Annual Management Report

Transcription

1 Annual Management Report of Fund Performance for the period ended December 31, 2015 U.S. Large Company Equity Fund Class D Units, Class D(H) Units, Class E Units, Class E(H) Units, Class F Units, Class F(H) Units, Class I Units, Class I(H) Units, Class O Units, Class O(H) Units, Class P Units, Class P(H) Units, Class R Units, Class R(H) Units, Class S Units, Class Z Units and Class Z(H) Units MANAGED BY: SEI INVESTMENTS CANADA COMPANY Annual Management Report of Fund Performance SEI 2015 seic.com

2 This annual Management Report of Fund Performance contains financial highlights, but does not contain the complete audited annual financial statements of the Fund. You may view the semi-annual (unaudited) and annual Financial Statements, as well as the annual and semi-annual Management Report of Fund Performance on our website seic.com, or through SEDAR at sedar.com. You may also request to receive a copy of these reports, SEI Funds proxy voting policies and procedures, or quarterly portfolio disclosure at no cost by contacting us through any of the following methods: Call us toll free at: Visit our website: Write to us at: SEI-1114 seic.com SEI, 70 York Street, Suite 1600, Toronto, Ontario M5J 1S9 The proxy voting record of the SEI Funds for the period ending June 30, 2016 will be available on our website any time after August 31, A caution regarding forward-looking statements: This document may contain forward-looking statements about the Fund, including its strategy, performance and condition. Forward looking statements include statements that are predictive in nature, that depend upon or refer to future events or conditions, or that include words such as expects, anticipates, intends, plans, believes, estimates, or negative versions thereof, or future or conditional verbs such as will, may, could, should and would, and similar expressions. In addition, any statement that may be made concerning future performance, strategies or prospects, and possible future fund action, is also a forward-looking statement. By their nature, forward-looking statements require us to make assumptions and are subject to inherent risks and uncertainties. Forward-looking statements are not guarantees of future performance. There is significant risk that forward-looking statements will not prove to be accurate. We caution readers of this document to not place undue reliance on our forward-looking statements, as a number of factors could cause actual future results, conditions and actions or events to differ materially from those expressed or implied in any forward-looking statements. Factors may include, but are not limited to, general economic, political, market and business conditions; fluctuations in interest rates and foreign exchange rates; regulatory developments; and actions by governmental authorities. We caution that the foregoing list of factors is not exhaustive. Before making an investment decision, we encourage investors to consider these and other factors carefully. Future events and their effects on the Fund may not be those anticipated by us. Actual results may differ materially from the results anticipated in these forward-looking statements. We do not undertake, and specifically disclaim, any obligations to update or revise any forward-looking information, whether as a result of new information, future developments, or otherwise.

3 Management Report of Fund Performance INVESTMENT OBJECTIVE AND STRATEGIES The objective of the U.S. Large Company Equity Fund (the Fund ) provide long-term growth of capital and income, primarily through investment in a diversified portfolio of equity securities of large U.S. companies listed on recognized stock exchanges. The Fund invests using a Manager of Managers investment strategy that involves appointing multiple specialist Portfolio Managers. Each Portfolio Manager manages a portion of the Fund in accordance with a specific mandate that is based on its expertise. Portfolio Managers are selected using in-depth research and once appointed, are subject to a rigorous monitoring process. As of December 31, 2015, the Portfolio Managers of the Fund were: AQR Capital Management, LLC AJO, L.P. Brown Investment Advisory Inc. Jackson Square Partners, LLC LSV Asset Management Waddell & Reed Investment Management Co. SEI Investments Management Corporation SEI Investments Canada Company (the Manager) RESULTS OF OPERATIONS (This performance commentary is based on Class O units of the Fund. s for other classes of units may vary, largely due to differences in fees and expenses. Please refer to the Past Performance section for class level performance details.) The U.S. large-cap equity market, as measured by the Russell 1000 Index, gained 20.7% the 12 months ended December 31, During the first half of the year, equity markets gained as expectations rose on earnings growth in the Healthcare, Technology and Consumer Discretionary sectors. During that time, market growth was both propelled and supported by improving economic data, rising prospects for the U.S. consumer due to lower oil and gas prices, expectations of a gradual rise in interest rates by the U.S. Federal Reserve (the Fed) and a multi-year high in mergers and acquisitions. The strength of the U.S. economy and solid earnings data also helped the U.S. to shrug off concerns of potential foreign-market weakness characterised in part, by emerging-market currency devaluation (Russia, Brazil and Venezuela). However, the Energy sector met with challenges as the U.S. shale oil boom combined with output from the Organization of the Petroleum Exporting Countries drove petroleum prices further downward. The second half of the year began with uncertainty, due to the sharp decline in mainland Chinese equities and fears of decelerating economic growth, the Fed s delay in raising interest rates and a slow earnings profile. As the quarter advanced, fears receded on the continued rise of the U.S. dollar and the Fed s intention to raise interest rates before year end based on the strength of the U.S. economy. For the 12 months ended 31 December 2015, growth stocks outperformed value stocks by nearly 2%. From a sector perspective, Consumer Discretionary names, which were beneficiaries of plunging energy prices, led the market followed by Healthcare and Consumer Staples, returning 29.2%, 29% and 27% respectively. The Energy sector was the clear laggard, declining by 6.8% due to the ongoing drop in oil prices. In 2015, the U.S. Large Company Equity Fund (The Fund ) had a strong year, delivering 20.3%, while slightly underperforming the index by 0.4%. Stock selection in Energy and Healthcare were positive, but was not enough to offset adverse selection in the Consumer Discretionary and Consumer Staples sectors. From a manager perspective, our growth managers benefited from style tailwinds and Brown Investment Advisory outperformed, with the result attributable to good stock selection in Consumer Discretionary. While not surprising, our value manager, LSV Asset Management, met with difficulty due to style headwinds. Equity markets can perform well in an interest rate environment that gradually rises as a result of a strengthening economy. However, they tend to struggle when inflation (consumer prices) drives rapid increases in interest rates. The latest gauge of the U.S. economy, as measured by consensus estimates for real economic growth, are in the 2% to 2.5% range for 2015, 2016 and U.S. economic expansion is being driven by strong consumer confidence and employment, which is evident through the rise in home prices and sales alongside a multi-year high in auto sales. The overall market is looking for 4% to 6% organic earnings growth plus 1% to 2% additional growth for stock buybacks for 2016, which would make for a steady, yet muted market expansion. The organic 4% to 6% earnings growth is just enough to support an expansion yet fragile enough to cause some volatility should small external shocks present themselves. RECENT DEVELOPMENTS CHANGES TO STRATEGIC POSITION OF FUND The Fund maintains overweights to Information Technology and Healthcare, which have benefited from strong organic earnings growth and mergers and acquisitions activity, while maintaining underweights to Industrials and Telecommunications.

4 Management Report of Fund Performance CHANGES TO COMPOSITION OF INDEPENDENT REVIEW COMMITTEE (IRC) MEMBERS During the relevant period James Jennings resigned as a member of the Fund s IRC and Jim Dunn was appointed as a new IRC member. RISK The Fund may be suitable for investors who have a medium tolerance for risk. The risks of investing in the Fund are greater detailed within the current Prospectus. FUND TRANSACTIONS In relation to certain of the Fund's portfolio transactions, a US registered broker-dealer affiliate of the Manager provided certain brokerage services to carrying dealers for the Fund and received from such dealers certain commission recapture compensation for its services in Such services and such amounts were in accordance with the Manager's policy for such services being provided, on which the Independent Review Committee provided its recommendation to the Fund of a fair and reasonable result for the Fund, which operates as a standing instruction for compliance by the Manager. RELATED PARTY TRANSACTIONS SEI and its affiliates have the following roles and responsibilities with respect to the Fund, and receive the fees described below in connection with their roles and responsibilities. MANAGER The Fund is managed by SEI Investments Canada Company (the Manager ), a wholly-owned subsidiary of SEI Investments Company. SEI receives management fees with respect to the dayto-day business and operations of the Fund, calculated based on the net asset value of each respective class of units of the Fund as described in the section entitled Management Fees. The Manager also compensates its wholesalers in connection with their marketing activities regarding the Fund. From time to time, SEI may provide seed capital to the Fund. PORTFOLIO MANAGERS The Manager is the portfolio manager of the Fund. SEI Investments Management Corporation ( SIMC ), also a wholly-owned subsidiary of SEI Investments Company, has entered into a sub-advisory agreement with the Manager to provide advisory services to the Fund and the Manager pays a fee to SIMC for these services. SEI Investments Company holds a minority interest in LSV Asset Management ( LSV ). LSV serves as one of the Portfolio Managers to the Fund. The Manager may change the Portfolio Managers and/or the allocation of assets to a particular Portfolio Manager from time to time at its sole discretion.

5 Financial Highlights FOR THE YEARS ENDED DECEMBER 31 The following tables show selected key financial information about the Fund and are intended to help you understand the Fund s financial performance for the past five years. Class O NET ASSETS, BEGINNING OF YEAR $11.15 $9.34 $6.57 $5.83 $5.75 Total revenue $0.24 $0.17 $0.16 $0.13 $0.11 Total expenses -$0.05 -$0.04 -$0.03 -$0.01 -$0.01 Realized gains (losses) for the year $2.84 $1.80 $1.53 $0.27 $0.24 Unrealized gains (losses) for the year -$0.77 $0.01 $1.35 $0.50 -$0.13 Total increase (decrease) from operations (b) $2.26 $1.94 $3.01 $0.89 $0.21 Total annual distributions (c) -$1.54 -$0.14 -$0.16 -$0.13 -$0.12 From net investment income (excluding dividends) -$0.20 From capital gains -$1.34 -$0.14 -$0.16 -$0.13 -$0.12 NET ASSETS, END OF YEAR $11.87 $11.15 $9.34 $6.57 $5.83 Net asset value ($000 s)* $904,863 $907,224 $906,307 $960,839 $975,523 Number of units outstanding* 76,259,152 81,347,455 96,986, ,302, ,371,043 Management expense ratio (d) 0.11% 0.11% 0.05% 0.11% 0.12% Management expense ratio before waivers 0.11% 0.11% % 0.12% Net asset value per unit $11.87 $11.15 $9.34 $6.57 $5.83 Class I NET ASSETS, BEGINNING OF YEAR $11.20 $9.44 $6.61 $5.87 $5.80 Total revenue $0.23 $0.16 $0.16 $0.13 $0.11 Total expenses -$0.17 -$0.13 -$0.10 -$0.07 -$0.06 Realized gains (losses) for the year $2.82 $1.86 $1.53 $0.29 $0.23 Unrealized gains (losses) for the year -$0.75 -$0.02 $1.51 $0.27 $0.28 Total increase (decrease) from operations (b) $2.13 $1.87 $3.10 $0.62 $0.56 Total annual distributions (c) -$2.22 -$0.06 -$0.04 -$0.08 -$0.06 From net investment income (excluding dividends) -$0.10 From capital gains -$2.12 -$0.06 -$0.04 -$0.08 -$0.06 NET ASSETS, END OF YEAR $11.12 $11.20 $9.44 $6.61 $5.87 Net asset value ($000 s)* $48 $40 $30 $56 $14 Number of units outstanding* 4,330 3,595 3,206 8,448 2,361 Management expense ratio (d) 1.07% 1.07% 1.03% 1.07% 1.06% Management expense ratio before waivers 1.07% 1.07% 1.07% 1.07% 1.06% Net asset value per unit $11.12 $11.20 $9.44 $6.61 $5.88 Note: This table is not intended to act as a continuity of opening and closing Net assets per unit. (a) This information is derived from the Fund's audited annual financial statements. (b) Net assets and distributions are based on the actual number of units outstanding at the relevant time. The increase/decrease from operations is based on the weighted average number of units outstanding over the year. For financial years beginning on or after January 1, 2013, the financial highlights are derived from the Fund's financial statements prepared in accordance with International Financial Reporting Standards. For financial years prior to 2013, the financial highlights were derived from the Fund's financial statements prepared in accordance with previous Canadian generally accepted accounting principles. (c) Distributions were paid in cash/reinvested in additional units of the Fund, or both. (d) Management expense ratio is the ratio of all fees and expenses (including Goods and Services Tax (GST) up to June 30, 2010 and Harmonized Sales Tax (HST) thereafter) and interest expense but excluding brokerage commission on securities transactions charged to the Fund to daily average net asset value on an annualized basis. (e) The Fund's portfolio turnover rate indicates how actively the Fund's portfolio advisor manages its portfolio investments. A portfolio turnover rate of 100% is equivalent to the Fund buying and selling all of the securities in its portfolio once in the course of the year. The higher a fund's portfolio turnover rate in a year, the greater the trading costs payable by the Fund in the year, and the greater the chance of an investor receiving taxable capital gains in the year. There is not necessarily a relationship between a high turnover rate and the performance of a Fund. (f) The trading expense ratio represents total commissions and other portfolio transaction costs expressed as an annualized percentage of daily average net asset value during the year. * This information is provided as at December 31.

6 Financial Highlights FOR THE YEARS ENDED DECEMBER 31 Class P NET ASSETS, BEGINNING OF YEAR $10.29 $8.72 $6.17 $5.50 $5.45 Total revenue $0.21 $0.16 $0.14 $0.12 $0.10 Total expenses -$0.32 -$0.26 -$0.21 -$0.15 -$0.14 Realized gains (losses) for the year $2.60 $1.66 $1.41 $0.25 $0.21 Unrealized gains (losses) for the year -$0.66 $1.19 $0.48 -$0.12 Total increase (decrease) from operations (b) $1.83 $1.56 $2.53 $0.70 $0.05 Total annual distributions (c) -$1.42 From net investment income (excluding dividends) From capital gains -$1.42 NET ASSETS, END OF YEAR $10.65 $10.29 $8.72 $6.17 $5.50 Net asset value ($000 s)* $71,742 $82,322 $69,037 $52,049 $47,878 Number of units outstanding* 6,735,292 8,001,066 7,916,119 8,431,155 8,701,973 Management expense ratio (d) 2.53% 2.53% 2.49% 2.56% 2.57% Management expense ratio before waivers 2.53% 2.53% 2.53% 2.56% 2.57% Net asset value per unit $10.65 $10.29 $8.72 $6.17 $5.50 Class F NET ASSETS, BEGINNING OF YEAR $11.20 $9.40 $6.62 $5.88 $5.80 Total revenue $0.21 $0.17 $0.15 $0.13 $0.11 Total expenses -$0.15 -$0.12 -$0.09 -$0.06 -$0.05 Realized gains (losses) for the year $2.80 $1.84 $1.52 $0.28 $0.24 Unrealized gains (losses) for the year -$0.68 -$0.02 $1.26 $0.49 -$0.18 Total increase (decrease) from operations (b) $2.18 $1.87 $2.84 $0.84 $0.12 Total annual distributions (c) -$1.91 -$0.07 -$0.10 -$0.09 -$0.07 From net investment income (excluding dividends) -$0.12 From capital gains -$1.79 -$0.07 -$0.10 -$0.09 -$0.07 NET ASSETS, END OF YEAR $11.44 $11.20 $9.40 $6.62 $5.88 Net asset value ($000 s)* $9,640 $6,709 $5,897 $3,297 $2,650 Number of units outstanding* 842, , , , ,886 Management expense ratio (d) % 0.89% 0.89% Management expense ratio before waivers 1.01% 1.01% 0.93% 1.00% 0. Net asset value per unit $11.44 $11.20 $9.40 $6.62 $5.88 Note: This table is not intended to act as a continuity of opening and closing Net assets per unit. (a) This information is derived from the Fund's audited annual financial statements. (b) Net assets and distributions are based on the actual number of units outstanding at the relevant time. The increase/decrease from operations is based on the weighted average number of units outstanding over the year. For financial years beginning on or after January 1, 2013, the financial highlights are derived from the Fund's financial statements prepared in accordance with International Financial Reporting Standards. For financial years prior to 2013, the financial highlights were derived from the Fund's financial statements prepared in accordance with previous Canadian generally accepted accounting principles. (c) Distributions were paid in cash/reinvested in additional units of the Fund, or both. (d) Management expense ratio is the ratio of all fees and expenses (including Goods and Services Tax (GST) up to June 30, 2010 and Harmonized Sales Tax (HST) thereafter) and interest expense but excluding brokerage commission on securities transactions charged to the Fund to daily average net asset value on an annualized basis. (e) The Fund's portfolio turnover rate indicates how actively the Fund's portfolio advisor manages its portfolio investments. A portfolio turnover rate of 100% is equivalent to the Fund buying and selling all of the securities in its portfolio once in the course of the year. The higher a fund's portfolio turnover rate in a year, the greater the trading costs payable by the Fund in the year, and the greater the chance of an investor receiving taxable capital gains in the year. There is not necessarily a relationship between a high turnover rate and the performance of a Fund. (f) The trading expense ratio represents total commissions and other portfolio transaction costs expressed as an annualized percentage of daily average net asset value during the year. * This information is provided as at December 31.

7 Financial Highlights FOR THE YEARS ENDED DECEMBER 31 Class D NET ASSETS, BEGINNING OF YEAR $9.96 $8.47 $6.02 $5.38 $5.39 Total revenue $0.20 $0.14 $0.14 $0.12 $0.10 Total expenses -$0.34 -$0.28 -$0.22 -$0.17 -$0.15 Realized gains (losses) for the year $2.49 $1.68 $1.41 $0.25 $0.15 Unrealized gains (losses) for the year -$0.67 $1.28 $0.42 -$0.05 Total increase (decrease) from operations (b) $1.68 $1.54 $2.61 $0.62 $0.05 Total annual distributions (c) -$1.46 -$0.03 From net investment income (excluding dividends) From capital gains -$1.46 -$0.03 NET ASSETS, END OF YEAR $10.19 $9.96 $8.47 $6.02 $5.38 Net asset value ($000 s)* $48,075 $41,248 $24,508 $20,025 $11,584 Number of units outstanding* 4,718,866 4,140,901 2,892,456 3,327,467 2,152,815 Management expense ratio (d) 2.87% 2.88% 2.81% 2.88% 2.89% Management expense ratio before waivers 2.87% 2.88% 2.86% 2.88% 2.89% Net asset value per unit $10.19 $9.96 $8.47 $6.02 $5.38 Class E NET ASSETS, BEGINNING OF YEAR $10.08 $8.52 $6.11 $5.44 $5.44 Total revenue $0.20 $0.11 $0.20 $0.12 $0.10 Total expenses -$0.23 -$0.20 -$0.17 -$0.14 -$0.13 Realized gains (losses) for the year $2.52 $1.90 $1.86 $0.26 $0.15 Unrealized gains (losses) for the year -$0.82 -$0.07 $2.17 $0.40 $0.03 Total increase (decrease) from operations (b) $1.67 $1.74 $4.06 $0.64 $0.15 Total annual distributions (c) -$1.59 -$0.04 -$0.01 -$0.06 From net investment income (excluding dividends) -$0.04 From capital gains -$1.55 -$0.04 -$0.01 -$0.06 NET ASSETS, END OF YEAR $10.32 $10.08 $8.52 $6.11 $5.44 Net asset value ($000 s)* $1,414 $709 $130 $1,376 $792 Number of units outstanding* 137,088 70,374 15, , ,603 Management expense ratio (d) 1.82% 1.95% 2.24% 2.34% 2.33% Management expense ratio before waivers 1.82% 1.95% 2.29% 2.34% 2.34% Net asset value per unit $10.32 $10.08 $8.52 $6.11 $5.44 Note: This table is not intended to act as a continuity of opening and closing Net assets per unit. (a) This information is derived from the Fund's audited annual financial statements. (b) Net assets and distributions are based on the actual number of units outstanding at the relevant time. The increase/decrease from operations is based on the weighted average number of units outstanding over the year. For financial years beginning on or after January 1, 2013, the financial highlights are derived from the Fund's financial statements prepared in accordance with International Financial Reporting Standards. For financial years prior to 2013, the financial highlights were derived from the Fund's financial statements prepared in accordance with previous Canadian generally accepted accounting principles. (c) Distributions were paid in cash/reinvested in additional units of the Fund, or both. (d) Management expense ratio is the ratio of all fees and expenses (including Goods and Services Tax (GST) up to June 30, 2010 and Harmonized Sales Tax (HST) thereafter) and interest expense but excluding brokerage commission on securities transactions charged to the Fund to daily average net asset value on an annualized basis. (e) The Fund's portfolio turnover rate indicates how actively the Fund's portfolio advisor manages its portfolio investments. A portfolio turnover rate of 100% is equivalent to the Fund buying and selling all of the securities in its portfolio once in the course of the year. The higher a fund's portfolio turnover rate in a year, the greater the trading costs payable by the Fund in the year, and the greater the chance of an investor receiving taxable capital gains in the year. There is not necessarily a relationship between a high turnover rate and the performance of a Fund. (f) The trading expense ratio represents total commissions and other portfolio transaction costs expressed as an annualized percentage of daily average net asset value during the year. * This information is provided as at December 31.

8 Financial Highlights FOR THE YEARS ENDED DECEMBER 31 Class O(H)-Hedged NET ASSETS, BEGINNING OF YEAR $9.88 $8.88 $6.44 $5.81 $5.80 Total revenue -$1.47 -$0.43 -$0.78 $0.35 -$0.13 Total expenses $0.01 -$0.02 -$0.01 -$0.01 Realized gains (losses) for the year $2.21 $1.63 $1.69 $0.27 $0.20 Unrealized gains (losses) for the year -$0.60 -$0.18 $2.11 $0.36 -$0.16 Total increase (decrease) from operations (b) $0.15 $1.00 $3.02 $0.97 -$0.10 Total annual distributions (c) -$0.39 From net investment income (excluding dividends) From capital gains -$0.39 NET ASSETS, END OF YEAR $9.87 $9.88 $8.88 $6.44 $5.81 Net asset value ($000 s)* $364 $1,070 $902 $8,807 $8,282 Number of units outstanding* 36, , ,588 1,368,526 1,425,817 Management expense ratio (d) 0.11% 0.11% 0.03% 0.11% 0.12% Management expense ratio before waivers 0.11% 0.11% 0.08% 0.11% 0.13% Net asset value per unit $9.87 $9.88 $8.88 $6.44 $5.81 Class P(H)-Hedged NET ASSETS, BEGINNING OF YEAR $8.69 $7.97 $5.97 $5.36 $5.49 Total revenue -$1.30 -$0.31 -$0.32 $0.36 -$0.02 Total expenses -$0.20 -$0.21 -$0.18 -$0.15 -$0.14 Realized gains (losses) for the year $1.85 $1.38 $1.33 $0.27 $0.22 Unrealized gains (losses) for the year -$0.58 -$0.08 $1.16 $0.30 -$0.26 Total increase (decrease) from operations (b) -$0.23 $0.78 $1.99 $0.78 -$0.20 Total annual distributions (c) -$0.59 -$0.20 From net investment income (excluding dividends) From capital gains -$0.59 -$0.20 NET ASSETS, END OF YEAR $7.88 $8.69 $7.97 $5.97 $5.36 Net asset value ($000 s)* $252 $259 $267 $122 $56 Number of units outstanding* 31,994 29,746 33,482 20,490 10,389 Management expense ratio (d) 2.54% % 2.59% 2.60% Management expense ratio before waivers 2.54% % 2.59% 2.60% Net asset value per unit $7.88 $8.69 $7.97 $5.97 $5.36 Note: This table is not intended to act as a continuity of opening and closing Net assets per unit. (a) This information is derived from the Fund's audited annual financial statements. (b) Net assets and distributions are based on the actual number of units outstanding at the relevant time. The increase/decrease from operations is based on the weighted average number of units outstanding over the year. For financial years beginning on or after January 1, 2013, the financial highlights are derived from the Fund's financial statements prepared in accordance with International Financial Reporting Standards. For financial years prior to 2013, the financial highlights were derived from the Fund's financial statements prepared in accordance with previous Canadian generally accepted accounting principles. (c) Distributions were paid in cash/reinvested in additional units of the Fund, or both. (d) Management expense ratio is the ratio of all fees and expenses (including Goods and Services Tax (GST) up to June 30, 2010 and Harmonized Sales Tax (HST) thereafter) and interest expense but excluding brokerage commission on securities transactions charged to the Fund to daily average net asset value on an annualized basis. (e) The Fund's portfolio turnover rate indicates how actively the Fund's portfolio advisor manages its portfolio investments. A portfolio turnover rate of 100% is equivalent to the Fund buying and selling all of the securities in its portfolio once in the course of the year. The higher a fund's portfolio turnover rate in a year, the greater the trading costs payable by the Fund in the year, and the greater the chance of an investor receiving taxable capital gains in the year. There is not necessarily a relationship between a high turnover rate and the performance of a Fund. (f) The trading expense ratio represents total commissions and other portfolio transaction costs expressed as an annualized percentage of daily average net asset value during the year. * This information is provided as at December 31.

9 Financial Highlights FOR THE YEARS ENDED DECEMBER 31 Class F(H)-Hedged NET ASSETS, BEGINNING OF YEAR $9.82 $8.86 $6.55 $5.89 $5.92 Total revenue -$1.99 -$0.35 -$0.42 $0.38 -$0.04 Total expenses -$0.05 -$0.09 -$0.07 -$0.06 -$0.05 Realized gains (losses) for the year $1.70 $1.58 $1.53 $0.28 $0.23 Unrealized gains (losses) for the year -$0.49 -$0.17 $1.47 $0.42 -$0.28 Total increase (decrease) from operations (b) -$0.83 $0.97 $2.51 $1.02 -$0.14 Total annual distributions (c) -$0.34 From net investment income (excluding dividends) From capital gains -$0.34 NET ASSETS, END OF YEAR $9.41 $9.82 $8.86 $6.55 $5.89 Net asset value ($000 s)* $480 $403 $365 $469 $427 Number of units outstanding* 50,997 41,016 41,238 71,637 72,572 Management expense ratio (d) % 0.85% 0. Management expense ratio before waivers 1.01% 1.01% 0.96% 0.96% 0.91% Net asset value per unit $9.41 $9.82 $8.86 $6.55 $5.89 Class D(H)-Hedged NET ASSETS, BEGINNING OF YEAR $15.08 $13.91 $5.87 $5.26 $5.34 Total revenue -$2.90 -$1.07 -$0.98 $0.33 -$0.22 Total expenses -$0.41 -$0.43 -$0.16 -$0.16 -$0.15 Realized gains (losses) for the year $3.17 $2.81 $1.81 $0.25 $0.17 Unrealized gains (losses) for the year -$0.12 -$1.31 $2.23 $0.37 -$0.09 Total increase (decrease) from operations (b) -$0.26 $2.90 $0.79 -$0.29 Total annual distributions (c) -$0.17 From net investment income (excluding dividends) From capital gains -$0.17 NET ASSETS, END OF YEAR $14.55 $15.08 $13.91 $5.87 $5.26 Net asset value ($000 s)* $10 $22 $6 $1,121 $757 Number of units outstanding* 713 1, , ,926 Management expense ratio (d) 2.99% 2.95% 2.74% 2.84% 2.89% Management expense ratio before waivers 2.99% 2.95% 2.79% 2.84% 2. Net asset value per unit $14.55 $15.08 $13.91 $5.87 $5.26 Note: This table is not intended to act as a continuity of opening and closing Net assets per unit. (a) This information is derived from the Fund's audited annual financial statements. (b) Net assets and distributions are based on the actual number of units outstanding at the relevant time. The increase/decrease from operations is based on the weighted average number of units outstanding over the year. For financial years beginning on or after January 1, 2013, the financial highlights are derived from the Fund's financial statements prepared in accordance with International Financial Reporting Standards. For financial years prior to 2013, the financial highlights were derived from the Fund's financial statements prepared in accordance with previous Canadian generally accepted accounting principles. (c) Distributions were paid in cash/reinvested in additional units of the Fund, or both. (d) Management expense ratio is the ratio of all fees and expenses (including Goods and Services Tax (GST) up to June 30, 2010 and Harmonized Sales Tax (HST) thereafter) and interest expense but excluding brokerage commission on securities transactions charged to the Fund to daily average net asset value on an annualized basis. (e) The Fund's portfolio turnover rate indicates how actively the Fund's portfolio advisor manages its portfolio investments. A portfolio turnover rate of 100% is equivalent to the Fund buying and selling all of the securities in its portfolio once in the course of the year. The higher a fund's portfolio turnover rate in a year, the greater the trading costs payable by the Fund in the year, and the greater the chance of an investor receiving taxable capital gains in the year. There is not necessarily a relationship between a high turnover rate and the performance of a Fund. (f) The trading expense ratio represents total commissions and other portfolio transaction costs expressed as an annualized percentage of daily average net asset value during the year. * This information is provided as at December 31.

10 Financial Highlights FOR THE YEARS ENDED DECEMBER 31 Class E(H)-Hedged NET ASSETS, BEGINNING OF YEAR $14.51 $13.77 $5.88 $5.28 $5.41 Total revenue -$2.19 -$0.21 -$0.81 $0.32 -$0.26 Total expenses -$0.24 -$0.30 -$0.14 -$0.13 -$0.12 Realized gains (losses) for the year $3.10 $1.65 $1.85 $0.24 $0.16 Unrealized gains (losses) for the year -$0.94 $0.12 $2.27 $0.38 -$0.15 Total increase (decrease) from operations (b) -$0.27 $1.26 $3.17 $0.81 -$0.37 Total annual distributions (c) -$2.29 -$0.20 From net investment income (excluding dividends) From capital gains -$2.29 -$0.20 NET ASSETS, END OF YEAR $11.93 $14.51 $13.77 $5.88 $5.28 Net asset value ($000 s)* $6 $6 $6 $212 $172 Number of units outstanding* ,028 32,606 Management expense ratio (d) 1.84% 1.97% 2.23% 2.31% 2.34% Management expense ratio before waivers 1.84% 1.97% 2.28% 2.31% 2.34% Net asset value per unit $11.93 $14.51 $13.77 $5.88 $5.28 Class Z NET ASSETS, BEGINNING OF YEAR $ Total revenue Total expenses -$0.01 Realized gains (losses) for the year $0.96 Unrealized gains (losses) for the year -$0.56 Total increase (decrease) from operations (b) $0.39 From capital gains -$2.13 Total annual distributions (c) -$2.35 From net investment income (excluding dividends) -$0.22 From dividends NET ASSETS, END OF YEAR $11.06 Net asset value ($000 s)* $10 Number of units outstanding* 931 Management expense ratio (d) 0.00% Management expense ratio before waivers 0.00% Portfolio turnover rate (e) 77% Trading expense ratio (f) 0.04% Net asset value per unit $11.06 Note: This table is not intended to act as a continuity of opening and closing Net assets per unit. 1 Initial offering price. (a) This information is derived from the Fund's audited annual financial statements. (b) Net assets and distributions are based on the actual number of units outstanding at the relevant time. The increase/decrease from operations is based on the weighted average number of units outstanding over the year. For financial years beginning on or after January 1, 2013, the financial highlights are derived from the Fund's financial statements prepared in accordance with International Financial Reporting Standards. For financial years prior to 2013, the financial highlights were derived from the Fund's financial statements prepared in accordance with previous Canadian generally accepted accounting principles. (c) Distributions were paid in cash/reinvested in additional units of the Fund, or both. (d) Management expense ratio is the ratio of all fees and expenses (including Goods and Services Tax (GST) up to June 30, 2010 and Harmonized Sales Tax (HST) thereafter) and interest expense but excluding brokerage commission on securities transactions charged to the Fund to daily average net asset value on an annualized basis. (e) The Fund's portfolio turnover rate indicates how actively the Fund's portfolio advisor manages its portfolio investments. A portfolio turnover rate of 100% is equivalent to the Fund buying and selling all of the securities in its portfolio once in the course of the year. The higher a fund's portfolio turnover rate in a year, the greater the trading costs payable by the Fund in the year, and the greater the chance of an investor receiving taxable capital gains in the year. There is not necessarily a relationship between a high turnover rate and the performance of a Fund. (f) The trading expense ratio represents total commissions and other portfolio transaction costs expressed as an annualized percentage of daily average net asset value during the year. * This information is provided as at December 31.

11 Financial Highlights FOR THE YEARS ENDED DECEMBER 31 Class Z(H) NET ASSETS, BEGINNING OF YEAR $ Total revenue -$0.43 Total expenses Realized gains (losses) for the year $0.84 Unrealized gains (losses) for the year -$0.13 Total increase (decrease) from operations (b) $0.28 From capital gains -$2.03 Total annual distributions (c) -$2.03 From net investment income (excluding dividends) From dividends NET ASSETS, END OF YEAR $10.60 Net asset value ($000 s)* $10 Number of units outstanding* 950 Management expense ratio (d) 0.00% Management expense ratio before waivers 0.00% Portfolio turnover rate (e) 77% Trading expense ratio (f) 0.04% Net asset value per unit $10.60 Note: This table is not intended to act as a continuity of opening and closing Net assets per unit. 1 Initial offering price. (a) (b) (c) (d) (e) This information is derived from the Fund's audited annual financial statements. Net assets and distributions are based on the actual number of units outstanding at the relevant time. The increase/decrease from operations is based on the weighted average number of units outstanding over the year. For financial years beginning on or after January 1, 2013, the financial highlights are derived from the Fund's financial statements prepared in accordance with International Financial Reporting Standards. For financial years prior to 2013, the financial highlights were derived from the Fund's financial statements prepared in accordance with previous Canadian generally accepted accounting principles. Distributions were paid in cash/reinvested in additional units of the Fund, or both. Management expense ratio is the ratio of all fees and expenses (including Goods and Services Tax (GST) up to June 30, 2010 and Harmonized Sales Tax (HST) thereafter) and interest expense but excluding brokerage commission on securities transactions charged to the Fund to daily average net asset value on an annualized basis. The Fund's portfolio turnover rate indicates how actively the Fund's portfolio advisor manages its portfolio investments. A portfolio turnover rate of 100% is equivalent to the Fund buying and selling all of the securities in its portfolio once in the course of the year. The higher a fund's portfolio turnover rate in a year, the greater the trading costs payable by the Fund in the year, and the greater the chance of an investor receiving taxable capital gains in the year. There is not necessarily a relationship between a high turnover rate and the performance of a Fund. (f) The trading expense ratio represents total commissions and other portfolio transaction costs expressed as an annualized percentage of daily average net asset value during the year. * This information is provided as at December 31. Management Fees The following table shows the annual management fees for each unit class where such fees are paid by the Fund. The management fees are calculated based on the daily Net Asset Value of each applicable unit class of the Fund and paid monthly. The Funds do not pay management fees to the Manager in respect of the Class O Units, Class O(H) Units, Class R Units, Class R(H) Units, Class Z Units and Class Z(H) Units as applicable, as all compensation to the manager is paid pursuant to separate management agreements. Class O Class I Class P Class F Class R Class D Class E Class Z Management Fees n/a 0.85% 2.20% 0. 1 n/a % n/a Class O(H) Class I(H) Class P(H) Class F(H) Class R(H) Class D(H) Class E(H) Class Z(H) n/a 0.85% 2.20% 0. 1 n/a % n/a 1 Inclusive of Goods and Service Tax/Harmonized Sales Tax

12 Management Fees CONTINUED The following table shows the major services paid for as a percentage of the management fees above for each unit class of the Fund. Class O Class I Class P Class F Class R Class D Class E Class Z Investment management and n/a 100.0% 31.8% 100.0% n/a 30.0% 38.7% n/a other general administration* Trailer Commissions** n/a n/a 68.2% n/a n/a 70.0% 61.3% n/a Class O(H) Class I(H) Class P(H) Class F(H) Class R(H) Class D(H) Class E(H) Class Z(H) Investment management and n/a 100.0% 31.8% 100.0% n/a 30.0% 38.7% n/a other general administration* Trailer Commissions** n/a n/a 68.2% n/a n/a 70.0% 61.3% n/a * Investment management and other general administration includes all costs related to management, investment advisory services, marketing, fund promotion, general administration and profit. ** Where negotiated with a particular dealer on a case-by-case basis and by class, SEI may pay trailer commissions up to the maximum of 1.75% per annum, calculated based upon the average net asset value of the units of the Fund held in the accounts of clients of the participating dealers during a particular calendar quarter. Past Performance The performance information shown below assumes that all distributions made by the Fund in the periods shown were reinvested in additional units of the Fund. This performance information does not take into account sales, redemptions, distribution or other optional charges that would have reduced returns or performance. Past performance of the Fund does not necessarily indicate how it will perform in the future. YEAR-BY-YEAR RETURNS The following charts show the Fund s annual performance and illustrate how performance has changed from year to year. In percentage terms, the charts show how much an investment made on the first day of each financial year would have grown or decreased by the last day of each financial year. Class O Units Class I Units % 13.16%-9.54% % 9.49% 8.47% 3.33% 14.99% 20.86% 20.27% % 8.62% 7.47% 13.89% 19.38%19.12% 2.37% 12.14%-10.35% % Class P Units Class F Units % % % 7.01% 5.92% 0.84% 12.20% 41.27% 17.98% 17.40% % 9.97% %-25.29% 8.62% 7.62% 2.54% % 19.33% From April 2006 first issuance by Prospectus

13 YEAR-BY-YEAR RETURNS - CONTINUED Class D Units Class E Units 3.39% % 11.84% 40.79% 17.56% 16.99% 3.48% % 12.45% 39.52% 18.66% 18.22% From November 2010 first issuance by Prospectus 3 From November 2010 first issuance by Prospectus Class O(H) Units Class P(H) Units 11.02% % 17.53% 37.95% % 7.99% % 15.09% 33.58% 9.08% -2.55% From March 2010 first issuance by Prospectus 5 From March 2010 first issuance by Prospectus Class F(H) Units Class D(H) Units % 17.00% 35.29% 10.85% -4.20% % 1 80% -20% 2.69% % 14.83% % 8.41% From March 2010 first issuance by Prospectus 7 From November 2010 first issuance by Prospectus Class E(H) Units Class Z Units 140% % 8% 40% % % 15.19% 5.40% -1.87% % 4% 2% 0% 3.02% From November 2010 first issuance by Prospectus 9 From August 2015 first issuance by Prospectus

14 YEAR-BY-YEAR RETURNS - CONTINUED 8% Class Z(H) Units 6% 4% 2% 0% 2.31% From August 2015 first issuance by Prospectus

15 Annual Compound s The following table shows the Fund s historical compound returns for the period ended December 31, These returns are also compared to the returns of the Russell 1000 Index on the same compound basis. The Russell 1000 Index is a capitalization weighted index that measures the performance of 1,000 of the largest companies in the Russell 3000 Index. One Three s Five s Ten s Since Inception Inception Date Class O Units 20.27% 28.14% % 3.66% 24-Nov-99 Russell 1000 Index ($C) 20.67% 28.12% 19.86% 8.97% 4. Class I Units 19.12% 26.79% 18.89% 7.60% 4.54% 1-Feb-02 Russell 1000 Index ($C) 20.67% 28.12% 19.86% 8.97% 5.61% Class P Units 17.40% 25.08% 17.22% 6.07% 6.35% 31-Mar-03 Russell 1000 Index ($C) 20.67% 28.12% 19.86% 8.97% 8.95% Class F Units 19.33% 27.11% 19.15% n/a 7.78% 17-Apr-06 Russell 1000 Index ($C) 20.67% 28.12% 19.86% n/a 8.96% Class D Units 16.99% 24.64% 16.81% n/a 16.95% 1-Nov-10 Russell 1000 Index ($C) 20.67% 28.12% 19.86% n/a 20.17% Class E Units 18.22% 25.09% 17.33% n/a 17.48% 1-Nov-10 Russell 1000 Index ($C) 20.67% 28.12% 19.86% n/a 20.17% Class Z Units n/a n/a n/a n/a 3.02% 14-Aug-15 Russell 1000 Index ($C) n/a n/a n/a n/a 3.82% Class O(H) Units -0.15% 15.31% 12.51% n/a 12.65% 6-Mar-10 Russell 1000 Index Hedge ($C) 0.61% 15.36% 12.59% n/a 13.04% Class P(H) Units -2.55% 12.40% 9.79% n/a 9.79% 6-Mar-10 Russell 1000 Index Hedge ($C) 0.61% 15.36% 12.59% n/a 13.04% Class F(H) Units -4.20% 12.84% 10.80% n/a 11.44% 6-Mar-10 Russell 1000 Index Hedge ($C) 0.61% 15.36% 12.59% n/a 13.04% Class D(H) Units % 22.88% n/a 22.66% 1-Nov-10 Russell 1000 Index Hedge ($C) 0.61% 15.36% 12.59% n/a 13.65% Class E(H) Units -1.87% 34.31% 22.14% n/a 22.35% 1-Nov-10 Russell 1000 Index Hedge ($C) 0.61% 15.36% 12.59% n/a 13.65% Class Z(H) Units n/a n/a n/a n/a 2.31% 21-Aug-15 Russell 1000 Index Hedge ($C) n/a n/a n/a n/a 3.38%

16 Summary of Investment Portfolio AS AT DECEMBER 31, 2015 The Summary of Investment Portfolio may change due to ongoing transactions of the Fund. Quarterly updates are available at seic.com within 60 days after each quarter end. PORTFOLIO BREAKDOWN Sector % of Total Net Assets TOP 25 HOLDINGS Holding % of Total Net Assets Information Technology 24.1% Financials 17.7% Healthcare 16.8% Consumer Discretionary 11.0% Industrials 7.7% Consumer Staples 7.4% Energy 5.2% Cash and Cash Equivalents 3.8% Materials 2.5% Utilities 2.4% Telecommunications 1.4% Total 100.0% Microsoft Corporation 2.1% Visa Inc 1.9% Alphabet Inc 1.7% JPMorgan Chase & Co 1.7% Citigroup Inc 1.6% Allergan Plc 1.5% Johnson & Johnson 1.5% Pfizer Inc 1.5% Celgene Corporation 1.3% Amazon.Com Inc 1.3% Mastercard Inc 1.2% American International Group Inc 1.1% Facebook Inc 1.1% Tripadvisor Inc 0.9% Philip Morris International Inc 0.9% Alphabet Inc 0.9% Bristol-Myers Squibb Co 0.9% Qualcomm Incorporated 0.9% Ebay Inc 0.8% Alexion Pharmaceuticals, Inc. 0.8% Costco Wholesale Corporation 0.8% Liberty Interactive Corp 0.8% NXP Semiconductors Nv 0.8% Intel Corporation 0.8% Walgreens Boots Alliance Inc 0.7% Total 29.5% Total Net Asset Value $1,036,913,523 The Fund may invest in securities of other mutual funds managed by SEI. You may view the prospectus and other information about the underlying SEI Funds at seic.com or sedar.com.