BMO SelectTrust Balanced Portfolio (the “Fund”)€¦ · MANAGEMENT DISCUSSION OF FUND...

For the 12-month period ended December 31, 2019 (the “Period”)

Manager: BMO Investments Inc. (the “Manager” or “BMOII”)

Portfolio Manager: BMO Asset Management Inc., Toronto, Ontario (the “portfolio manager”)

2019 Annual Management Report of Fund Performance

This annual management report of fund performance contains financial highlights but does not contain the complete annual financial statements of the Fund. If the annual financial statements of the Fund do not accompany the mailing of this report, you may obtain a copy of the annual financial statements at your request, and at no cost, by calling 1-800-668-7327 and 1-800-665-7700, by writing to us at BMO Investments Inc., First Canadian Place, 43rd Floor, 100 King Street West, Toronto, Ontario, M5X 1A1 or by visiting our website at www.bmo.com/gam/ca and www.bmo.com/mutualfunds or SEDAR at www.sedar.com. You may also contact us using one of these methods to request a copy of the Fund’s interim financial report, proxy voting policies and procedures, proxy voting disclosure record and/or quarterly portfolio disclosure.

BMO SelectTrust® Balanced Portfolio (the “Fund”)

MANAGEMENT DISCUSSION OF FUND PERFORMANCE

Results of Operations During the Period, the Fund’s total net asset value changed from approximately $4,650 million to approximately $4,320 million. Series A units of the Fund returned 11.81%. Please see the Past Performance section for information on the performance returns of the Fund’s other series.

During the Period, equity returns were robust, although a stronger Canadian dollar (“CAD”) has detracted from most international equity markets’ returns. U.S. equities, as measured by the S&P 500 Index, led with a return of 25.2% in CAD terms, followed by Canadian equities, as measured by the S&P/TSX Composite Index, which returned 22.9%. International equities, as measured by the MSCI EAFE Index, returned 16.9% in Canadian-dollar terms.

The Period began with equities rebounding from late 2018, which were primarily driven by a sharp reversal in U.S. Federal Reserve Board (“Fed”) commentary, from hawkish to dovish, citing the increased risks to the economy created by global trade disruptions. Other central banks similarly adopted a benign tone, resulting in a rebound in 10-year rates. Oil prices similarly recovered to the US$60 per barrel range, with the Western Canada Select-West Texas Intermediate spread narrowing back to its long-term average of US$13-$15 per barrel, benefitting Energy stocks. Continued strong job creation and a stabilization of housing prices and new construction also benefitted Canadian equities, as well as a slightly stronger Canadian dollar relative to the U.S. dollar.

Investment Objective and Strategies The Fund’s objective is to generate a balance of income and capital appreciation by investing primarily in securities of Canadian and foreign funds within the BMO Mutual Funds family of mutual funds.

The portfolio manager employs a strategic asset allocation strategy and may invest up to 100% of the Fund’s assets in securities of mutual funds and/or exchange traded funds, including funds that are managed by the Manager or one of its affiliates or associates. The portfolio manager allocates assets among the underlying mutual funds and/or exchange traded funds, based on each underlying fund’s investment objectives and strategies, among other factors. The Fund’s asset class weightings will be approximately 40% in fixed income securities and 60% in equity securities.

Risk The risks associated with an investment in the Fund remain as disclosed in the Fund’s most recent simplified prospectus or any amendments thereto and fund facts. During the Period there were no changes to the Fund that materially affected the overall risk level associated with an investment in the Fund. On May 10, 2019, the Manager reviewed the Fund using the standardized investment risk classification methodology prescribed by National Instrument 81-102 Investment Funds and determined that the risk rating of the Fund had not changed. The Manager reviews the Fund’s investment risk level and reference index, if any, at least annually.

Spring brought a return to worry, as the U.S. announced their intentions to increase tariffs on Chinese goods and Canada was caught in the middle of the arrest of Huawei Chief Financial Officer in Vancouver at the direction of the U.S. Attorney General, which pursued extradition under charges of investor fraud. The coincidence of this with U.S. efforts to sanction the use of Huawei products by America and its allies could not be ignored. Oil fell sharply on concerns of slowing global growth before settling into a tight range of US$55-US$60 per barrel until mid-September’s drone attacks on Saudi oil facilities.

By September, trade tensions remained a focus as the back and forth tone of developments led to a sharp rotation from equities to fixed income, driving yields on 10-year U.S. treasuries even lower. This downward move in rates was compounded by two cuts in the U.S. Federal Reserve Board (“Fed”) rate, lowering the upper target rate from 2.5 to 2.0%. This resulted in a brief inversion of the 10-year/2-year bond yield curve, the most widely watched leading indicator of potential forthcoming recession (although, historical with an average lag of 12-18 months). The Fed later cut rates by 25 basis points (“bps”) for a third time during the Period as the U.S. economy slowed with the U.S.-China trade disputes and a slowing global growth. Although, financial markets focussed on rates and slope of the yield curve, other headlines were dominated by the initiation of an impeachment inquiry of President Trump by the Democratic Party.

The European Central bank also contributed to the falling rate environment, lowering their overnight lending rate by 10 bps and announcing the restart of their monthly asset purchases. Markets were less than impressed, as German Manufacturing indices continued to show economic contraction, with the likelihood of a eurozone recession increasing. The U.K. added to worries as Brexit drama reached a head, with prime minister, Boris Johnson, proroguing parliament to avoid having his intent for a no-deal departure blocked. His efforts were thwarted by the upper courts, allowing parliament to reconvene, contributing to the ongoing uncertainty. This was ultimately resolved following the December election, where the Conservatives cemented as majority and paved the way for a January 31, 2020 official departure of the U.K., from the European Union. Both the U.K. equity market and pound sterling responded in approval, with each rising sharply post-election.

Among fixed income markets, rates fell globally throughout the Period, with the benchmark 10-year U.S. treasury bonds declining 77 bps to end at 1.92%. Canadian bonds, as measured by FTSE Canada Universe Index, returned 6.9% as 10-year Canadian Bond yields decreased from 1.95% to

1.64%. Performance was led by long-term bonds. While many central banks cut interest rates, the Bank of Canada held interest rates steady during the Period.

On an absolute basis, German bunds fell 43 bps to leave the 10-year yield at a -0.19%. The yield on the 10-year Government of Japan bond rose exactly 1 bps to finish the year at -0.01%. This brings into question the viability of maintaining global growth exclusively through monetary policy with zero no longer the practical lower bound for bond yields. There has been greater volatility of what was once considered the “safe” asset class as bond traders speculate on the question of “how low can one go?” The persistence of tame inflation and hence accommodative central bank policies will likely keep rates low for the foreseeable future, barring a major unforeseen global shock.

The Manager confirms that the Fund did not borrow money during the Period.

Recent Developments There is hope that with the signed “phase one” trade deal between the U.S. and China on January 15, 2020 that global trade will reaccelerate, industrial output data will improve and there would be overall global growth. However, given the lack of rollback in U.S. tariffs, and uncertainty over China meeting stated purchase quotas, expectations of a v-shaped upturn in equity markets are limited. Adding to investor worry, the military escalation between the U.S. and Iran and the initiation of the impeachment trial of President Trump adds to concerns over ambitious earnings growth projections and a continued slowing U.S. economy. The portfolio manager remains overweight in equities, with a continued bias to U.S. equities versus an underweight in Europe, Australasia and Far East. They are largely neutral on Canadian equities relative to their global peers and are more optimistic regarding emerging markets equities in light of what appears to be a bottoming in weak global manufacturing data and due to trade tensions.

Overall, many of the fundamental economic and valuation arguments for positive gains in equities for 2020 remain, including strong employment, consumer spending and easy monetary policy (interest rate cuts to stimulate economic growth). In Canada, despite a slowdown in 2019’s torrid pace of job creation, the economy is still expected to grow at 1.5%, with concerns over high consumer leverage and housing costs being forefront.

On January 1, 2019, Marlene Davidge was appointed as Chair of the independent review committee (“IRC”). On April 4, 2019, the Fund’s IRC was decreased to four members when Louise Vaillancourt retired as an IRC member.

BMO SelectTrust Balanced Portfolio

RELATED PARTY TRANSACTIONS

BMO Investments Inc., an indirect, wholly-owned subsidiary of Bank of Montreal (“BMO”), is the Manager of the Fund. From time to time, the Manager may, on behalf of the Fund, enter into transactions or arrangements with, or involving, other members of BMO Financial Group, or certain other persons or companies that are related or connected to the Manager (each a “Related Party”). The purpose of this section is to provide a brief description of any transaction involving the Fund and a Related Party.

Portfolio Manager The Fund’s portfolio manager is BMO Asset Management Inc. (“BMOAM”), an affiliate of the Manager. BMOAM provides portfolio management services to the Fund. BMOAM receives from the Fund a management fee based on assets under management, calculated daily and payable monthly.

Administration Fee and Operating Expenses The Fund pays a fixed administration fee to the Manager in respect of each series other than Series T5, Series T8, Classic F Series, Series C and Series I. The Manager in return pays the operating expenses of these series of the Fund, other than certain specified expenses that are paid directly by the Fund (“Fund Expenses”). Fund Expenses include expenses incurred in respect of preparing and distributing fund facts, interest or other borrowing expenses, all reasonable costs and expenses incurred in relation to compliance with National Instrument 81-107 Independent Review Committee for Investment Funds, including compensation and expenses payable to the Fund’s IRC members, taxes to which the Fund is or might be subject, and costs associated with compliance with any new governmental or regulatory requirement introduced after December 1, 2007. Fund Expenses are allocated proportionately among the relevant series. If the Fund Expenses are specific to a series, the Fund Expenses are allocated to that series. The fixed administration fee is calculated as a fixed annual percentage of the average net asset value of each relevant series of the Fund. The Fund pays all the operating expenses of Series T5, Series T8, Classic F Series and Series C. These operating expenses are allocated proportionately among the series. Separate fees and expenses are negotiated and paid by each Series I investor. Further details about the fixed administration fee and/or Fund Expenses can be found in the Fund’s most recent simplified prospectus at www.bmo.com/gam/ca and www.bmo.com/mutualfunds or www.sedar.com.


Buying and Selling Securities During the Period, the Fund relied on standing instructions provided by the IRC for any of the following related party transactions that may have occurred in the Fund:

(a) investments in securities of BMO, an affiliate of the Manager;

(b) investments in a class of non-government debt securities and/or equity securities of an issuer during the period of distribution of those securities to the public and/or the 60-day period following the distribution period where BMO Nesbitt Burns Inc., an affiliate of the Manager, or any other affiliate of the Manager acted as an underwriter in the distribution;

(c) trades in debt securities in the secondary market with BMO Nesbitt Burns Inc., or any other affiliate of the Manager, who is trading with the Fund as principal; and

(d) inter-fund trades

(each, a “Related Party Transaction”).

In accordance with the IRC’s standing instructions, in making a decision to cause the Fund to make a Related Party Transaction, the Manager and portfolio manager of the Fund, are required to comply with the Manager’s written policies and procedures governing the Related Party Transaction and report periodically to the IRC, describing each instance that the Manager relied on the standing instructions and its compliance or non-compliance with the governing policies and procedures. The governing policies and procedures are designed to ensure that each Related Party Transaction (i) is made free from any influence of BMO, BMO Nesbitt Burns Inc. or an associate or affiliate of BMO and/or BMO Nesbitt Burns Inc. and without taking into account any considerations relevant to BMO, BMO Nesbitt Burns Inc. or an associate or affiliate of BMO and/or BMO Nesbitt Burns Inc., (ii) represents the business judgment of the Manager, uninfluenced by considerations other than the best interests of the Fund, and (iii) achieves a fair and reasonable result for the Fund.

Brokerage Commissions The Fund pays standard brokerage commissions at market rates to BMO Nesbitt Burns Inc., an affiliate of the Manager, for executing a portion of its trades. The brokerage commissions charged to the Fund (excluding exchange and other fees) during the periods indicated, were as follows:

Period ended Period ended Dec. 31, 2019 Dec. 31, 2018

Total brokerage commissions $ 352,910 258,528

Brokerage commissions paid to BMO Nesbitt Burns Inc. $ 45,396 72,618

Distribution Services The Manager markets and distributes the Fund through Bank of Montreal branches and/or (depending on the series) through registered dealers and brokers, including BMO InvestorLine Inc. and BMO Nesbitt Burns Inc., both affiliates of the Manager. The Manager may pay to these affiliates a service fee called a “trailing commission” based on the average daily value of the units and/or shares that are held in investor accounts. This service fee is paid monthly or quarterly and varies by purchase option and by series.

Management Fees The Manager is responsible for the day-to-day management of the business and operations of the Fund. The Manager monitors and evaluates the Fund’s performance, pays for the investment advice provided by the Fund’s portfolio manager and provides certain administrative services required by the Fund. As compensation for its services, the Manager is entitled to receive a management fee payable monthly, calculated based on the daily net asset value of each series of the Fund at the annual rate set out in the table below.

As a Percentage of Management Fees

General Annual Administration, Management Dealer Investment Fee Rate* Compensation Advice and Profit % % %

Series A Units 1.90 52 48 Advisor Series Units 1.90 50 50 Series T5 Units 1.90 45 55 Series T6 Units 1.90 53 47 Series T8 Units 1.90 43 57 Series F Units 0.90 0 100 Series F6 Units 0.90 0 100 Series D Units 1.15 22 78 Series I Units — — — Series C Units 1.90 44 56 Classic F Series Units 0.85 0 100

* For Series I Units, separate Series I fees are negotiated and paid by each Series I investor. Since the Manager pays no distribution, service or trailing fees on Series I Units, the combined management and administrative fees for Series I Units will not exceed the management fee charged for Advisor Series or Series A Units.

FINANCIAL HIGHLIGHTS

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 periods indicated.

The Fund’s Net Assets per Unit (1) Series A Units Periods ended Dec. 31 2019 2018 2017 2016 2015

Net assets, beginning of period $ 11.06 12.25 11.58 11.41 11.33

Increase (decrease)

from operations:

Total revenue $ 0.43 0.72 0.65 0.56 0.80

Total expenses(2) $ -0.28 -0.28 -0.28 -0.27 -0.27

Realized gains (losses)

for the period $ 0.09 0.11 0.16 0.00 0.19

Unrealized gains (losses)

for the period $ 1.10 -1.15 0.43 0.10 -0.19

Total increase (decrease)

from operations(3) $ 1.34 -0.60 0.96 0.39 0.53

Distributions:

From income

(excluding dividends) $ — — — — 0.15

From dividends $ 0.09 0.03 0.02 0.00 0.05

From capital gains $ — 0.55 0.25 0.19 0.39

Return of capital $ 0.01 0.00 0.02 — —

Total annual distributions(4) $ 0.10 0.58 0.29 0.19 0.59

Net assets, end of period $ 12.27 11.06 12.25 11.58 11.41

Advisor Series Units Periods ended Dec. 31 2019 2018 2017 2016 2015


Increase (decrease)

from operations:

Total revenue $ 0.44 0.74 0.66 0.57 0.80

Total expenses(2) $ -0.28 -0.28 -0.28 -0.26 -0.28


for the period $ 0.08 0.13 0.16 0.01 0.20


for the period $ 1.06 -1.28 0.41 0.10 -0.18


from operations(3) $ 1.30 -0.69 0.95 0.42 0.54

Distributions:

From income


From dividends $ 0.10 0.05 0.03 0.02 0.06


Return of capital $ 0.01 — 0.02 — 0.01




Series T5 Units Periods ended Dec. 31 2019 2018 2017 2016 2015


Increase (decrease)

from operations:

Total revenue $ 0.30 0.51 0.48 0.44 0.65

Total expenses(2) $ -0.19 -0.20 -0.20 -0.20 -0.22


for the period $ 0.03 0.06 0.10 0.00 0.11


for the period $ 0.78 -0.69 0.39 0.04 0.05


from operations(3) $ 0.92 -0.32 0.77 0.28 0.59

Distributions:

From income


From dividends $ 0.07 — 0.00 — 0.05


Return of capital $ 0.32 0.45 0.45 0.47 0.32





Increase (decrease)

from operations:

Total revenue $ 0.30 0.54 0.52 0.48 0.72

Total expenses(2) $ -0.20 -0.22 -0.23 -0.23 -0.25


for the period $ 0.06 0.08 0.13 0.00 0.16


for the period $ 0.83 -0.85 0.35 0.03 -0.12


from operations(3) $ 0.99 -0.45 0.77 0.28 0.51

Distributions:

From income


From dividends $ 0.06 0.01 0.02 — 0.06








Increase (decrease)

from operations:

Total revenue $ 0.19 0.34 0.33 0.31 0.47

Total expenses(2) $ -0.11 -0.12 -0.13 -0.14 -0.16


for the period $ 0.03 0.04 0.08 0.00 0.07


for the period $ 0.48 -0.51 0.23 0.00 0.05


from operations(3) $ 0.59 -0.25 0.51 0.17 0.43

Distributions:

From income


From dividends $ 0.05 0.02 0.02 — 0.04





Series F Units Periods ended Dec. 31 2019 2018 2017 2016 2015(5)

Net assets, beginning of period $ 10.09 11.10 10.38 10.15 10.00*

Increase (decrease)

from operations:

Total revenue $ 0.40 0.67 0.66 0.56 0.02

Total expenses(2) $ -0.14 -0.14 -0.13 -0.12 -0.01


for the period $ 0.07 0.12 0.22 0.05 0.66


for the period $ 1.00 -1.19 0.25 0.23 -0.61


from operations(3) $ 1.33 -0.54 1.00 0.72 0.06

Distributions:

From income

(excluding dividends) $ — 0.10 0.08 0.06 0.05

From dividends $ 0.22 0.08 0.05 0.05 0.01






Series F6 Units Periods ended Dec. 31 2019 2018 2017 2016)

(6)

Net assets, beginning of period $ 8.88 10.28 10.06 10.00)*

Increase (decrease)

from operations:

Total revenue $ 0.32 0.60 0.63 0.46

Total expenses(2) $ -0.11 -0.12 -0.12 -0.09


for the period $ 0.07 0.10 0.24 0.27


for the period $ 0.89 -1.02 0.31 -0.33


from operations(3) $ 1.17 -0.44 1.06 0.31

Distributions:

From income

(excluding dividends) $ — 0.07 0.13 0.16

From dividends $ 0.16 0.06 0.08 0.13

From capital gains $ — 0.40 0.11 0.03

Return of capital $ 0.37 0.49 0.40 0.11

Total annual distributions(4) $ 0.53 1.02 0.72 0.43

Net assets, end of period $ 9.49 8.88 10.28 10.06

Series D Units Periods ended Dec. 31 2019 2018 2017 2016)

(6)

Net assets, beginning of period $ 10.13 11.04 10.34 10.00)*

Increase (decrease)

from operations:

Total revenue $ 0.72 0.70 0.64 0.43

Total expenses(2) $ -0.17 -0.16 -0.16 -0.11


for the period $ 0.08 0.16 0.21 0.19


for the period $ 0.86 -1.39 0.23 -0.19


from operations(3) $ 1.49 -0.69 0.92 0.32

Distributions:

From income

(excluding dividends) $ — 0.06 0.06 0.05

From dividends $ 0.16 0.05 0.05 0.05

From capital gains $ — 0.33 0.14 0.05

Return of capital $ 0.01 0.01 0.00 —

Total annual distributions(4) $ 0.17 0.45 0.25 0.15

Net assets, end of period $ 11.25 10.13 11.04 10.34

Series I Units Periods ended Dec. 31 2019 2018 2017 2016 2015


Increase (decrease)

from operations:

Total revenue $ 0.49 0.71 0.74 0.42 0.86

Total expenses(2) $ 0.01 0.01 0.01 0.00 0.01


for the period $ 0.08 0.11 0.43 -0.07 0.38


for the period $ 0.89 -1.20 0.09 -0.25 -0.21


from operations(3) $ 1.47 -0.37 1.27 0.10 1.04

Distributions:

From income

(excluding dividends) $ 0.10 0.24 0.08 0.18 0.31

From dividends $ 0.25 0.07 0.04 0.04 0.05


Return of capital $ 0.01 0.01 — — 0.01



Series C Units Periods ended Dec. 31 2019 2018 2017 2016 2015


Increase (decrease)

from operations:

Total revenue $ 0.49 0.80 0.72 0.62 0.87

Total expenses(2) $ -0.29 -0.29 -0.29 -0.28 -0.29


for the period $ 0.08 0.12 0.17 0.00 0.15


for the period $ 1.24 -1.25 0.52 0.04 0.09


from operations(3) $ 1.52 -0.62 1.12 0.38 0.82

Distributions:

From income


From dividends $ 0.14 0.05 0.04 0.01 0.07


Return of capital $ 0.01 — 0.03 0.00 0.02




Advisor Series Units Periods ended Dec. 31 2019 2018 2017 2016 2015

Total net asset value (000s)(1) $ 51,671 49,110 36,944 31,328 23,619

Number of units

outstanding (000s)(1) 4,185 4,409 3,013 2,704 2,068

Management expense ratio(2) % 2.38 2.36 2.36 2.37 2.39

Management expense ratio

before waivers or absorptions % 2.38 2.36 2.36 2.37 2.39

Trading expense ratio(3) % 0.04 0.05 0.06 0.08 0.07

Portfolio turnover rate(4) % 11.14 26.95 25.29 35.10 10.91

Net asset value per unit $ 12.35 11.14 12.26 11.58 11.42


Total net asset value (000s)(1) $ 445 454 816 1,000 1,047

Number of units

outstanding (000s)(1) 54 59 90 111 112









Number of units

outstanding (000s)(1) 6,550 8,602 8,772 8,080 7,902









Number of units

outstanding (000s)(1) 252 257 293 306 347







Classic F Series Units Periods ended Dec. 31 2019 2018 2017 2016 2015


Increase (decrease)

from operations:

Total revenue $ 0.51 0.77 0.73 0.63 0.90

Total expenses(2) $ -0.16 -0.18 -0.17 -0.12 -0.20


for the period $ 0.15 0.13 0.15 0.00 0.20


for the period $ 1.20 -1.26 0.44 0.07 -0.10


from operations(3) $ 1.70 -0.54 1.15 0.58 0.80

Distributions:

From income

(excluding dividends) $ — 0.10 0.07 0.11 0.25

From dividends $ 0.25 0.08 0.08 0.07 0.07


Return of capital $ 0.01 0.01 0.07 — 0.02



* Initial net assets. (1) The information is derived from the Fund’s audited financial statements. (2) Includes commissions and other portfolio transaction costs and withholding taxes. (3) 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 financial period. This table is not intended to be a reconciliation of beginning to ending net assets per unit.

(4) Distributions were paid in cash or reinvested in additional units of the Fund, or both, where applicable. (5) The information shown in this column is for the period beginning November 16, 2015 (the series’

inception date) and ending December 31, 2015. (6) The information shown in this column is for the period beginning April 19, 2016 (the series’ inception

date) and ending December 31, 2016.

Ratios and Supplemental Data Series A Units Periods ended Dec. 31 2019 2018 2017 2016 2015

Total net asset value (000s)(1) $ 4,146,255 4,480,711 4,760,700 4,438,967 3,938,468

Number of units

outstanding (000s)(1) 338,020 405,055 388,783 383,431 345,195







Series C Units Periods ended Dec. 31 2019 2018 2017 2016 2015


Number of units

outstanding (000s)(1) 601 704 791 892 1,033







Classic F Series Units Periods ended Dec. 31 2019 2018 2017 2016 2015

Total net asset value (000s)(1) $ 146 129 135 149 143

Number of units

outstanding (000s)(1) 10 10 10 11 11







+ Operating expenses are paid by BMOII and management fees are paid directly to BMOII as negotiated with the investor.

(1) This information is provided as at December 31 of the period shown. (2) The management expense ratio of a particular series is calculated based on all expenses allocated to the

series, as applicable, including all taxes and interest expenses but excluding brokerage commissions and other portfolio transaction costs, divided by the average daily net asset value of that series, annualized.

BMOII may reduce the effective management fees payable by some unitholders by reducing the management fees it charges to the Fund and directing the Fund to make management fees distributions to these unitholders in amounts equal to the amounts of the management fees reduction. The management expense ratio does not take into account the reduction in management fees due to management fees distributions to unitholders.

BMOII absorbed certain expenses or waived certain fees otherwise payable by a series. In doing so, BMOII attempts to maintain the overall MER of the Fund at a rela tively consistent level. BMOII may discontinue the absorption or waiver at any time.

(3) The trading expense ratio represents the total commissions and other portfolio transaction costs expressed as an annualized percentage of daily average net asset value during the period.

(4) The Fund’s portfolio turnover rate indicates how actively the Fund’s portfolio manager 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.

(5) The information shown in this column is for the period beginning November 16, 2015 (the series’ inception date) and ending December 31, 2015.

(6) The information shown in this column is for the period beginning April 19, 2016 (the series’ inception date) and ending December 31, 2016.

Series F Units Periods ended Dec. 31 2019 2018 2017 2016 2015(5)

Total net asset value (000s)(1) $ 30,570 31,223 24,942 7,738 675

Number of units

outstanding (000s)(1) 2,734 3,094 2,247 745 67







Series F6 Units Periods ended Dec. 31 2019 2018 2017 2016)

(6)

Total net asset value (000s)(1) $ 2,482 3,000 3,030 626

Number of units

outstanding (000s)(1) 262 338 295 62

Management expense ratio(2) % 1.27 1.28 1.25 1.30


before waivers or absorptions % 1.27 1.28 1.25 1.36

Trading expense ratio(3) % 0.04 0.05 0.06 0.08

Portfolio turnover rate(4) % 11.14 26.95 25.29 35.10

Net asset value per unit $ 9.49 8.88 10.28 10.06

Series D Units Periods ended Dec. 31 2019 2018 2017 2016)

(6)

Total net asset value (000s)(1) $ 20,253 4,452 1,794 539

Number of units

outstanding (000s)(1) 1,800 440 163 52

Management expense ratio(2) % 1.56 1.54 1.53 1.58


before waivers or absorptions % 1.56 1.54 1.53 1.62

Trading expense ratio(3) % 0.04 0.05 0.06 0.08

Portfolio turnover rate(4) % 11.14 26.95 25.29 35.10

Net asset value per unit $ 11.25 10.13 11.04 10.34

Series I Units Periods ended Dec. 31 2019 2018 2017 2016 2015

Total net asset value (000s)(1) $ 2,050 1,231 1,066 23 774

Number of units

outstanding (000s)(1) 170 114 89 2 65

Management expense ratio+ % — — — — —


before waivers or absorptions+ % — — — — —






Series T6 Units

Series T5 Units

Series T8 Units

2013(2)-30%

-15%

0%

15%

30%

2.12

201320112010-30%

-15%

0%

15%

30%

12.22

2.988.13

2012

7.96

201320112010-30%

-15%

0%

15%

30%

12.19

2.898.22

2012

7.95

2019

11.80

2019

12.00

2019

11.83

2014

10.35

2015

5.96

2015

6.12

2015

6.05

2018

-4.95

2018

-4.77

2018

-4.81

2017

8.28

2017

8.48

2017

8.42

2016

3.13

2016

3.29

2016

3.22

2014

10.16

2014

10.17

Advisor Series Units

2013(1)-30%

-15%

0%

15%

30%

5.83

Series A Units

2013(1)-30%

-15%

0%

15%

30%

5.86

2019

11.83

2019

11.81

2014

10.33

2015

5.95

2015

5.96

2018

-4.90

2018

-4.94

2017

8.32

2017

8.29

2016

3.15

2016

3.13

2014

10.35

PAST PERFORMANCE

The Fund’s performance information assumes that all distributions made by the Fund in the periods shown were used to purchase additional units or shares of the Fund and is based on the net asset value of the Fund.

The performance information does not take into account sales, redemption, distribution or other optional charges that, if applicable, would have reduced returns or performance. Please remember, how the Fund has performed in the past does not indicate how it will perform in the future.

The returns of each series may differ from one another for a number of reasons, including if the series was not issued and outstanding for the entire reporting period and because of the different levels of fees and expenses allocated and payable by each series.

Year-by-Year Returns The following bar charts show the performance for each series of the Fund for each of the financial years shown. The charts show in percentage terms how an investment made on the first day of each financial year would have increased or decreased by the last day of the financial year.


Series F Units

-30%

-15%

0%

15%

30%

2019

13.05

2015(3)

2.16

Series F6 Units

-30%

-15%

0%

15%

30%

2019

13.08

Series D Units

-30%

-15%

0%

15%

30%

2019

12.76

2018

-3.89

2018

-3.88

2018

-4.13

2017

9.49

2017

9.53

2017

9.23

2016

4.30

2016(4)

5.89

2016(4)

5.76

Classic F Series Units

20132011-30%

-15%

0%

15%

30%

12.15

2.918.29

2012

7.93

Series C Units

Series I Units

2013(1)-30%

-15%

0%

15%

30%

6.79

201320112010

2010

-30%

-15%

0%

15%

30%

13.35

3.979.24

2012

9.09

(1) For the period beginning with the performance launch date of August 12, 2013 to December 31, 2013.(2) For the period beginning with the performance launch date of November 4, 2013 to December 31, 2013.(3) For the period beginning with the performance launch date of November 16, 2015 to December 31, 2015.(4) For the period beginning with the performance launch date of April 28, 2016 to December 31, 2016.

2019

12.03

2019

14.52

2019

13.11

2014

10.15

2014

12.99

2015

6.15

2015

8.51

2015

6.84

2018

-4.75

2018

-2.64

2018

-3.93

2017

8.50

2017

10.90

2017

9.44

2016

3.31

2016

5.63

2016

4.54

2014

11.78

Annual Compound Returns This table compares the historical annual compound returns of the Fund with its blended benchmark (composed of 40% FTSE Canada Universe Bond Index, 20% S&P/TSX Composite Total Return Index (“S&P/TSX”) and 40% MSCI World Index (C$)), in addition to the FTSE Canada Universe Bond Index, a broad-based index.

The FTSE Canada Universe Bond Index is a broad measure of the total return of Canadian bonds that mature in more than one year.

The S&P/TSX is a market capitalization-weighted index of securities of the largest and most liquid companies on the Toronto Stock Exchange.

The MSCI World Index (C$) is a broad-based global index that represents large- and mid-cap equity performance across 23 developed markets countries. It covers approximately 85% of the free float-adjusted market capitalization in each country.

Series A Units 1 3 5 10 Since year years years years Inception(1)

BMO SelectTrust Balanced Portfolio % 11.81 4.80 4.69 6.21

Blended Benchmark % 16.11 7.66 7.35 8.87

FTSE Canada Universe Bond Index % 6.87 3.57 3.18 3.89

Advisor Series Units 1 3 5 10 Since year years years years Inception(1)




Series T5 Units 1 3 5 10 Since year years years years Inception




Series T6 Units 1 3 5 10 Since year years years years Inception(2)




Series T8 Units 1 3 5 10 Since year years years years Inception




Series F Units 1 3 5 10 Since year years years years Inception(3)

BMO SelectTrust Balanced Portfolio % 13.05 5.96 5.92

Blended Benchmark % 16.11 7.66 7.95

FTSE Canada Universe Bond Index % 6.87 3.57 3.41

Series F6 Units 1 3 5 10 Since year years years years Inception(4)




Series D Units 1 3 5 10 Since year years years years Inception(4)




Series I Units 1 3 5 10 Since year years years years Inception(1)




Series C Units 1 3 5 10 Since year years years years Inception




Classic F Series Units 1 3 5 10 Since year years years years Inception




(1) Return from the performance launch date of August 12, 2013 to December 31, 2019. (2) Return from the performance launch date of November 4, 2013 to December 31, 2019. (3) Return from the performance launch date of November 16, 2015 to December 31, 2019. (4) Return from the performance launch date of April 28, 2016 to December 31, 2019.

As noted above, the table shows a comparison of the historical annual compound returns of the Fund with the FTSE Canada Universe Bond Index, a broad-based index. The Fund, however, uses a blended benchmark to compare its overall relative performance. The reason for this is that the blended benchmark is a better reflection of the asset mix of the underlying investments within the Fund’s portfolio. Accordingly, the blended benchmark is a more accurate and useful comparison.

A commentary on the market and/or information regarding the relative performance of the Fund as compared to its benchmark can be found under the Results of Operations section of this report.



SUMMARY OF INVESTMENT PORTFOLIO

As at December 31, 2019

% of Net Portfolio Allocation Asset Value

Fixed Income Funds 42.1

U.S. Equity Funds 20.6

Canadian Equity Funds 17.0

International Equity Funds 14.1

Emerging Markets Equity Funds 5.2

Money Market Investments 0.8

Global Equity Fund 0.3

Cash/Receivables/Payables -0.1

Total Portfolio Allocation 100.0

Top 25 Holdings+ % of Net Issuer Asset Value

BMO Core Plus Bond Fund, Series I 19.9

BMO Multi-Factor Equity Fund, Series I 9.6

BMO European Fund, Series I 8.9

BMO Canadian Equity Fund, Series I 8.4

BMO Canadian Large Cap Equity Fund, Series I 6.3

BMO Aggregate Bond Index ETF 4.0

BMO U.S. Equity Fund, Series I 4.0

BMO Japan Fund, Series I 3.6

BMO Emerging Markets Fund, Series I 3.5

Pimco Canadian Total Return Bond Fund, Series I 3.1

BMO Crossover Bond Fund, Series I 3.0

BMO Long Federal Bond Index ETF 2.6

BMO Mid-Term US IG Corporate Bond Hedged to CAD Index ETF 2.6

BMO US Dividend ETF 2.4

BMO S&P 500 Index ETF 2.3

BMO S&P/TSX Capped Composite Index ETF 1.7

BMO Mortgage and Short-Term Income Fund, Series I 1.6

BMO Preferred Share Fund, Series I 1.5

BMO Emerging Markets Bond Fund, Series I 1.5

BMO U.S. Small Cap Fund, Series I 1.5

BMO High Yield US Corporate Bond Hedged to CAD Index ETF 1.4

BMO MSCI Emerging Markets Index ETF 1.1

BMO Asia USD Investment Grade Bond ETF++ 0.9

BMO Low Volatility US Equity ETF 0.7

BMO Low Volatility Canadian Equity ETF 0.6

Top Holdings as a Percentage of Total Net Asset Value 96.7

Total Net Asset Value $4,319,619,988

+The prospectus and other information about the underlying investment fund(s) held in the portfolio are available on the internet at www.sedar.com and, for BMO Mutual Funds, also at www.bmo.com/gam/ca and www.bmo.com/mutualfunds.

+The prospectus and other information about the underlying exchange traded fund(s) held in the portfolio are available on the internet at www.sedar.com and at www.bmo.com/etflegal.

++The prospectus and other information about the underlying exchange traded fund(s) are available on the internet at www.bmo.hk/en/bmo-etfs.

The summary of investment portfolio may change due to the Fund’s ongoing portfolio transactions. Updates are available quarterly.

BMO Investments Inc. First Canadian Place, 43rd Floor 100 King Street West Toronto, Ontario M5X 1A1

This document may contain forward-looking statements relating to anticipated future events, results, circumstances, performance or expectations that are not historical facts but instead represent our beliefs regarding future events. By their nature, forward-looking statements require us to make assumptions and are subject to inherent risks and uncertainties. There is significant risk that predictions and other forward-looking statements will not prove to be accurate. We caution readers of this document not to place undue reliance on our forward-looking statements as a number of factors could cause actual future results, conditions, actions or events to differ materially from the targets, expectations, estimates or intentions expressed or implied in the forward-looking statements. Actual results may differ materially from management expectations as projected in such forward-looking statements for a variety of reasons, including but not limited to market and general economic conditions, interest rates, regulatory and statutory developments, the effects of competition in the geographic and business areas in which the Fund may invest in and the risks detailed from time to time in BMO Mutual Funds’ simplified prospectus. We caution that the foregoing list of factors is not exhaustive and that when relying on forward-looking statements to make decisions with respect to investing in the Fund, investors and others should carefully consider these factors, as well as other uncertainties and potential events, and the inherent uncertainty of forward-looking statements. Due to the potential impact of these factors, BMO Investments Inc. does not undertake, and specifically disclaims, any intention or obligation to update or revise any forward-looking statements, whether as a result of new information, future events or otherwise, unless required by applicable law.

®/™ Registered trade-marks/trade-mark of Bank of Montreal, used under licence. BMO Mutual Funds are offered by BMO Investments Inc., a financial services firm and separate legal entity from Bank of Montreal.

If you have any questions, please give us a call as follows:

• If you purchased BMO Mutual Funds through a BMO Bank of Montreal branch or BMO Online Banking, please call 1-800-665-7700.

• If you purchased BMO Mutual Funds through a full-service or discount broker, please call 1-800-668-7327 or email [email protected].

www.bmo.com/mutualfunds and www.bmo.com/gam/ca

BMO SelectTrust Balanced Portfolio (the “Fund”)€¦ · MANAGEMENT DISCUSSION OF FUND...

Documents

Transcript of BMO SelectTrust Balanced Portfolio (the “Fund”)€¦ · MANAGEMENT DISCUSSION OF FUND...