Horizons Enhanced Income Financials ETF (HEF:TSX)

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1 Interim Report June 30, 2017 Horizons Enhanced Income Financials ETF (HEF: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...7 Past Performance...11 Summary of Investment Portfolio...12 MANAGER S RESPONSIBILITY FOR FINANCIAL REPORTING...14 FINANCIAL STATEMENTS Statements of Financial Position...15 Statements of Comprehensive Income...16 Statements of Changes in Financial Position...17 Statements of Cash Flows...18 Schedule of Investments...19 Notes to Financial Statements...21

3 Letter from the President and Co-CEO: The first six months of 2017 have been full of important developments for both the global capital markets, ETFs generally and, in particular, for Horizons ETFs Management (Canada) Inc. Much of the momentum for the world s equity markets from late 2016 has carried into the first half of From an economic perspective, the global economy seems to finally be in-sync in its recovery from the global financial crisis. While U.S. equities continued to rise, previously underperforming regions of the world such as Europe and a China-led recovery in emerging markets saw even stronger returns. Now with 77 ETFs listed, Horizons ETFs offers a breadth of actively and passively managed products to benefit from this global surge in equity prices. To date, Horizons ETFs has raised more than CAD$1.1 billion in net new assets this year, which are dispersed widely across a number of asset classes. Of particular note, more than half of these inflows have come into our benchmark family of ETFs, which are predominantly comprised of our innovative family of Total Return Index (TRI) ETFs. This is an important development for our firm because, although more than half of our assets are in our actively managed family of ETFs, we are becoming an important player in Canada in offering tax-efficient index ETF strategies. On the Canadian equity side, Horizons ETFs offers arguably the lowest-cost family of index ETFs in Canada. The Horizons S&P/TSX 60 Index ETF (HXT) is the lowest-cost ETF in Canada and the Horizons Cdn High Dividend Index ETF (HXH) is one of the lowest-cost Canadian dividend focused ETFs. For investors seeking more specific sector exposure, the Horizons S&P/ TSX Capped Energy Index ETF (HXE) and the Horizons S&P/TSX Capped Financials Index ETF (HXF) are the lowest-cost ETFs in Canada offering exposure to these two large segments of the Canadian economy. We are quickly becoming a go-to ETF provider for investors looking for tax efficient core equity allocations to add to their portfolios. Of course, we have also continued our tradition of being Canada s leading provider of innovative ETF solutions. April saw the most noteworthy ETF launch in our firm s history, with the listing of the Horizons Marijuana Life Sciences Index ETF ( HMMJ ). As the world s first marijuana-focused ETF, we received global news coverage from such publications as the Wall Street Journal and The Economist. It was also one of the fastest-growing ETFs in Canadian history, as HMMJ surpassed more than $100 million in assets a mere three days after its launch. Our undertaking to you is to continue to bring forward new and innovative ETF solutions to the Canadian market. The one constant about the Canadian investment landscape is that it is always evolving. We work hard to be the ETF provider of choice for investors looking for ETF strategies to take advantage of all market conditions. For more information on all our strategies, please visit our website at where we offer a range of resources designed to help you become a more skilled ETF investor. Thank you for your continued support and wishing you strong returns for the rest of 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 Enhanced Income Financials ETF ( HEF 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 HEF is to provide unitholders with: (a) exposure to the performance of an equal weighted portfolio of Canadian banking, finance and financial services companies; and (b) monthly distributions of dividend and call option income. HEF invests primarily in a portfolio of equity and equity related securities of Canadian companies that are primarily exposed to Canadian banking, finance and financial services sectors and that, as at the Constituent Reset Date (see below), are amongst the largest and most liquid issuers listed on the Toronto Stock Exchange ( TSX ) in their sector. To mitigate downside risk and generate income, the ETF s investment manager actively manages a covered call strategy that generally writes out of the money covered call options on up to 100% of the portfolio securities. The level of covered call option writing may vary based on market volatility and other factors. To achieve its investment objective, HEF invests in an equal weighted portfolio of Canadian companies that are involved in the Canadian banking, finance and financial services industries. Semi-annually, the investment manager selects from the largest and most liquid Canadian issuers listed on the TSX in this sector and invests HEF in each issuer equally (the Constituent Reset Date ). HEF rebalances, on an equal weight basis, the portfolio of constituent securities on each Constituent Reset Date. The number of issuers included in the equal weighted portfolio may change on a Constituent Reset Date. Between Constituent Reset Dates, the allocation between each of these constituent securities will change due to market movement and the investment manager will not re-allocate, include or exclude issuers from HEF s portfolio until its next rebalance date or Constituent Reset Date, other than when, in the opinion of the investment manager, circumstances necessitate a change. 1

5 Management Discussion of Fund Performance (continued) Horizons Enhanced Income Financials ETF Risk Please refer to the ETF s most recent prospectus for a complete description of HEF s investment restrictions. The Manager performs a review of the ETF s risk rating at least annually, as well as when there is a material change in the ETF s investment objective or investment strategies. The current risk rating for the ETF is: medium. Risk ratings are determined based on the historical volatility of the ETF as measured by the standard deviation of its performance against its mean. The risk categorization of the ETF may change over time and historical volatility is not indicative of future volatility. Generally, a risk rating is assigned to the ETF based on a blend of the historical rolling 3-year and 5-year standard deviations of its return, the return of an underlying index, or of an applicable proxy index. In cases where the Manager believes that this methodology produces a result that is not indicative of the ETF s future volatility, the risk rating may be determined by the ETF s category. Risk ratings are not intended for use as a substitute for undertaking a proper and complete suitability or financial assessment by an investment advisor. 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. Use of options risk Stock market risk Specific issuer risk Sector risk Concentration risk Regulatory risk Corresponding net asset value risk Designated broker/dealer risk Cease trading or securities risk Exchange risk Early closing risk No assurance of meeting investment objectives No guaranteed return Tax risk Securities lending, repurchase and reverse repurchase transaction risk Liability of unitholders Reliance on key personnel Derivatives risk Foreign stock exchange risk Suitability of investment in units Conflicts of interest Results of Operations For the six-month period ended June 30, 2017, the Class E units of the ETF returned 0.40%, when including distributions paid to unitholders. This compares to the S&P/TSX Capped Financials Index (the Index ), which returned 2.55% over the same period on a total return basis. The Class E units had an average annualized distribution yield of 6.29% when including distributions of $0.28. The underlying equity portfolio return, exclusive of the covered call strategy, retuned 0.74% over the same period. 2 For the period from January 1 to their termination on April 28, 2017, Advisor Class units of the ETF returned -0.52%, when including distributions paid to unitholders. For the same period, the Index returned 2.03% on a total return basis. The

6 Management Discussion of Fund Performance (continued) Horizons Enhanced Income Financials ETF Advisor Class units had an average annualized distribution yield of 5.03% when including distributions of $0.15 for the period up until termination. The underlying equity portfolio return, exclusive of the covered call strategy, was 0.05% over the same period. The Index imposes capped weights on the index constituents included in the S&P/TSX Composite Index that are classified in the Global Industry Classification Standard (GICS) financial sector. The relative weight of any single Index constituent security is capped at 25%. Market Review For the first couple of months of 2017, the Canadian financial sector continued the torrid upward pace observed in the final few months of 2016, reaching new all-time highs in February. In early March, these financial names began to cool as lofty valuations weighed and concerns over high personal debt levels and elevated housing prices crept into investor sentiment. A relatively unexpected decrease in longer-term U.S. yields starting in mid-march may have also given pause to holders of banking and insurance companies, as these names will often benefit from a steepening of the yield curve. Levels of option pricing softened into a broader and pronounced drop in both realized and implied volatility in many equity markets. Levels of complacency, despite a number of ongoing themes that might normally lead to some movement in volatility, remained high. Skepticism about the Trump administration s true ability to implement any significant legislation may have crept into Canadian markets somewhat, but geopolitical turmoil in North Korea and Russia would have little effect on markets. Fear gauge indicators such as the VIX (Chicago Board Options Exchange Market Volatility Index) and VIX Canada remained in benign territory. The VIX dropped below 10 a number of times in the period and reached a new all-time intra-day low of 9.37 on June 9, Similar low levels were achieved in Canadian markets. Measures of broader realized volatility reached low levels not seen in decades. While this has led to lower harvested option premiums we are heartened by the fact that ratios of option pricing to measures of actual movement remain very wide and still very conducive to the covered call strategy going forward. Option Writing Strategy During each month, options are generally written on up to 100% of the equities in the portfolio of the ETF. The premiums are received from selling call options approximately one(1) standard deviation out-of-the-money. The ETF s monthly distributions are not fixed, but vary as the premiums generated from covered call writing are earned and passed through, and will change with changes in implied volatility and time to option expiration. Distributions also vary based on the dividends received from the securities in the ETF s portfolio during the period. Rebalancing The equity positions in the ETF are rebalanced to equal weightings semi-annually with the objective of maintaining an equity basket of large cap Canadian corporations that are primarily exposed to the banking, finance, and financial services sectors. The most recent rebalancing took place in March 2017 and. There were no changes to any of the portfolio constituents, which number 12 names. Other Operating Items and Changes in Net Assets Attributable to Holders of Redeemable Units For the six-month period ended June 30, 2017, the ETF generated gross comprehensive income (loss) from investments and derivatives of $195,881. This compares to $704,199 for the six-month period ended June 30, The ETF incurred management, operating and transaction expenses of $127,856 (2016 $152,671) of which $32,531 (2016 $45,531) 3

7 Management Discussion of Fund Performance (continued) Horizons Enhanced Income Financials ETF 4 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 distributed $521,416 to Class E unitholders and $25,226 to Advisor Class unitholders during the period (2016 Class E: $482,728, Advisor Class: $41,642). 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 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. Subject to regulatory and other necessary third party approvals, a stock exchange sponsored execution program may become available which would allow investors to purchase and sell Class E units of the ETF based on transaction prices calculated as at the end-of-day net asset value, plus any fee payable to the investor s dealer for the dealer s facilitation of the purchase or sale. The Manager will issue a news release announcing the details of any such stock exchange sponsored execution program. 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 for periods starting on or after January 1, 2013, is referring to net assets or increase (decrease) in net assets attributable to holders of redeemable units as reported under IFRS. Any information presented for periods prior to January 1, 2013, is in accordance with Canadian generally accepted accounting principles ( Canadian GAAP ). Recent Developments Other than indicated below, there are no recent industry, management or ETF related developments that are pertinent to the present and future of the ETF.

8 Management Discussion of Fund Performance (continued) Horizons Enhanced Income Financials ETF Conversion and Termination of Advisor Class units The Manager completed the previously announced conversion (the Conversion ) of the ETF s advisor class units ( Advisor Class units ) into the ETF s common class units ( Class E units ) at the close of business on April 28, 2017 (the Conversion Date ). The remaining unitholders of record of the Advisor Class units as at the Conversion Date received a number of whole Class E units of the ETF with an aggregate net asset value ( NAV ) equal to the aggregate NAV of the Advisor Class units converted, based on the respective NAVs of the two classes as at the Conversion Date (the Conversion Ratio ). The ETF s Conversion Ratio was , meaning, that for each Advisor Class unit of the ETF subject to the Conversion, the unitholder received Class E units of the ETF. The conversion of Advisor Class units into whole Class E units of the ETF did not give rise to a disposition by unitholders of converting Advisor Class units for tax purposes on any whole units converted. Any remaining fractional Advisor Class units were redeemed for cash and such redemption is considered a disposition for tax purposes. Immediately following the completion of the Conversion, the Advisor Class units were terminated. 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 wholly-owned 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 During the period, an affiliate of National Bank of Canada ( NBC ) and National Bank Financial Inc. ( NBF ) held an indirect minority interest in the Manager. NBF acted as a designated broker, an underwriter and/or a registered trader (market maker). These relationships may have created an actual or perceived conflict of interest which investors may have considered in relation to an investment in the ETF. In particular, by virtue of these relationships, NBF may have profited from the sale and trading of the ETF s units. NBF, as market maker of the ETF in the secondary market, may therefore have had economic interests which may have differed from and were adverse to those of unitholders. NBF s potential roles as a designated broker and a dealer of the ETF was 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 5

9 Management Discussion of Fund Performance (continued) Horizons Enhanced Income Financials ETF its affiliates, and the Manager and its affiliates may have extended 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 was a related party to the Manager during the period. The Manager was permitted to execute these transactions without seeking advance approval from the ETF s Independent Review Committee ( IRC ), provided the Manager complied with the predetermined list of requirements agreed upon with the IRC. For the periods ended June 30, 2017 and 2016, the ETF paid $16,551 ( $28,349) to NBF, and/or its affiliates in broker commissions on portfolio transactions. Effective June 30, 2017, Horizons Management acquired the minority interest of AlphaPro owned by an affiliate of NBC and as a result, is the sole shareholder of AlphaPro. Accordingly, NBC and NBF are no longer considered affiliates or related parties of AlphaPro or the Investment Manager. 6

10 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 for the current interim period and the past five fiscal years. 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 (1) Net assets, beginning of period $ Increase (decrease) from operations: Total revenue Total expenses (0.05) (0.10) (0.09) (0.10) (0.13) (0.07) Realized gains (losses) for the period (0.45) (0.23) Unrealized gains (losses) for the period (0.47) 0.71 (1.46) (0.04) Total increase (decrease) from operations (2) (0.39) Distributions: From net investment income (excluding dividends) (0.28) From dividends (0.24) (0.23) (0.21) (0.19) (0.20) From net realized capital gains (0.28) (0.36) (0.08) From return of capital (0.26) (0.30) (0.47) Total distributions (3) (0.28) (0.52) (0.59) (0.55) (0.49) (0.67) Net assets, end of period (4) $

11 Financial Highlights (continued) Advisor Class Period (1) Net assets, beginning of period $ Increase (decrease) from operations: Total revenue Total expenses (0.05) (0.16) (0.16) (0.17) (0.19) (0.13) Realized gains (losses) for the period (0.45) (0.23) Unrealized gains (losses) for the period (0.37) 0.63 (1.36) (0.05) Total increase (decrease) from operations (2) (0.08) 1.25 (0.35) Distributions: From net investment income (excluding dividends) (0.15) From dividends (0.18) (0.18) (0.15) (0.11) (0.15) From net realized capital gains (0.27) (0.35) (0.08) From return of capital (0.25) (0.32) (0.45) Total distributions (3) (0.15) (0.45) (0.53) (0.48) (0.43) (0.60) Net assets, end of period (4) $ This information is derived from the ETF s unaudited interim financial statements as at June 30, 2017, for Class E units, and the audited annual financial statements as at December 31 of the other years shown for both Class E and Advisor Class units. Unaudited Advisor Class information for 2017 is presented as at the termination date of those units on April 28, Class E units of the ETF have an initial net asset value of $10.00 as at May 16, Advisor Class units of the ETF have an initial net asset value of $8.70 as at September 8, Information from 2013 onwards is in accordance with IFRS. Information for years prior to 2013 is reported under Canadian GAAP. 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. 8

12 Financial Highlights (continued) Ratios and Supplemental Data Class E Period (1) Total net asset value (000 s) $ 17,392 16,349 15,870 18,748 21,879 25,874 Number of units outstanding (000 s) 2,001 1,830 1,974 2,094 2,440 3,131 Management expense ratio (2) 0.83% 0.82% 0.80% 0.80% 0.79% 0.80% Management expense ratio before waivers and absorptions (3) 1.20% 1.20% 1.17% 1.08% 1.07% 1.13% Trading expense ratio (4) 0.23% 0.36% 0.26% 0.30% 0.70% 0.78% Portfolio turnover rate (5) 29.68% 74.81% 29.57% 22.69% 74.38% % Net asset value per unit, end of period $ Closing market price $ Advisor Class Period (1) Total net asset value (000 s) $ 1,462 1,279 1,551 2,621 2,619 3,041 Number of units outstanding (000 s) Management expense ratio (2) 1.62% 1.62% 1.61% 1.60% 1.58% 1.60% Management expense ratio before waivers and absorptions (3) 1.95% 2.04% 2.00% 1.91% 1.89% 1.98% Trading expense ratio (4) 0.23% 0.36% 0.26% 0.30% 0.70% 0.78% Portfolio turnover rate (5) 29.68% 74.81% 29.57% 22.69% 74.38% % Net asset value per unit, end of period $ Closing market price $ This information is provided as at June 30, 2017, for Class E units, April 28, 2017, for Advisor Class units (the termination date of those units) and December 31 of the other years shown. Information from 2013 onwards is in accordance with IFRS. Information for years prior to 2013 is reported under Canadian GAAP. 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. Transaction costs related to the purchase and/or sale of fixed income securities are typically imbedded in the price of those transactions and are therefore not included in the trading expense ratio. 5. 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. 9

13 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 0.65%, plus applicable sales taxes, of the net asset value of the ETF s Class E units, calculated and accrued daily and payable monthly in arrears. Up until the termination of the ETF s Advisor Class units on April 28, 2017, as described in the section on Recent Developments, the ETF also received a monthly management fee at the annual rate of 1.40%, 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. In addition, up until the termination of the Advisor Class units, the Manager, and not the ETF, paid 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 is compensated for its 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 6% 45% 49% 10

14 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 % 15.00% 10.00% Rate of Return 5.00% 0.00% -5.00% % Class E -8.84% 7.48% 15.00% 6.10% -3.68% 18.34% 0.40% Advisor Class -0.11% 6.64% 14.10% 5.27% -4.44% 17.41% -0.52% Class E units of the ETF have an initial net asset value of $10.00 as at May 16, 2011, and Advisor Class units of the ETF have an initial net asset value of $8.70 as at September 8, The Advisor Class returns for 2017 are up to the termination date of that class of units on April 28,

15 Summary of Investment Portfolio As at June 30, 2017 % of ETF s Asset Mix Net Asset Value Net Asset Value Long Positions Canadian Equities $ 17,298, % Cash and Cash Equivalents 552, % Other Assets less Liabilities (354,972) -2.04% Short Positions Equity Call Options (103,947) -0.60% $ 17,392, % % of ETF s Sector Mix Net Asset Value Net Asset Value Long Positions Financials $ 17,298, % Cash and Cash Equivalents 552, % Other Assets less Liabilities (354,972) -2.04% Short Positions Equity Call Options (103,947) -0.60% $ 17,392, % 12

16 Summary of Investment Portfolio (continued) As at June 30, 2017 Top Holdings % of ETF s Net Asset Value Intact Financial Corp. 8.74% Bank of Nova Scotia (The) 8.63% Manulife Financial Corp. 8.59% Toronto-Dominion Bank (The) 8.48% IGM Financial Inc. 8.36% Royal Bank of Canada 8.33% National Bank of Canada 8.11% Bank of Montreal 8.09% Sun Life Financial Inc. 8.06% Great-West Lifeco Inc. 8.02% Canadian Western Bank 7.78% Canadian Imperial Bank of Commerce 7.67% 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 13

17 MANAGER S RESPONSIBILITY FOR FINANCIAL REPORTING The accompanying unaudited interim financial statements of Horizons Enhanced Income Financials ETF (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. 14

18 Statements of Financial Position (unaudited) As at June 30, 2017 and December 31, Assets Cash and cash equivalents $ 552,444 $ 730,914 Investments 17,298,870 17,674,150 Amounts receivable relating to accrued income 57,543 60,686 Amounts receivable relating to portfolio assets sold 483,538 Total assets 18,392,395 18,465,750 Liabilities Accrued management fees 10,117 11,573 Accrued operating expenses 2,718 3,711 Amounts payable for portfolio assets purchased 779, ,937 Distribution payable 103,234 80,932 Derivative liabilities (note 3) 103,947 73,770 Total liabilities 1,000, ,923 Total net assets (note 2) $ 17,392,395 $ 17,627,827 Total net assets, Class E $ 17,392,395 $ 16,348,682 Number of redeemable units outstanding, Class E (note 9) 2,000,665 1,830,143 Total net assets per unit, Class E $ 8.69 $ 8.93 Total net assets, Advisor Class $ $ 1,279,145 Number of redeemable units outstanding, Advisor Class (note 9) 142,549 Total net assets per unit, Advisor Class $ $ 8.97 (See accompanying notes to financial statements) Approved on behalf of the Board of Directors of the Manager: Steven J. Hawkins Taeyong Lee 15

19 Statements of Comprehensive Income (unaudited) For the Periods Ended June 30, Income Dividend income $ 313,880 $ 344,658 Securities lending income (note 8) Net realized gain on sale of investments and derivatives 830, ,892 Net change in unrealized appreciation (depreciation) of investments and derivatives (948,314) 217, , ,199 Expenses Management fees (note 10) 66,203 67,230 Audit fees 6,343 6,422 Independent Review Committee fees Custodial fees 1, Securityholder reporting costs 14,471 26,652 Administration fees 19,775 19,597 Transaction costs 19,804 31,744 Other expenses , ,671 Amounts that were payable by the investment fund that were paid or absorbed by the Manager (32,531) (45,531) 95, ,140 Increase in net assets for the period $ 100,556 $ 597,059 Increase in net assets, Class E $ 113,273 $ 550,095 Increase in net assets per unit, Class E Increase (decrease) in net assets, Advisor Class $ (12,717) $ 46,964 Increase (decrease) in net assets per unit, Advisor Class (0.08) 0.24 (See accompanying notes to financial statements) 16

20 Statements of Changes in Financial Position (unaudited) For the Periods Ended June 30, Total net assets at the beginning of the period $ 17,627,827 $ 17,421,141 Increase in net assets 100, ,059 Redeemable unit transactions Proceeds from the issuance of securities of the investment fund 2,337,537 Aggregate amounts paid on redemption of securities of the investment fund (2,146,508) (618,625) Securities issued on reinvestment of distributions 19,625 28,915 Distributions: From net investment income (546,642) (524,370) Total net assets at the end of the period $ 17,392,395 $ 16,904,120 Total net assets at the beginning of the period, Class E $ 16,348,682 $ 15,870,490 Increase in net assets, Class E 113, ,095 Redeemable unit transactions Proceeds from the issuance of securities of the investment fund 2,107,108 Aggregate amounts paid on redemption of securities of the investment fund (674,570) (618,625) Securities issued on reinvestment of distributions 19,318 26,758 Distributions: From net investment income (521,416) (482,728) Total net assets at the end of the period, Class E $ 17,392,395 $ 15,345,990 Total net assets at the beginning of the period, Advisor Class $ 1,279,145 $ 1,550,651 Increase (decrease) in net assets, Advisor Class (12,717) 46,964 Redeemable unit transactions Proceeds from the issuance of securities of the investment fund 230,429 Aggregate amounts paid on redemption of securities of the investment fund (1,471,938) Securities issued on reinvestment of distributions 307 2,157 Distributions: From net investment income (25,226) (41,642) Total net assets at the end of the period, Advisor Class $ $ 1,558,130 (See accompanying notes to financial statements) 17

21 Statements of Cash Flows (unaudited) For the Periods Ended June 30, Cash flows from operating activities: Increase in net assets for the period $ 100,556 $ 597,059 Adjustments for: Net realized gain on sale of investments and derivatives (830,092) (141,892) Net change in unrealized depreciation (appreciation) of investments and derivatives 948,314 (217,463) Purchase of investments (5,043,283) (4,398,428) Proceeds from the sale of investments 4,959,027 5,781,482 Amounts receivable relating to accrued income 3,143 29,057 Accrued expenses (2,449) (1,517) Net cash from operating activities 135,216 1,648,298 Cash flows from financing activities: Amount received from the issuance of units 875,524 Amount paid on redemptions of units (684,495) (1,022,300) Distributions paid to unitholders (504,715) (566,954) Net cash used in financing activities (313,686) (1,589,254) Net increase (decrease) in cash and cash equivalents during the period (178,470) 59,044 Cash and cash equivalents at beginning of period 730, ,654 Cash and cash equivalents at end of period $ 552,444 $ 180,698 Dividends received, net of withholding taxes $ 317,024 $ 373,715 (See accompanying notes to financial statements) 18

22 Schedule of Investments (unaudited) As at June 30, 2017 Shares/ Average Fair Security Contracts Cost Value CANADIAN EQUITIES (99.46%) Financials (99.46%) Bank of Montreal 14,856 $ 1,123,134 $ 1,414,588 Bank of Nova Scotia (The) 19,232 1,440,118 1,500,288 Canadian Imperial Bank of Commerce 12,680 1,091,775 1,336,345 Canadian Western Bank 50,216 1,505,841 1,374,914 Great-West Lifeco Inc. 39,932 1,147,008 1,403,610 IGM Financial Inc. 36,405 1,573,155 1,464,209 Intact Financial Corp. 15,770 1,366,736 1,544,829 Manulife Financial Corp. 61,843 1,402,032 1,503,404 National Bank of Canada 26,047 1,319,412 1,420,343 Royal Bank of Canada 15,387 1,091,129 1,448,840 Sun Life Financial Inc. 30,386 1,232,812 1,408,695 Toronto-Dominion Bank (The) 22,629 1,345,410 1,478,805 15,638,562 17,298,870 TOTAL CANADIAN EQUITIES 15,638,562 17,298,870 DERIVATIVES (-0.60%) SHORT POSITIONS (-0.60%) Equity Call Options (-0.60%) Bank of Montreal, July 2017, $94.00 CAD (22) (2,442) (3,861) Bank of Montreal, July 2017, $96.00 CAD (29) (754) (1,595) Bank of Montreal, August 2017, $98.00 CAD (37) (1,036) (1,184) Bank of Nova Scotia (The), July 2017, $80.00 CAD (64) (2,048) (704) Canadian Imperial Bank of Commerce, July 2017, $ CAD (12) (1,620) (1,728) Canadian Imperial Bank of Commerce, July 2017, $ CAD (25) (2,450) (187) Canadian Western Bank, July 2017, $27.00 CAD (276) (9,936) (20,010) Canadian Western Bank, July 2017, $28.00 CAD (100) (2,400) (2,450) Great-West Lifeco Inc., July 2017, $35.00 CAD (200) (6,200) (8,700) IGM Financial Inc., August 2017, $40.00 CAD (100) (7,850) (9,500) Intact Financial Corp., July 2017, $95.00 CAD (2) (127) (615) Intact Financial Corp., July 2017, $96.00 CAD (109) (5,462) (23,708) Manulife Financial Corp., July 2017, $24.00 CAD (150) (2,850) (7,575) Manulife Financial Corp., August 2017, $25.00 CAD (77) (2,618) (1,732) National Bank of Canada, July 2017, $54.00 CAD (102) (7,175) (9,894) National Bank of Canada, July 2017, $56.00 CAD (39) (897) (507) Royal Bank of Canada, July 2017, $96.00 CAD (22) (1,089) (517) Royal Bank of Canada, July 2017, $97.00 CAD (38) (1,368) (304) Royal Bank of Canada, July 2017, $98.00 CAD (30) (1,635) (180) Sun Life Financial Inc., July 2017, $46.00 CAD (90) (4,995) (6,480) 19

23 Schedule of Investments (unaudited) (continued) As at June 30, 2017 Shares/ Average Fair Security Contracts Cost Value Toronto-Dominion Bank (The), July 2017, $66.00 CAD (67) (2,479) (1,273) Toronto-Dominion Bank (The), August 2017, $66.00 CAD (22) (1,133) (1,243) (68,564) (103,947) TOTAL DERIVATIVES (68,564) (103,947) Transaction Costs (16,029) TOTAL INVESTMENT PORTFOLIO (98.86%) $ 15,553,969 $ 17,194,923 Cash and cash equivalents (3.18%) 552,444 Other assets less liabilities (-2.04%) (354,972) TOTAL NET ASSETS (100.00%) $ 17,392,395 (See accompanying notes to financial statements) 20

24 Notes to Financial Statements (unaudited) June 30, REPORTING ENTITY Horizons Enhanced Income Financials ETF ( HEF 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 May 16, 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 class E units ( Class E ) which trade on the Toronto Stock Exchange ( TSX ) under the symbol HEF. 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. Prior to their termination on April 28, 2017 (see below), the ETF also offered for sale on a continuous basis, by its prospectus, advisor class units ( Advisor Class ) which traded on the TSX under the symbol HEF.A. Advisors were directly compensated with a service fee on a trailing quarterly basis (the Service Fee ). The only difference between the Advisor Class and Class E units of the ETF was that the Advisor Class charged higher management fees that included the Service Fees paid to the advisor (see note 10). The investment objective of HEF is to provide unitholders with: (a) exposure to the performance of an equal weighted portfolio of Canadian banking, finance and financial services companies; and (b) monthly distributions of dividend and call option income. HEF invests primarily in a portfolio of equity and equity related securities of Canadian companies that are primarily exposed to Canadian banking, finance and financial services sectors and that, as at the Constituent Reset Date (see below), are amongst the largest and most liquid issuers listed on the Toronto Stock Exchange ( TSX ) in their sector. To mitigate downside risk and generate income, the ETF s investment manager actively manages a covered call strategy that generally writes out of the money covered call options on up to 100% of the portfolio securities. The level of covered call option writing may vary based on market volatility and other factors. 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. The Manager and Investment Manager are both members of the Mirae Asset Financial Group ( Mirae Asset ). Conversion and Termination of Advisor Class units The Manager completed the previously announced conversion (the Conversion ) of the ETF s advisor class units ( Advisor Class units ) into the ETF s common class units ( Class E units ) at the close of business on April 28, 2017 (the Conversion Date ). The remaining unitholders of record of the Advisor Class units as at the Conversion Date received a number of whole Class E units of the ETF with an aggregate net asset value ( NAV ) equal to the aggregate NAV of the Advisor Class units converted, based on the respective NAVs of the two classes as at the Conversion Date (the Conversion Ratio ). The ETF s Conversion Ratio was , meaning, that for each Advisor Class unit of the ETF subject to the Conversion, the unitholder received Class E units of the ETF. The conversion of Advisor Class units into whole Class E units of the ETF did not give rise to a disposition by unitholders of converting Advisor Class units for tax purposes on any whole units converted. Any remaining fractional Advisor Class units were redeemed for cash and such redemption is considered a disposition for tax purposes. 21

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