Horizons Enhanced Income US Equity (USD) ETF (HEA.U, HEA.V, HEA, HEA.A:TSX)

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1 Annual Report December 31, 2015 Horizons Enhanced Income US Equity (USD) ETF (HEA.U, HEA.V, HEA, HEA.A:TSX) ALPHA BENCHMARK BETAPRO Innovation is our capital. Make it yours.

2 Contents MANAGEMENT REPORT OF FUND PERFORMANCE Management Discussion of Fund Performance...1 Financial Highlights...6 Past Performance...10 Summary of Investment Portfolio...12 MANAGER S RESPONSIBILITY FOR FINANCIAL REPORTING...14 INDEPENDENT AUDITORS REPORT...15 FINANCIAL STATEMENTS Statements of Financial Position...16 Statements of Comprehensive Income...17 Statements of Changes in Financial Position...18 Statements of Cash Flows...19 Schedule of Investments...20 Notes to Financial Statements...24

3 Letter from the Co-CEO: The story for investors in 2015 was one of a return to volatility, especially in the North American markets. Canadian equities declined noticeably and in the U.S., the S&P 500 experienced its first 10% correction in over three years, only to rally to end the year with a modest loss. Additionally, the Canadian Dollar had its worst performing year relative to the U.S. Dollar since 2008 and we saw very marginal returns from the fixed income markets. For Horizons ETFs, this year could be called The Year of the Active ETF, since many of our actively managed equity and fixed income ETFs delivered strong relative returns. Portfolio managers who can identify sectors or individual securities with better relative returns can, and do, deliver attractive results, assuming they are not burdened with the high management fees that can plague many actively managed mutual funds. Over the past year, we received many third party industry accolades and awards for our Active ETFs, which combine top-tier professional portfolio management with competitive management fees. This past year was also one where we demonstrated our unique market leadership position in indexing. The Horizons S&P/TSX 60 Index ETF ( HXT ) celebrated its five-year anniversary with an additional rebate, which lowered the ETF s effective management fee to 0.03% (from 0.05%), making it the lowest-cost fund in Canada. HXT was the first ETF that we launched with a unique total return swap structure that seeks to improve tracking error and tax efficiency by way of its synthetic structure. We now have six such ETFs in our benchmark family, including the Horizons US 7-10 Year Treasury Bond ETF ( HTB ) launched in April Most investment metrics suggest that we could be at or near the end of a five-year Goldilocks market a climate of perpetually higher returns and low volatility. As a firm, we re generally agnostic on the direction of where capital markets are headed, but we do think it s fair to say that an unprecedented era of easy returns is over. Since there isn t a single solution to investment success, we believe that our diverse suite of Canadian ETF solutions offers investors the flexibility to react efficiently to ever-changing market conditions into 2016 and beyond. Of course, you re not alone in your investment process. I urge you to visit our website at where we offer a range of resources designed to help you become a better ETF investor. Most importantly, it s our goal to help you find the best ETF solutions for your unique investment needs. Wishing you the best for 2016, Steven J. Hawkins Co-CEO Horizons ETFs Management (Canada) Inc.

4 MANAGEMENT REPORT OF FUND PERFORMANCE Horizons Enhanced Income US Equity (USD) ETF This annual management report of fund performance for Horizons Enhanced Income US Equity (USD) ETF ( Horizons HEA.U or the ETF ) contains financial highlights and is included with the audited annual financial statements for the investment fund. You may request a copy of the ETF s unaudited interim or audited annual financial statements, interim or annual management report of fund performance, current proxy voting policies and procedures, proxy voting disclosure record, or quarterly portfolio disclosures, at no cost, from the ETF s manager, AlphaPro Management Inc. ( AlphaPro or the Manager ), by calling toll free , or locally (416) , by writing to us at: 26 Wellington Street East, Suite 700, Toronto ON, M5E 1S2, or by visiting our website at or SEDAR at This document may contain forward-looking statements relating to anticipated future events, results, circumstances, performance, or expectations that are not historical facts but instead represent our beliefs regarding future events. By their nature, forward-looking statements require us to make assumptions and are subject to inherent risks and uncertainties. There is significant risk that predictions and other forward-looking statements will not prove to be accurate. We caution readers of this document not to place undue reliance on our forward-looking statements as a number of factors could cause actual future results, conditions, actions or events to differ materially from the targets, expectations, estimates or intentions expressed or implied in the forward-looking statements. Actual results may differ materially from management expectations as projected in such forward-looking statements for a variety of reasons, including but not limited to market and general economic conditions, interest rates, regulatory and statutory developments, and the effects of competition in the geographic and business areas in which the ETF may invest and the risks detailed from time to time in the ETF s prospectus. New risk factors emerge from time to time and it is not possible for management to predict all such risk factors. We caution that the foregoing list of factors is not exhaustive, and that when relying on forward-looking statements to make decisions with respect to investing in the ETF, investors and others should carefully consider these factors, as well as other uncertainties and potential events, and the inherent uncertainty of forward-looking statements. Due to the potential impact of these factors, the Manager does not undertake, and specifically disclaims, any intention or obligation to update or revise any forward-looking statements, whether as a result of new information, future events or otherwise, unless required by applicable law. Management Discussion of Fund Performance Investment Objective and Strategies The investment objective of Horizons HEA.U is to provide unitholders with: (a) exposure to the performance of an equal weighted portfolio of large capitalization U.S. companies; and (b) monthly U.S. dollar distributions of dividend and call option income. Horizons HEA.U invests primarily in a portfolio of equity and equity related securities of U.S. companies that, as at the Constituent Reset Date (see below), are amongst the largest by market capitalization and most liquid issuers on the New York Stock Exchange (the NYSE ) or the NASDAQ Stock Market ( NASDAQ ). 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. Horizons HEA.U does not to seek to hedge its exposure to the U.S. dollar back to the Canadian dollar. To achieve its investment objective Horizons HEA.U primarily invests in an equal weighted portfolio of large capitalization U.S. companies. Semi-annually, the investment manager selects from the largest and most liquid U.S. companies listed on the NYSE or the NASDAQ and invests Horizons HEA.U in each issuer equally (the Constituent Reset Date ). Horizons HEA.U 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 Horizons HEA.U 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 US Equity (USD) ETF Risk Please refer to the ETF s most recent prospectus for a complete description of Horizons HEA.U s investment restrictions. 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 subscribing for 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 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 currency risk Foreign stock exchange risk Suitability of investment in units Conflicts of interest Results of Operations For the year ended December 31, 2015, the Class E units and Advisor Class U.S. dollar units of the ETF ( US$ units ) returned -1.07% and -1.86%, respectively, when including distributions paid to unitholders. This compares to the S&P 100 (the Index ), which returned 1.94% for the same period on a total return basis. The Class E units had an average annualized distribution yield of 5.98% when including distributions of $0.65, while the Advisor Class units provided an average yield of 5.18% with distributions of $0.57 for the year. The underlying equity portfolio return, exclusive of the covered call strategy, was 0.78% over the same period. The return of the Canadian dollar traded Class E units and Advisor Class units of the ETF ( C$ units ) for the period was 18.00% and 17.07%, respectively. C$ units are not a separate class of units of the ETF, but rather, represent the Canadian dollar value of the US$ units at the current day s Canada/U.S. exchange rate. Neither the US$ units nor the C$ units seek to hedge U.S. dollar currency exposure to the Canadian dollar. The Index, a sub-set of the S&P 500, measures the performance of large capitalization companies in the United States. The Index comprises 100 major, blue chip companies across multiple industry groups. 2

6 Management Discussion of Fund Performance (continued) Horizons Enhanced Income US Equity (USD) ETF Market Review The S&P 500, of which the Index makes up the largest 100 securities by market capitalization, ended the year up 1.38% on a total return basis, with a mostly narrow trading range through the first half of the year and higher volatility in the second half. Economic weakness in China and the anticipated first interest rate increase since the financial crisis by the U.S. Federal Reserve were two major factors that contributed to the increased volatility in the second half of the year. Despite these negative news headlines an improving U.S. economic backdrop continued to be supportive for stocks in Large capitalization internet stocks performed very well, with Alphabet Inc. (formerly Google Inc.) and Amazon.Com Inc. returning 46.6% and 117.7%, respectively. Options premiums were, on balance, generally higher in the second half of 2015 due to increased volatility in the Index. Since August, we have observed that volatility levels have remained higher than earlier in the year and in 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 year. Rebalancing The equity positions in the ETF are rebalanced to equal weightings semi-annually with the objective of maintaining sector balance within the U.S. market. The latest rebalance occurred in September 2015 and included the addition of Bristol- Myers Squibb Co. The ETF closed the year with 50 constituents in the portfolio. Other Operating Items and Changes in Net Assets Attributable to Holders of Redeemable Units For the year ended December 31, 2015, the ETF generated gross comprehensive income (loss) from investments and derivatives of $236,040. This compares to $3,409,711 for the year ended December 31, The ETF paid management, operating and transaction expenses of $659,283 (2014 $662,191) of which $33,812 (2014 $58,147) 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 $2,205,214 to Class E unitholders and $169,089 to Advisor Class unitholders during the year (2014 Class E: $6,262,442, Advisor Class: $635,278). 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. 3

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

8 Management Discussion of Fund Performance (continued) Horizons Enhanced Income US Equity (USD) ETF NBF s potential roles as a designated broker and a dealer of the ETF is not as an underwriter of the ETF in connection with the primary distribution of units under the ETF s prospectus. NBF was not involved in the preparation of, nor did it perform any review of, the contents of the ETF s prospectus. NBF and its affiliates may, at present or in the future, engage in business with the ETF, the issuers of securities making up the investment portfolio of the ETF, or with the Manager or any funds sponsored by the Manager or its affiliates, including by making loans, executing brokerage transactions, entering into derivative transactions or providing advisory or agency services. In addition, the relationship between NBF and its affiliates, and the Manager and its affiliates may extend to other activities, such as being part of a distribution syndicate for other funds sponsored by the Manager or its affiliates. For the years ended December 31, 2015 and 2014, the ETF paid $413 (2014 $3,678) to NBF and/or its affiliates in broker commissions on portfolio transactions. 5

9 Financial Highlights The following tables show selected key financial information about the ETF and are intended to help you understand the ETF s financial performance since it effectively began operations on September 13, This information is derived from the ETF s audited annual 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 Year Net assets, beginning of year (1) $ Increase (decrease) from operations: Total revenue Total expenses (0.16) (0.16) (0.20) (0.08) (0.03) Realized gains for the year Unrealized gains (losses) for the year (0.60) (1.53) 1.62 (0.11) 0.31 Total increase (decrease) from operations (2) (0.10) Distributions: From net investment income (excluding dividends) (0.12) (0.11) (0.10) (0.10) From net realized capital gains (0.50) (1.86) (0.82) (0.69) From return of capital (0.03) (0.42) (0.08) (0.01) Total annual distributions (3) (0.65) (1.97) (0.52) (1.00) (0.70) Net assets, end of year (US$ units) (4) $ Net assets, end of year (C$ units) (4) $

10 Financial Highlights (continued) Advisor Class Year Net assets, beginning of year (1) $ Increase (decrease) from operations: Total revenue Total expenses (0.25) (0.26) (0.28) (0.16) (0.05) Realized gains for the year Unrealized gains (losses) for the year (0.59) (1.58) Total increase (decrease) from operations (2) (0.18) Distributions: From net investment income (excluding dividends) (0.05) (0.05) (0.01) (0.07) From net realized capital gains (0.50) (1.82) (0.76) (0.67) From return of capital (0.02) (0.42) (0.08) (0.01) Total annual distributions (3) (0.57) (1.87) (0.43) (0.91) (0.68) Net assets, end of year (US$ units) (4) $ Net assets, end of year (C$ units) (4) $ This information is derived from the ETF s audited annual financial statements as at December 31 of the years shown. Class E units and Advisor Class units of the ETF have an initial net asset value of $10.00 as at September 13, Class E units and Advisor Class units of the ETF began trading in Canadian dollars on January 15, 2014 under the symbols HEA and HEA.A, respectively. 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. 7

11 Financial Highlights (continued) Ratios and Supplemental Data Class E Year (1) Total net asset value (000 s) $ 36,243 36,609 30,392 41,029 11,166 Number of units outstanding (000 s) 3,446 3,242 2,665 4,060 1,100 Management expense ratio (2) (5) 0.81% 0.83% 0.81% 0.80% 0.83% Management expense ratio excluding proportion of expenses from underlying investment funds 0.80% 0.80% 0.80% 0.80% 0.83% Management expense ratio before waivers and absorptions (3) 0.89% 0.97% 0.94% 1.31% 2.10% Trading expense ratio (4) (5) 0.34% 0.35% 0.73% 0.74% 0.96% Trading expense ratio excluding proportion of costs from underlying investment funds 0.34% 0.35% 0.73% 0.74% 0.96% Portfolio turnover rate (6) 64.08% % 59.77% % 49.71% Net asset value per unit, end of year (US$ units) $ Closing market price (US$ units) $ Net asset value per unit, end of year (C$ units) $ Closing market price (C$ units) $ Advisor Class Year (1) Total net asset value (000 s) $ 2,440 3,748 4,282 5,309 4,314 Number of units outstanding (000 s) Management expense ratio (2) (5) 1.61% 1.62% 1.61% 1.59% 1.64% Management expense ratio excluding proportion of expenses from underlying investment funds 1.60% 1.59% 1.59% 1.59% 1.64% Management expense ratio before waivers and absorptions (3) 1.71% 1.79% 1.77% 2.17% 2.91% Trading expense ratio (4) (5) 0.34% 0.35% 0.73% 0.74% 0.96% Trading expense ratio excluding proportion of costs from underlying investment funds 0.34% 0.35% 0.73% 0.74% 0.96% Portfolio turnover rate (6) 64.08% % 59.77% % 49.71% Net asset value per unit, end of year (US$ units) $ Closing market price (US$ units) $ Net asset value per unit, end of year (C$ units) $ Closing market price (C$ units) $ This information is provided as at December 31 of the years shown. Class E units and Advisor Class units of the ETF began trading in Canadian dollars on January 15, 2014 under the symbols HEA and HEA.A, respectively. 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 year. 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 year. 5. The ETF s management expense ratio (MER) and trading expense ratio (TER) include an estimated proportion of the MER and TER for any underlying investment funds held in the ETF s portfolio during the year. The ETF s MER and TER for years prior to 2015 have been adjusted to include amounts applicable to those years. 6. The ETF s portfolio turnover rate indicates how actively its portfolio investments are traded. A portfolio turnover rate of 100% is equivalent to the ETF buying and selling all of the securities in its portfolio once in the course of the year. Generally, the higher the ETF s portfolio turnover rate in a year, the greater the trading costs payable by the ETF in the year, and the greater the chance of an investor receiving taxable capital gains in the year. There is not necessarily a relationship between a high turnover rate and the performance of the ETF.

12 Financial Highlights (continued) Management Fees The Manager appoints the Investment Manager and provides, or oversees the provision of, administrative services required by the ETF including, but not limited to: negotiating contracts with certain third-party service providers, such as portfolio managers, custodians, registrars, transfer agents, auditors and printers; authorizing the payment of operating expenses incurred on behalf of the ETF; arranging for the maintenance of accounting records for the ETF; preparing reports to unitholders and to the applicable securities regulatory authorities; calculating the amount and determining the frequency of distributions by the ETF; preparing financial statements, income tax returns and financial and accounting information as required by the ETF; ensuring that unitholders are provided with financial statements and other reports as are required from time to time by applicable law; ensuring that the ETF complies with all other regulatory requirements, including the continuous disclosure obligations of the ETF under applicable securities laws; administering purchases, redemptions and other transactions in units of the ETF; and dealing and communicating with unitholders of the ETF. The Manager provides office facilities and personnel to carry out these services, if not otherwise furnished by any other service provider to the ETF. The Manager also monitors the investment strategies of the ETF to ensure that the ETF complies with its investment objectives, investment strategies and investment restrictions and practices. In consideration for the provision of these services, the Manager receives a monthly management fee at the annual rate of 0.65%, plus applicable sales taxes, of the net asset value of the ETF s Class E units and 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. The Manager, and not the ETF, will pay to registered dealers a service fee equal to 0.75% per year of the net asset value of Advisor Class units held by clients of the registered dealer. No service fees are paid to registered dealers in respect of Class E units. The Investment Manager 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 year. Portfolio management fees, Waived/absorbed expenses general administrative costs of the ETF Marketing and profit 7% 82% 11% 9

13 Past Performance Commissions, trailing commissions, management fees and expenses all may be associated with an investment in the ETF. Please read the prospectus before investing. The indicated rates of return are the historical total returns including changes in unit value and reinvestment of all distributions, and do not take into account sales, redemptions, distributions or optional charges or income taxes payable by any investor that would have reduced returns. An investment in the ETF is not guaranteed. Its value changes frequently and past performance may not be repeated. The ETF s performance numbers assume that all distributions are reinvested in additional units of the ETF. If you hold this ETF outside of a registered plan, income and capital gains distributions that are paid to you increase your income for tax purposes whether paid to you in cash or reinvested in additional units. The amount of the reinvested taxable distributions is added to the adjusted cost base of the units that you own. This would decrease your capital gain or increase your capital loss when you later redeem from the ETF, thereby ensuring that you are not taxed on this amount again. Please consult your tax advisor regarding your personal tax situation. Year-by-Year Returns The following chart shows 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% Rate of Return 10.00% 5.00% 0.00% -5.00% Class E - US$ 8.71% 9.58% 18.37% 6.75% -1.07% Class E - C$ 13.46% 18.00% Advisor Class - US$ 8.45% 8.71% 17.44% 5.90% -1.86% Advisor Class - C$ 12.60% 17.07% Class E units and Advisor Class units of the ETF have an initial net asset value of $10.00 as at September 13, Class E units and Advisor Class units of the ETF began trading in Canadian dollars on January 15, 2014 under the symbols HEA and HEA.A, respectively. 10

14 Past Performance (continued) Annual Compound Returns The following table presents the ETF s annual compound total return since inception and for the periods shown ended December 31, 2015 along with comparable market indices. The table is used only to illustrate the effects of the compound growth rate and is not intended to reflect future values of the ETF or future returns on investments in the ETF. Advisor Class - US$ Units Return % Advisor Class - C$ Units Return % Horizons Enhanced US Equity Basket Total Return Index Return % Period Class E - US$ Units Return % Class E - C$ Units Return % S&P 100 Return % 1 Year -1.07% 18.00% -1.86% 17.07% 0.78% 1.94% 3 Year 7.72% N/A 6.87% N/A 12.93% 13.92% Since Inception: US$ - units 9.72% 8.85% 14.78% 15.43% C$ - units 16.04% 15.12% 11.60% 15.08% Class E units and Advisor Class units of the ETF have an initial net asset value of $10.00 as at September 13, Class E units and Advisor Class units of the ETF began trading in Canadian dollars on January 15, 2014 under the symbols HEA and HEA.A, respectively. 11

15 Summary of Investment Portfolio As at December 31, 2015 % of ETF s Asset Mix Net Asset Value Net Asset Value Long Positions U.S. Equities $ 38,735, % Cash and Cash Equivalents 318, % Other Assets less Liabilities (200,054) -0.52% Short Positions Equity Call Options (170,392) -0.44% $ 38,683, % % of ETF s Sector Mix Net Asset Value Net Asset Value Long Positions Information Technology $ 7,261, % Financials 6,154, % Health Care 5,375, % Consumer Discretionary 4,815, % Consumer Staples 3,900, % Industrials 3,821, % Energy 3,624, % Telecommunication Services 1,535, % Materials 1,489, % Utilities 756, % Cash and Cash Equivalents 318, % Other Assets less Liabilities (200,054) -0.52% Short Positions Equity Call Options (170,392) -0.44% $ 38,683, % 12

16 Summary of Investment Portfolio (continued) As at December 31, 2015 Top 25 Holdings % of ETF s Net Asset Value Intel Corp. 2.85% E.I. du Pont de Nemours & Co. 2.61% Microsoft Corp. 2.38% General Electric Co. 2.35% Amazon.com Inc. 2.26% McDonald s Corp. 2.24% Alphabet Inc. 2.20% Chevron Corp. 2.18% Amgen Inc. 2.13% General Motors Co. 2.12% Procter & Gamble Co. (The) 2.10% Johnson & Johnson 2.10% Coca-Cola Co. (The) 2.09% Bristol-Myers Squibb Co. 2.09% Facebook Inc. 2.08% Boeing Co. (The) 2.05% JPMorgan Chase & Co. 2.04% Bank of America Corp. 2.04% Philip Morris International Inc. 2.02% PepsiCo Inc. 2.01% American International Group Inc. 2.01% Exxon Mobil Corp. 2.01% Cisco Systems Inc. 2.01% AT&T Inc. 2.01% Wells Fargo & Co. 2.00% 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 audited annual financial statements of Horizons Enhanced Income US Equity (USD) 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 and have been audited by KPMG LLP, Chartered Professional Accountants, Licensed Public Accountants, on behalf of unitholders. The independent auditors report outlines the scope of their audit and their opinion on the financial statements. Steven J. Hawkins Director AlphaPro Management Inc. Taeyong Lee Director AlphaPro Management Inc. 14

18 INDEPENDENT AUDITORS REPORT To the Unitholders of Horizons Enhanced Income US Equity (USD) ETF (the ETF ) We have audited the accompanying financial statements of the ETF, which comprise the statements of financial position as at December 31, 2015 and 2014, the statements of comprehensive income, changes in financial position and cash flows for the years then ended, and notes, comprising a summary of significant accounting policies and other explanatory information. Management s Responsibility for the Financial Statements Management is responsible for the preparation and fair presentation of these financial statements in accordance with International Financial Reporting Standards, and for such internal control as management determines is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error. Auditors Responsibility Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits in accordance with Canadian generally accepted auditing standards. Those standards require that we comply with ethical requirements and plan and perform the audit to obtain reasonable assurance about whether the financial statements are free from material misstatement. An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on our judgment, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, we consider internal control relevant to the ETF s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the ETF s internal control. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of accounting estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that the audit evidence we have obtained in our audits is sufficient and appropriate to provide a basis for our audit opinion. Opinion In our opinion, the financial statements present fairly, in all material respects, the financial position of the ETF as at December 31, 2015 and 2014, and its financial performance and its cash flows for the years then ended in accordance with International Financial Reporting Standards. Chartered Professional Accountants, Licensed Public Accountants March 9, 2016 Toronto, Canada 15

19 Statements of Financial Position As at December 31, Assets Cash and cash equivalents $ 318,183 $ 151,015 Investments 38,735,317 40,600,646 Amounts receivable relating to accrued income 47,653 72,729 Amounts receivable relating to portfolio assets sold 26,291 Total assets 39,101,153 40,850,681 Liabilities Accrued expenses 41,694 41,942 Distribution payable 206, ,017 Derivative liabilities (note 3) 170, ,830 Total liabilities 418, ,789 Total net assets (note 2) $ 38,683,054 $ 40,356,892 Total net assets, Class E (note 2) $ 36,242,929 $ 36,608,646 Number of redeemable units outstanding, Class E (note 9) 3,445,809 3,241,717 Total net assets per unit, Class E (US$ units) (notes 1, 2) $ $ Total net assets per unit, Class E (C$ units) (notes 1, 2) $ $ Total net assets, Advisor Class (note 2) $ 2,440,125 $ 3,748,246 Number of redeemable units outstanding, Advisor Class (note 9) 231, ,781 Total net assets per unit, Advisor Class (US$ units) (notes 1, 2) $ $ Total net assets per unit, Advisor Class (C$ units) (notes 1, 2) $ $ (See accompanying notes to financial statements) Approved on behalf of the Board of Directors of the Manager: Steven J. Hawkins Taeyong Lee 16

20 Statements of Comprehensive Income For the Years Ended December 31, Income Dividend income $ 952,628 $ 901,520 Securities lending income 1,135 3,315 Net realized gain on sale of investments and derivatives 1,455,941 7,814,615 Net realized gain on foreign exchange 11, Net change in unrealized depreciation of investments and derivatives (2,184,976) (5,310,076) Net change in unrealized appreciation (depreciation) of foreign exchange 157 (186) 236,040 3,409,711 Expenses Management fees (note 10) 309, ,184 Audit fees 8,191 8,577 Independent Review Committee fees Custodial fees 3,393 4,779 Legal fees 1,290 3,359 Securityholder reporting costs 27,676 36,545 Administration fees 30,327 37,800 Transaction costs 136, ,044 Withholding taxes 140, ,738 Other expenses , ,191 Amounts that were payable by the investment fund that were paid or absorbed by the Manager (33,812) (58,147) 625, ,044 Increase (decrease) in net assets for the year (note 2) $ (389,431) $ 2,805,667 Increase (decrease) in net assets, Class E (note 2) $ (335,139) $ 2,572,746 Increase (decrease) in net assets per unit, Class E (note 2) (0.10) 0.82 Increase (decrease) in net assets, Advisor Class (note 2) $ (54,292) $ 232,921 Increase (decrease) in net assets per unit, Advisor Class (note 2) (0.18) 0.67 (See accompanying notes to financial statements) 17

21 Statements of Changes in Financial Position For the Years Ended December 31, Total net assets at the beginning of the year (note 2) $ 40,356,892 $ 34,673,860 Increase (decrease) in net assets (note 2) (389,431) 2,805,667 Redeemable unit transactions Proceeds from the issuance of securities of the investment fund 4,945,820 13,256,228 Aggregate amounts paid on redemption of securities of the investment fund (3,902,005) (7,423,650) Securities issued on reinvestment of distributions 46,081 3,942,507 Distributions: From net investment income (433,930) (366,570) From net realized capital gains (1,833,547) (6,531,129) Return of capital (106,826) (21) Total net assets at the end of the year (note 2) $ 38,683,054 $ 40,356,892 Total net assets at the beginning of the year, Class E (note 2) $ 36,608,646 $ 30,392,131 Increase (decrease) in net assets, Class E (note 2) (335,139) 2,572,746 Redeemable unit transactions Proceeds from the issuance of securities of the investment fund 4,945,820 12,626,385 Aggregate amounts paid on redemption of securities of the investment fund (2,815,995) (6,291,775) Securities issued on reinvestment of distributions 44,811 3,571,601 Distributions: From net investment income (417,837) (348,404) From net realized capital gains (1,685,759) (5,914,017) Return of capital (101,618) (21) Total net assets at the end of the year, Class E (note 2) $ 36,242,929 $ 36,608,646 Total net assets at the beginning of the year, Advisor Class (note 2) $ 3,748,246 $ 4,281,729 Increase (decrease) in net assets, Advisor Class (note 2) (54,292) 232,921 Redeemable unit transactions Proceeds from the issuance of securities of the investment fund 629,843 Aggregate amounts paid on redemption of securities of the investment fund (1,086,010) (1,131,875) Securities issued on reinvestment of distributions 1, ,906 Distributions: From net investment income (16,093) (18,166) From net realized capital gains (147,788) (617,112) Return of capital (5,208) Total net assets at the end of the year, Advisor Class (note 2) $ 2,440,125 $ 3,748,246 (See accompanying notes to financial statements) 18

22 Statements of Cash Flows For the Years Ended December 31, Cash flows from operating activities: Increase (decrease) in net assets for the year (note 2) $ (389,431) $ 2,805,667 Adjustments for: Net realized gain on sale of investments and derivatives (1,455,941) (7,814,615) Net change in unrealized depreciation of investments and derivatives 2,184,976 5,310,076 Net change in unrealized depreciation (appreciation) of foreign exchange (157) 186 Purchase of investments (25,304,626) (69,352,456) Proceeds from the sale of investments 26,439,773 66,239,795 Amounts receivable relating to accrued income 25,076 (32,246) Accrued expenses (248) (3,645) Net cash from (used in) operating activities 1,499,422 (2,847,238) Cash flows from financing activities: Amount received from the issuance of units 4,945,820 13,256,228 Amount paid on redemptions of units (3,902,005) (7,423,650) Distributions paid to unitholders (2,376,226) (2,873,006) Net cash from (used in) financing activities (1,332,411) 2,959,572 Net increase in cash and cash equivalents during the year 167, ,334 Effect of exchange rate fluctuations on cash and cash equivalents 157 (186) Cash and cash equivalents at beginning of year 151,015 38,867 Cash and cash equivalents at end of year $ 318,183 $ 151,015 Dividends received, net of withholding taxes $ 836,926 $ 751,536 (See accompanying notes to financial statements) 19

23 Schedule of Investments As at December 31, 2015 Horizons Enhanced Income US Equity (USD) ETF Shares/ Average Fair Security Contracts Cost Value U.S. EQUITIES (100.14%) Information Technology (18.77%) Alphabet Inc., Class A 1,100 $ 698,549 $ 855,811 Apple Inc. 6, , ,190 Cisco Systems Inc. 28, , ,780 Facebook Inc. 7, , ,882 Intel Corp. 32,100 1,004,736 1,105,844 International Business Machines Corp. 5, , ,862 Microsoft Corp. 16, , ,968 Oracle Corp. 19, , ,947 Qualcomm Inc. 13, , ,798 7,179,868 7,261,082 Financials (15.91%) American International Group Inc. 12, , ,019 Bank of America Corp. 47, , ,010 Berkshire Hathaway Inc., Class B 5, , ,628 Citigroup Inc. 14, , ,550 Goldman Sachs Group Inc. (The) 4, , ,943 JPMorgan Chase & Co. 12, , ,360 U.S. Bancorp 17, , ,526 Wells Fargo & Co. 14, , ,348 5,739,924 6,154,384 Health Care (13.90%) Amgen Inc. 5, , ,883 Bristol-Myers Squibb Co. 11, , ,722 Gilead Sciences Inc. 7, , ,330 Johnson & Johnson 7, , ,488 Merck & Co. Inc. 14, , ,890 Pfizer Inc. 22, , ,756 UnitedHealth Group Inc. 6, , ,604 5,262,123 5,375,673 Consumer Discretionary (12.45%) Amazon.com Inc. 1, , ,657 Comcast Corp., Class A 12, , ,661 General Motors Co. 24, , ,641 McDonald s Corp. 7, , ,050 Starbucks Corp. 12, , ,384 Walt Disney Co. (The) 7, , ,068 4,080,250 4,815,461 20

24 Schedule of Investments (continued) As at December 31, 2015 Shares/ Average Fair Security Contracts Cost Value Consumer Staples (10.08%) Coca-Cola Co. (The) 18, , ,648 PepsiCo Inc. 7, , ,376 Philip Morris International Inc. 8, , ,399 Procter & Gamble Co. (The) 10, , ,864 Wal-Mart Stores Inc. 11, , ,950 4,033,995 3,900,237 Industrials (9.88%) Boeing Co. (The) 5, , ,245 Caterpillar Inc. 10, , ,192 General Electric Co. 29, , ,810 Union Pacific Corp. 8, , ,060 United Technologies Corp. 8, , ,560 4,172,658 3,821,867 Energy (9.37%) Anadarko Petroleum Corp. 11, , ,096 Chevron Corp. 9,400 1,030, ,624 ConocoPhillips 15, , ,019 Exxon Mobil Corp. 10, , ,500 Occidental Petroleum Corp. 11, , ,471 4,888,218 3,624,710 Telecommunication Services (3.97%) AT&T Inc. 22, , ,666 Verizon Communications Inc. 16, , ,008 1,559,682 1,535,674 Materials (3.85%) E.I. du Pont de Nemours & Co. 15, ,728 1,018,980 Freeport-McMoRan Inc., Class B 69,500 1,369, ,515 2,334,700 1,489,495 Utilities (1.96%) Duke Energy Corp. 10, , ,734 TOTAL U.S. EQUITIES 40,056,912 38,735,317 DERIVATIVES (-0.44%) SHORT POSITIONS (-0.44%) Equity Call Options (-0.44%) Alphabet Inc., Class A, January 2016, $ USD (6) (3,558) (4,590) Alphabet Inc., Class A, January 2016, $ USD (3) (2,244) (668) 21

25 Schedule of Investments (continued) As at December 31, 2015 Shares/ Average Fair Security Contracts Cost Value 22 Amazon.com Inc., January 2016, $ USD (3) (2,694) (2,168) Amazon.com Inc., January 2016, $ USD (3) (1,464) (930) Amazon.com Inc., January 2016, $ USD (4) (2,972) (1,072) American International Group Inc., January 2016, $62.50 USD (84) (4,086) (6,425) American International Group Inc., January 2016, $63.50 USD (32) (1,504) (1,280) Amgen Inc., January 2016, $ USD (30) (3,998) (3,270) Anadarko Petroleum Corp., January 2016, $52.50 USD (56) (9,828) (3,360) Anadarko Petroleum Corp., February 2016, $57.50 USD (56) (4,956) (4,060) Apple Inc., February 2016, $ USD (16) (5,248) (3,927) Apple Inc., February 2016, $ USD (22) (3,806) (2,530) AT&T Inc., January 2016, $35.00 USD (114) (2,166) (741) Bank of America Corp., January 2016, $17.50 USD (157) (2,826) (1,806) Bank of America Corp., January 2016, $18.00 USD (118) (1,298) (531) Berkshire Hathaway Inc., Class B, January 2016, $ USD (19) (646) (133) Boeing Co. (The), January 2016, $ USD (32) (3,119) (3,615) Boeing Co. (The), January 2016, $ USD (14) (1,197) (511) Bristol-Myers Squibb Co., January 2016, $69.50 USD (30) (2,153) (2,430) Bristol-Myers Squibb Co., January 2016, $70.00 USD (30) (2,385) (1,860) Bristol-Myers Squibb Co., January 2016, $71.50 USD (30) (1,350) (735) Caterpillar Inc., January 2016, $69.00 USD (52) (3,341) (3,874) Caterpillar Inc., January 2016, $71.00 USD (26) (2,558) (611) Chevron Corp., January 2016, $96.00 USD (47) (6,721) (1,293) Cisco Systems Inc., January 2016, $27.00 USD (168) (4,320) (6,720) Citigroup Inc., January 2016, $54.50 USD (49) (2,156) (931) Coca-Cola Co. (The), January 2016, $44.00 USD (47) (752) (564) Comcast Corp., Class A, January 2016, $60.00 USD (74) (1,702) (407) ConocoPhillips, February 2016, $50.00 USD (38) (5,660) (4,180) ConocoPhillips, February 2016, $52.50 USD (50) (2,529) (2,625) Duke Energy Corp., January 2016, $72.50 USD (53) (1,007) (2,517) E.I. du Pont de Nemours & Co., January 2016, $67.50 USD (76) (6,004) (7,181) E.I. du Pont de Nemours & Co., January 2016, $70.00 USD (38) (1,927) (1,026) Exxon Mobil Corp., January 2016, $82.50 USD (25) (1,587) (300) Facebook Inc., January 2016, $ USD (58) (4,392) (2,001) Freeport-McMoRan Inc., Class B, January 2016, $8.00 USD (346) (11,548) (2,941) Freeport-McMoRan Inc., Class B, January 2016, $10.00 USD (349) (9,186) (873) General Electric Co., January 2016, $31.00 USD (74) (3,404) (3,737) General Electric Co., January 2016, $31.50 USD (74) (1,850) (1,924) General Motors Co., January 2016, $36.00 USD (60) (1,320) (570) General Motors Co., January 2016, $37.00 USD (80) (1,680) (160) Gilead Sciences Inc., January 2016, $ USD (41) (1,573) (349) Goldman Sachs Group Inc. (The), January 2016, $ USD (20) (3,490) (2,700) Intel Corp., January 2016, $36.00 USD (214) (8,035) (4,494) International Business Machines Corp., January 2016, $ USD (13) (1,404) (1,112)

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