Horizon Active Risk Assist® Fund | |||||||||
PORTFOLIO OF INVESTMENTS (Unaudited) | |||||||||
February 28, 2022 | |||||||||
Shares | Value | ||||||||
INVESTMENT COMPANIES - 96.3% | |||||||||
Exchange Traded Funds - 96.3% | |||||||||
292,707 | Invesco QQQ Trust Series 1 (f) | $ | 101,510,787 | ||||||
623,319 | Invesco S&P 500 Equal Weight ETF (f) | 96,146,956 | |||||||
763,154 | iShares Core MSCI Total International Stock ETF | 50,940,530 | |||||||
356,452 | iShares Edge MSCI USA Quality Factor ETF | 46,295,986 | |||||||
728,050 | iShares MSCI EAFE Minimum Volatility ETF (f) | 52,361,356 | |||||||
1,698,929 | iShares MSCI USA Minimum Volatility ETF | 125,262,035 | |||||||
527,433 | iShares Select Dividend ETF | 65,301,480 | |||||||
766,324 | Principal US Mega-Cap ETF | 31,396,294 | |||||||
1,237,936 | SPDR Bloomberg 1-3 Month T-Bill ETF (a) | 113,159,730 | |||||||
4,542,567 | SPDR Portfolio Developed World ex-US ETF | 154,765,257 | |||||||
1,282,901 | SPDR Portfolio Emerging Markets ETF (f) | 51,097,947 | |||||||
975,145 | SPDR Portfolio S&P 500 Growth ETF (f)(e) | 61,863,199 | |||||||
1,835,246 | SPDR Portfolio S&P 500 Value ETF (f) | 74,676,160 | |||||||
1,185,668 | WisdomTree U.S. Quality Dividend Growth Fund | 73,606,269 | |||||||
751,844 | Xtrackers MSCI USA ESG Leaders Equity ETF | 30,276,758 | |||||||
267,044 | Xtrackers S&P 500 ESG ETF (f)(e) | 10,556,249 | |||||||
TOTAL INVESTMENT COMPANIES (Cost - $1,131,216,382) | 1,139,216,993 | ||||||||
COMMON STOCKS - 2.5% | |||||||||
Advertising - 0.1% | |||||||||
9,994 | Interpublic Group of Cos., Inc. | 367,779 | |||||||
2,108 | Omnicom Group, Inc. | 176,840 | |||||||
544,619 | |||||||||
Aerospace/Defense - 0.1% | |||||||||
210 | General Dynamics Corp. | 49,234 | |||||||
3,254 | Howmet Aerospace, Inc. | 116,884 | |||||||
120 | L3Harris Technologies, Inc. | 30,277 | |||||||
101 | Lockheed Martin Corp. | 43,814 | |||||||
74 | Northrop Grumman Corp. | 32,718 | |||||||
554 | Teledyne Technologies, Inc. (a) | 237,877 | |||||||
32 | TransDigm Group, Inc. (a) | 21,331 | |||||||
532,135 | |||||||||
Agriculture - 0.0% (b) | |||||||||
773 | Archer Daniels Midland Co. | 60,642 | |||||||
Airlines - 0.0% (b) | |||||||||
2,381 | Alaska Air Group, Inc. (a) | 133,669 | |||||||
5,327 | American Airlines Group, Inc. (a)(f) | 91,891 | |||||||
711 | Delta Air Lines, Inc. (a) | 28,383 | |||||||
483 | Southwest Airlines Co. (a) | 21,156 | |||||||
1,210 | United Airlines Holdings, Inc. (a) | 53,724 | |||||||
328,823 | |||||||||
Apparel - 0.1% | |||||||||
4,628 | Hanesbrands, Inc. | 71,503 | |||||||
1,408 | PVH Corp. | 137,829 | |||||||
1,013 | Ralph Lauren Corp. | 133,757 | |||||||
5,268 | Tapestry, Inc. | 215,461 | |||||||
7,805 | Under Armour, Inc., Class A (a) | 139,631 | |||||||
211 | VF Corp. | 12,242 | |||||||
710,423 | |||||||||
Auto Manufacturers - 0.0% (b) | |||||||||
64 | Cummins, Inc. | 13,064 | |||||||
4,922 | Ford Motor Co. | 86,430 | |||||||
322 | General Motors Co. (a) | 15,044 | |||||||
171 | PACCAR, Inc. | 15,699 | |||||||
130,237 | |||||||||
Auto Parts & Equipment - 0.0% (b) | |||||||||
207 | Aptiv PLC (a) | 26,794 | |||||||
1,366 | BorgWarner, Inc. | 56,020 | |||||||
82,814 | |||||||||
Banks - 0.1% | |||||||||
3,895 | Bank of America Corp. | 172,159 | |||||||
902 | Bank of New York Mellon Corp. | 47,941 | |||||||
1,565 | Citizens Financial Group, Inc. | 82,037 | |||||||
2,223 | Comerica, Inc. | 212,274 | |||||||
1,860 | Fifth Third Bancorp | 88,983 | |||||||
217 | First Republic Bank | 37,598 | |||||||
4,958 | Huntington Bancshares, Inc. | 76,948 | |||||||
3,647 | KeyCorp | 91,430 | |||||||
362 | M&T Bank Corp. | 65,967 | |||||||
320 | Northern Trust Corp. | 36,448 | |||||||
84 | PNC Financial Services Group, Inc. | 16,737 | |||||||
3,433 | Regions Financial Corp. | 83,044 | |||||||
328 | State Street Corp. | 27,988 | |||||||
145 | SVB Financial Group (a) | 87,870 | |||||||
223 | Truist Financial Corp. | 13,875 | |||||||
2,069 | Wells Fargo & Co. | 110,423 | |||||||
3,100 | Zions Bancorp, N.A. | 219,759 | |||||||
1,471,481 | |||||||||
Beverages - 0.0% (b) | |||||||||
171 | Brown-Forman Corp., Class B | 11,154 | |||||||
1,531 | Coca-Cola Co. | 95,290 | |||||||
70 | Constellation Brands, Inc., Class A | 15,093 | |||||||
1,867 | Molson Coors Brewing Co., Class B | 97,420 | |||||||
139 | Monster Beverage Corp. (a) | 11,732 | |||||||
654 | PepsiCo, Inc. | 107,086 | |||||||
337,775 | |||||||||
Biotechnology - 0.0% (b) | |||||||||
44 | Biogen, Inc. (a) | 9,284 | |||||||
68 | Bio-Rad Laboratories, Inc., Class A (a) | 42,565 | |||||||
926 | Corteva, Inc. | 48,180 | |||||||
46 | Illumina, Inc. (a) | 15,024 | |||||||
330 | Incyte Corp. (a) | 22,539 | |||||||
56 | Regeneron Pharmaceuticals, Inc. (a) | 34,628 | |||||||
133 | Vertex Pharmaceuticals, Inc. (a) | 30,593 | |||||||
202,813 | |||||||||
Building Materials - 0.0% (b) | |||||||||
511 | Carrier Global Corp. | 22,934 | |||||||
411 | Fortune Brands Home & Security, Inc. | 35,716 | |||||||
553 | Johnson Controls International PLC | 35,923 | |||||||
130 | Martin Marietta Materials, Inc. | 49,322 | |||||||
497 | Masco Corp. | 27,852 | |||||||
183 | Vulcan Materials Co. | 33,205 | |||||||
204,952 | |||||||||
Chemicals - 0.1% | |||||||||
467 | Albemarle Corp. | 91,481 | |||||||
290 | Celanese Corp. | 40,391 | |||||||
2,147 | CF Industries Holdings, Inc. | 174,315 | |||||||
239 | Dow, Inc. | 14,091 | |||||||
481 | Eastman Chemical Co. | 56,984 | |||||||
357 | FMC Corp. | 41,858 | |||||||
376 | International Flavors & Fragrances, Inc. | 50,008 | |||||||
113 | Linde PLC | 33,136 | |||||||
231 | LyondellBasell Industries NV, Class A | 22,460 | |||||||
3,406 | Mosaic Co. | 178,577 | |||||||
116 | PPG Industries, Inc. | 15,480 | |||||||
718,781 | |||||||||
Commercial Services - 0.1% | |||||||||
130 | Automatic Data Processing, Inc. | 26,577 | |||||||
38 | Cintas Corp. | 14,262 | |||||||
139 | Equifax, Inc. | 30,349 | |||||||
215 | FleetCor Technologies, Inc. (a) | 50,353 | |||||||
755 | Gartner, Inc. (a) | 211,717 | |||||||
104 | Global Payments, Inc. | 13,872 | |||||||
9,824 | H&R Block, Inc. | 243,734 | |||||||
52 | MarketAxess Holdings, Inc. | 19,834 | |||||||
28 | Moody's Corp. | 9,017 | |||||||
5,982 | Nielsen Holdings PLC | 104,207 | |||||||
1,217 | Quanta Services, Inc. | 132,580 | |||||||
1,387 | Robert Half International, Inc. | 166,842 | |||||||
47 | S&P Global, Inc. | 17,593 | |||||||
199 | United Rentals, Inc. (a) | 64,002 | |||||||
76 | Verisk Analytics, Inc. | 13,478 | |||||||
1,118,417 | |||||||||
Computers - 0.2% | |||||||||
238 | Accenture PLC, Class A | 75,213 | |||||||
1,764 | Apple, Inc. | 291,272 | |||||||
604 | Cognizant Technology Solutions Corp., Class A | 52,022 | |||||||
14,134 | DXC Technology Co. (a) | 480,980 | |||||||
524 | Fortinet, Inc. (a) | 180,528 | |||||||
9,775 | Hewlett Packard Enterprise Co. | 155,618 | |||||||
2,857 | HP, Inc. | 98,167 | |||||||
76 | International Business Machines Corp. | 9,311 | |||||||
854 | Leidos Holdings, Inc. | 86,971 | |||||||
2,697 | NetApp, Inc. | 211,391 | |||||||
2,363 | Western Digital Corp. (a) | 120,371 | |||||||
1,761,844 | |||||||||
Cosmetics/Personal Care - 0.0% (b) | |||||||||
37,280 | Coty, Inc., Class A (a) | 341,858 | |||||||
1,099 | Procter & Gamble Co. | 171,323 | |||||||
513,181 | |||||||||
Distribution/Wholesale - 0.0% (b) | |||||||||
157 | Copart, Inc. (a) | 19,292 | |||||||
344 | Fastenal Co. | 17,702 | |||||||
1,893 | LKQ Corp. | 88,877 | |||||||
98 | WW Grainger, Inc. | 46,752 | |||||||
172,623 | |||||||||
Diversified Financial Services - 0.1% | |||||||||
153 | Ameriprise Financial, Inc. | 45,868 | |||||||
183 | Capital One Financial Corp. | 28,048 | |||||||
451 | CBOE Global Markets, Inc. | 52,898 | |||||||
1,369 | Charles Schwab Corp. | 115,626 | |||||||
177 | CME Group, Inc. | 41,866 | |||||||
445 | Discover Financial Services | 54,931 | |||||||
2,075 | Franklin Resources, Inc. | 61,690 | |||||||
7,934 | Invesco, Ltd. | 168,518 | |||||||
161 | Nasdaq, Inc. | 27,555 | |||||||
1,049 | Raymond James Financial, Inc. | 115,023 | |||||||
1,057 | Synchrony Financial | 45,218 | |||||||
112 | T. Rowe Price Group, Inc. | 16,190 | |||||||
5,049 | Western Union Co. | 91,791 | |||||||
865,222 | |||||||||
Electric - 0.1% | |||||||||
1,811 | AES Corp. | 38,447 | |||||||
632 | Alliant Energy Corp. | 36,909 | |||||||
272 | Ameren Corp. | 23,378 | |||||||
122 | American Electric Power Co., Inc. | 11,059 | |||||||
2,462 | CenterPoint Energy, Inc. | 67,336 | |||||||
378 | CMS Energy Corp. | 24,196 | |||||||
428 | Consolidated Edison, Inc. | 36,710 | |||||||
153 | DTE Energy Co. | 18,603 | |||||||
409 | Edison International | 25,939 | |||||||
211 | Entergy Corp. | 22,199 | |||||||
183 | Eversource Energy | 14,969 | |||||||
673 | Exelon Corp. | 28,643 | |||||||
1,308 | FirstEnergy Corp. | 54,740 | |||||||
1,936 | NRG Energy, Inc. | 73,258 | |||||||
674 | Pinnacle West Capital Corp. | 47,739 | |||||||
753 | PPL Corp. | 19,706 | |||||||
473 | Public Service Enterprise Group, Inc. | 30,665 | |||||||
98 | Sempra Energy | 14,134 | |||||||
355 | Southern Co. | 22,993 | |||||||
141 | WEC Energy Group, Inc. | 12,814 | |||||||
169 | Xcel Energy, Inc. | 11,379 | |||||||
635,816 | |||||||||
Electrical Components & Equipment - 0.0% (b) | |||||||||
185 | AMETEK, Inc. | 24,011 | |||||||
159 | Emerson Electric Co. | 14,774 | |||||||
38,785 | |||||||||
Electronics - 0.0% (b) | |||||||||
181 | Agilent Technologies, Inc. | 23,595 | |||||||
461 | Allegion PLC | 52,794 | |||||||
608 | Amphenol Corp., Class A | 46,214 | |||||||
225 | Fortive Corp. | 14,569 | |||||||
233 | Garmin, Ltd. | 25,732 | |||||||
562 | Keysight Technologies, Inc. (a) | 88,442 | |||||||
24 | Mettler-Toledo International, Inc. (a) | 33,810 | |||||||
334 | PerkinElmer, Inc. | 59,990 | |||||||
26 | Roper Technologies, Inc. | 11,654 | |||||||
330 | TE Connectivity, Ltd. | 47,002 | |||||||
88 | Vontier Corp. | 2,138 | |||||||
229 | Waters Corp. (a) | 72,531 | |||||||
478,471 | |||||||||
Engineering & Construction - 0.0% (b) | |||||||||
372 | Jacobs Engineering Group, Inc. | 45,756 | |||||||
Entertainment - 0.0% (b) | |||||||||
1,901 | Live Nation Entertainment, Inc. (a) | 229,679 | |||||||
Environmental Control - 0.0% (b) | |||||||||
1,178 | Pentair PLC | 68,218 | |||||||
315 | Republic Services, Inc. | 37,888 | |||||||
218 | Waste Management, Inc. | 31,479 | |||||||
137,585 | |||||||||
Finance and Insurance - 0.0% (b) | |||||||||
267 | Brown & Brown, Inc. | 18,052 | |||||||
48 | Signature Bank | 16,555 | |||||||
34,607 | |||||||||
Food - 0.1% | |||||||||
709 | Campbell Soup Co. | 31,884 | |||||||
763 | Conagra Brands, Inc. | 26,682 | |||||||
551 | General Mills, Inc. | 37,154 | |||||||
254 | Hershey Co. | 51,374 | |||||||
356 | Hormel Foods Corp. | 16,960 | |||||||
326 | J.M. Smucker Co. | 43,928 | |||||||
340 | Kellogg Co. | 21,740 | |||||||
433 | Kraft Heinz Co. | 16,982 | |||||||
517 | Kroger Co. | 24,196 | |||||||
765 | Lamb Weston Holdings, Inc. | 50,819 | |||||||
185 | McCormick & Co., Inc. | 17,606 | |||||||
227 | Sysco Corp. | 19,772 | |||||||
640 | Tyson Foods, Inc., Class A | 59,302 | |||||||
418,399 | |||||||||
Forest Products & Paper - 0.0% (b) | |||||||||
624 | International Paper Co. | 27,163 | |||||||
Gas - 0.0% (b) | |||||||||
463 | Atmos Energy Corp. | 50,842 | |||||||
2,585 | NiSource, Inc. | 74,784 | |||||||
125,626 | |||||||||
Hand/Machine Tools - 0.0% (b) | |||||||||
356 | Snap-on, Inc. | 74,824 | |||||||
98 | Stanley Black & Decker, Inc. | 15,945 | |||||||
90,769 | |||||||||
Healthcare Products - 0.1% | |||||||||
167 | ABIOMED, Inc. (a) | 51,894 | |||||||
66 | Align Technology, Inc. (a) | 33,756 | |||||||
387 | Baxter International, Inc. | 32,883 | |||||||
255 | Boston Scientific Corp. (a) | 11,263 | |||||||
88 | Cooper Cos., Inc. | 35,994 | |||||||
1,261 | Dentsply Sirona, Inc. | 68,270 | |||||||
145 | Edwards Lifesciences Corp. (a) | 16,294 | |||||||
493 | Hologic, Inc. (a) | 35,087 | |||||||
46 | IDEXX Laboratories, Inc. (a) | 24,488 | |||||||
124 | ResMed, Inc. | 30,597 | |||||||
273 | STERIS PLC | 65,520 | |||||||
102 | Teleflex, Inc. | 34,304 | |||||||
94 | West Pharmaceutical Services, Inc. | 36,385 | |||||||
141 | Zimmer Biomet Holdings, Inc. | 17,934 | |||||||
494,669 | |||||||||
Healthcare Services - 0.1% | |||||||||
189 | Anthem, Inc. | 85,400 | |||||||
687 | Centene Corp. (a) | 56,760 | |||||||
624 | DaVita, Inc. (a) | 70,368 | |||||||
211 | HCA Healthcare, Inc. | 52,815 | |||||||
28 | Humana, Inc. | 12,161 | |||||||
180 | IQVIA Holdings, Inc. (a) | 41,422 | |||||||
165 | Laboratory Corp. of America Holdings (a) | 44,758 | |||||||
308 | Quest Diagnostics, Inc. | 40,431 | |||||||
529 | UnitedHealth Group, Inc. | 251,735 | |||||||
568 | Universal Health Services, Inc., Class B | 81,752 | |||||||
737,602 | |||||||||
Home Builders - 0.0% (b) | |||||||||
201 | DR Horton, Inc. | 17,165 | |||||||
207 | Lennar Corp., Class A | 18,605 | |||||||
20 | NVR, Inc. (a) | 99,169 | |||||||
721 | PulteGroup, Inc. | 35,805 | |||||||
170,744 | |||||||||
Home Furnishings - 0.0% (b) | |||||||||
1,736 | Leggett & Platt, Inc. | 64,371 | |||||||
201 | Whirlpool Corp. | 40,455 | |||||||
104,826 | |||||||||
Household Products/Wares - 0.0% (b) | |||||||||
328 | Avery Dennison Corp. | 57,794 | |||||||
387 | Church & Dwight Co., Inc. | 37,868 | |||||||
80 | Clorox Co. | 11,663 | |||||||
62 | Kimberly-Clark Corp. | 8,069 | |||||||
115,394 | |||||||||
Housewares - 0.0% (b) | |||||||||
3,207 | Newell Brands, Inc. | 76,166 | |||||||
Information - 0.0% (b) | |||||||||
14 | Kyndryl Holdings, Inc. (a) | 222 | |||||||
9,105 | Lumen Technologies, Inc. | 94,328 | |||||||
94,550 | |||||||||
Insurance - 0.1% | |||||||||
817 | Aflac, Inc. | 49,910 | |||||||
153 | Allstate Corp. | 18,721 | |||||||
628 | American International Group, Inc. | 38,459 | |||||||
44 | Aon PLC | 12,854 | |||||||
329 | Arthur J Gallagher & Co. | 52,044 | |||||||
463 | Assurant, Inc. | 78,576 | |||||||
933 | Berkshire Hathaway, Inc., Class B (a) | 299,913 | |||||||
64 | Chubb, Ltd. | 13,033 | |||||||
419 | Cincinnati Financial Corp. | 51,449 | |||||||
247 | Everest Re Group, Ltd. | 73,660 | |||||||
598 | Globe Life, Inc. | 60,374 | |||||||
868 | Hartford Financial Services Group, Inc. | 60,309 | |||||||
2,137 | Lincoln National Corp. | 144,077 | |||||||
1,202 | Loews Corp. | 73,731 | |||||||
326 | MetLife, Inc. | 22,021 | |||||||
963 | Principal Financial Group, Inc. | 68,026 | |||||||
253 | Prudential Financial, Inc. | 28,250 | |||||||
132 | Travelers Cos., Inc. | 22,682 | |||||||
7,074 | Unum Group | 197,506 | |||||||
753 | WR Berkley Corp. | 67,996 | |||||||
1,433,591 | |||||||||
Internet - 0.1% | |||||||||
111 | Alphabet, Inc., Class A (a) | 299,827 | |||||||
10 | Booking Holdings, Inc. (a) | 21,722 | |||||||
566 | CDW Corp. | 97,612 | |||||||
215 | eBay, Inc. | 11,737 | |||||||
400 | Expedia Group, Inc. (a) | 78,444 | |||||||
1,132 | F5 Networks, Inc. (a) | 227,362 | |||||||
4,283 | NortonLifeLock, Inc. | 124,121 | |||||||
707 | Twitter, Inc. (a) | 25,134 | |||||||
205 | VeriSign, Inc. (a) | 43,813 | |||||||
929,772 | |||||||||
Iron/Steel - 0.0% (b) | |||||||||
748 | Nucor Corp. | 98,452 | |||||||
Leisure Time - 0.0% (b) | |||||||||
3,294 | Carnival Corp. (a) | 66,967 | |||||||
6,379 | Norwegian Cruise Line Holdings, Ltd. (a)(f) | 124,327 | |||||||
489 | Royal Caribbean Cruises, Ltd. (a) | 39,472 | |||||||
230,766 | |||||||||
Lodging - 0.0% (b) | |||||||||
352 | Hilton Worldwide Holdings, Inc. (a) | 52,399 | |||||||
245 | Las Vegas Sands Corp. (a) | 10,501 | |||||||
283 | Marriott International, Inc., Class A (a) | 48,150 | |||||||
1,736 | MGM Resorts International | 76,887 | |||||||
693 | Wynn Resorts, Ltd. (a) | 59,958 | |||||||
247,895 | |||||||||
Machinery - Diversified - 0.0% (b) | |||||||||
67 | Deere & Co. | 24,121 | |||||||
309 | Dover Corp. | 48,470 | |||||||
3,820 | Flowserve Corp. | 116,013 | |||||||
165 | IDEX Corp. | 31,663 | |||||||
977 | Ingersoll Rand, Inc. | 49,358 | |||||||
241 | Otis Worldwide Corp. | 18,878 | |||||||
74 | Rockwell Automation, Inc. | 19,727 | |||||||
556 | Wabtec Corp. | 51,608 | |||||||
320 | Xylem, Inc. | 28,464 | |||||||
388,302 | |||||||||
Manufacturing - 0.0% (b) | |||||||||
392 | AstraZeneca PLC | 23,865 | |||||||
7,906 | NOV, Inc. | 135,588 | |||||||
512 | Raytheon Technologies Corp. | 52,583 | |||||||
1,875 | Seagate Technology Holdings PLC | 193,425 | |||||||
56 | Sylvamo Corp. (a) | 1,954 | |||||||
407,415 | |||||||||
Media - 0.1% | |||||||||
14 | Charter Communications, Inc., Class A (a) | 8,425 | |||||||
4,489 | Discovery, Inc., Class A (a)(f) | 125,916 | |||||||
2,266 | DISH Network Corp., Class A (a) | 72,421 | |||||||
2,779 | Fox Corp., Class A | 116,246 | |||||||
8,414 | News Corp., Class A | 187,801 | |||||||
1,936 | Paramount Global, Class B | 59,261 | |||||||
570,070 | |||||||||
Mining - 0.0% (b) | |||||||||
1,638 | Freeport-McMoRan, Inc. | 76,904 | |||||||
126 | Newmont Goldcorp Corp. | 8,341 | |||||||
85,245 | |||||||||
Mining, Quarrying, and Oil and Gas Extraction - 0.0% (b) | |||||||||
6,647 | APA Corp. | 236,833 | |||||||
Miscellaneous Manufacturing - 0.0% (b) | |||||||||
1,014 | AO Smith Corp. | 69,540 | |||||||
100 | Eaton Corp PLC | 15,429 | |||||||
80 | Parker-Hannifin Corp. | 23,711 | |||||||
1,418 | Textron, Inc. | 103,699 | |||||||
112 | Trane Technologies PLC | 17,240 | |||||||
229,619 | |||||||||
Office/Business Equipment - 0.0% (b) | |||||||||
14,380 | Xerox Holdings Corp. | 283,430 | |||||||
292 | Zebra Technologies Corp., Class A (a) | 120,695 | |||||||
404,125 | |||||||||
Oil & Gas - 0.2% | |||||||||
2,343 | Cabot Oil & Gas Corp. | 54,662 | |||||||
2,408 | ConocoPhillips | 228,423 | |||||||
11,463 | Devon Energy Corp. | 682,622 | |||||||
2,404 | Diamondback Energy, Inc. | 331,992 | |||||||
814 | EOG Resources, Inc. | 93,545 | |||||||
691 | Hess Corp. | 69,832 | |||||||
5,017 | HollyFrontier Corp. | 152,768 | |||||||
23,406 | Marathon Oil Corp. | 528,039 | |||||||
596 | Marathon Petroleum Corp. | 46,411 | |||||||
3,149 | Occidental Petroleum Corp. | 137,706 | |||||||
267 | Phillips 66 | 22,492 | |||||||
430 | Pioneer Natural Resources Co. | 103,028 | |||||||
394 | Valero Energy Corp. | 32,903 | |||||||
2,484,423 | |||||||||
Oil & Gas Services - 0.0% (b) | |||||||||
2,699 | Baker Hughes & GE Co. | 79,297 | |||||||
2,351 | Halliburton Co. | 78,829 | |||||||
846 | Schlumberger, Ltd. | 33,197 | |||||||
17,924 | TechnipFMC PLC (a) | 122,779 | |||||||
314,102 | |||||||||
Packaging & Containers - 0.0% (b) | |||||||||
2,174 | Amcor PLC | 25,283 | |||||||
183 | Ball Corp. | 16,422 | |||||||
372 | Packaging Corp of America | 54,755 | |||||||
1,990 | Sealed Air Corp. | 133,589 | |||||||
1,345 | Westrock Co. | 60,888 | |||||||
290,937 | |||||||||
Pharmaceuticals - 0.1% | |||||||||
1,031 | AbbVie, Inc. | 152,351 | |||||||
437 | AmerisourceBergen Corp. | 62,286 | |||||||
36 | Becton Dickinson & Co. | 9,766 | |||||||
832 | Cardinal Health, Inc. | 44,936 | |||||||
155 | Cigna Corp. | 36,856 | |||||||
836 | CVS Health Corp. | 86,651 | |||||||
36 | DexCom, Inc. (a) | 14,901 | |||||||
1,075 | Henry Schein, Inc. (a) | 92,858 | |||||||
259 | McKesson Corp. | 71,215 | |||||||
1,835 | Perrigo Co. PLC | 65,179 | |||||||
2,504 | Pfizer, Inc. | 117,538 | |||||||
4,829 | Viatris, Inc. | 53,167 | |||||||
807,704 | |||||||||
Pipelines - 0.0% (b) | |||||||||
963 | Kinder Morgan, Inc. | 16,756 | |||||||
1,227 | ONEOK, Inc. | 80,123 | |||||||
685 | Williams Cos., Inc. | 21,427 | |||||||
118,306 | |||||||||
Professional, Scientific, and Technical Services - 0.0% (b) | |||||||||
3,584 | Technip Energies NV ADR (a) | 39,818 | |||||||
Real Estate - 0.0% (b) | |||||||||
560 | CBRE Group, Inc., Class A (a) | 54,236 | |||||||
Real Estate Investment Trusts - 0.2% | |||||||||
126 | Alexandria Real Estate Equities, Inc. | 23,864 | |||||||
2,331 | Apartment Income REIT Corp. | 120,303 | |||||||
2,331 | Apartment Investment and Management Co., Class A (a) | 16,643 | |||||||
209 | AvalonBay Communities, Inc. | 49,865 | |||||||
394 | Boston Properties, Inc. | 48,190 | |||||||
72 | Digital Realty Trust, Inc. | 9,714 | |||||||
1,103 | Duke Realty Corp. | 58,459 | |||||||
604 | Equity Residential | 51,521 | |||||||
143 | Essex Property Trust, Inc. | 45,355 | |||||||
383 | Extra Space Storage, Inc. | 72,062 | |||||||
979 | Federal Realty Investment Trust | 115,111 | |||||||
1,061 | Healthpeak Properties, Inc. | 32,955 | |||||||
5,262 | Host Hotels & Resorts, Inc. (a) | 96,137 | |||||||
1,906 | Iron Mountain, Inc. | 93,737 | |||||||
7,432 | Kimco Realty Corp. | 174,875 | |||||||
360 | Mid-America Apartment Communities, Inc. | 73,660 | |||||||
32 | Orion Office REIT, Inc. (a) | 545 | |||||||
442 | Prologis, Inc. | 64,466 | |||||||
166 | Public Storage | 58,933 | |||||||
322 | Realty Income Corp. | 21,281 | |||||||
1,682 | Regency Centers Corp. | 110,827 | |||||||
38 | SBA Communications Corp. | 11,529 | |||||||
314 | Simon Property Group, Inc. | 43,194 | |||||||
2,631 | SL Green Realty Corp. | 209,220 | |||||||
1,492 | UDR, Inc. | 81,866 | |||||||
622 | Ventas, Inc. | 33,588 | |||||||
1,887 | Vornado Realty Trust | 81,669 | |||||||
330 | Welltower, Inc. | 27,486 | |||||||
703 | Weyerhaeuser Co. | 27,333 | |||||||
1,854,388 | |||||||||
Retail - 0.1% | |||||||||
321 | Advance Auto Parts, Inc. | 65,638 | |||||||
30 | AutoZone, Inc. (a) | 55,902 | |||||||
134 | Best Buy Co., Inc. | 12,950 | |||||||
245 | CarMax, Inc. (a) | 26,786 | |||||||
10 | Chipotle Mexican Grill, Inc. (a) | 15,233 | |||||||
245 | Costco Wholesale Corp. | 127,216 | |||||||
344 | Darden Restaurants, Inc. | 49,956 | |||||||
38 | Dollar General Corp. | 7,537 | |||||||
348 | Dollar Tree, Inc. (a) | 49,444 | |||||||
56 | Domino's Pizza, Inc. | 24,204 | |||||||
3,834 | Gap, Inc. | 55,785 | |||||||
398 | Genuine Parts Co. | 48,620 | |||||||
412 | Home Depot, Inc. | 130,122 | |||||||
6,078 | Kohl's Corp. | 338,058 | |||||||
338 | Lowe's Cos., Inc. | 74,718 | |||||||
273 | McDonald's Corp. | 66,822 | |||||||
73 | O'Reilly Automotive, Inc. (a) | 47,395 | |||||||
139 | Ross Stores, Inc. | 12,703 | |||||||
251 | Tractor Supply Co. | 51,151 | |||||||
143 | Ulta Beauty, Inc. (a) | 53,553 | |||||||
161 | Yum! Brands, Inc. | 19,735 | |||||||
1,333,528 | |||||||||
Retail Trade - 0.0% (b) | |||||||||
1,551 | Bath & Body Works, Inc. | 82,777 | |||||||
517 | Victoria's Secret & Co. (a) | 27,727 | |||||||
110,504 | |||||||||
Savings & Loans - 0.0% (b) | |||||||||
9,151 | People's United Financial, Inc. | 192,903 | |||||||
Semiconductors - 0.1% | |||||||||
1,364 | Advanced Micro Devices, Inc. (a) | 168,212 | |||||||
205 | Analog Devices, Inc. | 32,859 | |||||||
318 | Applied Materials, Inc. | 42,676 | |||||||
131 | Broadcom, Inc. | 76,955 | |||||||
703 | IPG Photonics Corp. (a) | 91,636 | |||||||
185 | KLA Corp. | 64,473 | |||||||
62 | Lam Research Corp. | 34,804 | |||||||
801 | Microchip Technology, Inc. | 56,334 | |||||||
358 | Micron Technology, Inc. | 31,812 | |||||||
1,162 | NVIDIA Corp. | 283,354 | |||||||
517 | Qorvo, Inc. (a) | 70,715 | |||||||
359 | QUALCOMM, Inc. | 61,744 | |||||||
312 | Skyworks Solutions, Inc. | 43,109 | |||||||
54 | Texas Instruments, Inc. | 9,179 | |||||||
1,067,862 | |||||||||
Shipbuilding - 0.0% (b) | |||||||||
487 | Huntington Ingalls Industries, Inc. | 99,543 | |||||||
Software - 0.1% | |||||||||
203 | Activision Blizzard, Inc. | 16,545 | |||||||
487 | Akamai Technologies, Inc. (a) | 52,723 | |||||||
118 | ANSYS, Inc. (a) | 38,254 | |||||||
86 | Autodesk, Inc. (a) | 18,940 | |||||||
507 | Broadridge Financial Solutions, Inc. | 74,128 | |||||||
338 | Cadence Design Systems, Inc. (a) | 51,183 | |||||||
368 | Cerner Corp. | 34,316 | |||||||
433 | Citrix Systems, Inc. | 44,383 | |||||||
211 | Electronic Arts, Inc. | 27,449 | |||||||
74 | Fidelity National Information Services, Inc. | 7,047 | |||||||
147 | Fiserv, Inc. (a) | 14,357 | |||||||
121 | Intuit, Inc. | 57,399 | |||||||
497 | Jack Henry & Associates, Inc. | 87,870 | |||||||
1,013 | Microsoft Corp. | 302,674 | |||||||
40 | MSCI, Inc. | 20,068 | |||||||
620 | Paychex, Inc. | 73,817 | |||||||
219 | Paycom Software, Inc. (a) | 74,287 | |||||||
24 | ServiceNow, Inc. (a) | 13,918 | |||||||
159 | Synopsys, Inc. (a) | 49,670 | |||||||
389 | Take-Two Interactive Software, Inc. (a) | 63,018 | |||||||
213 | Tyler Technologies, Inc. (a) | 91,219 | |||||||
1,213,265 | |||||||||
Telecommunications - 0.1% | |||||||||
1,529 | Arista Networks, Inc. (a) | 187,654 | |||||||
1,333 | Corning, Inc. | 53,853 | |||||||
6,542 | Juniper Networks, Inc. | 221,054 | |||||||
243 | Motorola Solutions, Inc. | 53,565 | |||||||
516,126 | |||||||||
Textiles - 0.0% (b) | |||||||||
610 | Mohawk Industries, Inc. (a) | 85,876 | |||||||
Toys/Games/Hobbies - 0.0% (b) | |||||||||
499 | Hasbro, Inc. | 48,428 | |||||||
Transportation - 0.0% (b) | |||||||||
282 | CH Robinson Worldwide, Inc. | 27,264 | |||||||
298 | Expeditors International of Washington, Inc. | 30,801 | |||||||
295 | JB Hunt Transport Services, Inc. | 59,864 | |||||||
168 | Old Dominion Freight Line, Inc. | 52,757 | |||||||
169 | Union Pacific Corp. | 41,566 | |||||||
305 | United Parcel Service, Inc., Class B | 64,178 | |||||||
276,430 | |||||||||
Transportation and Warehousing - 0.0% (b) | |||||||||
76 | DT Midstream, Inc. | 4,036 | |||||||
Utilities - 0.0% (b) | |||||||||
108 | Constellation Energy Corp. | 4,966 | |||||||
Water - 0.0% (b) | |||||||||
110 | American Water Works Co., Inc. | 16,620 | |||||||
TOTAL COMMON STOCKS (Cost - $27,652,289) | 30,009,475 | ||||||||
Contracts | Notional Amount | ||||||||
PURCHASED OPTIONS - 0.0% (a)(b)(c) | |||||||||
PURCHASED PUT OPTIONS - 0.0% (b) | |||||||||
CBOE Volatility Index (g) | |||||||||
3,000 | Expiration: March 2022, Exercise Price: $22 | $ | 9,045,000 | $ | 67,500 | ||||
5,000 | Expiration: April 2022, Exercise Price: $19 | 15,075,000 | 125,000 | ||||||
Energy Select Sector SPDR Fund | |||||||||
10,000 | Expiration: March 2022, Exercise Price: $47 | 70,580,000 | 10,000 | ||||||
TOAL PURCHASED PUT OPTIONS (Cost - $1,305,627) | 202,500 | ||||||||
TOTAL PURCHASED OPTIONS (Cost - $1,305,627) | 202,500 | ||||||||
Shares | |||||||||
SHORT TERM INVESTMENTS - 0.8% | |||||||||
Money Market Funds - 0.8% | |||||||||
9,844,155 | First American Treasury Obligations Fund, Class X, 0.01% (d) | 9,844,155 | |||||||
TOTAL SHORT TERM INVESTMENTS (Cost - $9,844,155) | 9,844,155 | ||||||||
INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING - 22.0% | |||||||||
260,274,878 | Mount Vernon Liquid Assets Portfolio, LLC, 0.12% (d) | 260,274,878 | |||||||
TOTAL INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING (Cost - $260,274,878) | 260,274,878 | ||||||||
TOTAL INVESTMENTS - 121.6% (Cost - $1,430,293,331) | 1,439,548,001 | ||||||||
Liabilities in Excess of Other Assets - (21.6)% | (255,769,925 | ) | |||||||
NET ASSETS - 100.0% | $ | 1,183,778,076 | |||||||
Contracts | Notional Value | Value | |||||||
SCHEDULE OF WRITTEN OPTIONS - 0.0% (a)(b)(c) | |||||||||
SCHEDULE OF WRITTEN PUT OPTIONS - 0.0% (b) | |||||||||
CBOE Volatility Index | |||||||||
6,000 | Expiration: March 2022, Exercise Price $20 | $ | 18,090,000 | $ | 45,000 | ||||
10,000 | Expiration: April 2022, Exercise Price $17 | 30,150,000 | 75,000 | ||||||
TOTAL WRITTEN PUT OPTIONS (Premiums Received $704,000) | 120,000 | ||||||||
TOTAL OPTIONS WRITTEN (Premiums Received $704,000) | $ | 120,000 | |||||||
Percentages are stated as a percent of net assets. | |||||||||
ADR - American Depositary Receipt | |||||||||
(a) Non-income producing security. | |||||||||
(b) Rounds to 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, 2022. | |||||||||
(e) All or a portion of the security is segregated as collateral for written options. The value of the securities segregated as collateral for written options is $61,154,150, which is 5.2% of total net assets. | |||||||||
(f) All or a portion of this security is out on loan as of February 28, 2022. | |||||||||
(g) Held in connection with a written option, see Schedule of Written Options for more details. | |||||||||
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NPORT-P Filing
Horizon Funds NPORT-PHorizon Active Risk Assist Fund (Feb 2022 report)
Filed: 21 Apr 22, 10:51am