Horizons Managed Futures Index ETF generally will give individual investors deferred capital gains treatment on commodity futures trading

Horizons Auspice Managed Futures Index ETF (the "ETF"), which trades on the TSX, seeks to replicate the return of a tailored index (the "Managed Futures Index"), which tracks the return resulting from going long or short various different commodity, interest rate and currency futures contracts in accordance with a quantitative trading program.  The ETF accomplishes this result by entering into long or short forward contracts with NBC for forward prices which collectively track the Managed Futures Index.  The hedging arrangements if any between NBC and the actual fund (also managed by the ETF manager) trading in the linked portfolio are not disclosed.

Although gains or losses of the ETF under the forward contracts would be on income account, the forward contracts have a long term (under five years, but with extension rights).  Notwithstanding that they are indirectly engaged in futures trading, individual unitholders generally will be able to defer gains until their units are sold, and realize those gains on capital account – except that if a large gain is realized by the ETF under the forwards, taxable unitholders might have to temporarily dispose of their units surrounding the record date for the gain’s distribution.

Neal Armstrong.  Summary of Prospectus for Horizons Auspice Managed Futures Index ETF under Offerings – Forward Sale/TRS Funds.