ANNUAL MANAGEMENT REPORT OF FUND PERFORMANCE BMO Equal Weight Oil & Gas Index ETF (ZEO) (the “ETF”) For the 12-month period ended December 31, 2020 (the “Period”) Manager: BMO Asset Management Inc. (the “Manager” and “portfolio manager”)

Management Discussion Subsequent Event of Fund Performance Risk Rating Change On January 14, 2021, the Manager reviewed the ETF using Investment Objective and Strategies the standardized investment risk classification methodology The ETF seeks to replicate, to the extent possible, the prescribed by National Instrument 81-102 Investment Funds performance of an equal weight Canadian large-cap oil and determined that the risk rating of the ETF changed from and gas companies index, net of expenses. Currently, the “medium to high” to “high”. ETF seeks to replicate the performance of the Solactive Equal Weight Oil & Gas Index (the “Index”). The Results of Operations investment strategy of the ETF is to invest in and hold the The ETF underperformed the broad-based S&P/TSX Capped constituent securities of the Index in the same proportion Composite Index by 34.01%. However, the more appropriate as they are reflected in the Index. The Manager may also comparison is to the Solactive Equal Weight Canada Oil use a sampling methodology in selecting investments & Gas Index (the “Index”), due to the concentration of the for the ETF. As an alternative to or in conjunction with portfolio in Canadian oil and gas companies. The ETF investing in and holding the constituent securities, the ETF returned -28.41% versus the Index return of -28.23%. may invest in or use certain Other Securities (as defined in The change in total net asset value during the Period from the prospectus) to obtain exposure to the performance of approximately $136 million to approximately $117 million the Index. had no impact to the performance of the ETF. The difference in the performance of the ETF relative to the Index during Risk the Period (-0.18%) resulted from the management expense The risks associated with an investment in the ETF remain ratio (-0.61%), and the impact of sampling and certain as disclosed in the ETF’s most recent prospectus or any other factors (0.43%), which may have included timing amendments thereto and ETF facts. During the Period there differences versus the Index, and market volatility. were no changes to the ETF that materially affected the overall risk level associated with an investment in the ETF. Market Conditions On January 10, 2020, the Manager reviewed the ETF using Canadian equities, as measured by the S&P/TSX Composite the standardized investment risk classification methodology Index, returned 5.6% during the Period. As COVID-19 prescribed by National Instrument 81-102 Investment Funds began to spread across the world, Canadian equities and and determined that the risk rating of the ETF had not global markets declined significantly between March and changed. The Manager reviews the ETF’s investment risk April of 2020. Unprecedented monetary support and fiscal level and reference index, if any, at least annually. spending began to lift Canadian equities during the third quarter of 2020. The economic turbulence pushed the Bank of Canada to rapidly drop its target overnight rate

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. BMO Equal Weight Oil & Gas Index ETF

to 0.25% in early 2020. This rate was maintained for the (each a “Related Party”). The purpose of this section is to remainder of the Period. While optimism about COVID-19 provide a brief description of any transactions involving the vaccines improved investor risk appetite in the fourth ETF and a Related Party. quarter of 2020, the Energy sector underperformed in the Designated Broker Period as a result of the weaker demand for oil. Canada’s oil The Manager has entered into an agreement with production fell 20% from its average of 5.5 million barrels BMO Nesbitt Burns Inc., an affiliate of the Manager, to a day in 2019. Crude oil prices were down as low as US$7.52 act as designated broker and dealer for distribution of per barrel and fell to an average of BMO exchange traded funds, on terms and conditions that US$18 per barrel in April 2020. However, crude oil prices are comparable to arm’s length agreements in the exchange increased in the remainder of the Period with economies traded funds industry. The material terms and conditions of re-opening and as vaccine trials began to show positive the agreement have been disclosed in the ETF’s prospectus. results. The Information Technology sector had strong positive performance over the Period, driven by the growth The Manager has also entered into agreements with certain of e-commerce. Despite rising COVID-19 cases and re­ other registered dealers in Canada to act as dealers for imposed restrictions in the fourth quarter of 2020, Canada’s the creation and redemption of units of BMO exchange employment continued to improve. traded funds.

The ETF’s exposure to all Energy sub-sectors detracted Buying and Selling Securities from performance. The least negatively contributing sub- During the Period, the ETF relied on standing instructions sector was Integrated Oil & Gas, with Oil & Gas Exploration provided by the independent review committee (“IRC”) for & Production the most negatively contributing sub-sector. any of the following related party transactions that may have Additionally, all securities in the ETF negatively contributed occurred in the ETF: for the Period. The least negatively contributing securities (a) investments in securities issued by BMO, an affiliate of were Inc. and Canadian Natural Resources Ltd. the Manager, or any other issuer related to the Manager; The most negatively contributing securities were Inc. and Ovintiv Inc. (b) investments in a class of non-government debt securities and/or equity securities of an issuer during the period of Recent Developments distribution of those securities to the public and/or the In Canada, a COVID-19 vaccination program has been 60-day period following the distribution period where in progress since December 2020. The vaccine rollout BMO Nesbitt Burns Inc., an affiliate of the Manager, or any combined with continued monetary and fiscal stimulus, other affiliate of the Manager acted as an underwriter in may be positive for Canadian equities as the Canadian the distribution; economy, and labour market, could see improvement in 2021. However, any roadblocks or setbacks to this (c) trades in debt securities in the secondary market with economic recovery trajectory may have a negative impact BMO Nesbitt Burns Inc., an affiliate of the Manager, that is on equity markets. While Energy equities significantly trading with the ETF as principal; and underperformed the broad market in 2020, the Canadian Oil Patch showed signs of life at the end of the Period. Should (d) inter-fund trades positive economic activity and the re-opening of economies (each, a “Related Party Transaction”). continue, it could potentially bode well for the Energy sector in 2021. In accordance with the IRC’s standing instructions, in making a decision to cause the ETF to enter into a Related Related Party Transactions Party Transaction, the Manager and the portfolio manager The Manager, an indirect, wholly-owned subsidiary of of the ETF are required to comply with the Manager’s (“BMO”), is the portfolio manager, written policies and procedures governing the Related Party trustee and promoter of the ETF. From time to time, the Transaction and report periodically to the IRC, describing Manager may, on behalf of the ETF, enter into transactions each instance that the Manager relied on the standing or arrangements with or involving other members instructions and its compliance or non-compliance with the of BMO Financial Group, or certain other persons or governing policies and procedures. The governing policies companies that are related or connected to the Manager and procedures are designed to ensure that each Related Party Transaction (i) is made free from any influence of BMO, BMO Nesbitt Burns Inc. or an associate or affiliate of BMO Equal Weight Oil & Gas Index ETF

BMO and/or BMO Nesbitt Burns Inc. and without taking into Ratios and Supplemental Data account any considerations relevant to BMO, BMO Nesbitt Financial years ended Dec. 31 Burns Inc. or an associate or affiliate of BMO and/or Listed CAD Units 2020 2019 2018 2017 2016 Total net asset value (000’s)(1) $ 117,396 135,910 146,682 226,924 234,623 BMO Nesbitt Burns Inc., (ii) represents the business Number of units outstanding (000’s)(1) 3,997 3,097 18,762 20,962 18,447 judgment of the Manager, uninfluenced by considerations Management expense ratio(2) % 0.61 0.61 0.61 0.61 0.61 other than the best interests of the ETF, and (iii) achieves Management expense ratio before (2) a fair and reasonable result for the ETF. waivers or absorptions % 0.61 0.61 0.61 0.61 0.61 Trading expense ratio(3) % 0.03 0.02 0.00 0.00 — (4) Brokerage Commissions Portfolio turnover rate % 177.31 78.56 46.20 71.92 47.12 Net asset value per unit $ 29.37 43.88(5) 7.82 10.83 12.72 The ETF pays standard brokerage commissions at market Closing market price $ 29.40 43.89 7.81 10.82 12.71 rates to BMO Nesbitt Burns Inc., an affiliate of the Manager, (1) This information is provided as at December 31 of the period shown. for executing a portion of its trades. The brokerage (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 commissions charged to the ETF (excluding exchange and average net asset value during the period. other fees) during the periods were as follows: (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 2020 2019 financial period ended December 31, 2016, no commissions or other portfolio transactions costs were incurred by the ETF. As a result, the trading expense ratio for the period was nil. Total brokerage commissions $ 28,952 30,323 (4) The ETF’s portfolio turnover rate indicates how actively the ETF’s portfolio manager manages its Brokerage Commissions paid to BMO Nesbitt Burns Inc. $ 21,042 23,877 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 Financial Highlights 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. The following tables show selected key financial (5) As at the close of business on January 25, 2019, the Listed CAD Units were consolidated on the basis of a 1:5 ratio. The net assets per unit as at December 31, 2019 of $43.88 is after the information about the ETF and are intended to help consolidation of units as at January 25, 2019. you understand the ETF’s financial performance for the Management Fees periods indicated. The Manager is responsible for the day-to-day management The ETF’s Net Assets per Unit(1) of the business and operations of the ETF. The Manager Financial years ended Dec. 31 monitors and evaluates the ETF’s performance, manages Listed CAD Units 2020 2019 2018 2017 2016 the portfolio and provides certain administrative services Net assets, beginning of period $ 43.88 7.82 10.83 12.72 9.44 required by the ETF. As compensation for its services, the Increase (decrease) from operations Total revenue $ 1.57 1.78 0.36 0.33 0.31 Manager is entitled to receive a management fee payable Total expenses(2) $ (0.19) (0.27) (0.06) (0.07) (0.07) quarterly and calculated based on the daily net asset value Realized gains (losses) for the period $ (11.35) (10.48) (0.64) (0.33) (0.09) of the ETF at the annual rate set out in the table below. Unrealized gains (losses) for the period $ 2.89 15.74 (2.43) (1.57) 3.35 Total increase (decrease) from Annual operations(3) $ (7.08) 6.77 (2.77) (1.64) 3.50 Ticker Management Fee Rate Distributions % From income (excluding dividends) $ — — — — — ZEO 0.55 From dividends $ 1.46 1.55 0.28 0.25 0.24 From capital gains $ — — — — — Return of capital $ 0.17 0.01 0.00 0.02 0.06 Past Performance (4) Total Annual Distributions $ 1.63 1.56 0.28 0.27 0.30 The ETF’s performance information assumes that all Net assets, end of period $ 29.37 43.88(5) 7.82 10.83 12.72 distributions made by the ETF in the periods shown were (1) This information is derived from the ETF’s audited annual financial statements. used to purchase additional units of the ETF and is based on (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 the net asset value of the ETF. 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 The performance information does not take into account to ending net assets per unit. (4) Distributions were either paid in cash or reinvested in additional units of the ETF, or both. sales, redemption, distribution or other optional charges (5) As at the close of business on January 25, 2019, the Listed CAD Units were consolidated on that, if applicable, would have reduced returns or the basis of a 1:5 ratio. The net assets per unit as at December 31, 2019 of $43.88 is after the consolidation of units as at January 25, 2019. performance. Please remember that how the ETF has performed in the past does not indicate how it will perform in the future. BMO Equal Weight Oil & Gas Index ETF

On September 15, 2017, in addition to the ETF changing The S&P/TSX Capped Composite Index is a market its name from BMO S&P/TSX Equal Weight Oil and Gas capitalization-weighted index of securities of the largest and Index ETF to BMO Equal Weight Oil & Gas Index ETF, the most liquid companies on the TSX. It is the broadest in the underlying index of the ETF changed from S&P/TSX Equal S&P/TSX family and is the basis for multiple sub-indices. It Weight Oil & Gas Index to Solactive Equal Weight Canada includes common stocks and income trust units. Oil & Gas Index. The change to the new Index aligns with As at December 31, 2020 the current investment objective and strategies of the ETF. Listed CAD Units Since This change could have affected the performance of the 1Yr 3Yr 5Yr 10Yr Inception ETF, had it been in effect throughout the performance BMO Equal Weight Oil & Gas Index ETF % (28.41) (14.75) (5.66) (6.37) Solactive Equal Weight Canada measurement periods presented. Oil & Gas Index % (28.23) (14.34) (6.08) — Year-by-Year Returns S&P/TSX Capped Composite Index % 5.60 5.74 9.33 5.76 The following bar chart shows the performance of the ETF A discussion on the relative performance of the ETF as compared to its for each of the financial years shown. The chart shows, in index and broad-based index can be found under the Results of percentage terms, how much an investment made on the Operations section of this report. first day of each financial year would have increased or decreased by the last day of each financial year. Summary of Investment Portfolio Listed CAD Units As at December 31, 2020 40% 38.34 % of Net 20% 13.65 16.35 Portfolio Allocation Asset Value

0% Oil & Gas Storage & Transportation ...... 47.7 -7.15 -1.95 -20% -11.23 -12.81 Integrated Oil & Gas ...... 39.0 -24.55 -25.61 -40% -28.41 Oil & Gas Exploration & Production ...... 13.1 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 Cash/Receivables/Payables ...... 0.2 Total Portfolio Allocation 100.0 Annual Compound Returns This table compares the historical annual compound returns % of Net of the ETF with its benchmark index, the Solactive Equal Holdings* Asset Value Weight Canada Oil & Gas Index and a broad-based index, Inc...... 14.4 the S&P/TSX Capped Composite Index. Canadian Natural Resources Limited ...... 13.1 Limited ...... 12.7 The Solactive Equal Weight Canada Oil & Gas Index Suncor Energy Inc...... 11.9 includes securities in the oil & gas industries. Constituents Keyera Corp...... 10.5 are subject to minimum market capitalization and liquidity Enbridge Inc...... 10.0 screens. In addition, each security in the Solactive Equal Corporation ...... 9.7 Weight Canada Oil & Gas Index is allocated an equal weight Ltd...... 8.9 rather than a market capitalization weight. TC Energy Corporation ...... 8.6 Cash/Receivables/Payables ...... 0.2

Total Holdings as a Percentage of Total Net Asset Value 100.0

Total Net Asset Value $117,395,605

*Represents the entire portfolio. The summary of investment portfolio may change due to the ETF’s ongoing portfolio transactions. Updates are available quarterly. Caution regarding forward-looking statements 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. The ETF is not sponsored, promoted, sold or supported in any other manner by Solactive AG nor does Solactive AG offer any express or implicit guarantee or assurance either with regard to the results of using the Index and/or trade mark or the Index Price at any time or in any other respect. The Index is calculated and published by Solactive AG. Solactive AG uses its best efforts to ensure that the Index is calculated correctly. Irrespective of its obligations towards the Manager, Solactive AG has no obligation to point out errors in the Index to third parties including but not limited to investors and/or financial intermediaries of the ETF. Neither publication of the Index by Solactive AG nor the licensing of the Index or Index trade mark for the purpose of use in connection with the ETF constitutes a recommendation by Solactive AG to invest capital in the ETF nor does it in any way represent an assurance or opinion of Solactive AG with regard to any investment in the ETF. 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.

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