Our family of BetaPro ETFs are tactical investment solutions designed to provide daily exposure to a given asset class.

The specific investment objective of the BetaPro S&P 500 VIX Short-Term Futures™ Daily Inverse ETF (“HVI”) is to provide daily investment results, before fees, expenses, distributions, brokerage commissions and other transaction costs that endeavour to correspond to the single inverse (opposite) of the daily performance of the S&P 500 VIX Short-Term Futures Index™ (Bloomberg ticker SPVXSP).

The closing net asset value (“NAV”) of HVI dropped by approximately 88% between February 2nd, 2018 and February 6th, 2018. As a passive investment product, HVI continued to adhere to its investment objective and strategy during this time. However, as a result of the high level of volatility with the underlying volatility futures market during this period, unitholders of HVI experienced a dramatic decline in the value of their holdings.

Units of HVI trade on the Toronto Stock Exchange until 4 p.m. EST on each trading day. HVI’s reference index is the Horizons Short VIX Short-term Futures Index (Bloomberg ticker CMDYVXER), a custom index that substantially corresponds to the one times daily inverse performance of SPVXSP. SPVXSP is a theoretical rolling futures contract index that calculates an index level up until 4:15 p.m. each trading day, and strikes its end of day index level based on a weighted average of the 4:15 p.m. close of the applicable one and two-month futures contracts.

Like all other North American listed inverse volatility ETFs and ETNs, to ensure that downside risk is limited to the then-current value of the ETF, HVI has a theoretical roll (which includes a rebalance) of the underlying futures exposure at 4:15 p.m. each trading day. This 4:15 p.m. roll has been consistently applied every trading day since HVI’s launch in April of 2012.

HVI’s NAV, and its daily rebalance methodology, is based on CMDYVXER, which uses an approximate 4 p.m. value of SPVXSP for its daily close. CMDYVXER does not use the 4:15 p.m. closing prices of the underlying futures contracts in determining its index level, however the day-over-day change in the 4:15 p.m. underlying futures contracts prices nonetheless affects the NAV of HVI due to the 4:15 p.m. futures contract roll described above. The closing value of CMDYVXER is posted each day on Bloomberg.

The risk associated with the time period between 4:00 p.m. and 4:15 p.m. is discussed on page 22 of HVI’s prospectus, as follows:

In order to achieve its investment objective, HVI currently obtains exposure through the Forward Documents to the performance of an Inverse Index [CMDYVXER]. The closing valuation time of the Inverse Index is 4:00 p.m. on each Valuation Day, whereas the closing valuation time of the Underlying Index [SPVXSP] is 4:15 p.m. on each Valuation Day. Accordingly, since the value of the underlying futures contracts, and therefore the value of the Underlying Index, can change significantly between 4:00 p.m. (the closing valuation time of the Inverse Index) and 4:15 p.m. (the closing valuation time of the Underlying Index) on any Valuation Day, the day over day closing net asset value of HVI may not always closely correlate to the inverse performance of the day over day closing value of the Underlying Index.

In addition, while the Underlying Index may be followed intra-day, it may not closely replicate the value of the underlying futures contracts for a number of reasons, including wide bid-offer spreads on underlying constituents; theoretical roll execution of the futures contracts; and the significant time value decay/contango loss that is inherent in VIX futures contracts.

For the reasons noted, and particularly in the case of extreme volatility in the VIX futures markets such as occurred on February 5th and 6th, the day over day closing NAV of HVI may not always closely correlate to the inverse performance of the day over day closing value of the SPVXSP.

BetaPro S&P 500 VIX Short-Term Futures™ Daily Inverse ETF – Market Activity February 2nd to February 6th

http://www.HorizonsETFs.com

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Horizons ETFs is a Member of Mirae Asset Global Investments. Commissions, management fees and expenses all may be associated with an investment in exchange traded products managed by Horizons ETFs Management (Canada) Inc. (the “Horizons Exchange Traded Products”). The Horizons Exchange Traded Products are not guaranteed, their values change frequently and past performance may not be repeated. The prospectus contains important detailed information about the Horizons Exchange Traded Products. Please read the relevant prospectus before investing.The Horizons Exchange Traded Products consist of the Horizons Index ETFs (“Index ETFs”), 2x Daily Bull and -2x Daily Bear ETFs (“2x Daily ETFs”), Inverse ETFs (“Inverse ETFs”), VIX ETFs (defined below) and active ETFs. The 2x Daily ETFs and certain other Horizons Exchange Traded Products use leveraged investment techniques that can magnify gains and losses and may result in greater volatility of returns. These Horizons Exchange Traded Products are subject to leverage risk and may be subject to aggressive investment risk and price volatility risk, which, where applicable, are described in their respective prospectuses. Each 2x Daily ETF seeks a return, before fees and expenses, that is either 200% or -200% of the performance of a specified underlying index, commodity or benchmark (the “Target”) for a single day. Each Index ETF or Inverse ETF seeks a return that is 100% or -100%, respectively, of the performance of a Target. Due to the compounding of daily returns, a 2x Daily ETF’s or Inverse ETF’s returns over periods other than one day will likely differ in amount and possibly direction from the performance of their respective Target(s) for the same period. The Horizons Exchange Traded Products whose Target is the S&P 500 VIX Short-Term Futures Index™ (the “VIX ETFs”), one of which is a 2x Daily ETF and one of which is an Index ETF, as described in their prospectus, are speculative investment tools that are not conventional investments. The VIX ETFs’ Target is highly volatile. As a result, the VIX ETFs are not generally viewed as stand-alone long-term investments. Historically, the VIX ETFs’ Target has tended to revert to a historical mean. As a result, the performance of the VIX ETFs’ Target is expected to be negative over the longer term and neither the VIX ETFs nor their Target are expected to have positive long term performance. In addition, the VIX ETFs’ Target has historically experienced some significant one day increases when equity markets have had large negative returns which, if repeated, could cause the Inverse (-1x) VIX ETF to suffer substantial losses. Investors should monitor their holdings, as frequently as daily, to ensure that they remain consistent with their investment strategies.

To learn more, please visit www.HorizonsETFs.com

The prices of the underlying futures contracts, and therefore SPVXSP, can move significantly between the 4:00 p.m. closing valuation of CMDYVXER and the 4:15 p.m. the theoretical roll and rebalance of the underlying futures exposure. On February 5th we saw a very significant move in the underlying futures prices in that 15 minute period.

Between 4:15 p.m. on Friday, February 2nd and 4:15 p.m. on Monday, February 5th, the value of the underlying rolling futures exposure of SPVXSP dropped by approximately 96%, so when CMDYVXER’s theoretical roll and rebalance took place on February 5th, HVI’s fair value dropped by an approximate corresponding amount during the same period, and established the new theoretical rebalanced base level from which CMDYVXER started from at the beginning of the next trading session. This is the same process that has been consistently applied every trading day since HVIs launch in April of 2012 in order to achieve its stated investment objective.

HVI, from its inception to December 31, 2017, has consistently met its daily return objective with a perfect 1.0 correlation to CMDYVXER and an approximate correlation of 0.943 to the inverse performance of SPVXSP. Between February 2nd and February 6th, HVI had perfect 1.0 correlation to the performance of CMDYVXER; however, for the reasons noted above and the extreme volatility of volatility over those two days, HVI’s daily performance deviated from the daily inverse performance of SPVXSP.

HVI is intended to serve a very specific purpose for investors who have a firm conviction and expectation of a decrease in S&P 500 short-term volatility, and choose to trade HVI to seek a potential short-term trading gain. This product is only appropriate for investors who understand volatility and its associated risks before they make a trade in HVI. HVI’s prospectus states in bolded, cover page disclosure that HVI is a speculative investment tool, and is not generally viewed as a stand-alone long term investment.

As always, investors should carefully read the prospectus, including the description of the principal risk factors, before making any investment.

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