HAP Nexus Hedge Fund Replication Trust

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1 Interim Report June 30, 2016 HAP Nexus Hedge Fund Replication Trust 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...9 Summary of Investment Portfolio MANAGER S RESPONSIBILITY FOR FINANCIAL REPORTING...12 FINANCIAL STATEMENTS Statements of Financial Position...13 Statements of Comprehensive Income...14 Statements of Changes in Financial Position...15 Statements of Cash Flows...16 Schedule of Investments...17 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 HAP Nexus Hedge Fund Replication Trust (the Fund ) contains financial highlights and is included with the unaudited interim financial statements for the investment fund. You may request a copy of the Fund 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 Fund 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 Fund may invest and the risks detailed from time to time in the Fund 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 Fund, investors and others should carefully consider these factors, as well as other uncertainties and potential events, and the inherent uncertainty of forward-looking statements. Due to the potential impact of these factors, 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 Fund s investment objective is to seek to acquire a currency hedged portfolio of futures contracts, money market instruments, exchange traded funds ( ETFs ) and cash that endeavours to replicate, to the best of its ability, the performance of the Morningstar Broad Hedge Fund Index (the Hedge Fund Index ), hedged to the Canadian dollar, net of expenses. The Fund does not invest, directly or indirectly, in the constituent hedge funds comprising the Hedge Fund Index. In order to achieve its investment objectives, the Fund seeks to track the performance of the Hedge Fund Index by using the Nexus Hedge Fund Index Replication Strategy (the Replication Strategy ). The Replication Strategy is a factor-based index replication method which uses statistical models to estimate the net exposure of the Hedge Fund Index s components to its main return-generating factors, which usually correspond to the main asset classes available on financial markets. National Bank of Canada ( NBC or the Replication Strategy Weightings Provider ) owns rights to use the Replication Strategy which will be implemented by the Fund s investment manager, Horizons ETFs Management (Canada) Inc. ( Horizons Management or the Investment Manager ). The Manager licenses use of the Replication Strategy from NBC. The Fund will use derivatives, including futures contracts and forwards, for hedging purposes. The Fund will be primarily invested in a basket of liquid futures contracts, money market instruments, cash, and, from time to time, ETFs. 1

5 Management Discussion of Fund Performance (continued) The Morningstar Broad Hedge Fund Index The Hedge Fund Index is a rules-based, asset-weighted index based on the largest and broadest hedge fund database in the hedge fund industry. The Hedge Fund Index is designed to capture the performance and behaviour of the most liquid hedge funds offering exposure to a wide spectrum of core and category hedge fund strategies. The Hedge Fund Index is comprised of between 600 and 800 U.S. based hedge funds from a universe of more than 7,000 single strategy and fundof-fund hedge funds. Many hedge funds have high initial investment requirements and long hold periods, both of which make it difficult for any investor to purchase and maintain a portfolio that holds all of the hedge funds listed in the Hedge Fund Index. As a result, the Hedge Fund Index is considered to be an un-investible index. Please refer to the Fund s prospectus and most recent annual information form for a complete explanation of the Fund s investment restrictions. Risk Investments in the units of the Fund are speculative, involve a degree of risk and are suitable only for persons who are able to assume the risk of losing their entire investment. The Manager, as a summary for existing investors, is providing the list below of the risks to which an investment in the Fund may be subject. Prospective investors should read the Fund s prospectus and consider the full description of the risks contained therein before purchasing units. The risks to which an investment in the Fund is subject are listed below and have not changed from the list of risks found in the Fund s prospectus. A full description of each risk listed below may also be found in the prospectus. The prospectus is available at or from or by contacting AlphaPro Management Inc. directly via the contact information on the back page of this document. Inability to achieve investment objective Risks relating to index Replication Strategy Leverage risk Purpose of the Replication Index and Replication Strategy Risks relating to use of derivatives Calculation, or termination, of the Hedge Fund Index Reliance on key personnel Tax-related risks Foreign security risk Foreign currency risk Political, economic and social risk Hedging risk Conflicts of interest Loss of limited liability Change in legislation No ownership interest Securities lending risk Operating history and market for units Limited history of the Hedge Fund Index Status of the fund for securities law purposes Not a trust company Nature of the units Results of Operations 2 For the six-month period ended June 30, 2016, the Fund returned 2.85%. The Fund seeks to provide a similar risk/return profile to its benchmark, the Hedge Fund Index, which returned 0.94% for the same period. The difference between the Hedge Fund Index and the Fund s performance can be explained by the fact that the asset class and sector weights of hedge fund companies and invested securities are unknown to the Fund s Investment Manager. The Replication Strategy is a factor-based index replication method which uses statistical models to estimate the net exposure of the Hedge Fund Index s components to its main return-generating factors, which usually correspond to the main asset classes available on financial markets.

6 Management Discussion of Fund Performance (continued) HAP Nexus Hedge Fund Replication Trust Market and Portfolio Review The following discussion examines how the Fund s returns were affected by its exposure to the following asset classes: equity, fixed income, foreign exchange, and commodities. Exposure to these asset classes allowed the Fund to offer a similar risk return profile to the Hedge Fund Index. Equity The first half of 2016 was very eventful for the equity component of the Fund. At one point in February, U.S. equities were down over 10% year-to-date, but rallied at the end of the first quarter to finish in positive territory. The second quarter was bullish until the results of the U.K. referendum on whether to leave the European Union, the result of which drove markets down globally. The S&P 500 was quick to recover, finishing the month of June at a high and generating a return of 3.84% for the first half of the year on a total return basis in U.S. dollars. The Fund decreased its long S&P 500 position during the first quarter, and increased its position during the second quarter. The Fund had a short position in the emerging markets futures contract throughout the first half of The economic growth rates of emerging markets continued to be faster than in developed markets, creating a loss for the strategy s short position during the first quarter. The second quarter was characterized by an increase in central bank easing expectations, also producing a loss in the emerging markets short position that offset the gains realized in the U.S. equity market. Fixed Income The fixed income component generated good returns for the Fund. The major contributors to performance were the German Bunds and Japanese 10-Year bonds. The fixed income allocation underwent a volatile first quarter, causing some major changes in the long Japanese 10-Year bond position, which more than doubled in exposure over the first quarter. The second quarter saw sovereign bond yields reach all-time lows following macro risks from the British referendum and elections in Europe. Uncertainties in Europe pushed investors to seek safer investments, contributing to the further surge of German and Japanese 10-year bonds. This benefitted the strategy s long U.S. 2-year, Australian 10-year, German 10- year, and Japanese 10-year bond positions. The long German 10-year bonds position generated large returns in both the first and second quarter. The exposure of German 10-year bonds, the Fund s third largest holding, increased over the first quarter before significantly decreasing over the second quarter. These gains in the long positions were partially offset by losses on short positions in the Australian 2-year, U.S. 10-year, and Canada 10-year bond positions. The strategy started the year being invested long the Canada 10-year bond, before being changing to a short position in March. Foreign Exchange The anticipation of the British referendum had a strong impact on the foreign exchange component of the portfolio. The Japanese yen (JPY) was pursued as a safe-haven in these uncertain times, resulting in the currency rising. The JPY had its strongest half year since 1999, creating a loss for the strategy s short JPY position. The Canadian dollar (CAD) followed the rising oil prices in the first quarter of 2016, creating a loss for the strategy s short position. CAD increased at a slower rate during the second quarter, and the short CAD exposure was decreased during the course of the period. The long Australian dollar (AUD) position of the first quarter was changed to a short position during the second quarter. 3

7 Management Discussion of Fund Performance (continued) HAP Nexus Hedge Fund Replication Trust The British pound (GBP) started the first quarter of 2016 in an upward trend, generating a loss for the strategy s short position. The unexpected Leave result of the U.K. referendum in June caused GBP to tumble by over 10% versus the U.S. dollar in the week following the vote to levels not seen in three decades. The strategy s short position in GBP finished the first half of the year with a gain. Commodities Agricultural future contracts generated good returns during the first half of The weather was a positive factor for these returns, and the Fund increased its exposure to soybean contracts. The soybean long position created a good return during the second quarter. The precious metals future contracts realized a loss. Uncertainty in the markets caused the price of silver to rise, producing a loss for the strategy s short silver position. The exposure to silver contracts was shrinking throughout This loss was reduced by a long gold position, which created a gain during the second quarter. The short natural gas position had a good return in the first quarter of However a loss during the second quarter offset these gains. The strategy reduced its short position as the downward trend on natural gas faded during the period. Other Operating Items and Changes in Net Assets Attributable to Holders of Redeemable Units For the six-month period ended June 30, 2016, the Fund generated gross comprehensive income (loss) from investments and derivatives of $1,619,634. This compares to ($782,527) for the six-month period ended June 30, The Fund paid management, operating and transaction expenses of $252,651 (2015 $191,298) of which $30,768 (2015 $37,391) was either paid or absorbed by the Manager on behalf of the Fund. 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 Fund did not make any distributions to unitholders during the periods ended June 30, 2016 and 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 Fund related developments that are pertinent to the present and future of the Fund. Change to the Investment Management Structure 4 On May 12, 2016, Horizons ETFs Management (Canada) Inc. assumed the duties previously performed by Fiera Capital Corporation ( Fiera ) as the investment sub-advisor to the Fund. There was no impact to the investment objectives and strategies as a result of this change.

8 Management Discussion of Fund Performance (continued) HAP Nexus Hedge Fund Replication Trust Related Party Transactions Certain services have been provided to the Fund by related parties and those relationships are described below. Manager, Trustee and Investment Manager The manager and trustee of the Fund 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 Fund s investment manager, and both entities are members of the Mirae Asset Financial Group. The Investment Manager is responsible for implementing the Fund s investment strategies. If the Fund invests in the Horizons Management ETFs, Horizons Management may receive management fees in respect of the Fund 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) for ETFs managed by AlphaPro. These relationships may create actual or perceived conflicts of interest which investors should consider. Fiera, the former sub-advisor of the Fund, is an affiliate of NBF and, as stated above, an affiliate of NBF holds an indirect minority interest in the Manager. As a result, up until the change to the investment management structure on May 12, 2016, Fiera was considered to be an associate of the Manager. NBF s potential roles as a designated broker and a dealer are not as an underwriter of the Fund in connection with the primary distribution of units under the Fund s prospectus. NBF was not involved in the preparation of, nor did it perform any review of, the contents of the Fund s prospectus. NBF and its affiliates may, at present or in the future, engage in business with the Fund and the issuers of securities making up the investment portfolio of the Fund, 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 periods ended June 30, 2016 and 2015, the Fund did not make any payments 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 Fund and are intended to help you understand the Fund s financial performance since it effectively began operations on April 16, This information is derived from the Fund 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 annual or interim financial statements. The Fund s Net Assets per Unit Class A Period Net assets, beginning of period (1) $ Increase (decrease) from operations: Total revenue Total expenses (0.06) (0.11) (0.09) (0.09) (0.19) Realized gains for the period Unrealized gains (losses) for the period 0.35 (0.49) Total increase (decrease) from operations (2) (0.11) Distributions: From net investment income (excluding dividends) (0.30) (1.68) (1.78) Total distributions (3) (0.30) (1.68) (1.78) Net assets, end of period (4) $ This information is derived from the Fund s unaudited interim financial statements as at June 30, 2016 and the audited annual financial statements as at December 31 of the other years shown. Units of the Fund list their initial net asset value of $10.00 as at April 16, 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. Distributions, if any, were paid in cash, reinvested in additional units of the Fund, or both. 4. The Financial Highlights are not intended to act as a continuity of the opening and closing net assets per unit. 6

10 Financial Highlights (continued) The Fund s Ratios and Supplemental Data Class A Period (1) Total net asset value (000 s) $ 53,180 49,720 31,259 23,502 19,837 Number of units outstanding (000 s) 3,693 3,551 2,285 1,996 2,005 Management expense ratio (2) 0.74% 0.69% 0.69% 0.68% 0.68% Management expense ratio before waivers and absorptions (3) 0.87% 0.83% 1.05% 1.28% 1.05% Trading expense ratio (4) 0.16% 0.10% 0.06% 0.17% 0.07% Portfolio turnover rate (5) 0.00% 0.00% 0.00% 0.00% 0.00% Net asset value per unit, end of period $ This information is provided as at June 30, 2016 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 Fund as portfolio 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 Fund. The waiving and/or absorption of such fees and/or expenses by the Manager may be terminated at any time, or continued indefinitely, at their discretion. 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 Fund s portfolio turnover rate indicates how actively its portfolio investments are traded. A portfolio turnover rate of 100% is equivalent to the Fund buying and selling all of the securities in its portfolio once in the course of the year. Generally, the higher the portfolio turnover rate in a year, the greater the trading costs payable by the Fund in the year, and the greater the chance of an investor receiving taxable capital gains in the year. There is not necessarily a relationship between a high turnover rate and the performance of the Fund. Futures transactions have zero transactional and markedto-market value at the time they are entered into, either as a long or short transaction. Even though these futures have a long or short notional exposure to an underlying asset, because of this zero transactional value it always results in a portfolio turnover calculation, as prescribed by National Instrument , of zero. 7

11 Financial Highlights (continued) Management Fees The Manager appoints the Investment Manager and provides, or oversees the provision of, administrative services required by the Fund 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 Fund; arranging for the maintenance of accounting records for the Fund; preparing reports to unitholders and to the applicable securities regulatory authorities; calculating the amount and determining the frequency of distributions by the Fund; preparing financial statements, income tax returns and financial and accounting information as required by the Fund; ensuring that unitholders are provided with financial statements and other reports as are required from time to time by applicable law; ensuring that the Fund complies with all other regulatory requirements, including the continuous disclosure obligations of the Fund under applicable securities laws; administering purchases, redemptions and other transactions in units of the Fund; and dealing and communicating with unitholders of the Fund. The Manager provides office facilities and personnel to carry out these services, if not otherwise furnished by any other service provider to the Fund. The Manager also monitors the investment strategies of the Fund to ensure that the Fund complies with its investment objectives, investment strategies and investment restrictions and practices. In consideration for the provision of these services, the Fund s Manager receives a monthly fee at the annual rate of 0.50% plus applicable sales taxes, of the net asset value of the Fund, calculated and accrued daily and payable monthly in arrears. The Investment Manager and Replication Strategy Weightings Provider are compensated for their services by the Manager without any further cost to the Fund. The table below details, in percentage terms, the services received by the Fund from the Manager in consideration of the management fees paid during the period. Portfolio management fees, Waived/absorbed expenses general administrative costs of the Fund Marketing and profit 9% 69% 22% 8

12 Past Performance Sales commissions, management fees and expenses all may be associated with an investment in the Fund. 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, if any, 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 Fund is not guaranteed. Its value changes frequently and past performance may not be repeated. The Fund s performance numbers assume that all distributions are reinvested in additional units of the Fund. If you hold this Fund 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 Fund, 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 performance of the Fund s 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% % Fund Short -3.15% 7.28% -0.60% 4.65% -4.45% Fund Long 2.09% 11.73% 16.77% -2.30% 7.30% Fund Total -1.06% 19.01% 16.17% 2.35% 2.85% Units of the Fund list their initial net asset value of $10.00 as at April 16,

13 Summary of Investment Portfolio As at June 30, 2016 % of Fund s Asset & Sector Mix Net Asset Value Net Asset Value Long Positions Short-Term Investments $ 16,975, % Futures Contracts Treasury Bond Speculative* 582, % Futures Contracts Commodity Speculative* 254, % Currency Forward Hedge* (26,205) -0.05% Futures Contracts Index Speculative* (212,913) -0.40% Cash and Cash Equivalents 46,076, % Margin Deposits 7,694, % Other Assets less Liabilities (18,042,513) % Short Positions Futures Contracts Currency Speculative* (20,393) -0.04% Futures Contracts Index Speculative* (27,569) -0.05% Futures Contracts Treasury Bond Speculative* (28,839) -0.05% Futures Contracts Commodity Speculative* (44,944) -0.08% $ 53,179, % *Positions in futures and/or forward contracts are disclosed as the gain/(loss) that would be realized if the contracts were closed out on the date of this report. 10

14 Summary of Investment Portfolio (continued) As at June 30, 2016 Top Holdings** % of Fund s Net Asset Value Long Positions Japanese 10-Year Mini Bond Futures 79.10% S&P 500 E-Mini Index Futures 52.30% Government of Canada Treasury Bill 31.92% Euro-Bund Futures 24.33% Soybean Commodity Futures 11.13% U.S. 2-Year Treasury Bond Futures 10.12% NY Harbor ULSD Commodity Futures 3.80% Australian 10-Year Treasury Bond Futures 2.47% Gold Commodity Futures 2.25% Crude Oil Commodity Futures 0.35% Short Positions U.S. 10-Year Treasury Bond Futures -0.32% Silver Commodity Futures -0.68% Australian Dollar Currency Futures -0.90% Natural Gas Commodity Futures -1.49% Copper Commodity Futures -2.00% Canadian 10-Year Treasury Bond Futures -2.51% British Pound Currency Futures -3.82% Wheat Commodity Futures -4.00% Canadian Dollar Currency Futures -5.25% Australian 3-Year Treasury Bond Futures -5.95% Japanese Yen Currency Futures -6.19% MSCI Emerging Markets Mini Index Futures % ** All futures positions are speculative in nature. Positions in futures contracts are disclosed in terms of their notional exposure. Aggregate notional exposure of futures contracts equals % of the Fund s NAV. The summary of investment portfolio may change due to the ongoing portfolio transactions of the Fund. 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 11

15 MANAGER S RESPONSIBILITY FOR FINANCIAL REPORTING The accompanying unaudited interim financial statements of HAP Nexus Hedge Fund Replication Trust (the Fund ) are the responsibility of the manager and trustee to the Fund, 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 is 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 Fund have not reviewed these Financial Statements. AlphaPro Management Inc., the Manager of the Fund, appoints an independent auditor to audit the Fund s annual financial statements. The Fund s independent auditors have not performed a review of these interim financial statements in accordance with Canadian generally accepted auditing standards. 12

16 Statements of Financial Position (unaudited) As at June 30, 2016 and December 31, Assets Cash and cash equivalents $ 46,076,867 $ 45,591,482 Investments 16,975,010 Margin deposits (note 12) 7,694,379 4,859,463 Variation margin receivable 29,297 Amounts receivable relating to accrued income 11,303 24,968 Amounts receivable relating to portfolio assets sold 58,170 Derivative assets (note 3) 1,142, ,298 Total assets 71,987,150 50,731,211 Liabilities Accrued expenses 31,103 28,802 Variation margin payable 53,995 Amounts payable relating to securities redeemed 1,023,005 Amounts payable for portfolio assets purchased 17,033,180 Derivative liabilities (note 3) 666, ,366 Total liabilities 18,807,420 1,011,168 Total net assets (note 2) $ 53,179,730 $ 49,720,043 Number of redeemable units outstanding, Class A (note 9) 3,693,493 3,551,394 Total net assets per unit, Class A $ $ (See accompanying notes to financial statements) Approved on behalf of the Board of Directors of the Manager: Steven J. Hawkins Taeyong Lee 13

17 Statements of Comprehensive Income (unaudited) For the Periods Ended June 30, Income Interest income for distribution purposes $ 107,113 $ 120,563 Securities lending income (note 8) 4,489 3,648 Net realized gain on sale of investments and derivatives 248,319 1,006,952 Net realized gain (loss) on foreign exchange 36,716 (21,374) Net change in unrealized appreciation (depreciation) of investments and derivatives 1,203,055 (1,892,371) Net change in unrealized appreciation of foreign exchange 19, ,619,634 (782,527) Expenses Management fees (note 10) 138, ,812 Audit fees 6,858 6,699 Independent Review Committee fees Securityholder reporting costs 4,920 5,679 Administration fees 46,411 46,970 Transaction costs 40,262 17,858 Other expenses 15,335 3, , ,298 Amounts that were payable by the investment fund that were paid or absorbed by the Manager (30,768) (37,391) 221, ,907 Increase (decrease) in net assets for the period $ 1,397,751 $ (936,434) Increase (decrease) in net assets per unit, Class A $ 0.40 $ (0.33) (See accompanying notes to financial statements) 14

18 Statements of Changes in Financial Position (unaudited) For the Periods Ended June 30, Total net assets at the beginning of the period $ 49,720,043 $ 31,258,912 Increase (decrease) in net assets 1,397,751 (936,434) Redeemable unit transactions Proceeds from the issuance of securities of the investment fund 11,570,829 13,947,298 Aggregate amounts paid on redemption of securities of the investment fund (9,508,893) Total net assets at the end of the period $ 53,179,730 $ 44,269,776 (See accompanying notes to financial statements) 15

19 Statements of Cash Flows (unaudited) For the Periods Ended June 30, Cash flows from operating activities: Increase (decrease) in net assets for the period $ 1,397,751 $ (936,434) Adjustments for: Net realized gain on sale of investments and derivatives (248,319) (1,006,952) Net realized gain on currency forward contracts 5, Net change in unrealized depreciation (appreciation) of investments and derivatives (1,203,055) 1,892,371 Net change in unrealized depreciation (appreciation) of foreign exchange (19,942) 274 Purchase of investments 166,435 Proceeds from the sale of investments 242, ,549 Margin deposits (2,834,916) (966,463) Amounts receivable relating to accrued income 13, Variation margin receivable (29,297) Variation margin payable 53,995 Accrued expenses 2,301 6,252 Net cash used in operating activities (2,619,498) (4,119) Cash flows from financing activities: Amount received from the issuance of units 11,570,829 13,947,298 Amount paid on redemptions of units (8,485,888) Net cash from financing activities 3,084,941 13,947,298 Net increase in cash and cash equivalents during the period 465,443 13,943,179 Effect of exchange rate fluctuations on cash and cash equivalents 19,942 (274) Cash and cash equivalents at beginning of period 45,591,482 28,393,796 Cash and cash equivalents at end of period $ 46,076,867 $ 42,336,701 Interest received $ 120,778 $ 120,773 (See accompanying notes to financial statements) 16

20 Schedule of Investments (unaudited) As at June 30, 2016 HAP Nexus Hedge Fund Replication Trust Par Value/ Average Fair Security Contracts Cost Value SHORT-TERM INVESTMENTS (31.92%) Government of Canada Treasury Bill, 0.48%, 2016/10/20 17,000,000 $ 16,975,010 $ 16,975,010 TOTAL SHORT-TERM INVESTMENTS 16,975,010 16,975,010 DERIVATIVES (0.90%) Treasury Bond Futures (1.04%) Long Positions (1.09%) Australian 10-Year Treasury Bond Futures September 2016 at AU$ Notional Value AU$1,361, ,438 Euro-Bund Futures September 2016 at EUR Notional Value EUR 9,024, ,494 Japanese 10-Year Mini Bond Futures September 2016 at JPY Notional Value JPY 3,362,260, ,662 U.S. 2-Year Treasury Bond Futures September 2016 at US$ Notional Value US$4,167, , ,452 Short Positions (-0.05%) Australian 3-Year Treasury Bond Futures September 2016 at AU$ Notional Value (AU$3,282,339) (29) (2,458) Canadian 10-Year Treasury Bond Futures September 2016 at C$ Notional Value (C$1,332,360) (9) (26,280) U.S. 10-Year Treasury Bond Futures September 2016 at US$ Notional Value (US$132,984) (1) (101) (28,839) Commodity Futures (0.40%) Long Positions (0.48%) Crude Oil Futures August 2016 at US$ Notional Value US$144,990 3 (5,258) Gold 100oz. Futures August 2016 at US$1, Notional Value US$924, ,493 NY Harbor ULSD Futures August 2016 at US$ Notional Value US$1,563, (47,854) Soybean Futures August 2016 at US$1, Notional Value US$4,579, , ,398 Short Positions (-0.08%) Copper Futures September 2016 at US$ Notional Value (US$823,313) (15) (14,534) Natural Gas Futures August 2016 at US$2.92. Notional Value (US$614,040) (21) (80,851) Silver Futures September 2016 at US$ Notional Value (US$279,345) (3) (15,949) 17

21 Schedule of Investments (unaudited) (continued) As at June 30, 2016 Par Value/ Average Fair Security Contracts Cost Value Wheat Futures September 2016 at US$ Notional Value (US$1,648,350) (74) 66,390 (44,944) Currency Futures (-0.04%) Short Positions (-0.04%) Australian Dollar Currency Futures September 2016 at US$ Notional Value (US$371,200) (5) (5,090) British Pound Currency Futures September 2016 at US$ Notional Value (US$1,573,200) (19) 179,912 Canadian Dollar Currency Futures September 2016 at US$ Notional Value (US$2,159,360) (28) (28,914) Japanese Yen Currency Futures September 2016 at US$ Notional Value (US$2,548,088) (21) (166,301) (20,393) Index Futures (-0.45%) Long Positions (-0.40%) S&P 500 E-Mini Index Futures September 2016 at US$2, Notional Value US$21,529, (212,913) Short Positions (-0.05%) Mini MSCI Emerging Markets Index Futures September 2016 at US$ Notional Value (US$4,256,970) (102) (27,569) Currency Forwards (-0.05%) Currency forward contract to buy US$2,050,000 for C$2,650,365 maturing July 14, 2016 (1,966) Currency forward contract to buy C$2,753,350 for US$2,150,000 maturing July 14, 2016 (24,239) (26,205) TOTAL DERIVATIVES 475,987 TOTAL LONG POSITION 16,975,010 17,572,742 TOTAL SHORT POSITION (121,745) 18 TOTAL INVESTMENT PORTFOLIO (32.82%) $ 16,975,010 $ 17,450,997 Cash and cash equivalents (86.64%) 46,076,867 Margin deposits (14.47%) 7,694,379 Other assets less liabilities (-33.93%) (18,042,513) TOTAL NET ASSETS (100.00%) $ 53,179,730 (See accompanying notes to financial statements)

22 Notes to Financial Statements (unaudited) June 30, REPORTING ENTITY HAP Nexus Hedge Fund Replication Trust (the Fund ) is an investment trust established under the laws of the Province of Ontario by Declaration of Trust and effectively began operations on April 16, The address of the Fund s registered office is: c/o AlphaPro Management Inc., 26 Wellington Street East, Suite 700, Toronto, Ontario, M5E 1S2. The Fund s investment objective is to seek to acquire a currency hedged portfolio of futures contracts, money market instruments, exchange traded funds ( ETFs ) and cash that endeavours to replicate, to the best of its ability, the performance of the Morningstar Broad Hedge Fund Index (the Hedge Fund Index ), hedged to the Canadian dollar, net of expenses. The Fund does not invest, directly or indirectly, in the constituent hedge funds comprising the Hedge Fund Index. In order to achieve its investment objectives, the Fund seeks to track the performance of the Hedge Fund Index by using the Nexus Hedge Fund Index Replication Strategy (the Replication Strategy ). The Replication Strategy is a factor-based index replication method which uses statistical models to estimate the net exposure of the Hedge Fund Index s components to its main return-generating factors, which usually correspond to the main asset classes available on financial markets. National Bank of Canada ( NBC or the Replication Strategy Weightings Provider ) owns rights to use the Replication Strategy which will be implemented by the Fund s sub-advisor, Fiera Capital Corporation ( Fiera or the Sub-Advisor ). The Manager licenses use of the Replication Strategy from NBC. The Fund will use derivatives, including futures contracts and forwards, for hedging purposes. The Fund will be primarily invested in a basket of liquid futures contracts, money market instruments, cash, and, from time to time, ETFs. AlphaPro Management Inc. ( AlphaPro or the Manager ) is the manager and trustee of the Fund. 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 Fund. The Investment Manager is responsible for implementing the Fund s investment strategies. The Manager and Investment Manager are both members of the Mirae Asset Financial Group ( Mirae Asset ). On May 12, 2016, Horizons ETFs Management (Canada) Inc. assumed the duties previously performed by Fiera Capital Corporation as the investment sub-advisor to the Fund. There was no impact to the investment objectives and strategies as a result of this change. 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 Fund 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 Fund 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 Fund 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 The fair value of other financial assets and liabilities approximates their carrying values due to the short-term nature of these instruments.

24 Notes to Financial Statements (unaudited) (continued) June 30, 2016 (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 Fund s requirement to distribute net income and capital gains to unitholders. (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 Fund accounted for on an accrual basis. The Fund does not amortize premiums paid or discounts received on the purchase of fixed income securities. The Fund does not use the effective interest method. Dividend income is recognized on the ex-dividend date. Distribution income from investments in other funds or Funds, if any, is recognized when earned. 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. 21

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