Horizons Managed Multi-Asset Momentum ETF (HMA, HMA.A:TSX)

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1 Interim Report June 30, 2016 (HMA, HMA.A:TSX) ALPHA BENCHMARK BETAPRO Innovation is our capital. Make it yours.

2 Contents MANAGEMENT REPORT OF FUND PERFORMANCE Management Discussion of Fund Performance...1 Financial Highlights...6 Past Performance...10 Summary of Investment Portfolio...11 MANAGER S RESPONSIBILITY FOR FINANCIAL REPORTING...13 FINANCIAL STATEMENTS Statements of Financial Position...14 Statement of Comprehensive Income...15 Statement of Changes in Financial Position...16 Statement of Cash Flows...17 Schedule of Investments...18 Notes to Financial Statements...19

3 Letter from the Co-CEO: So far, 2016 has been a road to recovery for North American investors, as equity markets continue to bounce back from the lows of late January. In fact, the Canadian equity market, up more than 8% year-to-date has been one of the best-performing developed equity markets in the world. Additionally, we have seen the price of crude oil stabilize which we believe has been a leading contributor to the recovery and strengthening of the Canadian dollar relative to the U.S. dollar, up approximately 7% since the beginning of Overall, the first half of the year has been very successful for the North American ETF industry, with U.S. assets at US$2.2 trillion and Canadian ETF assets surpassing the CAD$100 billion mark in May. Equities and fixed income ETFs continue to make up the largest inflows for both Canada and the U.S. For Horizons ETFs, in particular, this has been a year of new milestones. In April, we surpassed more than $6 billion in assets under management and have continued to watch our active and benchmark lineup of ETFs grow. In fact, the Horizons Cdn High Dividend Index ETF ( HXH ) has been one of the largest launches on the Canadian side of the border, acquiring more than $100 million in assets within its first week of launch. With the regulatory landscape in North America, particularly Canada, shifting towards fee-based transparency, and fewer tax efficient products available to the retail investor, we ve focused on expanding our line-up of Total Return Index (TRI) ETFs. This includes the launch of HXH and the Horizons Nasdaq-100 Index ETF ( HXQ ), and lowering the cost of our flagship TRI ETFs like the Horizons S&P 500 Index ETF ( HXS ), reducing its management fee to 0.10% from 0.15%. We also launched the Horizons China High Dividend Yield Index ETF ( HCN ), the first benchmark ETF to provide Canadian investors with exposure to the Hang Seng High Dividend Yield Index. Looking to the remainder of 2016, it will be an interesting time for global markets. Many investors are watching every Federal Open Market Committee (FOMC) meeting closely, wondering whether or not the U.S. is in fact in a strong enough position economically to take on another rate hike. As well, the outcome of the June 23 referendum in the United Kingdom to leave the European Union could have far reaching implications in the markets, both locally and abroad, for the months and years to come. At Horizons ETFs we try and remain agnostic on the direction of the markets, however, we do think it s fair to say that investors can no longer rely on easy returns. Investors require more creative solutions that take advantage of volatility, such as covered call and alternative asset strategies. Knowing investors shouldn t rely on a single strategy for success, we believe that our diverse suite of ETF solutions provides investors with the tools they need for handling any of the market conditions that 2016 holds on the horizon. We remain proud to be a partner in your investment process. For more information on our strategies, please visit our website at where we offer a range of resources designed to help you become a skilled ETF investor. Wishing you the best for the remainder of 2016, Steven J. Hawkins, President & Co-CEO Horizons ETFs Management (Canada) Inc.

4 MANAGEMENT REPORT OF FUND PERFORMANCE This interim management report of fund performance for ( Horizons HMA or the ETF ) contains financial highlights and is included with the unaudited interim financial statements for the investment fund. You may request a copy of the ETF s unaudited interim or audited annual financial statements, interim or annual management report of fund performance, current proxy voting policies and procedures, proxy voting disclosure record, or quarterly portfolio disclosures, at no cost, from the ETF s manager, AlphaPro Management Inc. ( AlphaPro or the Manager ), by calling toll free , or locally (416) , by writing to us at: 26 Wellington Street East, Suite 700, Toronto ON, M5E 1S2, or by visiting our website at or SEDAR at 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, and the effects of competition in the geographic and business areas in which the ETF may invest and the risks detailed from time to time in the ETF s prospectus. New risk factors emerge from time to time and it is not possible for management to predict all such risk factors. 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 ETF, 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, the Manager 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. Management Discussion of Fund Performance Investment Objective and Strategies The investment objective of Horizons HMA is to seek long-term returns by providing exposure to selected global asset classes on a risk-adjusted basis, primarily through investments in exchange traded funds. Horizons HMA may also hold cash or cash equivalents. To achieve Horizons HMA s investment objective, the ETF s portfolio sub-advisor, Landry Investment Management Inc. ( Landry or the Sub-Advisor ), begins with a universe of assets classes, which have been chosen for certain diversification and non-correlation characteristics to generally mitigate global market risk. From this universe of asset classes, Landry typically selects and ranks between 5 and 10 top asset classes using a proprietary model which employs a combination of quantitative price momentum and other factors, a technical overlay, and fundamental analysis. The top asset classes are then subjected to a risk analysis screen. If a top asset class passes the risk analysis screen, Landry generally selects an exchange traded fund to seek to reflect the performance of the asset class. In certain circumstances, Landry may invest directly in an asset class, or an asset class may be represented by investments in more than one exchange traded fund, or a combination of an exchange traded fund and direct investment. No more than 20% of the net asset value of Horizons HMA will be invested in any asset class, other than cash and cash equivalents. Please refer to the ETF s most recent prospectus for a complete description of Horizons HMA s investment restrictions. 1

5 Management Discussion of Fund Performance (continued) Risk The Manager, as a summary for existing investors, is providing the list below of the risks to which an investment in the ETF may be subject. Prospective investors should read the ETF s most recent prospectus and consider the full description of the risks contained therein before purchasing units. The risks to which an investment in the ETF is subject are listed below and have not changed from the list of risks found in the ETF s most recent prospectus. A full description of each risk listed below may also be found in the most recent prospectus. The most recent prospectus is available at or from or by contacting AlphaPro Management Inc. directly via the contact information on the back page of this document. Stock market risk Specific issuer risk Legal and regulatory risk Exchange traded funds risk Reliance on historical data risk Corresponding net asset value risk Designated broker/dealer risk Cease trading of securities risk Exchange risk Early closing risk No assurance of meeting investment objective Tax risk Securities lending, repurchase and reverse repurchase transaction risk Loss of limited liability Reliance on key personnel Distributions risk Conflicts of interest No ownership interest Market for units Redemption price Net asset value fluctuation Limited operating history Restrictions on certain unitholders Highly volatile markets Multi-class risk No guaranteed return Derivatives and counterparty risk Interest rate risk Foreign currency risk Emerging markets risk Credit risk Leveraged ETFs risk Income trust investment risk Foreign stock exchange risk Short selling risk High yield bond risk and risk of other lower rated investments Call risk Risk of difference between quoted and actionable market price Commodity price volatility risk Results of Operations For the six-month period ended June 30, 2016, the Class E and Advisor Class units of the ETF returned -3.56% and -3.81%, respectively, including distributions paid to unitholders. General Market Review 2 The first half of 2016 saw continued volatility in the equity markets with the U.K. referendum on whether to leave the European Union dominating the majority of the news and adding substantially to that volatility. For the six-month period ended June 30, 2016, a composite index comprised of 70% of the S&P Global 1200 Index (the Equity Index ) and 30% of the Solactive Canadian Select Universe Bond Index (the Bond Index ), which returned -4.70% and 3.91%, respectively, posted a return of -2.12%, all figures presented on a total return basis in Canadian dollars. The Equity Index provides effi-

6 Management Discussion of Fund Performance (continued) cient exposure to the global equity market, capturing approximately 70% of global market capitalization. The Bond Index is designed to measure the performance of the Canadian investment grade bond market (government and corporate bonds) by selecting a representative group of bonds. Employment numbers in the U.S. seem to show continued good news for an economic recovery, despite a worse than expected U.S. Non-Farm Payrolls report in early June, however, the markets have failed to attract any real momentum. Expectations of a rebound in earnings would be supportive of current valuations, but it may be hard to achieve in the face of the current U.S. Presidential election which will definitely dominate the news in the second half of the year. Portfolio Review The portfolio has continued to benefit from its investments in real estate investment trusts (REITs) and gold. Driven by the strength in oil since the middle of February, the rest of the commodities complex has also shown strength and have been added to the ETF s portfolio. The ETF s three baskets of bonds were replaced in the second quarter as the markets moved to a risk-on allocation. The portfolio moved towards high yield corporate bonds as the spreads between treasuries narrowed. The Canadian dollar appreciated by approximately 7.1% versus the U.S. dollar for the first six months of the year, though roughly 6.4% of that was in the first quarter. The second quarter saw the Canadian dollar virtually flat and did not have a meaningful impact on the ETF s portfolio. The strong dollar for the first quarter had a material impact on the performance of the ETF year-to-date. Landry considers the Canadian dollar is still potentially slightly undervalued given the current price of oil and continues to maintain a slight hedge on the portfolio. Outlook The ETF has maintained a reasonably defensive position for the past six months and has achieved its objective of maintaining low volatility. Landry s models are based on locking in on strong momentum of the various asset classes, yet the markets uncertainty and rotation have made sustainable short-term returns evasive. We are cautiously optimistic that we will find some direction before the end of the year. Other Operating Items and Changes in Net Assets Attributable to Holders of Redeemable Units For the six-month period ended June 30, 2016, the ETF generated gross comprehensive income (loss) from investments and derivatives of ($386,304). The period ended June 30, 2016 is the first full interim reporting period for the ETF, therefore there are no 2015 numbers with which to compare the 2016 operating items. The ETF paid management, operating and transaction expenses of $124,556 of which $39,350 was either paid or absorbed by the Manager on behalf of the ETF. The waiving and/or absorption of such fees and/or expenses by the Manager may be terminated at any time, or continued indefinitely, at the discretion of the Manager. The ETF did not make any distributions to unitholders during the period ended June 30, Unitholder Activity An ETF is a stock exchange listed, open-ended, continuously offered fund. All orders to purchase units directly from the ETF must be placed by designated brokers and/or underwriters. On any trading day, a designated broker or an underwriter may place a subscription order for a prescribed number of units ( PNU ) or integral multiple PNU. The ETF reserves the absolute right to reject any subscription order placed by a designated broker and/or an underwriter. No fees will be 3

7 Management Discussion of Fund Performance (continued) 4 payable by the ETF to a designated broker or an underwriter in connection with the issuance of units. On the issuance of units, the Manager may, at its discretion, charge an administrative fee to an underwriter or designated broker to offset any expenses incurred in issuing the units. All unitholders of the ETF may exchange the applicable PNU (or an integral multiple thereof) of the ETF on any trading day for a prescribed basket of securities (as determined by the investment manager) and/or cash, subject to the requirement that a minimum PNU be exchanged. The Manager may, in its complete discretion, pay exchange proceeds consisting of cash only in an amount equal to the net asset value of the applicable PNU of the ETF next determined following the receipt of the exchange request. The Manager will, upon receipt of the exchange request, advise the unitholder submitting the request as to whether cash and/or a basket of securities will be delivered to satisfy the request. Investors are able to trade units of the ETF in the same way as other securities traded on the Toronto Stock Exchange ( TSX ), including by using market orders and limit orders. An investor may buy or sell units of the ETF on the TSX only through a registered broker or dealer in the province or territory where the investor resides. Investors may incur customary brokerage commissions when buying or selling units. Presentation The attached financial statements have been prepared in accordance with International Financial Reporting Standards ( IFRS ). Any mention of total net assets, net assets, net asset value or increase (decrease) in net assets in the financial statements and/or management report of fund performance is referring to net assets or increase (decrease) in net assets attributable to holders of redeemable units as reported under IFRS. Recent Developments There are no recent industry, management or ETF related developments that are pertinent to the present and future of the ETF. Related Party Transactions Certain services have been provided to the ETF by related parties and those relationships are described below. Manager, Trustee and Investment Manager The manager and trustee of the ETF is AlphaPro Management Inc., 26 Wellington Street East, Suite 700, Toronto, Ontario, M5E 1S2, a corporation incorporated under the laws of Ontario specializing in actively managed ETFs. AlphaPro is a subsidiary of Horizons ETFs Management (Canada) Inc., which also serves as the ETF s investment manager ( Horizons Management or the Investment Manager ), and both entities are members of the Mirae Asset Financial Group. If the ETF invests in the Horizons Management ETFs, Horizons Management may receive management fees in respect of the ETF s assets invested in such Horizons Management ETFs. The offices of the Manager and Investment Manager are the same. Other Related Parties An affiliate of National Bank of Canada ( NBC ) and National Bank Financial Inc. ( NBF ) holds an indirect minority interest in the Manager. NBF acts or may act as a designated broker, an underwriter and/or a registered trader (market maker). These relationships may create actual or perceived conflicts of interest which investors should consider in relation to an investment in the ETF. In particular, by virtue of these relationships, NBF may profit from the sale and trading of the ETF s

8 Management Discussion of Fund Performance (continued) units. NBF, as market maker of the ETF in the secondary market, may therefore have economic interests which differ from and may be adverse to those of unitholders. NBF s potential roles as a designated broker and a dealer of the ETF is not as an underwriter of the ETF in connection with the primary distribution of units under the ETF s prospectus. NBF was not involved in the preparation of, nor did it perform any review of, the contents of the ETF s prospectus. NBF and its affiliates may, at present or in the future, engage in business with the ETF, the issuers of securities making up the investment portfolio of the ETF, or with the Manager or any funds sponsored by the Manager or its affiliates, including by making loans, executing brokerage transactions, entering into derivative transactions or providing advisory or agency services. In addition, the relationship between NBF and its affiliates, and the Manager and its affiliates may extend to other activities, such as being part of a distribution syndicate for other funds sponsored by the Manager or its affiliates. The ETF, in its course of normal business in seeking to achieve its investment objective, may enter into portfolio transactions that involve an investment in securities of an issuer that is a related party to the Manager. The Manager is permitted to execute these transactions without seeking advance approval from the ETF s Independent Review Committee ( IRC ), provided the Manager complies with the predetermined list of requirements agreed upon with the IRC. For the period ended June 30, 2016, the ETF paid $11,798 to NBF and/or its affiliates in broker commissions on portfolio transactions. 5

9 Financial Highlights The following tables show selected key financial information about the ETF and are intended to help you understand the ETF s financial performance since it effectively began operations on August 18, This information is derived from the ETF s audited annual financial statements and the current unaudited interim financial statements. Please see the front page for information on how you may obtain the ETF s annual or interim financial statements. The ETF s Net Assets per Unit Class E Period Net assets, beginning of period (1) $ Decrease from operations: Total revenue Total expenses (0.06) (0.05) Realized losses for the period (0.48) (0.31) Unrealized gains for the period Total decrease from operations (2) (0.37) (0.15) Distributions: From net investment income (excluding dividends) (0.01) Total distributions (3) (0.01) Net assets, end of period (4) $

10 Financial Highlights (continued) Advisor Class Period Net assets, beginning of period (1) $ Decrease from operations: Total revenue Total expenses (0.10) (0.08) Realized losses for the period (0.48) (0.31) Unrealized gains for the period Total decrease from operations (2) (0.09) (0.19) Distributions: From net investment income (excluding dividends) (0.01) Total distributions (3) (0.01) Net assets, end of period (4) $ This information is derived from the ETF s unaudited interim financial statements as at June 30, 2016 and the audited annual financial statements as at December 31, Class E units and Advisor Class units of the ETF have an initial net asset value of $10.00 as at August 18, Information is presented in accordance with IFRS. 2. Net assets per unit 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. 3. Income, dividend and/or return of capital distributions, if any, are paid in cash, reinvested in additional units of the ETF, or both. Capital gains distributions, if any, may or may not be paid in cash. Noncash capital gains distributions are reinvested in additional units of the ETF and subsequently consolidated. They are reported as taxable distributions and increase each unitholder s adjusted cost base for their units. Neither the number of units held by the unitholder, nor the net asset per unit of the ETF change as a result of any non-cash capital gains distributions. Distributions classified as return of capital, if any, decrease each unitholder s adjusted cost base for their units. The characteristics of distributions, if any, are determined subsequent to the end of the ETF s tax year. Until such time, distributions are classified as from net investment income (excluding dividends) for reporting purposes. 4. The Financial Highlights are not intended to act as a continuity of the opening and closing net assets per unit. 7

11 Financial Highlights (continued) Ratios and Supplemental Data Class E Period (1) Total net asset value (000 s) $ 10,093 9,975 Number of units outstanding (000 s) 1,065 1,015 Management expense ratio (2) (5) 1.23% 1.16% Management expense ratio excluding proportion of expenses from underlying investment funds 1.00% 0.99% Management expense ratio before waivers and absorptions (3) 1.87% 2.95% Trading expense ratio (4) (5) 0.24% 0.15% Trading expense ratio excluding proportion of costs from underlying investment funds 0.21% 0.12% Portfolio turnover rate (6) % 67.10% Net asset value per unit, end of period $ Closing market price $ Advisor Class Period (1) Total net asset value (000 s) $ Number of units outstanding (000 s) Management expense ratio (2) (5) 2.07% 2.00% Management expense ratio excluding proportion of expenses from underlying investment funds 1.84% 1.83% Management expense ratio before waivers and absorptions (3) 2.71% 3.78% Trading expense ratio (4) (5) 0.24% 0.15% Trading expense ratio excluding proportion of costs from underlying investment funds 0.21% 0.12% Portfolio turnover rate (6) % 67.10% Net asset value per unit, end of period $ Closing market price $ This information is provided as at June 30, 2016 and December 31, Information is presented in accordance with IFRS. 2. Management expense ratio is based on total expenses, including sales tax, (excluding commissions and other portfolio transaction costs) for the stated period and is expressed as an annualized percentage of daily average net asset value during the period. Out of its management fees, the Manager pays for such services to the ETF as investment manager compensation, service fees and marketing. 3. The Manager, at its discretion, may waive and/or absorb a portion of the fees and/or expenses otherwise payable by the ETF. The waiving and/or absorption of such fees and/or expenses by the Manager may be terminated at any time, or continued indefinitely, at the discretion of the Manager. 4. 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 period. 5. The ETF s management expense ratio (MER) and trading expense ratio (TER) include an estimated proportion of the MER and TER for any underlying investment funds held in the ETF s portfolio during the period. 6. The ETF s portfolio turnover rate indicates how actively its portfolio investments are traded. A portfolio turnover rate of 100% is equivalent to the ETF buying and selling all of the securities in its portfolio once in the course of the year. Generally, the higher the ETF s portfolio turnover rate in a year, the greater the trading costs payable by the ETF 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 the ETF.

12 Financial Highlights (continued) Management Fees The Manager appoints the Investment Manager and provides, or oversees the provision of, administrative services required by the ETF including, but not limited to: negotiating contracts with certain third-party service providers, such as portfolio managers, custodians, registrars, transfer agents, auditors and printers; authorizing the payment of operating expenses incurred on behalf of the ETF; arranging for the maintenance of accounting records for the ETF; preparing reports to unitholders and to the applicable securities regulatory authorities; calculating the amount and determining the frequency of distributions by the ETF; preparing financial statements, income tax returns and financial and accounting information as required by the ETF; ensuring that unitholders are provided with financial statements and other reports as are required from time to time by applicable law; ensuring that the ETF complies with all other regulatory requirements, including the continuous disclosure obligations of the ETF under applicable securities laws; administering purchases, redemptions and other transactions in units of the ETF; and dealing and communicating with unitholders of the ETF. The Manager provides office facilities and personnel to carry out these services, if not otherwise furnished by any other service provider to the ETF. The Manager also monitors the investment strategies of the ETF to ensure that the ETF complies with its investment objectives, investment strategies and investment restrictions and practices. In consideration for the provision of these services, the Manager receives a monthly management fee at the annual rate of 0.85%, plus applicable sales taxes, of the net asset value of the ETF s Class E units and 1.60%, plus applicable sales taxes, of the net asset value of the ETF s Advisor Class units, calculated and accrued daily and payable monthly in arrears. The Manager, and not the ETF, will pay to registered dealers a service fee equal to 0.75% per year of the net asset value of Advisor Class units held by clients of the registered dealer. No service fees are paid to registered dealers in respect of Class E units. The Investment Manager and Sub-Advisor are compensated for their services out of the management fees without any further cost to the ETF. Any expenses of the ETF which are waived or absorbed by the Manager are paid out of the management fees received by the Manager. The table below details, in percentage terms, the services received by the ETF from the Manager in consideration of the management fees paid during the period. Portfolio management fees, Waived/absorbed expenses general administrative costs of the ETF Marketing and profit 9% 28% 63% 9

13 Past Performance Commissions, trailing commissions, management fees and expenses all may be associated with an investment in the ETF. Please read the prospectus before investing. The indicated rates of return are the historical total returns including changes in unit value and reinvestment of all distributions, and do not take into account sales, redemptions, distributions or optional charges or income taxes payable by any investor that would have reduced returns. An investment in the ETF is not guaranteed. Its value changes frequently and past performance may not be repeated. The ETF s performance numbers assume that all distributions are reinvested in additional units of the ETF. If you hold this ETF outside of a registered plan, income and capital gains distributions that are paid to you increase your income for tax purposes whether paid to you in cash or reinvested in additional units. The amount of the reinvested taxable distributions is added to the adjusted cost base of the units that you own. This would decrease your capital gain or increase your capital loss when you later redeem from the ETF, thereby ensuring that you are not taxed on this amount again. Please consult your tax advisor regarding your personal tax situation. Year-by-Year Returns The following chart presents the ETF s performance for its Class E and Advisor Class units for the periods shown. In percentage terms, the chart shows how much an investment made on the first day of the financial period would have grown or decreased by the last day of the financial period. 0.00% -1.00% Rate of Return -2.00% -3.00% -4.00% -5.00% Class E -1.60% -3.56% Advisor Class -1.91% -3.81% Class E units and Advisor Class units of the ETF have an initial net asset value of $10.00 as at August 18,

14 Summary of Investment Portfolio As at June 30, 2016 % of ETF s Asset Mix Net Asset Value Net Asset Value U.S. Equities $ 4,083, % Canadian Equities 3,131, % U.S. Fixed Income 1,568, % Currency Forward Hedge* (28,928) -0.27% Cash and Cash Equivalents 623, % Other Assets less Liabilities 1,423, % $ 10,800, % % of ETF s Sector Mix Net Asset Value Net Asset Value Canadian Broad Equity Index $ 3,131, % U.S. Broad Equity Index 3,077, % U.S. Broad Fixed Income 1,568, % Materials 1,006, % Currency Forward Hedge* (28,928) -0.27% Cash and Cash Equivalents 623, % Other Assets less Liabilities 1,423, % $ 10,800, % *Positions in forward contracts are disclosed as the gain/(loss) that would be realized if the contracts were closed out on the date of this report. 11

15 Summary of Investment Portfolio (continued) As at June 30, 2016 Top Holdings % of ETF s Net Asset Value ishares S&P/TSX Capped REIT Index ETF 15.05% Vanguard REIT ETF 14.66% ishares iboxx $ High Yield Corporate Bond ETF 14.52% Horizons S&P/TSX 60 Index ETF 13.94% ishares S&P GSCI Commodity-Indexed Trust 13.84% SPDR Gold Trust 9.31% The summary of investment portfolio may change due to the ongoing portfolio transactions of the ETF. The most recent financial statements are available at no cost by calling , by writing to us at 26 Wellington Street East, Suite 700, Toronto, Ontario, M5E 1S2, by visiting our website at or through SEDAR at 12

16 MANAGER S RESPONSIBILITY FOR FINANCIAL REPORTING The accompanying unaudited interim financial statements of (the ETF ) are the responsibility of the manager and trustee to the ETF, AlphaPro Management Inc. (the Manager ). They have been prepared in accordance with International Financial Reporting Standards using information available and include certain amounts that are based on the Manager s best estimates and judgments. The Manager has developed and maintains a system of internal controls to provide reasonable assurance that all assets are safeguarded and to produce relevant, reliable and timely financial information, including the accompanying financial statements. These financial statements have been approved by the Board of Directors of the Manager. Steven J. Hawkins Director AlphaPro Management Inc. Taeyong Lee Director AlphaPro Management Inc. NOTICE TO UNITHOLDERS The Auditors of the ETF have not reviewed these Financial Statements. AlphaPro Management Inc., the Manager of the ETF, appoints an independent auditor to audit the ETF s annual financial statements. The ETF s independent auditors have not performed a review of these interim financial statements in accordance with Canadian generally accepted auditing standards. 13

17 Statements of Financial Position (unaudited) As at June 30, 2016 and December 31, Assets Cash and cash equivalents $ 623,210 $ 245,036 Investments 8,783,090 10,266,085 Amounts receivable relating to accrued income 2,404 Amounts receivable relating to portfolio assets sold 1,433,181 Total assets 10,839,481 10,513,525 Liabilities Accrued expenses 9,768 9,436 Distribution payable 13,116 Derivative liabilities (note 3) 28,928 26,165 Total liabilities 38,696 48,717 Total net assets (note 2) $ 10,800,785 $ 10,464,808 Total net assets, Class E $ 10,093,451 $ 9,974,581 Number of redeemable units outstanding, Class E (note 9) 1,065,000 1,015,000 Total net assets per unit, Class E $ 9.48 $ 9.83 Total net assets, Advisor Class $ 707,334 $ 490,227 Number of redeemable units outstanding, Advisor Class (note 9) 75,000 50,000 Total net assets per unit, Advisor Class $ 9.43 $ 9.80 (See accompanying notes to financial statements) Approved on behalf of the Board of Directors of the Manager: Steven J. Hawkins Taeyong Lee 14

18 Statement of Comprehensive Income (unaudited) For the Period Ended June 30, Income Dividend income $ 64,710 Interest income for distribution purposes 13,647 Securities lending income (note 8) 2,668 Net realized loss on sale of investments and derivatives (456,536) Net realized loss on foreign exchange (175,744) Net change in unrealized appreciation of investments and derivatives 176,327 Net change in unrealized depreciation of foreign exchange (11,376) (386,304) Expenses Management fees (note 10) 62,736 Audit fees 6,339 Independent Review Committee fees 59 Custodial fees 1,026 Legal fees 3,229 Securityholder reporting costs 12,881 Administration fees 17,308 Transaction costs 12,630 Withholding taxes 8,197 Other expenses ,556 Amounts that were payable by the investment fund that were paid or absorbed by the Manager (39,350) 85,206 Decrease in net assets for the period $ (471,510) Decrease in net assets, Class E $ (463,987) Decrease in net assets per unit, Class E (0.37) Decrease in net assets, Advisor Class $ (7,523) Decrease in net assets per unit, Advisor Class (0.09) (See accompanying notes to financial statements) 15

19 Statement of Changes in Financial Position (unaudited) For the Period Ended June 30, Total net assets at the beginning of the period $ 10,464,808 Decrease in net assets (471,510) Redeemable unit transactions Proceeds from the issuance of securities of the investment fund 11,655,872 Aggregate amounts paid on redemption of securities of the investment fund (10,848,385) Total net assets at the end of the period $ 10,800,785 Total net assets at the beginning of the period, Class E $ 9,974,581 Decrease in net assets, Class E (463,987) Redeemable unit transactions Proceeds from the issuance of securities of the investment fund 11,185,702 Aggregate amounts paid on redemption of securities of the investment fund (10,602,845) Total net assets at the end of the period, Class E $ 10,093,451 Total net assets at the beginning of the period, Advisor Class $ 490,227 Decrease in net assets, Advisor Class (7,523) Redeemable unit transactions Proceeds from the issuance of securities of the investment fund 470,170 Aggregate amounts paid on redemption of securities of the investment fund (245,540) Total net assets at the end of the period, Advisor Class $ 707,334 (See accompanying notes to financial statements) 16

20 Statement of Cash Flows (unaudited) For the Period Ended June 30, Cash flows from operating activities: Decrease in net assets for the period $ (471,510) Adjustments for: Net realized loss on sale of investments and derivatives 456,536 Net realized gain on currency forward contracts 214,728 Net change in unrealized appreciation of investments and derivatives (176,327) Net change in unrealized appreciation of foreign exchange (1,326) Purchase of investments (23,959,342) Proceeds from the sale of investments 23,516,982 Amounts receivable relating to accrued income 2,404 Accrued expenses 332 Net cash used in operating activities (417,523) Cash flows from financing activities: Amount received from the issuance of units 11,655,872 Amount paid on redemptions of units (10,848,385) Distributions paid to unitholders (13,116) Net cash from financing activities 794,371 Net increase in cash and cash equivalents during the period 376,848 Effect of exchange rate fluctuations on cash and cash equivalents 1,326 Cash and cash equivalents at beginning of period 245,036 Cash and cash equivalents at end of period $ 623,210 Interest received $ 16,051 Dividends received, net of withholding taxes $ 56,513 (See accompanying notes to financial statements) 17

21 Schedule of Investments (unaudited) As at June 30, 2016 Shares/ Average Fair Security Contracts Cost Value U.S. EQUITIES (37.81%) U.S. Broad Equity Index (28.50%) ishares S&P GSCI Commodity-Indexed Trust 74,500 $ 1,501,642 $ 1,494,766 Vanguard REIT ETF 13,821 1,487,681 1,583,117 2,989,323 3,077,883 Materials (9.31%) SPDR Gold Trust 6, ,542 1,006,090 TOTAL U.S. EQUITIES 3,947,865 4,083,973 CANADIAN EQUITIES (28.99%) Canadian Broad Equity Index (28.99%) Horizons S&P/TSX 60 Index ETF 55,139 1,440,077 1,505,295 ishares S&P/TSX Capped REIT Index ETF 95,745 1,524,098 1,625,750 2,964,175 3,131,045 TOTAL CANADIAN EQUITIES 2,964,175 3,131,045 U.S. FIXED INCOME (14.52%) U.S. Broad Fixed Income Index (14.52%) ishares iboxx $ High Yield Corporate Bond ETF 14,328 1,511,255 1,568,072 TOTAL U.S. FIXED INCOME 1,511,255 1,568,072 DERIVATIVES (-0.27%) Currency Forwards (-0.27%) Currency forward contract to buy C$2,070,412 for US$1,625,000 maturing July 14, 2016 (28,928) TOTAL DERIVATIVES (28,928) Transaction costs (2,116) TOTAL INVESTMENT PORTFOLIO (81.05%) $ 8,421,179 $ 8,754,162 Cash and cash equivalents (5.77%) 623,210 Other assets less liabilities (13.18%) 1,423,413 TOTAL NET ASSETS (100.00%) $ 10,800, (See accompanying notes to financial statements)

22 Notes to Financial Statements (unaudited) June 30, REPORTING ENTITY ( Horizons HMA or the ETF ) is an investment trust established under the laws of the Province of Ontario by Declaration of Trust and effectively began operations on August 18, The address of the ETF s registered office is: c/o AlphaPro Management Inc., 26 Wellington Street East, Suite 700, Toronto, Ontario, M5E 1S2. The ETF is offered for sale on a continuous basis by its prospectus in both class E units ( Class E ) and advisor class units ( Advisor Class ) which trade on the Toronto Stock Exchange ( TSX ) under the symbols HMA and HMA.A, respectively. Advisors are directly compensated with a service fee on a trailing quarterly basis (the Service Fee ). The only difference between the Advisor Class and existing Class E units of the ETF is that the Advisor Class charges higher management fees that include the Service Fees paid to the advisor (see note 10). The purchase and sale process for the Advisor Class units is identical to that of any other ETF listed on the TSX. An investor may buy or sell units of the ETF on the TSX only through a registered broker or dealer in the province or territory where the investor resides. Investors are able to trade units of the ETF in the same way as other securities traded on the TSX, including by using market orders and limit orders and may incur customary brokerage commissions when buying or selling units. The investment objective of Horizons HMA is to seek long-term returns by providing exposure to selected global asset classes on a risk-adjusted basis, primarily through investments in exchange traded funds. Horizons HMA may also hold cash or cash equivalents. AlphaPro Management Inc. ( AlphaPro or the Manager ) is the manager and trustee of the ETF. The Manager has appointed Horizons ETFs Management (Canada) Inc. ( Horizons Management or the Investment Manager ), an affiliate of the Manager, to act as the investment manager to the ETF. The Investment Manager is responsible for implementing the ETF s investment strategies and for engaging the services of Landry Investment Management Inc. ( Landry or the Sub-Advisor ), to act as the sub-advisor to the ETF. The Manager and Investment Manager are both members of the Mirae Asset Financial Group ( Mirae Asset ). 2. BASIS OF PREPARATION (i) Statement of compliance These financial statements have been prepared in accordance with International Financial Reporting Standards ( IFRS ). Any mention of total net assets, net assets, net asset value or increase (decrease) in net assets is referring to net assets or increase (decrease) in net assets attributable to holders of redeemable units as reported under IFRS. These financial statements were authorized for issue on August 10, 2016 by the Board of Directors of the Manager. (ii) Basis of measurement The financial statements have been prepared on the historical cost basis except for financial instruments at fair value though profit or loss, which are measured at fair value. (iii) Functional and presentation currency These financial statements are presented in Canadian dollars, which is the ETF s functional currency. 19

23 Notes to Financial Statements (unaudited) (continued) June 30, SIGNIFICANT ACCOUNTING POLICIES The accounting policies set out below have been applied consistently to all periods presented in these financial statements. (a) Financial instruments (i) Recognition, initial measurement and classification Financial assets and financial liabilities at fair value through profit or loss ( FVTPL ) are initially recognized on the trade date, at fair value (see below), with transaction costs recognized in the statements of comprehensive income. Other financial assets and financial liabilities are recognized on the date on which they are originated at fair value. The ETF classifies financial assets and financial liabilities into the following categories: Financial assets at fair value through profit or loss: - Held for trading: derivative financial instruments - Designated as at fair value through profit or loss: debt securities and equity investments Financial assets at amortized cost: All other financial assets are classified as loans and receivables Financial liabilities at fair value through profit or loss: - Held for trading: derivative financial instruments Financial liabilities at amortized cost: all other financial liabilities are classified as other financial liabilities (ii) Fair value measurement Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date in the principal or, in its absence, the most advantageous market to which the ETF has access at that date. The fair value of a liability reflects its non-performance risk. Investments are valued at fair value as of the close of business on each day upon which a session of the TSX is held ( Valuation Date ) and based on external pricing sources to the extent possible. Investments held that are traded in an active market through recognized public stock exchanges, over-the-counter markets, or through recognized investment dealers, are valued at their closing sale price. However, such prices may be adjusted if a more accurate value can be obtained from recent trading activity or by incorporating other relevant information that may not have been reflected in pricing obtained from external sources. Short-term investments, including notes and money market instruments, are valued at amortized cost which approximates fair value. Investments held that are not traded in an active market, including some derivative financial instruments, are valued using observable market inputs where possible, on such basis and in such manner as established by the Manager. Derivative financial instruments are recorded in the statements of financial position according to the gain or loss that would be realized if the contracts were closed out on the Valuation Date. Margin deposits, if any, are included in the schedule of investments as margin deposits. See also the summary of fair value measurements in note 7. Fair value policies used for financial reporting purposes are the same as those used to measure the net asset value ( NAV ) for transactions with unitholders. 20

24 Notes to Financial Statements (unaudited) (continued) June 30, 2016 The fair value of other financial assets and liabilities approximates their carrying values due to the short-term nature of these instruments. (iii) Offsetting Financial assets and liabilities are offset and the net amount presented in the statements of financial position when there is a legally enforceable right to offset the recognized amounts and there is an intention to settle on a net basis, or to realize the asset and settle the liability simultaneously. Income and expenses are presented on a net basis for gains and losses from financial instruments at fair value through profit or loss and foreign exchange gains and losses. (iv) Specific instruments Cash and cash equivalents Cash and cash equivalents consist of cash on deposit and short-term, interest bearing notes with a term to maturity of less than three months from the date of purchase. Forward foreign exchange contracts Forward foreign exchange contracts, if any, are valued at the current market value thereof on the Valuation Date. The value of these forward contracts is the gain or loss that would be realized if, on the Valuation Date, the positions were to be closed out and recorded as derivative assets and/or liabilities in the statements of financial position and as a net change in unrealized appreciation (depreciation) of investments and derivatives in the statements of comprehensive income. When the forward contracts are closed out or mature, realized gains or losses on forward contracts are recognized and are included in the statements of comprehensive income in net realized gain (loss) on sale of investments and derivatives. The Canadian dollar value of forward foreign exchange contracts is determined using forward currency exchange rates supplied by an independent service provider. Redeemable units The redeemable units are measured at the present value of the redemption amounts and are considered a residual amount of the net assets attributable to holders of redeemable units. They are classified as financial liabilities as a result of the ETF s requirement to distribute net income and capital gains to unitholders and because the ETF has multiple classes of units with different features, as described in note 10. (b) Investment income Investment transactions are accounted for as of the trade date. Realized gains and losses from investment transactions are calculated on a weighted average cost basis. The difference between fair value and average cost, as recorded in the financial statements, is included in the statements of comprehensive income as part of the net change in unrealized appreciation (depreciation) of investments and derivatives. Interest income for distribution purposes from investments in bonds and short-term investments represents the coupon interest received by the ETF accounted for on an accrual basis. The ETF does not amortize premiums paid or discounts received on the purchase of fixed income securities. The ETF does not use the effective interest method. Dividend income is recognized on the ex-dividend date. Distribution income from investments in other funds or ETFs is recognized when earned. 21

25 Notes to Financial Statements (unaudited) (continued) June 30, 2016 Income from derivatives is shown in the statements of comprehensive income as net realized gain (loss) on sale of investments and derivatives; net change in unrealized appreciation (depreciation) of investments and derivatives; and, interest income for distribution purposes, in accordance with its nature. Income from securities lending, if any, is included in Securities lending income on the statements of comprehensive income and is recognized when earned. Any securities on loan continue to be displayed in the schedule of investments and the market value of the securities loaned and collateral held is determined daily (see note 8). If the ETF incurs 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 as a separate expense in the statements of comprehensive income. (c) Foreign currency Transactions in foreign currencies are translated into the ETF s reporting currency using the exchange rate prevailing on the trade date. Monetary assets and liabilities denominated in foreign currencies at the reporting date are translated at the period-end exchange rate. Foreign exchange gains and losses are presented as Net realized gain (loss) on foreign exchange, except for those arising from financial instruments at fair value through profit or loss, which are recognized as a component within Net realized gain (loss) on sale of investments and derivatives and Net change in unrealized appreciation (depreciation) of investments and derivatives in the statements of comprehensive income. (d) Cost basis The cost of portfolio investments is determined on an average cost basis. (e) Increase (decrease) in net assets attributable to holders of redeemable units per unit The increase (decrease) in net assets per unit by class in the statements of comprehensive income represents the change in net assets attributable to holders of redeemable units from operations attributable to each class divided by the weighted average number of units of that class outstanding during the reporting period. Income, expenses other than management fees, and realized and unrealized capital gains (losses) are distributed amongst the different classes of units in proportion to the amount invested in them. For management fees please refer to note 10. (f) Unitholder transactions The value at which units are issued or redeemed is determined by dividing the net asset value of the class by the total number of units outstanding of that class on the Valuation Date. Amounts received on the issuance of units and amounts paid on the redemption of units are included in the statements of changes in financial position. (g) Amounts receivable (payable) relating to portfolio assets sold (purchased) In accordance with the ETF s policy of trade date accounting for sale and purchase transactions, sales/purchase transactions awaiting settlement represent amounts receivable/payable for securities sold/purchased, but not yet settled as at the reporting date. 22

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