BMO Low Volatility US Equity ETF (ZLU/ZLU.U) (the ETF )

ANNUAL MANAGEMENT REPORT OF FUND PERFORMANCE BMO Low Volatility US Equity ETF (ZLU/ZLU.U) (the ETF ) For the 12-month period ended December 31, 2017 (the Period ) Manager: BMO Asset Management Inc. (the Manager and portfolio manager ) Management Discussion of Fund Performance Investment Objective and Strategies The ETF seeks to provide unitholders with exposure to the performance of a portfolio of U.S. stocks with the potential for long term capital appreciation. Securities will be selected from the large capitalization U.S. equity universe. The securities that have the lowest sensitivity to market movements (beta) will be selected for the portfolio and it will be weighted so that a higher allocation is given to securities with lower beta, although any investment in a single issuer will be made only in accordance with applicable Canadian securities legislation. The investment strategy of the ETF is to invest in and hold a portfolio of securities selected by the Manager in order to achieve its investment objectives. The ETF may also hold cash and cash equivalents or other money market instruments in order to meet their current obligations. Risk The risks associated with an investment in the ETF remain as disclosed in the ETF s most recent prospectus or any amendments and ETF facts. During the Period there were no changes to the ETF that materially affected the overall risk level associated with an investment in the ETF. However, beginning in February 2018 the ETF s investment risk level is being determined by calculating the ETF s ten-year standard deviation in accordance with the investment risk classification methodology under National Instrument 81-102 Investment Funds, which came into force effective September 1, 2017. If the ETF does not have at least ten years of performance history, a reference index that is expected to reasonably approximate the ETF s standard deviation is used as a proxy for the remainder of the ten year period. In February 2018, the Manager reviewed the ETF using the new standardized investment risk classification methodology and determined that the risk rating of the ETF had not changed. The Manager reviews the ETF s investment risk level and reference index(es), if any, at least annually. Results of Operations As this ETF has two classes, the performance of each class is measured against separate benchmarks. The listed CAD units of the ETF returned 5.10% versus the S&P 500 Index (CAD) return of 13.83%. The difference in the performance of the listed CAD units of the ETF relative to the Index during the Period (-8.73%) resulted from the management expense ratio (-0.33%), and the impact of sampling and certain other factors (-8.40%), which may have included timing and holding differences from the concentration of portfolio holdings in low volatility stocks versus the Index, and market volatility. The listed USD units of the ETF returned 12.28% versus the S&P 500 Index (USD) return of 21.83%. The difference in the performance of the listed USD units of the ETF relative to the Index during the Period (-9.55%) resulted from the management expense ratio (-0.33%), and the impact of sampling and certain other factors (-9.22%), which may have included timing and holding differences from the concentration of portfolio holdings in low volatility stocks versus the Index, and market volatility. This annual management report of fund performance contains financial highlights but does not contain the complete annual financial statements of the ETF. If the annual financial statements of the ETF do not accompany the mailing of this report, you may obtain a copy of the annual financial statements at your request, and at no cost, by calling 1-800-361-1392, by writing to us at BMO Asset Management Inc., 250 Yonge Street, 7th Floor, Toronto, Ontario, M5B 2M8 or by visiting our website at www.bmo.com/etflegal or SEDAR at www.sedar.com. You may also contact us using one of these methods to request a copy of the ETF s proxy voting policies and procedures, proxy voting disclosure record and/or quarterly portfolio disclosure. 254

The change in total net asset value during the Period from approximately $818 million to approximately $793 million had no impact to the performance of the ETF. Market Conditions During the Period, the S&P 500 Index, representing performance of U.S. equities, registered very strong performance, posting a 21.8% gain in U.S. dollars and 13.8% in Canadian dollars. The majority of equity sectors posted gains, with Information Technology stocks leading all sectors, adding 38.8%. Consumer Staples and Consumers Discretionary sectors continued to demonstrate solid consumer demand, underpinning the U.S. economy. Meanwhile, U.S. Financials benefited from interest rate increases by the U.S. Federal Reserve Board and progress in U.S. tax legislation. Energy stocks underperformed despite extended production cuts by a number of major oil producers. The ETF s underweight exposure to the Energy sector contributed the most to performance, while the Information Technology and the Utilities sectors detracted the most from performance. Significant individual contributors to performance were CJ Bard Inc., Baxter International Inc. and Dollar Tree Inc. Individual detractors to performance included International Business Machines Corp., Amazon.com, Inc. and Stericycle Inc. Recent Developments The U.S. equity market started 2018 with a favourable backdrop for continued price appreciation. Tax reform provides the potential for stronger economic growth to the U.S. economy. U.S. equities have had a strong start to 2018, reflecting the continued improvement in macro-economic conditions, and the expected benefit of tax reform on economic growth. Factors that may affect the equity market going forward include the pace of interest rate increases from the U.S. Federal Reserve Board, as well as changes in the unemployment and inflation rates. Designated Broker The Manager has entered into an agreement with BMO Nesbitt Burns Inc., an affiliate of the Manager, to act as designated broker and dealer for distribution of BMO exchange traded funds, on terms and conditions that are comparable to arm s length agreements in the exchange traded funds industry. The material terms and conditions of the agreement have been disclosed in the ETF s prospectus. The Manager has also entered into agreements with certain other registered dealers in Canada to act as dealers for the creation and redemption of units of BMO exchange traded funds. Management Fees The Manager is responsible for the day-to-day management of the business and operations of the ETF. The Manager monitors and evaluates the ETF s performance, manages the portfolio and provides certain administrative services required by the ETF. As compensation for its services, the Manager is entitled to receive a management fee payable quarterly and calculated based on the daily net asset value of the ETF at the maximum annual rate set out in the table below. Maximum Annual Ticker Management Fee Rate % ZLU 0.30 ZLU.U 0.30 Brokerage Commissions The ETF pays standard brokerage commissions at market rates to BMO Nesbitt Burns Inc., an affiliate of the Manager, for executing a portion of its trades. The brokerage commissions charged to the ETF (excluding exchange and other fees) during the periods was as follows: 2017 2016 Total brokerage commissions $ 71,305 65,664 Brokerage commissions paid to BMO Nesbitt Burns Inc. $ 57,863 31,579 Related Party Transactions The Manager, an indirect, wholly-owned subsidiary of Bank of Montreal ( BMO ), is the portfolio manager, trustee and promoter of the ETF. From time to time, the Manager may, on behalf of the ETF, enter into transactions or arrangements with or involving other members of BMO Financial Group, or certain other persons or companies that are related or connected to the Manager (each a Related Party ). The purpose of this section is to provide a brief description of any transactions involving the ETF and a Related Party. 255

Financial Highlights The following tables show selected key financial information about the ETF and are intended to help you understand the ETF s financial performance for the periods indicated. The ETF s Net Assets per Unit Listed CAD Units 2017 2016 2015 2014 2013 (5) Net assets, beginning of period $ 29.90 28.82 23.23 17.49 15.00* Increase (decrease) from operations Total revenue $ 0.82 0.83 0.69 0.56 0.40 Total expenses (2) $ (0.22) (0.23) (0.20) (0.16) (0.11) Realized gains (losses) for the period $ 1.03 1.63 1.13 1.14 0.79 Unrealized gains (losses) for the period $ (0.09) (0.96) 4.21 5.87 2.04 Total increase (decrease) from operations (3) $ 1.54 1.27 5.83 7.41 3.12 Distributions From income (excluding dividends) $ 0.00 From dividends $ 0.61 0.71 0.51 0.30 0.23 From capital gains $ 0.45 0.76 0.28 0.14 0.05 Return of capital $ 0.01 0.01 0.05 0.01 0.02 Total Annual Distributions (4) $ 1.07 1.48 0.84 0.45 0.30 Net assets, end of period $ 30.80 29.90 28.82 23.23 17.49 Listed USD Units 2017 2016 2015 2014 2013 (5) Net assets, beginning of period $ 22.84 21.37 20.43 16.90 15.00* Increase (decrease) from operations Total revenue $ 0.64 0.64 0.62 0.50 0.42 Total expenses (2) $ (0.17) (0.18) (0.16) (0.14) (0.09) Realized gains (losses) for the period $ 0.79 1.38 0.86 0.81 0.50 Unrealized gains (losses) for the period $ (0.11) (0.60) 3.40 5.20 2.24 Total increase (decrease) from operations (3) $ 1.15 1.24 4.72 6.37 3.06 Distributions From income (excluding dividends) $ 0.00 From dividends $ 0.48 0.53 0.45 0.24 0.35 From capital gains $ 0.37 1.08 0.17 0.12 0.10 Return of capital $ 0.00 0.06 0.02 0.10 0.01 Total Annual Distributions (4) $ 0.85 1.67 0.64 0.46 0.46 Net assets, end of period $ 25.15 22.84 21.37 20.43 16.90 * Initial net assets. * Amounts stated in U.S. dollars. This information is derived from the ETF s audited financial statements. (2) Includes commissions and other portfolio transaction costs and withholding taxes. (3) Net assets 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. This table is not intended to be a reconciliation of beginning to ending net assets per unit. (4) Distributions were either paid in cash or reinvested in additional units of the ETF, or both. Ratios and Supplemental Data Listed CAD Units 2017 2016 2015 2014 2013 (5) Total net asset value (000 s) $ 742,436 762,641 585,248 132,544 13,988 Number of units outstanding (000 s) 24,105 25,505 20,305 5,705 800 Management expense ratio (2) % 0.33 0.33 0.33 0.34 0.35 Management expense ratio before waivers or absorptions (2) % 0.33 0.33 0.33 0.34 0.35 Trading expense ratio (3) % 0.01 0.01 0.01 0.01 Portfolio turnover rate (4) % 41.33 91.45 30.23 30.92 29.04 Net asset value per unit $ 30.80 29.90 28.82 23.23 17.49 Closing market price $ 30.80 29.91 28.87 23.19 17.49 Listed USD Units 2017 2016 2015 2014 2013 (5) Total net asset value (000 s) $ 50,576 55,209 44,362 14,241 3,591 Number of units outstanding (000 s) 1,600 1,800 1,500 600 200 Management expense ratio (2) % 0.33 0.33 0.33 0.34 0.36 Management expense ratio before waivers or absorptions (2) % 0.33 0.33 0.33 0.35 0.36 Trading expense ratio (3) % 0.01 0.01 0.01 0.01 Portfolio turnover rate (4) % 41.33 91.45 30.23 30.92 29.04 Net asset value per unit $ 25.15 22.84 21.37 20.43 16.90 Closing market price $ 25.14 22.78 21.52 20.58 16.90 * Amounts stated in U.S. dollars. This information is provided as at December 31 of the period shown. (2) 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 period. (3) The trading expense ratio represents total commissions and other portfolio transaction costs expressed as an annualized percentage of daily average net asset value during the period. For the financial periodended December 31, 2013, no commissions or other portfolio transactions costs were incurred by the ETF. As a result, the trading expense ratio for this period was zero. (4) The ETF s portfolio turnover rate indicates how actively the ETF s portfolio manager manages its portfolio investments. 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. The higher an 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 an ETF. (5) The information shown in this column is for the period beginning January 29, 2013 (the ETF s establishment date) and ending December 31, 2013. Past Performance The ETF s performance information assumes that all distributions made by the ETF in the periods shown were used to purchase additional units of the ETF and is based on the net asset value of the ETF. The performance information does not take into account sales, redemption, distribution or other optional charges that, if applicable, would have reduced returns or performance. Please remember that how the ETF has performed in the past does not indicate how it will perform in the future. (5) The information shown in this column is for the period beginning January 29, 2013 (the ETF s establishment date) and ending December 31, 2013. 256

Year-by-Year Returns The following bar charts show the performance of the ETF for each of the financial years shown. The charts show, in percentage terms, how an investment made on the first day of each financial year would have increased or decreased by the last day of each financial year. Listed CAD Units 36% 18% 0% -18% -36% Listed USD Units 36% 18% 0% -18% -36% Annual Compound Returns This table compares the historical annual compound returns of the ETF with its benchmark index, the S&P 500 Index. The S&P 500 Index is a broad-based index of 500 leading and publicly traded large capitalization U.S. equities. The components of the S&P 500 Index are selected by committee and reviewed regularly. The S&P 500 Index is reported in both Canadian and U.S. dollars. As of December 31, 2017 Listed CAD Units Since 1Yr 3Yr 5Yr 10Yr Inception BMO Low Volatility US Equity ETF % 5.10 12.05 18.39 S&P 500 Index (CAD) % 13.83 14.37 19.31 Listed USD Units 18.18 2013 2014 2015 2016 2017 14.25 34.98 23.38 26.59 6.28 8.98 2013 2014 2015 2016 2017 For the period beginning with the performance launch date of March 19, 2013 to December 31, 2013. Since 1Yr 3Yr 5Yr 10Yr Inception BMO Low Volatility US Equity ETF % 12.28 9.15 13.49 S&P 500 Index (USD) % 21.83 11.41 14.46 Return from the performance launch date of March 19, 2013 to December 31, 2017. 5.74 5.10 A discussion on the relative performance of the ETF as compared to its benchmark index can be found under the Results of Operations section of this report. 12.28 Summary of Investment Portfolio As at December 31, 2017 Portfolio Allocation % of Net Asset Value Utilities............................................... 22.1 Consumer Staples........................................ 17.6 Health Care............................................ 16.2 Consumer Discretionary................................... 13.4 Industrials.............................................. 8.3 Financials.............................................. 8.2 Real Estate.............................................. 7.8 Materials............................................... 2.7 Telecommunication Services................................. 1.4 Information Technology.................................... 1.3 Cash/Receivables/Payables................................. 1.0 Total Portfolio Allocation 100.0 Top 25 Holdings % of Net Asset Value Becton, Dickinson and Company.............................. 1.7 Target Corporation........................................ 1.6 Republic Services, Inc...................................... 1.6 McDonald s Corporation.................................... 1.6 Waste Management, Inc.................................... 1.5 CBOE Holdings, Inc........................................ 1.5 Laboratory Corporation of America Holdings..................... 1.4 Newmont Mining Corporation................................ 1.4 Everest Re Group, Ltd...................................... 1.4 Humana Inc............................................. 1.4 Travelers Companies, Inc., The,............................... 1.4 Autozone, Inc............................................ 1.4 Johnson & Johnson........................................ 1.4 Dollar General Corporation.................................. 1.4 Lockheed Martin Corporation................................ 1.4 DaVita Inc............................................... 1.3 Baxter International Inc..................................... 1.3 Perrigo Company PLC...................................... 1.3 Mattel, Inc.............................................. 1.3 Stericycle, Inc............................................ 1.3 Kohl s Corporation........................................ 1.3 Progressive Corporation, The,................................ 1.3 Willis Towers Watson Public Limited Company.................... 1.3 Monsanto Company....................................... 1.3 C.H. Robinson Worldwide, Inc................................ 1.3 Top Holdings as a Percentage of Total Net Asset Value 35.1 Total Net Asset Value $793,012,166 The summary of investment portfolio may change due to the ETF s ongoing portfolio transactions. Updates are available quarterly. 257

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, the effects of competition in the geographic and business areas in which the ETF may invest in and the risks detailed from time to time in the ETFs prospectus. 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, BMO Asset Management Inc. 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. BMO exchange traded funds are managed and administered by BMO Asset Management Inc., an investment fund manager and portfolio manager and separate legal entity from Bank of Montreal. BMO (M-bar roundel symbol) is a registered trade-mark of Bank of Montreal. www.bmo.com/etflegal For more information please call 1-800-361-1392 258