Corp. 5,157 100 241..

Unitil Crop. 645 28 32..

Vectren Corp. 2,463 81 145..

Vivint Solar Inc. 3,215 47 43..

WEC Energy Group Inc. 9,256 307 657..

Westar Energy Inc. 3,884 122 228..

WGL Holdings Inc. 1,482 65 129..

Xcel Energy Inc. 15,010 550 746..

....

19,038 28,504 2.8%..

..

TOTAL UNITED STATES EQUITIES 564,731 978,951 94.5%..

..

INTERNATIONAL EQUITIESx

Bermuda..

Arch Capital Group Ltd. 3,772 104 364..

Argo Group International Holdings Ltd. 1,005 40 83..

Aspen Insurance Holdings Ltd. 2,063 61 138..

Assured Guaranty Ltd. 4,793 128 175..

Axis Capital Holdings Ltd. 3,051 108 237..

C&J Energy Services Ltd., Warrants 3,728 57 25..

Endurance Specialty Holdings Ltd. 2,234 99 198..

Enstar Group Ltd. 487 69 101..

Everest Re Group Ltd. 1,389 166 352..

Helen of Troy Ltd. 902 24 118..

Lazard Ltd., Class 'A' 3,720 159 232..

Maiden Holdings Ltd. 2,753 34 57..

Marvell Technology Group Ltd. 15,562 475 190..

Nabors Industries Ltd. 10,247 232 121..

PartnerRe Ltd. 1,464 118 283..

RenaissanceRe Holdings Ltd. 1,456 99 228..

Ship Finance International Ltd. 3,162 62 72..

Validus Holdings Ltd. 2,760 94 177..

....

2,129 3,151 0.3%..x

Canada..

GSI Group Inc. 1,538 26 29..

Lions Gate Entertainment Corp. 4,220 144 189..

Tahoe Resources Inc. 4,454 102 53..

Tesco Corp. 1,393 30 14..

Thomson Reuters Corp. 24,221 946 1,269..

Ultra Petroleum Corp. 4,425 58 15..

XBiotech Inc. 944 22 14..

....

1,328 1,583 0.2%..x

Cayman Islands..

Herbalife Ltd. 2,794 56 207..

....

56 207 0.0%..

33




SecurityNumber

of Shares

AverageCost

($000s)

FairValue

($000s)

% ofNet

Assetsx

Curacao..

Orthofix International NV 669 16 36..

....

16 36 0.0%..x

Ireland..

Alkermes PLC 4,493 180 493..

Allergan PLC 11,461 2,717 4,956..

Eaton Corp. PLC 14,361 899 1,034..

Endo International PLC 3,514 88 298..

Fleetmatics Group Ltd. 1,167 52 82..

Pentair PLC 5,535 330 379..

....

4,266 7,242 0.7%..x

Liberia..

Royal Caribbean Cruises Ltd. 6,612 291 926..

....

291 926 0.1%..x

Luxembourg..

Trinseo SA 1,406 34 55..

....

34 55 0.0%..x

Marshall Islands..

Dorian LPG Ltd. 1,715 27 28..

Teekay Corp. 2,263 102 31..

....

129 59 0.0%..x

Puerto Rico..

First BanCorp. 7,192 58 32..

OFG Bancorp 1,165 19 12..

Popular Inc. 3,106 222 122..

....

299 166 0.0%..x

Singapore..

SunEdison Semiconductor Ltd. 1,206 33 13..

....

33 13 0.0%..x

United Kingdom..

Rowan Companies PLC, Class 'A' 3,734 162 88..

....

162 88 0.0%..

..

TOTAL INTERNATIONAL EQUITIES 8,743 13,526 1.3%..

..

TOTAL EQUITIES 573,474 992,477 95.8%..

..

TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS 573,474 992,477 95.8%..

SecurityCoupon

Rate (%)Maturity

Date Additional Details Par Value

AverageCost

($000s)

FairValue

($000s)

% ofNet

Assetsx

..

SHORT-TERM INVESTMENTS (note 11)..

Province of Ontario 0.19% 2016/01/29 Discount Note 4,000,000 5,166 5,534..



Province of Quebec 0.18% 2016/02/03 Discount Note 5,000,000 6,547 6,917..

..

..

TOTAL SHORT-TERM INVESTMENTS 39,802 40,794 3.9%..

..

Less: Transaction costs included in average cost (144).

..

..

TOTAL INVESTMENTS 613,132 1,033,271 99.7%..

..

Margin 596 0.1%..

Derivative assets 554 0.0%..

Other Assets, less Liabilities 1,797 0.2%..

..

..

TOTAL NET ASSETS ATTRIBUTABLE TO HOLDERS OFREDEEMABLE UNITS 1,036,218 100.0%

.

.

x

x

Schedule of Derivative Assets and Liabilities - Futures Contracts (note 11)

ContractedValue ($) Name of Future Expiry Date

Number ofContracts Currency

ContractedPrice

FairValue ($)

Unrealized Gain(Loss) ($000s)

x..

8,292,486 United States Russell 2000 Index March 2016 54 USD 1,109.81 8,454,545 162..

33,829,061 United States S&P 500 E-Mini Index March 2016 243 USD 2,012.20 34,220,735 392......

42,121,547 Derivative Assets and Liabilities - Futures 42,675,280 554..

..

As at December 31, 2015, $596,360 cash was deposited as margin for the futures contracts.

34



Supplemental Schedule to Schedule of Investment Portfolio

Offsetting Arrangements (note 2d)

The Fund may enter into various master netting arrangements or other similar agreements that do not meet the criteria for offsetting in the Statements of Financial Position but still allowfor the related amounts to be set off in certain circumstances, such as bankruptcy or the termination of the contracts.

As at December 31, 2015 and 2014, the Fund did not enter into any arrangements whereby the financial instruments were eligible for offset.

Interests in Underlying Funds (note 4)

As at December 31, 2015 and 2014, the Fund had no significant investments in underlying funds.

35



Financial Instrument RisksInvestment Objective: CIBC U.S. Broad Market Index Fund (the Fund) seeks to providelong-term growth through capital appreciation. The Fund is managed to obtain a returnthat approximates the performance of the Wilshire 5000 Total Market Index, which isintended to represent the broad U.S. equity market with a market value-weighted index ofmore than 5,000 U.S. securities.

Investment Strategies: The Fund uses passive management strategies to create aportfolio with characteristics similar to the Wilshire 5000 Total Market Index, allowing theFund to obtain a return that approximates the performance of that index in Canadiandollars.

Significant risks that are relevant to the Fund are discussed here. General information onrisk management and specific discussion on concentration, credit, currency, interest rate,liquidity, and other price/market risk can be found in note 2 of the financial statements.

In the following risk tables, Net Assets is defined as meaning “Net assets attributable toholders of redeemable units".

Concentration Risk as at December 31, 2015 and 2014The Schedule of Investment Portfolio presents the securities held by the Fund as atDecember 31, 2015.The following table presents the investment sectors held by the Fund as at December 31,2014 and groups the securities by asset type, industry sector, geographic region, orcurrency exposure:

As at December 31, 2014

Portfolio Breakdown% of Net

Assetsx

x

International Equitiesx

Bermuda 0.4x

Canada 0.2x

Ireland 0.5x

Liberia 0.1x

United States Equitiesx

Consumer Discretionary 12.8x

Consumer Staples 8.8x

Energy 8.5x

Financials 16.9x

Health Care 12.1x

Industrials 10.4x

Information Technology 18.4x

Materials 3.3x

Telecommunication Services 1.7x

Utilities 3.0x

Short-Term Investments 2.6x

Derivative Assets (Liabilities) 0.1x

Other Assets, less Liabilities 0.2xxx

Total 100.0xx

Credit RiskCredit ratings represent a consolidation of the ratings provided by various outside serviceproviders and are subject to change, which could be material.

See the Schedule of Investment Portfolio for counterparty from over-the-counterderivative contracts, where applicable.

As at December 31, 2015 and 2014, the Fund invested in debt securities with thefollowing credit ratings:

.

% of Net Assets

Debt Securities by Credit Rating December 31, 2015 December 31, 2014x

x

'AA' – 2.6x

'A' 3.9 –xxx

Total 3.9 2.6xx

Currency RiskThe tables that follow indicate the currencies to which the Fund had significant exposureas at December 31, 2015 and 2014, based on the market value of the Fund's financialinstruments (including cash and cash equivalents) and the underlying principal amountsof forward foreign currency contracts, as applicable.


Currency (note 2m)Total Currency

Exposure* ($000s)% of

Net Assetsx

x

USD 1,036,576 100.0xxx

* Amounts reflect the carrying value of monetary and non-monetary items (including the notionalamount of forward foreign currency contracts, if any).


Currency (note 2m)Total Currency

Exposure* ($000s)% of

Net Assetsx

x

USD 834,328 99.9xxx

* Amounts reflect the carrying value of monetary and non-monetary items (including the notionalamount of forward foreign currency contracts, if any).

The table that follows indicates how net assets as at December 31, 2015 and 2014 wouldhave decreased or increased had the Canadian dollar strengthened or weakened by 1%in relation to all foreign currencies. This analysis assumes that all other variables remainunchanged. In practice, the actual results may differ from this analysis and the differencecould be material.


x

Impact on Net Assets ($000s) 10,366 8,343xx

Interest Rate RiskAs at December 31, 2015 and 2014, the majority of the Fund’s financial assets andliabilities are non-interest bearing and short-term in nature; accordingly, the Fund is notsubject to significant amounts of risk due to fluctuations in the prevailing levels of marketinterest rates.

Liquidity RiskLiquidity risk is the risk that the Fund will encounter difficulty in meeting obligationsassociated with financial liabilities. The Fund is exposed to daily cash redemptions ofredeemable units. The Fund maintains sufficient cash on hand to fund anticipatedredemptions.

With the exception of derivative contracts, where applicable, all of the Fund’s financialliabilities are short-term liabilities maturing within 90 days after the period end.

For funds that hold derivative contracts with a term-to-maturity that exceeds 90 days fromthe period end, further information related to those contracts can be referenced in thederivative schedules following the Schedule of Investment Portfolio.

Other Price/Market RiskThe table that follows indicates how net assets as at December 31, 2015 and 2014 wouldhave increased or decreased had the value of the Fund’s benchmark(s) increased ordecreased by 1%. This change is estimated based on the historical correlation betweenthe return of Class A units of the Fund as compared to the return of the Fund’sbenchmark(s), using 36 monthly data points, as available, based on the monthly netreturns of the Fund. This analysis assumes that all other variables remain unchanged. Thehistorical correlation may not be representative of the future correlation and, accordingly,the impact on net assets could be materially different..

Impact on Net Assets ($000s)

Benchmark December 31, 2015 December 31, 2014x

x

Wilshire 5000 Total Market Index 10,830 8,251xxx

S&P 500 Index 10,878 8,340xx

Fair Value Measurement of Financial InstrumentsThe following is a summary of the inputs used as at December 31, 2015 and 2014 invaluing the Fund’s financial assets and financial liabilities, carried at fair value:

36



As at December 31, 2015Level 1 (i) Level 2 (ii) Level 3 (iii) Total

Classification ($000s) ($000s) ($000s) ($000s)xx

Financial Assetsx

Short-Term Investments – 40,794 – 40,794x

Equities 992,467 10 – 992,477x

Derivative assets 554 – – 554xxx

Total Financial Assets 993,021 40,804 – 1,033,825xx

x

(i) Quoted prices in active markets for identical assetsx

(ii) Significant other observable inputsx

(iii) Significant unobservable inputs

As at December 31, 2014Level 1 (i) Level 2 (ii) Level 3 (iii) Total

Classification ($000s) ($000s) ($000s) ($000s)xx

Financial Assetsx

Short-Term Investments – 22,069 – 22,069x

Equities 809,808 1 – 809,809x

Derivative assets 821 – – 821xxx

Total Financial Assets 810,629 22,070 – 832,699xx

x

(i) Quoted prices in active markets for identical assetsx

(ii) Significant other observable inputsx

(iii) Significant unobservable inputs

Transfer of assets between Level 1 and Level 2Financial assets and liabilities transferred from Level 1 to Level 2 are the result ofsecurities no longer being traded in an active market.

For the periods ended December 31, 2015 and 2014, there were no transfers of financialassets and liabilities from Level 1 to Level 2.

Financial assets and liabilities transferred from Level 2 to Level 1 are the result ofsecurities now being traded in an active market.

For the periods ended December 31, 2015 and 2014, there were no transfers of financialassets and liabilities from Level 2 to Level 1.

Reconciliation of financial asset and liability movement – Level 3The Fund did not hold any significant positions of Level 3 investments at the beginning of,during, or at the end of either reporting period.

37

Notes to Financial Statements

x

As at and for the periods as disclosed in the financial statements (see note 1)

1. Organization of the Funds and Financial Reporting Periods

Each of the CIBC Mutual Funds and CIBC Family of Managed Portfolios (individually, a Fund, and collectively, the Funds) is a mutual fund trust organized under the laws of Ontario and governed by a declaration of trust(Declaration of Trust). The address of the Funds’ registered office is 18 York Street, Suite 1300, Toronto, Ontario.

CIBC Securities Inc. is the principal distributor, Canadian Imperial Bank of Commerce (CIBC) is the manager (the Manager), and CIBC Trust Corporation is the trustee (the Trustee) of the Funds.

Each Fund is permitted to have an unlimited number of classes of units and may issue an unlimited number of units of each class. In the future, the offering of any classes of units of a Fund may be terminated oradditional classes of units may be offered. The following table indicates the classes of units offered for sale by each of the Funds, as at the date of these financial statements:x

Funds Class A Class T4 Class T6 Class T8 Premium Class Institutional Class Class Ox..

CIBC Canadian T-Bill Fund ü ü..

CIBC Money Market Fund ü ü ü..

CIBC U.S. Dollar Money Market Fund ü ü ü..

CIBC Short-Term Income Fund ü ü ü..

CIBC Canadian Bond Fund ü ü ü..

CIBC Monthly Income Fund ü ü..

CIBC Global Bond Fund ü ü..

CIBC Global Monthly Income Fund ü ü..

CIBC Balanced Fund ü..

CIBC Dividend Income Fund ü ü..

CIBC Dividend Growth Fund ü ü..

CIBC Canadian Equity Fund ü ü..

CIBC Canadian Equity Value Fund ü ü..

CIBC Canadian Small-Cap Fund ü..

CIBC U.S. Equity Fund ü ü..

CIBC U.S. Small Companies Fund ü ü..

CIBC Global Equity Fund ü..

CIBC International Equity Fund ü ü..

CIBC European Equity Fund ü ü..

CIBC Emerging Markets Fund ü ü..

CIBC Asia Pacific Fund ü ü..

CIBC Latin American Fund ü..

CIBC International Small Companies Fund ü..

CIBC Financial Companies Fund ü..

CIBC Canadian Resources Fund ü ü..

CIBC Energy Fund ü ü..

CIBC Canadian Real Estate Fund ü ü..

CIBC Precious Metals Fund ü ü..

CIBC Global Technology Fund ü..

CIBC Canadian Short-Term Bond Index Fund ü ü ü ü..

CIBC Canadian Bond Index Fund ü ü ü ü..

CIBC Global Bond Index Fund ü ü ü..

CIBC Balanced Index Fund ü ü ü..

CIBC Canadian Index Fund ü ü ü ü..

CIBC U.S. Broad Market Index Fund ü ü ü ü..

CIBC U.S. Index Fund ü ü ü ü..

CIBC International Index Fund ü ü ü ü..

CIBC European Index Fund ü ü ü..

CIBC Emerging Markets Index Fund ü ü ü ü..

CIBC Asia Pacific Index Fund ü ü ü ü..

CIBC Nasdaq Index Fund ü ü ü..

CIBC Managed Income Portfolio ü ü ü..

CIBC Managed Income Plus Portfolio ü ü ü..

CIBC Managed Balanced Portfolio ü ü ü ü..

CIBC Managed Monthly Income Balanced Portfolio ü ü ü..

CIBC Managed Balanced Growth Portfolio ü ü ü ü..

CIBC Managed Growth Portfolio ü ü ü ü..

CIBC Managed Aggressive Growth Portfolio ü ü ü ü..

CIBC U.S. Dollar Managed Income Portfolio ü ü ü..

CIBC U.S. Dollar Managed Balanced Portfolio ü ü ü ü..

CIBC U.S. Dollar Managed Growth Portfolio ü ü ü üx

38

p / 2 Notes to Financial Statements

Each class of units may charge a different management fee. Operating expenses can be either common or class-specific. Class-specific expenses are allocated on a class-by-class basis. As a result, a separate netasset value per unit is calculated for each class of units.

Class A units are available to all investors on a no-load basis with a minimum investment of $500. Investors may have to pay a short-term trading fee if applicable.

Class T4, T6, and T8 units have the same characteristics as Class A units, except that they each intend to pay a fixed distribution amount per unit, which also results in a separate net asset value per unit for each class,and may have different minimum investment requirements.

Premium Class units are available to investors on a no-load basis with a minimum investment of $100,000 for CIBC Canadian T-Bill Fund and CIBC Money Market Fund, US$100,000 for CIBC U.S. Dollar Money MarketFund, $50,000 for CIBC Short-Term Income Fund, CIBC Canadian Bond Fund, CIBC Canadian Short-Term Bond Index Fund, CIBC Canadian Bond Index Fund, CIBC Global Bond Index Fund, CIBC Balanced Index Fund,CIBC Canadian Index Fund, CIBC U.S. Broad Market Index Fund, CIBC U.S. Index Fund, CIBC International Index Fund, CIBC European Index Fund, CIBC Emerging Markets Index Fund, CIBC Asia Pacific Index Fund, andCIBC Nasdaq Index Fund, and US$50,000 for the U.S. dollar purchase option of CIBC U.S. Broad Market Index Fund and CIBC Nasdaq Index Fund. Management fees charged in respect of Premium Class units are lowerthan those charged in respect of Class A units.

Institutional Class units are available to investors with a minimum investment of $50,000. Institutional Class units are available to investors participating in programs that do not require the payment of sales charges byinvestors and do not require the payment of service or trailing commissions to dealers, and others who pay an annual fee to their dealer. For these investors, we “unbundle” the typical distribution costs and charge alower management fee. Potential investors include institutional clients, clients of “fee-for-service” investment advisors, dealer sponsored “wrap accounts”, and others who pay an annual fee to their dealer instead oftransactional sales charges and where the dealer does not receive service fees or trailing commissions from the Manager.

Class O units are only available to certain investors who have been approved by and have entered into a Class O unit account agreement with the Manager or whose dealer or discretionary manager offers separatelymanaged accounts or similar programs and has entered into a Class O unit account agreement with the Manager. These investors are typically financial services companies, including the Manager, that use Class Ounits of a fund to facilitate offering other products to investors. No management fees or operating expenses are charged to a fund in respect of Class O units; instead, a negotiated management fee is charged by theManager directly to, or as directed by, Class O unitholders or dealers and discretionary managers on behalf of unitholders.

The date upon which each Fund was established by Declaration of Trust (Date Established) and the date upon which each class of units of each Fund was first sold to the public (Inception Date) are reported in footnoteOrganization of the Fund on the Statements of Financial Position.

The Schedule of Investment Portfolio of each of the Funds is as at December 31, 2015. The Statements of Financial Position of each of the Funds are as at December 31, 2015 and 2014. The Statements ofComprehensive Income, Statements of Changes in Net Assets Attributable to Holders of Redeemable Units, and the Statements of Cash Flows of each of the Funds are for the years ended December 31, 2015 and2014, except for Funds or classes established during either period, in which case the information presented is from the Date Established or the Inception Date to December 31, 2015 or 2014.

These financial statements were approved for issuance by the Manager on March 2, 2016.

2. Summary of Significant Accounting Policies

These financial statements have been prepared in accordance with International Financial Reporting Standards (IFRS) as published by the International Accounting Standards Board (IASB). The Funds adopted IFRS in2014 as required by Canadian securities legislation and the Canadian Accounting Standards Board. Previously, the Funds prepared their financial statements in accordance with Canadian generally acceptedaccounting principles (GAAP) as defined in Part V of the CPA Canada Handbook.

The financial statements have been prepared on a going concern basis using the historical cost convention. However, each Fund is an investment entity and primarily all financial assets and financial liabilities aremeasured at fair value in accordance with IFRS. Accordingly, the Funds’ accounting policies for measuring the fair value of investments and derivatives are consistent with those used in measuring the Net Asset Valuefor transactions with unitholders. In applying IFRS, these financial statements include estimates and assumptions made by management that affect the reported amounts of assets, liabilities, income, and expensesduring the reporting periods. However, existing circumstances and assumptions may change due to market changes or circumstances arising beyond the control of the Funds. Such changes are reflected in theassumptions when they occur.

These financial statements have been presented in Canadian dollars, which is the Funds’ functional currency (unless otherwise noted).

a) Financial Instruments

Classification and recognition of financial instruments

In accordance with IAS 39 Financial Instruments: Recognition and Measurement, financial assets and financial liabilities are classified at initial recognition into the following categories:

Financial assets and liabilities at fair value through profit or loss (“FVTPL”)

This category is sub-divided into:

l Financial instruments classified as Held For Trading: Financial assets and liabilities are classified as Held For Trading if they are acquired for the purpose of selling and/or repurchasing in the near term, andare acquired principally for the purpose of generating a profit from short-term fluctuations in price. Derivatives and securities sold short held by the Funds are classified as Held For Trading and do not meetthe definition of effective hedging instruments as defined by IAS 39.

l Financial instruments designated as FVTPL through inception: All investments held by the Funds, excluding those classified as Held For Trading (discussed above), are designated as fair value through profitor loss upon initial recognition. These financial assets are designated upon initial recognition on the basis that they are part of a group of financial assets that are managed and have their performanceevaluated on a fair value basis, in accordance with risk management and investment strategies of the Funds, as set out in the Funds’ prospectus.

Loans and receivables

The Funds include in this category receivable balances relating to portfolio investments and other short-term receivables such as receivable for units issued.

Other financial liabilities

This category includes all financial liabilities, other than those classified as fair value through profit or loss. The Funds include in this category amounts relating to payables for portfolio securities purchased and otheraccrued liabilities such as payable for units redeemed and distributions payable to holders of redeemable units.

All Funds have contractual obligations to distribute cash to the unitholders. As a result, each Fund's obligation for net assets attributable to holders of redeemable units represents a financial liability and is presentedat the redemption amount.

b) Risk management

The Funds’ overall risk management approach includes formal guidelines that govern the extent of exposure to various types of risk, including diversification within asset classes and limits on the exposure to individualinvestments and counterparties. In addition, derivative financial instruments may be used to manage certain risk exposures. The Manager also has various internal controls to oversee the Funds’ investment activities,including monitoring compliance with the investment objectives and strategies, internal guidelines, and securities regulations. Please refer to each Fund’s Supplemental Schedule to Schedule of Investment Portfoliofor specific risk disclosures.

Fair value of financial instruments by using valuation techniques

Financial instruments are valued at their fair value which is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at themeasurement date. Refer to notes 3a to 3f for valuation of each specific type of financial instrument held by the Funds. The fair value of financial assets and liabilities traded in active markets are based on quotedmarket prices at the close of trading on the reporting date. The Funds use the last traded market price for both financial assets and financial liabilities where the last traded price falls within that day’s bid-ask spread.In circumstances where the last traded price is not within the bid-ask spread, the Manager determines the price that is most representative of fair value based on the specific facts and circumstances.

For financial assets and financial liabilities that are not traded in an active market, fair value is determined using valuation techniques.

The Funds classify fair value measurement within a hierarchy which gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority tounobservable inputs (Level 3). The three levels of the fair value hierarchy are:

Level 1: Quoted prices (unadjusted) in active markets for identical assets or liabilities that the entity can access at the measurement date;

39

Notes to Financial Statements p / 3

Level 2: Inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly or indirectly; and

Level 3: Inputs are unobservable for the asset or liability.

If inputs are used to measure an asset’s or liability’s fair value, the classification within the hierarchy is based on the lowest level input that is significant to the fair value measurement. Each Fund’s fair value hierarchyclassification of its assets and liabilities is included in the Supplemental Schedule to Schedule of Investment Portfolio.

The carrying values of all non-investment assets and liabilities approximate their fair values due to their short-term nature. Fair values are classified as Level 1 when the related security or derivative is actively tradedand a quoted price is available. If an instrument classified as Level 1 subsequently ceases to be actively traded, it is transferred out of Level 1. In such cases, instruments are reclassified into Level 2, unless themeasurement of its fair value requires the use of significant unobservable inputs, in which case it is classified as Level 3.

The Manager is responsible for performing the fair value measurements included in the financial statements of a Fund, including the Level 3 measurements. The Manager obtains pricing from third-party pricingvendors and the pricing is reviewed daily. At each financial reporting date, the Manager reviews and approves all Level 3 fair value measurements. The Funds also have a Valuation Committee which meets quarterly toperform detailed reviews of the valuations of investments held by the Funds which includes discussion on Level 3 measurements.

Credit risk

Credit risk is the risk that a counterparty to a financial instrument, such as a fixed income security or a derivative contract, will fail to discharge an obligation or commitment that it has entered into with the Funds. Thevalue of fixed income securities and derivatives as presented on the Schedule of Investment Portfolio includes consideration of the creditworthiness of the issuer and, accordingly, represents the maximum credit riskexposure of the Funds. Certain Funds may invest in short-term fixed income securities issued or guaranteed primarily by the Government of Canada or any Canadian provincial government, obligations of Canadianchartered banks or trust companies, and commercial paper with approved credit ratings. The risk of default on these short-term fixed income securities is considered low and these securities primarily have creditratings of ‘A-1 (Low)’ or higher (as rated by Standard & Poor’s, a division of McGraw Hill Financial, Inc., or equivalent rating from another rating service).

The Funds may engage in securities lending transactions. The credit risk related to securities lending transactions is limited by the fact that the value of cash or securities held as collateral by the Funds in connectionwith these transactions is at least 102% of the fair value of the securities loaned. The collateral and loaned securities are marked to market on each business day. Further information regarding the collateral andsecurities on loan can be found in the footnotes to the Statements of Financial Position and in note 2j.

Currency risk

Currency risk is the risk that the value of an investment will fluctuate due to changes in foreign exchange rates. Mutual funds may invest in securities denominated or traded in currencies other than the Funds’reporting currency.

Interest rate risk

Prices of fixed income securities generally increase when interest rates decline and decrease when interest rates rise. This risk is known as interest rate risk. Prices of longer-term fixed income securities will generallyfluctuate more in response to interest rate changes than would shorter-term securities. Due to the nature of short-term fixed income securities with a remaining term-to-maturity of less than one year, theseinvestments are not generally exposed to a significant risk that their value will fluctuate in response to changes in the prevailing levels of market interest rates.

Liquidity risk

The Funds are exposed to daily cash redemptions of redeemable units. Generally, the Funds retain sufficient cash and cash equivalent positions to maintain adequate liquidity. However, liquidity risk also involves theability to sell an asset for cash easily and at a fair price. Some securities are illiquid due to legal restrictions on their resale, the nature of the investment, or simply a lack of interested buyers for a particular security orsecurity type. Certain securities may become less liquid due to changes in market conditions, such as interest rate changes or market volatility, which could impair the ability of a Fund to sell such securities quickly or ata fair price. Difficulty in selling securities could result in a loss or a lower return for a Fund.

Other price/market risk

Other price/market risk is the risk that the value of investments will fluctuate as a result of changes in market conditions. Several factors can influence market trends, such as economic developments, changes ininterest rates, political changes, and catastrophic events. All investments are exposed to other price/market risk.

c) Investment Transactions, Income Recognition, and Recognition of Realized and Unrealized Gains and Losses

i) Interest for distribution purposes shown on the Statements of Comprehensive Income represents the coupon interest received by the Fund accounted for on an accrual basis. The Funds do not amortizepremiums paid or discounts received on the purchase of fixed income securities except for zero coupon bonds, which are amortized on a straight-line basis.

ii) Dividend income is recorded on the ex-dividend date.

iii) Securities that are exchange-traded are recorded at fair value established by the last traded market price when that price falls within that day’s bid-ask spread. Debt securities are recorded at fair value,established by the last traded price on the over-the-counter market (OTC) when that price falls within that day’s bid-ask spread. In circumstances where the last traded price is not within the bid-ask spread,the Manager determines the price that is most representative of fair value based on the specific facts and circumstances. Unlisted securities are recorded at fair value using fair valuation techniquesestablished by the Manager in establishing a fair value.

iv) Realized gains and losses on investments and unrealized appreciation or depreciation of investments are calculated using the average cost, excluding transaction costs, of the related investments.

v) Investment income is the sum of income paid to the fund that is generated from a fund’s investment fund holdings.

vi) Other income is the sum of income, excluding transaction costs, other than that which is separately classified on the Statements of Comprehensive Income.

d) Offsetting

Financial assets and liabilities are offset and the net amount reported in the Statements of Financial Position, if there is a currently enforceable legal right to offset the recognized amounts and there is an intention tosettle on a net basis, or to realize the asset and settle the liability simultaneously.

Where applicable, additional information can be found in the table Offsetting Arrangements as part of the Supplemental Schedule to Schedule of Investment Portfolio. This supplemental schedule discloses the OTCderivatives which are subject to offsetting.

e) Portfolio Securities

The cost of securities of a Fund is determined in the following manner: securities are purchased and sold at a market-traded price to arrive at a value for the position traded. The total purchased value represents thetotal cost of the security to the Fund. When additional units of the same security are purchased, the cost of those additional units is added to the total security cost. When units of the same security are sold, theproportionate cost of the units of the security sold is deducted from the total security cost. If there is a return of capital paid by a security, the amount of this return of capital is deducted from the total security cost.This method of tracking security cost is known as “average cost” and the current total for any one security is referred to as the “adjusted cost base” or “ACB” of the security. Transaction costs incurred in portfoliotransactions are excluded from the average cost of investments and are recognized immediately in Increase (Decrease) in Net Assets Attributable to Holders of Redeemable Units and are presented as a separateexpense item in the financial statements.

The difference between the fair value of securities and their average cost, excluding transaction costs, represents the unrealized appreciation (depreciation) in value of the portfolio investments. The applicable periodchange in unrealized appreciation (depreciation) of investments is included on the Statements of Comprehensive Income.

Short-term investments on the Schedule of Investment Portfolio are presented at their amortized cost which approximates the fair value. Accrued interest for bonds is disclosed separately on the Statements ofFinancial Position.

f) Foreign Exchange

The value of investments and other assets and liabilities denominated in foreign currencies is translated into Canadian dollars, which is the Funds’ functional and presentation currency (except for CIBC U.S. DollarMoney Market Fund, CIBC U.S. Dollar Managed Income Portfolio, CIBC U.S. Dollar Managed Balanced Portfolio, and CIBC U.S. Dollar Managed Growth Portfolio, which are valued in U.S. dollars) at the current ratesprevailing on each valuation date.

40


Purchases and sales of investments, income, and expenses are translated into Canadian dollars, which is the Funds’ functional and presentation currency (with the exception of the above-mentioned Funds which arevalued in U.S. dollars) at the foreign exchange rates prevailing on the dates of such transactions. Foreign currency translation gains (losses) on investments and income transactions are included in Net realized gain(loss) on foreign currency and in Income, respectively, on the Statements of Comprehensive Income.

g) Forward Foreign Currency Contracts

The Funds may enter into forward foreign currency contracts for either hedging or non-hedging purposes where such activity is consistent with their investment objectives and as permitted by the Canadian securitiesregulatory authorities.

Changes in the fair value of forward foreign currency contracts are included in derivative assets or derivative liabilities on the Statements of Financial Position, and are recorded as an Increase (decrease) in unrealizedappreciation (depreciation) of investments and derivatives during the applicable period on the Statements of Comprehensive Income.

The gain or loss arising from the difference between the value of the original forward foreign currency contract and the value of such contract at close or delivery is realized and recorded as Net realized gain (loss) onforeign currency for Funds that use the forward foreign currency contracts for hedging, or as Derivative income (loss) from forward foreign currency contracts for Funds that do not use the forward foreign currencycontracts for hedging.

h) Futures Contracts

The margin deposits with brokers relating to futures contracts are included in Margin on the Statements of Financial Position. Any change in the margin requirement is settled daily and included in Receivable forportfolio securities sold or Payable for portfolio securities purchased on the Statements of Financial Position.

Any difference between the settlement value at the close of business on each valuation date and the settlement value at the close of business on the previous valuation date is recorded as Derivative income (loss)from futures contracts on the Statements of Comprehensive Income.

i) Options

Premiums paid for purchased call and put options are included in derivative assets and subsequently measured at fair value on the Statements of Financial Position. When a purchased option expires, the Fund willrealize a loss in the amount of the cost of the option. For a closing transaction, the Fund will realize a gain or loss depending on whether the proceeds are greater or less than the premium paid at the time of purchase.When a purchased call option is exercised, the cost of the security purchased is increased by the premium paid at the time of purchase.

Premiums received from writing options are included in derivative liabilities and subsequently measured at fair value on the Statements of Financial Position as initial reductions in the value of investments. Premiumsreceived from writing options that expire unexercised are recorded as realized gains and reported as Net gain (loss) on sale of investments and derivatives on the Statements of Comprehensive Income. For a closingtransaction, if the cost of closing the transaction exceeds the premium received, the Fund will record a realized loss or, if the premium received at the time the option was written is greater than the amount paid, theFund will record a realized gain and are reported as Net gain (loss) on sale of investments and derivatives. If a written put option is exercised, the cost for the security delivered is reduced by the premiums received atthe time the option was written.

j) Securities Lending

A Fund may lend portfolio securities in order to earn additional revenue, which is disclosed on the Statements of Comprehensive Income. The loaned assets of any one Fund are not permitted to exceed 50% of thefair value of the assets of that Fund (excluding collateral debt for the loaned securities). The minimum allowable collateral is 102% of the fair value of the loaned securities as per the requirements of NationalInstrument 81-102- Investment Funds. Collateral can consist of the following:

i) Cash.

ii) Qualified securities;

iii) Irrevocable letters of credit issued by a Canadian financial institution that is not the counterparty, or an affiliate counterparty, of the fund in the transaction, if evidences of indebtedness of the Canadianfinancial institution that are rated as short-term debt by an approved credit rating organization have an approved credit rating.

iv) Securities that are immediately convertible into securities of the same issuer, class, or type, and the same term, as the securities loaned.

The fair value of the loaned securities is determined on the close of any valuation date and any additional required collateral is delivered to the Fund on the next business day. The securities on loan continue to beincluded on the Schedule of Investment Portfolio and are included in the total value on the Statements of Financial Position in Investments (non-derivative financial assets) at fair value. Where applicable, a Fund’ssecurities lending transactions are reported in footnote Securities Lending on the Statements of Financial Position.

k) Multi-Class Structured Funds

The realized and unrealized capital gains or losses, income, and common expenses (other than class-specific operating expenses and management fees) of the Fund are allocated on each valuation date to theunitholders in proportion to the respective prior day’s net asset value, which includes unitholder trades dated for that day, of each class of units at the date on which the allocation is made. All class-specific operatingexpenses and management fees do not require allocation. All class-specific operating expenses are paid by the Manager and are collected from the Funds on a recoverable basis.

l) Loans and Receivables, Other Assets and Liabilities

Loans and Receivables, other assets and liabilities (other than those classified as FVTPL) are recorded at cost, which approximates their fair value, with the exception of net assets attributable to holders of redeemableunits which are presented at the redemption value.x

x..x

m) Legend of Abbreviations

The following is a list of abbreviations (foreign currency translation and others) that may be used on the Schedule of Investment Portfolio:

x

Currency Abbreviations

x..

AED – United Arab Emirates Dirham JPY – Japanese Yen..

ARS – Argentine Peso KRW – South Korean Won..

AUD – Australian Dollar MAD – Morocco Dirham..

BRL – Brazilian Real MXN – Mexican Peso..

CAD – Canadian Dollar MYR – Malaysian Ringgit..

CHF – Swiss Franc NOK – Norwegian Krone..

CLP – Chilean Peso NZD – New Zealand Dollar..

CNY – Chinese Renminbi PEN – Peruvian Nuevo Sol..

COP – Colombian Peso PHP – Philippine Peso..

CZK – Czech Koruna PKR – Pakistan Rupee..

DKK – Danish Krone PLN – Polish Zloty..

EGP – Egyptian Pound RUB – Russian Ruble..

EUR – Euro SEK – Swedish Krona..

GBP – British Pound SGD – Singapore Dollar..

HKD – Hong Kong Dollar THB – Thai Baht..

HUF – Hungarian Forint TRY – New Turkish Lira

41


..

IDR – Indonesian Rupiah TWD – Taiwan Dollar..

ILS – Israeli Shekel USD – United States Dollar..

INR – Indian Rupee VEF – Venezuelan Bolivar Fuerte..

JOD – Jordanian Dinars ZAR – South African Rand..

Other Abbreviations

..

ADR – American Depositary Receipt..

CVO – Contingent Value Obligations..

ETF – Exchange-Traded Fund..

GDR – Global Depositary Receipt Securities..

NVDR – Non-Voting Depositary Receiptxxxxxxxx

n) Standards issued but not yet effective

Standards issued but not yet effective up to the date of issuance of the Funds’ financial statements are listed below. The Funds intend to adopt applicable standards when they become effective.

IFRS 9, Financial Instruments - Classification and Measurement

In July 2014, the IASB issued the final version of IFRS 9 Financial Instruments which reflects all phases of the financial instruments project and replaces IAS 39 Financial Instruments: Recognition and Measurementand all previous versions of IFRS 9. The standard introduces new requirements for classification and measurement, impairment, and hedge accounting. IFRS 9 is effective for annual periods beginning on or afterJanuary 1, 2018, with early application permitted. The Funds are in the process of assessing the impact of IFRS 9.

o) Increase (decrease) in Net Assets Attributable to Holders of Redeemable Units per Unit

Increase (decrease) in net assets attributable to holders of redeemable units per unit of each class is calculated by dividing the Increase (decrease) in net assets attributable to holders of redeemable units (excludingdistributions), as reported on the Statements of Comprehensive Income, by the weighted average number of units in issue during the related period.

3. Valuation of Investments

The valuation date (Valuation Date) for a Fund is any day when the Manager’s head office is open for business. The Manager may, at its discretion, establish other Valuation Dates.

The value of the investments or assets of a Fund is determined as follows:

a) Cash and Other Assets

Cash, accounts receivable, dividends receivable, distributions receivable, and interest receivable are valued at fair value or at their recorded cost, plus or minus any foreign exchange between recognition of the assetby the Fund and the current Valuation Date, which approximates fair value.

b) Bonds, Debentures, and Other Debt Obligations

Bonds, debentures, and other debt obligations are fair valued using the last traded price provided by a recognized vendor upon the close of trading on a Valuation Date, whereby the last traded price falls within thatday’s bid-ask spread. If the last traded price does not fall within that day’s bid-ask spread, the Manager will then determine the price that is most representative of fair value based on the specific facts andcircumstances.

c) Listed Securities, Unlisted Securities, and Fair Value Pricing of Foreign Securities

Any security that is listed or traded on a securities exchange is fair valued using the last traded price, whereby the last traded price falls within that day’s bid-ask spread or, if there is no traded price on that exchangeor the last traded price does not fall within that day’s bid-ask spread and in the case of securities traded on an OTC market, at the fair value as determined by the Manager as an appropriate basis for valuation. In suchsituations, a fair value will be determined by the Manager to establish current value. If any securities are inter-listed or traded on more than one exchange or market, the Manager will use the principal exchange ormarket for the fair value of such securities.

Units of each mutual fund in which a Fund invests will be valued at fair value using the most recent net asset value quoted by the Trustee or Manager of the mutual fund on the Valuation Date.

Unlisted securities are fair valued using the last traded price quoted by a recognized dealer, or the Manager may determine a price that more accurately reflects the fair value of these securities if the Manager feelsthe last traded price does not reflect fair value.

Fair value pricing is designed to avoid stale prices and to provide a more accurate fair value, and may assist in the deterrence of harmful short-term or excessive trading in the Fund. When securities listed or traded onmarkets or exchanges that close prior to North or South American markets or exchanges are valued by the Manager at their fair market value, instead of using quoted or published prices, the prices of such securitiesused to calculate the Fund’s net assets or net asset value may differ from quoted or published prices of such securities.

d) Derivatives

Long positions in options, debt-like securities, and listed warrants are fair valued using the last traded price as established on either their principal trading exchange or by a recognized dealer in such securities,whereby the last traded price falls within that day’s bid-ask spread and the credit rating of each counterparty (as rated by Standard & Poor’s, a division of McGraw Hill Financial, Inc.) meets or exceeds the minimumapproved credit rating.

When any option is written by any Fund, the premium received by the Fund will be reflected as a liability that will be valued at an amount equal to the current fair value of the option that would have the effect ofclosing the position. Any difference resulting from revaluation shall be treated as an unrealized gain or loss on investment; the liability shall be deducted in arriving at the net assets attributable to holders ofredeemable units of the Fund. The securities that are the subject of a written option, if any, will be valued in the manner described above for listed securities.

Futures contracts, forward contracts, or swaps will be valued at fair value of the gain or loss, if any, that would be realized on the Valuation Date if the position in the futures contracts, forward contracts, or swapswere to be closed out.

Margin paid or deposited in respect of futures contracts and forward contracts will be reflected as an account receivable and margin consisting of assets other than cash will be noted as held as collateral.

Other derivatives and margin are fair valued in a manner that the Manager determines to represent their fair value.

e) Restricted Securities

Restricted securities purchased by any Fund will be fair valued in a manner that the Manager determines to represent their fair value.

f) Other Investments

All other investments of the Funds will be fair valued in accordance with the laws of the Canadian securities regulatory authorities where applicable.

The value of any security or other property of a Fund for which a market quotation is not readily available or where the market quotations do not properly reflect the fair value of such securities will be determined bythe Manager by valuing the securities at their fair value. In such situations, fair value will be determined using fair valuation techniques that most accurately reflect their fair value as established by the Manager.

4. Interest in Underlying Funds

The Funds may invest in other investment funds (Underlying Funds). Each Underlying Fund invests in a portfolio of assets to generate returns in the form of investment income and capital appreciation for itsunitholders. Each Underlying Fund finances its operations primarily through the issuance of redeemable units, which are puttable at the unitholder’s option and entitle the unitholder to a proportionate share of theUnderlying Fund’s net assets. The funds’ interests in Underlying Funds held in the form of redeemable units, are reported in their Schedule of Investments at fair value, which represents the Funds’ maximum exposureon those investments. The Funds' interests in Underlying Funds as at the prior year period ends are presented in the Financial Instruments Risks - Concentration Risk section in the Supplemental Schedule to Schedule

42


of Investment Portfolio. Distributions earned from Underlying Funds are included in “Investment Income” in the Statements of Comprehensive Income. The total realized and change in unrealized gains (losses) arisingfrom Underlying Funds are also included in the Statement of Comprehensive Income. The Funds do not provide any additional significant financial or other support to Underlying Funds.

Where applicable, the table “Interests in Underlying Funds” is presented as part of the Supplemental Schedule to Schedule of Investment Portfolio provides additional information on the Funds’ investments inUnderlying Funds where the ownership interest exceeds 20% of each Underlying Fund.

5. Redeemable Units Issued and Outstanding

Each Fund is permitted to have an unlimited number of classes of units and may issue an unlimited number of units of each class. The outstanding units represent the net assets attributable to holders of redeemableunits of a Fund. Each unit has no par value and the value of each unit is the net asset value as determined on each valuation date. Settlement of the cost for units issued is completed as per security regulations inplace at the time of issue. Distributions made by a Fund and reinvested by unitholders in additional units also constitute issued redeemable units of a Fund.

Units are redeemed at the net assets attributable to holders of a redeemable unit per unit of a Fund. A right to redeem units of a Fund may be suspended with the approval of the Canadian securities regulatoryauthorities or when normal trading is suspended on a stock, options, or futures exchange within Canada or outside of Canada on which securities or derivatives that make up more than 50% of the value or underlyingexposure of the total assets of a Fund, not including any liabilities of a Fund, are traded and when those securities or derivatives are not traded on any other exchange that represents a reasonably practical alternativefor a Fund. The Fund is not subject to any externally imposed capital requirements.

The capital received by a Fund is utilized within the respective investment mandate of the Fund. This includes the ability to make liquidity available to satisfy unitholder unit redemption requirements upon aunitholder’s request.

Changes in issued and outstanding units for the years ended December 31, 2015 and 2014 can be found on the Statements of Changes in Net Assets Attributable to Holders of Redeemable Units.x

6. Management Fees and Operating Expenses

Management fees are based on the net asset value of the Funds and are calculated daily. Management fees are paid to the Manager in consideration for providing, or arranging for the provision of, management,distribution, and portfolio advisory services. The maximum annual management fee expressed as a percentage of the average net asset value for each class of units of the Fund is reported in footnote MaximumChargeable Annual Management Fee Rates on the Statements of Comprehensive Income. For Class O units, management fees are negotiated with and paid by, or as directed by, unitholders, or dealers anddiscretionary managers on behalf of unitholders.

In addition to the management fees, the Funds are responsible for all expenses relating to the operation and conduct of the business of the Funds, including interest, operating, and administrative costs (other thanadvertising and promotional expenses, which are the responsibility of the Manager), brokerage fees, commissions, spreads, regulatory fees, Independent Review Committee fees, taxes, audit and legal fees andexpenses, safekeeping and custodial fees, investor servicing costs, and costs of unitholder reports, prospectuses, and other reports. All class-specific operating expenses are paid by the Manager and recovered fromthe Funds. The Funds do not pay a fee to the Trustee.

The Manager may recover from a Fund less than the actual class-specific operating expenses paid by the Manager, resulting in the Manager absorbing class-specific expenses. The Manager may also charge to a Fundless than the maximum management fee in footnote Maximum Chargeable Annual Management Fee Rates on the Statements of Comprehensive Income, resulting in the Manager waiving management fees.

At its sole discretion, the Manager may stop absorbing class-specific operating expenses and/or waiving management fees at any time. Class-specific operating expenses absorbed and/or management fees waivedby the Manager are disclosed on the Statements of Comprehensive Income.

In some cases, the Manager may charge management fees to a Fund that are less than the management fees the Manager is entitled to charge in respect of certain investors in a Fund. The difference in the amount ofthe management fees will be paid out by the Fund to the applicable investors as a distribution of additional units of the Fund (Management Fee Distributions). Management Fee Distributions are negotiable betweenthe Manager and the investor and are dependent primarily on the size of the investor’s investment in the Fund. Management Fee Distributions paid to qualified investors do not adversely impact the Fund or any of theFund’s other investors. The Manager may increase or decrease the amount of Management Fee Distributions to certain investors from time to time.

Certain Funds may invest in units of other Funds (the Underlying Funds). Where a Fund invests in units of an Underlying fund, the Fund does not pay duplicate management fees on the portion of its assets that it investsin units of the Underlying Fund. In addition, the Fund will not pay duplicate sales fees or redemption fees with respect to the purchase or redemption by it of units of the Underlying Fund. Some of the Underlying Fundsheld by the Funds may offer Management Fee Distributions. Such Management Fee Distributions of an Underlying Fund will be paid out as required for taxable distribution payments by a Fund. The manager of anUnderlying Fund may, in some cases, waive a portion of an Underlying Fund’s management fee and/or absorb a portion of an Underlying Fund’s operating expenses.

7. Income Taxes and Withholding Taxes

The Funds qualify as mutual fund trusts under the Income Tax Act (Canada). No income tax is payable by the Funds on net income and/or net realized capital gains that are distributed to unitholders. In addition, incometaxes payable on undistributed net realized capital gains are refundable on a formula basis when units of the Funds are redeemed. Sufficient net income and realized capital gains of the Funds have been, or will be,distributed to the unitholders such that no tax is payable by the Funds and, accordingly, no provision for income taxes has been made in the financial statements. Occasionally, a Fund may pay distributions in excess ofthe net income and net realized capital gains of the Fund. This excess distribution is called a return of capital and is non-taxable to the unitholder. However, a return of capital reduces the average cost of theunitholder’s units for tax purposes, which may result in a capital gain to the unitholder to the extent the average cost becomes less than zero.

CIBC U.S. Dollar Money Market Fund, CIBC U.S. Dollar Managed Income Portfolio, CIBC U.S. Dollar Managed Balanced Portfolio, and CIBC U.S. Dollar Managed Growth Portfolio may realize net foreign currency gainsand losses on the translation of their net realized capital gains to Canadian dollars for tax purposes. These gains will be distributed to investors annually unless these Funds elect to retain them, with the result that thetax would be payable by the Funds.

Non-capital losses that arose in 2006 and thereafter are available to be carried forward for 20 years.

Capital losses for income tax purposes may be carried forward indefinitely and applied against capital gains realized in future years. Where applicable, a Fund’s net capital and non-capital losses are reported infootnote Net Capital and Non-Capital Losses on the Statements of Changes in Net Assets Attributable to Holders of Redeemable Units.

The Funds have a taxation year-end of December 15 (except for CIBC Canadian T-Bill Fund, CIBC Money Market Fund, CIBC U.S. Dollar Money Market Fund which have a taxation year-end of December 31).

The Funds currently incur withholding taxes imposed by certain countries on investment income and capital gains. Such income and gains are recorded on a gross basis and the related withholding taxes are shown asa separate expense in the Statements of Comprehensive Income.

8. Brokerage Commissions and Fees

The total commissions paid by the Funds to brokers in connection with portfolio transactions are reported in footnote Brokerage Commissions and Fees on the Statements of Comprehensive Income of each Fund whereapplicable. In allocating brokerage business, consideration may be given by the portfolio sub-advisors of the Funds to dealers that furnish research, statistical analysis, and other securities to portfolio sub-advisors thatprocess trades through such dealers (referred to in the industry as “soft dollar” arrangements). These goods and services are paid for with a portion of brokerage commissions and assist the portfolio sub-advisors withtheir investment decision-making services to the Funds. The total soft dollar payments paid by the Funds to brokers are reported in footnote Brokerage Commissions and Fees on the Statements of ComprehensiveIncome of each Fund. In addition, the Manager may enter into commission recapture arrangements with certain dealers with respect to the Fund. Any commission recaptured will be paid to the applicable Fund.

Fixed income and certain other securities are transacted in an OTC market, where participants are dealing as principals. Such securities are generally traded on a net basis and do not normally involve brokeragecommissions, but will typically include a “spread” (being the difference between the bid and the offer prices on the security of the applicable marketplace).

Spreads associated with fixed income securities trading and certain other securities are not ascertainable and, for that reason, are not included in the dollar amounts. In addition, the soft dollar amounts only includethe value of research and other services supplied by a third party to CIBC Asset Management Inc. (CAMI or the Portfolio Advisor) and any portfolio sub-advisors, as the value of the services supplied to the PortfolioAdvisor and any portfolio sub-advisors by the dealer is not ascertainable. When these services benefit more than one Fund, the costs are allocated among the Funds based on transaction activity or some other fairbasis as determined by the Portfolio Advisor and any portfolio sub-advisors.x

9. Related Party Transactions

CIBC and its affiliates have the following roles and responsibilities with respect to the Funds and receive the fees described below in connection with their roles and responsibilities. The Funds may hold securities ofCIBC. CIBC and its affiliates may also be involved in underwriting or lending to issuers of securities that may be held by the Funds, have purchased or sold securities from or to the Funds while acting as principal, havepurchased or sold securities from or to the Funds on behalf of another investment fund managed by CIBC or an affiliate, and also may have been involved as a counterparty to derivative transactions. Management feespayable and other accrued expenses on the Statements of Financial Position are amounts generally payable to a related party of the Fund.

43


Manager, Trustee, Portfolio Advisor, and certain Portfolio Sub-Advisors of the Funds

CIBC is the Manager, CIBC Trust Corporation is the Trustee, and CAMI is the portfolio advisor of each of the Funds. American Century Investment Management, Inc. (ACI) is a portfolio sub-advisor to certain Funds.Although not an affiliate, CIBC currently owns a 41% equity interest in ACI. On December 21, 2015, CIBC announced that it entered into a definitive agreement to sell its minority position in ACI. The sale is expected tobe completed in the first half of 2016 and is subject to regulatory approval.

The Manager also arranges for fund administrative services (other than advertising and promotional, which are the responsibility of the Manager), legal, investor servicing, and costs of unitholder reports,prospectuses, and other reports. The Manager is the registrar and transfer agent for the Funds and provides, or arranges for the provision of, all other administrative services required by the Funds. The dollar amount(including all applicable taxes) of all fund administrative expenses (net of absorptions) that the Manager recovers from a Fund is reported in footnote Administrative and Other Fund Operating Expenses on theStatements of Comprehensive Income.

Brokerage Arrangements and Soft Dollars

The Portfolio Advisor generally delegates trading and execution authority to the portfolio sub-advisors.

The Portfolio Advisor and portfolio sub-advisors make decisions, including the selection of markets and dealers and the negotiation of commissions, with respect to the purchase and sale of portfolio securities, certainderivative products (including futures), and the execution of portfolio transactions. Brokerage business may be allocated by the Portfolio Advisor or portfolio sub-advisors, including ACI, to CIBC World Markets Inc. andCIBC World Markets Corp., each a subsidiary of CIBC. The total commissions paid to related brokers in connection with portfolio transactions are reported in footnote Brokerage Commissions and Fees on theStatements of Comprehensive Income of each Fund.

CIBC World Markets Inc. and CIBC World Markets Corp. may also earn spreads on the sale of fixed income and other securities, and certain derivative products (including forwards) to the Funds. Dealers, includingCIBC World Markets Inc. and CIBC World Markets Corp., may furnish goods and services, other than order execution, to the Portfolio Advisor and portfolio sub-advisors, including ACI, that process trades through them(referred to in the industry as “soft dollar” arrangements). These goods and services are paid for with a portion of brokerage commissions and assist the Portfolio Advisor and portfolio sub-advisors with theirinvestment decision-making services to the Fund or relate directly to executing portfolio transactions on behalf of the Fund. As per terms of the portfolio sub-advisory agreements, such soft dollar arrangements are incompliance with applicable laws. Custodial fees directly related to portfolio transactions incurred by a Fund, otherwise payable by the Fund, shall be paid by CAMI, and/or dealer(s) directed by CAMI, up to the amountof the credits generated under soft dollar arrangements from trading on behalf of the Fund, or a portion of the Fund, during that month. The total soft dollar payments paid by the Fund to related brokers are reported infootnote Brokerage Commissions and Fees on the Statements of Comprehensive Income of each Fund. In addition, the Manager may enter into commission recapture arrangements with certain dealers with respect tothe Funds. Any commission recaptured will be paid to the relevant Fund.

Spreads associated with fixed income, other securities, and certain derivative products (including forwards) are not ascertainable and, for that reason, are not included in the dollar values. In addition, the soft dollaramounts only include the value of research and other services supplied by a third party to the Portfolio Advisor and portfolio sub-advisors, as the value of the services supplied to the Portfolio Advisor and portfoliosub-advisors by the dealer is not ascertainable. When these services benefit more than one Fund, the costs are allocated among the Funds based on transaction activity or some other fair basis as determined by thePortfolio Advisor and portfolio sub-advisors.

Custodian

The custodian holds all cash and securities for the Funds and ensures that those assets are kept separate from any other cash or securities that the custodian might be holding. The custodian also provides otherservices to the Funds including record keeping and processing of foreign exchange transactions. CIBC Mellon Trust Company is the custodian of the Funds (the Custodian). The Custodian may hire sub-custodians forthe Funds. The fees and spreads for services of the Custodian directly related to the execution of portfolio transactions by a Fund, or a portion of a Fund, are paid by CAMI and/or dealer(s) directed by CAMI up to theamount of the credits generated under soft dollar arrangements from trading on behalf of the Funds during that month. All other fees for the services of the Custodian are paid by the Manager, and charged to theFunds on a recoverable basis. CIBC owns a 50% interest in CIBC Mellon Trust Company.

Service Provider

CIBC Mellon Global Securities Services Company (CIBC GSS) provides certain services to the Funds, including securities lending, fund accounting and reporting, and portfolio valuation. Such servicing fees are paid bythe Manager and charged to the Funds on a recoverable basis. CIBC indirectly owns a 50% interest in CIBC GSS.

The dollar amount paid by the Funds (including all applicable taxes) to CIBC Mellon Trust Company for custodial fees (net of absorptions) and to CIBC GSS for securities lending, fund accounting and reporting, andportfolio valuation (net of absorptions) for the years ended December 31, 2015 and 2014 is reported in footnote Service Provider on the Statements of Comprehensive Income.

10. Hedging

Certain foreign currency denominated positions have been hedged, or partially hedged, by forward foreign currency contracts as part of the investment strategies of certain Funds. These hedges are indicated by ahedging reference number on the Schedule of Investment Portfolio and a corresponding hedging reference number on the Schedule of Derivative Assets and Liabilities - Forward Foreign Currency Contracts for thoseFunds.

11. Collateral on Specified Derivatives

Short-term investments may be used as collateral for futures contracts outstanding with brokers.x

44

Independent Auditors’ Report

x

To the Unitholders ofxxxxxxxxx

xx

x..

CIBC Canadian T-Bill Fund CIBC Canadian Real Estate Fund..

CIBC Money Market Fund CIBC Precious Metals Fund..

CIBC U.S. Dollar Money Market Fund CIBC Global Technology Fund..

CIBC Short-Term Income Fund CIBC Canadian Short-Term Bond Index Fund..

CIBC Canadian Bond Fund CIBC Canadian Bond Index Fund..

CIBC Monthly Income Fund CIBC Global Bond Index Fund..

CIBC Global Bond Fund CIBC Balanced Index Fund..

CIBC Global Monthly Income Fund CIBC Canadian Index Fund..

CIBC Balanced Fund CIBC U.S. Broad Market Index Fund..

CIBC Dividend Income Fund CIBC U.S. Index Fund..

CIBC Dividend Growth Fund CIBC International Index Fund..

CIBC Canadian Equity Fund CIBC European Index Fund..

CIBC Canadian Equity Value Fund CIBC Emerging Markets Index Fund..

CIBC Canadian Small-Cap Fund CIBC Asia Pacific Index Fund..

CIBC U.S. Equity Fund CIBC Nasdaq Index Fund..

CIBC U.S. Small Companies Fund CIBC Managed Income Portfolio..

CIBC Global Equity Fund CIBC Managed Income Plus Portfolio..

CIBC International Equity Fund CIBC Managed Balanced Portfolio..

CIBC European Equity Fund CIBC Managed Monthly Income Balanced Portfolio..

CIBC Emerging Markets Fund CIBC Managed Balanced Growth Portfolio..

CIBC Asia Pacific Fund CIBC Managed Growth Portfolio..

CIBC Latin American Fund CIBC Managed Aggressive Growth Portfolio..

CIBC International Small Companies Fund CIBC U.S. Dollar Managed Income Portfolio..

CIBC Financial Companies Fund CIBC U.S. Dollar Managed Balanced Portfolio..

CIBC Canadian Resources Fund CIBC U.S. Dollar Managed Growth Portfolio..

CIBC Energy Fund....

(collectively, the “Funds”)xx

We have audited the accompanying financial statements of the Funds, which comprise the statements of financial position as at December 31, 2015 and 2014, and the statements of comprehensive income, changes innet assets attributable to holders of redeemable units and cash flows for the years then ended, and a summary of significant accounting policies and other explanatory information.

Management's responsibility for the financial statementsManagement is responsible for the preparation and fair presentation of these financial statements in accordance with International Financial Reporting Standards, and for such internal control as managementdetermines is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error.

Auditors’ responsibilityOur responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits in accordance with Canadian generally accepted auditing standards. Those standards requirethat we comply with ethical requirements and plan and perform the audit to obtain reasonable assurance about whether the financial statements are free from material misstatement.

An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the auditors’ judgment, including the assessmentof the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the auditors consider internal control relevant to the Funds' preparation and fairpresentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds' internalcontrol. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of accounting estimates made by management, as well as evaluating the overall presentation of thefinancial statements.

We believe that the audit evidence we have obtained in our audits is sufficient and appropriate to provide a basis for our audit opinion.

OpinionIn our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as at December 31, 2015 and 2014, and their financial performance and their cash flows for theyears then ended in accordance with International Financial Reporting Standards.xxxxxxxx

Toronto, CanadaMarch 11, 2016

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"Wilshire®", the Wishire IndexesSM and "Wilshire 5000 Total Market IndexSM" are service marks of Wilshire Associates Incorporated (“Wilshire”) and have been licensed for use byCIBC. All content of the Wilshire 5000 Total Market IndexSM is © 2012 Wilshire Associates Incorporated, all rights reserved. The Fund is not sponsored, endorsed, sold, or promoted byWilshire, and Wilshire makes no representations or warranties with respect to the Fund.

CIBC Mutual FundsCIBC Family of Managed Portfolios

CIBC

18 York Street, Suite 1300Toronto, Ontario

M5J 2T8

CIBC Securities Inc.1-800-465-3863

Websitewww.cibc.com/mutualfunds

CIBC Securities Inc. is a wholly-owned subsidiary of CIBC and is the principal distributor of the CIBC Mutual Funds and the CIBC Family of Managed Portfolios. CIBC Family ofManaged Portfolios are mutual funds that primarily invest in other CIBC Mutual Funds. To obtain a copy of the simplified prospectus, call CIBC Securities Inc. at 1-800-465-3863 or askyour advisor.

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