Horizons Morningstar Hedge Fund Index ETF (HHF, HHF.A:TSX)

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1 Annual Report December 31, 2015 Horizons Morningstar Hedge Fund Index ETF (HHF, HHF.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...7 Past Performance...10 Summary of Investment Portfolio of Horizons Morningstar Hedge Fund Index ETF...12 Summary of Investment Portfolio of HAP Nexus Hedge Fund Replication Trust...13 MANAGER S RESPONSIBILITY FOR FINANCIAL REPORTING...15 INDEPENDENT AUDITORS REPORT...16 FINANCIAL STATEMENTS Statements of Financial Position...17 Statements of Comprehensive Income...18 Statements of Changes in Financial Position...19 Statements of Cash Flows...20 Schedule of Investments of Horizons Morningstar Hedge Fund Index ETF...21 Schedule of Investments of HAP Nexus Hedge Fund Replication Trust...22 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 This annual management report of fund performance for Horizons Morningstar Hedge Fund Index ETF ( Horizons HHF 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 Horizons HHF seeks investment results, before fees, expenses, distributions, brokerage commissions and other transaction costs, that replicate the performance of the Morningstar Broad Hedge Fund Index (the Hedge Fund Index ), hedged to the Canadian dollar. The ETF uses an index replication strategy that provides exposure to futures contracts, exchange traded funds, money market instruments and cash. The ETF does not invest, directly or indirectly, in the constituent hedge funds comprising the Hedge Fund Index. In order to achieve its investment objectives, Horizons HHF has entered into a forward purchase and sale agreement (see the Forward Agreement below) with an acceptable counterparty, pursuant to which the ETF has gained exposure to the investment portfolio of the HAP Nexus Hedge Fund Replication Trust (the Fund ). Since neither Horizons HHF, nor the Fund, invest directly or indirectly, in the constituent hedge funds comprising the Hedge Fund Index, the Fund seeks to track the performance of the Hedge Fund Index by using the Nexus Hedge Fund Index Replication Strategy (the Replication Strategy ). The Replication Strategy is a factor-based index replication method which uses statistical models to estimate the net exposure of the Hedge Fund Index s components to its main return-generating factors, which usually correspond to the main asset classes available on financial markets. National Bank of Canada ( NBC or the Replication Strategy Weightings Provider ) owns rights to use the Replication Strategy which will be implemented by the Fund s subadvisor, Fiera Capital Corporation ( Fiera or the Sub-Advisor ). The Manager licenses use of the Replication Strategy from NBC. The Fund will use derivatives, including futures contracts and forwards, for hedging purposes. The Fund will be primarily invested in a basket of liquid futures contracts, money market instruments, cash, and, from time to time, exchange traded funds ( ETFs ). 1

5 Management Discussion of Fund Performance (continued) Horizons Morningstar Hedge Fund Index ETF The Morningstar Broad Hedge Fund Index The Hedge Fund Index is a rules-based, asset-weighted index based on the largest and broadest hedge fund database in the hedge fund industry. The Hedge Fund Index is designed to capture the performance and behaviour of the most liquid hedge funds offering exposure to a wide spectrum of core and category hedge fund strategies. The Hedge Fund Index is comprised of between 600 and 800 U.S. based hedge funds from a universe of more than 7,000 single strategy and fundof-fund hedge funds. Many hedge funds have high initial investment requirements and long hold periods, both of which make it difficult for any investor to purchase and maintain a portfolio that holds all of the hedge funds listed in the Hedge Fund Index. As a result, the Hedge Fund Index is considered to be an un-investible index. Please refer to the ETF s most recent prospectus for a complete description of Horizons HHF s and the Fund s investment restrictions. The Forward Agreement Until April 2014, to achieve its investment objective, the ETF had entered into a forward share purchase agreement (the Original Forward Agreement ). Under the Original Forward Agreement, the counterparty (the Original Forward Counterparty ) had agreed to pay to the ETF, in exchange for a basket of equity securities of Canadian public issuers (the Common Securities Portfolio ), an amount that was based on the redemption proceeds that would be paid by the HAP Nexus Hedge Fund Replication Trust to holders of an applicable number of units of the Fund. The Original Forward Agreement was replaced by new forward agreements ( New Forward Agreements ) in April The ETF has entered into multiple New Forward Agreements with a bank counterparty (each a New Forward Counterparty ). The New Forward Agreements provide both positive and negative exposure to the HAP Nexus Hedge Fund Replication Trust. The ETF now seeks to achieve its investment objective through the net exposure of its respective New Forward Agreements that it previously sought to achieve with the Original Forward Agreement (collectively, the Forward Agreement(s) ). The ETF generally invests its assets in interest bearing accounts and short-term Canadian federal or provincial treasury bills to earn prevailing short-term market interest rates. The Original Forward Counterparty and New Forward Counterparties (collectively, the Counterparties ) to any Forward Agreements entered into by the ETF must be a chartered Canadian bank or an affiliate of a chartered Canadian bank whose obligations are guaranteed by a chartered Canadian bank, and which has a designated rating. In respect of short-term securities or instruments (where the maturity date of the security or instrument is less than one year), the Counterparties must have a designated rating for Commercial Paper/Short-Term Debt no lower than (a) Dominion Bond Rating Service Limited ( DBRS ) - R-1(low) ; (b) Fitch Ratings ( Fitch ) - F1 ; (c) Moody s Investors Service ( Moody s ) - P-1 ; and (d) Standard & Poor s ( S&P ) - A-1(Low). In respect of long-term securities or instruments (where the maturity date of the security or instrument is equal to or greater than one year), the Counterparties must have a designated rating for Long-Term Debt no lower than (a) DBRS - A ; (b) Fitch - A ; (c) Moody s - A2 ; and (d) S&P - A. The Counterparties are subject to the applicable short-term or long-term designated rating restrictions listed above. The New Forward Counterparty to the New Forward Agreements, National Bank of Canada ( NBC ), meets those designated rating requirements. 2 Each Forward Agreement has a remaining term to maturity at any point in time of less than five years which, with the consent of the ETF and the applicable Counterparty, will be extended annually for a fixed number of years and, provided no

6 Management Discussion of Fund Performance (continued) Horizons Morningstar Hedge Fund Index ETF Risk default or event of default and no unresolved hedging event or disruption event has occurred and is continuing, the ETF has the ability to request the termination of its exposure under a Forward Agreement, in whole or in part, at any time. Since the New Forward Agreements, like most forward agreements, may settle the obligations of each party on a net basis, the exposure of the ETF to the credit risk of the New Forward Counterparty is limited to the positive mark-to-market of the New Forward Agreements in aggregate, which is calculated and accrued on a daily basis. Investments in the units of the ETF are speculative, involve a degree of risk and are suitable only for persons who are able to assume the risk of losing their entire investment. The Manager, as a summary for existing investors, is providing the list below of the risks to which an investment in the ETF may be subject. Prospective investors should read the ETF s 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 prospectus. A full description of each risk listed below may also be found in the prospectus. The prospectus is available at or from or by contacting AlphaPro Management Inc. directly via the contact information on the back page of this document. Inability to achieve investment objective Risks relating to the Replication Strategy Leverage risk General risks of investing in the HAP Nexus Hedge Fund Replication Trust Risks relating to use of derivatives Calculation, or termination, of the Hedge Fund Index Counterparty risk Forward Agreement counterparty risk Reliance on key personnel Market price and net asset value deviation risk Purpose of the Replication Index and Replication Strategy Tax-related risks Foreign security risk Foreign currency risk Political, economic and social risk Hedging risk Significant redemptions Exchange risk Conflicts of interest Loss of limited liability Business and regulatory risks of alternative investment strategies Change in legislation No ownership interest Market for units Securities lending risk Limited history of the Hedge Fund Index Results of Operations For the year ended December 31, 2015, the Class E and Advisor Class units of the ETF returned 1.12% and 0.27% respectively. The ETF seeks to provide a similar risk/return profile to its benchmark, the Hedge Fund Index, which returned 0.29% for the same period. The difference between the Hedge Fund Index and the ETF s performance can be explained by the fact that the asset class and sector weights of hedge fund companies and invested securities are unknown to the ETF s Sub-Advisors. The Replication Strategy is a factor-based index replication method which uses statistical models to estimate the net exposure of the Hedge Fund Index s components to its main return-generating factors, which usually correspond to the main asset classes available on financial markets. 3

7 Management Discussion of Fund Performance (continued) Horizons Morningstar Hedge Fund Index ETF 4 Market and Portfolio Review The following discussion examines how the ETF s returns were affected by its exposure to the Fund via the Forward Agreement. Exposure to the following asset classes: foreign exchange, fixed income, equity and commodities, allowed the ETF to offer a similar risk return profile to the Hedge Fund Index while taking advantage of gains in specific sectors. Foreign Exchange For the first half of the year, we saw the U.K. economy grow at a stronger pace than its European peers, however, this relative strength did not hold in the second half of the year at which point the British Pound (GBP) began to falter. The long position in GBP contributed to gains for the first half of the year and then losses for the second half of the year. The Fund began the year with an exposure to the GBP of approximately 12%, as it contributed to the return it accumulated to a peak of 21% in June, then decreased to just 4% as the upward trend no longer held. The other major currency position, the Japanese Yen (JPY), also underwent a similar drift in the weights, peaked at -33% in July and ended the year with an exposure of -14%. Dragged down by the deteriorating crude oil prices, the Canadian Dollar (CAD) has experienced a consistent downward trend. Employing a -14% short position in CAD, surpassing GBP to become the second largest exposure, the Replication Strategy has generated a good return from this position for The Fund did not take any material positions in the Australian Dollar (AUD) and the performance of AUD was mostly flat throughout the year with occasional short positions. Fixed Income The exposure to German 10-year bonds ( Bunds ), the Fund s largest holding, was decreased significantly over the year due to very volatile market conditions. For the first half of the year, the 10-year Bunds were influenced heavily by the anticipation of a potential Greece exit from the Eurozone. Then, in the second half of 2015, the refugee crisis also created uncertainty in the market. On top of these events, the European Central Bank embarking on a quantitative easing program has been a significant driver of the asset s yields over the course of the year. With respect to the Japanese 10-year bond, the Fund continuously decreased its long position throughout the year. Nevertheless, this long exposure provided some positive returns to the Fund. The Canadian, Australian and U.S. 10-year bond exposures all behaved in a similar fashion - beginning the year with positive exposures that slowly decreased throughout the year. By the end of the year, the Fund attributed short positions to each of these contracts, with the exception of the Canadian 10-year bond, which finished the year with a small long position. The two short-term bond futures contracts did gain some exposure this year. However, they have not yet influenced the performance of the Fund. Equity The U.S. equity bull market has faltered. During the course of 2015, the fund continuously decreased its long position on U.S. equities. The big draw down during the third quarter and the sharp recovery in the fourth quarter created volatility in the Fund s performance. The U.S. also saw an appreciating currency combined with lower exports, an indication that domestic demand was tapering down. Furthermore, oil prices have had effects on indirect sectors. The Fund had a small short position in the emerging market futures contract relative to the U.S. equity exposure throughout For the first half of the year this position resulted in negative returns for the Fund. However, during the second half of the year, weakening emerging market equities due to growth concerns in China and Brazil, the bursting of the

8 Management Discussion of Fund Performance (continued) Horizons Morningstar Hedge Fund Index ETF Chinese stock market bubble, Russia s ruble depreciation and the recent sell-off in crude oil allowed the Fund s short exposure to profit. Overall, these returns were offset with the realized losses earlier in the year, finishing the year flat. Commodities Traditional investment managers generally have a much smaller exposure to commodities, as it can often be one of the most volatile asset classes. Nevertheless, commodities offer more diversification and often more opportunity to generate gains in areas where many hedge funds invest. It was a bad year in 2015 for this asset class due to increasing supply and falling demand. The Fund has benefited from these falling prices with an average net exposure of approximately -12% in commodities. The Fund captured the trend of the weakening silver prices which emerged at the end of the past year. The short position slowly accumulated for the first three quarters of the year and generated good returns. Then in the fourth quarter, the Replication Strategy weighting shifted to natural gas. The effects of weakening energy prices dominated the performance of the commodity sector for the Replication Strategy. 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 $1,343,948. This compares to $4,014,569 for the year ended December 31, The ETF incurred management, operating and transaction expenses of $911,483 (2014 $604,911). Of these expenses, the Manager either paid or absorbed $88,281 (2014 $102,345) 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 its discretion. The ETF did not make any distributions to unitholders during the year ended December 31, 2015 (2014 Class E: $1,297,104, Advisor Class: $21,819). 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 off set any expenses incurred in issuing the units. All unitholders of the ETF may exchange the applicable PNU (or an integral multiple thereof) of the ETF on any trading day for a prescribed basket of securities (as determined by the investment manager) and/or cash, subject to the requirement that a minimum PNU be exchanged. The Manager may, in its complete discretion, pay exchange proceeds consisting of cash only in an amount equal to the net asset value of the applicable PNU of the ETF next determined following the receipt of the exchange request. The Manager will, upon receipt of the exchange request, advise the unitholder submitting the request as to whether cash and/or a basket of securities will be delivered to satisfy the request. Investors are able to trade units of the ETF in the same way as other securities traded on the Toronto Stock Exchange ( TSX ), including by using market orders and limit orders. An investor may buy or sell units of the ETF on the TSX only through a registered broker or dealer in the province or territory where the investor resides. Investors may incur customary brokerage commissions when buying or selling units. 5

9 Management Discussion of Fund Performance (continued) Horizons Morningstar Hedge Fund Index ETF 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 and National Bank Financial Inc. ( NBF ) holds an indirect minority interest in the Manager. 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. Fiera, the sub-advisor of the ETF and of the Fund, is an affiliate of NBF and, as stated above, an affiliate of NBF holds an indirect minority interest in the Manager. As a result, Fiera may be considered to be an associate of the Manager. 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, 2015 and 2014, the ETF did not make any payments to NBF and/or its affiliates in broker commissions on portfolio transactions. 6

10 Financial Highlights The following tables show selected key financial information about the ETF and are intended to help you understand the ETF s financial performance since it effectively began operations on April 26, 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 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 (0.24) (0.23) (0.12) (0.03) Realized gains (losses) for the year (0.03) 3.34 (1.10) (0.58) Unrealized gains (losses) for the year 0.35 (1.53) Total increase (decrease) from operations (2) (0.18) Distributions: From net realized capital gains (0.56) Total annual distributions (3) (0.56) Net assets, end of year (4) $ Advisor Class Year Net assets, beginning of year (1) $ Increase (decrease) from operations: Total revenue Total expenses (0.35) (0.32) (0.21) (0.09) Realized gains (losses) for the year (0.02) 3.23 (1.09) (0.58) Unrealized gains (losses) for the year 0.42 (1.55) Total increase (decrease) from operations (2) (0.24) Distributions: From net realized capital gains (0.44) Total annual distributions (3) (0.44) Net assets, end of year (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 have an initial net asset value of $10.00 as at April 26, 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) $ 48,822 30,752 21,302 17,855 Number of units outstanding (000 s) 3,643 2,320 1,844 1,818 Management expense ratio (2) (5) 1.23% 1.20% 1.20% 1.18% Management expense ratio excluding proportion of expenses from underlying investment funds 0.54% 0.52% 0.52% 0.51% Management expense ratio before waivers and absorptions (3) 1.57% 1.95% 2.34% 1.92% Trading expense ratio (4) (5) 1.41% 1.42% 0.80% 0.68% Trading expense ratio excluding proportion of costs from underlying investment funds 1.31% 1.36% 0.63% 0.61% Portfolio turnover rate (6) 0.00% 0.26% 55.66% 19.67% Net asset value per unit, end of year $ Closing market price $ Advisor Class Year (1) Total net asset value (000 s) $ ,277 1,953 Number of units outstanding (000 s) Management expense ratio (2) (5) 2.08% 2.07% 2.06% 2.03% Management expense ratio excluding proportion of expenses from underlying investment funds 1.39% 1.38% 1.37% 1.35% Management expense ratio before waivers and absorptions (3) 2.42% 2.83% 3.21% 2.76% Trading expense ratio (4) (5) 1.41% 1.42% 0.80% 0.68% Trading expense ratio excluding proportion of costs from underlying investment funds 1.31% 1.36% 0.63% 0.61% Portfolio turnover rate (6) 0.00% 0.26% 55.66% 19.67% Net asset value per unit, end of year $ Closing market price $ This information is provided as at December 31 of the years shown. Information from 2013 onwards is in accordance with IFRS. Information for years prior to 2013 is reported under Canadian GAAP. 2. Management expense ratio is based on total expenses, including sales tax, (excluding commissions and other portfolio transaction costs) for the stated period and is expressed as an annualized percentage of daily average net asset value during the year. Out of their management fees, the Manager pays for such services to the ETF as portfolio manager compensation, service fees and marketing. 3. The Manager, at its discretion, may waive and/or absorb a portion of the fees and/or expenses otherwise payable by the 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 its discretion. 4. The trading expense ratio represents total commissions and other portfolio transaction costs expressed as an annualized percentage of daily average net asset value during the 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 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 and the Fund (together, the Funds ) 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 Funds; arranging for the maintenance of accounting records for the Funds; preparing reports to unitholders and to the applicable securities regulatory authorities; calculating the amount and determining the frequency of distributions by the Funds; preparing financial statements, income tax returns and financial and accounting information as required by the Funds; ensuring that unitholders are provided with financial statements and other reports as are required from time to time by applicable law; ensuring that the Funds comply with all other regulatory requirements, including the continuous disclosure obligations of the Funds under applicable securities laws; administering purchases, redemptions and other transactions in units of the Funds; and dealing and communicating with unitholders of the Funds. The Manager provides office facilities and personnel to carry out these services, if not otherwise furnished by any other service provider to the Funds. The Manager also monitors the investment strategies of the Funds to ensure that the ETF and the Fund each 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 fee at the annual rate of 0.45%, plus applicable sales taxes, of the net asset value of the ETF s Class E units and 1.20%, plus applicable sales taxes, of the net asset value of the ETF s Advisor Class units, calculated and accrued daily and payable monthly in arrears. In addition, the Manager receives a monthly fee at the annual rate of 0.50%, plus applicable sales taxes, of the net asset value of the HAP Nexus Hedge Fund Replication Trust, calculated and accrued daily and payable monthly in arrears for services similar to those provided to the ETF. The Investment Manager, Sub-Advisor and Replication Strategy Weightings Provider are compensated for their services by the Manager without any further cost to the ETF or to the Fund. The Manager, and not the ETF, pays 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 aggregate annual management fee is approximately 0.95% and 1.70% of the respective net asset values of the Class E units and Advisor Class units of the ETF. 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 general administrative costs expenses of the ETF Marketing and profit 7% 54% 39% Fees related to the operation of the Forward Agreement are not included in the management fees or other operating expenses of the ETF. Forward fees related to the Forward Agreement, as described in the Fees and Expenses section of the ETF s prospectus, are payable to the Counterparty based on the net assets of the HAP Nexus Hedge Fund Replication Trust. For the purposes of financial reporting, these expenses have been disclosed in transaction costs in the statement of comprehensive income and are included in the trading expense ratio in the management report of fund performance. 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, if any, and do not take into account sales, redemptions, distributions or optional charges or income taxes payable by any investor that would have reduced returns. An investment in the ETF is not guaranteed. Its value changes frequently and past performance may not be repeated. The ETF s performance numbers assume that all distributions are reinvested in additional units of the ETF. If you hold this ETF outside of a registered plan, income and capital gains distributions that are paid to you increase your income for tax purposes whether paid to you in cash or reinvested in additional units. The amount of the reinvested taxable distributions is added to the adjusted cost base of the units that you own. This would decrease your capital gain or increase your capital loss when you later redeem from the ETF, thereby ensuring that you are not taxed on this amount again. Please consult your tax advisor regarding your personal tax situation. Year-by-Year Returns The following chart presents the performance of the ETF 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 -1.81% 17.64% 14.74% 1.12% Advisor Class -2.37% 16.63% 13.74% 0.27% Class E units and Advisor Class units of the ETF have an initial net asset value of $10.00 as at April 26,

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 compared with the ETF s applicable benchmark. 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. Period Class E Return % Advisor Class Return % Morningstar Broad Hedge Fund Index Return % 1 Year 1.12% 0.27% 0.29% 3 Year 10.93% 9.98% 4.93% Since Inception 8.28% 7.35% 4.44% Class E and Advisor Class units of the ETF have an initial net asset value of $10.00 as at April 26,

15 Summary of Investment Portfolio As at December 31, 2015 % of ETF s Asset Mix Net Asset Value Net Asset Value Forward Agreements* $ 4,766, % Cash and Cash Equivalents held for Collateral 44,960, % Cash and Cash Equivalents - Other 33, % Other Assets less Liabilities 36, % $ 49,795, % Top Holdings % of ETF s Net Asset Value Cash and Cash Equivalents held for Collateral 90.29% Forward Agreements (net notional value $49,721,092)* 9.57% * The ETF has exposure to the investments of the HAP Nexus Hedge Fund Replication Trust through the Forward Agreement(s). Please see the supplementary Summary of Investment Portfolio of the HAP Nexus Hedge Fund Replication Trust on the following page for more detail on that fund s investments. The summary of investment portfolio may change due to the ongoing portfolio transactions of the ETF. The most recent financial statements are available at no cost by calling , by writing to us at 26 Wellington Street East, Suite 700, Toronto, Ontario, M5E 1S2, by visiting our website at or through SEDAR at 12

16 Summary of Investment Portfolio (supplementary - HAP Nexus Hedge Fund Replication Trust) As at December 31, 2015 Horizons Morningstar Hedge Fund Index ETF % of Fund s Asset & Sector Mix Net Asset Value Net Asset Value Long Positions Futures Contracts Treasury Bond Speculative* $ 62, % Currency Forward Hedge* (962) 0.00% Futures Contracts Commodity Speculative* (1,211) 0.00% Futures Contracts Currency Speculative* (60,907) -0.12% Futures Contracts Index Speculative* (341,734) -0.69% Cash and Cash Equivalents 45,591, % Margin Deposits 4,859, % Other Assets less Liabilities (3,834) -0.01% Short Positions Futures Contracts Currency Speculative* 51, % Futures Contracts Index Speculative* (1,605) 0.00% Futures Contracts Treasury Bond Speculative* (3,987) -0.01% Futures Contracts Commodity Speculative* (431,259) -0.87% $ 49,720, % *Positions in futures and/or forward contracts are disclosed as the gain/(loss) that would be realized if the contracts were closed out on the date of this report. 13

17 Summary of Investment Portfolio (supplementary - HAP Nexus Hedge Fund Replication Trust) (continued) As at December 31, 2015 Top Holdings** % of Fund s Net Asset Value Long Positions S&P 500 E-Mini Index Futures 52.97% Japanese 10-Year Mini Bond Futures 40.38% Euro-Bund Futures 29.13% U.S. 2-Year Treasury Bond Futures 13.30% British Pound Currency Futures 4.87% Australian Dollar Currency Futures 3.24% Australian 10-Year Treasury Bond Futures 3.09% Canadian 10-Year Treasury Bond Futures 2.27% Soybean Commodity Futures 0.24% Short Positions Copper Commodity Futures -0.15% NY Harbor ULSD Commodity Futures -0.53% Gold Commodity Futures -1.48% Wheat Commodity Futures -1.50% Crude Oil Commodity Futures -2.06% Silver Commodity Futures -2.69% U.S. 10-Year Treasury Bond Futures -3.50% Australian 3-Year Treasury Bond Futures -4.29% Natural Gas Commodity Futures -4.94% MSCI Emerging Markets Mini Index Futures -9.64% Japanese Yen Currency Futures % Canadian Dollar Currency Futures % ** All futures positions are speculative in nature. Positions in futures contracts are disclosed in terms of their notional exposure. Aggregate notional exposure of futures contracts equals % of the Fund s NAV. The summaries of investment portfolio may change due to the ongoing portfolio transactions of the ETF and of the Fund. The most recent financial statements are available at no cost by calling , by writing to us at 26 Wellington Street East, Suite 700, Toronto, Ontario, M5E 1S2, by visiting our website at or through SEDAR at 14

18 MANAGER S RESPONSIBILITY FOR FINANCIAL REPORTING The accompanying audited annual financial statements of Horizons Morningstar Hedge Fund Index 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. 15

19 INDEPENDENT AUDITORS REPORT To the Unitholders of Horizons Morningstar Hedge Fund Index 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 16

20 Statements of Financial Position As at December 31, Assets Cash and cash equivalents held for collateral $ 44,960,056 $ 27,648,928 Cash and cash equivalents - other 33,261 91,178 Amounts receivable relating to accrued income 118,739 99,925 Derivative assets (note 3) 4,849,501 3,847,639 Total assets 49,961,557 31,687,670 Liabilities Accrued expenses 82,375 60,514 Derivative liabilities (note 3) 83, ,751 Total liabilities 165, ,265 Total net assets (note 2) $ 49,795,989 $ 31,399,405 Total net assets, Class E (note 2) $ 48,822,057 $ 30,751,864 Number of redeemable units outstanding, Class E (note 10) 3,643,000 2,320,400 Total net assets per unit, Class E (note 2) $ $ Total net assets, Advisor Class (note 2) $ 973,932 $ 647,541 Number of redeemable units outstanding, Advisor Class (note 10) 75,000 50,000 Total net assets per unit, Advisor Class (note 2) $ $ (See accompanying notes to financial statements) Approved on behalf of the Board of Directors of the Manager: Steven J. Hawkins Taeyong Lee 17

21 Statements of Comprehensive Income For the Years Ended December 31, Income Interest income for distribution purposes $ 270,714 $ 176,171 Securities lending income 11,897 5,178 Net realized gain (loss) on sale of investments and derivatives (85,083) 7,080,870 Net change in unrealized appreciation (depreciation) of investments and derivatives 1,146,420 (3,247,650) 1,343,948 4,014,569 Expenses Management fees (note 11) 227, ,631 Audit fees 9,962 8,852 Independent Review Committee fees Custodial fees 2,288 1,619 Legal fees 10,498 10,485 Securityholder reporting costs 37,215 35,892 Administration fees 45,716 48,512 Transaction costs 577, ,298 Other expenses , ,911 Amounts that were payable by the investment fund that were paid or absorbed by the Manager (88,281) (102,345) 823, ,566 Increase in net assets for the year (note 2) $ 520,746 $ 3,512,003 Increase in net assets, Class E (note 2) $ 512,735 $ 3,277,723 Increase in net assets per unit, Class E (note 2) Increase in net assets, Advisor Class (note 2) $ 8,011 $ 234,280 Increase in net assets per unit, Advisor Class (note 2) (See accompanying notes to financial statements) 18

22 Statements of Changes in Financial Position For the Years Ended December 31, Total net assets at the beginning of the year (note 2) $ 31,399,405 $ 23,578,748 Increase in net assets (note 2) 520,746 3,512,003 Redeemable unit transactions Proceeds from the issuance of securities of the investment fund 19,873,253 15,574,462 Aggregate amounts paid on redemption of securities of the investment fund (1,997,415) (11,265,808) Securities issued on reinvestment of distributions 1,318,923 Distributions: From net realized capital gains (1,318,923) Total net assets at the end of the year (note 2) $ 49,795,989 $ 31,399,405 Total net assets at the beginning of the year, Class E (note 2) $ 30,751,864 $ 21,301,407 Increase in net assets, Class E (note 2) 512,735 3,277,723 Redeemable unit transactions Proceeds from the issuance of securities of the investment fund 19,554,873 15,574,462 Aggregate amounts paid on redemption of securities of the investment fund (1,997,415) (9,401,728) Securities issued on reinvestment of distributions 1,297,104 Distributions: From net realized capital gains (1,297,104) Total net assets at the end of the year, Class E (note 2) $ 48,822,057 $ 30,751,864 Total net assets at the beginning of the year, Advisor Class (note 2) $ 647,541 $ 2,277,341 Increase in net assets, Advisor Class (note 2) 8, ,280 Redeemable unit transactions Proceeds from the issuance of securities of the investment fund 318,380 Aggregate amounts paid on redemption of securities of the investment fund (1,864,080) Securities issued on reinvestment of distributions 21,819 Distributions: From net realized capital gains (21,819) Total net assets at the end of the year, Advisor Class (note 2) $ 973,932 $ 647,541 (See accompanying notes to financial statements) 19

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