Horizon Defined Risk Fund | ||||||||
PORTFOLIO OF INVESTMENTS | ||||||||
February 28, 2021 (Unaudited) | ||||||||
Shares | Value | |||||||
COMMON STOCKS - 102.7% | ||||||||
Aerospace/Defense - 1.3% | ||||||||
3,777 | Boeing Co. (a) | $ | 800,762 | |||||
1,837 | General Dynamics Corp. | 300,294 | ||||||
1,369 | L3Harris Technologies, Inc. (a) | 249,035 | ||||||
1,814 | Lockheed Martin Corp. | 599,073 | ||||||
1,049 | Northrop Grumman Corp. | 305,951 | ||||||
265 | Teledyne Technologies, Inc. (a) | 98,315 | ||||||
350 | TransDigm Group, Inc. (a) | 201,835 | ||||||
2,555,265 | ||||||||
Agriculture - 0.8% | ||||||||
11,830 | Altria Group, Inc. | 515,788 | ||||||
3,546 | Archer Daniels Midland Co. (e) | 200,633 | ||||||
9,895 | Philip Morris International, Inc. | 831,378 | ||||||
1,547,799 | ||||||||
Airlines - 0.3% | ||||||||
4,131 | Delta Air Lines, Inc. (a) | 198,040 | ||||||
3,729 | Southwest Airlines Co. (a) | 216,767 | ||||||
2,186 | United Airlines Holdings, Inc. (a) | 115,158 | ||||||
529,965 | ||||||||
Apparel - 0.8% | ||||||||
9,883 | Nike, Inc., Class B | 1,332,031 | ||||||
2,482 | VF Corp. | 196,400 | ||||||
1,528,431 | ||||||||
Auto Manufacturers - 0.6% | ||||||||
922 | Cummins, Inc. | 233,450 | ||||||
25,051 | Ford Motor Co. (a) | 293,097 | ||||||
9,155 | General Motors Co. (a) | 469,926 | ||||||
2,191 | PACCAR, Inc. | 199,359 | ||||||
1,195,832 | ||||||||
Auto Parts & Equipment - 0.1% | ||||||||
1,706 | Aptiv PLC (a)(e) | 255,627 | ||||||
Banks - 5.3% | ||||||||
54,004 | Bank of America Corp. | 1,874,479 | ||||||
5,543 | Bank of New York Mellon Corp. | 233,693 | ||||||
13,136 | Citigroup, Inc. | 865,400 | ||||||
2,889 | Citizens Financial Group, Inc. | 125,498 | ||||||
4,522 | Fifth Third Bancorp | 156,868 | ||||||
1,057 | First Republic Bank (e) | 174,141 | ||||||
2,241 | Goldman Sachs Group, Inc. | 715,955 | ||||||
19,402 | JPMorgan Chase & Co. | 2,855,392 | ||||||
6,445 | KeyCorp | 129,802 | ||||||
815 | M&T Bank Corp. | 123,016 | ||||||
11,231 | Morgan Stanley | 863,327 | ||||||
1,298 | Northern Trust Corp. | 123,479 | ||||||
2,640 | PNC Financial Services Group, Inc. | 444,470 | ||||||
6,463 | Regions Financial Corp. | 133,332 | ||||||
2,252 | State Street Corp. | 163,878 | ||||||
322 | SVB Financial Group (a) | 162,726 | ||||||
8,438 | Truist Financial Corp. | 480,628 | ||||||
25,631 | Wells Fargo & Co. | 927,073 | ||||||
10,553,157 | ||||||||
Beverages - 1.6% | ||||||||
3,024 | Brown-Forman Corp., Class B | 216,458 | ||||||
27,594 | Coca-Cola Co. | 1,351,830 | ||||||
1,190 | Constellation Brands, Inc., Class A | 254,827 | ||||||
3,307 | Monster Beverage Corp. (a) | 290,156 | ||||||
8,715 | PepsiCo, Inc. | 1,125,891 | ||||||
3,239,162 | ||||||||
Biotechnology - 1.6% | ||||||||
1,397 | Alexion Pharmaceuticals, Inc. (a) | 213,392 | ||||||
3,691 | Amgen, Inc. | 830,180 | ||||||
957 | Biogen, Inc. (a) | 261,146 | ||||||
186 | Bio-Rad Laboratories, Inc., Class A (a) | 108,717 | ||||||
4,756 | Corteva, Inc. | 214,733 | ||||||
8,120 | Gilead Sciences, Inc. | 498,568 | ||||||
890 | Illumina, Inc. (a) | 391,075 | ||||||
1,354 | Incyte Corp. (a) | 106,506 | ||||||
670 | Regeneron Pharmaceuticals, Inc. (a) | 301,882 | ||||||
1,615 | Vertex Pharmaceuticals, Inc. (a) | 343,268 | ||||||
3,269,467 | ||||||||
Building Materials - 0.4% | ||||||||
5,256 | Carrier Global Corp. | 192,002 | ||||||
4,521 | Johnson Controls International PLC | 252,226 | ||||||
386 | Martin Marietta Materials, Inc. (e) | 130,032 | ||||||
1,809 | Masco Corp. | 96,275 | ||||||
810 | Vulcan Materials Co. | 135,262 | ||||||
805,797 | ||||||||
Chemicals - 1.5% | ||||||||
1,411 | Air Products & Chemicals, Inc. | 360,680 | ||||||
722 | Albemarle Corp. | 113,506 | ||||||
768 | Celanese Corp. | 106,683 | ||||||
4,647 | Dow, Inc. | 275,614 | ||||||
1,838 | DuPont de Nemours, Inc. | 129,248 | ||||||
980 | Eastman Chemical Co. | 107,075 | ||||||
873 | FMC Corp. | 88,775 | ||||||
1,844 | International Flavors & Fragrances, Inc. | 249,881 | ||||||
3,278 | Linde PLC | 800,717 | ||||||
2,081 | LyondellBasell Industries NV, Class A | 214,530 | ||||||
1,493 | PPG Industries, Inc. | 201,286 | ||||||
577 | Sherwin-Williams Co. | 392,556 | ||||||
3,040,551 | ||||||||
Commercial Services - 2.5% | ||||||||
2,659 | Automatic Data Processing, Inc. | 462,719 | ||||||
659 | Cintas Corp. | 213,740 | ||||||
1,820 | Ecolab, Inc. | 381,035 | ||||||
756 | Equifax, Inc. | 122,381 | ||||||
1,918 | Global Payments, Inc. | 379,745 | ||||||
2,579 | IHS Markit, Ltd. | 232,523 | ||||||
236 | MarketAxess Holdings, Inc. | 131,202 | ||||||
1,170 | Moody's Corp. | 321,621 | ||||||
7,040 | PayPal Holdings, Inc. (a) | 1,829,344 | ||||||
2,895 | Rollins, Inc. | 96,027 | ||||||
1,553 | S&P Global, Inc. | 511,496 | ||||||
483 | United Rentals, Inc. (a)(e) | 143,635 | ||||||
1,002 | Verisk Analytics, Inc. | 164,178 | ||||||
4,989,646 | ||||||||
Computers - 7.4% | ||||||||
3,811 | Accenture PLC, Class A | 956,180 | ||||||
104,041 | Apple, Inc. | 12,616,012 | ||||||
3,295 | Cognizant Technology Solutions Corp., Class A | 242,117 | ||||||
7,895 | HP, Inc. | 228,718 | ||||||
5,635 | International Business Machines Corp. | 670,170 | ||||||
14,713,197 | ||||||||
Cosmetics/Personal Care - 1.5% | ||||||||
5,389 | Colgate-Palmolive Co. | 405,253 | ||||||
2,167 | Estee Lauder Cos., Inc., Class A | 619,459 | ||||||
15,506 | Procter & Gamble Co. | 1,915,456 | ||||||
2,940,168 | ||||||||
Distribution/Wholesale - 0.2% | ||||||||
1,458 | Copart, Inc. (a)(e) | 159,156 | ||||||
3,644 | Fastenal Co. | 168,972 | ||||||
338 | WW Grainger, Inc. | 125,976 | ||||||
454,104 | ||||||||
Diversified Financial Services - 4.8% | ||||||||
5,080 | American Express Co. (e) | 687,121 | ||||||
761 | Ameriprise Financial, Inc. | 168,364 | ||||||
961 | BlackRock, Inc. | 667,414 | ||||||
2,859 | Capital One Financial Corp. | 343,623 | ||||||
11,745 | Charles Schwab Corp. | 724,901 | ||||||
2,201 | CME Group, Inc. | 439,540 | ||||||
1,847 | Discover Financial Services | 173,747 | ||||||
3,435 | Intercontinental Exchange, Inc. | 378,915 | ||||||
6,269 | MasterCard, Inc., Class A | 2,218,286 | ||||||
1,028 | Nasdaq, Inc. | 142,162 | ||||||
3,592 | Synchrony Financial | 138,939 | ||||||
1,438 | T. Rowe Price Group, Inc. | 233,157 | ||||||
15,187 | Visa, Inc., Class A (e) | 3,225,567 | ||||||
9,541,736 | ||||||||
Electric - 2.3% | ||||||||
4,534 | AES Corp. | 120,423 | ||||||
1,545 | Ameren Corp. | 108,567 | ||||||
3,114 | American Electric Power Co., Inc. | 233,083 | ||||||
1,811 | CMS Energy Corp. | 97,993 | ||||||
2,226 | Consolidated Edison, Inc. | 146,137 | ||||||
5,105 | Dominion Energy, Inc. | 348,774 | ||||||
1,255 | DTE Energy Co. | 147,739 | ||||||
4,714 | Duke Energy Corp. | 403,471 | ||||||
2,382 | Edison International | 128,604 | ||||||
1,296 | Entergy Corp. | 112,506 | ||||||
2,193 | Eversource Energy | 174,300 | ||||||
5,957 | Exelon Corp. | 229,940 | ||||||
3,384 | FirstEnergy Corp. | 112,146 | ||||||
12,252 | NextEra Energy, Inc. | 900,277 | ||||||
4,965 | PPL Corp. | 130,033 | ||||||
3,182 | Public Service Enterprise Group, Inc. | 171,287 | ||||||
1,797 | Sempra Energy | 208,416 | ||||||
6,629 | Southern Co. | 375,997 | ||||||
2,014 | WEC Energy Group, Inc. | 162,409 | ||||||
3,265 | Xcel Energy, Inc. | 191,296 | ||||||
4,503,398 | ||||||||
Electrical Components & Equipment - 0.2% | ||||||||
1,458 | AMETEK, Inc. | 172,000 | ||||||
3,857 | Emerson Electric Co. | 331,317 | ||||||
503,317 | ||||||||
Electronics - 1.3% | ||||||||
1,931 | Agilent Technologies, Inc. | 235,717 | ||||||
1,902 | Amphenol Corp., Class A | 239,043 | ||||||
2,126 | Fortive Corp. | 139,933 | ||||||
1,213 | Garmin, Ltd. | 150,436 | ||||||
4,543 | Honeywell International, Inc. | 919,276 | ||||||
1,151 | Keysight Technologies, Inc. (a) | 162,890 | ||||||
155 | Mettler-Toledo International, Inc. (a) | 172,988 | ||||||
673 | Roper Technologies, Inc. | 254,138 | ||||||
2,153 | TE Connectivity, Ltd. | 279,955 | ||||||
2,554,376 | ||||||||
Engineering & Construction - 0.1% | ||||||||
938 | Jacobs Engineering Group, Inc. | 107,945 | ||||||
Environmental Control - 0.2% | ||||||||
1,995 | Republic Services, Inc. | 177,735 | ||||||
2,627 | Waste Management, Inc. | 291,308 | ||||||
469,043 | ||||||||
Food - 1.0% | ||||||||
3,868 | General Mills, Inc. | 212,779 | ||||||
1,306 | Hershey Co. | 190,219 | ||||||
3,365 | Hormel Foods Corp. (e) | 156,035 | ||||||
7,636 | Kraft Heinz Co. (e) | 277,798 | ||||||
5,036 | Kroger Co. | 162,210 | ||||||
1,694 | McCormick & Co., Inc. | 142,770 | ||||||
8,978 | Mondelez International, Inc., Class A | 477,270 | ||||||
3,284 | Sysco Corp. | 261,505 | ||||||
2,465 | Tyson Foods, Inc., Class A | 166,806 | ||||||
2,047,392 | ||||||||
Forest Products & Paper - 0.1% | ||||||||
2,467 | International Paper Co. | 122,487 | ||||||
Hand/Machine Tools - 0.1% | ||||||||
968 | Stanley Black & Decker, Inc. | 169,245 | ||||||
Healthcare Products - 3.9% | ||||||||
11,201 | Abbott Laboratories | 1,341,656 | ||||||
487 | Align Technology, Inc. (a) | 276,183 | ||||||
3,179 | Baxter International, Inc. (e) | 246,977 | ||||||
8,586 | Boston Scientific Corp. (a) | 332,965 | ||||||
4,476 | Danaher Corp. | 983,243 | ||||||
3,892 | Edwards Lifesciences Corp. (a) | 323,425 | ||||||
1,623 | Hologic, Inc. (a) | 117,002 | ||||||
526 | IDEXX Laboratories, Inc. (a) | 273,609 | ||||||
739 | Intuitive Surgical, Inc. (a) | 544,495 | ||||||
8,353 | Medtronic PLC | 977,050 | ||||||
897 | ResMed, Inc. (e) | 172,924 | ||||||
2,342 | Stryker Corp. | 568,380 | ||||||
284 | Teleflex, Inc. | 113,066 | ||||||
2,552 | Thermo Fisher Scientific, Inc. | 1,148,604 | ||||||
459 | West Pharmaceutical Services, Inc. | 128,818 | ||||||
1,250 | Zimmer Biomet Holdings, Inc. | 203,825 | ||||||
7,752,222 | ||||||||
Healthcare Services - 1.9% | ||||||||
1,586 | Anthem, Inc. | 480,859 | ||||||
3,628 | Centene Corp. (a) | 212,383 | ||||||
2,098 | HCA Healthcare, Inc. | 360,919 | ||||||
831 | Humana, Inc. | 315,489 | ||||||
1,148 | IQVIA Holdings, Inc. (a) | 221,323 | ||||||
634 | Laboratory Corp. of America Holdings (a) | 152,103 | ||||||
6,039 | UnitedHealth Group, Inc. | 2,006,277 | ||||||
3,749,353 | ||||||||
Home Builders - 0.2% | ||||||||
2,242 | DR Horton, Inc. | 172,342 | ||||||
1,809 | Lennar Corp., Class A | 150,093 | ||||||
20 | NVR, Inc. (a) | 90,017 | ||||||
412,452 | ||||||||
Household Products/Wares - 0.2% | ||||||||
790 | Clorox Co. (e) | 143,029 | ||||||
2,181 | Kimberly-Clark Corp. | 279,888 | ||||||
422,917 | ||||||||
Insurance - 3.5% | ||||||||
4,467 | Aflac, Inc. | 213,925 | ||||||
1,900 | Allstate Corp. | 202,540 | ||||||
5,514 | American International Group, Inc. | 242,340 | ||||||
1,427 | Aon PLC, Class A (e) | 324,942 | ||||||
1,168 | Arthur J Gallagher & Co. | 139,926 | ||||||
14,931 | Berkshire Hathaway, Inc., Class B (a) | 3,591,055 | ||||||
2,871 | Chubb Ltd. | 466,767 | ||||||
2,211 | Hartford Financial Services Group, Inc. | 112,076 | ||||||
3,166 | Marsh & McLennan Cos., Inc. | 364,787 | ||||||
5,729 | MetLife, Inc. | 329,990 | ||||||
2,066 | Principal Financial Group, Inc. | 116,894 | ||||||
3,671 | Progressive Corp. | 315,522 | ||||||
2,535 | Prudential Financial, Inc. | 219,835 | ||||||
1,555 | Travelers Cos., Inc. | 226,253 | ||||||
804 | Willis Towers Watson PLC | 177,395 | ||||||
7,044,247 | ||||||||
Internet - 13.2% | ||||||||
4,416 | Alphabet, Inc., Class A (a) | 8,928,754 | ||||||
3,159 | Amazon.com, Inc. (a) | 9,770,566 | ||||||
258 | Booking Holdings, Inc. (a)(e) | 600,756 | ||||||
4,182 | eBay, Inc. | 235,948 | ||||||
896 | Expedia Group, Inc. (a) | 144,256 | ||||||
18,331 | Facebook, Inc., Class A (a) | 4,722,432 | ||||||
2,734 | Netflix, Inc. (a) | 1,473,216 | ||||||
4,928 | Twitter, Inc. (a)(e) | 379,752 | ||||||
704 | VeriSign, Inc. (a) | 136,597 | ||||||
26,392,277 | ||||||||
Iron/Steel - 0.1% | ||||||||
1,983 | Nucor Corp. | 118,623 | ||||||
Leisure Time - 0.1% | ||||||||
6,809 | Carnival Corp. (a)(e) | 182,141 | ||||||
1,449 | Royal Caribbean Cruises Ltd.(a)(e) | 135,148 | ||||||
317,289 | ||||||||
Lodging - 0.5% | ||||||||
1,743 | Hilton Worldwide Holdings, Inc. (a) | 215,574 | ||||||
4,865 | Las Vegas Sands Corp. (a)(e) | 304,549 | ||||||
2,042 | Marriott International, Inc., Class A (a) | 302,359 | ||||||
3,199 | MGM Resorts International | 120,890 | ||||||
943,372 | ||||||||
Machinery - Construction & Mining - 0.4% | ||||||||
3,490 | Caterpillar, Inc. | 753,421 | ||||||
Machinery - Diversified - 0.8% | ||||||||
1,922 | Deere & Co. | 671,009 | ||||||
898 | Dover Corp. | 110,687 | ||||||
506 | IDEX Corp. | 98,756 | ||||||
2,583 | Ingersoll Rand, Inc. (a) | 119,696 | ||||||
2,652 | Otis Worldwide Corp. | 168,959 | ||||||
743 | Rockwell Automation, Inc. | 180,757 | ||||||
1,367 | Wabtec Corp. (e) | 99,012 | ||||||
1,144 | Xylem, Inc. | 113,897 | ||||||
1,562,773 | ||||||||
Manufacturing - 2.3% | ||||||||
9,829 | Raytheon Technologies Corp. | 707,590 | ||||||
5,779 | Tesla, Inc. (a) | 3,903,714 | ||||||
4,611,304 | ||||||||
Media - 2.3% | ||||||||
1,458 | Charter Communications, Inc., Class A (a)(e) | 894,366 | ||||||
28,923 | Comcast Corp., Class A | 1,524,821 | ||||||
11,333 | Walt Disney Co. (a) | 2,142,390 | ||||||
4,561,577 | ||||||||
Mining - 0.3% | ||||||||
9,038 | Freeport-McMoRan, Inc. (a) | 306,478 | ||||||
4,881 | Newmont Goldcorp Corp. | 265,429 | ||||||
571,907 | ||||||||
Miscellaneous Manufacturing - 1.3% | ||||||||
3,632 | 3M Co. | 635,818 | ||||||
2,543 | Eaton Corp PLC | 331,073 | ||||||
55,661 | General Electric Co. | 697,989 | ||||||
1,994 | Illinois Tool Works, Inc. | 403,147 | ||||||
823 | Parker-Hannifin Corp. | 236,168 | ||||||
1,487 | Trane Technologies PLC | 227,868 | ||||||
2,532,063 | ||||||||
Oil & Gas - 2.2% | ||||||||
12,594 | Chevron Corp. | 1,259,400 | ||||||
6,970 | ConocoPhillips | 362,509 | ||||||
3,792 | EOG Resources, Inc. | 244,811 | ||||||
26,387 | Exxon Mobil Corp. | 1,434,661 | ||||||
1,892 | Hess Corp. (e) | 123,983 | ||||||
4,235 | Marathon Petroleum Corp. | 231,316 | ||||||
6,098 | Occidental Petroleum Corp. (e) | 162,268 | ||||||
2,799 | Phillips 66 | 232,457 | ||||||
1,061 | Pioneer Natural Resources Co. (e) | 157,633 | ||||||
2,653 | Valero Energy Corp. | 204,228 | ||||||
4,413,266 | ||||||||
Oil & Gas Services - 0.2% | ||||||||
6,701 | Baker Hughes & GE Co., Class A | 164,040 | ||||||
5,449 | Halliburton Co. | 118,952 | ||||||
8,756 | Schlumberger, Ltd. | 244,380 | ||||||
527,372 | ||||||||
Packaging & Containers - 0.1% | ||||||||
9,841 | Amcor PLC | 107,661 | ||||||
2,055 | Ball Corp. | 175,476 | ||||||
283,137 | ||||||||
Pharmaceuticals - 5.5% | ||||||||
11,461 | AbbVie, Inc. | 1,234,808 | ||||||
1,305 | AmerisourceBergen Corp. | 132,092 | ||||||
1,808 | Becton Dickinson & Co. | 435,999 | ||||||
13,726 | Bristol-Myers Squibb Co. | 841,815 | ||||||
2,374 | Cigna Corp. | 498,303 | ||||||
8,502 | CVS Health Corp. | 579,241 | ||||||
595 | DexCom, Inc. (a)(e) | 236,679 | ||||||
5,680 | Eli Lilly & Co. | 1,163,775 | ||||||
16,565 | Johnson & Johnson | 2,624,890 | ||||||
1,038 | McKesson Corp. | 175,962 | ||||||
16,451 | Merck & Co., Inc. | 1,194,672 | ||||||
37,260 | Pfizer, Inc. | 1,247,837 | ||||||
7,595 | Viatris, Inc. (a) | 112,786 | ||||||
2,990 | Zoetis, Inc., Class A | 464,168 | ||||||
10,943,027 | ||||||||
Pipelines - 0.2% | ||||||||
14,398 | Kinder Morgan, Inc. | 211,651 | ||||||
2,816 | ONEOK, Inc. | 124,721 | ||||||
7,604 | Williams Cos., Inc. | 173,675 | ||||||
510,047 | ||||||||
Real Estate - 0.1% | ||||||||
2,205 | CBRE Group, Inc., Class A (a) | 167,073 | ||||||
Real Estate Investment Trusts - 2.2% | ||||||||
845 | Alexandria Real Estate Equities, Inc. | 134,938 | ||||||
2,793 | American Tower Corp. | 603,651 | ||||||
879 | AvalonBay Communities, Inc. (e) | 154,484 | ||||||
1,006 | Boston Properties, Inc. | 99,725 | ||||||
2,796 | Crown Castle International Corp. | 435,477 | ||||||
1,778 | Digital Realty Trust, Inc. | 239,550 | ||||||
2,495 | Duke Realty Corp. | 97,929 | ||||||
555 | Equinix, Inc. | 359,829 | ||||||
2,326 | Equity Residential | 152,144 | ||||||
416 | Essex Property Trust, Inc. | 105,993 | ||||||
882 | Extra Space Storage, Inc. | 110,867 | ||||||
3,302 | Healthpeak Properties, Inc. | 96,055 | ||||||
800 | Mid-America Apartment Communities, Inc. | 107,784 | ||||||
4,580 | Prologis, Inc. | 453,741 | ||||||
1,077 | Public Storage | 251,953 | ||||||
2,228 | Realty Income Corp. | 134,259 | ||||||
695 | SBA Communications Corp. | 177,315 | ||||||
2,066 | Simon Property Group, Inc. | 233,293 | ||||||
2,250 | Ventas, Inc. | 119,025 | ||||||
2,603 | Welltower, Inc. | 176,744 | ||||||
4,504 | Weyerhaeuser Co. | 152,550 | ||||||
4,397,306 | ||||||||
Retail - 5.5% | ||||||||
145 | AutoZone, Inc. (a) | 168,188 | ||||||
1,630 | Best Buy Co., Inc. | 163,570 | ||||||
1,012 | CarMax, Inc. (a) | 120,944 | ||||||
165 | Chipotle Mexican Grill, Inc. (a) | 237,930 | ||||||
2,843 | Costco Wholesale Corp. | 941,033 | ||||||
1,514 | Dollar General Corp. | 286,131 | ||||||
1,413 | Dollar Tree, Inc. (a) | 138,757 | ||||||
254 | Domino's Pizza, Inc. (e) | 88,014 | ||||||
6,629 | Home Depot, Inc. | 1,712,536 | ||||||
4,601 | Lowe's Cos., Inc. | 735,010 | ||||||
4,673 | McDonald's Corp. | 963,292 | ||||||
459 | O'Reilly Automotive, Inc. (a) | 205,324 | ||||||
2,156 | Ross Stores, Inc. (a) | 251,476 | ||||||
7,462 | Starbucks Corp. | 806,120 | ||||||
3,188 | Target Corp. | 584,807 | ||||||
7,476 | TJX Cos., Inc. | 493,341 | ||||||
712 | Tractor Supply Co. | 113,180 | ||||||
370 | Ulta Beauty, Inc. (a) | 119,262 | ||||||
5,617 | Walgreens Boots Alliance, Inc. | 269,223 | ||||||
17,851 | Walmart, Inc. | 2,319,202 | ||||||
1,846 | Yum! Brands, Inc. | 191,116 | ||||||
10,908,456 | ||||||||
Retail Trade - 0.1% | ||||||||
739 | Etsy, Inc. (a) | 162,780 | ||||||
Semiconductors - 5.3% | ||||||||
7,411 | Advanced Micro Devices, Inc. (a) | 626,304 | ||||||
2,334 | Analog Devices, Inc. | 363,684 | ||||||
5,897 | Applied Materials, Inc. | 696,967 | ||||||
2,477 | Broadcom, Inc. | 1,163,868 | ||||||
26,339 | Intel Corp. | 1,600,884 | ||||||
986 | KLA Corp. | 306,873 | ||||||
939 | Lam Research Corp. | 532,591 | ||||||
1,680 | Microchip Technology, Inc. | 256,418 | ||||||
7,004 | Micron Technology, Inc. (a) | 641,076 | ||||||
3,940 | NVIDIA Corp. | 2,161,405 | ||||||
6,947 | QUALCOMM, Inc. | 946,112 | ||||||
5,793 | Texas Instruments, Inc. | 997,960 | ||||||
1,516 | Xilinx, Inc. (a) | 197,535 | ||||||
10,491,677 | ||||||||
Software - 9.8% | ||||||||
4,733 | Activision Blizzard, Inc. | 452,522 | ||||||
2,993 | Adobe, Inc. (a) | 1,375,792 | ||||||
540 | ANSYS, Inc. (a) | 184,135 | ||||||
1,356 | Autodesk, Inc. (a) | 374,256 | ||||||
1,703 | Cadence Design Systems, Inc. (a) | 240,276 | ||||||
1,875 | Cerner Corp. | 129,638 | ||||||
1,801 | Electronic Arts, Inc. | 241,280 | ||||||
3,966 | Fidelity National Information Services, Inc. | 547,308 | ||||||
4,274 | Fiserv, Inc. (a)(e) | 493,091 | ||||||
1,617 | Intuit, Inc. | 630,856 | ||||||
47,650 | Microsoft Corp. | 11,072,907 | ||||||
511 | MSCI, Inc. | 211,820 | ||||||
17,837 | Oracle Corp. | 1,150,665 | ||||||
2,198 | Paychex, Inc. | 200,172 | ||||||
361 | Paycom Software, Inc. (a) | 135,101 | ||||||
5,722 | Salesforce.com, Inc. (a) | 1,238,813 | ||||||
1,192 | ServiceNow, Inc. (a) | 635,884 | ||||||
941 | Synopsys, Inc. (a) | 230,743 | ||||||
19,545,259 | ||||||||
Telecommunications - 2.6% | ||||||||
47,190 | AT&T, Inc. | 1,316,129 | ||||||
26,355 | Cisco Systems, Inc. | 1,182,549 | ||||||
4,949 | Corning, Inc. (e) | 189,250 | ||||||
1,058 | Motorola Solutions, Inc. | 185,658 | ||||||
7,867 | T-Mobile US, Inc. (a) | 943,804 | ||||||
26,404 | Verizon Communications, Inc. | 1,460,141 | ||||||
5,277,531 | ||||||||
Transportation - 1.8% | ||||||||
4,858 | CSX Corp. | 444,750 | ||||||
1,060 | Expeditors International of Washington, Inc. | 97,350 | ||||||
1,736 | FedEx Corp. | 441,812 | ||||||
719 | JB Hunt Transport Services, Inc. | 105,599 | ||||||
592 | Kansas City Southern | 125,705 | ||||||
1,626 | Norfolk Southern Corp. | 409,850 | ||||||
754 | Old Dominion Freight Line, Inc. | 161,937 | ||||||
4,269 | Union Pacific Corp. | 879,243 | ||||||
5,389 | United Parcel Service, Inc., Class B | 850,546 | ||||||
3,516,792 | ||||||||
Water - 0.1% | ||||||||
1,130 | American Water Works Co., Inc. (e) | 160,324 | ||||||
TOTAL COMMON STOCKS (Cost - $166,457,575) | 204,686,951 | |||||||
WARRANTS - 0.0% (b) | ||||||||
Mining, Quarrying, and Oil and Gas Extraction - 0.0% | ||||||||
758 | Occidental Petroleum Corp. | 9,096 | ||||||
TOTAL WARRANTS (Cost - $24) | 9,096 | |||||||
Contracts | Notional Amount | |||||||
PURCHASED OPTIONS - 3.0% (a)(c) | ||||||||
PURCHASED CALL OPTIONS - 0.2% | ||||||||
Consumer Discretionary Select Sector SPDR Fund | ||||||||
350 | Expiration: March 2021, Exercise Price: $180 | 5,640,250 | 8,400 | |||||
Energy Select Sector SPDR Fund | ||||||||
3,000 | Expiration: March 2021, Exercise Price: $52 | 14,445,000 | 195,000 | |||||
Financial Select Sector SPDR Fund | ||||||||
1,500 | Expiration: March 2021, Exercise Price: $33 | 4,846,500 | 73,500 | |||||
Industrial Select Sector SPDR Fund | ||||||||
500 | Expiration: March 2021, Exercise Price: $95 | 4,530,500 | 47,500 | |||||
Materials Select Sector SPDR Fund | ||||||||
250 | Expiration: March 2021, Exercise Price: $81 | 1,838,750 | 2,500 | |||||
TOTAL PURCHASED CALL OPTIONS (Cost - $727,485) | 326,900 | |||||||
PURCHASED PUT OPTIONS - 2.8% | ||||||||
S&P 500 Index | ||||||||
115 | Expiration: March 2021, Exercise Price: $3,600 | 43,828,225 | 412,850 | |||||
215 | Expiration: April 2021, Exercise Price: $3,720 | 81,939,725 | 2,086,575 | |||||
195 | Expiration: May 2021, Exercise Price: $3,800 | 74,317,425 | 3,199,950 | |||||
TOTAL PURCHASED PUT OPTIONS (Cost - $6,689,060) | 5,699,375 | |||||||
TOTAL PURCHASED OPTIONS (Cost - $7,416,545) | 6,026,275 | |||||||
SHORT TERM INVESTMENTS - 0.0% (b) | ||||||||
Money Market Funds - 0.0% | ||||||||
384 | First American Treasury Obligations Fund, .03% Class X (d) | 384 | ||||||
TOTAL SHORT TERM INVESTMENTS (Cost - $384) | 384 | |||||||
INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING - 3.4% | ||||||||
6,708,253 | Mount Vernon Liquid Assets Portfolio, LLC, 0.13% (d) | 6,708,253 | ||||||
TOTAL INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING (Cost - $6,708,253) | 6,708,253 | |||||||
TOTAL INVESTMENTS - 109.1% (Cost - $180,582,781) | 217,430,959 | |||||||
Liabilities in Excess of Other Assets - (9.1)% | (18,211,427 | ) | ||||||
NET ASSETS - 100.0% | $ | 199,219,532 | ||||||
Contracts | Notional Value | Value | ||||||
SCHEDULE OF WRITTEN OPTIONS - (1.9)% (a)(c) | ||||||||
SCHEDULE OF WRITTEN CALL OPTIONS - (1.0)% | ||||||||
165 | April 21 Calls on SPX | |||||||
Expiration: April 2021, Exercise Price $39.80 | 62,883,975 | $ | 560,175 | |||||
215 | March 21 Calls on SPX | |||||||
Expiration: March 2021, Exercise Price $38.60 | 81,939,725 | 1,100,800 | ||||||
195 | May 21 Calls on SPX | |||||||
Expiration: May 2021, Exercise Price $41.80 | 74,317,425 | 344,175 | ||||||
TOTAL WRITTEN CALL OPTIONS (Premiums Received $2,841,996) | 2,005,150 | |||||||
SCHEDULE OF WRITTEN PUT OPTIONS - (0.9)% | ||||||||
215 | April 21 Puts on SPX | |||||||
Expiration: April 2021, Exercise Price $33.00 | 81,939,725 | 645,000 | ||||||
195 | May 21 Puts on SPX | |||||||
Expiration: May 2021, Exercise Price $33.40 | 74,317,425 | 1,183,650 | ||||||
TOTAL WRITTEN PUT OPTIONS (Premiums Received $2,062,069) | 1,828,650 | |||||||
TOTAL OPTIONS WRITTEN (Premiums Received $4,904,065) | $ | 3,833,800 |
Percentages are stated as a percent of net assets. | ||||||
(a) Non-income producing security. | ||||||
(b) Less than 0.1%. | ||||||
(c) Each option is exercisable into 100 shares of the underlying security. | ||||||
(d) Interest rate reflects seven-day yield on February 28, 2021. | ||||||
(e) All or a portion of this security is out on loan as of February 28, 2021. |