Horizon Defined Risk Fund | ||||||||||
PORTFOLIO OF INVESTMENTS | ||||||||||
August 31, 2023 (Unaudited) | ||||||||||
Shares | Value | |||||||||
COMMON STOCKS - 98.7% | ||||||||||
Accommodation and Food Services - 0.0% (b) | ||||||||||
2,763 | Caesars Entertainment, Inc. (a) | $ | 152,683 | |||||||
Administrative and Support and Waste Management and Remediation Services - 0.1% | ||||||||||
329 | Fair Isaac Corp. (a) | 297,610 | ||||||||
Advertising - 0.1% | ||||||||||
5,084 | Interpublic Group of Cos., Inc. | 165,789 | ||||||||
2,669 | Omnicom Group, Inc. | 216,216 | ||||||||
382,005 | ||||||||||
Aerospace/Defense - 1.2% | ||||||||||
7,401 | Boeing Co. (a) | 1,658,046 | ||||||||
2,946 | General Dynamics Corp. | 667,681 | ||||||||
4,820 | Howmet Aerospace, Inc. | 238,445 | ||||||||
2,487 | L3Harris Technologies, Inc. | 442,910 | ||||||||
2,954 | Lockheed Martin Corp. (e) | 1,324,426 | ||||||||
1,882 | Northrop Grumman Corp. (e) | 815,075 | ||||||||
615 | Teledyne Technologies, Inc. (a) | 257,255 | ||||||||
680 | TransDigm Group, Inc. (a) | 614,618 | ||||||||
6,018,456 | ||||||||||
Agriculture - 0.7% | ||||||||||
23,372 | Altria Group, Inc. (e) | 1,033,510 | ||||||||
7,182 | Archer Daniels Midland Co. | 569,533 | ||||||||
20,302 | Philip Morris International, Inc. (e) | 1,950,210 | ||||||||
3,553,253 | ||||||||||
Airlines - 0.2% | ||||||||||
1,616 | Alaska Air Group, Inc. (a) | 67,823 | ||||||||
8,521 | American Airlines Group, Inc. (a) | 125,514 | ||||||||
8,395 | Delta Air Lines, Inc. | 359,978 | ||||||||
7,757 | Southwest Airlines Co. | 245,121 | ||||||||
4,276 | United Airlines Holdings, Inc. (a) | 212,988 | ||||||||
1,011,424 | ||||||||||
Apparel - 0.4% | ||||||||||
16,148 | Nike, Inc. | 1,642,413 | ||||||||
537 | Ralph Lauren Corp., Class A | 62,631 | ||||||||
3,154 | Tapestry, Inc. | 105,091 | ||||||||
4,333 | VF Corp. | 85,620 | ||||||||
1,895,755 | ||||||||||
Auto Manufacturers - 0.5% | ||||||||||
1,852 | Cummins, Inc. | 426,034 | ||||||||
51,454 | Ford Motor Co. (e) | 624,137 | ||||||||
18,254 | General Motors Co. (e) | 611,692 | ||||||||
6,821 | PACCAR, Inc. | 561,300 | ||||||||
2,223,163 | ||||||||||
Auto Parts & Equipment - 0.1% | ||||||||||
3,540 | Aptiv PLC (a) | 359,133 | ||||||||
3,109 | BorgWarner, Inc. | 126,692 | ||||||||
485,825 | ||||||||||
Banks - 3.5% | ||||||||||
90,836 | Bank of America Corp. | 2,604,268 | ||||||||
9,403 | Bank of New York Mellon Corp. | 421,913 | ||||||||
25,539 | Citigroup, Inc. | 1,054,505 | ||||||||
6,414 | Citizens Financial Group, Inc. | 180,426 | ||||||||
1,715 | Comerica, Inc. | 82,509 | ||||||||
8,946 | Fifth Third Bancorp | 237,516 | ||||||||
4,353 | Goldman Sachs Group, Inc. (e) | 1,426,522 | ||||||||
18,627 | Huntington Bancshares, Inc. | 206,573 | ||||||||
38,270 | JPMorgan Chase & Co. | 5,600,049 | ||||||||
12,163 | KeyCorp | 137,807 | ||||||||
2,213 | M&T Bank Corp. | 276,736 | ||||||||
17,100 | Morgan Stanley | 1,456,065 | ||||||||
2,735 | Northern Trust Corp. | 208,051 | ||||||||
5,277 | PNC Financial Services Group, Inc. (e) | 637,092 | ||||||||
12,270 | Regions Financial Corp. | 225,032 | ||||||||
4,385 | State Street Corp. | 301,425 | ||||||||
17,342 | Truist Financial Corp. (e) | 529,798 | ||||||||
49,132 | Wells Fargo & Co. | 2,028,660 | ||||||||
1,960 | Zions Bancorp NA | 69,580 | ||||||||
17,684,527 | ||||||||||
Beverages - 1.5% | ||||||||||
2,357 | Brown-Forman Corp. | 155,868 | ||||||||
50,946 | Coca-Cola Co. | 3,048,099 | ||||||||
2,121 | Constellation Brands, Inc., Class A | 552,648 | ||||||||
2,447 | Molson Coors Brewing Co. | 155,360 | ||||||||
9,959 | Monster Beverage Corp. (a) | 571,746 | ||||||||
18,026 | PepsiCo, Inc. | 3,207,186 | ||||||||
7,690,907 | ||||||||||
Biotechnology - 1.4% | ||||||||||
6,969 | Amgen, Inc. | 1,786,433 | ||||||||
1,886 | Biogen, Inc. (a) | 504,241 | ||||||||
278 | Bio-Rad Laboratories, Inc. (a) | 111,256 | ||||||||
9,365 | Corteva, Inc. | 473,026 | ||||||||
16,293 | Gilead Sciences, Inc. (e) | 1,246,089 | ||||||||
2,055 | Illumina, Inc. (a)(e) | 339,527 | ||||||||
2,418 | Incyte Corp. (a) | 156,034 | ||||||||
1,404 | Regeneron Pharmaceuticals, Inc. (a)(e) | 1,160,392 | ||||||||
3,360 | Vertex Pharmaceuticals, Inc. (a) | 1,170,422 | ||||||||
6,947,420 | ||||||||||
Building Materials - 0.4% | ||||||||||
10,947 | Carrier Global Corp. | 628,905 | ||||||||
8,981 | Johnson Controls International PLC (e) | 530,418 | ||||||||
812 | Martin Marietta Materials, Inc. | 362,485 | ||||||||
2,934 | Masco Corp. | 173,135 | ||||||||
1,737 | Vulcan Materials Co. | 379,100 | ||||||||
2,074,043 | ||||||||||
Chemicals - 1.0% | ||||||||||
2,901 | Air Products & Chemicals, Inc. (e) | 857,216 | ||||||||
1,529 | Albemarle Corp. | 303,827 | ||||||||
1,299 | Celanese Corp. | 164,142 | ||||||||
2,568 | CF Industries Holdings, Inc. | 197,916 | ||||||||
9,212 | Dow, Inc. | 502,607 | ||||||||
5,993 | DuPont de Nemours, Inc. | 460,802 | ||||||||
1,569 | Eastman Chemical Co. | 133,381 | ||||||||
1,639 | FMC Corp. | 141,331 | ||||||||
3,332 | International Flavors & Fragrances, Inc. | 234,739 | ||||||||
3,313 | LyondellBasell Industries NV, Class A | 327,225 | ||||||||
4,463 | Mosaic Co. | 173,387 | ||||||||
3,063 | PPG Industries, Inc. | 434,211 | ||||||||
3,083 | Sherwin-Williams Co. (e) | 837,713 | ||||||||
4,768,497 | ||||||||||
Commercial Services - 1.8% | ||||||||||
5,421 | Automatic Data Processing, Inc. (e) | 1,380,241 | ||||||||
1,131 | Cintas Corp. | 570,216 | ||||||||
3,242 | Ecolab, Inc. (e) | 595,912 | ||||||||
1,597 | Equifax, Inc. | 330,100 | ||||||||
964 | FleetCor Technologies, Inc. (a) | 261,948 | ||||||||
1,030 | Gartner, Inc. (a) | 360,170 | ||||||||
3,440 | Global Payments, Inc. | 435,813 | ||||||||
488 | MarketAxess Holdings, Inc. | 117,574 | ||||||||
2,054 | Moody's Corp. (e) | 691,787 | ||||||||
14,559 | PayPal Holdings, Inc. (a) | 910,083 | ||||||||
1,870 | Quanta Services, Inc. | 392,457 | ||||||||
1,432 | Robert Half International, Inc. (g) | 105,911 | ||||||||
3,022 | Rollins, Inc. | 119,580 | ||||||||
4,309 | S&P Global, Inc. | 1,684,216 | ||||||||
905 | United Rentals, Inc. | 431,269 | ||||||||
1,895 | Verisk Analytics, Inc. | 459,007 | ||||||||
8,846,284 | ||||||||||
Computers - 8.6% | ||||||||||
8,263 | Accenture PLC, Class A (e) | 2,675,311 | ||||||||
193,510 | Apple, Inc. (e) | 36,354,724 | ||||||||
6,661 | Cognizant Technology Solutions Corp., Class A | 476,994 | ||||||||
2,997 | DXC Technology Co. (a) | 62,158 | ||||||||
8,471 | Fortinet, Inc. (a) | 510,039 | ||||||||
16,847 | Hewlett Packard Enterprise Co. | 286,231 | ||||||||
11,320 | HP, Inc. | 336,317 | ||||||||
11,888 | International Business Machines Corp. (e) | 1,745,515 | ||||||||
1,777 | Leidos Holdings, Inc. | 173,275 | ||||||||
2,839 | NetApp, Inc. | 217,751 | ||||||||
4,176 | Western Digital Corp. (a) | 187,920 | ||||||||
43,026,235 | ||||||||||
Cosmetics/Personal Care - 1.2% | ||||||||||
10,957 | Colgate-Palmolive Co. (e) | 805,011 | ||||||||
3,023 | Estee Lauder Cos., Inc., Class A (e) | 485,282 | ||||||||
30,886 | Procter & Gamble Co. | 4,766,945 | ||||||||
6,057,238 | ||||||||||
Distribution/Wholesale - 0.3% | ||||||||||
11,206 | Copart, Inc. (a) | 502,365 | ||||||||
7,467 | Fastenal Co. | 429,950 | ||||||||
3,312 | LKQ Corp. | 173,979 | ||||||||
588 | WW Grainger, Inc. | 419,914 | ||||||||
1,526,208 | ||||||||||
Diversified Financial Services - 3.6% | ||||||||||
7,781 | American Express Co. (e) | 1,229,320 | ||||||||
1,379 | Ameriprise Financial, Inc. | 465,523 | ||||||||
1,964 | BlackRock, Inc. (e) | 1,375,861 | ||||||||
4,991 | Capital One Financial Corp. (e) | 511,028 | ||||||||
1,376 | CBOE Global Markets, Inc. | 206,001 | ||||||||
19,535 | Charles Schwab Corp. (e) | 1,155,495 | ||||||||
4,689 | CME Group, Inc. (e) | 950,366 | ||||||||
3,333 | Discover Financial Services | 300,203 | ||||||||
3,739 | Franklin Resources, Inc. | 99,981 | ||||||||
7,324 | Intercontinental Exchange, Inc. (e) | 864,159 | ||||||||
5,931 | Invesco, Ltd. | 94,422 | ||||||||
10,970 | MasterCard, Inc. | 4,526,661 | ||||||||
4,415 | Nasdaq, Inc. | 231,699 | ||||||||
2,528 | Raymond James Financial, Inc. | 264,404 | ||||||||
5,725 | Synchrony Financial | 184,803 | ||||||||
2,939 | T. Rowe Price Group, Inc. | 329,844 | ||||||||
21,197 | Visa, Inc. | 5,207,679 | ||||||||
17,997,449 | ||||||||||
Electric - 2.2% | ||||||||||
8,680 | AES Corp. | 155,632 | ||||||||
3,280 | Alliant Energy Corp. | 164,558 | ||||||||
3,373 | Ameren Corp. | 267,378 | ||||||||
6,703 | American Electric Power Co., Inc. | 525,515 | ||||||||
8,226 | CenterPoint Energy, Inc. | 229,423 | ||||||||
3,804 | CMS Energy Corp. | 213,747 | ||||||||
4,530 | Consolidated Edison, Inc. | 402,989 | ||||||||
10,893 | Dominion Energy, Inc. (e) | 528,746 | ||||||||
2,698 | DTE Energy Co. | 278,919 | ||||||||
10,057 | Duke Energy Corp. (e) | 893,062 | ||||||||
4,981 | Edison International | 342,942 | ||||||||
2,767 | Entergy Corp. | 263,557 | ||||||||
2,999 | Evergy, Inc. | 164,855 | ||||||||
4,551 | Eversource Energy | 290,445 | ||||||||
12,986 | Exelon Corp. | 520,998 | ||||||||
7,060 | FirstEnergy Corp. | 254,654 | ||||||||
26,500 | NextEra Energy, Inc. (e) | 1,770,200 | ||||||||
3,061 | NRG Energy, Inc. | 114,940 | ||||||||
21,097 | PG&E Corp. (a) | 343,881 | ||||||||
1,458 | Pinnacle West Capital Corp. | 112,660 | ||||||||
9,565 | PPL Corp. | 238,360 | ||||||||
6,512 | Public Service Enterprise Group, Inc. | 397,753 | ||||||||
8,200 | Sempra Energy | 575,804 | ||||||||
14,205 | Southern Co. (e) | 962,105 | ||||||||
4,115 | WEC Energy Group, Inc. | 346,154 | ||||||||
7,134 | Xcel Energy, Inc. | 407,565 | ||||||||
10,766,842 | ||||||||||
Electrical Components & Equipment - 0.2% | ||||||||||
3,007 | AMETEK, Inc. | 479,647 | ||||||||
7,493 | Emerson Electric Co. (e) | 736,187 | ||||||||
1,215,834 | ||||||||||
Electronics - 1.2% | ||||||||||
3,860 | Agilent Technologies, Inc. | 467,330 | ||||||||
1,156 | Allegion PLC | 131,564 | ||||||||
7,781 | Amphenol Corp., Class A | 687,685 | ||||||||
4,623 | Fortive Corp. | 364,524 | ||||||||
2,010 | Garmin, Ltd. | 213,100 | ||||||||
8,750 | Honeywell International, Inc. (e) | 1,644,475 | ||||||||
2,354 | Keysight Technologies, Inc. (a) | 313,788 | ||||||||
290 | Mettler-Toledo International, Inc. (a) | 351,909 | ||||||||
1,650 | PerkinElmer, Inc. | 193,100 | ||||||||
1,385 | Roper Technologies, Inc. | 691,198 | ||||||||
4,162 | TE Connectivity, Ltd. | 551,007 | ||||||||
777 | Waters Corp. | 218,182 | ||||||||
5,827,862 | ||||||||||
Entertainment - 0.0% (b) | ||||||||||
1,850 | Live Nation Entertainment, Inc. (a) | 156,380 | ||||||||
Environmental Control - 0.3% | ||||||||||
2,141 | Pentair PLC | 150,427 | ||||||||
2,677 | Republic Services, Inc. | 385,836 | ||||||||
4,861 | Waste Management, Inc. (e) | 762,107 | ||||||||
1,298,370 | ||||||||||
Finance and Insurance - 0.3% | ||||||||||
4,840 | Arch Capital Group Ltd. (a) | 372,002 | ||||||||
3,078 | Brown & Brown, Inc. | 228,080 | ||||||||
18,237 | US Bancorp | 666,198 | ||||||||
1,266,280 | ||||||||||
Food - 1.0% | ||||||||||
2,640 | Campbell Soup Co. | 110,088 | ||||||||
6,211 | Conagra Brands, Inc. | 185,585 | ||||||||
7,738 | General Mills, Inc. | 523,553 | ||||||||
1,923 | Hershey Co. | 413,176 | ||||||||
3,771 | Hormel Foods Corp. | 145,523 | ||||||||
1,400 | J.M. Smucker Co. | 202,930 | ||||||||
3,347 | Kellogg Co. | 204,234 | ||||||||
10,381 | Kraft Heinz Co. | 343,507 | ||||||||
8,524 | Kroger Co. | 395,428 | ||||||||
1,869 | Lamb Weston Holdings, Inc. | 182,059 | ||||||||
3,278 | McCormick & Co., Inc. | 269,058 | ||||||||
17,859 | Mondelez International, Inc., Class A (e) | 1,272,632 | ||||||||
6,636 | Sysco Corp. | 462,198 | ||||||||
3,743 | Tyson Foods, Inc., Class A | 199,390 | ||||||||
4,909,361 | ||||||||||
Forest Products & Paper - 0.0% (b) | ||||||||||
4,716 | International Paper Co. | 164,683 | ||||||||
Gas - 0.1% | ||||||||||
1,869 | Atmos Energy Corp. | 216,711 | ||||||||
5,258 | NiSource, Inc. | 140,704 | ||||||||
357,415 | ||||||||||
Hand/Machine Tools - 0.1% | ||||||||||
695 | Snap-on, Inc. | 186,677 | ||||||||
2,009 | Stanley Black & Decker, Inc. | 189,609 | ||||||||
376,286 | ||||||||||
Health Care and Social Assistance - 0.0% (b) | ||||||||||
756 | Molina Healthcare, Inc. (a) | 234,451 | ||||||||
Healthcare Products - 3.3% | ||||||||||
22,775 | Abbott Laboratories | 2,343,547 | ||||||||
947 | Align Technology, Inc. (a) | 350,523 | ||||||||
6,605 | Baxter International, Inc. | 268,163 | ||||||||
18,808 | Boston Scientific Corp. (a)(e) | 1,014,504 | ||||||||
647 | Cooper Cos., Inc. | 239,384 | ||||||||
8,694 | Danaher Corp. (e) | 2,303,910 | ||||||||
2,820 | Dentsply Sirona, Inc. | 104,594 | ||||||||
7,942 | Edwards Lifesciences Corp. (a)(e) | 607,325 | ||||||||
3,258 | Hologic, Inc. (a) | 243,503 | ||||||||
1,084 | IDEXX Laboratories, Inc. (a)(e) | 554,368 | ||||||||
4,586 | Intuitive Surgical, Inc. (e) | 1,433,950 | ||||||||
17,392 | Medtronic PLC | 1,417,448 | ||||||||
1,912 | ResMed, Inc. | 305,136 | ||||||||
1,295 | STERIS PLC | 297,319 | ||||||||
4,413 | Stryker Corp. (e) | 1,251,306 | ||||||||
613 | Teleflex, Inc. | 130,410 | ||||||||
5,043 | Thermo Fisher Scientific, Inc. (e) | 2,809,455 | ||||||||
965 | West Pharmaceutical Services, Inc. | 392,658 | ||||||||
2,744 | Zimmer Biomet Holdings, Inc. | 326,865 | ||||||||
16,394,368 | ||||||||||
Healthcare Services - 2.1% | ||||||||||
3,102 | Anthem, Inc. | 1,371,115 | ||||||||
7,206 | Centene Corp. (a) | 444,250 | ||||||||
724 | DaVita, Inc. (a) | 74,152 | ||||||||
2,703 | HCA Healthcare, Inc. (e) | 749,542 | ||||||||
1,635 | Humana, Inc. (e) | 754,765 | ||||||||
2,431 | IQVIA Holdings, Inc. (a) | 541,214 | ||||||||
1,156 | Laboratory Corp. of America Holdings | 240,564 | ||||||||
1,450 | Quest Diagnostics, Inc. | 190,675 | ||||||||
12,194 | UnitedHealth Group, Inc. | 5,811,416 | ||||||||
839 | Universal Health Services, Inc., Class B | 113,013 | ||||||||
10,290,706 | ||||||||||
Home Builders - 0.3% | ||||||||||
4,081 | DR Horton, Inc. | 485,721 | ||||||||
3,314 | Lennar Corp., Class A | 394,664 | ||||||||
30 | NVR, Inc. (a) | 191,320 | ||||||||
2,947 | PulteGroup, Inc. | 241,831 | ||||||||
1,313,536 | ||||||||||
Home Furnishings - 0.0% (b) | ||||||||||
708 | Whirlpool Corp. | 99,092 | ||||||||
Household Products/Wares - 0.3% | ||||||||||
1,068 | Avery Dennison Corp. | 201,190 | ||||||||
3,194 | Church & Dwight Co., Inc. | 309,083 | ||||||||
1,620 | Clorox Co. | 253,449 | ||||||||
4,429 | Kimberly-Clark Corp. | 570,588 | ||||||||
1,334,310 | ||||||||||
Housewares - 0.0% (b) | ||||||||||
4,931 | Newell Brands, Inc. | 52,170 | ||||||||
Information - 0.3% | ||||||||||
1,991 | Ceridian HCM Holding, Inc. (a) | 144,387 | ||||||||
5,299 | CoStar Group, Inc. (a) | 434,465 | ||||||||
502 | FactSet Research Systems, Inc. | 219,078 | ||||||||
1,392 | PTC, Inc. (a) | 204,861 | ||||||||
28,964 | Warner Bros Discovery, Inc. (a) | 380,587 | ||||||||
1,383,378 | ||||||||||
Insurance - 3.6% | ||||||||||
7,210 | Aflac, Inc. | 537,650 | ||||||||
3,453 | Allstate Corp. | 372,268 | ||||||||
9,488 | American International Group, Inc. | 555,238 | ||||||||
2,695 | Aon PLC (e) | 898,486 | ||||||||
2,807 | Arthur J Gallagher & Co. | 646,957 | ||||||||
694 | Assurant, Inc. | 96,695 | ||||||||
23,405 | Berkshire Hathaway, Inc., Class B (a) | 8,430,481 | ||||||||
5,424 | Chubb Ltd. (e) | 1,089,519 | ||||||||
2,073 | Cincinnati Financial Corp. | 219,303 | ||||||||
562 | Everest Re Group Ltd. | 202,702 | ||||||||
1,179 | Globe Life, Inc. | 131,541 | ||||||||
4,065 | Hartford Financial Services Group, Inc. | 291,948 | ||||||||
2,023 | Lincoln National Corp. | 51,910 | ||||||||
2,539 | Loews Corp. | 157,646 | ||||||||
6,473 | Marsh & McLennan Cos., Inc. (e) | 1,262,170 | ||||||||
8,432 | MetLife, Inc. | 534,083 | ||||||||
2,972 | Principal Financial Group, Inc. | 230,954 | ||||||||
7,625 | Progressive Corp. (e) | 1,017,709 | ||||||||
4,813 | Prudential Financial, Inc. | 455,647 | ||||||||
3,021 | Travelers Cos., Inc. | 487,076 | ||||||||
1,399 | Willis Towers Watson PLC | 289,257 | ||||||||
2,657 | WR Berkley Corp. | 164,362 | ||||||||
18,123,602 | ||||||||||
Internet - 8.1% | ||||||||||
77,680 | Alphabet, Inc., Class A (a)(e) | 10,577,686 | ||||||||
116,657 | Amazon.com, Inc. (a)(e) | 16,099,833 | ||||||||
485 | Booking Holdings, Inc. (a)(e) | 1,505,940 | ||||||||
1,771 | CDW Corp. | 373,947 | ||||||||
7,098 | eBay, Inc. | 317,848 | ||||||||
1,868 | Expedia Group, Inc. (a) | 202,472 | ||||||||
773 | F5 Networks, Inc. (a) | 126,509 | ||||||||
28,907 | Meta Platforms, Inc., Class A (a)(e) | 8,553,292 | ||||||||
7,507 | Gen Digital, Inc. | 152,017 | ||||||||
5,812 | Netflix, Inc. (a)(e) | 2,520,548 | ||||||||
1,198 | VeriSign, Inc. (a) | 248,932 | ||||||||
40,679,024 | ||||||||||
Iron/Steel - 0.1% | ||||||||||
3,321 | Nucor Corp. | 571,544 | ||||||||
Leisure Time - 0.1% | ||||||||||
13,134 | Carnival Corp. (a) | 207,780 | ||||||||
5,411 | Norwegian Cruise Line Holdings Ltd. (a) | 89,660 | ||||||||
2,856 | Royal Caribbean Cruises Ltd. (a) | 282,573 | ||||||||
580,013 | ||||||||||
Lodging - 0.4% | ||||||||||
3,493 | Hilton Worldwide Holdings, Inc. | 519,235 | ||||||||
4,284 | Las Vegas Sands Corp. | 235,020 | ||||||||
3,389 | Marriott International, Inc. | 689,695 | ||||||||
3,962 | MGM Resorts International | 174,249 | ||||||||
1,368 | Wynn Resorts Ltd. | 138,688 | ||||||||
1,756,887 | ||||||||||
Machinery - Construction & Mining - 0.4% | ||||||||||
6,753 | Caterpillar, Inc. (e) | 1,898,471 | ||||||||
Machinery - Diversified - 0.8% | ||||||||||
3,532 | Deere & Co. (e) | 1,451,440 | ||||||||
1,833 | Dover Corp. | 271,834 | ||||||||
981 | IDEX Corp. | 222,098 | ||||||||
5,302 | Ingersoll Rand, Inc. | 369,072 | ||||||||
5,465 | Otis Worldwide Corp. | 467,531 | ||||||||
1,493 | Rockwell Automation, Inc. | 465,936 | ||||||||
2,368 | Wabtec Corp. | 266,447 | ||||||||
3,118 | Xylem, Inc. | 322,838 | ||||||||
3,837,196 | ||||||||||
Manufacturing - 5.8% | ||||||||||
66,805 | Alphabet, Inc., Class C (a)(e) | 9,175,667 | ||||||||
923 | Axon Enterprise, Inc. (a) | 196,516 | ||||||||
2,052 | Bio-Techne Corp. | 160,877 | ||||||||
1,965 | Bunge Ltd. | 224,639 | ||||||||
2,354 | Catalent, Inc. (a) | 117,629 | ||||||||
1,782 | Enphase Energy, Inc. (a) | 225,476 | ||||||||
5,117 | GE HealthCare Technologies, Inc. (e) | 360,493 | ||||||||
814 | Generac Holdings, Inc. (a) | 96,711 | ||||||||
14,233 | General Electric Co. (e) | 1,629,109 | ||||||||
908 | Insulet Corp. (a) | 174,073 | ||||||||
11,063 | Keurig Dr Pepper, Inc. | 372,270 | ||||||||
6,419 | Linde PLC (e) | 2,484,410 | ||||||||
4,302 | Moderna, Inc. (a)(e) | 486,427 | ||||||||
585 | Monolithic Power Systems, Inc. | 304,908 | ||||||||
702 | Nordson Corp. | 171,386 | ||||||||
3,387 | NXP Semiconductors NV (e) | 696,774 | ||||||||
5,646 | ON Semiconductor Corp. (a) | 555,905 | ||||||||
3,287 | Organon & Co. | 72,183 | ||||||||
19,211 | Raytheon Technologies Corp. (e) | 1,652,914 | ||||||||
2,541 | Seagate Technology Holdings Plc | 179,877 | ||||||||
732 | SolarEdge Technologies, Inc. (a) | 119,001 | ||||||||
2,106 | Steel Dynamics, Inc. | 224,479 | ||||||||
2,039 | Teradyne, Inc. | 219,947 | ||||||||
35,200 | Tesla, Inc. (a)(e) | 9,084,416 | ||||||||
3,243 | Trimble, Inc. (a) | 177,684 | ||||||||
29,163,771 | ||||||||||
Media - 1.1% | ||||||||||
1,362 | Charter Communications, Inc., Class A (a) | 596,720 | ||||||||
54,429 | Comcast Corp. | 2,545,100 | ||||||||
3,524 | Fox Corp. | 116,503 | ||||||||
1,820 | Fox Corp. | 55,546 | ||||||||
5,074 | News Corp., Class A | 109,040 | ||||||||
1,590 | News Corp., Class B | 34,980 | ||||||||
6,573 | ViacomCBS, Inc., Class B | 99,187 | ||||||||
23,902 | Walt Disney Co. (a) | 2,000,119 | ||||||||
5,557,195 | ||||||||||
Mining - 0.2% | ||||||||||
18,736 | Freeport-McMoRan, Inc. | 747,754 | ||||||||
10,388 | Newmont Goldcorp Corp. | 409,495 | ||||||||
1,157,249 | ||||||||||
Mining, Quarrying, and Oil and Gas Extraction - 0.1% | ||||||||||
4,046 | APA Corp. | 177,377 | ||||||||
2,941 | Targa Resources Corp. | 253,661 | ||||||||
431,038 | ||||||||||
Miscellaneous Manufacturing - 0.9% | ||||||||||
7,236 | 3M Co. (e) | 771,864 | ||||||||
1,669 | AO Smith Corp. | 121,002 | ||||||||
5,204 | Eaton Corp PLC (e) | 1,198,845 | ||||||||
3,633 | Illinois Tool Works, Inc. | 898,623 | ||||||||
1,676 | Parker-Hannifin Corp. | 698,724 | ||||||||
2,646 | Textron, Inc. | 205,621 | ||||||||
3,006 | Trane Technologies PLC | 617,012 | ||||||||
4,511,691 | ||||||||||
Office/Business Equipment - 0.0% (b) | ||||||||||
672 | Zebra Technologies Corp., Class A (a) | 184,807 | ||||||||
Oil & Gas - 3.6% | ||||||||||
9,935 | Cabot Oil & Gas Corp. | 280,068 | ||||||||
23,294 | Chevron Corp. | 3,752,663 | ||||||||
15,866 | ConocoPhillips (e) | 1,888,530 | ||||||||
8,413 | Devon Energy Corp. | 429,820 | ||||||||
2,407 | Diamondback Energy, Inc. | 365,334 | ||||||||
7,685 | EOG Resources, Inc. | 988,445 | ||||||||
4,761 | EQT Corp. | 205,770 | ||||||||
52,972 | Exxon Mobil Corp. | 5,889,957 | ||||||||
3,632 | Hess Corp. | 561,144 | ||||||||
8,295 | Marathon Oil Corp. | 218,573 | ||||||||
5,564 | Marathon Petroleum Corp. | 794,372 | ||||||||
9,508 | Occidental Petroleum Corp. | 597,007 | ||||||||
6,022 | Phillips 66 | 687,472 | ||||||||
3,064 | Pioneer Natural Resources Co. | 729,018 | ||||||||
4,739 | Valero Energy Corp. | 615,596 | ||||||||
18,003,769 | ||||||||||
Oil & Gas Services - 0.4% | ||||||||||
13,104 | Baker Hughes & GE Co., Class A | 474,234 | ||||||||
11,874 | Halliburton Co. | 458,574 | ||||||||
18,619 | Schlumberger, Ltd. | 1,097,776 | ||||||||
2,030,584 | ||||||||||
Packaging & Containers - 0.2% | ||||||||||
19,585 | Amcor PLC | 190,758 | ||||||||
4,108 | Ball Corp. | 223,681 | ||||||||
1,183 | Packaging Corp of America | 176,385 | ||||||||
1,935 | Sealed Air Corp. | 71,711 | ||||||||
3,314 | Westrock Co. | 108,401 | ||||||||
770,936 | ||||||||||
Pharmaceuticals - 5.8% | ||||||||||
23,094 | AbbVie, Inc. (e) | 3,393,894 | ||||||||
495 | ABIOMED, Inc. (a)(h) | – | ||||||||
2,117 | AmerisourceBergen Corp. | 372,550 | ||||||||
3,708 | Becton Dickinson & Co. (e) | 1,036,200 | ||||||||
27,464 | Bristol-Myers Squibb Co. (e) | 1,693,156 | ||||||||
3,376 | Cardinal Health, Inc. | 294,826 | ||||||||
3,877 | Cigna Corp. (e) | 1,071,060 | ||||||||
16,798 | CVS Health Corp. (e) | 1,094,726 | ||||||||
5,053 | DexCom, Inc. (a) | 510,252 | ||||||||
10,298 | Eli Lilly & Co. (e) | 5,707,152 | ||||||||
1,770 | Henry Schein, Inc. (a) | 135,476 | ||||||||
33,868 | Johnson & Johnson | 5,475,778 | ||||||||
1,779 | McKesson Corp. | 733,517 | ||||||||
33,193 | Merck & Co., Inc. | 3,617,373 | ||||||||
73,906 | Pfizer, Inc. | 2,614,794 | ||||||||
15,856 | Viatris, Inc. | 170,452 | ||||||||
6,038 | Zoetis, Inc., Class A (e) | 1,150,299 | ||||||||
29,071,505 | ||||||||||
Pipelines - 0.3% | ||||||||||
25,840 | Kinder Morgan, Inc. | 444,965 | ||||||||
5,833 | ONEOK, Inc. | 380,311 | ||||||||
15,877 | Williams Cos., Inc. | 548,233 | ||||||||
1,373,509 | ||||||||||
Professional, Scientific, and Technical Services - 0.3% | ||||||||||
665 | Charles River Laboratories International, Inc. (a) | 137,535 | ||||||||
750 | EPAM Systems, Inc. (a) | 194,243 | ||||||||
1,679 | Jacobs Solutions, Inc. | 226,363 | ||||||||
3,657 | Match Group, Inc. (a) | 171,404 | ||||||||
3,968 | Palo Alto Networks, Inc. (a) | 965,414 | ||||||||
1,694,959 | ||||||||||
Real Estate - 0.1% | ||||||||||
4,132 | CBRE Group, Inc., Class A (a) | 351,427 | ||||||||
Real Estate Investment Trusts - 2.2% | ||||||||||
2,056 | Alexandria Real Estate Equities, Inc. | 239,195 | ||||||||
6,072 | American Tower Corp. (e) | 1,100,975 | ||||||||
1,828 | AvalonBay Communities, Inc. | 336,023 | ||||||||
1,830 | Boston Properties, Inc. | 122,189 | ||||||||
1,437 | Camden Property Trust | 154,650 | ||||||||
5,659 | Crown Castle International Corp. (e) | 568,729 | ||||||||
3,812 | Digital Realty Trust, Inc. | 502,117 | ||||||||
1,226 | Equinix, Inc. (e) | 957,972 | ||||||||
4,449 | Equity Residential | 288,429 | ||||||||
836 | Essex Property Trust, Inc. | 199,294 | ||||||||
2,766 | Extra Space Storage, Inc. | 355,929 | ||||||||
952 | Federal Realty OP LP | 93,239 | ||||||||
7,140 | Healthpeak Properties, Inc. | 146,941 | ||||||||
9,362 | Host Hotels & Resorts, Inc. | 147,826 | ||||||||
7,551 | Invitation Homes, Inc. | 257,414 | ||||||||
3,806 | Iron Mountain, Inc. | 241,833 | ||||||||
7,962 | Kimco Realty Corp. | 150,800 | ||||||||
1,512 | Mid-America Apartment Communities, Inc. | 219,588 | ||||||||
12,023 | Prologis, Inc. (e) | 1,493,257 | ||||||||
2,064 | Public Storage | 570,448 | ||||||||
8,809 | Realty Income Corp. | 493,656 | ||||||||
2,010 | Regency Centers Corp. | 125,022 | ||||||||
1,413 | SBA Communications Corp. | 317,261 | ||||||||
4,270 | Simon Property Group, Inc. | 484,602 | ||||||||
3,984 | UDR, Inc. | 158,962 | ||||||||
5,229 | Ventas, Inc. | 228,403 | ||||||||
13,134 | VICI Properties, Inc. | 405,052 | ||||||||
6,513 | Welltower, Inc. | 539,797 | ||||||||
9,666 | Weyerhaeuser Co. | 316,562 | ||||||||
11,216,165 | ||||||||||
Retail - 4.9% | ||||||||||
787 | Advance Auto Parts, Inc. | 54,161 | ||||||||
242 | AutoZone, Inc. (a) | 612,582 | ||||||||
2,582 | Best Buy Co., Inc. | 197,394 | ||||||||
2,105 | CarMax, Inc. (a) | 171,936 | ||||||||
361 | Chipotle Mexican Grill, Inc. (a) | 695,517 | ||||||||
5,818 | Costco Wholesale Corp. (e) | 3,195,711 | ||||||||
1,595 | Darden Restaurants, Inc. | 248,038 | ||||||||
2,874 | Dollar General Corp. (e) | 398,049 | ||||||||
2,720 | Dollar Tree, Inc. (a) | 332,819 | ||||||||
467 | Domino's Pizza, Inc. | 180,916 | ||||||||
1,846 | Genuine Parts Co. | 283,786 | ||||||||
13,257 | Home Depot, Inc. | 4,378,787 | ||||||||
7,807 | Lowe's Cos., Inc. (e) | 1,799,357 | ||||||||
9,575 | McDonald's Corp. | 2,692,011 | ||||||||
798 | O'Reilly Automotive, Inc. (a) | 749,881 | ||||||||
4,502 | Ross Stores, Inc. | 548,389 | ||||||||
15,058 | Starbucks Corp. (e) | 1,467,252 | ||||||||
6,006 | Target Corp. (e) | 760,059 | ||||||||
15,114 | TJX Cos., Inc. (e) | 1,397,743 | ||||||||
1,443 | Tractor Supply Co. | 315,295 | ||||||||
667 | Ulta Beauty, Inc. (a) | 276,825 | ||||||||
9,381 | Walgreens Boots Alliance, Inc. | 237,433 | ||||||||
18,350 | Walmart, Inc. | 2,983,894 | ||||||||
3,681 | Yum! Brands, Inc. | 476,248 | ||||||||
24,454,083 | ||||||||||
Retail Trade - 0.1% | ||||||||||
2,961 | Bath & Body Works, Inc. | 109,172 | ||||||||
1,634 | Etsy, Inc. (a) | 120,213 | ||||||||
229,385 | ||||||||||
Semiconductors - 7.2% | ||||||||||
21,085 | Advanced Micro Devices, Inc. (a)(e) | 2,229,106 | ||||||||
6,639 | Analog Devices, Inc. (e) | 1,206,838 | ||||||||
11,041 | Applied Materials, Inc. (e) | 1,686,623 | ||||||||
5,451 | Broadcom, Inc. (e) | 5,030,673 | ||||||||
54,611 | Intel Corp. | 1,919,031 | ||||||||
1,796 | KLA Corp. (e) | 901,359 | ||||||||
1,766 | Lam Research Corp. (e) | 1,240,438 | ||||||||
7,188 | Microchip Technology, Inc. | 588,266 | ||||||||
14,278 | Micron Technology, Inc. (e) | 998,603 | ||||||||
32,366 | NVIDIA Corp. (e) | 15,974,239 | ||||||||
1,308 | Qorvo, Inc. (a) | 140,466 | ||||||||
14,601 | QUALCOMM, Inc. (e) | 1,672,253 | ||||||||
2,087 | Skyworks Solutions, Inc. | 226,940 | ||||||||
11,864 | Texas Instruments, Inc. (e) | 1,993,864 | ||||||||
35,808,699 | ||||||||||
Shipbuilding - 0.0% (b) | ||||||||||
518 | Huntington Ingalls Industries, Inc. | 114,126 | ||||||||
Software - 10.4% | ||||||||||
9,319 | Activision Blizzard, Inc. (e) | 857,255 | ||||||||
6,008 | Adobe, Inc. (a) | 3,360,515 | ||||||||
1,996 | Akamai Technologies, Inc. (a) | 209,760 | ||||||||
1,139 | ANSYS, Inc. (a) | 363,193 | ||||||||
2,829 | Autodesk, Inc. (a)(e) | 627,868 | ||||||||
1,537 | Broadridge Financial Solutions, Inc. | 286,205 | ||||||||
3,590 | Cadence Design Systems, Inc. (a) | 863,179 | ||||||||
3,406 | Electronic Arts, Inc. | 408,652 | ||||||||
7,728 | Fidelity National Information Services, Inc. (e) | 431,686 | ||||||||
8,107 | Fiserv, Inc. (a) | 984,109 | ||||||||
3,678 | Intuit, Inc. (e) | 1,992,777 | ||||||||
952 | Jack Henry & Associates, Inc. | 149,254 | ||||||||
97,355 | Microsoft Corp. (e) | 31,909,075 | ||||||||
1,051 | MSCI, Inc. (e) | 571,344 | ||||||||
20,207 | Oracle Corp. | 2,432,721 | ||||||||
4,191 | Paychex, Inc. | 512,266 | ||||||||
633 | Paycom Software, Inc. | 186,634 | ||||||||
12,832 | salesforce.com, Inc. (a) | 2,841,775 | ||||||||
2,669 | ServiceNow, Inc. (a)(e) | 1,571,587 | ||||||||
1,993 | Synopsys, Inc. (a)(e) | 914,568 | ||||||||
2,074 | Take-Two Interactive Software, Inc. (a) | 294,923 | ||||||||
545 | Tyler Technologies, Inc. (a) | 217,144 | ||||||||
51,986,490 | ||||||||||
Telecommunications - 1.8% | ||||||||||
3,238 | Arista Networks, Inc. (a) | 632,155 | ||||||||
93,144 | AT&T, Inc. | 1,377,600 | ||||||||
53,638 | Cisco Systems, Inc. | 3,076,139 | ||||||||
9,959 | Corning, Inc. | 326,854 | ||||||||
4,198 | Juniper Networks, Inc. | 122,246 | ||||||||
2,188 | Motorola Solutions, Inc. | 620,451 | ||||||||
7,520 | T-Mobile US, Inc. (a)(e) | 1,024,600 | ||||||||
54,965 | Verizon Communications, Inc. | 1,922,676 | ||||||||
9,102,721 | ||||||||||
Textiles - 0.0% (b) | ||||||||||
668 | Mohawk Industries, Inc. (a) | 67,729 | ||||||||
Toys/Games/Hobbies - 0.0% (b) | ||||||||||
1,658 | Hasbro, Inc. | 119,376 | ||||||||
Transportation - 1.3% | ||||||||||
1,538 | CH Robinson Worldwide, Inc. | 139,081 | ||||||||
26,641 | CSX Corp. (e) | 804,558 | ||||||||
2,002 | Expeditors International of Washington, Inc. | 233,653 | ||||||||
3,036 | FedEx Corp. (e) | 792,457 | ||||||||
1,084 | JB Hunt Transport Services, Inc. | 203,662 | ||||||||
2,985 | Norfolk Southern Corp. (e) | 611,955 | ||||||||
1,183 | Old Dominion Freight Line, Inc. | 505,579 | ||||||||
8,005 | Union Pacific Corp. (e) | 1,765,663 | ||||||||
9,500 | United Parcel Service, Inc. (e) | 1,609,300 | ||||||||
6,665,908 | ||||||||||
Utilities - 0.1% | ||||||||||
4,264 | Constellation Energy Corp. | 444,138 | ||||||||
1,293 | First Solar, Inc. (a) | 244,532 | ||||||||
688,670 | ||||||||||
Water - 0.1% | ||||||||||
2,521 | American Water Works Co., Inc. | 349,764 | ||||||||
Wholesale Trade - 0.0% (b) | ||||||||||
510 | Pool Corp. | 186,456 | ||||||||
TOTAL COMMON STOCKS (Cost - $417,772,541) | 492,819,055 | |||||||||
Contracts | Notional Amount | |||||||||
PURCHASED OPTIONS - 1.1% (a)(c)(f) | ||||||||||
PURCHASED PUT OPTIONS - 1.1% | ||||||||||
S&P 500 Index | ||||||||||
360 | Expiration: September 2023, Exercise Price $4,375 | 162,275,760 | 239,400 | |||||||
365 | Expiration: October 2023, Exercise Price $4,550 | 164,529,590 | 3,025,850 | |||||||
365 | Expiration: November 2023, Exercise Price $4,375 | 164,529,590 | 1,905,300 | |||||||
TOTAL PURCHASED OPTIONS (Cost - $10,410,759) | 5,170,550 | |||||||||
SHORT TERM INVESTMENTS - 1.0% | ||||||||||
Money Market Funds - 1.0% | ||||||||||
4,975,167 | First American Treasury Obligations Fund, Class X, 5.26% (d) | 4,975,167 | ||||||||
TOTAL SHORT TERM INVESTMENTS (Cost - $4,975,167) | 4,975,167 | |||||||||
INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING - 0.0% (b) | ||||||||||
110,526 | First American Government Obligations Fund, Class X, 5.18% (d) | 110,526 | ||||||||
TOTAL INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING (Cost - $110,526) | 110,526 | |||||||||
TOTAL INVESTMENTS - 100.8% (Cost - $433,268,993) | 503,075,298 | |||||||||
Liabilities in Excess of Other Assets - (0.8)% | (3,826,190 | ) | ||||||||
NET ASSETS - 100.0% | $ | 499,249,108 | ||||||||
Contracts | Notional Value | Value | ||||||||
SCHEDULE OF WRITTEN OPTIONS - (0.9)% (a)(c) | ||||||||||
WRITTEN CALL OPTIONS - (0.6)% | ||||||||||
S&P 500 Index | ||||||||||
360 | Expiration: September 2023, Exercise Price $4,575 | $ | 162,275,760 | $ | 516,600 | |||||
365 | Expiration: October 2023, Exercise Price $4,750 | 164,529,590 | 326,675 | |||||||
365 | Expiration: November 2023, Exercise Price $4,625 | 164,529,590 | 2,388,925 | |||||||
TOTAL WRITTEN CALL OPTIONS (Premiums Received $5,263,545) | 3,232,200 | |||||||||
WRITTEN PUT OPTIONS - (0.3)% | ||||||||||
S&P 500 Index | ||||||||||
360 | Expiration: September 2023, Exercise Price $4,050 | 162,275,760 | 45,900 | |||||||
365 | Expiration: October 2023, Exercise Price $4,225 | 164,529,590 | 604,075 | |||||||
365 | Expiration: November 2023, Exercise Price $4,025 | 164,529,590 | 602,250 | |||||||
TOTAL WRITTEN PUT OPTIONS (Premiums Received $3,961,581) | 1,252,225 | |||||||||
TOTAL OPTIONS WRITTEN (Premiums Received $9,225,126) | $ | 4,484,425 | ||||||||
Percentages are stated as a percent of net assets. | ||||||||||
(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 August 31, 2023. | |||||||||
(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 $75,669,101, which is 15.2% of total net assets. | |||||||||
(f) | Held in connection with a written option, see Schedule of Written Options for more details. | |||||||||
(g) | All or a portion of this security is out on loan as of August 31, 2023. | |||||||||
(h) | Value determined using significant unobservable inputs. Classified as Level 3 in the fair value hierarchy. | |||||||||
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NPORT-P Filing
Horizon Funds NPORT-PHorizon Defined Risk Fund (Aug 2023 report)
Filed: 30 Oct 23, 12:38pm