Horizons Enhanced Income Gold Producers ETF (HEP, HEP.A:TSX)

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1 Annual Report December 31, 2014 Horizons Enhanced Income Gold Producers ETF (HEP, HEP.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...22

3 Letter from the President: Overall, 2014 was a good year to be an investor and a particularly good year to be a Horizons ETFs investor, as many of our ETFs delivered exceptional performance. With the end of the U.S. Federal Reserve s quantitative easing program, which has provided a floor for bond prices throughout the past four years, there is a general consensus that both global bond and equity markets will experience more volatility in Simply staying invested in the market may not be good enough; we believe that investors will have to refine their asset allocation strategies since they will no longer be able to depend on the markets continuous rise. In fact, we have already seen some of these challenges occur in the last quarter of The rout in energy prices and, by extension, energy stocks in the fall of 2014 will likely have far reaching consequences on the Canadian stock market in the year ahead. Similar challenges may be faced in the bond market if interest rates start to rise in We could see meaningful losses in bond portfolios for the first time in decades. The summation of these forces will mean that investors will have to ensure their stock and bond selections truly meet their needs. This is why Horizons ETFs offers a suite of ETFs that, we feel, can help investors in making the choices needed to reach their investment goals. We are not only committed to making better ETF products, we are also committed to bettering the overall portfolios of ETF investors in Canada. We look forward to continuing to partner with you in 2015 and growing your investment success. Thank you, Howard Atkinson President Horizons ETFs Management (Canada) Inc.

4 MANAGEMENT REPORT OF FUND PERFORMANCE Horizons Enhanced Income Gold Producers ETF This annual management report of fund performance for Horizons Enhanced Income Gold Producers ETF ( Horizons HEP 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 HEP is to provide unitholders with: (a) exposure to the performance of an equal weighted portfolio of North American based gold mining and exploration companies; and (b) monthly distributions of dividend and call option income. Horizons HEP invests primarily in a portfolio of equity and equity related securities of North American companies that are primarily exposed to gold mining and exploration and that, as at the Constituent Reset Date (see below), are amongst the largest and most liquid issuers in their sector. To mitigate downside risk and generate income, the ETF s investment manager actively manages a covered call strategy that generally writes out of the money covered call options on 100% of the portfolio securities. The level of covered call option writing may vary based on market volatility and other factors. Any foreign currency gains or losses as a result of Horizons HEP s investment in non-canadian issuers is hedged back to the Canadian dollar to the best of its ability. To achieve its investment objective Horizons HEP invests in an equal weighted portfolio of North American based gold mining and exploration companies. Semi-annually, the investment manager identifies the largest and most liquid North American issuers in the gold mining and exploration sector and invests Horizons HEP s portfolio in each issuer equally (the Constituent Reset Date ). Horizons HEP 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 HEP 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 Gold Producers ETF Risk Please refer to the ETF s most recent prospectus for a complete description of Horizons HEP 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 Legal and regulatory risk Corresponding net asset value risk Designated broker/dealer risk Cease trading of securities risk Exchange risk Early closing risk No assurance of meeting investment objective 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 General Review For the year ended December 31, 2014, the Class E units and Advisor Class units of the ETF returned -9.90% and %, respectively, when including distributions paid to unitholders. This compares to the S&P/TSX Global Gold Index (the Index ), which returned 5.75% for the same period on a total return basis. The Class E units had an average yield of 9.24% when including distributions of $0.53, while the Advisor Class units provided an average yield of 8.45% with distributions of $0.48 for the year. The underlying equity portfolio return, unhedged for any U.S. dollar currency exposure and exclusive of the covered call strategy, was 0.23% over the same period. For additional comparison, the ETF s previous benchmark index, the NYSE Arca Gold Miners Index, returned % for the year, on a total return basis. The performance information for the S&P/TSX NYSE Arca Gold Miners Index is presented for reference purposes only. As noted in the ETF s investment objective and strategies section, the ETF invests primarily in equity and equity related securities of North American companies that are primarily exposed to gold mining and exploration. The Manager has elected to change the comparative benchmark index for the ETF as it believes that the S&P/TSX Global Gold Index is a better representation of the universe from which the ETF selects its portfolio securities. Market Review 2 Shares in the gold miners experienced substantial volatility throughout year, beginning with significant strength but then succumbing to weakness as the underlying price of gold bullion fell in the second half of General equity markets

6 Management Discussion of Fund Performance (continued) Horizons Enhanced Income Gold Producers ETF moved higher throughout the year until October when uncertainty over U.S. Federal Reserve interest rate hikes and concerns over global economy weakness set in. A series of pronounced drops in mid-october and early December set implied volatility levels higher, as observed in the VIX (Chicago Board Options Exchange Market Volatility Index), which soared to levels not seen since This interest rate and equity volatility spread to gold bullion and in turn gold equities. Implied option volatility on gold mining stocks was elevated in the second half and the higher income generated from call option writing in the sector helped to insulate against the sell-off in gold miner equities in the last half of the year. These higher option prices have remained elevated into the beginning of 2015, which has been conducive to covered call writing. Individual company performances in the sector were mixed. Barrick Gold Corp. fell 32.26%, Yamana Gold Inc. was down a severe 47.83%, and Goldcorp Inc. dropped 4.50%. On the other hand, strength was seen in Franco-Nevada Corp. up 34.23%, Silver Wheaton Corp. up 11.44%, and Detour Gold Corp. which soared %. Option Writing Strategy During each month, options are generally written on up to 100% of the equities in the portfolio of the ETF. The premiums are received from selling call options approximately one(1) standard deviation out-of-the-money. The ETF s monthly distributions are not fixed, but vary as the premiums generated from covered call writing are earned and passed through, and will change with changes in implied volatility and time to option expiration. Distributions also vary based on the dividends received from the securities in the ETF s portfolio during the period. Rebalancing The equity positions in the ETF are rebalanced to equal weightings semi-annually with the objective of maintaining an equity basket of large capitalization gold producers. The most recent rebalancing took place in September 2014 and the number of securities in the portfolio currently stands at 13. Other Operating Items and Changes in Net Assets Attributable to Holders of Redeemable Units For the year ended December 31, 2014, the ETF generated gross comprehensive income (loss) from investments and derivatives of ($2,193,753). This compares to ($26,171,578) for the year ended December 31, The ETF paid management, operating and transaction expenses of $677,461 (2013 $916,894) of which $62,006 (2013 $62,529) 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 $3,105,509 to Class E unitholders and $141,029 to Advisor Class unitholders during the year (2013 Class E: $5,309,390, Advisor Class: $317,535). 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 Gold Producers ETF 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. Recent Developments The following developments are pertinent to the present and future of the ETF. Adoption of International Financial Reporting Standards The attached financial statements have been prepared in accordance with International Financial Reporting Standards ( IFRS ). These are the ETF s first annual financial statements prepared in accordance with IFRS, and accordingly, First-time Adoption of International Financial Reporting Standards ( IFRS 1 ) has been applied. Previously, the ETF prepared its financial statements in accordance with Canadian generally accepted accounting principles ( Canadian GAAP ). The ETF has consistently applied the accounting policies used in the preparation of its opening IFRS statement of financial position at January 1, 2013 and throughout all periods presented, as if these policies had always been in effect. Note 16 to the financial statements discloses the impact of the transition to IFRS on the ETF s reported financial position, financial performance and cash flows, including the nature and effect of significant changes in accounting policies from those used previously under Canadian GAAP. Any mention of total net assets, net assets, net asset value or increase (decrease) in net assets 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. Unit Transaction The units of the ETF were consolidated on a one for two basis effective May 15, All relevant unit and per unit historical data prior to May 15, 2013 has been adjusted to reflect the consolidation. Amalgamation of the Investment Manager Effective December 30, 2013, Horizons Investment Management Inc. ( Horizons Investment ), the investment manager of the ETF, was amalgamated with its parent (and the parent of the Manager), Horizons ETFs Management (Canada) Inc. ( Horizons Management ) under the Canada Business Corporations Act (the Amalgamation ). Under the Amalgamation, Horizons Investment and Horizons Management merged and carried on as one corporation named Horizons ETFs Management (Canada) Inc., which now serves as the successor investment manager of the ETF (the Investment Manager ). The Amalgamation did not result in any changes to the day-to-day operations of the ETF. The operations, personnel and responsibilities of the Investment Manager remain unchanged. 4

8 Management Discussion of Fund Performance (continued) Horizons Enhanced Income Gold Producers 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. 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. As described in Recent Developments Amalgamation of the Investment Manager, Horizons ETFs Management (Canada) Inc., by virtue of the Amalgamation, is now the investment manager of the ETF. 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. NBF s potential roles as a designated broker and a dealer of the ETF are 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, 2014 and 2013, the ETF paid $283,703 (2013 $448,468) 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 April 11, 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) $ Decrease from operations: Total revenue Total expenses (0.10) (0.15) (0.10) (0.10) Realized gains (losses) for the year (1.67) (3.31) (0.80) 2.22 Unrealized gains (losses) for the year 1.23 (1.76) (0.84) (6.30) Total decrease from operations (3) (0.46) (4.97) (1.56) (4.06) Distributions: From net investment income (excluding dividends) (0.07) From dividends (0.02) (0.11) (0.06) From net realized capital gains (2.50) From return of capital (0.51) (0.87) (1.64) (0.02) Total annual distributions (4) (0.53) (1.05) (1.70) (2.52) Net assets, end of year (2)(5) $

10 Financial Highlights (continued) Advisor Class Year Net assets, beginning of year (1) $ Decrease from operations: Total revenue Total expenses (0.14) (0.21) (0.20) (0.08) Realized gains (losses) for the year (1.66) (3.26) (0.80) 0.90 Unrealized gains (losses) for the year 1.23 (1.93) (0.88) (5.06) Total decrease from operations (3) (0.49) (5.15) (1.70) (4.18) Distributions: From net investment income (excluding dividends) (0.01) From dividends (0.01) (0.11) From net realized capital gains (0.96) From return of capital (0.47) (0.86) (1.58) (0.02) Total annual distributions (4) (0.48) (0.98) (1.58) (0.98) Net assets, end of year (2)(5) $ This information is derived from the ETF s audited annual financial statements as at December 31 of the years shown. Class E units of the ETF have an initial net asset value of $10.00 (on a pre-consolidated basis) as at April 11, Advisor Class units of the ETF have an initial net asset value of $9.49 (on a pre-consolidated basis) as at September 8, 2011 which was the net asset value of Class E units on that date. Information from 2014 and 2013 is in accordance with IFRS. Information for years prior to 2013 is reported under Canadian GAAP. 2. Differences may result from a comparison of the fair valuation of securities held by the ETF for financial reporting purposes prior to January 1, 2013 under Canadian GAAP, versus the market value used to determine the net asset value of the ETF for the purchase and redemption of the ETF s units. As a result, the net assets per unit presented in the financial statements may differ from the net asset value per unit presented in these Financial Highlights. 3. 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. 4. 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. 5. 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 (2) (000 s) $ 29,182 29,771 60,658 51,267 Number of units outstanding (000 s) 6,280 5,252 5,183 3,437 Management expense ratio (3) 0.80% 0.80% 0.80% 0.87% Management expense ratio before waivers or absorptions (4) 0.97% 0.95% 1.02% 1.24% Trading expense ratio (5) 0.86% 1.12% 1.15% 1.48% Portfolio turnover rate (6) % 89.69% % % Net asset value per unit, end of year (2) $ Closing market price $ Advisor Class Year (1) Total net asset value (2) (000 s) $ 1,481 1,927 3,425 3,448 Number of units outstanding (000 s) Management expense ratio (3) 1.59% 1.59% 1.59% 1.70% Management expense ratio before waivers or absorptions (4) 1.78% 1.76% 1.85% 2.06% Trading expense ratio (5) 0.86% 1.12% 1.15% 1.48% Portfolio turnover rate (6) % 89.69% % % Net asset value per unit, end of year (2) $ Closing market price $ This information is provided as at December 31 of the years shown. Information from 2014 and 2013 is in accordance with IFRS. Information for years prior to 2013 is reported under Canadian GAAP. 2. Differences may result from a comparison of the fair valuation of securities held by the ETF for financial reporting purposes prior to January 1, 2013 under Canadian GAAP, versus the market value used to determine the net asset value of the ETF for the purchase and redemption of the ETF s units. As a result, the net assets per unit presented in the financial statements may differ from the net asset value per unit presented in these Financial Highlights. 3. Management expense ratio is based on total expenses (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. 4. 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. 5. 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. 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. 8

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, pays 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 8% 69% 23% 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. 0.00% % Rate of Return % % % % Class E % % % -9.90% Advisor Class % % % % Class E units of the ETF have an initial net asset value of $10.00 (on a pre-consolidated basis) as at April 11, 2011 and Advisor Class units of the ETF have an initial net asset value of $9.49 (on a preconsolidated basis) as at September 8,

14 Past Performance (continued) Annual Compound Returns The following table shows the ETF s annualized compound total return since inception and for the periods shown ended December 31, 2014 compared with the ETF s applicable benchmark. The table shown 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. Horizons Enhanced Gold Producers Basket Total Return Index Return %* S&P/TSX Global Gold Index Return % NYSE Arca Gold Miners Index Return % Period Class E Return % Advisor Class Return % 1 Year -9.90% % 0.23% -5.75% % 3 Year % % % % % Since Inception: Class E % % % % Advisor Class % % % % Class E units of the ETF have an initial net asset value of $10.00 (on a pre-consolidated basis) as at April 11, 2011 and Advisor Class units of the ETF have an initial net asset value of $9.49 (on a preconsolidated basis) as at September 8, *Note that equities in this index that are traded in U.S. dollars are unhedged, unlike in the ETF. The Manager has elected to change the comparative benchmark index for the ETF to the S&P/TSX Global Gold Index from the NYSE Arca Gold Miners Index as it believes that the S&P/TSX Global Gold Index is a better representation of the universe from which the ETF selects its portfolio securities. The S&P/TSX Global Gold Index is designed to provide an investable index of global gold securities which includes producers of gold and related products, including companies that mine or process gold and the South African finance houses which primarily invest in, but do not operate, gold mines. 11

15 Summary of Investment Portfolio As at December 31, 2014 % of ETF s Asset Mix Net Asset Value Net Asset Value Long Positions Canadian Equities $ 20,748, % U.S. Equities 5,326, % Global Equities 4,901, % Currency Forward Hedge* (70,913) -0.23% Cash and Cash Equivalents 340, % Other Assets less Liabilities (408,534) -1.33% Short Positions U.S. Equity Call Options (13,769) -0.04% Global Equity Call Options (28,478) -0.09% Canadian Equity Call Options (133,418) -0.44% $ 30,662, % % of ETF s Sector Mix Net Asset Value Net Asset Value Long Positions Materials $ 30,976, % Currency Forward Hedge* (70,913) -0.23% Cash and Cash Equivalents 340, % Other Assets less Liabilities (408,534) -1.33% Short Positions Equity Call Options (175,665) -0.57% $ 30,662, % *Positions in forward contracts are disclosed as the gain/(loss) that would be realized if the contracts were closed out on the date of this report. 12

16 Summary of Investment Portfolio (continued) As at December 31, 2014 Top Holdings % of ETF s Net Asset Value Royal Gold Inc. 9.49% Randgold Resources Ltd., ADR 9.36% Franco-Nevada Corp. 8.96% Silver Wheaton Corp. 8.66% Detour Gold Corp. 8.56% Alamos Gold Inc. 8.03% Newmont Mining Corp. Holding Co. 7.83% Agnico Eagle Mines Ltd. 7.30% Goldcorp Inc. 7.08% Pan American Silver Corp. 6.99% AngloGold Ashanti Ltd., ADR 6.53% Barrick Gold Corp. 6.23% Yamana Gold Inc. 5.43% 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 Gold Producers 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. Howard Atkinson Director AlphaPro Management Inc. 14

18 INDEPENDENT AUDITORS REPORT To the Unitholders of Horizons Enhanced Income Gold Producers ETF (the ETF ) We have audited the accompanying financial statements of the ETF, which comprise the statements of financial position as at December 31, 2014 and 2013, and January 1, 2013, the statements of comprehensive income, changes in financial position and cash flows for the years ended December 31, 2014 and December 31, 2013, 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, 2014 and 2013, and January 1, 2013, and its financial performance and its cash flows for the years ended December 31, 2014 and December 31, 2013 in accordance with International Financial Reporting Standards. Chartered Professional Accountants, Licensed Public Accountants March 13, 2015 Toronto, Canada 15

19 Statements of Financial Position As at December 31, 2014 and 2013 and January 1, 2013 December 31, December 31, January 1, Assets Cash and cash equivalents $ 340,685 $ 712,189 $ 3,670,978 Investments 30,976,977 31,838,487 61,584,566 Amounts receivable relating to accrued income 14,952 26,617 51,951 Derivative assets (note 3) 4,039 31,775 14,740 Total assets 31,336,653 32,609,068 65,322,235 Liabilities Accrued expenses 30,620 33,499 45,223 Amounts payable for portfolio assets purchased 610 Distribution payable 392, , ,793 Derivative liabilities (note 3) 250, , ,959 Total liabilities 674, ,540 1,238,975 Total net assets (note 2) $ 30,662,550 $ 31,697,528 $ 64,083,260 Total net assets, Class E (note 2) $ 29,181,579 $ 29,770,445 $ 60,657,999 Number of redeemable units outstanding, Class E (note 9) 6,279,943 5,252,179 5,183,051 Total net assets per unit, Class E (note 2) $ 4.65 $ 5.67 $ Total net assets, Advisor Class (note 2) $ 1,480,971 $ 1,927,083 $ 3,425,261 Number of redeemable units outstanding, Advisor Class (note 9) 320, , ,011 Total net assets per unit, Advisor Class (note 2) $ 4.63 $ 5.64 $ (See accompanying notes to financial statements) Approved on behalf of the Board of Directors of the Manager: Steven J. Hawkins Howard Atkinson 16

20 Statements of Comprehensive Income For the Years Ended December 31, Income Dividend income $ 472,713 $ 1,350,404 Securities lending income 731 2,502 Net realized loss on sale of investments and derivatives (9,329,330) (17,018,660) Net realized loss on foreign exchange (905,589) (912,128) Net change in unrealized appreciation (depreciation) of investments and derivatives 7,670,127 (9,607,451) Net change in unrealized appreciation (depreciation) of foreign exchange (102,405) 13,755 (2,193,753) (26,171,578) Expenses Management fees (note 10) 268, ,622 Audit fees 9,166 11,358 Independent Review Committee fees Custodial fees 6,070 11,556 Legal fees 1,831 1,714 Securityholder reporting costs 31,685 35,072 Administration fees 41,947 36,687 Listing fees 223 Transaction costs 307, ,531 Withholding taxes 9,554 29,433 Other expenses 724 1, , ,894 Amounts that were payable by the investment fund that were paid or absorbed by the Manager (62,006) (62,529) 615, ,365 Decrease in net assets for the year (note 2) $ (2,809,208) $ (27,025,943) Decrease in net assets, Class E (note 2) $ (2,668,992) $ (25,407,612) Decrease in net assets per unit, Class E (note 2) (0.46) (4.97) Decrease in net assets, Advisor Class (note 2) $ (140,216) $ (1,618,331) Decrease in net assets per unit, Advisor Class (note 2) (0.49) (5.15) (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) $ 31,697,528 $ 64,083,260 Decrease in net assets (note 2) (2,809,208) (27,025,943) Redeemable unit transactions Proceeds from the issuance of securities of the investment fund 10,504,371 11,431,159 Aggregate amounts paid on redemption of securities of the investment fund (5,660,873) (11,483,790) Securities issued on reinvestment of distributions 177, ,767 Distributions: From net investment income (86,827) (933,330) Return of capital (3,159,711) (4,693,595) Total net assets at the end of the year (note 2) $ 30,662,550 $ 31,697,528 Total net assets at the beginning of the year, Class E (note 2) $ 29,770,445 $ 60,657,999 Decrease in net assets, Class E (note 2) (2,668,992) (25,407,612) Redeemable unit transactions Proceeds from the issuance of securities of the investment fund 10,079,908 9,802,274 Aggregate amounts paid on redemption of securities of the investment fund (5,051,415) (10,276,658) Securities issued on reinvestment of distributions 157, ,832 Distributions: From net investment income (84,706) (894,729) Return of capital (3,020,803) (4,414,661) Total net assets at the end of the year, Class E (note 2) $ 29,181,579 $ 29,770,445 Total net assets at the beginning of the year, Advisor Class (note 2) $ 1,927,083 $ 3,425,261 Decrease in net assets, Advisor Class (note 2) (140,216) (1,618,331) Redeemable unit transactions Proceeds from the issuance of securities of the investment fund 424,463 1,628,885 Aggregate amounts paid on redemption of securities of the investment fund (609,458) (1,207,132) Securities issued on reinvestment of distributions 20,128 15,935 Distributions: From net investment income (2,121) (38,601) Return of capital (138,908) (278,934) Total net assets at the end of the year, Advisor Class (note 2) $ 1,480,971 $ 1,927,083 (See accompanying notes to financial statements) 18

22 Statements of Cash Flows For the Years Ended December 31, Cash flows from operating activities: Decrease in net assets for the year (note 2) $ (2,809,208) $ (27,025,943) Adjustments for: Net realized loss on sale of investments and derivatives 9,329,330 17,018,660 Net change in unrealized depreciation (appreciation) of investments and derivatives (7,670,127) 9,607,451 Net change in unrealized depreciation (appreciation) of foreign exchange 102,402 (13,983) Purchase of investments (37,142,400) (36,559,377) Proceeds from the sale of investments 36,297,115 39,289,643 Amounts receivable relating to accrued income 11,665 25,334 Accrued expenses (2,879) (11,724) Net cash from (used in) operating activities (1,884,102) 2,330,061 Cash flows from financing activities: Amount received from the issuance of units 10,504,371 11,431,159 Amount paid on redemptions of units (5,660,873) (11,483,790) Distributions paid to unitholders (3,331,186) (5,233,167) Net cash from (used in) financing activities 1,512,312 (5,285,798) Net decrease in cash and cash equivalents during the year (371,790) (2,955,737) Effect of exchange rate fluctuations on cash and cash equivalents 286 (3,052) Cash and cash equivalents at beginning of year 712,189 3,670,978 Cash and cash equivalents at end of year $ 340,685 $ 712,189 Dividends received, net of withholding taxes $ 474,824 $ 1,346,305 (See accompanying notes to financial statements) 19

23 Schedule of Investments As at December 31, 2014 Horizons Enhanced Income Gold Producers ETF Shares/ Average Fair Security Contracts Cost Value EQUITIES (101.02%) CANADIAN EQUITIES (67.66%) Materials (67.66%) Agnico Eagle Mines Ltd. 77,800 $ 3,200,075 $ 2,249,976 Alamos Gold Inc. 298,300 3,276,130 2,475,890 Barrick Gold Corp. 153,700 4,313,104 1,924,324 Detour Gold Corp. 281,300 3,818,030 2,669,537 Franco-Nevada Corp. 48,300 2,413,535 2,763,243 Goldcorp Inc. 101,400 3,733,006 2,181,114 Pan American Silver Corp. 200,100 3,532,715 2,145,072 Silver Wheaton Corp. 112,800 3,294,501 2,665,464 Yamana Gold Inc. 356,900 3,981,146 1,673,861 31,562,242 20,748,481 TOTAL CANADIAN EQUITIES 31,562,242 20,748,481 U.S. EQUITIES (17.37%) Materials (17.37%) Newmont Mining Corp. Holding Co. 109,600 4,278,821 2,402,870 Royal Gold Inc. 40,200 2,800,600 2,923,826 7,079,421 5,326,696 TOTAL U.S. EQUITIES 7,079,421 5,326,696 GLOBAL EQUITIES (15.99%) Materials (15.99%) AngloGold Ashanti Ltd., ADR 199,800 4,407,104 2,016,382 Randgold Resources Ltd., ADR 36,900 3,386,389 2,885,418 7,793,493 4,901,800 TOTAL GLOBAL EQUITIES 7,793,493 4,901,800 TOTAL EQUITIES 46,435,156 30,976,977 DERIVATIVES (-0.80%) Currency Forwards (-0.23%) Currency forward contract to buy US$2,000,000 for C$2,321,980 maturing January 8, 2015 (1,827) Currency forward contract to buy C$12,332,131 for US$10,690,000 maturing January 8, 2015 (69,086) 20 TOTAL CURRENCY FORWARDS (70,913)

24 Schedule of Investments (continued) As at December 31, 2014 Shares/ Average Fair Security Contracts Cost Value SHORT POSITIONS (-0.57%) U.S. Equity Call Options (-0.04%) Newmont Mining Corp. Holding Co., January 2, 2015, $20.00 USD (170) (8,089) (197) Newmont Mining Corp. Holding Co., January 17, 2015, $20.00 USD (100) (4,061) (2,610) Royal Gold Inc., January 2015, $67.50 USD (140) (20,429) (10,962) (32,579) (13,769) Global Equity Call Options (-0.09%) AngloGold Ashanti Ltd., ADR, January 2015, $9.00 USD (250) (9,862) (10,150) AngloGold Ashanti Ltd., ADR, January 2015, $10.00 USD (320) (7,427) (3,712) Randgold Resources Ltd., ADR, January 2015, $70.00 USD (80) (9,603) (11,136) Randgold Resources Ltd., ADR, January 2015, $72.50 USD (50) (7,137) (3,480) (34,029) (28,478) Canadian Equity Call Options (-0.44%) Agnico Eagle Mines Ltd., January 2015, $30.00 CAD (40) (2,220) (3,360) Agnico Eagle Mines Ltd., January 2015, $32.00 CAD (250) (12,275) (9,000) Alamos Gold Inc., January 2015, $9.00 CAD (910) (30,940) (13,650) Barrick Gold Corp., January 2015, $13.00 CAD (350) (9,100) (11,375) Barrick Gold Corp., January 2015, $14.00 CAD (250) (6,000) (2,500) Detour Gold Corp., January 2015, $9.50 CAD (650) (27,400) (35,750) Detour Gold Corp., January 2015, $10.00 CAD (300) (6,500) (10,500) Franco-Nevada Corp., January 2015, $60.00 CAD (105) (13,530) (9,975) Franco-Nevada Corp., January 2015, $62.00 CAD (105) (5,618) (5,513) Goldcorp Inc., January 2015, $23.00 CAD (380) (13,520) (11,590) Pan American Silver Corp., January 2015, $12.00 CAD (325) (10,725) (3,250) Silver Wheaton Corp., January 2015, $25.00 CAD (150) (4,950) (5,175) Silver Wheaton Corp., January 2015, $26.00 CAD (215) (9,675) (3,655) Yamana Gold Inc., January 2015, $5.00 CAD (650) (12,350) (8,125) (164,803) (133,418) TOTAL SHORT POSITIONS (231,411) (175,665) TOTAL DERIVATIVES (231,411) (246,578) Transaction costs (148,592) TOTAL INVESTMENT PORTFOLIO (100.22%) $ 46,055,153 $ 30,730,399 Cash and cash equivalents (1.11%) 340,685 Other assets less liabilities (-1.33%) (408,534) TOTAL NET ASSETS (100.00%) (note 2) $ 30,662,550 (See accompanying notes to financial statements) 21

25 Notes to Financial Statements For the Years Ended December 31, 2014 and REPORTING ENTITY Horizons Enhanced Income Gold Producers ETF (the ETF or Horizons HEP ) is an investment trust established under the laws of the Province of Ontario by Declaration of Trust and effectively began operations on April 11, The address of the ETF s registered office is: c/o AlphaPro Management Inc., 26 Wellington Street East, Suite 700, Toronto, Ontario, M5E 1S2. The ETF is offered for sale on a continuous basis by its prospectus in both class E units ( Class E ) and advisor class units ( Advisor Class ) which trade on the Toronto Stock Exchange ( TSX ) under the symbols HEP and HEP.A, respectively. Advisors are directly compensated with a service fee on a trailing quarterly basis (the Service Fee ). The only difference between the Advisor Class and existing Class E units of the ETF is that the Advisor Class charges higher management fees that include the Service Fees paid to the advisor (see note 10). The purchase and sale process for the Advisor Class units is identical to that of any other ETF listed on the TSX. An investor may buy or sell units of the ETF on the TSX only through a registered broker or dealer in the province or territory where the investor resides. Investors are able to trade units of the ETF in the same way as other securities traded on the TSX, including by using market orders and limit orders and may incur customary brokerage commissions when buying or selling units. The investment objective of Horizons HEP is to provide unitholders with: (a) exposure to the performance of an equal weighted portfolio of North American based gold mining and exploration companies; and (b) monthly distributions of dividend and call option income. Horizons HEP invests primarily in a portfolio of equity and equity related securities of North American companies that are primarily exposed to gold mining and exploration and that, as at the Constituent Reset Date, are amongst the largest and most liquid issuers in their sector. To mitigate downside risk and generate income, the ETF s investment manager actively manages a covered call strategy that generally writes out of the money covered call options on 100% of the portfolio securities. The level of covered call option writing may vary based on market volatility and other factors. Any foreign currency gains or losses as a result of Horizons HEP s investment in non-canadian issuers is hedged back to the Canadian dollar to the best of its ability. AlphaPro Management Inc. ( AlphaPro or the Manager ) is the manager and trustee of the ETF. The Manager had appointed Horizons Investment Management Inc. ( Horizons Investment ), an affiliate of the Manager, to act as the investment manager to the ETF. Effective December 30, 2013, Horizons Investment was amalgamated with its parent (and the parent of the Manager), Horizons ETFs Management (Canada) Inc. ( Horizons Management ) under the Canada Business Corporations Act (the Amalgamation ). Under the Amalgamation, Horizons Investment and Horizons Management merged and carried on as one corporation named Horizons ETFs Management (Canada) Inc., which now serves as the successor investment manager of the ETF (the Investment Manager ). The Amalgamation did not result in any changes to the day-to-day operations of the ETF. The operations, personnel and responsibilities of the Investment Manager remain unchanged. The Investment Manager is responsible for implementing the ETF s investment strategies. The Manager and Investment Manager are both members of the Mirae Asset Financial Group ( Mirae Asset ). Unit Transaction The units of the ETF were consolidated on a one for two basis effective May 15, All relevant unit and per unit historical data prior to May 15, 2013 has been adjusted to reflect the consolidation. 22

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