UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-23063
Horizon Funds
(Exact name of registrant as specified in charter)
6210 Ardrey Kell Road, Suite 300
Charlotte, North Carolina 28277
(Address of principal executive offices) (Zip code)
Matthew Chambers
Horizon Funds
6210 Ardrey Kell Road, Suite 300
Charlotte, North Carolina 28277
(Name and address of agent for service)
(866) 371-2399
Registrant's telephone number, including area code
Date of fiscal year end: November 30, 2018
Date of reporting period: May 31, 2018
Item 1. Reports to Stockholders.
HORIZON FUNDS | Semi-Annual Report |
Horizon Active Asset Allocation Fund | ||
Investor Class | Shares | AAANX |
Advisor Class | Shares | HASAX |
Institutional Class | Shares | HASIX |
Horizon Active Risk Assist® Fund | ||
Investor Class | Shares | ARANX |
Advisor Class | Shares | ARAAX |
Institutional Class | Shares | ACRIX |
Horizon Active Income Fund | ||
Investor Class | Shares | AIMNX |
Advisor Class | Shares | AIHAX |
Institutional Class | Shares | AIRIX |
Horizon Active Dividend Fund | ||
Investor Class | Shares | HNDDX |
Advisor Class | Shares | HADUX |
Horizon Defined Risk Fund | ||
Investor Class | Shares | HNDRX |
Advisor Class | Shares | HADRX |
May 31, 2018 |
Investor Information: 1-855-754-7932
This report and the financial statements contained herein are submitted for the general information of shareholders and are not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus. Nothing herein contained is to be considered an offer of sale or solicitation of an offer to buy shares of HORIZON ACTIVE ASSET ALLOCATION FUND, HORIZON ACTIVE RISK ASSIST® FUND, HORIZON ACTIVE INCOME FUND, HORIZON ACTIVE DIVIDEND FUND, and HORIZON DEFINED RISK FUND. Such offering is made only by prospectus, which includes details as to offering price and other material information.
Member FINRA
Horizon Funds |
Table of Contents | |
Portfolio Review | 1 |
Portfolio Composition | 6 |
Portfolio of Investments | 8 |
Statements of Assets and Liabilities | 43 |
Statements of Operations | 45 |
Statements of Changes in Net Assets | 47 |
Financial Highlights | 52 |
Notes to Financial Statements | 65 |
Disclosure of Fund Expenses | 81 |
Approval of the Management Agreements | 82 |
Additional Information | 83 |
Horizon Active Asset Allocation Fund |
The Fund’s performance figures* for the periods ended May 31, 2018, compared to its benchmarks:
Annualized Total Returns | One Year | Three Year | Five Year | Since Commencement of Operations (1) |
Horizon Active Asset Allocation Fund - Investor Class | 13.22% | 7.14% | 8.21% | 9.50% |
Horizon Active Asset Allocation Fund - Advisor Class | 13.07% | N/A | N/A | 11.82% |
Horizon Active Asset Allocation Fund - Institutional Class | 13.38% | N/A | N/A | 15.81% |
S&P 500 Total Return Index | 14.38% | 10.97% | 12.98% | 14.51%(2) |
S&P Global BMI ex-US Index | 10.48% | 5.41% | 6.14% | 7.13%(2) |
(1) | Inception date is January 31, 2012 for Investor Class Shares, September 4, 2015 for Advisor Class Shares and September 9, 2016 for Institutional Class Shares. |
(2) | The Since Commencement of Operations returns shown are from the commencement date of Horizon Active Asset Allocation Fund - Investor Class. The returns for the S&P 500 Total Return Index and S&P Global BMI ex-US Index since the commencement date of the Horizon Active Asset Allocation Fund - Advisor Class are 15.69% and 11.73%, respectively. The returns for the S&P 500 Total Return Index and S&P Global BMI ex-US Index since the commencement date of the Horizon Active Asset Allocation Fund - Institutional Class are 17.29% and 13.17%, respectively. |
* | The Performance data quoted is historical. Past performance is no guarantee of future results. Current performance may be higher or lower than the performance data quoted. The principal value and investment return of an investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. The returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemptions of Fund shares. Performance figures for periods greater than one year are annualized. The total operating expense ratio (including indirect expenses), as stated in the Fund’s latest Prospectus, is 1.50% for Investor Class shares, 1.65% for Advisor Class shares and 1.40% for Institutional Class shares. For performance information current to the most recent month-end, please call 1-855-754-7932. |
The S&P 500 Total Return Index is an unmanaged market capitalization-weighted index which is comprised of the largest U.S. domiciled companies and includes the reinvestment of all dividends. Investors cannot invest directly in an index or benchmark.
The S&P Global BMI ex-US Index is a comprehensive, rules-based index that represents the composition of global stock markets. Investors cannot invest directly in an index or benchmark.
1
Horizon Active Risk Assist Fund |
The Fund’s performance figures* for the periods ended May 31, 2018, compared to its benchmarks:
| One Year | Three Year | Since Commencement of Operations (1) |
Horizon Active Risk Assist Fund - Investor Class | 10.77% | 4.96% | 4.92% |
Horizon Active Risk Assist Fund - Advisor Class | 10.61% | N/A | 8.81% |
Horizon Active Risk Assist Fund - Institutional Class | 10.82% | N/A | 13.20% |
Bloomberg Barclays Aggregate Bond Index | -0.37% | 1.39% | 1.67%(2) |
S&P 500 Total Return Index | 14.38% | 10.97% | 10.60%(2) |
S&P Global BMI ex-US Index | 10.48% | 5.41% | 3.91%(2) |
(1) | Inception date is August 28, 2014 for Investor Class Shares, September 4, 2015 for Advisor Class Shares and September 9, 2016 for Institutional Class Shares. |
(2) | The Since Commencement of Operations returns shown are from the commencement date of Horizon Active Risk Assist Fund - Investor Class. The returns for the Bloomberg Barclays Aggregate Bond Index, S&P 500 Total Return Index, and S&P Global BMI ex-US Index since the commencement date of the Horizon Active Risk Assist Fund - Advisor Class are 1.60%, 15.69%, and 11.73%, respectively. The returns for the Bloomberg Barclays Aggregate Bond Index, S&P 500 Total Return Index, and S&P Global BMI ex-US Index since the commencement date of the Horizon Active Risk Assist Fund - Institutional Class are -0.33%, 17.29%, and 13.17%, respectively. |
* | The Performance data quoted is historical. Past performance is no guarantee of future results. Current performance may be higher or lower than the performance data quoted. The principal value and investment return of an investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. The returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemptions of Fund shares. Performance figures for periods greater than one year are annualized. The estimated total operating expense ratio (including indirect expenses), as stated in the Fund’s latest Prospectus, is 1.48% for Investor Class shares, 1.63% for Advisor Class shares and 1.38% for Institutional Class shares. For performance information current to the most recent month-end, please call 1-855-754-7932. |
The Bloomberg Barclays Aggregate Bond Index is a market-capitalization-weighted index that covers the USD denominated, investment-grade (rated Baa3 or above by Moody’s), fixed-rate, and taxable areas of the bond market. Investors cannot invest directly in an index or benchmark.
The S&P 500 Total Return Index is an unmanaged market capitalization-weighted index which is comprised of the largest U.S. domiciled companies and includes the reinvestment of all dividends. Investors cannot invest directly in an index or benchmark.
The S&P Global BMI ex-US Index is a comprehensive, rules-based index that represents the composition of global stock markets. Investors cannot invest directly in an index or benchmark.
2
Horizon Active Income Fund |
The Fund’s performance figures* for the periods ended May 31, 2018, compared to its benchmarks:
| One Year | Three Year | Since Commencement of Operations (1) |
Horizon Active Income Fund - Investor Class | -1.85% | -0.48% | 0.31% |
Horizon Active Income Fund - Advisor Class | -2.02% | N/A | 0.09% |
Horizon Active Income Fund - Institutional Class | -1.83% | N/A | -1.27%(2) |
Bloomberg Barclays Aggregate Bond Index | -0.37% | 1.39% | 2.34%(2) |
(1) | Inception date is September 30, 2013 for Investor Class Shares, February 8, 2016 for Advisor Class Shares and September 9, 2016 for Institutional Class Shares. |
(2) | The Since Commencement of Operations returns shown are from the commencement date of Horizon Active Income Fund - Investor Class. The returns for the Bloomberg Barclays Aggregate Bond Index since the commencement date of the Horizon Active Income Fund - Advisor Class and the Horizon Active Income Fund - Institutional Class are 1.12% and -0.33%, respectively. |
* | The Performance data quoted is historical. Past performance is no guarantee of future results. Current performance may be higher or lower than the performance data quoted. The principal value and investment return of an investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. The returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemptions of Fund shares. Performance figures for periods greater than one year are annualized. The total operating expense ratio (including indirect expenses), as stated in the Fund’s latest Prospectus, is 1.47% for Investor Class shares, 1.62% for Advisor Class shares and 1.37% for Institutional Class shares. For performance information current to the most recent month-end, please call 1-855-754-7932. |
The Bloomberg Barclays Aggregate Bond Index is a market-capitalization-weighted index that covers the USD denominated, investment-grade (rated Baa3 or above by Moody’s), fixed-rate, and taxable areas of the bond market. Investors cannot invest directly in an index or benchmark.
3
Horizon Active Dividend Fund |
The Fund’s performance figures* for the periods ended May 31, 2018, compared to its benchmarks:
| One Year | Since Commencement of Operations (1) |
Horizon Active Dividend Fund - Investor Class | 14.56% | 15.85% |
Horizon Active Dividend Fund - Advisor Class | N/A | 12.69% |
S&P Global 100 Index | 11.06% | 15.91%(2) |
(1) | Inception date is December 28, 2016 for Investor Class Shares and June 20, 2017 for Advisor Class Shares. |
(2) | The Since Commencement of Operations returns shown are from the commencement date of Horizon Active Dividend Fund - Investor Class. The return for the S&P Global 100 Index since the commencement date of the Horizon Active Dividend Fund - Advisor Class is 10.64%. |
* | The Performance data quoted is historical. Past performance is no guarantee of future results. Current performance may be higher or lower than the performance data quoted. The principal value and investment return of an investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. The returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemptions of Fund shares. Performance figures for periods greater than one year are annualized. The total operating expense ratio (including indirect expenses), as stated in the Fund’s latest Prospectus, is 1.12% for Investor Class shares and 1.27% for Advisor Class shares. For performance information current to the most recent month-end, please call 1-855-754-7932. |
The S&P Global 100 Index measures the performance of multi-national, blue chip companies of major importance in the global equity markets. Investors cannot invest directly in an index or benchmark.
4
Horizon Defined Risk Fund |
The Fund’s performance figures* for the periods ended May 31, 2018, compared to its benchmarks:
| Since Commencement of Operations (Cumulative) (1) |
Horizon Defined Risk Fund - Investor Class | -0.72% |
Horizon Defined Risk Fund - Advisor Class | -1.86% |
Bloomberg Barclays US Treasury 1-3 Years Index | 0.09%(2) |
S&P 500 Total Return Index | 1.50%(2) |
(1) | Inception date is December 28, 2017 for Investor Class Shares and February 2, 2018 for Advisor Class Shares. |
(2) | The Since Commencement of Operations returns shown are from the commencement date of Horizon Defined Risk Fund - Investor Class. The returns for the Bloomberg Barclays US Treasury 1-3 Years Index and the S&P 500 Total Return Index since the commencement date of the Horizon Defined Risk Fund - Advisor Class are 0.38%, and -1.37%, respectively. |
* | The Performance data quoted is historical. Past performance is no guarantee of future results. Current performance may be higher or lower than the performance data quoted. The principal value and investment return of an investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. The returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemptions of Fund shares. Performance figures for periods greater than one year are annualized. The total operating expense ratio (including indirect expenses), as stated in the Fund’s latest Prospectus, is 1.09% for Investor Class shares and 1.24% for Advisor Class shares. For performance information current to the most recent month-end, please call 1-855-754-7932. |
The Bloomberg Barclays U S Treasury 1-3 Years Index measures the performance of the US government bond market and includes public obligations of the U.S. Treasury with a maturity between 1 and up to (but not including) 3 years. Investors cannot invest directly in an index or benchmark.
The S&P 500 Total Return Index is an unmanaged market capitalization-weighted index which is comprised of the largest U.S. domiciled companies and includes the reinvestment of all dividends. Investors cannot invest directly in an index or benchmark.
5
Horizon Funds |
Horizon Active Asset Allocation Fund Portfolio Composition as of May 31, 2018:
% of Net Assets | |
Equity Funds | 97.1% |
Purchased Call Options | 0.3% |
Purchased Put Options | 0.5% |
Short-Term Investments | 2.1% |
Investments Purchased With Proceeds From Securities Lending | 2.2% |
Liabilities in Excess of Other Assets | -2.2% |
100.0% |
Horizon Active Risk Assist Fund Portfolio Composition as of May 31, 2018:
% of Net Assets | |
Bond Funds | 9.1% |
Equity Funds | 80.8% |
Common Stocks | 6.8% |
Purchased Call Options | 0.2% |
Purchased Put Options | 0.3% |
Short-Term Investments | 2.6% |
Investments Purchased With Proceeds From Securities Lending | 5.0% |
Liabilities in Excess of Other Assets | -4.8% |
100.0% |
Horizon Active Income Fund Portfolio Composition as of May 31, 2018:
% of Net Assets | |
Bond Funds | 83.5% |
Equity Funds | 7.9% |
Preferred Stocks | 3.6% |
Convertible Preferred Stocks | 0.8% |
Purchased Call Options | 0.2% |
Purchased Put Options | 0.0%^ |
Short-Term Investments | 1.8% |
Investments Purchased With Proceeds From Securities Lending | 20.3% |
Liabilities in Excess of Other Assets | -18.1% |
100.0% |
6
Horizon Funds |
Horizon Active Dividend Fund Portfolio Composition as of May 31, 2018:
% of Net Assets | |
Common Stocks | 89.0% |
Short-Term Investments | 13.0% |
Investments Purchased With Proceeds From Securities Lending | 1.9% |
Liabilities in Excess of Other Assets | -3.9% |
100.0% |
Horizon Defined Risk Fund Portfolio Composition as of May 31, 2018:
% of Net Assets | |
Common Stocks | 97.2% |
Purchased Put Options | 1.3% |
Short-Term Investments | 2.3% |
Liabilities in Excess of Other Assets | -0.8% |
100.0% |
Please refer to the Portfolio of Investments in this semi-annual report for a detailed analysis of the Funds’ holdings.
^ | Less than 0.1% |
7
Horizon Active Asset Allocation Fund |
Shares | Value | |||||||||||
EXCHANGE TRADED FUNDS - 97.1% | ||||||||||||
Equity Fund - 97.1% | ||||||||||||
800,885 | iShares Edge MSCI USA Momentum Factor ETF | $ | 88,193,456 | |||||||||
1,056,815 | iShares Edge MSCI USA Quality Factor ETF (a) | 88,592,801 | ||||||||||
599,692 | iShares Exponential Technologies ETF (c) | 21,990,706 | ||||||||||
112,583 | iShares U.S. Medical Devices ETF (c) | 22,284,679 | ||||||||||
1,594,881 | SPDR EURO STOXX 50 ETF (c) | 63,173,237 | ||||||||||
578,186 | SPDR Portfolio Emerging Markets ETF | 21,444,919 | ||||||||||
1,268,087 | SPDR Portfolio S&P 500 Growth ETF (a) | 44,446,449 | ||||||||||
739,893 | SPDR Portfolio S&P 500 Value ETF | 21,915,631 | ||||||||||
183,138 | SPDR S&P 600 Small Cap Growth ETF (c) | 45,784,500 | ||||||||||
299,402 | Vanguard FTSE Pacific ETF | 21,673,711 | ||||||||||
TOTAL EXCHANGE TRADED FUNDS (Cost - $436,094,569) | 439,500,089 | |||||||||||
Contracts | Notional Amount | |||||||||||
PURCHASED OPTIONS - 0.8% * | ||||||||||||
PURCHASED CALL OPTIONS - 0.3% * | ||||||||||||
Bank of America Corp. | ||||||||||||
3,450 | Expiration: July 2018, Exercise Price $31 ** | 10,018,800 | 113,850 | |||||||||
CBOE S&P 500 Volatility | ||||||||||||
300 | Expiration: June 2018, Exercise Price $20 ** | 462,900 | 18,000 | |||||||||
Citigroup, Inc. | ||||||||||||
1,500 | Expiration: July 2018, Exercise Price $70 ** | 10,003,500 | 153,000 | |||||||||
Consumer Staples Select Sector SPDR Fund | ||||||||||||
5,000 | Expiration: June 2018, Exercise Price $51 ** | 24,830,000 | 35,000 | |||||||||
Financial Select Sector SPDR Fund | ||||||||||||
10,500 | Expiration: June 2018, Exercise Price $28.50 ** | 28,539,000 | 47,250 | |||||||||
iShares 20+ Year Treasury Bond ETF | ||||||||||||
2,550 | Expiration: September 2018, Exercise Price $122 ** | 30,911,100 | 567,375 | |||||||||
iShares MSCI EAFE ETF | ||||||||||||
4,500 | Expiration: June 2018, Exercise Price $74 ** | 31,230,000 | 13,500 | |||||||||
4,250 | Expiration: July 2018, Exercise Price $74 ** | 29,495,000 | 23,375 | |||||||||
4,250 | Expiration: July 2018, Exercise Price $75 ** | 29,495,000 | 12,750 | |||||||||
iShares US Real Estate ETF | ||||||||||||
2,000 | Expiration: June 2018, Exercise Price $78 ** | 15,638,000 | 80,000 | |||||||||
Morgan Stanley | ||||||||||||
1,950 | Expiration: July 2018, Exercise Price $55 ** | 9,777,300 | 70,200 | |||||||||
PowerShares QQQ Trust Series 1 | ||||||||||||
2,000 | Expiration: June 2018, Exercise Price $176 ** | 34,014,000 | 27,000 | |||||||||
S&P 500 Index | ||||||||||||
100 | Expiration: June 2018, Exercise Price $2,705 ** | 27,052,700 | 92,000 | |||||||||
150 | Expiration: June 2018, Exercise Price $2,710 ** | 40,579,050 | 87,750 | |||||||||
SPDR S&P 500 ETF Trust | ||||||||||||
3,000 | Expiration: June 2018, Exercise Price $280 ** | 81,282,000 | 28,500 |
See accompanying notes to financial statements.
8
Horizon Active Asset Allocation Fund |
Contracts | Notional Amount | Value | ||||||||||
SPDR S&P Oil & Gas Exploration & Production ETF | ||||||||||||
500 | Expiration: June 2018, Exercise Price $45 ** | 2,112,500 | $ | 10,250 | ||||||||
VanEck Vectors Semiconductor ETF | ||||||||||||
2,500 | Expiration: June 2018, Exercise Price $111 ** | 26,797,500 | 116,250 | |||||||||
Wells Fargo & Co. | ||||||||||||
1,800 | Expiration: July 2018, Exercise Price $57.50 ** | 9,718,200 | 108,000 | |||||||||
WisdomTree Japan Hedged Equity Fund | ||||||||||||
5,000 | Expiration: August 2018, Exercise Price $65 | 27,760,000 | 15,000 | |||||||||
TOTAL PURCHASED CALL OPTIONS (Cost - $2,956,576) | 1,619,050 | |||||||||||
PURCHASED PUT OPTIONS - 0.5% * | ||||||||||||
CBOE S&P 500 Volitility | ||||||||||||
2,500 | Expiration: June 2018, Exercise Price $10.50 ** | 3,857,500 | 6,250 | |||||||||
Consumer Staples Select Sector SPDR Fund | ||||||||||||
3,000 | Expiration: September 2018, Exercise Price $46 ** | 14,898,000 | 144,000 | |||||||||
iShares Latin America 40 ETF | ||||||||||||
3,000 | Expiration: June 2018, Exercise Price $31 ** | 9,417,000 | 150,000 | |||||||||
iShares MSCI Brazil ETF | ||||||||||||
3,500 | Expiration: June 2018, Exercise Price $35 ** | 12,467,000 | 201,250 | |||||||||
iShares MSCI Emerging Markets ETF | ||||||||||||
5,000 | Expiration: June 2018, Exercise Price $45 ** | 22,845,000 | 195,000 | |||||||||
iShares MSCI Europe Financials ETF | ||||||||||||
3,000 | Expiration: June 2018, Exercise Price $21 ** | 6,441,000 | 75,000 | |||||||||
iShares MSCI Mexico ETF | ||||||||||||
2,000 | Expiration: June 2018, Exercise Price $44 ** | 8,936,000 | 120,000 | |||||||||
iShares MSCI Turkey ETF | ||||||||||||
4,500 | Expiration: June 2018, Exercise Price $30 ** | 14,805,000 | 157,500 | |||||||||
iShares US Real Estate ETF | ||||||||||||
2,000 | Expiration: June 2018, Exercise Price $78 ** | 15,638,000 | 42,000 | |||||||||
PowerShares DB US Dollar Index Bullish Fund | ||||||||||||
4,000 | Expiration: June 2018, Exercise Price $23 ** | 9,904,000 | 2,000 | |||||||||
4,000 | Expiration: June 2018, Exercise Price $24 ** | 9,904,000 | 6,000 | |||||||||
S&P 500 Index | ||||||||||||
100 | Expiration: June 2018, Exercise Price $2,705 ** | 27,052,700 | 72,000 | |||||||||
SPDR EURO STOXX 50 ETF | ||||||||||||
8,000 | Expiration: July 2018, Exercise Price $39 ** | 31,688,000 | 804,000 | |||||||||
SPDR S&P 500 ETF Trust | ||||||||||||
2,000 | Expiration: June 2018, Exercise Price $262 ** | 54,188,000 | 3,000 | |||||||||
SPDR S&P Oil & Gas Exploration & Production ETF | ||||||||||||
4,300 | Expiration: June 2018, Exercise Price $39 ** | 18,167,500 | 81,700 | |||||||||
TOTAL PURCHASED PUT OPTIONS (Cost - $3,063,015) | 2,059,700 | |||||||||||
TOTAL PURCHASED OPTIONS (Cost - $6,019,591) | 3,678,750 |
See accompanying notes to financial statements.
9
Horizon Active Asset Allocation Fund |
Shares | Value | |||||||||||
SHORT-TERM INVESTMENTS - 2.1% | ||||||||||||
9,382,186 | Invesco Advisers, Inc. STIT - Liquid Assets Portfolio - Institutional Class, 1.64% + | $ | 9,382,186 | |||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost - $9,382,186) | 9,382,186 | |||||||||||
INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING - 2.2% | ||||||||||||
9,989,025 | First American Government Obligations Fund, Class Z, 1.60% + (b) | 9,989,025 | ||||||||||
TOTAL INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING (Cost - $9,989,025) | 9,989,025 | |||||||||||
TOTAL INVESTMENTS - 102.2% (Cost - $461,485,371) | 462,550,050 | |||||||||||
Liabilities In Excess Of Other Assets - (2.2)% | (10,157,681 | ) | ||||||||||
NET ASSETS - 100.0% | $ | 452,392,369 | ||||||||||
| Notional Amount | |||||||||||
SCHEDULE OF WRITTEN OPTIONS - (0.4)% * | ||||||||||||
SCHEDULE OF WRITTEN CALL OPTIONS - (0.1)% * | ||||||||||||
3,450 | Bank of America Corp. | |||||||||||
Expiration: August 2018, Exercise Price $33 ** | 10,018,800 | $ | 55,200 | |||||||||
1,500 | Citigroup, Inc. | |||||||||||
Expiration: August 2018, Exercise Price $75 ** | 10,003,500 | 45,000 | ||||||||||
7,000 | Financial Select Sector SPDR Fund | |||||||||||
Expiration: June 2018, Exercise Price $28.50 ** | 19,026,000 | 10,500 | ||||||||||
1,950 | Morgan Stanley | |||||||||||
Expiration: August 2018, Exercise Price $57.50 ** | 9,777,300 | 42,900 | ||||||||||
2,000 | PowerShares QQQ Trust Series 1 | |||||||||||
Expiration: June 2018, Exercise Price $179 ** | 34,014,000 | 9,000 | ||||||||||
3,000 | SPDR S&P 500 ETF Trust | |||||||||||
Expiration: June 2018, Exercise Price $285 ** | 81,282,000 | 7,500 | ||||||||||
1,800 | Wells Fargo & Co. | |||||||||||
Expiration: August 2018, Exercise Price $60 ** | 9,718,200 | 66,600 | ||||||||||
TOTAL WRITTEN CALL OPTIONS (Premiums Received - $420,965) | 236,700 | |||||||||||
SCHEDULE OF WRITTEN PUT OPTIONS - (0.3)% * | ||||||||||||
Consumer Staples Select Sector SPDR Fund | ||||||||||||
5,000 | Expiration: June 2018, Exercise Price $47 ** | 24,830,000 | 45,000 | |||||||||
6,000 | Expiration: September 2018, Exercise Price $42 ** | 29,796,000 | 117,000 | |||||||||
5,000 | iShares MSCI Emerging Markets ETF | |||||||||||
Expiration: June 2018, Exercise Price $45 ** | 22,845,000 | 100,000 |
See accompanying notes to financial statements.
10
Horizon Active Asset Allocation Fund |
Contracts | Value | |||||||||||
2,500 | iShares Russell 2000 ETF | |||||||||||
Expiration: July 2018, Exercise Price $159 ** | 40,692,500 | $ | 512,500 | |||||||||
8,000 | SPDR EURO STOXX 50 ETF | |||||||||||
Expiration: July 2018, Exercise Price $36 ** | 31,688,000 | 240,000 | ||||||||||
SPDR S&P 500 ETF Trust | ||||||||||||
2,000 | Expiration: June 2018, Exercise Price $259 ** | 54,188,000 | 1,000 | |||||||||
1,000 | Expiration: July 2018, Exercise Price $242 ** | 27,094,000 | 73,000 | |||||||||
5,000 | WisdomTree Japan Hedged Equity Fund | |||||||||||
Expiration: August 2018, Exercise Price $49 ** | 27,760,000 | 135,000 | ||||||||||
TOTAL WRITTEN PUT OPTIONS (Premiums Received - $2,047,406) | 1,223,500 | |||||||||||
TOTAL WRITTEN OPTIONS (Premiums Received - $2,468,371) | $ | 1,460,200 |
* | Each Option is exercisable into 100 shares of the underlying security. |
** | Non-income producing security. |
+ | Money Market Fund; interest rate reflects seven-day yield on May 31, 2018. |
(a) | All or a portion of the security is segregated as collateral for options written. The value of the securities segregrated as collateral for options written is $28,073,532. |
(b) | Investments purchased with cash proceeds from securities lending. Total cash collateral has a value of $9,989,025 as of May 31, 2018. |
(c) | All or a portion of this security is out on loan as of May 31, 2018. Total value of securities out on loan is $9,703,804. |
See accompanying notes to financial statements.
11
Horizon Active Risk Assist Fund |
Shares | Value | |||||||
EXCHANGE TRADED FUNDS - 89.9% | ||||||||
Bond Funds - 9.1% | ||||||||
459,135 | iShares Short Treasury Bond ETF (c) | $ | 50,693,095 | |||||
Equity Funds - 80.8% | ||||||||
881,789 | iShares Edge MSCI USA Momentum Factor ETF (c) | 97,102,605 | ||||||
1,164,114 | iShares Edge MSCI USA Quality Factor ETF (a) | 97,587,676 | ||||||
124,071 | iShares U.S. Medical Devices ETF | 24,558,614 | ||||||
1,756,537 | SPDR EURO STOXX 50 ETF (c) | 69,576,430 | ||||||
637,185 | SPDR Portfolio Emerging Markets ETF | 23,633,192 | ||||||
1,046,815 | SPDR Portfolio S&P 500 Growth ETF | 36,690,866 | ||||||
244,011 | SPDR Portfolio S&P 500 Value ETF | 7,227,606 | ||||||
241,967 | SPDR S&P 600 Small Cap Growth ETF (c) | 60,491,750 | ||||||
461,813 | Vanguard FTSE Pacific ETF | 33,430,643 | ||||||
450,299,382 | ||||||||
TOTAL EXCHANGE TRADED FUNDS (Cost - $502,615,430) | 500,992,477 | |||||||
COMMON STOCKS - 6.8% | ||||||||
Advertising - 0.0% ^ | ||||||||
5,733 | Interpublic Group of Cos., Inc. | 129,566 | ||||||
948 | Omnicom Group, Inc. | 68,332 | ||||||
197,898 | ||||||||
Aerospace/Defense - 0.1% | ||||||||
4,579 | Arconic, Inc. | 80,819 | ||||||
392 | Harris Corp. | 58,984 | ||||||
359 | L3 Technologies, Inc. | 71,201 | ||||||
240 | TransDigm Group, Inc. | 80,186 | ||||||
291,190 | ||||||||
Agriculture - 0.0% ^ | ||||||||
1,153 | Archer-Daniels-Midland Co. | 50,409 | ||||||
Airlines - 0.1% | ||||||||
2,416 | Alaska Air Group, Inc. | 146,917 | ||||||
909 | American Airlines Group, Inc. | 39,578 | ||||||
546 | Delta Air Lines, Inc. | 29,511 | ||||||
600 | Southwest Airlines Co. | 30,648 | ||||||
872 | United Continental Holdings, Inc. ** | 60,683 | ||||||
307,337 | ||||||||
Apparel - 0.2% | ||||||||
8,869 | Hanesbrands, Inc. | 161,682 | ||||||
1,886 | Michael Kors Holdings Ltd. ** | 108,238 | ||||||
708 | PVH Corp. | 113,280 | ||||||
1,156 | Ralph Lauren Corp., Class A (c) | 155,574 | ||||||
10,382 | Under Armour, Inc., Class A ** (c) | 216,984 |
See accompanying notes to financial statements.
12
Horizon Active Risk Assist Fund |
Shares | Value | |||||||
11,926 | Under Armour, Inc., Class C ** | $ | 225,640 | |||||
521 | VF Corp. | 42,284 | ||||||
1,023,682 | ||||||||
Auto Manufacturers - 0.0% ^ | ||||||||
2,405 | Ford Motor Co. | 27,778 | ||||||
486 | General Motors Co. | 20,752 | ||||||
796 | PACCAR, Inc. | 49,535 | ||||||
98,065 | ||||||||
Auto Parts & Equipment - 0.1% | ||||||||
594 | Aptiv PLC | 57,915 | ||||||
2,115 | BorgWarner, Inc. | 103,170 | ||||||
6,315 | Goodyear Tire & Rubber Co. | 154,275 | ||||||
315,360 | ||||||||
Banks - 0.1% | ||||||||
427 | Bank of New York Mellon Corp. | 23,378 | ||||||
550 | BB&T Corp. | 28,875 | ||||||
268 | Capital One Financial Corp. | 25,192 | ||||||
1,298 | Citizens Financial Group, Inc. | 53,023 | ||||||
743 | Comerica, Inc. | 70,057 | ||||||
1,638 | Fifth Third Bancorp | 50,090 | ||||||
4,540 | Huntington Bancshares, Inc. | 67,510 | ||||||
2,765 | KeyCorp | 53,752 | ||||||
234 | M&T Bank Corp. | 40,267 | ||||||
487 | Northern Trust Corp. | 49,927 | ||||||
2,978 | Regions Financial Corp. | 54,319 | ||||||
309 | State Street Corp. | 29,698 | ||||||
533 | SunTrust Banks, Inc. | 35,983 | ||||||
2,107 | Zions Bancorp | 115,485 | ||||||
697,556 | ||||||||
Beverages - 0.0% ^ | ||||||||
833 | Brown-Forman Corp. | 47,114 | ||||||
120 | Constellation Brands, Inc., Class A | 26,770 | ||||||
978 | Molson Coors Brewing Co. | 60,294 | ||||||
632 | Monster Beverage Corp. ** | 32,333 | ||||||
166,511 | ||||||||
Biotechnology - 0.0% ^ | ||||||||
442 | Alexion Pharmaceuticals, Inc. ** | 51,330 | ||||||
79 | Biogen, Inc. ** | 23,223 | ||||||
143 | Illumina, Inc. ** | 38,959 | ||||||
798 | Incyte Corp. ** | 54,479 | ||||||
107 | Regeneron Pharmaceuticals, Inc. ** | 32,134 | ||||||
177 | Vertex Pharmaceuticals, Inc. ** | 27,258 | ||||||
227,383 |
See accompanying notes to financial statements.
13
Horizon Active Risk Assist Fund |
Shares | Value | |||||||
Building Materials - 0.1% | ||||||||
2,219 | Fortune Brands Home & Security, Inc. | $ | 124,641 | |||||
1,014 | Johnson Controls International PLC | 34,030 | ||||||
438 | Martin Marietta Materials, Inc. | 97,617 | ||||||
2,213 | Masco Corp. | 82,479 | ||||||
657 | Vulcan Materials Co. (c) | 83,925 | ||||||
422,692 | ||||||||
Chemicals - 0.2% | ||||||||
203 | Air Products & Chemicals, Inc. | 32,766 | ||||||
1,180 | Albemarle Corp. | 110,295 | ||||||
3,555 | CF Industries Holdings, Inc. | 146,253 | ||||||
739 | Eastman Chemical Co. | 77,085 | ||||||
1,464 | FMC Corp. | 127,500 | ||||||
809 | International Flavors & Fragrances, Inc. | 98,803 | ||||||
262 | LyondellBasell Industries NV, Class A | 29,375 | ||||||
4,993 | Mosaic Co. | 137,258 | ||||||
373 | PPG Industries, Inc. | 37,643 | ||||||
189 | Praxair, Inc. | 29,533 | ||||||
79 | Sherwin-Williams Co. | 29,961 | ||||||
856,472 | ||||||||
Commercial Services - 0.4% | ||||||||
511 | Automatic Data Processing, Inc. | 66,440 | ||||||
394 | Cintas Corp. | 71,806 | ||||||
222 | Ecolab, Inc. | 31,659 | ||||||
701 | Equifax, Inc. | 79,886 | ||||||
2,258 | Gartner, Inc. ** | 299,727 | ||||||
1,412 | Global Payments, Inc. | 156,958 | ||||||
8,162 | H&R Block, Inc. | 224,047 | ||||||
1,281 | IHS Markit Ltd. ** | 63,128 | ||||||
233 | Moody's Corp. | 39,743 | ||||||
3,215 | Nielsen Holdings PLC | 96,997 | ||||||
392 | PayPal Holdings, Inc. ** | 32,171 | ||||||
6,485 | Quanta Services, Inc. ** | 233,525 | ||||||
2,858 | Robert Half International, Inc. | 181,997 | ||||||
129 | S&P Global, Inc. | 25,478 | ||||||
2,105 | Total System Services, Inc. | 179,325 | ||||||
426 | United Rentals, Inc. ** | 67,977 | ||||||
657 | Verisk Analytics, Inc. ** | 69,800 | ||||||
17,016 | Western Union Co. | 338,448 | ||||||
2,259,112 | ||||||||
Computers - 0.1% | ||||||||
199 | Accenture PLC, Class A | 30,992 | ||||||
751 | Cognizant Technology Solutions Corp., Class A | 56,588 |
See accompanying notes to financial statements.
14
Horizon Active Risk Assist Fund |
Shares | Value | |||||||
954 | DXC Technology Co. | $ | 87,873 | |||||
5,719 | Hewlett Packard Enterprise Co. | 87,158 | ||||||
3,559 | HP, Inc. | 78,405 | ||||||
2,779 | NetApp, Inc. | 189,861 | ||||||
2,991 | Seagate Technology PLC | 168,543 | ||||||
1,038 | Western Digital Corp. | 86,683 | ||||||
786,103 | ||||||||
Cosmetics/Personal Care - 0.0% ^ | ||||||||
4,613 | Coty, Inc., Class A | 61,122 | ||||||
148 | Estee Lauder Cos., Inc., Class A | 22,117 | ||||||
83,239 | ||||||||
Distribution/Wholesale - 0.0% ^ | ||||||||
1,332 | Fastenal Co. | 70,902 | ||||||
2,507 | LKQ Corp. ** | 79,648 | ||||||
269 | WW Grainger, Inc. | 83,118 | ||||||
233,668 | ||||||||
Diversified Financial Services - 0.3% | ||||||||
618 | Affiliated Managers Group, Inc. | 98,423 | ||||||
1,079 | Alliance Data Systems Corp. | 227,475 | ||||||
353 | Ameriprise Financial, Inc. | 48,936 | ||||||
802 | CBOE Global Markets, Inc. | 78,243 | ||||||
640 | Discover Financial Services | 47,270 | ||||||
1,440 | E*TRADE Financial Corp. ** | 91,224 | ||||||
1,484 | Franklin Resources, Inc. | 49,818 | ||||||
383 | Intercontinental Exchange, Inc. | 27,151 | ||||||
2,844 | Invesco Ltd. | 77,698 | ||||||
1,020 | Nasdaq, Inc. | 93,697 | ||||||
25,908 | Navient Corp. | 357,790 | ||||||
981 | Raymond James Financial, Inc. | 94,725 | ||||||
1,368 | Synchrony Financial | 47,374 | ||||||
410 | T. Rowe Price Group, Inc. | 49,782 | ||||||
1,389,606 | ||||||||
Electric - 0.3% | ||||||||
15,040 | AES Corp. | 191,760 | ||||||
3,180 | Alliant Energy Corp. | 131,716 | ||||||
1,586 | Ameren Corp. | 93,875 | ||||||
521 | American Electric Power Co., Inc. | 35,402 | ||||||
3,776 | CenterPoint Energy, Inc. | 98,667 | ||||||
2,144 | CMS Energy Corp. | 98,903 | ||||||
640 | Consolidated Edison, Inc. | 49,107 | ||||||
386 | Dominion Energy, Inc. | 24,777 | ||||||
619 | DTE Energy Co. | 63,404 | ||||||
913 | Edison International | 56,752 |
See accompanying notes to financial statements.
15
Horizon Active Risk Assist Fund |
Shares | Value | |||||||
1,051 | Entergy Corp. | $ | 85,036 | |||||
1,111 | Eversource Energy | 63,416 | ||||||
825 | Exelon Corp. | 34,147 | ||||||
2,096 | FirstEnergy Corp. | 72,144 | ||||||
3,987 | NRG Energy, Inc. | 136,475 | ||||||
1,193 | PG&E Corp. | 51,693 | ||||||
1,706 | Pinnacle West Capital Corp. | 135,815 | ||||||
2,241 | PPL Corp. | 61,224 | ||||||
988 | Public Service Enterprise Group, Inc. | 52,344 | ||||||
375 | Sempra Energy | 39,949 | ||||||
603 | Southern Co. | 27,075 | ||||||
983 | WEC Energy Group, Inc. | 62,076 | ||||||
1,165 | Xcel Energy, Inc. | 53,031 | ||||||
1,718,788 | ||||||||
Electrical Components & Equipment - 0.0% ^ | ||||||||
1,509 | Acuity Brands, Inc. | 178,439 | ||||||
865 | AMETEK, Inc. | 63,171 | ||||||
385 | Emerson Electric Co. | 27,274 | ||||||
268,884 | ||||||||
Electronics - 0.2% | ||||||||
833 | Agilent Technologies, Inc. | 51,579 | ||||||
1,718 | Allegion PLC | 131,307 | ||||||
1,248 | Amphenol Corp., Class A | 108,489 | ||||||
4,243 | Corning, Inc. | 115,282 | ||||||
8,398 | FLIR Systems, Inc. | 452,652 | ||||||
559 | Fortive Corp. | 40,634 | ||||||
1,639 | Garmin Ltd. | 98,488 | ||||||
140 | Mettler-Toledo International, Inc. ** | 77,104 | ||||||
1,955 | PerkinElmer, Inc. | 145,315 | ||||||
842 | TE Connectivity Ltd. | 78,373 | ||||||
376 | Waters Corp. ** | 72,425 | ||||||
1,371,648 | ||||||||
Engineering & Construction - 0.1% | ||||||||
2,667 | Fluor Corp. | 129,990 | ||||||
2,473 | Jacobs Engineering Group, Inc. | 160,250 | ||||||
1,333 | nVent Electric PLC ** | 36,098 | ||||||
326,338 | ||||||||
Environmental Control - 0.1% | ||||||||
798 | Republic Services, Inc. | 53,809 | ||||||
3,941 | Stericycle, Inc. ** | 250,254 | ||||||
379 | Waste Management, Inc. | 31,347 | ||||||
335,410 |
See accompanying notes to financial statements.
16
Horizon Active Risk Assist Fund |
Shares | Value | |||||||
Food - 0.1% | ||||||||
2,145 | Campbell Soup Co. (c) | $ | 72,158 | |||||
2,242 | Conagra Brands, Inc. | 83,088 | ||||||
1,008 | General Mills, Inc. | 42,628 | ||||||
578 | Hershey Co. | 52,043 | ||||||
2,006 | Hormel Foods Corp. | 71,995 | ||||||
710 | J.M. Smucker Co. | 76,325 | ||||||
822 | Kellogg Co. | 52,929 | ||||||
776 | McCormick & Co., Inc. | 78,376 | ||||||
618 | Sysco Corp. | 40,189 | ||||||
588 | Tyson Foods, Inc., Class A | 39,672 | ||||||
609,403 | ||||||||
Forest Products & Paper - 0.0% ^ | ||||||||
1,043 | International Paper Co. | 55,800 | ||||||
Gas - 0.0% ^ | ||||||||
6,319 | NiSource, Inc. | 159,871 | ||||||
Hand/Machine Tools - 0.0% ^ | ||||||||
929 | Snap-on, Inc. | 137,325 | ||||||
315 | Stanley Black & Decker, Inc. | 43,860 | ||||||
181,185 | ||||||||
Healthcare Products - 0.2% | ||||||||
227 | Align Technology, Inc. ** | 75,353 | ||||||
533 | Baxter International, Inc. | 37,758 | ||||||
100 | Becton Dickinson & Co. | 22,159 | ||||||
1,223 | Boston Scientific Corp. ** | 37,167 | ||||||
501 | Cooper Cos., Inc. | 113,381 | ||||||
2,012 | Dentsply Sirona, Inc. | 88,146 | ||||||
307 | Edwards Lifesciences Corp. ** | 42,154 | ||||||
1,859 | Henry Schein, Inc. ** | 128,643 | ||||||
3,097 | Hologic, Inc. ** | 117,345 | ||||||
372 | IDEXX Laboratories, Inc. ** | 77,454 | ||||||
64 | Intuitive Surgical, Inc. ** | 29,419 | ||||||
17,602 | Patterson Cos., Inc. (c) | 368,234 | ||||||
913 | ResMed, Inc. | 93,866 | ||||||
907 | Varian Medical Systems, Inc. ** | 106,908 | ||||||
499 | Zimmer Biomet Holdings, Inc. | 55,643 | ||||||
1,393,630 | ||||||||
Healthcare Services - 0.2% | ||||||||
94 | Anthem, Inc. | 20,814 | ||||||
667 | Centene Corp. ** | 78,146 | ||||||
184 | Cigna Corp. | 31,164 |
See accompanying notes to financial statements.
17
Horizon Active Risk Assist Fund |
Shares | Value | |||||||
1,576 | DaVita, Inc. ** | $ | 105,340 | |||||
7,162 | Envision Healthcare Corp. ** | 307,107 | ||||||
359 | HCA Healthcare, Inc. | 37,027 | ||||||
126 | Humana, Inc. | 36,663 | ||||||
574 | IQVIA Holdings, Inc. ** | 56,786 | ||||||
446 | Laboratory Corp. of America Holdings ** | 80,543 | ||||||
887 | Quest Diagnostics, Inc. | 94,492 | ||||||
885 | Universal Health Services, Inc. | 101,757 | ||||||
949,839 | ||||||||
Home Builders - 0.0% ^ | ||||||||
1,531 | DR Horton, Inc. | 64,624 | ||||||
1,008 | Lennar Corp., Class A | 52,154 | ||||||
4,594 | PulteGroup, Inc. | 138,968 | ||||||
255,746 | ||||||||
Home Furnishings - 0.0% ^ | ||||||||
4,380 | Leggett & Platt, Inc. | 180,894 | ||||||
659 | Whirlpool Corp. | 95,390 | ||||||
276,284 | ||||||||
Household Products/Wares - 0.1% | ||||||||
1,174 | Avery Dennison Corp. | 123,305 | ||||||
2,075 | Church & Dwight Co., Inc. | 97,421 | ||||||
572 | Clorox Co. | 69,115 | ||||||
291 | Kimberly-Clark Corp. | 29,347 | ||||||
319,188 | ||||||||
Housewares - 0.0% ^ | ||||||||
3,463 | Newell Brands, Inc. | 81,657 | ||||||
Insurance - 0.3% | ||||||||
767 | Aflac, Inc. | 34,561 | ||||||
367 | Allstate Corp. | 34,307 | ||||||
433 | American International Group, Inc. | 22,858 | ||||||
241 | Aon PLC, Class A | 33,709 | ||||||
1,384 | Arthur J Gallagher & Co. | 91,732 | ||||||
2,743 | Assurant, Inc. | 256,059 | ||||||
3,603 | Brighthouse Financial, Inc. ** | 169,737 | ||||||
1,323 | Cincinnati Financial Corp. | 91,776 | ||||||
448 | Everest Re Group Ltd. | 100,930 | ||||||
1,228 | Hartford Financial Services Group, Inc. | 64,261 | ||||||
1,000 | Lincoln National Corp. | 66,290 | ||||||
1,411 | Loews Corp. | 68,956 | ||||||
340 | Marsh & McLennan Cos., Inc. | 27,326 | ||||||
534 | MetLife, Inc. | 24,559 | ||||||
1,139 | Principal Financial Group, Inc. | 63,556 |
See accompanying notes to financial statements.
18
Horizon Active Risk Assist Fund |
Shares | Value | |||||||
543 | Progressive Corp. | $ | 33,715 | |||||
255 | Prudential Financial, Inc. | 24,694 | ||||||
1,459 | Torchmark Corp. | 123,767 | ||||||
225 | Travelers Cos., Inc. | 28,917 | ||||||
2,258 | Unum Group | 87,633 | ||||||
370 | Willis Towers Watson PLC | 55,925 | ||||||
1,505,268 | ||||||||
Internet - 0.2% | ||||||||
1,747 | eBay, Inc. ** | 65,897 | ||||||
644 | Expedia Group, Inc. | 77,943 | ||||||
2,184 | F5 Networks, Inc. ** | 378,072 | ||||||
6,753 | Symantec Corp. | 140,328 | ||||||
4,850 | TripAdvisor, Inc. ** | 252,879 | ||||||
2,014 | VeriSign, Inc. ** | 262,706 | ||||||
1,177,825 | ||||||||
Investment Companies - 0.0% ^ | ||||||||
6,521 | Jefferies Financial Group, Inc. | 142,679 | ||||||
Iron/Steel - 0.0% ^ | ||||||||
988 | Nucor Corp. | 63,420 | ||||||
Leisure Time - 0.1% | ||||||||
359 | Carnival Corp. | 22,358 | ||||||
3,729 | Harley-Davidson, Inc. (c) | 153,187 | ||||||
1,805 | Norwegian Cruise Line Holdings Ltd. ** | 94,474 | ||||||
363 | Royal Caribbean Cruises Ltd. | 38,108 | ||||||
308,127 | ||||||||
Lodging - 0.0% ^ | ||||||||
547 | Hilton Worldwide Holdings, Inc. | 44,148 | ||||||
164 | Marriott International, Inc. | 22,199 | ||||||
1,642 | MGM Resorts International | 51,641 | ||||||
847 | Wyndham Worldwide Corp. | 91,849 | ||||||
345 | Wynn Resorts Ltd. | 67,623 | ||||||
277,460 | ||||||||
Machinery-Diversified - 0.1% | ||||||||
382 | Apergy Corp. ** | 16,498 | ||||||
281 | Cummins, Inc. | 40,012 | ||||||
155 | Deere & Co. | 23,174 | ||||||
4,805 | Flowserve Corp. | 198,639 | ||||||
293 | Rockwell Automation, Inc. | 51,395 | ||||||
143 | Roper Technologies, Inc. | 39,438 | ||||||
1,079 | Xylem, Inc. | 75,962 | ||||||
445,118 |
See accompanying notes to financial statements.
19
Horizon Active Risk Assist Fund |
Shares | Value | |||||||
Media - 0.1% | ||||||||
1,131 | CBS Corp., Class B | $ | 56,968 | |||||
4,500 | Discovery, Inc., Class A ** (c) | 94,905 | ||||||
4,909 | Discovery, Inc., Class C ** | 97,051 | ||||||
1,696 | DISH Network Corp., Class A ** | 50,117 | ||||||
7,426 | News Corp., Class A | 111,613 | ||||||
7,259 | News Corp., Class B | 112,151 | ||||||
522,805 | ||||||||
Mining - 0.0% ^ | ||||||||
2,510 | Freeport-McMoRan, Inc. | 42,419 | ||||||
1,446 | Newmont Mining Corp. | 56,293 | ||||||
98,712 | ||||||||
Miscellaneous Manufacturing - 0.1% | ||||||||
1,642 | AO Smith Corp. | 103,561 | ||||||
765 | Dover Corp. | 59,066 | ||||||
414 | Eaton Corp PLC | 31,704 | ||||||
632 | Ingersoll-Rand PLC | 55,325 | ||||||
287 | Parker-Hannifin Corp. | 49,048 | ||||||
1,333 | Pentair PLC | 58,172 | ||||||
1,342 | Textron, Inc. (c) | 89,351 | ||||||
446,227 | ||||||||
Office / Business Equipment - 0.1% | ||||||||
13,043 | Xerox Corp. | 354,509 | ||||||
Oil & Gas - 0.5% | ||||||||
581 | Anadarko Petroleum Corp. | 40,554 | ||||||
726 | Andeavor | 104,856 | ||||||
2,220 | Apache Corp. | 88,800 | ||||||
4,426 | Cabot Oil & Gas Corp. | 101,134 | ||||||
133,580 | Chesapeake Energy Corp. ** (c) | 597,103 | ||||||
1,368 | Cimarex Energy Co. | 127,114 | ||||||
326 | Concho Resources, Inc. ** | 44,763 | ||||||
2,118 | Devon Energy Corp. | 88,045 | ||||||
1,862 | EQT Corp. | 95,967 | ||||||
2,393 | Helmerich & Payne, Inc. | 158,847 | ||||||
1,478 | Hess Corp. | 89,301 | ||||||
5,386 | Marathon Oil Corp. | 115,422 | ||||||
457 | Marathon Petroleum Corp. | 36,117 | ||||||
9,813 | Newfield Exploration Co. ** | 286,932 | ||||||
2,560 | Noble Energy, Inc. | 91,392 | ||||||
350 | Occidental Petroleum Corp. | 29,470 | ||||||
277 | Phillips 66 | 32,268 | ||||||
227 | Pioneer Natural Resources Co. | 43,834 |
See accompanying notes to financial statements.
20
Horizon Active Risk Assist Fund |
Shares | Value | |||||||
20,890 | Range Resources Corp. | $ | 330,898 | |||||
309 | Valero Energy Corp. | 37,451 | ||||||
2,540,268 | ||||||||
Oil & Gas Services - 0.1% | ||||||||
3,139 | Baker Hughes & GE Co., Class A | 108,578 | ||||||
610 | Halliburton Co. | 30,341 | ||||||
2,194 | National Oilwell Varco, Inc. | 90,876 | ||||||
2,847 | TechnipFMC PLC | 88,684 | ||||||
318,479 | ||||||||
Packaging & Containers - 0.1% | ||||||||
2,150 | Ball Corp. | 79,442 | ||||||
953 | Packaging Corp of America | 111,978 | ||||||
3,947 | Sealed Air Corp. (c) | 171,931 | ||||||
1,134 | WestRock Co. | 66,770 | ||||||
430,121 | ||||||||
Pharmaceuticals - 0.1% | ||||||||
146 | Allergan PLC | 22,017 | ||||||
988 | Cardinal Health, Inc. | 51,465 | ||||||
301 | McKesson Corp. | 42,724 | ||||||
1,518 | Mylan NV ** | 58,382 | ||||||
1,317 | Perrigo Co. PLC | 96,352 | ||||||
370 | Zoetis, Inc., Class A | 30,969 | ||||||
301,909 | ||||||||
Pipelines - 0.0% ^ | ||||||||
2,290 | Kinder Morgan, Inc. | 38,197 | ||||||
871 | ONEOK, Inc. | 59,367 | ||||||
2,093 | Williams Cos., Inc. | 56,218 | ||||||
153,782 | ||||||||
Real Estate - 0.0% ^ | ||||||||
1,588 | CBRE Group, Inc., Class A ** | 73,350 | ||||||
Real Estate Investment Trusts - 0.5% | ||||||||
783 | Alexandria Real Estate Equities, Inc. | 97,812 | ||||||
4,856 | Apartment Investment & Management Co., Class A | 198,271 | ||||||
332 | AvalonBay Communities, Inc. | 54,959 | ||||||
515 | Boston Properties, Inc. | 62,712 | ||||||
236 | Crown Castle International Corp. | 24,580 | ||||||
540 | Digital Realty Trust, Inc. | 58,039 | ||||||
4,991 | Duke Realty Corp. | 140,347 | ||||||
86 | Equinix, Inc. | 34,129 | ||||||
903 | Equity Residential | 57,783 | ||||||
325 | Essex Property Trust, Inc. | 77,685 |
See accompanying notes to financial statements.
21
Horizon Active Risk Assist Fund |
Shares | Value | |||||||
1,303 | Extra Space Storage, Inc. | $ | 125,414 | |||||
1,235 | Federal Realty Investment Trust | 146,829 | ||||||
2,725 | GGP, Inc. | 55,263 | ||||||
4,923 | HCP, Inc. | 118,004 | ||||||
4,708 | Host Hotels & Resorts, Inc. | 101,834 | ||||||
4,118 | Iron Mountain, Inc. | 137,088 | ||||||
13,662 | Kimco Realty Corp. | 211,215 | ||||||
1,323 | Mid-America Apartment Communities, Inc. | 123,780 | ||||||
580 | Prologis, Inc. | 37,323 | ||||||
174 | Public Storage | 36,860 | ||||||
1,651 | Realty Income Corp. | 87,998 | ||||||
2,153 | Regency Centers Corp. | 125,046 | ||||||
340 | SBA Communications Corp. ** | 53,744 | ||||||
155 | Simon Property Group, Inc. | 24,834 | ||||||
1,433 | SL Green Realty Corp. | 139,746 | ||||||
3,647 | UDR, Inc. | 133,006 | ||||||
1,371 | Ventas, Inc. | 74,939 | ||||||
1,405 | Vornado Realty Trust | 97,943 | ||||||
1,134 | Welltower, Inc. | 65,375 | ||||||
1,273 | Weyerhaeuser Co. | 47,521 | ||||||
2,750,079 | ||||||||
Retail - 0.5% | ||||||||
1,185 | Advance Auto Parts, Inc. | 152,415 | ||||||
101 | AutoZone, Inc. ** | 65,581 | ||||||
821 | Best Buy Co., Inc. | 56,033 | ||||||
1,698 | CarMax, Inc. ** | 117,026 | ||||||
359 | Chipotle Mexican Grill, Inc. ** | 154,435 | ||||||
1,231 | Darden Restaurants, Inc. | 107,602 | ||||||
481 | Dollar General Corp. | 42,078 | ||||||
525 | Dollar Tree, Inc. ** | 43,360 | ||||||
4,866 | Foot Locker, Inc. | 262,618 | ||||||
2,974 | Gap, Inc. | 83,212 | ||||||
978 | Genuine Parts Co. | 88,793 | ||||||
1,649 | Kohl's Corp. | 110,071 | ||||||
2,737 | L Brands, Inc. | 92,812 | ||||||
4,660 | Macy's, Inc. | 162,680 | ||||||
3,018 | Nordstrom, Inc. | 147,972 | ||||||
225 | O'Reilly Automotive, Inc. ** | 60,617 | ||||||
505 | Ross Stores, Inc. | 39,834 | ||||||
12,214 | Signet Jewelers Ltd. (c) | 525,202 | ||||||
1,418 | Tapestry, Inc. | 61,995 | ||||||
429 | Target Corp. | 31,270 | ||||||
967 | Tiffany & Co. | 126,464 | ||||||
268 | TJX Cos., Inc. | 24,206 |
See accompanying notes to financial statements.
22
Horizon Active Risk Assist Fund |
Shares | Value | |||||||
2,478 | Tractor Supply Co. | $ | 184,140 | |||||
423 | Ulta Beauty, Inc. ** | 104,443 | ||||||
484 | Yum! Brands, Inc. | 39,364 | ||||||
2,884,223 | ||||||||
Savings & Loans - 0.0% ^ | ||||||||
9,530 | People's United Financial, Inc. | 175,447 | ||||||
Semiconductors - 0.3% | ||||||||
26,806 | Advanced Micro Devices, Inc. ** (c) | 368,046 | ||||||
942 | Analog Devices, Inc. | 91,544 | ||||||
814 | Applied Materials, Inc. | 41,335 | ||||||
1,471 | KLA-Tencor Corp. | 166,561 | ||||||
392 | Lam Research Corp. | 77,687 | ||||||
1,324 | Microchip Technology, Inc. (c) | 128,931 | ||||||
783 | Micron Technology, Inc. ** | 45,093 | ||||||
4,370 | Qorvo, Inc. ** | 350,692 | ||||||
637 | QUALCOMM, Inc. | 37,022 | ||||||
1,450 | Skyworks Solutions, Inc. | 142,985 | ||||||
271 | Texas Instruments, Inc. | 30,328 | ||||||
2,081 | Xilinx, Inc. | 141,737 | ||||||
1,621,961 | ||||||||
Shipbuilding - 0.0% ^ | ||||||||
400 | Huntington Ingalls Industries, Inc. | 88,428 | ||||||
Software - 0.4% | ||||||||
787 | Activision Blizzard, Inc. | 55,806 | ||||||
119 | Adobe Systems, Inc. ** | 29,664 | ||||||
1,333 | ANSYS, Inc. ** | 217,013 | ||||||
752 | Autodesk, Inc. ** | 97,083 | ||||||
5,968 | CA, Inc. | 213,296 | ||||||
7,342 | Cadence Design Systems, Inc. ** | 311,668 | ||||||
1,118 | Cerner Corp. ** | 66,722 | ||||||
2,444 | Citrix Systems, Inc. ** | 258,135 | ||||||
612 | Electronic Arts, Inc. ** | 80,117 | ||||||
941 | Fidelity National Information Services, Inc. | 96,189 | ||||||
1,389 | Fiserv, Inc. ** | 100,841 | ||||||
373 | Intuit, Inc. | 75,197 | ||||||
2,077 | Paychex, Inc. | 136,210 | ||||||
717 | Red Hat, Inc. ** | 116,455 | ||||||
288 | salesforce.com, Inc. ** | 37,247 | ||||||
2,751 | Synopsys, Inc. ** | 242,281 | ||||||
2,133,924 |
See accompanying notes to financial statements.
23
Horizon Active Risk Assist Fund |
Shares | Value | |||||||||||
Telecommunications - 0.1% | ||||||||||||
2,608 | CenturyLink, Inc. | $ | 47,518 | |||||||||
13,903 | Juniper Networks, Inc. | 370,376 | ||||||||||
1,588 | Motorola Solutions, Inc. | 170,456 | ||||||||||
588,350 | ||||||||||||
Textiles - 0.0% ^ | ||||||||||||
266 | Mohawk Industries, Inc. ** (c) | 54,275 | ||||||||||
Toys/Games/Hobbies - 0.1% | ||||||||||||
1,250 | Hasbro, Inc. | 108,438 | ||||||||||
19,339 | Mattel, Inc. (c) | 300,141 | ||||||||||
408,579 | ||||||||||||
Transportation - 0.1% | ||||||||||||
972 | CH Robinson Worldwide, Inc. | 84,564 | ||||||||||
427 | CSX Corp. | 27,605 | ||||||||||
1,689 | Expeditors International of Washington, Inc. | 125,797 | ||||||||||
746 | JB Hunt Transport Services, Inc. | 95,563 | ||||||||||
956 | Kansas City Southern | 102,435 | ||||||||||
227 | Norfolk Southern Corp. | 34,425 | ||||||||||
470,389 | ||||||||||||
Water - 0.0% ^ | ||||||||||||
1,020 | American Water Works Co., Inc. | 84,803 | ||||||||||
TOTAL COMMON STOCKS (Cost - $37,227,513) | 38,130,471 | |||||||||||
Contracts | Notional Amount | |||||||||||
PURCHASED OPTIONS - 0.5% * | ||||||||||||
PURCHASED CALL OPTIONS - 0.2% * | ||||||||||||
Bank of America Corp. | ||||||||||||
3,450 | Expiration: July 2018, Exercise Price $31 | 10,018,800 | 113,850 | |||||||||
Citigroup, Inc. | ||||||||||||
1,500 | Expiration: July 2018, Exercise Price $70 | 10,003,500 | 153,000 | |||||||||
CBOE S&P 500 Volatility | ||||||||||||
700 | Expiration: June 2018, Exercise Price $20 | 1,080,100 | 42,000 | |||||||||
Financial Select Sector SPDR Fund | ||||||||||||
12,500 | Expiration: June 2018, Exercise Price $28.50 | 33,975,000 | 56,250 | |||||||||
iShares MSCI EAFE ETF | ||||||||||||
4,500 | Expiration: June 2018, Exercise Price $74 | 31,230,000 | 13,500 | |||||||||
iShares US Real Estate ETF | ||||||||||||
2,000 | Expiration: June 2018, Exercise Price $78 | 15,638,000 | 80,000 | |||||||||
Morgan Stanley | ||||||||||||
1,950 | Expiration: July 2018, Exercise Price $55 | 9,777,300 | 70,200 |
See accompanying notes to financial statements.
24
Horizon Active Risk Assist Fund |
Contracts | Notional Amount | Value | ||||||||||
PowerShares QQQ Trust Series 1 | ||||||||||||
4,000 | Expiration: June 2018, Exercise Price $176 | 68,028,000 | $ | 54,000 | ||||||||
S&P 500 Index | ||||||||||||
100 | Expiration: June 2018, Exercise Price $2,705 | 27,052,700 | 92,000 | |||||||||
350 | Expiration: June 2018, Exercise Price $2,710 | 94,684,450 | 204,750 | |||||||||
SPDR S&P 500 ETF Trust | ||||||||||||
3,000 | Expiration: June 2018, Exercise Price $280 | 81,282,000 | 28,500 | |||||||||
SPDR S&P Oil & Gas Exploration & Production ETF | ||||||||||||
500 | Expiration: June 2018, Exercise Price $45 | 2,112,500 | 10,250 | |||||||||
Wells Fargo & Co. | ||||||||||||
1,800 | Expiration: July 2018, Exercise Price $57.50 | 9,718,200 | 108,000 | |||||||||
WisdomTree Japan Hedged Equity Fund | ||||||||||||
5,000 | Expiration: August 2018, Exercise Price $65 | 27,760,000 | 15,000 | |||||||||
TOTAL PURCHASED CALL OPTIONS (Cost - $2,320,441) | 1,041,300 | |||||||||||
PURCHASED PUT OPTIONS - 0.3% * | ||||||||||||
CBOE S&P 500 Volatility | ||||||||||||
2,500 | Expiration: June 2018, Exercise Price $10.50 | 3,857,500 | 6,250 | |||||||||
iPATH S&P 500 VIX Short-Term Futures ETN | ||||||||||||
2,000 | Expiration: June 2018, Exercise Price $24 | 7,358,000 | 2,000 | |||||||||
iShares Latin America 40 ETF | ||||||||||||
4,000 | Expiration: June 2018, Exercise Price $31 | 12,556,000 | 200,000 | |||||||||
iShares MSCI Brazil ETF | ||||||||||||
4,000 | Expiration: June 2018, Exercise Price $35 | 14,248,000 | 230,000 | |||||||||
iShares MSCI Emerging Markets ETF | ||||||||||||
10,000 | Expiration: June 2018, Exercise Price $45 | 45,690,000 | 390,000 | |||||||||
iShares MSCI Europe Financials ETF | ||||||||||||
4,000 | Expiration: June 2018, Exercise Price $21 | 8,588,000 | 100,000 | |||||||||
iShares MSCI Mexico ETF | ||||||||||||
3,000 | Expiration: June 2018, Exercise Price $44 | 13,404,000 | 180,000 | |||||||||
iShares MSCI Turkey ETF | ||||||||||||
5,500 | Expiration: June 2018, Exercise Price $30 | 18,095,000 | 192,500 | |||||||||
iShares US Real Estate ETF | ||||||||||||
2,000 | Expiration: June 2018, Exercise Price $78 | 15,638,000 | 42,000 | |||||||||
PowerShares DB US Dollar Index Bullish Fund | ||||||||||||
5,000 | Expiration: June 2018, Exercise Price $23 | 12,380,000 | 2,500 | |||||||||
5,000 | Expiration: June 2018, Exercise Price $24 | 12,380,000 | 7,500 | |||||||||
S&P 500 Index | ||||||||||||
100 | Expiration: June 2018, Exercise Price $2,705 | 27,052,700 | 72,000 | |||||||||
SPDR EURO STOXX 50 ETF | ||||||||||||
5,000 | Expiration: July 2018, Exercise Price $39 | 19,805,000 | 502,500 | |||||||||
SPDR S&P 500 ETF Trust | ||||||||||||
3,000 | Expiration: June 2018, Exercise Price $262 | 81,282,000 | 4,500 |
See accompanying notes to financial statements.
25
Horizon Active Risk Assist Fund |
Contracts | Notional Amount | Value | ||||||||||
SPDR S&P Oil & Gas Exploration & Production ETF | ||||||||||||
2,700 | Expiration: June 2018, Exercise Price $39 | 11,407,500 | $ | 51,300 | ||||||||
TOTAL PURCHASED PUT OPTIONS (Cost - $3,362,465) | 1,983,050 | |||||||||||
TOTAL PURCHASED OPTIONS (Cost - $5,682,906) | 3,024,350 | |||||||||||
Shares | ||||||||||||
SHORT-TERM INVESTMENTS - 2.6% | ||||||||||||
14,194,832 | Invesco Advisers, Inc. STIT - Liquid Assets Portfolio - Institutional Class, 1.64% + | 14,194,832 | ||||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost - $14,194,832) | 14,194,832 | |||||||||||
INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING - 5.0% | ||||||||||||
28,073,040 | First American Government Obligations Fund, Class Z, 1.60% + (b) | 28,073,040 | ||||||||||
TOTAL INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING (Cost - $28,073,040) | 28,073,040 | |||||||||||
TOTAL INVESTMENTS - 104.8% (Cost - $587,793,721) | 584,415,170 | |||||||||||
Liabilities In Excess Of Other Assets - (4.8)% | (26,875,621 | ) | ||||||||||
NET ASSETS - 100.0% | $ | 557,539,549 | ||||||||||
Contracts | ||||||||||||
SCHEDULE OF WRITTEN OPTIONS - (0.2)% * | ||||||||||||
SCHEDULE OF WRITTEN CALL OPTIONS - (0.1)% | ||||||||||||
Bank of America Corp. | ||||||||||||
3,450 | Expiration: August 2018, Exercise Price $33 | 10,018,800 | 55,200 | |||||||||
Citigroup, Inc. | ||||||||||||
1,500 | Expiration: August 2018, Exercise Price $75 | 10,003,500 | 45,000 | |||||||||
Financial Select Sector SPDR Fund | ||||||||||||
8,000 | Expiration: June 2018, Exercise Price $29 | 21,744,000 | 12,000 | |||||||||
Morgan Stanley | ||||||||||||
1,950 | Expiration: August 2018, Exercise Price $58 | 9,777,300 | 42,900 | |||||||||
PowerShares QQQ Trust Series 1 | ||||||||||||
4,000 | Expiration: June 2018, Exercise Price $179 | 68,028,000 | 18,000 | |||||||||
SPDR S&P 500 ETF Trust | ||||||||||||
3,000 | Expiration: June 2018, Exercise Price $285 | 81,282,000 | 7,500 | |||||||||
1,000 | Expiration: July 2018, Exercise Price $279 | 27,094,000 | 92,500 |
See accompanying notes to financial statements.
26
Horizon Active Risk Assist Fund |
Contracts | Notional Amount | Value | ||||||||||
Wells Fargo & Co. | ||||||||||||
1,800 | Expiration: August 2018, Exercise Price $60 | 9,718,200 | $ | 66,600 | ||||||||
TOTAL WRITTEN CALL OPTIONS (Premiums Received - $580,876) | 339,700 | |||||||||||
SCHEDULE OF WRITTEN PUT OPTIONS - (0.1)% | ||||||||||||
iShares MSCI Emerging Markets ETF | ||||||||||||
10,000 | Expiration: June 2018, Exercise Price $45 | 45,690,000 | 200,000 | |||||||||
SPDR EURO STOXX 50 ETF | ||||||||||||
5,000 | Expiration: July 2018, Exercise Price $36 | 19,805,000 | 150,000 | |||||||||
SPDR S&P 500 ETF Trust | ||||||||||||
3,000 | Expiration: June 2018, Exercise Price $259 | 81,282,000 | 1,500 | |||||||||
TOTAL WRITTEN PUT OPTIONS (Premiums Received - $719,539) | 351,500 | |||||||||||
TOTAL WRITTEN OPTIONS (Premiums Received - $1,300,415) | $ | 691,200 |
* | Each Option is exercisable into 100 shares of the underlying security. |
** | Non-income producing security. |
+ | Money Market Fund; interest rate reflects seven-day yield on May 31, 2018. |
^ | Less than 0.1% |
(a) | All or a portion of the security is segregated as collateral for options written. The value of the securities segregrated as collateral for options written is $16,766,000. |
(b) | Investments purchased with cash proceeds from securities lending. Total cash collateral has a value of $28,073,040 as of May 31, 2018. |
(c) | All or a portion of this security is out on loan as of May 31, 2018. Total value of securities out on loan is $27,314,617. |
See accompanying notes to financial statements.
27
Horizon Active Income Fund |
Shares | Value | |||||||
EXCHANGE TRADED FUNDS - 91.4% | ||||||||
Bond Funds - 83.5% | ||||||||
78,831 | Deutsche X-Trackers Short Duration High Yield Bond ETF (d) | $ | 3,898,193 | |||||
605,297 | Deutsche X-Trackers USD High Yield Corporate Bond ETF (c) | 29,816,930 | ||||||
270,471 | First Trust Senior Loan ETF | 12,977,199 | ||||||
439,551 | First Trust Tactical High Yield ETF | 20,790,762 | ||||||
204,370 | iShares iBoxx $ High Yield Corporate Bond ETF (c) | 11,259,879 | ||||||
227,618 | iShares iBoxx $ Investment Grade Corporate Bond ETF (a) | 26,287,603 | ||||||
94,132 | iShares Interest Rate Hedged High Yield Bond ETF | 8,533,113 | ||||||
274,531 | SPDR Blackstone / GSO Senior Loan ETF | 12,977,080 | ||||||
949,281 | SPDR Bloomberg Barclays Short Term High Yield Bond ETF | 25,953,342 | ||||||
605,538 | SPDR Doubleline Total Return Tactical ETF | 28,841,775 | ||||||
784,575 | SPDR Portfolio Intermediate Term Corporate Bond ETF (c) | 26,173,422 | ||||||
148,554 | Vanguard Long-Term Corporate Bond ETF (c) | 13,204,965 | ||||||
220,714,263 | ||||||||
Equity Funds - 7.9% | ||||||||
1,143,607 | PowerShares Financial Preferred Portfolio ETF (c) | 20,996,625 | ||||||
TOTAL EXCHANGE TRADED FUNDS (Cost - $244,962,718) | 241,710,888 | |||||||
PREFERRED STOCKS - 3.6% | ||||||||
Banks - 3.0% | ||||||||
18,200 | Bank of America Corp., Series CC, 6.20% | 473,382 | ||||||
36,300 | Bank of America Corp., Series EE, 6.00% (c) | 935,088 | ||||||
31,200 | Bank of America Corp., Series W, 6.63% | 810,888 | ||||||
16,500 | Bank of America Corp., Series Y, 6.50% | 436,260 | ||||||
14,900 | BB&T Corp., Series E, 5.63% | 378,162 | ||||||
6,300 | Capital One Financial Corp., Series G, 5.20% | 151,137 | ||||||
22,600 | Citigroup Capital XIII, 8.73% | 607,036 | ||||||
27,800 | Citigroup, Inc., Series J, 7.13% | 783,404 | ||||||
12,600 | Citigroup, Inc., Series K, 6.88% | 341,964 | ||||||
10,900 | Citigroup, Inc., Series S, 6.30% | 284,817 | ||||||
9,100 | Countrywide Capital V, 7.00% | 228,865 | ||||||
15,900 | GMAC Capital Trust I, Series 2, 8.13% | 415,149 | ||||||
7,500 | Goldman Sachs Group, Inc., Series D, 4.00% | 170,625 | ||||||
4,000 | Goldman Sachs Group, Inc., Series J, 5.50% | 103,920 | ||||||
17,200 | JPMorgan Chase & Co., Series AA, 6.10% | 452,016 | ||||||
14,800 | JPMorgan Chase & Co., Series BB, 6.15% | 391,904 | ||||||
4,300 | JPMorgan Chase & Co., Series P, 5.45% | 109,177 | ||||||
17,900 | JPMorgan Chase & Co., Series T, 6.70% | 472,381 | ||||||
3,900 | JPMorgan Chase & Co., Series Y, 6.13% | 101,478 | ||||||
3,200 | PNC Financial Services Group, Inc., 6.13% | 87,680 | ||||||
400 | State Street Corp., Series D, 5.90% | 10,464 | ||||||
8,500 | State Street Corp., Series G, 5.35% | 218,280 |
See accompanying notes to financial statements.
28
Horizon Active Income Fund |
Shares | Value | |||||||
2,500 | Webster Financial Corp., Series F, 5.25% | $ | 58,975 | |||||
8,023,052 | ||||||||
Insurance - 0.0%^ | ||||||||
3,200 | Arch Capital Group Ltd., Series F, 5.45% | 77,824 | ||||||
Metal Fabricate/Hardware - 0.4% | ||||||||
14,800 | Rexnord Corp., Series A, 1.99% | 928,996 | ||||||
Real Estate Investment Trusts - 0.1% | ||||||||
5,800 | AGNC Investment Corp., Series C, 7.00% | 149,582 | ||||||
3,400 | Annaly Capital Management, Inc., Series F, 6.95% | 85,544 | ||||||
235,126 | ||||||||
Telecommunications - 0.1% | ||||||||
7,900 | AT&T, Inc., 5.35% | 197,974 | ||||||
3,200 | Qwest Corp., 6.50% | 68,640 | ||||||
2,000 | Qwest Corp., 6.75% | 44,660 | ||||||
311,274 | ||||||||
TOTAL PREFERRED STOCKS (Cost - $9,516,631) | 9,576,272 | |||||||
CONVERTIBLE PREFERRED STOCKS - 0.8% | ||||||||
Agriculture - 0.0%^ | ||||||||
1,013 | Bunge Ltd., 4.88% | 107,621 | ||||||
Environmental Control - 0.4% | ||||||||
19,200 | Stericycle, Inc., 5.25% | 916,416 | ||||||
Hand/Machine Tools - 0.0%^ | ||||||||
800 | Stanley Black & Decker, Inc., 5.38% | 85,160 | ||||||
Healthcare Products - 0.4% | ||||||||
15,900 | Becton Dickinson & Co., 6.13% | 925,698 | ||||||
Pipelines - 0.0%^ | ||||||||
3,500 | Kinder Morgan, Inc., 9.75% (c) | 114,590 | ||||||
TOTAL CONVERTIBLE PREFERRED STOCKS (Cost - $2,192,427) | 2,149,485 |
See accompanying notes to financial statements.
29
Horizon Active Income Fund |
Contracts | Notional Amount | Value | ||||||||||
PURCHASED OPTIONS - 0.2% * | ||||||||||||
PURCHASED CALL OPTIONS - 0.2% * | ||||||||||||
Financial Select Sector SPDR Fund | ||||||||||||
1,000 | Expiration: June 2018, Exercise Price $28.50 ** | 2,718,000 | $ | 4,500 | ||||||||
iShares 20+ Year Treasury Bond ETF | ||||||||||||
2,550 | Expiration: December 2018, Exercise Price $122 ** | 30,911,100 | 567,375 | |||||||||
iShares MSCI EAFE ETF | ||||||||||||
1,000 | Expiration: June 2018, Exercise Price $74 ** | 6,940,000 | 3,000 | |||||||||
TOTAL PURCHASED CALL OPTIONS (Cost - $405,589) | 574,875 | |||||||||||
PURCHASED PUT OPTIONS - 0.0% * ^ | ||||||||||||
PowerShares DB US Dollar Index Bullish Fund | ||||||||||||
1,000 | Expiration: June 2018, Exercise Price $23 ** | 2,476,000 | 500 | |||||||||
1,000 | Expiration: June 2018, Exercise Price $24 ** | 2,476,000 | 1,500 | |||||||||
TOTAL PURCHASED PUT OPTIONS (Cost - $22,105) | 2,000 | |||||||||||
TOTAL PURCHASED OPTIONS (Cost - $427,694) | 576,875 | |||||||||||
Shares | ||||||||||||
SHORT-TERM INVESTMENTS - 1.8% | ||||||||||||
4,760,070 | Invesco Advisers, Inc. STIT - Liquid Assets Portfolio - Institutional Class, 1.64% + | 4,760,070 | ||||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost - $4,760,070) | 4,760,070 | |||||||||||
INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING - 20.3% | ||||||||||||
53,673,902 | First American Government Obligations Fund, Class Z, 1.60% + (b) | 53,673,902 | ||||||||||
TOTAL INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING (Cost - $53,673,902) | 53,673,902 | |||||||||||
TOTAL INVESTMENTS - 118.1% (Cost - $315,533,442) | 312,447,492 | |||||||||||
Liabilities In Excess Of Other Assets - (18.1)% | (47,882,601 | ) | ||||||||||
NET ASSETS - 100.0% | $ | 264,564,891 |
See accompanying notes to financial statements.
30
Horizon Active Income Fund |
Contracts | Notional Amount | Value | ||||||||||
SCHEDULE OF WRITTEN OPTIONS - (0.1)% * | ||||||||||||
SCHEDULE OF WRITTEN CALL OPTIONS - (0.1)% * | ||||||||||||
iShares iBoxx $ High Yield Corporate Bond ETF | ||||||||||||
1,778 | Expiration: June 2018, Exercise Price $85 ** | 15,180,564 | $ | 72,009 | ||||||||
iShares JP Morgan USD Emerging Markets Bond ETF | ||||||||||||
1,000 | Expiration: June 2018, Exercise Price $107 ** | 10,884,000 | 180,000 | |||||||||
TOTAL WRITTEN CALL OPTIONS (Premiums Received - $263,047) | 252,009 | |||||||||||
TOTAL WRITTEN OPTIONS (Premiums Received - $263,047) | $ | 252,009 |
* | Each Option is exercisable into 100 shares of the underlying security. |
** | Non-income producing security. |
+ | Money Market Fund; interest rate reflects seven-day yield on May 31, 2018. |
^ | Less than 0.1% |
(a) | All or a portion of the security is segregated as collateral for options written. The value of the security segregrated as collateral for options written is $25,407,800. |
(b) | Investments purchased with cash proceeds from securities lending. Total cash collateral has a value of $53,673,902 as of May 31, 2018. |
(c) | All or a portion of this security is out on loan as of May 31, 2018. Total value of securities out on loan is $52,428,222. |
(d) | Affiliated Security. Please refer to Note 9 of the Notes to Financial Statements. |
See accompanying notes to financial statements.
31
Horizon Active Dividend Fund |
Shares | Value | |||||||
COMMON STOCKS - 89.0% | ||||||||
Advertising - 1.9% | ||||||||
8,261 | WPP PLC - ADR (b) | $ | 684,837 | |||||
Auto Manufacturers - 2.1% | ||||||||
17,816 | General Motors Co. | 760,743 | ||||||
Banks - 7.0% | ||||||||
105,928 | Mitsubishi UFJ Financial Group, Inc. - ADR | 636,627 | ||||||
21,416 | PacWest Bancorp | �� | 1,136,333 | |||||
4,877 | PNC Financial Services Group, Inc. | 699,411 | ||||||
2,472,371 | ||||||||
Biotechnology - 2.8% | ||||||||
5,483 | Amgen, Inc. | 984,856 | ||||||
Building Materials - 2.8% | ||||||||
29,024 | Johnson Controls International PLC | 974,045 | ||||||
Chemicals - 6.4% | ||||||||
40,125 | BASF SE - ADR | 996,304 | ||||||
24,946 | Nutrien Ltd. | 1,263,515 | ||||||
2,259,819 | ||||||||
Commercial Services - 3.3% | ||||||||
8,839 | Automatic Data Processing, Inc. | 1,149,247 | ||||||
Computers - 2.6% | ||||||||
6,446 | International Business Machines Corp. | 910,884 | ||||||
Cosmetics/Personal Care - 1.7% | ||||||||
8,335 | Procter & Gamble Co. | 609,872 | ||||||
Diversified Financial Services - 2.2% | ||||||||
41,643 | Granite Point Mortgage Trust, Inc. | 761,651 | ||||||
Food - 4.1% | ||||||||
19,356 | Conagra Brands, Inc. | 717,333 | ||||||
16,982 | General Mills, Inc. | 718,169 | ||||||
1,435,502 | ||||||||
Healthcare Products - 3.1% | ||||||||
12,620 | Medtronic PLC | 1,089,358 |
See accompanying notes to financial statements.
32
Horizon Active Dividend Fund |
Shares | Value | |||||||
Household Products/Wares - 4.0% | ||||||||
5,916 | Clorox Co. | $ | 714,830 | |||||
6,859 | Kimberly-Clark Corp. | 691,730 | ||||||
1,406,560 | ||||||||
Housewares - 1.7% | ||||||||
25,523 | Newell Brands, Inc. | 601,832 | ||||||
Insurance - 3.8% | ||||||||
47,048 | Aviva PLC - ADR | 638,442 | ||||||
36,457 | Manulife Financial Corp. | 686,485 | ||||||
1,324,927 | ||||||||
Machinery - Construction & Mining - 1.8% | ||||||||
27,252 | ABB Ltd. - ADR | 619,711 | ||||||
Office/Business Equipment - 0.9% | ||||||||
8,800 | Canon, Inc. - ADR ** | 299,552 | ||||||
Oil & Gas - 2.0% | ||||||||
5,214 | Helmerich & Payne, Inc. | 346,105 | ||||||
5,193 | Royal Dutch Shell PLC - ADR | 361,329 | ||||||
707,434 | ||||||||
Oil & Gas Services - 1.4% | ||||||||
7,121 | Schlumberger Ltd. | 488,999 | ||||||
Pharmaceuticals - 7.1% | ||||||||
7,965 | Allergan PLC | 1,201,122 | ||||||
10,457 | CVS Health Corp. | 662,869 | ||||||
23,157 | Roche Holding AG - ADR | 620,839 | ||||||
2,484,830 | ||||||||
Pipelines - 2.1% | ||||||||
27,770 | Williams Cos., Inc. | 745,902 | ||||||
Real Estate Investment Trusts - 10.1% | ||||||||
67,960 | Brixmor Property Group, Inc. | 1,079,205 | ||||||
67,555 | DDR Corp. | 1,026,160 | ||||||
21,354 | Invesco Mortgage Capital, Inc. | 346,575 | ||||||
48,559 | Kimco Realty Corp. | 750,722 | ||||||
22,492 | Two Harbors Investment Corp. | 349,751 | ||||||
3,552,413 | ||||||||
Retail - 2.7% | ||||||||
7,134 | Tiffany & Co. | 932,985 |
See accompanying notes to financial statements.
33
Horizon Active Dividend Fund |
Shares | Value | |||||||
Semiconductors - 9.3% | ||||||||
9,798 | KLA-Tencor Corp. | $ | 1,109,428 | |||||
9,920 | Texas Instruments, Inc. | 1,110,147 | ||||||
15,625 | Xilinx, Inc. | 1,064,219 | ||||||
3,283,794 | ||||||||
Telecommunications - 2.1% | ||||||||
53,433 | KDDI Corp. - ADR ** | 719,743 | ||||||
TOTAL COMMON STOCKS (Cost - $31,350,734) | 31,261,867 | |||||||
SHORT-TERM INVESTMENTS - 13.0% | ||||||||
4,570,470 | Invesco Advisers, Inc. STIT - Liquid Assets Portfolio - Institutional Class, 1.64% + | 4,570,470 | ||||||
TOTAL SHORT-TERM INVESTMENTS (Cost - $4,570,470) | 4,570,470 | |||||||
INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING - 1.9% | ||||||||
670,377 | First American Government Obligations Fund, Class Z, 1.60% + (a) | 670,377 | ||||||
TOTAL INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING (Cost - $670,377) | 670,377 | |||||||
TOTAL INVESTMENTS - 103.9% (Cost - $36,591,581) | 36,502,714 | |||||||
Liabilities In Excess Of Other Assets - (3.9)% | (1,375,759 | ) | ||||||
NET ASSETS - 100.0% | $ | 35,126,955 |
ADR - American Depositary Receipt
** | Non-income producing security. |
+ | Money Market Fund; interest rate reflects seven-day yield on May 31, 2018. |
(a) | Investments purchased with cash proceeds from securities lending. Total cash collateral has a value of $670,377 as of May 31, 2018. |
(b) | All or a portion of this security is out on loan as of May 31, 2018. Total value of securities out on loan is $659,635. |
See accompanying notes to financial statements.
34
Horizon Defined Risk Fund |
Shares | Value | |||||||
COMMON STOCKS - 97.2% | ||||||||
Aerospace/Defense - 2.9% | ||||||||
313 | Boeing Co. | $ | 110,226 | |||||
163 | General Dynamics Corp. | 32,879 | ||||||
156 | Lockheed Martin Corp. | 49,068 | ||||||
95 | Northrop Grumman Corp. | 31,089 | ||||||
157 | Raytheon Co. | 32,891 | ||||||
430 | United Technologies Corp. | 53,673 | ||||||
309,826 | ||||||||
Agriculture - 1.1% | ||||||||
1,010 | Altria Group, Inc. | 56,297 | ||||||
829 | Philip Morris International, Inc. | 65,939 | ||||||
122,236 | ||||||||
Airlines - 0.3% | ||||||||
378 | Delta Air Lines, Inc. | 20,431 | ||||||
310 | Southwest Airlines Co. | 15,835 | ||||||
36,266 | ||||||||
Apparel - 0.7% | ||||||||
865 | Nike, Inc. | 62,107 | ||||||
214 | VF Corp. | 17,368 | ||||||
79,475 | ||||||||
Auto Manufacturers - 0.7% | ||||||||
2,137 | Ford Motor Co. | 24,682 | ||||||
760 | General Motors Co. | 32,452 | ||||||
237 | PACCAR, Inc. | 14,749 | ||||||
71,883 | ||||||||
Auto Parts & Equipment - 0.2% | ||||||||
177 | Aptiv PLC | 17,257 | ||||||
Banks - 7.7% | ||||||||
5,459 | Bank of America Corp. (a) | 158,529 | ||||||
543 | Bank of New York Mellon Corp. | 29,729 | ||||||
423 | BB&T Corp. | 22,207 | ||||||
263 | Capital One Financial Corp. | 24,722 | ||||||
1,374 | Citigroup, Inc. | 91,632 | ||||||
212 | Goldman Sachs Group, Inc. | 47,887 | ||||||
1,838 | JPMorgan Chase & Co. (a) | 196,684 | ||||||
954 | Morgan Stanley | 47,834 | ||||||
253 | PNC Financial Services Group, Inc. | 36,283 | ||||||
196 | State Street Corp. | 18,838 | ||||||
2,641 | Wells Fargo & Co. (a) | 142,588 | ||||||
816,933 |
See accompanying notes to financial statements.
35
Horizon Defined Risk Fund |
Shares | Value | |||||||
Beverages - 1.8% | ||||||||
2,276 | Coca-Cola Co. | $ | 97,868 | |||||
102 | Constellation Brands, Inc., Class A | 22,754 | ||||||
763 | PepsiCo, Inc. | 76,491 | ||||||
197,113 | ||||||||
Biotechnology - 1.8% | ||||||||
354 | Amgen, Inc. | 63,586 | ||||||
114 | Biogen, Inc. ** | 33,511 | ||||||
406 | Celgene Corp. ** | 31,944 | ||||||
699 | Gilead Sciences, Inc. | 47,113 | ||||||
137 | Vertex Pharmaceuticals, Inc. ** | 21,098 | ||||||
197,252 | ||||||||
Building Materials - 0.2% | ||||||||
495 | Johnson Controls International PLC | 16,612 | ||||||
Chemicals - 1.7% | ||||||||
117 | Air Products & Chemicals, Inc. | 18,885 | ||||||
1,238 | DowDuPont, Inc. | 79,368 | ||||||
211 | LyondellBasell Industries NV, Class A | 23,657 | ||||||
142 | PPG Industries, Inc. | 14,331 | ||||||
155 | Praxair, Inc. | 24,220 | ||||||
50 | Sherwin-Williams Co. | 18,963 | ||||||
179,424 | ||||||||
Commercial Services - 0.9% | ||||||||
153 | Ecolab, Inc. | 21,819 | ||||||
643 | PayPal Holdings, Inc. ** | 52,771 | ||||||
136 | S&P Global, Inc. | 26,860 | ||||||
101,450 | ||||||||
Computers - 6.0% | ||||||||
360 | Accenture PLC, Class A | 56,066 | ||||||
2,738 | Apple, Inc. (a) | 511,650 | ||||||
493 | International Business Machines Corp. | 69,666 | ||||||
637,382 | ||||||||
Cosmetics/Personal Care - 1.5% | ||||||||
467 | Colgate-Palmolive Co. | 29,463 | ||||||
197 | Estee Lauder Cos., Inc., Class A | 29,440 | ||||||
1,337 | Procter & Gamble Co. | 97,828 | ||||||
156,731 | ||||||||
Diversified Financial Services - 4.1% | ||||||||
464 | American Express Co. | 45,611 | ||||||
87 | BlackRock, Inc. (a) | 46,478 | ||||||
724 | Charles Schwab Corp. | 40,269 |
See accompanying notes to financial statements.
36
Horizon Defined Risk Fund |
Shares | Value | |||||||
184 | CME Group, Inc. | $ | 29,974 | |||||
313 | Intercontinental Exchange, Inc. | 22,188 | ||||||
568 | MasterCard, Inc. | 107,988 | ||||||
1,108 | Visa, Inc. (a) | 144,838 | ||||||
437,346 | ||||||||
Electric - 2.2% | ||||||||
261 | American Electric Power Co., Inc. | 17,735 | ||||||
190 | Consolidated Edison, Inc. | 14,579 | ||||||
356 | Dominion Energy, Inc. | 22,852 | ||||||
373 | Duke Energy Corp. | 28,781 | ||||||
513 | Exelon Corp. | 21,233 | ||||||
251 | NextEra Energy, Inc. | 41,618 | ||||||
327 | PG&E Corp. | 14,169 | ||||||
297 | Public Service Enterprise Group, Inc. | 15,735 | ||||||
140 | Sempra Energy | 14,914 | ||||||
538 | Southern Co. | 24,156 | ||||||
323 | Xcel Energy, Inc. | 14,703 | ||||||
230,475 | ||||||||
Electrical Components & Equipment - 0.2% | ||||||||
339 | Emerson Electric Co. | 24,015 | ||||||
Electronics - 0.7% | ||||||||
217 | Fortive Corp. | 15,774 | ||||||
399 | Honeywell International, Inc. | 59,016 | ||||||
74,790 | ||||||||
Environmental Control - 0.2% | ||||||||
231 | Waste Management, Inc. | 19,106 | ||||||
Food - 0.6% | ||||||||
654 | Kraft Heinz Co. | 37,592 | ||||||
797 | Mondelez International, Inc., Class A | 31,298 | ||||||
68,890 | ||||||||
Forest Products & Paper - 0.1% | ||||||||
290 | International Paper Co. | 15,515 | ||||||
Hand/Machine Tools - 0.1% | ||||||||
106 | Stanley Black & Decker, Inc. | 14,759 | ||||||
Healthcare Products - 3.2% | ||||||||
933 | Abbott Laboratories | 57,407 | ||||||
285 | Baxter International, Inc. | 20,189 | ||||||
142 | Becton Dickinson & Co. | 31,466 | ||||||
740 | Boston Scientific Corp. ** | 22,489 |
See accompanying notes to financial statements.
37
Horizon Defined Risk Fund |
Shares | Value | |||||||
374 | Danaher Corp. | $ | 37,131 | |||||
61 | Intuitive Surgical, Inc. ** | 28,040 | ||||||
720 | Medtronic PLC | 62,150 | ||||||
197 | Stryker Corp. | 34,282 | ||||||
216 | Thermo Fisher Scientific, Inc. | 44,986 | ||||||
338,140 | ||||||||
Healthcare Services - 1.8% | ||||||||
135 | Anthem, Inc. | 29,892 | ||||||
130 | Cigna Corp. | 22,018 | ||||||
74 | Humana, Inc. | 21,532 | ||||||
510 | UnitedHealth Group, Inc. (a) | 123,170 | ||||||
196,612 | ||||||||
Insurance - 4.4% | ||||||||
415 | Aflac, Inc. | 18,700 | ||||||
190 | Allstate Corp. | 17,761 | ||||||
483 | American International Group, Inc. | 25,498 | ||||||
132 | Aon PLC, Class A | 18,463 | ||||||
1,325 | Berkshire Hathaway, Inc. ** (a) | 253,777 | ||||||
250 | Chubb Ltd. | 32,672 | ||||||
273 | Marsh & McLennan Cos., Inc. | 21,941 | ||||||
544 | MetLife, Inc. | 25,019 | ||||||
313 | Progressive Corp. | 19,434 | ||||||
226 | Prudential Financial, Inc. | 21,886 | ||||||
146 | Travelers Cos., Inc. | 18,764 | ||||||
473,915 | ||||||||
Internet - 12.0% | ||||||||
376 | Alphabet, Inc. ** (a) | 413,600 | ||||||
262 | Amazon.com, Inc. ** (a) | 426,960 | ||||||
26 | Booking Holdings, Inc. ** | 54,832 | ||||||
1,561 | Facebook, Inc. ** (a) | 299,369 | ||||||
233 | Netflix, Inc. ** | 81,923 | ||||||
1,276,684 | ||||||||
Leisure Time - 0.4% | ||||||||
387 | Carnival Corp. | 24,103 | ||||||
137 | Royal Caribbean Cruises Ltd. | 14,382 | ||||||
38,485 | ||||||||
Lodging - 0.4% | ||||||||
191 | Hilton Worldwide Holdings, Inc. | 15,415 | ||||||
194 | Marriott International, Inc. | 26,260 | ||||||
41,675 | ||||||||
Machinery-Construction & Mining - 0.5% | ||||||||
321 | Caterpillar, Inc. | 48,763 |
See accompanying notes to financial statements.
38
Horizon Defined Risk Fund |
Shares | Value | |||||||
Machinery-Diversified - 0.5% | ||||||||
95 | Cummins, Inc. | $ | 13,527 | |||||
174 | Deere & Co. | 26,015 | ||||||
57 | Roper Technologies, Inc. | 15,720 | ||||||
55,262 | ||||||||
Media - 2.2% | ||||||||
141 | Charter Communications, Inc. ** | 36,807 | ||||||
2,481 | Comcast Corp. | 77,357 | ||||||
998 | Twenty-First Century Fox, Inc. | 38,094 | ||||||
809 | Walt Disney Co. | 80,471 | ||||||
232,729 | ||||||||
Mining - 0.3% | ||||||||
1,002 | Freeport-McMoRan, Inc. | 16,934 | ||||||
379 | Newmont Mining Corp. | 14,754 | ||||||
31,688 | ||||||||
Miscellaneous Manufacturing - 1.8% | ||||||||
320 | 3M Co. | 63,113 | ||||||
235 | Eaton Corp PLC | 17,996 | ||||||
4,647 | General Electric Co. | 65,430 | ||||||
183 | Illinois Tool Works, Inc. | 26,297 | ||||||
93 | Parker-Hannifin Corp. | 15,894 | ||||||
188,730 | ||||||||
Oil & Gas - 5.1% | ||||||||
276 | Anadarko Petroleum Corp. | 19,265 | ||||||
1,015 | Chevron Corp. (a) | 126,164 | ||||||
634 | ConocoPhillips | 42,725 | ||||||
311 | EOG Resources, Inc. | 36,639 | ||||||
2,273 | Exxon Mobil Corp. (a) | 184,659 | ||||||
256 | Marathon Petroleum Corp. | 20,232 | ||||||
412 | Occidental Petroleum Corp. | 34,690 | ||||||
250 | Phillips 66 | 29,123 | ||||||
92 | Pioneer Natural Resources Co. | 17,765 | ||||||
234 | Valero Energy Corp. | 28,361 | ||||||
539,623 | ||||||||
Oil & Gas Services - 0.9% | ||||||||
600 | Baker Hughes & GE Co., Class A | 20,754 | ||||||
466 | Halliburton Co. | 23,179 | ||||||
742 | Schlumberger Ltd. | 50,953 | ||||||
94,886 | ||||||||
Pharmaceuticals - 6.0% | ||||||||
838 | AbbVie, Inc. | 82,912 | ||||||
186 | Allergan PLC | 28,049 |
See accompanying notes to financial statements.
39
Horizon Defined Risk Fund |
Shares | Value | |||||||
877 | Bristol-Myers Squibb Co. | $ | 46,148 | |||||
551 | CVS Health Corp. | 34,928 | ||||||
587 | Eli Lilly & Co. | 49,918 | ||||||
1,434 | Johnson & Johnson (a) | 171,535 | ||||||
1,443 | Merck & Co., Inc. | 85,902 | ||||||
3,177 | Pfizer, Inc. | 114,149 | ||||||
261 | Zoetis, Inc., Class A | 21,846 | ||||||
635,387 | ||||||||
Pipelines - 0.2% | ||||||||
1,180 | Kinder Morgan, Inc. | 19,682 | ||||||
Real Estate Investment Trusts - 1.9% | ||||||||
236 | American Tower Corp. | 32,656 | ||||||
93 | AvalonBay Communities, Inc. | 15,395 | ||||||
222 | Crown Castle International Corp. | 23,121 | ||||||
142 | Digital Realty Trust, Inc. | 15,262 | ||||||
42 | Equinix, Inc. | 16,668 | ||||||
247 | Equity Residential | 15,806 | ||||||
283 | Prologis, Inc. | 18,211 | ||||||
92 | Public Storage | 19,489 | ||||||
164 | Simon Property Group, Inc. | 26,276 | ||||||
414 | Weyerhaeuser Co. | 15,455 | ||||||
198,339 | ||||||||
Retail - 5.5% | ||||||||
235 | Costco Wholesale Corp. | 46,586 | ||||||
155 | Dollar General Corp. | 13,559 | ||||||
157 | Dollar Tree, Inc. ** | 12,967 | ||||||
618 | Home Depot, Inc. | 115,288 | ||||||
442 | Lowe's Cos., Inc. | 41,994 | ||||||
422 | McDonald's Corp. | 67,524 | ||||||
201 | Ross Stores, Inc. | 15,855 | ||||||
756 | Starbucks Corp. | 42,843 | ||||||
287 | Target Corp. | 20,920 | ||||||
334 | TJX Cos., Inc. | 30,167 | ||||||
530 | Walgreens Boots Alliance, Inc. | 33,067 | ||||||
1,584 | Walmart, Inc. (a) | 130,743 | ||||||
176 | Yum! Brands, Inc. | 14,314 | ||||||
585,827 | ||||||||
Semiconductors - 3.6% | ||||||||
219 | Broadcom, Inc. | 55,203 | ||||||
2,564 | Intel Corp. (a) | 141,533 | ||||||
327 | NVIDIA Corp. | 82,466 | ||||||
798 | QUALCOMM, Inc. | 46,380 |
See accompanying notes to financial statements.
40
Horizon Defined Risk Fund |
Shares | Value | |||||||||||
533 | Texas Instruments, Inc. | $ | 59,648 | |||||||||
385,230 | ||||||||||||
Software - 5.9% | ||||||||||||
265 | Adobe Systems, Inc. ** | 66,059 | ||||||||||
4,151 | Microsoft Corp. (a) | 410,285 | ||||||||||
2,184 | Oracle Corp. | 102,037 | ||||||||||
392 | salesforce.com, Inc. ** | 50,697 | ||||||||||
629,078 | ||||||||||||
Telecommunications - 3.0% | ||||||||||||
3,287 | AT&T, Inc. | 106,236 | ||||||||||
2,602 | Cisco Systems, Inc. | 111,132 | ||||||||||
2,226 | Verizon Communications, Inc. | 106,113 | ||||||||||
323,481 | ||||||||||||
Transportation - 1.9% | ||||||||||||
468 | CSX Corp. | 30,256 | ||||||||||
142 | FedEx Corp. | 35,375 | ||||||||||
151 | Norfolk Southern Corp. | 22,899 | ||||||||||
409 | Union Pacific Corp. | 58,389 | ||||||||||
461 | United Parcel Service, Inc. | 53,532 | ||||||||||
200,451 | ||||||||||||
TOTAL COMMON STOCKS (Cost - $10,349,002) | 10,359,403 | |||||||||||
Contracts | Notional Amount | |||||||||||
PURCHASED OPTIONS - 1.3% * | ||||||||||||
PURCHASED PUT OPTIONS - 1.3% * | ||||||||||||
S&P 500 Index | ||||||||||||
4 | Expiration: June 2018, Exercise Price $2,560 | 1,082,108 | 1,460 | |||||||||
8 | Expiration: June 2018, Exercise Price $2,720 | 2,164,216 | 24,960 | |||||||||
13 | Expiration: July 2018, Exercise Price $2,660 | 3,516,851 | 40,430 | |||||||||
13 | Expiration: August 2018, Exercise Price $2,690 | 3,516,851 | 70,655 | |||||||||
TOTAL PURCHASED PUT OPTIONS (Cost - $217,991) | 137,505 | |||||||||||
TOTAL PURCHASED OPTIONS (Cost - $217,991) | 137,505 | |||||||||||
Shares | ||||||||||||
SHORT-TERM INVESTMENTS - 2.3% | ||||||||||||
240,983 | Invesco Advisers, Inc. STIT - Liquid Assets Portfolio - Institutional Class, 1.64% + | 240,983 | ||||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost - $240,983) | 240,983 |
See accompanying notes to financial statements.
41
Horizon Defined Risk Fund |
Shares | Value | |||||||||||
TOTAL INVESTMENTS - 100.8% (Cost - $10,807,976) | $ | 10,737,891 | ||||||||||
Liabilities In Excess Of Other Assets - (0.8)% | (80,614 | ) | ||||||||||
NET ASSETS - 100.0% | $ | 10,657,877 | ||||||||||
Contracts | Notional Amount | |||||||||||
SCHEDULE OF WRITTEN OPTIONS - (0.8)% * | ||||||||||||
SCHEDULE OF WRITTEN CALL OPTIONS - (0.4)% | ||||||||||||
S&P 500 Index | ||||||||||||
4 | Expiration: June 2018, Exercise Price $2,710 | 1,082,108 | $ | 8,880 | ||||||||
8 | Expiration: June 2018, Exercise Price $2,850 | 2,164,216 | 160 | |||||||||
12 | Expiration: July 2018, Exercise Price $2,780 | 3,246,324 | 15,180 | |||||||||
12 | Expiration: August 2018, Exercise Price $2,800 | 3,246,324 | 20,280 | |||||||||
TOTAL WRITTEN CALL OPTIONS (Premiums Received - $101,293) | 44,500 | |||||||||||
SCHEDULE OF WRITTEN PUT OPTIONS - (0.4)% * | ||||||||||||
S&P 500 Index | ||||||||||||
4 | Expiration: June 2018, Exercise Price $2,330 | 1,082,108 | 370 | |||||||||
9 | Expiration: June 2018, Exercise Price $2,490 | 2,434,743 | 1,890 | |||||||||
14 | Expiration: July 2018, Exercise Price $2,450 | 3,787,378 | 11,550 | |||||||||
14 | Expiration: August 2018, Exercise Price $2,500 | 3,787,378 | 27,580 | |||||||||
TOTAL WRITTEN PUT OPTIONS (Premiums Received - $86,886) | 41,390 | |||||||||||
TOTAL WRITTEN OPTIONS (Premiums Received - $188,179) | $ | 85,890 |
* | Each Option is equivalent to 100 shares of the underlying security. |
** | Non-income producing security. |
+ | Money Market Fund; interest rate reflects seven-day yield on May 31, 2018. |
(a) | All or a portion of the security is segregated as collateral for options written. The value of the securities segregrated as collateral for options written is $3,383,453. |
See accompanying notes to financial statements.
42
Horizon Funds |
Horizon Active Asset Allocation Fund | Horizon Active Risk Assist Fund | Horizon Active Income Fund | ||||||||||
Assets: | ||||||||||||
Investments in Unaffiliated Securities, at Cost | $ | 461,485,371 | $ | 587,793,721 | $ | 311,603,466 | ||||||
Investments in Affiliated Securities, at Cost | — | — | 3,929,976 | |||||||||
Investments in Unaffiliated Securities, at Value | $ | 462,550,050 | $ | 584,415,170 | $ | 308,549,299 | ||||||
Investments in Affiliated Securities, at Value | — | — | 3,898,193 | |||||||||
Cash | — | — | 12,278 | |||||||||
Receivable for Investment Securities Sold | 179,909 | 179,909 | 6,136,198 | |||||||||
Cash Held at Broker | 932,234 | 995,449 | — | |||||||||
Receivable for Fund Shares Sold | 1,546,352 | 2,217,702 | 509,229 | |||||||||
Dividends and Interest Receivable | 7,038 | 78,409 | 39,108 | |||||||||
Dividend Reclaims | — | 145 | — | |||||||||
Prepaid Expenses and Other Assets | 64,481 | 78,080 | 85,666 | |||||||||
Total Assets | 465,280,064 | 587,960,864 | 319,229,971 | |||||||||
Liabilities: | ||||||||||||
Options written, at value (Premiums received $2,468,371, $1,300,415, and $263,047) | 1,460,200 | 691,200 | 252,009 | |||||||||
Collateral received for securities loaned (Note 5) | 9,989,025 | 28,073,040 | 53,673,902 | |||||||||
Payable for Investment Securities Purchased | 703,423 | 703,423 | — | |||||||||
Payable for Fund Shares Redeemed | 146,902 | 271,172 | 386,159 | |||||||||
Due to Broker | — | — | 12,278 | |||||||||
Accrued Advisory Fees | 382,476 | 485,468 | 216,899 | |||||||||
Accrued Custodian Fees | 4,611 | 4,124 | 2,594 | |||||||||
Accrued Distribution Fees (12b-1) - Advisor Class | 1,616 | 89 | 157 | |||||||||
Accrued Shareholder Servicing Fees - Investor Class | 65,650 | 67,779 | 32,532 | |||||||||
Accrued Expenses and Other Liabilities | 133,792 | 125,020 | 88,550 | |||||||||
Total Liabilities | 12,887,695 | 30,421,315 | 54,665,080 | |||||||||
Net Assets | $ | 452,392,369 | $ | 557,539,549 | $ | 264,564,891 | ||||||
Composition of Net Assets: | ||||||||||||
Net assets consisted of: | ||||||||||||
Paid in Capital | $ | 410,582,703 | $ | 520,167,867 | $ | 279,918,414 | ||||||
Undistributed Net Investment Loss | (1,204,434 | ) | (1,025,761 | ) | (21,674 | ) | ||||||
Accumulated Net Realized Gain (Loss) on Investments, | ||||||||||||
Purchased Options and Options Written | 40,941,250 | 41,166,779 | (12,256,937 | ) | ||||||||
Net Unrealized Appreciation (Depreciation) on Unaffiliated Investments | ||||||||||||
Purchased Options and Options Written | 2,072,850 | (2,769,336 | ) | (3,043,129 | ) | |||||||
Net Unrealized Depreciation on Affiliated Investments | ||||||||||||
Purchased Options and Options Written | — | — | (31,783 | ) | ||||||||
Net Assets | $ | 452,392,369 | $ | 557,539,549 | $ | 264,564,891 | ||||||
Investor Class Shares: | ||||||||||||
Net Asset Value Per Share: | ||||||||||||
Net Assets | $ | 415,444,975 | $ | 550,143,224 | $ | 255,520,216 | ||||||
Shares of Beneficial Interest Outstanding | 31,825,852 | 24,521,378 | 27,360,475 | |||||||||
Net Asset Value, (Net Assets / Shares Outstanding) Offering and Redemption Price Per Share | $ | 13.05 | $ | 22.44 | $ | 9.34 | ||||||
Advisor Class Shares: | ||||||||||||
Net Assets | $ | 6,717,950 | $ | 396,879 | $ | 1,138,230 | ||||||
Shares of Beneficial Interest Outstanding | 516,678 | 17,673 | 121,522 | |||||||||
Net Asset Value, (Net Assets / Shares Outstanding) Offering and Redemption Price Per Share | $ | 13.00 | $ | 22.46 | $ | 9.37 | ||||||
Institutional Class Shares: | ||||||||||||
Net Assets | $ | 30,229,444 | $ | 6,999,446 | $ | 7,906,445 | ||||||
Shares of Beneficial Interest Outstanding | 2,311,205 | 311,169 | 847,249 | |||||||||
Net Asset Value, (Net Assets / Shares Outstanding) Offering and Redemption Price Per Share | $ | 13.08 | $ | 22.49 | $ | 9.33 |
See accompanying notes to financial statements.
43
Horizon Funds |
Horizon Active Dividend Fund | Horizon Defined Risk Fund | |||||||
Assets: | ||||||||
Investments in Unaffiliated Securities, at Cost | $ | 36,591,581 | $ | 10,807,976 | ||||
Investments in Unaffiliated Securities, at Value | $ | 36,502,714 | $ | 10,737,891 | ||||
Cash Held at Broker | — | 19,986 | ||||||
Receivable for Fund Shares Sold | 102,279 | 16,985 | ||||||
Dividends and Interest Receivable | 71,875 | 23,319 | ||||||
Dividend Reclaims | 11,858 | — | ||||||
Prepaid Expenses and Other Assets | 35,461 | 3,397 | ||||||
Total Assets | 36,724,187 | 10,801,578 | ||||||
Liabilities: | ||||||||
Options written, at value (Premiums received $0 and $188,179) | — | 85,890 | ||||||
Collateral received for securities loaned (Note 5) | 670,377 | — | ||||||
Payable for Investment Securities Purchased | 848,455 | — | ||||||
Payable for Fund Shares Redeemed | 27,406 | 25,778 | ||||||
Accrued Advisory Fees | 17,911 | 1,732 | ||||||
Accrued Custodian Fees | 3,699 | 1,923 | ||||||
Accrued Distribution Fees (12b-1) - Investor Class | — | 501 | ||||||
Accrued Distribution Fees (12b-1) - Advisor Class | 7,532 | 3,431 | ||||||
Accrued Expenses and Other Liabilities | 21,852 | 24,446 | ||||||
Total Liabilities | 1,597,232 | 143,701 | ||||||
Net Assets | $ | 35,126,955 | $ | 10,656,657 | ||||
Composition of Net Assets: | ||||||||
Net assets consisted of: | ||||||||
Paid in Capital | $ | 33,765,096 | $ | 10,740,737 | ||||
Undistributed Net Investment Income (Loss) | (448 | ) | 21,095 | |||||
Accumulated Net Realized Gain (Loss) on Investments, | ||||||||
Purchased Options and Options Written | 1,451,293 | (136,159 | ) | |||||
Net Unrealized Appreciation (Depreciation) on Unaffiliated Investments | ||||||||
Purchased Options and Options Written | (88,986 | ) | 32,204 | |||||
Net Assets | $ | 35,126,955 | $ | 10,657,877 | ||||
Investor Class Shares: | ||||||||
Net Asset Value Per Share: | ||||||||
Net Assets | $ | 25,876,269 | $ | 2,635,426 | ||||
Shares of Beneficial Interest Outstanding | 435,269 | 53,086 | ||||||
Net Asset Value, (Net Assets / Shares Outstanding) Offering and Redemption Price Per Share | $ | 59.45 | $ | 49.64 | ||||
Advisor Class Shares: | ||||||||
Net Assets | $ | 9,250,686 | $ | 8,022,451 | ||||
Shares of Beneficial Interest Outstanding | 155,620 | 161,552 | ||||||
Net Asset Value, (Net Assets / Shares Outstanding) Offering and Redemption Price Per Share | $ | 59.44 | $ | 49.66 |
See accompanying notes to financial statements.
44
Horizon Funds |
Horizon Active Asset Allocation Fund | Horizon Active Risk Assist Fund | Horizon Active Income Fund | ||||||||||
Investment Income: | ||||||||||||
Dividend Income from unaffiliated securities (net of foreign withholdings tax of $0, $56, and $0) | $ | 3,662,390 | $ | 3,976,948 | $ | 4,434,063 | ||||||
Dividend Income from affiliated Securities | — | — | 59,929 | |||||||||
Interest Income | 49,925 | 73,988 | 36,829 | |||||||||
Securities Lending Income^ | 16,864 | 75,138 | 44,617 | |||||||||
Total Investment Income | 3,729,179 | 4,126,074 | 4,575,438 | |||||||||
Expenses: | ||||||||||||
Investment Advisory Fees | 2,233,075 | 2,465,751 | 900,377 | |||||||||
Shareholder Servicing Fees - Investor Class | 200,560 | 238,193 | 112,515 | |||||||||
Distribution Fees (12b-1) - Advisor Class | 7,280 | 450 | 1,162 | |||||||||
Dividend Expenses | — | — | 1,747 | |||||||||
Administrative & Accounting Service Fees | 137,805 | 152,617 | 69,199 | |||||||||
Transfer Agent Fees | 60,966 | 56,823 | 62,958 | |||||||||
Registration Fees | 27,803 | 26,472 | 20,003 | |||||||||
Custodian Fees | 11,701 | 14,230 | 5,749 | |||||||||
Printing and Postage Expenses | 13,318 | 10,209 | 10,084 | |||||||||
Chief Compliance Officer & Compliance Fees | 33,783 | 33,500 | 17,648 | |||||||||
Trustees' Fees and Expenses | 27,416 | 27,350 | 14,336 | |||||||||
Insurance Fees | 9,204 | 8,546 | 4,373 | |||||||||
Audit Fees | 8,478 | 8,477 | 8,478 | |||||||||
Legal Fees | 44,702 | 44,287 | 18,874 | |||||||||
Interest Expense | — | — | 118 | |||||||||
Miscellaneous Expenses | 9,322 | 8,521 | 4,445 | |||||||||
Total Expenses | 2,825,413 | 3,095,426 | 1,252,066 | |||||||||
Less: Securities Lending Expense Offset^ | (4,549 | ) | (18,358 | ) | (69,423 | ) | ||||||
Less: Fees Recouped / (Waived) by the Adviser | (57,224 | ) | (8,785 | ) | 90,527 | |||||||
Net Expenses | 2,763,640 | 3,068,283 | 1,273,170 | |||||||||
Net Investment Income | 965,539 | 1,057,791 | 3,302,268 | |||||||||
Net Realized and Unrealized Gain (Loss) on Investments: | ||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||
Unaffiliated Investments | 30,087,473 | 31,620,136 | (5,812,933 | ) | ||||||||
Affiliated Investments | — | — | (8 | ) | ||||||||
Purchased Options | 15,488,551 | 13,580,035 | (463,896 | ) | ||||||||
Written Options | (3,803,693 | ) | (3,375,987 | ) | 189,593 | |||||||
Distributions of Long-Term Capital Gains by Underlying Investment Companies | 120,150 | 122,180 | — | |||||||||
Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||
Unaffiliated Investments | (27,170,028 | ) | (28,923,630 | ) | (2,587,791 | ) | ||||||
Affiliated Investments | — | — | (31,783 | ) | ||||||||
Purchased Options | (2,605,655 | ) | (1,458,272 | ) | 670,252 | |||||||
Written Options | 840,517 | (158,124 | ) | (111,721 | ) | |||||||
Net Realized and Unrealized Gain (Loss) on Investments | 12,957,315 | 11,406,338 | (8,148,287 | ) | ||||||||
Net Increase (Decrease) in Net Assets Resulting From Operations | $ | 13,922,854 | $ | 12,464,129 | $ | (4,846,019 | ) |
^ | Effective March 28, 2018, the Funds are entitled to utilize Securities Lending Income to offset against certain Fund expenses (See Note 5). |
See accompanying notes to financial statements.
45
Horizon Funds |
Horizon Active Dividend Fund | Horizon Defined Risk Fund (1) | |||||||
Investment Income: | ||||||||
Dividend Income from unaffiliated securities (net of foreign withholdings tax of $30,630 and $0) | $ | 520,340 | $ | 47,583 | ||||
Dividend Income from affiliated Securities | — | — | ||||||
Interest Income | 21,234 | 1,612 | ||||||
Securities Lending Income^ | 3,633 | 13 | ||||||
Total Investment Income | 545,207 | 49,208 | ||||||
Expenses: | ||||||||
Investment Advisory Fees | 117,171 | 19,531 | ||||||
Distribution Fees (12b-1) - Investor Class | 12,645 | 951 | ||||||
Distribution Fees (12b-1) - Advisor Class | 7,445 | 4,223 | ||||||
Administrative & Accounting Service Fees | 12,382 | 1,689 | ||||||
Transfer Agent Fees | 18,771 | 2,452 | ||||||
Registration Fees | 4,369 | 260 | ||||||
Custodian Fees | 5,268 | 3,029 | ||||||
Printing and Postage Expenses | 2,208 | 231 | ||||||
Chief Compliance Officer & Compliance Fees | 4,314 | 1,467 | ||||||
Trustees' Fees and Expenses | 3,163 | 1,352 | ||||||
Insurance Fees | 281 | — | ||||||
Audit Fees | 8,478 | 7,769 | ||||||
Legal Fees | 3,028 | 467 | ||||||
Miscellaneous Expenses | 1,163 | 94 | ||||||
Total Expenses | 200,686 | 43,515 | ||||||
Less: Securities Lending Expense Offset^ | (5,455 | ) | — | |||||
Less: Fees Waived by the Adviser | (20,581 | ) | (15,402 | ) | ||||
Net Expenses | 174,650 | 28,113 | ||||||
Net Investment Income | 370,557 | 21,095 | ||||||
Net Realized and Unrealized Gain (Loss) on Investments: | ||||||||
Net Realized Gain (Loss) on: | ||||||||
Unaffiliated Investments | 1,451,254 | (171,777 | ) | |||||
Purchased Options | — | (71,664 | ) | |||||
Written Options | — | 107,282 | ||||||
Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||
Unaffiliated Investments | (934,192 | ) | 10,400 | |||||
Purchased Options | — | (80,485 | ) | |||||
Written Options | — | 102,289 | ||||||
Net Realized and Unrealized Gain (Loss) on Investments | 517,062 | (103,955 | ) | |||||
Net Increase (Decrease) in Net Assets Resulting From Operations | $ | 887,619 | $ | (82,860 | ) |
^ | Effective March 28, 2018, the Funds are entitled to utilize Securities Lending Income to offset against certain Fund expenses (See Note 5). |
(1) | Horizon Defined Risk Fund commenced operations on December 28, 2017. |
See accompanying notes to financial statements.
46
Horizon Active Asset Allocation Fund |
For the Six Months Ended May 31, 2018 | For the Year Ended November 30, 2017 | |||||||
(Unaudited) | ||||||||
Operations: | ||||||||
Net Investment Income | $ | 965,539 | $ | 2,317,055 | ||||
Net Realized Gain (Loss) on Investments, | ||||||||
Purchased Options and Written Options | 41,772,331 | 58,792,310 | ||||||
Distributions of Long-Term Capital Gains by Underlying Investment Companies | 120,150 | — | ||||||
Net Change in Unrealized Appreciation (Depreciation) on | ||||||||
Investments, Purchased Options and Written Options | (28,935,166 | ) | 21,951,095 | |||||
Net Increase in Net Assets Resulting From Operations | 13,922,854 | 83,060,460 | ||||||
Distributions to Shareholders From: | ||||||||
From net investment income | ||||||||
Investor Class | (1,989,478 | ) | (3,160,658 | ) | ||||
Advisor Class | (27,768 | ) | (24,872 | ) | ||||
Institutional Class | (152,727 | ) | (103,172 | ) | ||||
From net realized gains | ||||||||
Investor Class | (41,281,667 | ) | — | |||||
Advisor Class | (589,921 | ) | — | |||||
Institutional Class | (3,116,803 | ) | — | |||||
Total Distributions to Shareholders | (47,158,364 | ) | (3,288,702 | ) | ||||
Capital Share Transactions: | ||||||||
Proceeds from Shares Issued | ||||||||
Investor Class | 77,008,966 | 88,577,101 | ||||||
Advisor Class | 1,957,108 | 2,839,959 | ||||||
Institutional Class | 3,926,366 | 26,064,072 | ||||||
Distributions Reinvested | ||||||||
Investor Class | 42,833,605 | 3,134,834 | ||||||
Advisor Class | 517,167 | 18,935 | ||||||
Institutional Class | 3,269,530 | 103,172 | ||||||
Cost of Shares Redeemed | ||||||||
Investor Class | (67,704,679 | ) | (127,596,252 | ) | ||||
Advisor Class | (392,797 | ) | (728,867 | ) | ||||
Institutional Class | (3,714,451 | ) | (9,594,320 | ) | ||||
Net Increase (Decrease) in Net Assets Resulting From Beneficial Interest Transactions | 57,700,815 | (17,181,366 | ) | |||||
Increase in Net Assets | 24,465,305 | 62,590,392 | ||||||
Net Assets: | ||||||||
Beginning of Period/Year | 427,927,064 | 365,336,672 | ||||||
End of Period/Year* | $ | 452,392,369 | $ | 427,927,064 | ||||
* Includes Undistributed Net Investment Income (Loss) of: | $ | (1,204,434 | ) | $ | — | |||
Share Activity: | ||||||||
Investor Class: | ||||||||
Shares Issued | 5,827,503 | 6,952,864 | ||||||
Shares Reinvested | 3,367,422 | 267,934 | ||||||
Shares Redeemed | (5,107,326 | ) | (10,116,721 | ) | ||||
Net Increase (Decrease) | 4,087,599 | (2,895,923 | ) | |||||
Advisor Class: | ||||||||
Shares Issued | 146,760 | 219,598 | ||||||
Shares Reinvested | 40,786 | 1,621 | ||||||
Shares Redeemed | (30,021 | ) | (56,633 | ) | ||||
Net Increase | 157,525 | 164,586 | ||||||
Institutional Class: | ||||||||
Shares Issued | 293,789 | 1,982,738 | ||||||
Shares Reinvested | 256,635 | 8,818 | ||||||
Shares Redeemed | (279,610 | ) | (711,353 | ) | ||||
Net Increase | 270,814 | 1,280,203 |
See accompanying notes to financial statements.
47
Horizon Active Risk Assist Fund |
For the Six Months Ended May 31, 2018 | For the Year Ended November 30, 2017 | |||||||
(Unaudited) | ||||||||
Operations: | ||||||||
Net Investment Income | $ | 1,057,791 | $ | 2,011,843 | ||||
Net Realized Gain (Loss) on Investments, | ||||||||
Purchased Options and Written Options | 41,824,184 | 38,452,682 | ||||||
Distributions of Long-Term Capital Gains by Underlying Investment Companies | 122,180 | — | ||||||
Net Change in Unrealized Appreciation (Depreciation) on | ||||||||
Investments, Purchased Options and Written Options | (30,540,026 | ) | 20,897,869 | |||||
Net Increase in Net Assets Resulting From Operations | 12,464,129 | 61,362,394 | ||||||
Distributions to Shareholders From: | ||||||||
From net investment income | ||||||||
Investor Class | (2,182,216 | ) | (2,743,024 | ) | ||||
Advisor Class | (1,416 | ) | (2,886 | ) | ||||
Institutional Class | (43,377 | ) | (70 | ) | ||||
From net realized gains | ||||||||
Investor Class | (17,088,405 | ) | — | |||||
Advisor Class | (13,918 | ) | — | |||||
Institutional Class | (266,062 | ) | — | |||||
Total Distributions to Shareholders | (19,595,394 | ) | (2,745,980 | ) | ||||
Capital Share Transactions: | ||||||||
Proceeds from Shares Issued | ||||||||
Investor Class | 171,807,826 | 131,188,889 | ||||||
Advisor Class | 76,565 | 32,071 | ||||||
Institutional Class | 831,468 | 6,522,281 | ||||||
Distributions Reinvested | ||||||||
Investor Class | 18,955,229 | 2,685,810 | ||||||
Advisor Class | 15,334 | 2,886 | ||||||
Institutional Class | 309,439 | 70 | ||||||
Cost of Shares Redeemed | ||||||||
Investor Class | (51,810,852 | ) | (93,387,324 | ) | ||||
Advisor Class | (38,912 | ) | (56,176 | ) | ||||
Institutional Class | (682,245 | ) | (102,168 | ) | ||||
Net Increase in Net Assets Resulting From Beneficial Interest Transactions | 139,463,852 | 46,886,339 | ||||||
Increase in Net Assets | 132,332,587 | 105,502,753 | ||||||
Net Assets: | ||||||||
Beginning of Period/Year | 425,206,962 | 319,704,209 | ||||||
End of Period/Year* | $ | 557,539,549 | $ | 425,206,962 | ||||
* Includes Undistributed Net Investment Income (Loss) of: | $ | (1,025,761 | ) | $ | 143,457 | |||
Share Activity: | ||||||||
Investor Class: | ||||||||
Shares Issued | 7,603,574 | 6,179,225 | ||||||
Shares Reinvested | 865,931 | 138,230 | ||||||
Shares Redeemed | (2,289,833 | ) | (4,519,518 | ) | ||||
Net Increase | 6,179,672 | 1,797,937 | ||||||
Advisor Class: | ||||||||
Shares Issued | 3,423 | 1,551 | ||||||
Shares Reinvested | 701 | 149 | ||||||
Shares Redeemed | (1,709 | ) | (2,639 | ) | ||||
Net Increase (Decrease) | 2,415 | (939 | ) | |||||
Institutional Class: | ||||||||
Shares Issued | 36,733 | 294,586 | ||||||
Shares Reinvested | 14,130 | 4 | ||||||
Shares Redeemed | (30,081 | ) | (4,544 | ) | ||||
Net Increase | 20,782 | 290,046 |
See accompanying notes to financial statements.
48
Horizon Active Income Fund |
For the Six Months Ended May 31, 2018 | For the Year Ended November 30, 2017 | |||||||
(Unaudited) | ||||||||
Operations: | ||||||||
Net Investment Income | $ | 3,302,268 | $ | 4,968,225 | ||||
Net Realized Loss on Investments, | ||||||||
Purchased Options and Written Options | (6,087,244 | ) | (4,663,270 | ) | ||||
Distributions of Long-Term Capital Gains by Underlying Investment Companies | — | 15,836 | ||||||
Net Change in Unrealized Appreciation (Depreciation) on | ||||||||
Investments, Purchased Options and Written Options | (2,061,043 | ) | 7,612,924 | |||||
Net Increase (Decrease) in Net Assets Resulting From Operations | (4,846,019 | ) | 7,933,715 | |||||
Distributions to Shareholders From: | ||||||||
From net investment income | ||||||||
Investor Class | (4,288,897 | ) | (4,741,698 | ) | ||||
Advisor Class | (16,976 | ) | (694 | ) | ||||
Institutional Class | (158,424 | ) | (134,221 | ) | ||||
Total Distributions to Shareholders | (4,464,297 | ) | (4,876,613 | ) | ||||
Capital Share Transactions: | ||||||||
Proceeds from Shares Issued | ||||||||
Investor Class | 84,482,773 | 61,379,496 | ||||||
Advisor Class | 512,081 | 673,867 | ||||||
Institutional Class | 1,267,856 | 9,603,596 | ||||||
Distributions Reinvested | ||||||||
Investor Class | 4,050,292 | 4,665,766 | ||||||
Advisor Class | 16,976 | 694 | ||||||
Institutional Class | 158,424 | 134,221 | ||||||
Cost of Shares Redeemed | ||||||||
Investor Class | (24,586,073 | ) | (56,294,921 | ) | ||||
Advisor Class | (12,007 | ) | (19,975 | ) | ||||
Institutional Class | (1,280,636 | ) | (4,210,485 | ) | ||||
Net Increase in Net Assets Resulting From Beneficial Interest Transactions | 64,609,686 | 15,932,259 | ||||||
Increase in Net Assets | 55,299,370 | 18,989,361 | ||||||
Net Assets: | ||||||||
Beginning of Period/Year | 209,265,521 | 190,276,160 | ||||||
End of Period/Year* | $ | 264,564,891 | $ | 209,265,521 | ||||
* Includes Undistributed Net Investment Income (Loss) of: | $ | (21,674 | ) | $ | 1,140,355 | |||
Share Activity: | ||||||||
Investor Class: | ||||||||
Shares Issued | 8,902,952 | 6,325,698 | ||||||
Shares Reinvested | 427,044 | 483,230 | ||||||
Shares Redeemed | (2,586,672 | ) | (5,817,951 | ) | ||||
Net Increase | 6,743,324 | 990,977 | ||||||
Advisor Class: | ||||||||
Shares Issued | 53,307 | 68,987 | ||||||
Shares Reinvested | 1,783 | 71 | ||||||
Shares Redeemed | (1,261 | ) | (2,040 | ) | ||||
Net Increase | 53,829 | 67,018 | ||||||
Institutional Class: | ||||||||
Shares Issued | 133,436 | 981,019 | ||||||
Shares Reinvested | 16,683 | 13,833 | ||||||
Shares Redeemed | (134,379 | ) | (432,184 | ) | ||||
Net Increase | 15,740 | 562,668 |
See accompanying notes to financial statements.
49
Horizon Active Dividend Fund |
For the Six Months Ended May 31, 2018 | For the | |||||||
(Unaudited) | ||||||||
Operations: | ||||||||
Net Investment Income | $ | 370,557 | $ | 64,869 | ||||
Net Realized Gain (Loss) on Investments, | ||||||||
Purchased Options and Written Options | 1,451,254 | 367,629 | ||||||
Net Change in Unrealized Appreciation (Depreciation) on | ||||||||
Investments, Purchased Options and Written Options | (934,192 | ) | 845,250 | |||||
Net Increase in Net Assets Resulting From Operations | 887,619 | 1,277,748 | ||||||
Distributions to Shareholders From: | ||||||||
From net investment income | ||||||||
Investor Class | (348,071 | ) | (713 | ) | ||||
Advisor Class | (86,771 | ) | — | |||||
From net realized gains | ||||||||
Investor Class | (323,845 | ) | — | |||||
Advisor Class | (44,106 | ) | — | |||||
Total Distributions to Shareholders | (802,793 | ) | (713 | ) | ||||
Capital Share Transactions: | ||||||||
Proceeds from Shares Issued | ||||||||
Investor Class | 3,999,602 | 24,122,285 | ||||||
Advisor Class | 6,461,382 | 3,207,652 | ||||||
Distributions Reinvested | ||||||||
Investor Class | 671,916 | 617 | ||||||
Advisor Class | 108,222 | — | ||||||
Cost of Shares Redeemed | ||||||||
Investor Class | (3,438,537 | ) | (684,733 | ) | ||||
Advisor Class | (622,676 | ) | (60,636 | ) | ||||
Net Increase in Net Assets Resulting From Beneficial Interest Transactions | 7,179,909 | 26,585,185 | ||||||
Increase in Net Assets | 7,264,735 | 27,862,220 | ||||||
Net Assets: | ||||||||
Beginning of Period/Year | 27,862,220 | — | ||||||
End of Period/Year* | $ | 35,126,955 | $ | 27,862,220 | ||||
* Includes Undistributed Net Investment Income (Loss) of: | $ | (448 | ) | $ | 63,837 | |||
Share Activity: | ||||||||
Investor Class: | ||||||||
Shares Issued | 66,463 | 426,287 | ||||||
Shares Reinvested | 11,161 | 12 | ||||||
Shares Redeemed | (56,719 | ) | (11,935 | ) | ||||
Net Increase | 20,905 | 414,364 | ||||||
Advisor Class: | ||||||||
Shares Issued | 107,468 | 57,756 | ||||||
Shares Reinvested | 1,799 | — | ||||||
Shares Redeemed | (10,348 | ) | (1,055 | ) | ||||
Net Increase | 98,919 | 56,701 |
(1) | The Horizon Active Dividend Fund commenced operations on December 28, 2016. |
See accompanying notes to financial statements.
50
Horizon Defined Risk Fund |
For the | ||||
(Unaudited) | ||||
Operations: | ||||
Net Investment Income | $ | 21,095 | ||
Net Realized Gain (Loss) on Investments, | ||||
Purchased Options and Written Options | (136,159 | ) | ||
Net Change in Unrealized Appreciation (Depreciation) on | ||||
Investments, Purchased Options and Written Options | 32,204 | |||
Net Decrease in Net Assets Resulting From Operations | (82,860 | ) | ||
Distributions to Shareholders From: | ||||
From net investment income | ||||
Investor Class | — | |||
Advisor Class | — | |||
Total Distributions to Shareholders | — | |||
Capital Share Transactions: | ||||
Proceeds from Shares Issued | ||||
Investor Class | 2,756,395 | |||
Advisor Class | 8,467,289 | |||
Distributions Reinvested | ||||
Investor Class | — | |||
Advisor Class | — | |||
Cost of Shares Redeemed | ||||
Investor Class | (99,064 | ) | ||
Advisor Class | (383,883 | ) | ||
Net Increase in Net Assets Resulting From Beneficial Interest Transactions | 10,740,737 | |||
Increase in Net Assets | 10,657,877 | |||
Net Assets: | ||||
Beginning of Period | — | |||
End of Period* | $ | 10,657,877 | ||
* Includes Undistributed Net Investment Income of: | $ | 21,095 | ||
Share Activity: | ||||
Investor Class: | ||||
Shares Issued | 55,085 | |||
Shares Reinvested | — | |||
Shares Redeemed | (1,999 | ) | ||
Net Increase (Decrease) | 53,086 | |||
Advisor Class: | ||||
Shares Issued | 169,306 | |||
Shares Reinvested | — | |||
Shares Redeemed | (7,754 | ) | ||
Net Increase (Decrease) | 161,552 |
(1) | The Horizon Defined Risk Fund commenced operations on December 28, 2017. |
See accompanying notes to financial statements.
51
Horizon Active Asset Allocation Fund |
The table below sets forth financial data for one share of beneficial interest outstanding throughout each period/year.
Investor Class | ||||||||||||||||||||||||
For the Six Months Ended May 31, 2018 | For the Year Ended November 30, 2017 | For the Year Ended November 30, 2016 | For the Year Ended November 30, 2015 | For the Year Ended November 30, 2014 | For the Year Ended November 30, 2013 | |||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||
Net Asset Value, Beginning of Period/Year | $ | 14.20 | $ | 11.56 | $ | 11.99 | $ | 12.67 | $ | 12.76 | $ | 10.31 | ||||||||||||
Increase From Operations: | ||||||||||||||||||||||||
Net investment income (a,e) | 0.03 | 0.08 | 0.12 | 0.13 | 0.04 | 0.03 | ||||||||||||||||||
Net gain (loss) from investments (both realized and unrealized) | 0.39 | 2.66 | (0.20 | ) | (0.37 | ) | 0.95 | 2.74 | ||||||||||||||||
Total from operations | 0.42 | 2.74 | (0.08 | ) | (0.24 | ) | 0.99 | 2.77 | ||||||||||||||||
Less Distributions: | ||||||||||||||||||||||||
From net investment income | (0.07 | ) | (0.10 | ) | (0.20 | ) | (0.02 | ) | (0.03 | ) | (0.09 | ) | ||||||||||||
From net realized gains | (1.50 | ) | — | (0.15 | ) | (0.42 | ) | (1.05 | ) | (0.23 | ) | |||||||||||||
Total Distributions | (1.57 | ) | (0.10 | ) | (0.35 | ) | (0.44 | ) | (1.08 | ) | (0.32 | ) | ||||||||||||
Net Asset Value, End of Period/Year | $ | 13.05 | $ | 14.20 | $ | 11.56 | $ | 11.99 | $ | 12.67 | $ | 12.76 | ||||||||||||
Total Return (b) | 3.40 | %(g) | 23.76 | % | (0.59 | )% | (2.01 | )% | 8.33 | % | 27.63 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period/year (in 000's) | $ | 415,445 | $ | 393,833 | $ | 354,279 | $ | 366,368 | $ | 418,274 | $ | 238,963 | ||||||||||||
Ratio to average net assets: | ||||||||||||||||||||||||
Gross expenses (c,d) | 1.30 | %(f,h) | 1.48 | % | 1.54 | % | 1.54 | % | 1.54 | % | 1.63 | % | ||||||||||||
Net expenses (c) ^ | 1.27 | %(f,h) | 1.36 | %+ | 1.43 | % | 1.42 | % | 1.42 | % | 1.42 | % | ||||||||||||
Net investment income net of reimbursement (c,e) | 0.44 | %(f) | 0.61 | % | 1.09 | % | 1.06 | % | 0.35 | % | 0.25 | % | ||||||||||||
Portfolio turnover rate | 146 | %(g) | 168 | % | 406 | % | 472 | % | 591 | % | 975 | % |
^ | The ratio of expenses to average net assets includes interest expense which was 0.00%, 0.00%, 0.01%, 0.00%, 0.00% and 0.00%, respectively. |
+ | Effective July 1, 2017, Shareholder Servicing Fees for Investor Class shares decreased from 0.25% to 0.10% of average daily net assets. |
(a) | Per share amounts are calculated using the average shares method. |
(b) | Total returns are historical in nature and assume changes in share price, reinvestment of dividends and capital gains distributions, and assume no sales charge. Had the Adviser not absorbed a portion of the expenses, total returns would have been lower. |
(c) | Does not reflect the expenses of the underlying funds in which the Fund invests. |
(d) | Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the Adviser. |
(e) | Recognition of net investment income by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests. The ratio does not include net investment income of the investment companies in which the Fund invests. |
(f) | Annualized |
(g) | Not annualized |
(h) | Effective March 30, 2018, the Operating Expense Limit for the Investor Class decreased from 1.27% to 1.17%. This excludes 0.10% of Shareholder Servicing Fees (See Note 3). |
See accompanying notes to financial statements.
52
Horizon Active Asset Allocation Fund |
The table below sets forth financial data for one share of beneficial interest outstanding throughout each period/year.
Advisor Class | ||||||||||||||||
For the Six Months Ended May 31, 2018 | For the Year Ended November 30, 2017 | For the Year Ended November 30, 2016 | For the Period Ended November 30, 2015 ** | |||||||||||||
(Unaudited) | ||||||||||||||||
Net Asset Value, Beginning of Period/Year | $ | 14.16 | $ | 11.56 | $ | 11.99 | $ | 11.21 | ||||||||
Increase From Operations: | ||||||||||||||||
Net investment income (loss) (a,h) | 0.02 | 0.05 | 0.12 | (0.03 | )(g) | |||||||||||
Net gain (loss) from investments (both realized and unrealized) | 0.39 | 2.68 | (0.20 | ) | 0.81 | (g) | ||||||||||
Total from operations | 0.41 | 2.73 | (0.08 | ) | 0.78 | |||||||||||
Less Distributions: | ||||||||||||||||
From net investment income | (0.07 | ) | (0.13 | ) | (0.20 | ) | — | |||||||||
From net realized gains | (1.50 | ) | — | (0.15 | ) | — | ||||||||||
Total Distributions | (1.57 | ) | (0.13 | ) | (0.35 | ) | — | |||||||||
Net Asset Value, End of Period/Year | $ | 13.00 | $ | 14.16 | $ | 11.56 | $ | 11.99 | ||||||||
Total Return (b) | 3.31 | %(f) | 23.64 | % | (0.59 | )% | 6.96 | %(f) | ||||||||
Ratios/Supplemental Data | ||||||||||||||||
Net assets, end of period/year (in 000's) | $ | 6,718 | $ | 5,084 | $ | 2,249 | $ | 29 | ||||||||
Ratio to average net assets: | ||||||||||||||||
Gross expenses (d,e) | 1.45 | %(c,i) | 1.55 | % | 1.55 | % | 1.54 | %(c) | ||||||||
Net expenses (d) ^ | 1.42 | %(c,i) | 1.42 | % | 1.44 | % | 1.42 | %(c) | ||||||||
Net investment income (loss) net of reimbursement (d,h) | 0.24 | %(c) | 0.35 | % | 1.06 | % | (0.88 | )%(c)(g) | ||||||||
Portfolio turnover rate | 146 | %(f) | 168 | % | 406 | % | 472 | %(f) |
** | Since September 4, 2015 (Commencement of Operations). |
^ | The ratio of expenses to average net assets includes interest expense which was 0.00%, 0.00%, 0.02% and 0.00%, respectively. |
(a) | Per share amounts are calculated using the average shares method. |
(b) | Total returns are historical in nature and assume changes in share price, reinvestment of dividends and capital gains distributions, and assume no sales charge. Had the Adviser not absorbed a portion of the expenses, total returns would have been lower. |
(c) | Annualized. |
(d) | Does not reflect the expenses of the underlying funds in which the Fund invests. |
(e) | Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the Adviser. |
(f) | Not annualized |
(g) | Due to timing of shareholder transactions, and allocations of expenses among share classes, the per unit amounts presented may not coincide with the aggregate presentation on the Statements of Operations. |
(h) | Recognition of net investment income by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests. The ratio does not include net investment income of the investment companies in which the Fund invests. |
(i) | Effective March 30, 2018, the Operating Expense Limit for the Advisor Class decreased from 1.42% to 1.17%. This excludes 0.25% of Distribution Fees (12b-1) (See Note 3). |
See accompanying notes to financial statements.
53
Horizon Active Asset Allocation Fund |
The table below sets forth financial data for one share of beneficial interest outstanding throughout each period/year.
Institutional Class | ||||||||||||
For the Six Months Ended May 31, 2018 | For the Year Ended November 30, 2017 | For the Period Ended November 30, 2016 * | ||||||||||
(Unaudited) | ||||||||||||
Net Asset Value, Beginning of Period/Year | $ | 14.22 | $ | 11.59 | $ | 11.54 | ||||||
Increase From Operations: | ||||||||||||
Net investment income (a,h) | 0.04 | 0.05 | 0.03 | |||||||||
Net gain from investments (both realized and unrealized) | 0.39 | 2.71 | 0.02 | (g) | ||||||||
Total from operations | 0.43 | 2.76 | 0.05 | |||||||||
Less Distributions: | ||||||||||||
From net investment income | (0.07 | ) | (0.13 | ) | — | |||||||
From net realized gains | (1.50 | ) | — | — | ||||||||
Total Distributions | (1.57 | ) | (0.13 | ) | — | |||||||
Net Asset Value, End of Period/Year | $ | 13.08 | $ | 14.22 | $ | 11.59 | ||||||
Total Return (b) | 3.48 | %(f) | 23.92 | % | 0.43 | %(f) | ||||||
Ratios/Supplemental Data | ||||||||||||
Net assets, end of period/year (in 000's) | $ | 30,229 | $ | 29,010 | $ | 8,809 | ||||||
Ratio to average net assets: | ||||||||||||
Gross expenses (d,e) | 1.20 | %(c) | 1.30 | % | 1.30 | %(c) | ||||||
Net expenses (d) ^ | 1.17 | %(c) | 1.17 | % | 1.19 | %(c) | ||||||
Net investment income net of reimbursement (d,h) | 0.54 | %(c) | 0.38 | % | 1.28 | %(c) | ||||||
Portfolio turnover rate | 146 | %(f) | 168 | % | 406 | %(f) |
* | Since September 9, 2016 (Commencement of Operations). |
^ | The ratio of expenses to average net assets includes interest expense which was 0.00%, 0.00% and 0.02%, respectively. |
(a) | Per share amounts are calculated using the average shares method. |
(b) | Total returns are historical in nature and assume changes in share price, reinvestment of dividends and capital gains distributions, and assume no sales charge. Had the Adviser not absorbed a portion of the expenses, total returns would have been lower. |
(c) | Annualized. |
(d) | Does not reflect the expenses of the underlying funds in which the Fund invests. |
(e) | Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the Adviser. |
(f) | Not annualized. |
(g) | Net realized and unrealized gain (loss) per share in this caption is a balancing amount necessary to reconcile the change in net asset value per share for the period, and may not reconcile with the aggregate gain (loss) on the Statements of Operations due to share transactions for the period. |
(h) | Recognition of net investment income by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests. The ratio does not include net investment income of the investment companies in which the Fund invests. |
See accompanying notes to financial statements.
54
Horizon Active Risk Assist Fund |
The table below sets forth financial data for one share of beneficial interest outstanding throughout each period/year.
Investor Class | ||||||||||||||||||||
For the Six Months Ended May 31, 2018 | For the Year Ended November 30, 2017 | For the Year Ended November 30, 2016 * | For the Year Ended November 30, 2015 | For the Period Ended November 30, 2014 ** | ||||||||||||||||
(Unaudited) | ||||||||||||||||||||
Net Asset Value, Beginning of Period/Year | $ | 22.80 | $ | 19.31 | $ | 19.62 | $ | 20.50 | $ | 20.00 | ||||||||||
Increase From Operations: | ||||||||||||||||||||
Net investment income (loss) (a,h) | 0.05 | 0.12 | 0.18 | 0.12 | (0.05 | ) | ||||||||||||||
Net gain (loss) from investments (both realized and unrealized) | 0.62 | 3.54 | (0.29 | ) | (1.00 | ) | 0.55 | |||||||||||||
Total from operations | 0.67 | 3.66 | (0.11 | ) | (0.88 | ) | 0.50 | |||||||||||||
Less Distributions: | ||||||||||||||||||||
From net investment income | (0.12 | ) | (0.17 | ) | (0.20 | ) | — | — | ||||||||||||
From net realized gains | (0.91 | ) | — | — | (0.00 | )(g) | — | |||||||||||||
Total Distributions | (1.03 | ) | (0.17 | ) | (0.20 | ) | — | — | ||||||||||||
Net Asset Value, End of Period/Year | $ | 22.44 | $ | 22.80 | $ | 19.31 | $ | 19.62 | 20.50 | |||||||||||
Total Return (b) | 3.14 | %(f) | 19.05 | % | (0.54 | )% | (4.29 | )% | 2.50 | %(f) | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period/year (in 000's) | $ | 550,143 | $ | 418,227 | $ | 319,385 | $ | 222,421 | $ | 300 | ||||||||||
Ratio to average net assets: | ||||||||||||||||||||
Gross expenses (d,e) | 1.27 | %(c,i) | 1.49 | % | 1.55 | % | 1.54 | % | 50.52 | %(c) | ||||||||||
Net expenses (d) ^ | 1.27 | %(c,i) | 1.35 | %+ | 1.42 | % | 1.42 | % | 1.42 | %(c) | ||||||||||
Net investment income (loss) net of reimbursement (d,h) | 0.44 | %(c) | 0.58 | % | 0.92 | % | 0.57 | % | (1.06 | )%(c) | ||||||||||
Portfolio turnover rate | 153 | %(f) | 143 | % | 563 | % | 541 | % | 55 | %(f) |
* | In 2016, 0.02% of the Fund’s total return consists of a voluntary reimbursement by the adviser for losses on investment transactions. Excluding this item, the total return would have been (0.56%). |
** | Since August 28, 2014 (Commencement of Operations). |
^ | The ratio of expenses to average net assets includes interest expense which was 0.00%, 0.00%, 0.01%, 0.00% and 0.00%, respectively. |
+ | Effective July 1, 2017, Shareholder Servicing Fees for Investor Class shares decreased from 0.25% to 0.10% of average daily net assets. |
(a) | Per share amounts are calculated using the average shares method. |
(b) | Total returns are historical and assume changes in share price, reinvestment of dividends and capital gains distributions, and assume no sales charge. Had the Adviser not absorbed a portion of the expenses, total returns would have been lower. |
(c) | Annualized. |
(d) | Does not reflect the expenses of the underlying funds in which the Fund invests. |
(e) | Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the Adviser. |
(f) | Not annualized. |
(g) | Per share amount is less than $0.01. |
(h) | Recognition of net investment income (loss) by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests. The ratio does not include net investment income of the investment companies in which the Fund invests. |
(i) | Effective March 30, 2018, the Operating Expense Limit for the Investor Class decreased from 1.27% to 1.17%. This excludes 0.10% of Shareholder Servicing Fees (See Note 3). |
See accompanying notes to financial statements.
55
Horizon Active Risk Assist Fund |
The table below sets forth financial data for one share of beneficial interest outstanding throughout each period/year.
Advisor Class | ||||||||||||||||
For the Six Months Ended May 31, 2018 | For the Year Ended November 30, 2017 | For the Year Ended November 30, 2016 * | For the Period Ended November 30, 2015 ** | |||||||||||||
(Unaudited) | ||||||||||||||||
Net Asset Value, Beginning of Period/Year | $ | 22.78 | $ | 19.30 | $ | 19.62 | $ | 18.97 | ||||||||
Increase From Operations: | ||||||||||||||||
Net investment income (a,h) | 0.04 | 0.11 | 0.17 | 0.07 | ||||||||||||
Net gain (loss) from investments (both realized and unrealized) | 0.64 | 3.54 | (0.29 | ) | 0.58 | (g) | ||||||||||
Total from operations | 0.68 | 3.65 | (0.12 | ) | 0.65 | |||||||||||
Less Distributions: | ||||||||||||||||
From net investment income | (0.09 | ) | (0.17 | ) | (0.20 | ) | — | |||||||||
From net realized gains | (0.91 | ) | — | — | — | |||||||||||
Total Distributions | (1.00 | ) | (0.17 | ) | (0.20 | ) | — | |||||||||
Net Asset Value, End of Period/Year | $ | 22.46 | $ | 22.78 | $ | 19.30 | $ | 19.62 | ||||||||
Total Return (b) | 3.03 | %(f) | 19.03 | % | (0.59 | )% | 3.43 | %(f) | ||||||||
Ratios/Supplemental Data | ||||||||||||||||
Net assets, end of period/year (in 000's) | $ | 397 | $ | 347 | $ | 313 | $ | 19 | ||||||||
Ratio to average net assets: | ||||||||||||||||
Gross expenses (d,e) | 1.43 | %(c,i) | 1.56 | % | 1.51 | % | 1.54 | %(c) | ||||||||
Net expenses (d) ^ | 1.42 | %(c,i) | 1.42 | % | 1.42 | % | 1.42 | %(c) | ||||||||
Net investment income net of reimbursement (d,h) | 0.32 | %(c) | 0.53 | % | 0.92 | % | 1.52 | %(c) | ||||||||
Portfolio turnover rate | 153 | %(f) | 143 | % | 563 | % | 541 | %(f) |
* | In 2016, 0.02% of the Fund’s total return consists of a voluntary reimbursement by the adviser for losses on investment transactions. Excluding this item, the total return would have been (0.61%). |
** | Since September 4, 2015 (Commencement of Operations). |
^ | The ratio of expenses to average net assets includes interest expense which was 0.00%, 0.00%, 0.01% and 0.00%, respectively. |
(a) | Per share amounts are calculated using the average shares method. |
(b) | Total returns are historical in nature and assume changes in share price, reinvestment of dividends and capital gains distributions, and assume no sales charge. Had the Adviser not absorbed a portion of the expenses, total returns would have been lower. |
(c) | Annualized. |
(d) | Does not reflect the expenses of the underlying funds in which the Fund invests. |
(e) | Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the Adviser. |
(f) | Not annualized. |
(g) | Net realized and unrealized gain (loss) per share in this caption is a balancing amount necessary to reconcile the change in net asset value per share for the period, and may not reconcile with the aggregate gain (loss) on the Statements of Operations due to share transactions for the period. |
(h) | Recognition of net investment income by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests. The ratio does not include net investment income of the investment companies in which the Fund invests. |
(i) | Effective March 30, 2018, the Operating Expense Limit for the Advisor Class decreased from 1.42% to 1.17%. This excludes 0.25% of Distribution Fees (12b-1) (See Note 3). |
See accompanying notes to financial statements.
56
Horizon Active Risk Assist Fund |
The table below sets forth financial data for one share of beneficial interest outstanding throughout each period/year.
Institutional Class | ||||||||||||
For the Six Months Ended May 31, 2018 | For the Year Ended November 30, 2017 | For the Period Ended November 30, 2016 * | ||||||||||
(Unaudited) | ||||||||||||
Net Asset Value, Beginning of Period/Year | $ | 22.84 | $ | 19.33 | $ | 19.21 | ||||||
Increase From Operations: | ||||||||||||
Net investment income (loss) (a,h) | 0.07 | (0.14 | ) | 0.05 | ||||||||
Net gain from investments (both realized and unrealized) | 0.64 | 3.86 | 0.07 | (g) | ||||||||
Total from operations | 0.71 | 3.72 | 0.12 | |||||||||
Less Distributions: | ||||||||||||
From net investment income | (0.15 | ) | (0.21 | ) | — | |||||||
From net realized gains | (0.91 | ) | — | — | ||||||||
Total Distributions | (1.06 | ) | (0.21 | ) | — | |||||||
Net Asset Value, End of Period/Year | $ | 22.49 | $ | 22.84 | $ | 19.33 | ||||||
Total Return (b) | 3.14 | %(f) | 19.31 | % | 0.62 | %(f) | ||||||
Ratios/Supplemental Data | ||||||||||||
Net assets, end of period/year (in 000's) | $ | 6,999 | $ | 6,633 | $ | 7 | ||||||
Ratio to average net assets: | ||||||||||||
Gross expenses (d,e) | 1.18 | %(c) | 1.35 | % | 1.31 | %(c) | ||||||
Net expenses (d) ^ | 1.17 | %(c) | 1.17 | % | 1.17 | %(c) | ||||||
Net investment income (loss) net of reimbursement (d,h) | 0.60 | %(c) | (0.62 | )% | 1.09 | %(c) | ||||||
Portfolio turnover rate | 153 | %(f) | 143 | % | 563 | %(f) |
* | Since September 9, 2016 (Commencement of Operations). |
^ | The ratio of expenses to average net assets includes interest expense which was 0.00%, 0.00% and 0.00%, respectively. |
(a) | Per share amounts are calculated using the average shares method. |
(b) | Total returns are historical in nature and assume changes in share price, reinvestment of dividends and capital gains distributions, and assume no sales charge. Had the Adviser not absorbed a portion of the expenses, total returns would have been lower. |
(c) | Annualized. |
(d) | Does not reflect the expenses of the underlying funds in which the Fund invests. |
(e) | Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the Adviser. |
(f) | Not annualized. |
(g) | Net realized and unrealized gain (loss) per share in this caption is a balancing amount necessary to reconcile the change in net asset value per share for the period, and may not reconcile with the aggregate gain (loss) on the Statements of Operations due to share transactions for the period. |
(h) | Recognition of net investment income by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests. The ratio does not include net investment income of the investment companies in which the Fund invests. |
See accompanying notes to financial statements.
57
Horizon Active Income Fund |
The table below sets forth financial data for one share of beneficial interest outstanding throughout each period/year.
Investor Class | ||||||||||||||||||||||||
For the Six Months Ended May 31, 2018 | For the Year Ended November 30, 2017 | For the Year Ended November 30, 2016 | For the Year Ended November 30, 2015 | For the Year Ended November 30, 2014 | For the Period Ended November 30, 2013 ** | |||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||
Net Asset Value, Beginning of Period/Year | $ | 9.73 | $ | 9.56 | $ | 9.86 | $ | 10.11 | $ | 10.01 | $ | 10.00 | ||||||||||||
Increase From Operations: | ||||||||||||||||||||||||
Net investment income (a,g) | 0.13 | 0.25 | 0.16 | 0.13 | 0.15 | 0.02 | ||||||||||||||||||
Net gain (loss) from investments (both realized and unrealized) | (0.34 | ) | 0.17 | (0.36 | ) | (0.25 | ) | 0.10 | (0.01 | ) | ||||||||||||||
Total from operations | (0.21 | ) | 0.42 | (0.20 | ) | (0.12 | ) | 0.25 | 0.01 | |||||||||||||||
Less Distributions: | ||||||||||||||||||||||||
From net investment income | (0.18 | ) | (0.25 | ) | (0.10 | ) | (0.13 | ) | (0.13 | ) | — | |||||||||||||
Return of capital | — | — | — | — | (0.02 | ) | — | |||||||||||||||||
Total Distributions | (0.18 | ) | (0.25 | ) | (0.10 | ) | (0.13 | ) | (0.15 | ) | — | |||||||||||||
Net Asset Value, End of Period/Year | $ | 9.34 | $ | 9.73 | $ | 9.56 | $ | 9.86 | $ | 10.11 | $ | 10.01 | ||||||||||||
Total Return (b) | (2.18 | )%(f) | 4.39 | % | (2.03 | )% | (1.18 | )% | 2.50 | % | 0.10 | %(f) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period/year (in 000's) | $ | 255,520 | $ | 200,521 | $ | 187,698 | $ | 169,725 | $ | 129,340 | $ | 70,951 | ||||||||||||
Ratio to average net assets: | ||||||||||||||||||||||||
Gross expenses (d,e) | 1.01 | %(c,i) | 1.21 | % | 1.28 | % | 1.28 | % | 1.30 | % | 1.72 | %(c) | ||||||||||||
Net expenses (d) ^ | 1.09 | %(c,i) | 1.18 | %+ | 1.24 | % | 1.24 | % | 1.24 | % | 1.24 | %(c) | ||||||||||||
Net investment income net of reimbursement (d,g) | 2.82 | %(c) | 2.54 | % | 1.58 | % | 1.25 | % | 1.47 | % | 1.00 | %(c) | ||||||||||||
Portfolio turnover rate | 82 | %(f) | 175 | % | 205 | % | 324 | % | 280 | % | 71 | %(f) |
** | Since September 30, 2013 (Commencement of Operations). |
^ | The ratio of expenses to average net assets includes interest expense which was 0.00%, 0.00%, 0.00%, 0.00%, 0.00% and 0.00%, respectively. |
+ | Effective July 1, 2017, Shareholder Servicing Fees for Investor Class shares decreased from 0.25% to 0.10% of average daily net assets. |
(a) | Per share amounts are calculated using the average shares method. |
(b) | Total returns are historical in nature and assume changes in share price, reinvestment of dividends and capital gains distributions, and assume no sales charge. Had the Adviser not absorbed a portion of the expenses, total returns would have been lower. |
(c) | Annualized. |
(d) | Does not reflect the expenses of the underlying funds in which the Fund invests. |
(e) | Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the Adviser. |
(f) | Not annualized. |
(g) | Recognition of net investment income by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests. The ratio does not include net investment income of the investment companies in which the Fund invests. |
(i) | Effective March 30, 2018, the Operating Expense Limit for the Investor Class decreased from 1.09% to 0.99%. This excludes 0.10% of Shareholder Servicing Fees (See Note 3). |
See accompanying notes to financial statements.
58
Horizon Active Income Fund |
The table below sets forth financial data for one share of beneficial interest outstanding throughout each period/year.
Advisor Class | ||||||||||||
For the Six Months Ended May 31, 2018 | For the Year Ended November 30, 2017 | For the Period Ended November 30, 2016 * | ||||||||||
(Unaudited) | ||||||||||||
Net Asset Value, Beginning of Period/Year | $ | 9.76 | $ | 9.60 | $ | 9.84 | ||||||
Increase From Operations: | ||||||||||||
Net investment income (a,g) | 0.12 | 0.13 | 0.13 | |||||||||
Net gain (loss) from investments (both realized and unrealized) | (0.33 | ) | 0.28 | (0.30 | ) | |||||||
Total from operations | (0.21 | ) | 0.41 | (0.17 | ) | |||||||
Less Distributions: | ||||||||||||
From net investment income | (0.18 | ) | (0.25 | ) | (0.07 | ) | ||||||
Total Distributions | (0.18 | ) | (0.25 | ) | (0.07 | ) | ||||||
Net Asset Value, End of Period/Year | $ | 9.37 | $ | 9.76 | $ | 9.60 | ||||||
Total Return (b) | (2.22 | )%(f) | 4.31 | % | (1.74 | )%(f) | ||||||
Ratios/Supplemental Data | ||||||||||||
Net assets, end of period/year (in 000's) | $ | 1,138 | $ | 661 | $ | 6 | ||||||
Ratio to average net assets: | ||||||||||||
Gross expenses (d,e) | 1.17 | %(c,h) | 1.32 | % | 1.35 | %(c) | ||||||
Net expenses (d) ^ | 1.24 | %(c,h) | 1.24 | % | 1.25 | %(c) | ||||||
Net investment income net of reimbursement (d,g) | 2.61 | %(c) | 1.37 | % | 1.70 | %(c) | ||||||
Portfolio turnover rate | 82 | %(f) | 175 | % | 205 | %(f) |
* | Since February 8, 2016 (Commencement of Operations). |
^ | The ratio of expenses to average net assets includes interest expense which was 0.00%, 0.00% and 0.01%, respectively. |
(a) | Per share amounts are calculated using the average shares method. |
(b) | Total returns are historical in nature and assume changes in share price, reinvestment of dividends and capital gains distributions, and assume no sales charge. Had the Adviser not absorbed a portion of the expenses, total returns would have been lower. |
(c) | Annualized. |
(d) | Does not reflect the expenses of the underlying funds in which the Fund invests. |
(e) | Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the Adviser. |
(f) | Not annualized. |
(g) | Recognition of net investment income by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests. The ratio does not include net investment income of the investment companies in which the Fund invests. |
(h) | Effective March 30, 2018, the Operating Expense Limit for the Advisor Class decreased from 1.24% to 0.99%. This excludes 0.25% of Distribution Fees (12b-1) (See Note 3). |
See accompanying notes to financial statements.
59
Horizon Active Income Fund |
The table below sets forth financial data for one share of beneficial interest outstanding throughout each period/year.
Institutional Class | ||||||||||||
For the Six Months Ended May 31, 2018 | For the Year Ended November 30, 2017 | For the Period Ended | ||||||||||
(Unaudited) | ||||||||||||
Net Asset Value, Beginning of Period/Year | $ | 9.72 | $ | 9.57 | $ | 10.00 | ||||||
Increase From Operations: | ||||||||||||
Net investment income (a,g) | 0.14 | 0.25 | 0.04 | |||||||||
Net gain (loss) from investments (both realized and unrealized) | (0.34 | ) | 0.17 | (0.47 | ) | |||||||
Total from operations | (0.20 | ) | 0.42 | (0.43 | ) | |||||||
Less Distributions: | ||||||||||||
From net investment income | (0.19 | ) | (0.27 | ) | — | |||||||
From net realized gains | — | — | — | |||||||||
Total Distributions | (0.19 | ) | (0.27 | ) | — | |||||||
Net Asset Value, End of Period/Year | $ | 9.33 | $ | 9.72 | $ | 9.57 | ||||||
Total Return (b) | (2.10 | )%(f) | 4.41 | % | (4.30 | )%(f) | ||||||
Ratios/Supplemental Data | ||||||||||||
Net assets, end of period/year (in 000's) | $ | 7,906 | $ | 8,084 | $ | 2,572 | ||||||
Ratio to average net assets: | ||||||||||||
Gross expenses (d,e) | 0.92 | %(c) | 1.03 | % | 1.09 | %(c) | ||||||
Net expenses (d) ^ | 0.99 | %(c) | 0.99 | % | 0.99 | %(c) | ||||||
Net investment income net of reimbursement (d,g) | 2.95 | %(c) | 2.53 | % | 1.84 | %(c) | ||||||
Portfolio turnover rate | 82 | %(f) | 175 | % | 205 | %(f) |
* | Since September 9, 2016 (Commencement of Operations). |
^ | The ratio of expenses to average net assets includes interest expense which was 0.00%, 0.00% and 0.00%, respectively. |
(a) | Per share amounts are calculated using the average shares method. |
(b) | Total returns are historical in nature and assume changes in share price, reinvestment of dividends and capital gains distributions, and assume no sales charge. Had the Adviser not absorbed a portion of the expenses, total returns would have been lower. |
(c) | Annualized. |
(d) | Does not reflect the expenses of the underlying funds in which the Fund invests. |
(e) | Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the Adviser. |
(f) | Not annualized. |
(g) | Recognition of net investment income by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests. The ratio does not include net investment income of the investment companies in which the Fund invests. |
See accompanying notes to financial statements.
60
Horizon Active Dividend Fund |
The table below sets forth financial data for one share of beneficial interest outstanding throughout each period.
Investor Class | ||||||||
For the Six Months Ended May 31, 2018 | For the Period Ended November 30, 2017 * | |||||||
(Unaudited) | ||||||||
Net Asset Value, Beginning of Period | $ | 59.15 | $ | 50.00 | ||||
Increase From Operations: | ||||||||
Net investment income (a) | 0.75 | 0.66 | ||||||
Net gain from investments (both realized and unrealized) | 1.15 | 9.01 | ||||||
Total from operations | 1.90 | 9.67 | ||||||
Less Distributions: | ||||||||
From net investment income | (0.82 | ) | (0.52 | ) | ||||
Return of capital | (0.78 | ) | — | |||||
Total Distributions | (1.60 | ) | (0.52 | ) | ||||
Net Asset Value, End of Period | $ | 59.45 | $ | 59.15 | ||||
Total Return (b) (e) | 3.20 | % | 19.45 | % | ||||
Ratios/Supplemental Data | ||||||||
Net assets, end of period/year (in 000's) | $ | 25,876 | $ | 24,509 | ||||
Ratio to average net assets: | ||||||||
Gross Expenses (c) (d) | 1.22 | % | 2.33 | % | ||||
Net Expenses (c) | 1.09 | % | 1.09 | %+ | ||||
Net investment income net of reimbursement (c) | 2.50 | % | 1.24 | % | ||||
Portfolio turnover rate (e) | 183 | % | 184 | % |
* | Since December 28, 2016 (Commencement of Operations). |
+ | Effective July 1, 2017, Shareholder Servicing Fees for Investor Class shares decreased from 0.25% to 0.10% of average daily net assets. |
(a) | Per share amounts are calculated using the average shares method. |
(b) | Total returns are historical in nature and assume changes in share price, reinvestment of dividends and capital gains distributions, and assume no sales charge. Had the Adviser not absorbed a portion of the expenses, total returns would have been lower. |
(c) | Annualized. |
(d) | Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the Adviser. |
(e) | Not annualized. |
See accompanying notes to financial statements.
61
Horizon Active Dividend Fund |
The table below sets forth financial data for one share of beneficial interest outstanding throughout each period.
Advisor Class | ||||||||
For the Six Months Ended May 31, 2018 | For the Period Ended November 30, 2017 * | |||||||
(Unaudited) | ||||||||
Net Asset Value, Beginning of Period | $ | 59.13 | $ | 54.31 | ||||
Increase From Operations: | ||||||||
Net investment income (a) | 0.75 | 0.25 | ||||||
Net gain from investments (both realized and unrealized) | 1.11 | 4.78 | ||||||
Total from operations | 1.86 | 5.03 | ||||||
Less Distributions: | ||||||||
From net investment income | (0.77 | ) | (0.21 | ) | ||||
Return of capital | (0.78 | ) | — | |||||
Total Distributions | (1.55 | ) | (0.21 | ) | ||||
Net Asset Value, End of Period | $ | 59.44 | $ | 59.13 | ||||
Total Return (b) (e) | 3.12 | % | 9.28 | % | ||||
Ratios/Supplemental Data | ||||||||
Net assets, end of period/year (in 000's) | $ | 9,251 | $ | 3,353 | ||||
Ratio to average net assets: | ||||||||
Gross expenses (c) (d) | 1.36 | % | 2.12 | % | ||||
Net expenses (c) | 1.24 | % | 1.24 | % | ||||
Net investment income net of reimbursement (c) | 2.51 | % | 1.01 | % | ||||
Portfolio turnover rate (e) | 183 | % | 184 | % |
* | Since June 20, 2017 (Commencement of Operations). |
(a) | Per share amounts are calculated using the average shares method. |
(b) | Total returns are historical in nature and assume changes in share price, reinvestment of dividends and capital gains distributions, and assume no sales charge. Had the Adviser not absorbed a portion of the expenses, total returns would have been lower. |
(c) | Annualized. |
(d) | Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the Adviser. |
(e) | Not annualized. |
See accompanying notes to financial statements.
62
Horizon Defined Risk Fund |
The table below sets forth financial data for one share of beneficial interest outstanding throughout each period.
Investor Class | ||||
For the Period Ended May 31, 2018 * | ||||
(Unaudited) | ||||
Net Asset Value, Beginning of Period | $ | 50.00 | ||
Increase From Operations: | ||||
Net investment income (a) | 0.20 | |||
Net gain (loss) from investments (both realized and unrealized) | (0.56 | ) | ||
Total from operations | (0.36 | ) | ||
Net Asset Value, End of Period | $ | 49.64 | ||
Total Return (b) (e) | (0.72 | )% | ||
Ratios/Supplemental Data | ||||
Net assets, end of period (in 000's) | $ | 2,635 | ||
Ratio to average net assets: | ||||
Gross Expenses (c) (d) | 2.37 | % | ||
Net Expenses (c) | 1.04 | % | ||
Net investment income net of reimbursement (c) | 0.96 | % | ||
Portfolio turnover rate (e) | 107 | % |
* | Since December 28, 2017 (Commencement of Operations). |
(a) | Per share amounts are calculated using the average shares method. |
(b) | Total returns are historical in nature and assume changes in share price, reinvestment of dividends and capital gains distributions, and assume no sales charge. Had the Adviser not absorbed a portion of the expenses, total returns would have been lower. |
(c) | Annualized. |
(d) | Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the Adviser. |
(e) | Not annualized. |
See accompanying notes to financial statements.
63
Horizon Defined Risk Fund |
The table below sets forth financial data for one share of beneficial interest outstanding throughout each period.
Advisor Class | ||||
For the Period Ended May 31, 2018 * | ||||
(Unaudited) | ||||
Net Asset Value, Beginning of Period | $ | 50.00 | ||
Increase From Operations: | ||||
Net investment income (a) | 0.13 | |||
Net gain (loss) from investments (both realized and unrealized) | (0.47 | ) | ||
Total from operations | (0.34 | ) | ||
Net Asset Value, End of Period | $ | 49.66 | ||
Total Return (b) (e) | (1.86 | )% | ||
Ratios/Supplemental Data | ||||
Net assets, end of period (in 000's) | $ | 8,022 | ||
Ratio to average net assets: | ||||
Gross expenses (c) (d) | 1.58 | % | ||
Net expenses (c) | 1.19 | % | ||
Net investment income net of reimbursement (c) | 0.83 | % | ||
Portfolio turnover rate (e) | 107 | % |
* | Since February 2, 2018 (Commencement of Operations). |
(a) | Per share amounts are calculated using the average shares method. |
(b) | Total returns are historical in nature and assume changes in share price, reinvestment of dividends and capital gains distributions, and assume no sales charge. Had the Adviser not absorbed a portion of the expenses, total returns would have been lower. |
(c) | Annualized. |
(d) | Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the Adviser. |
(e) | Not annualized. |
See accompanying notes to financial statements.
64
Horizon Funds |
1. ORGANIZATION
The Horizon Active Asset Allocation Fund, Horizon Active Risk Assist Fund, Horizon Active Income Fund, Horizon Active Dividend Fund and Horizon Defined Risk Fund (each a “Fund” and together the “Funds”) are each a series of shares of beneficial interest of Horizon Funds (the “Trust”), a Delaware business trust organized on May 21, 2015. Each Fund is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as a diversified, open-end management investment company. The investment objective of the Horizon Active Asset Allocation Fund is capital appreciation. The Fund presently offers Investor Class shares, Advisor Class shares and Institutional Class shares, which commenced operations on January 31, 2012, September 4, 2015 and September 9, 2016, respectively. The investment objective of the Horizon Active Risk Assist Fund is to capture the majority of the returns associated with equity market investments, while mitigating downside risk through use of a risk overlay strategy. The Fund presently offers Investor Class shares, Advisor Class shares and Institutional Class shares, which commenced operations on August 28, 2014, September 4, 2015 and September 9, 2016, respectively. The investment objective of the Horizon Active Income Fund is income. The Fund presently offers Investor Class shares, Advisor Class shares and Institutional Class shares, which commenced operations on September 30, 2013, February 8, 2016 and September 9, 2016, respectively. The investment objective of the Horizon Active Dividend Fund is capital appreciation and current income. The Fund presently offers Investor Class shares and Advisor Class shares, which commenced operations on December 28, 2016 and June 20, 2017, respectively. The investment objective of the Horizon Defined Risk Fund is capital appreciation and capital preservation. The Fund presently offers Investor class shares and Advisor Class shares, which commenced operations on December 28, 2017 and February 2, 2018, respectively.
Organizational costs were incurred to establish the Horizon Defined Risk Fund and enable it to legally do business. These expenses were borne by the Adviser and are not subject to reimbursement by the Fund.
Each Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 “Financial Services – Investment Companies”.
2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”). The preparation of financial statements requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses for the period. Actual results could differ from those estimates.
In determining a Fund’s net asset value (“NAV”) per share, equity securities, including common stocks and exchange traded funds, for which market quotations are readily available are valued at current market value using the last reported sales price. NASDAQ traded securities are valued using the NASDAQ official closing price (“NOCP”). If the NOCP is not available, such securities shall be valued at the mean between the current bid and ask prices on the day of valuation, or if there has been no sale on such day, at the mean between the current bid and ask prices on the primary exchange. When market quotations received are from an active market, the securities will be classified within Level 1 of the fair value hierarchy. If market quotations are not readily available, then securities are valued at fair value as determined by the Board of Trustees (or its delegate). Short-term debt instruments with a remaining maturity of more than 60 days, intermediate and long-term bonds, convertible bonds, and other debt securities are generally valued on the basis of dealer supplied quotations or by a pricing system selected by the Adviser and approved by the Board of Trustees of the Trust. Where such prices are not available, valuations will be obtained from brokers who are market makers for such securities. However, in circumstances where the Adviser deems it appropriate to do so, the mean
65
Horizon Funds |
of the bid and asked prices for over-the-counter securities or the last available sale price for exchange-traded debt securities may be used. Where no last sale price for exchange traded debt securities is available, the mean of the bid and asked prices may be used. Short-term debt securities with a remaining maturity of 60 days or less are amortized to maturity, provided such valuations represent par value. Purchased and written options are valued at the mean of the bid and the ask.
Other securities and assets for which market quotations are not readily available or for which valuation cannot be provided, as described above, are valued as determined in good faith in accordance with procedures approved by the Board of Trustees of the Trust.
The Funds utilize various methods to measure the fair value of all of their investments on a recurring basis. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three levels of input are:
Level 1 – Unadjusted quoted prices in active markets for identical assets and liabilities that the Funds have the ability to access.
Level 2 – Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument in an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.
Level 3 – Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available, representing the Funds’ own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available.
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.
The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety, is determined based on the lowest level input that is significant to the fair value measurement in its entirety.
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The following tables summarize the inputs used as of May 31, 2018, for the Funds’ investments measured at fair value:
Horizon Active Asset Allocation Fund | ||||||||||||||||
Assets * | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Exchange Traded Funds | $ | 439,500,089 | $ | — | $ | — | $ | 439,500,089 | ||||||||
Purchased Call Options | 617,050 | 1,002,000 | — | 1,619,050 | ||||||||||||
Purchased Put Options | 114,000 | 1,945,700 | — | 2,059,700 | ||||||||||||
Short-Term Investments | 9,382,186 | — | — | 9,382,186 | ||||||||||||
Investments Purchased With Proceeds From Securities Lending | 9,989,025 | — | — | 9,989,025 | ||||||||||||
Total | $ | 459,602,350 | $ | 2,947,700 | $ | — | $ | 462,550,050 |
66
Horizon Funds |
Liabilities * | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Written Call Options | 209,700 | 27,000 | — | 236,700 | ||||||||||||
Written Put Options | — | 1,223,500 | — | 1,223,500 | ||||||||||||
Total | $ | 209,700 | $ | 1,250,500 | $ | — | $ | 1,460,200 |
Horizon Active Risk Assist Fund | ||||||||||||||||
Assets * | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Exchange Traded Funds | $ | 500,992,477 | $ | — | $ | — | $ | 500,992,477 | ||||||||
Common Stock | 38,130,471 | — | — | 38,130,471 | ||||||||||||
Purchased Call Options | 617,050 | 424,250 | — | 1,041,300 | ||||||||||||
Purchased Put Options | 114,000 | 1,869,050 | — | 1,983,050 | ||||||||||||
Short-Term Investments | 14,194,832 | — | — | 14,194,832 | ||||||||||||
Investments Purchased With Proceeds From Securities Lending | 28,073,040 | — | — | 28,073,040 | ||||||||||||
Total | $ | 582,121,870 | $ | 2,293,300 | $ | — | $ | 584,415,170 |
Liabilities * | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Written Call Options | $ | 209,700 | $ | 130,000 | $ | — | $ | 339,700 | ||||||||
Written Put Options | — | 351,500 | — | 351,500 | ||||||||||||
Total | $ | 209,700 | $ | 481,500 | $ | — | $ | 691,200 |
Horizon Active Income Fund | ||||||||||||||||
Assets * | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Exchange Traded Funds | $ | 241,710,888 | $ | — | $ | — | $ | 241,710,888 | ||||||||
Preferred Stock | 9,576,272 | — | — | 9,576,272 | ||||||||||||
Convertible Preferred Stock | 2,149,485 | — | — | 2,149,485 | ||||||||||||
Purchased Call Options | — | 574,875 | — | 574,875 | ||||||||||||
Purchased Put Options | — | 2,000 | — | 2,000 | ||||||||||||
Short-Term Investments | 4,760,070 | — | — | 4,760,070 | ||||||||||||
Investments Purchased With Proceeds From Securities Lending | 53,673,902 | — | — | 53,673,902 | ||||||||||||
Total | $ | 311,870,617 | $ | 576,875 | $ | — | $ | 312,447,492 |
Liabilities * | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Written Call Options | $ | — | $ | 252,009 | $ | — | $ | 252,009 | ||||||||
Total | $ | — | $ | 252,009 | $ | — | $ | 252,009 |
67
Horizon Funds |
Horizon Active Dividend Fund | ||||||||||||||||
Assets * | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 31,261,867 | $ | — | $ | — | $ | 31,261,867 | ||||||||
Short-Term Investments | 4,570,470 | — | — | 4,570,470 | ||||||||||||
Investments Purchased With Proceeds From Securities Lending | 670,377 | — | — | 670,377 | ||||||||||||
Total | $ | 36,502,714 | $ | — | $ | — | $ | 36,502,714 |
Horizon Defined Risk Fund | ||||||||||||||||
Assets * | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 10,359,403 | $ | — | $ | — | $ | 10,359,403 | ||||||||
Purchased Put Options | — | 137,505 | — | 137,505 | ||||||||||||
Short-Term Investments | 240,983 | — | — | 240,983 | ||||||||||||
Total | $ | 10,600,386 | $ | 137,505 | $ | — | $ | 10,737,891 |
Liabilities * | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Written Call Options | $ | — | $ | 44,500 | $ | — | $ | 44,500 | ||||||||
Written Put Options | — | 41,390 | — | 41,390 | ||||||||||||
Total | $ | — | $ | 85,890 | $ | — | $ | 85,890 |
* | Refer to the Portfolios of Investments for security classifications. |
Transfers between levels are determined as of the end of the reporting period. There were no transfers between Levels 1 and 2 for any of the Funds. There were no Level 3 securities held by the Funds during the period ended May 31, 2018.
Exchange Traded Funds – The Funds may invest in exchange traded funds (“ETFs”). ETFs are a type of registered investment company that is typically purchased and redeemed at net asset value (“NAV”) in large blocks of shares called “Creation Units”, and bought and sold in secondary markets on a securities exchange, where its shares trade like common stock. An index-based ETF represents a fixed portfolio of securities designed to track the performance and dividend yield of a particular domestic or foreign market index. Alternatively, ETFs may be actively managed in accordance with a particular investment strategy. The risks of owning an ETF generally reflect the risks of owning the underlying securities they hold, although the lack of liquidity on an ETF could result in it being more volatile.
Option Transactions – Options are derivative financial instruments that give the buyer, in exchange for a premium payment, the right, but not the obligation, to either purchase from (call option) or sell to (put option) the writer a specified underlying instrument at a specified price on or before a specified date. The Funds enter into option contracts to meet the requirements of their trading activities. The risk in writing a call option is that the Funds may incur a loss if the market price of the security increases and the option is exercised. The risk in writing a put option is that the Funds may incur a loss if the market price of the security decreases and the option is exercised. The risk in buying an option is that the Fund pays a premium whether or not the option is exercised. The Funds also have the additional risk of not being able to enter into a closing transaction if a liquid secondary market does not exist.
When a Fund writes a call or put option, an amount equal to the premium received is included in the statement of assets and liabilities as a liability. The amount of the liability is subsequently marked-to-market to reflect the current fair value of the option. If an option expires on its stipulated expiration date or if the Fund enters into a closing purchase
68
Horizon Funds |
transaction, a gain or loss is realized. If a written call or put option is exercised, a gain or loss is realized for the sale of the underlying security and the proceeds from the sale are increased by the premium originally received. As the writer of an option, the Fund has no control over whether the option will be exercised and, as a result, retains the market risk of an unfavorable change in price of the security underlying the written option.
A Fund may purchase put and call options. The Funds engage in options transactions on individual securities, ETFs, or indices to hedge against market declines or generate returns from falling asset prices. If such a decline occurs, the put options will permit the Fund to sell the securities underlying such options at the exercise price, or to close out the options at a profit. The premium paid for a put or call option plus any transaction costs will reduce the benefit, if any, realized by the Fund upon exercise of the option, and, unless the price of the underlying security rises or declines sufficiently, the option may expire worthless to the Fund. In addition, in the event that the price of the security in connection with which an option was purchased moves in a direction favorable to the Fund, the benefits realized by the Fund as a result of such a favorable movement will be reduced by the amount of the premium paid for the option and related transaction costs. Written and purchased options are non-income producing securities. With purchased options, there is minimal counterparty risk to the Fund since these options are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded options, guarantees against a possible default.
The average quarterly value outstanding of purchased and written options during the period ended May 31, 2018, were as follows:
Horizon Active Asset Allocation Fund | Horizon Active Risk Assist Fund | Horizon Active Income Fund | Horizon Defined Risk Fund | |||||||||||||
Purchased Options | $ | 2,786,693 | $ | 1,853,143 | $ | 262,906 | $ | 69,144 | ||||||||
Written Options | $ | 1,451,438 | $ | 466,850 | $ | 139,877 | $ | 39,973 |
The Horizon Active Dividend Fund did not invest in purchased or written options during the period ended May 31, 2018.
The following is a summary of the location of derivative investments on the Horizon Active Asset Allocation Fund, Horizon Active Risk Assist Fund, Horizon Active Income Fund and the Horizon Defined Risk Fund’s Statements of Assets and Liabilities as of May 31, 2018 respectively:
Location on the Statements of Assets and Liabilities | |||
Fund | Derivatives Investment Type | Asset Derivatives | Liability Derivatives |
Active Asset Allocation Fund | Equity Risk Contracts | Investments in unaffiliated securities, at value | Options written, at value |
Active Risk Assist Fund | Equity Risk Contracts | Investments in unaffiliated securities, at value | Options written, at value |
Active Income Fund | Equity Risk Contracts | Investments in unaffiliated securities, at value | Options written, at value |
Defined Risk Fund | Equity Risk Contracts | Investments in unaffiliated securities, at value | Options written, at value |
Active Asset Allocation Fund | ||||
Derivatives Investment Value | ||||
Purchased Options | $ | 3,678,750 | ||
Written Options | $ | 1,460,200 |
69
Horizon Funds |
Active Risk Assist Fund | ||||
Derivatives Investment Value | ||||
Purchased Options | $ | 3,024,350 | ||
Written Options | $ | 691,200 |
Active Income Fund | ||||
Derivatives Investment Value | ||||
Purchased Options | $ | 576,875 | ||
Written Options | $ | 252,009 |
Defined Risk Fund | ||||
Derivatives Investment Value | ||||
Purchased Options | $ | 137,505 | ||
Written Options | $ | 85,890 |
The following is a summary of the location of derivative investments on the investments on the Horizon Active Asset Allocation Fund, Horizon Active Risk Assist Fund, Horizon Active Income Fund and the Horizon Defined Risk Fund’s Statements of Operations for the period ended May 31, 2018:
Derivative Investment Type | Location of Gain (Loss) on Derivatives in the Statements of Operations |
Equity Risk contracts | Net realized gain (loss) from purchased options |
Net realized gain (loss) from written options | |
Net change in unrealized appreciation (depreciation) on purchased options | |
Net change in unrealized appreciation (depreciation) on written options |
Active Asset Allocation Fund | ||||
Realized gain/(loss) on derivatives recognized in the Statements of Operations | ||||
Derivative Investment Type | ||||
Purchased Options | $ | 15,488,551 | ||
Written Options | (3,803,693 | ) | ||
$ | 11,684,858 |
Changes in unrealized appreciation/(depreciation) on derivatives recognized in the Statements of Operations | ||||
Purchased Options | $ | (2,605,655 | ) | |
Written Options | 840,517 | |||
$ | (1,765,138 | ) |
70
Horizon Funds |
Active Risk Assist Fund | ||||
Realized gain/(loss) on derivatives recognized in the Statements of Operations | ||||
Derivative Investment Type | ||||
Purchased Options | $ | 13,580,035 | ||
Written Options | (3,375,987 | ) | ||
$ | 10,204,048 |
Changes in unrealized appreciation/(depreciation) on derivatives recognized in the Statements of Operations | ||||
Purchased Options | $ | (1,458,272 | ) | |
Written Options | (158,124 | ) | ||
$ | (1,616,396 | ) |
Active Income Fund | ||||
Realized gain/(loss) on derivatives recognized in the Statements of Operations | ||||
Derivative Investment Type | ||||
Purchased Options | $ | (463,896 | ) | |
Written Options | 189,593 | |||
$ | (274,303 | ) |
Changes in unrealized appreciation/(depreciation) on derivatives recognized in the Statements of Operations | ||||
Purchased Options | $ | 670,252 | ||
Written Options | (111,721 | ) | ||
$ | 558,531 |
Defined Risk Fund | ||||
Realized gain/(loss) on derivatives recognized in the Statements of Operations | ||||
Derivative Investment Type | ||||
Purchased Options | $ | (71,664 | ) | |
Written Options | 107,282 | |||
$ | 35,618 |
Changes in unrealized appreciation/(depreciation) on derivatives recognized in the Statements of Operations | ||||
Purchased Options | $ | (80,485 | ) | |
Written Options | 102,289 | |||
$ | 21,804 |
71
Horizon Funds |
Offsetting of Financial Assets and Derivative Liabilities
The following table presents the Funds’ liability derivatives available for offset under a master netting arrangement net of collateral pledged for the Horizon Active Asset Allocation, Fund Horizon Active Risk Assist Fund, Horizon Active Income Fund and the Horizon Defined Risk Fund respectively, as of May 31, 2018.
Horizon Active Asset Allocation Fund | ||||||||||||||||||||||||
Liabilities: | Gross Amounts Not Offset in the Statement of Assets & Liabilities | |||||||||||||||||||||||
Description | Gross Amounts of Recognized Liabilities | Gross Amounts Offset in the Statement of Assets & Liabilities | Net Amounts Presented in the Statement of Assets & Liabilities | Financial Instruments | Collateral Pledged | Net Amount | ||||||||||||||||||
Written Options | $ | 1,460,200 | (1) | $ | — | $ | 1,460,200 | $ | — | $ | (1,460,200 | )(2) | $ | — | ||||||||||
Total | $ | 1,460,200 | $ | — | $ | 1,460,200 | $ | — | $ | (1,460,200 | ) | $ | — |
Horizon Active Risk Assist Fund | ||||||||||||||||||||||||
Liabilities: | Gross Amounts Not Offset in the Statement of Assets & Liabilities | |||||||||||||||||||||||
Description | Gross Amounts of Recognized Liabilities | Gross Amounts Offset in the Statement of Assets & Liabilities | Net Amounts Presented in the Statement of Assets & Liabilities | Financial Instruments | Collateral Pledged | Net Amount | ||||||||||||||||||
Written Options | $ | 691,200 | (1) | $ | — | $ | 691,200 | $ | — | $ | (691,200 | )(2) | $ | — | ||||||||||
Total | $ | 691,200 | $ | — | $ | 691,200 | $ | — | $ | (691,200 | ) | $ | — |
Horizon Active Income Fund | ||||||||||||||||||||||||
Liabilities: | Gross Amounts Not Offset in the Statement of Assets & Liabilities | |||||||||||||||||||||||
Description | Gross Amounts of Recognized Liabilities | Gross Amounts Offset in the Statement of Assets & Liabilities | Net Amounts Presented in the Statement of Assets & Liabilities | Financial Instruments | Collateral Pledged | Net Amount | ||||||||||||||||||
Written Options | $ | 252,009 | (1) | $ | — | $ | 252,009 | $ | — | $ | (252,009 | )(2) | $ | — | ||||||||||
Total | $ | 252,009 | $ | — | $ | 252,009 | $ | — | $ | (252,009 | ) | $ | — |
72
Horizon Funds |
Horizon Defined Risk Fund | ||||||||||||||||||||||||
Liabilities: | Gross Amounts Not Offset in the Statement of Assets & Liabilities | |||||||||||||||||||||||
Description | Gross Amounts of Recognized Liabilities | Gross Amounts Offset in the Statement of Assets & Liabilities | Net Amounts Presented in the Statement of Assets & Liabilities | Financial Instruments | Collateral Pledged/Received | Net Amount | ||||||||||||||||||
Written Options | $ | 85,890 | (1) | $ | — | $ | 85,890 | $ | — | $ | (85,890 | )(2) | $ | — | ||||||||||
Total | $ | 85,890 | $ | — | $ | 85,890 | $ | — | $ | (85,890 | ) | $ | — |
(1) | Written options at value as presented in the Portfolios of Investments. |
(2) | The amount is limited to the derivative liability balance and, accordingly, does not include excess collateral pledged. |
The Horizon Active Dividend Fund did not write options during the period ended May 31, 2018.
Due to the absence of a master netting agreement relating to the Funds’ participation in securities lending, no additional disclosures have been made on behalf of the Funds. Please reference Note 5 for collateral related to securities on loan.
Security Transactions and Investment Income – Investment security transactions are accounted for on a trade date basis. Cost is determined and gains and losses are based upon the specific identification method for both financial statement and federal income tax purposes. Dividend income and expense is recorded on the ex-dividend date and interest income is recorded on the accrual basis. Long-term capital gain distributions from investment companies are recorded separately from dividend income. Purchase discounts and premiums on securities are accreted and amortized over the life of the respective securities.
Expenses – Expenses of the Trust that are directly identifiable to a specific Fund are charged to that Fund. Expenses, which are not readily identifiable to a specific Fund, are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense and the relative sizes of the Funds in the Trust. Income, other non-class-specific expenses, and realized and unrealized gains and losses on investments are allocated to each class of shares based on its relative net assets.
Federal Income Taxes – It is each Fund’s policy to comply with all sections of the Internal Revenue Code applicable to regulated investment companies and to distribute all of its taxable income and gains to its shareholders and therefore, no provision for federal income tax has been made. Each Fund is treated as a separate taxpayer for federal income tax purposes.
The Funds recognize the tax benefits of uncertain tax positions only where the position is “more likely than not” to be sustained assuming examination by tax authorities. Management has analyzed the Funds’ tax positions, and has concluded that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions taken on returns filed for open tax years or expected to be taken in the Funds’ 2018 tax returns. The Funds identified their major tax jurisdictions as U.S. Federal, North Carolina State and Delaware State; however, the Funds are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months.
73
Horizon Funds |
Distributions to Shareholders – Distributions from investment income, if any, are declared and paid at least annually for the Horizon Active Asset Allocation Fund, Horizon Active Risk Assist Fund and for the Horizon Defined Risk Fund and quarterly for the Horizon Active Income Fund and Horizon Active Dividend Fund and are recorded on the ex-dividend date. The Funds will declare and pay net realized capital gains, if any, annually. The character of income and gains to be distributed is determined in accordance with income tax regulations, which may differ from GAAP.
Shareholder Services Plan – The Board of Trustees has adopted a shareholder serving plan for Investor Class Shares (the “Plan”) of the Horizon Active Asset Allocation Fund, Horizon Active Risk Assist Fund, and the Horizon Active Income Fund. The Plan allows the Funds to use part of their assets for shareholder servicing expenses. The Shareholder Servicing Expenses for the Investor Class shares of the Horizon Active Asset Allocation Fund, Horizon Active Risk Assist Fund, and the Horizon Active Income Fund is 0.10% of average daily net assets. For these services, the Funds pay a fee up to 0.10% of average net assets attributable to Investor Class shares of the Funds on an annualized basis. Payments under the Plan are made for the provision of support services to shareholders, including administrative or other shareholder support services such as responding to customer inquiries or assisting the Funds in establishing or maintaining shareholder accounts and records. The entities providing shareholder services may provide such services directly, or may arrange for such services to be provided by another entity that has a servicing relationship with one or more shareholders. However, payments under the Plan are an operating expense of each Fund that is subject to the expense limitation provided by the Adviser. Payments under the Plan may vary and are determined by the respective Fund in its sole discretion, in amounts up to 0.10% of the Fund’s average daily net assets attributable to Investor Class shares of the Fund on an annualized basis.
Rule 12b-1 – The Trust, with respect to all Funds, has adopted a Distribution Plan for Advisor Class shares of each Fund, and also for Investor Class shares of the Horizon Active Dividend Fund and the Horizon Defined Risk Fund pursuant to Rule 12b-1 under the 1940 Act (the “12b-1 Plan”). However, payments under the 12b-1 Plan are an operating expense of each Fund that is subject to the expense limitation provided by the Adviser. The 12b-1 Plan provides for the payment of a distribution fee to Quasar Distributors, LLC (the “Distributor”) at an annualized rate of up to 0.25% of the average daily net assets attributable to the Advisor Class of each Fund. The distribution fees for the Investor Class shares of the Horizon Active Dividend Fund and the Horizon Defined Risk Fund is 0.10% of average daily net assets. During the period ended May 31, 2018, the Horizon Active Asset Allocation Fund, Horizon Active Risk Assist Fund, Horizon Active Income Fund, Horizon Active Dividend Fund, and the Horizon Defined Risk Fund Advisor Class shares incurred $7,280, $450, $1,162, $7,445, and $4,223 respectively, pursuant to the plan. During the period ended May 31, 2018, the Horizon Active Dividend Fund and the Horizon Defined Risk Fund Investor Class shares incurred $12,645 and $951 respectively, pursuant to the plan. Investor Class shares of the Horizon Active Asset Allocation Fund, Horizon Active Risk Assist Fund and Horizon Active Income Fund and Institutional Class shares of Horizon Active Asset Allocation Fund, Horizon Active Risk Assist Fund and Horizon Active Income Fund do not pay any 12b-1 distribution fees.
Indemnification – The Trust indemnifies its officers and trustees for certain liabilities that may arise from the performance of their duties to the Trust. Additionally, in the normal course of business, the Funds enter into contracts that contain a variety of representations and warranties and which provide general indemnities. A Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred. However, based on experience, the Trust expects the risk of loss due to these warranties and indemnities to be remote.
3. ADVISORY FEE AND OTHER RELATED PARTY TRANSACTIONS
Pursuant to an Investment Advisory Agreement with each Fund (the “Advisory Agreements”), investment advisory services are provided to the Funds by Horizon Investments, LLC (the “Adviser”). Effective January 23, 2018, the Advisory fee rate decreased from 1.10% to 0.99% of the average daily net assets of the Horizon Active Asset
74
Horizon Funds |
Allocation Fund and the Horizon Active Risk Assist Fund. Under the terms of the Advisory Agreements, the Adviser receives monthly fees calculated at an annual rate of 0.99% of the average daily net assets of the Horizon Active Asset Allocation Fund, 0.99% of the average daily net assets of the Horizon Active Risk Assist Fund, 0.77% of the average daily net assets of the Horizon Active Income Fund, 0.75% of the average daily net assets of the Horizon Active Dividend Fund and 0.80% of the average daily net assets of the Horizon Defined Risk Fund.
Pursuant to the Fee Waiver Agreement (the “Waiver Agreement”), the Advisor has agreed, at least until December 31, 2018, for each Fund, to waive a portion of the Fund’s advisory fee and has agreed to reimburse the Fund for other expenses to the extent that the aggregate expenses of every character, including but not limited to investment advisory fees of the Adviser and any investment sub-adviser to the Fund (but excluding front-end or contingent sales loads; brokerage fees and commissions; acquired fund fees and expenses; borrowing costs, such as interest and dividend expense on securities sold short; payments by the Fund, if any, under the Trust’s Rule 12b-1 Distribution Plan; payments by the Fund, if any, under the Trust’s Shareholder Services Plan; expenses paid with securities lending expense offset credits; taxes; and extraordinary expenses, such as litigation) incurred by a class of shares of the Fund in any fiscal year do not exceed the values in the below table.
Fund | Investor | Advisor | Institutional |
Horizon Active Asset Allocation Fund | 1.17%^ | 1.17%+ | 1.17% |
Horizon Active Risk Assist Fund | 1.17%^ | 1.17%+ | 1.17% |
Horizon Active Income Fund | 0.99%* | 0.99%# | 0.99% |
Horizon Active Dividend Fund | 0.99% | 0.99% | 0.99% |
Horizon Defined Risk Fund | 0.94% | 0.94% | 0.94% |
^ | Effective March 30, 2018, the Waiver Agreement for the Investor Class decreased from 1.27% to 1.17%. This excludes 0.10% of Shareholder Servicing Fees. |
+ | Effective March 30, 2018, the Operating Expense Limit for the Advisor Class decreased from 1.42% to 1.17%. This excludes 0.25% of Distribution Fees (12b-1). |
* | Effective March 30, 2018, the Operating Expense Limit for the Investor Class decreased from 1.09% to 0.99%. This excludes 0.10% of Shareholder Servicing Fees. |
# | Effective March 30, 2018, the Operating Expense Limit for the Advisor Class decreased from 1.24% to 0.99%. This excludes 0.25% of Distribution Fees (12b-1). |
If the Adviser waives any fee or reimburses any expense pursuant to the Waiver Agreement, and a Fund’s Operating Expenses are subsequently less than its respective limit described in the Waiver Agreement, the Adviser shall be entitled to reimbursement by that Fund. If the Funds’ Operating Expenses subsequently exceed the figures in the above table, the reimbursements shall be suspended. The Adviser may seek reimbursement only for expenses waived or paid by it during the three fiscal years prior to such reimbursement; provided, however, that such expenses may only be reimbursed to the extent they were waived or paid after the date of the Waiver Agreement (or any similar agreement). No amounts will be paid to the Adviser in any fiscal quarter unless the Board of Trustees determines that reimbursement is in the best interests of the Fund and its shareholders.
75
Horizon Funds |
The table below contains the amounts of fee waivers and expense reimbursements subject to recapture by the Adviser through November 30 of the year indicated. The fee waivers and expense reimbursements incurred by the Predecessor funds are subject to recapture.
Fund | 2018 | 2019 | 2020 | 2021 | Total | |||||||||||||||
Horizon Active Asset Allocation Fund | $ | 384,687 | $ | 408,719 | $ | 493,194 | $ | 66,147 | $ | 1,352,747 | ||||||||||
Horizon Active Risk Assist Fund | 132,484 | 310,859 | 480,994 | 67,058 | 991,395 | |||||||||||||||
Horizon Active Income Fund | — | 58,901 | 63,154 | 127 | 122,182 | |||||||||||||||
Horizon Active Dividend Fund | — | — | 63,967 | 20,581 | 84,548 | |||||||||||||||
Horizon Defined Risk Fund | — | — | — | 15,402 | 15,402 |
Trustees – The Trust pays each Trustee of the Trust who is not an interested person an annual retainer of $26,000 for each fiscal year plus $6,000 for attendance at an in-person board meeting or $1,000 for attendance by telephone. In every instance, the cost of the fees are to be allocated among the participating Funds in accordance with a formula that takes into account the overall asset size of each affected Fund. The Trust also reimburses the Trustees for travel and other expenses incurred in attending meetings of the Board of Trustees. Officers of the Trust and Trustees who are interested persons of the Trust do not receive any direct compensation from the Trust.
Chief Compliance Officer Compensation – The Board of Trustees adopted a new compensation policy with respect to the Trust’s Chief Compliance Officer pursuant to which, effective January 1, 2017, the Horizon Funds and the Adviser each pay 50% of the Chief Compliance Officer’s salary, with the portion paid by the Horizon Funds allocated among the Funds in accordance with their relative net assets. Prior to January 1, 2017, no fees related to the Chief Compliance Officer’s salary were charged to the Funds.
4. INVESTMENT TRANSACTIONS
The cost of purchases and proceeds from the sale of securities, other than short-term securities, for the period ended May 31, 2018, were as follows:
Fund | Purchases | Sales | ||||||
Horizon Active Asset Allocation Fund | $ | 641,724,374 | $ | 626,620,110 | ||||
Horizon Active Risk Assist Fund | 848,531,297 | 725,487,593 | ||||||
Horizon Active Income Fund | 252,855,177 | 189,131,362 | ||||||
Horizon Active Dividend Fund | 58,323,565 | 51,547,647 | ||||||
Horizon Defined Risk Fund | 16,688,569 | 6,167,635 |
5. SECURITIES LENDING
The Funds may lend up to 33 1/3% of the value of the domestic securities in their portfolios to brokers, dealers and financial institutions (but not individuals) under terms of participation in a securities lending program administered by U.S. Bank N.A. (“the Custodian”). On March 30, 2018, a special meeting of the Board of Trustees of Horizon Funds was held to discuss the Securities Lending Program and the operational aspect of treating proceeds from Securities Lending activities as an offset to expenses of the Funds. Effective March 28, 2018, the Board approved an Amendment to the Securities Lending Agreement whereby the Funds are entitled to utilize Securities Lending Income to offset Fund Operating Expenses, excluding Advisory Fees, Distribution Fees (12b-1), and Shareholder Servicing Fees. Notwithstanding the foregoing, the Net Income to which a Customer is entitled may be used to offset against costs and other charges incurred by the Customer with U.S. Bank or its affiliates or, as directed in writing by the Customer,
76
Horizon Funds |
other service providers. The securities lending agreement requires that loans are collateralized at all times in an amount equal to at least 102% of the value of any loaned securities at the time of the loan, plus accrued interest. The Funds receive compensation in the form of fees and earn interest on the cash collateral. The amount of fees depends on a number of factors including the type of security and length of the loan. The Funds continue to receive interest payments or dividends on the securities loaned during the borrowing period. Gain or loss on the fair value of securities loaned that may occur during the term of the loan will be for the account of the Funds. The Funds have the right under the terms of the securities lending agreement to recall the securities from the borrower on demand. During the period ended May 31, 2018, Funds had loaned securities and received cash collateral for the loans. The cash collateral is invested by the Custodian in accordance with approved investment guidelines. Those guidelines require the cash collateral to be invested in readily marketable, high quality, short-term obligations; however, such investments are subject to risk of payment delays or default on the part of the issuer or counterparty or otherwise may not generate sufficient interest to support the costs associated with securities lending. The Funds could also experience delays in recovering their securities and possible loss of income or value if the borrower fails to return the borrowed securities, although the Fund is indemnified from this risk by contract with the securities lending agent.
As of the period ended May 31, 2018, the value of the securities on loan and payable for collateral due to broker were as follows:
Value of Securities on Loan Collateral Received
Fund | Values of Securities on Loan | Fund Collateral Received* | ||||||
Horizon Active Asset Allocation Fund | $ | 9,703,804 | $ | 9,989,025 | ||||
Horizon Active Risk Assist Fund | 27,314,617 | 28,073,040 | ||||||
Horizon Active Income Fund | 52,428,222 | 53,673,902 | ||||||
Horizon Active Dividend Fund | 659,635 | 670,377 |
* | The cash collateral received was invested in the First American Government Obligations Fund, a money market fund with an overnight and continuous maturity, as shown on the Portfolios of Investments. |
The Horizon Defined Risk Fund participated in securities lending during the period ended May 31, 2018, but did not have any securities on loan as of May 31, 2018.
Fees and interest income earned on collateral investments and recognized by the Funds during the period ended May 31, 2018, were as follows:
Fees and Interest Income Earned
Fund | Interest income earned including applicable fees | |||
Horizon Active Asset Allocation Fund | $ | 21,413 | ||
Horizon Active Risk Assist Fund | 93,496 | |||
Horizon Active Income Fund | 114,040 | |||
Horizon Active Dividend Fund | 9,088 | |||
Horizon Defined Risk Fund | 13 |
77
Horizon Funds |
Operating Expense Offset
Fund | Total expenses offset by income from securities lending | |||
Horizon Active Asset Allocation Fund | $ | 4,549 | ||
Horizon Active Risk Assist Fund | 18,358 | |||
Horizon Active Income Fund | 69,423 | |||
Horizon Active Dividend Fund | 5,455 |
6. LINE OF CREDIT ARRANGEMENT
Effective March 2, 2018, the Horizon Active Asset Allocation Fund, Horizon Active Risk Assist Fund, Horizon Active Income Fund, and the Horizon Active Dividend Fund are each party to uncommitted line of credit arrangements with the Custodian. The Loan Agreement has an expiration date of February 28, 2019, under which the Funds may borrow up to $50,000,000. The Funds may utilize the line of credit for temporary or emergency purposes, primarily for financing redemption payments, using the securities in the Funds’ portfolios as collateral. The applicable Funds have authorized the Custodian to charge any of the Funds for any missed payments by the Funds. The Funds will be charged the prime rate if they borrow. During the period ended May 31, 2018, there were no outstanding borrowings on the line of credit.
7. DISTRIBUTIONS TO SHAREHOLDERS AND TAX COMPONENTS OF CAPITAL
The tax character of fund distributions paid for the years ended November 30, 2017 and November 30, 2016 was as follows:
For the year ended November 30, 2017 | ||||||||||||||||
Fund | Ordinary Income | Long-Term Capital Gains | Return of Capital | Total | ||||||||||||
Horizon Active Asset Allocation Fund | $ | 3,288,702 | $ | — | $ | — | $ | 3,288,702 | ||||||||
Horizon Active Risk Assist Fund | 2,745,980 | — | — | 2,745,980 | ||||||||||||
Horizon Active Income Fund | 4,876,613 | — | — | 4,876,613 | ||||||||||||
Horizon Active Dividend Fund | 713 | — | — | 713 |
For the year ended November 30, 2016 | ||||||||||||||||
Fund | Ordinary Income | Long-Term Capital Gains | Return of Capital | Total | ||||||||||||
Horizon Active Asset Allocation Fund | $ | 9,451,702 | $ | 1,569,620 | $ | — | $ | 11,021,322 | ||||||||
Horizon Active Risk Assist Fund | 2,312,701 | — | — | 2,312,701 | ||||||||||||
Horizon Active Income Fund | 1,904,275 | — | — | 1,904,275 |
78
Horizon Funds |
The cost basis of investments, purchased options and options written for federal income tax purposes at November 30, 2017 were as follows:
Fund | Cost of Portfolios* | Gross Tax Unrealized Appreciation | Gross Tax Unrealized Depreciation | Net Tax Unrealized Appreciation (Depreciation) | ||||||||||||
Horizon Active Asset Allocation Fund | $ | 398,427,623 | $ | 32,106,128 | $ | (2,049,129 | ) | $ | 30,056,999 | |||||||
Horizon Active Risk Assist Fund | 396,691,050 | 29,858,150 | (2,162,495 | ) | 27,695,655 | |||||||||||
Horizon Active Income Fund | 210,292,662 | 1,251,107 | (2,376,954 | ) | (1,125,847 | ) | ||||||||||
Horizon Active Dividend Fund | 26,975,839 | 1,190,831 | (345,581 | ) | 845,250 |
* | Portfolio includes investments and derivative contracts. |
As of November 30, 2017, the components of accumulated earnings/(deficit) on a tax basis were as follows:
Fund | Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Capital Loss Carry Forwards | Other Book/Tax Differences | Post October Loss and Late Year Loss | Unrealized Appreciation/ (Depreciation) | Total Accumulated Earnings/ (Deficits) | |||||||||||||||||||||
Horizon Active Asset Allocation Fund | $ | 43,591,298 | $ | 1,396,879 | $ | — | $ | — | $ | — | $ | 30,056,999 | $ | 75,045,176 | ||||||||||||||
Horizon Active Risk Assist Fund | 17,511,756 | — | — | (704,464 | ) | — | 27,695,655 | 44,502,947 | ||||||||||||||||||||
Horizon Active Income Fund | 1,140,355 | — | (6,057,715 | ) | — | — | (1,125,847 | ) | (6,043,207 | ) | ||||||||||||||||||
Horizon Active Dividend Fund | 431,783 | — | — | — | — | 845,250 | 1,277,033 |
The difference between book and tax basis, unrealized appreciation/depreciation, and accumulated net realized gain/(loss) from investments is attributable to mark to market and/or the tax deferral of losses on various investments.
At November 30, 2017, the Funds had capital loss carry forwards for federal income tax purposes available to offset future capital gains as follows:
Non-Expiring | ||||||||||||
Fund | Short-Term | Long-Term | Total | |||||||||
Horizon Active Asset Allocation Fund | $ | — | $ | — | $ | — | ||||||
Horizon Active Risk Assist Fund | — | — | — | |||||||||
Horizon Active Income Fund | 6,057,715 | — | 6,057,715 | |||||||||
Horizon Active Dividend Fund | — | — | — |
The Horizon Active Asset Allocation Fund and Horizon Active Risk Assist Fund utilized Capital loss carry forwards of $9,984,318 and $20,648,802, respectively, during the fiscal year.
79
Horizon Funds |
Additionally, GAAP requires that certain components of net assets relating to permanent differences be reclassified between financial and tax reporting. These reclassifications have no effect on net assets or net asset value per share. For the year ended November 30, 2017, the following table shows the reclassifications made:
Undistributed Net Investment Income/(Loss) | Accumulated Net Realized Gain/(Loss) | Paid In Capital | ||||||||||
Horizon Active Asset Allocation Fund | $ | 891,540 | $ | (4,285,148 | ) | $ | 3,393,608 | |||||
Horizon Risk Assist Fund | — | (720,119 | ) | 720,119 | ||||||||
Horizon Active Income Fund | — | — | — | |||||||||
Horizon Active Dividend Fund | (319 | ) | 317 | 2 |
The Horizon Defined Risk Fund commenced operations on December 28, 2017, therefore it did not make any distributions or have any tax adjustments.
8. BENEFICIAL OWNERSHIP
The beneficial ownership, either directly or indirectly, of more than 25% of voting securities of a fund creates a presumption of control of that fund, under Section 2(a)(9) of the 1940 Act. As of May 31, 2018, the Horizon Active Asset Allocation Fund, Horizon Active Risk Assist Fund, Horizon Active Income Fund, Horizon Active Dividend Fund and Horizon Defined Risk Fund had omnibus shareholder accounts (comprised of a group of individual shareholders), which amounted to more than 25% of the total shares outstanding of the respective Fund. There were no individual shareholders of record who owned more than 5% of the outstanding shares of beneficial interest of a Fund or Class of shares of a Fund. Shareholders with a controlling interest could affect the outcome of proxy voting or direction of management of a Fund.
9. INVESTMENTS IN AFFILIATES
The Horizon Active Income Fund owned 5% or more of the voting securities of Deutsche X-Trackers Short Duration High Yield Bond ETF during the period ended May 31, 2018. Transactions during the period in this security were as follows:
Share Activity | ||||||||||||||||||||||||||||||||
Security Name | Balance At November 30, 2017 | Purchases | Sales | Balance May 31, 2018 | Net Change in Unrealized Appreciation (Depreciation) | Net Realized Gain (Loss) | Dividend Income | Value At May 31, 2018 | ||||||||||||||||||||||||
Deutsche X-Trackers Short Duration High Yield Bond ETF* | 78,861 | — | (30 | ) | 78,831 | $ | (31,783 | ) | $ | (8 | ) | $ | 59,929 | $ | 3,898,193 |
* | Affiliate as of May 31, 2018. |
10. SUBSEQUENT EVENTS
Subsequent events after the date of the Statements of Assets and Liabilities have been evaluated through the date the financial statements were issued. Management has concluded that there is no impact requiring adjustment to or disclosure in the financial statements.
80
Horizon Funds |
As a shareholder of the Funds you incur ongoing costs, including management fees, sales charges, and other Fund operating expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds. Please note, the expenses shown in the tables are meant to highlight ongoing costs only and do not reflect any transactional costs.
This example is based on an investment of $1,000 invested for the period of time as indicated in the table below.
Actual Expenses: The column labeled “Actual” of the table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during the period.
Hypothetical Examples for Comparison Purposes: The column labeled “Hypothetical” of the table below provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual expense ratios and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs which may be applicable to your account. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Actual | Hypothetical | |||||
Fund's Annualized Expense Ratio | Beginning Account Value 12/1/2017 | Ending | Expenses | Ending Account Value 5/31/2018 | Expenses | |
Horizon Active Asset Allocation - Investor Class * | 1.27% | $ 1,000.00 | $ 1,034.00 | $ 6.44 | $ 1,018.60 | $ 6.39 |
Horizon Active Asset Allocation - Advisor Class * | 1.42% | $ 1,000.00 | $ 1,033.10 | $ 7.20 | $ 1,017.85 | $ 7.14 |
Horizon Active Asset Allocation - | 1.17% | $ 1,000.00 | $ 1,034.80 | $ 5.94 | $ 1,019.10 | $ 5.89 |
Horizon Active Risk Assist - Investor Class * | 1.27% | $ 1,000.00 | $ 1,031.40 | $ 6.43 | $ 1,018.60 | $ 6.39 |
Horizon Active Risk Assist - Advisor Class * | 1.42% | $ 1,000.00 | $ 1,030.30 | $ 7.19 | $ 1,017.85 | $ 7.14 |
Horizon Active Risk Assist - Institutional Class * | 1.17% | $ 1,000.00 | $ 1,031.40 | $ 5.93 | $ 1,019.10 | $ 5.89 |
Horizon Active Income - Investor Class * | 1.09% | $ 1,000.00 | $ 978.20 | $ 5.38 | $ 1,019.50 | $ 5.49 |
Horizon Active Income - Advisor Class * | 1.24% | $ 1,000.00 | $ 977.80 | $ 6.11 | $ 1,018.75 | $ 6.24 |
Horizon Active Income - Institutional Class * | 0.99% | $ 1,000.00 | $ 979.00 | $ 4.88 | $ 1,020.00 | $ 4.99 |
Horizon Active Dividend - Investor Class * | 1.09% | $ 1,000.00 | $ 1,032.00 | $ 3.61 | $ 1,019.50 | $ 5.49 |
Horizon Active Dividend - Advisor Class * | 1.24% | $ 1,000.00 | $ 1,031.20 | $ 4.11 | $ 1,018.75 | $ 6.24 |
Horizon Defined Risk - Investor Class | 1.04% | $ 1,000.00 | $ 992.80** | $ 4.37** | $ 1,019.75* | $ 5.24* |
Horizon Defined Risk - Advisor Class | 1.19% | $ 1,000.00 | $ 981.40*** | $ 3.84*** | $ 1,019.00* | $ 5.99* |
* | Expenses Paid During the Period are equal to the Funds’ annualized expense ratio, multiplied by the average account value over the period, multiplied by 182 days, and divided by 365 (to reflect the number of days in the period). |
** | The Investor Class commenced operations on December 28, 2017. Expenses Paid During the Period are equal to the Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 154 days, and divided by 365 (to reflect the number of days in the period). |
*** | The Advisor Class commenced operations on February 2, 2018. Expenses Paid During the Period are equal to the Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 119 days, and divided by 365 (to reflect the number of days in the period). |
81
Horizon Funds |
At an in-person meeting held on July 18, 2017, at which all of the Trustees were present, the Board of Trustees (the “Board”), including the Trustees who are not “interested persons,” as defined by the Investment Company Act of 1940 (the “1940 Act”), of the Trust (the “Independent Trustees”), voting separately, reviewed and approved the continuance of each Investment Advisory Agreement (each, an “Advisory Agreement”, and together the “Advisory Agreements”) between the Trust and the Adviser for each of the Horizon Active Allocation Fund, the Horizon Active Risk Assist Fund and the Horizon Active Income Fund (each a “Fund” and together the “Funds”). In the course of their deliberations, the Board was advised by independent legal counsel. The Board received and reviewed a substantial amount of information provided by the Adviser in response to requests of the Board and counsel.
In considering the approval of the Advisory Agreements and reaching their conclusions with respect thereto, the Board reviewed a memorandum, provided by independent legal counsel, which summarized the Board’s fiduciary duties and responsibilities in reviewing and approving the Advisory Agreements and other matters to be considered by the Board at the Meeting and the types of information that should be reviewed by them and their responsibilities in making an informed decision regarding the approval of the Advisory Agreements. The Board also reviewed and analyzed various factors that they determined were relevant, including: (i) the nature, extent and quality of the services to be provided by the Adviser to each Fund; (ii) the costs of the services to be provided and the profits to be realized by the Adviser and its affiliates from the relationship with the Funds; (iii) the investment performance of each Funds and the Adviser, (iv) the extent to which economies of scale will be realized as each Fund grows; and (iv) whether the fee levels reflect these economies of scale to the benefit of each Fund’s shareholders, including the following:
● | Nature, extent and quality of the services to be provided by the Adviser to the Funds. In this regard, the Board considered information regarding the services to be provided to the Funds, the experience, qualifications and key personnel of the Adviser, the Adviser’s sales force, the Adviser’s assets under management and relationships with other registered investment advisers for distribution purposes. The Board reviewed the Adviser’s financial statements and considered the Adviser’s financial condition. |
● | The Investment Performance of the Funds and the Adviser. In this regard, the Board considered each Fund’s past performance, including comparisons to peer funds. The Board also considered each Fund’s portfolio turnover, use of soft dollars and best execution policies. The Board also considered the performance of other accounts managed by the Adviser. |
● | Costs of the services to be provided and the profits to be realized by the Adviser and its affiliates from the relationship with the Fund. In this regard, the Board considered the management fees proposed to be charged to each Fund, and each Fund’s total expense ratios, each as compared to each Fund’s peer group, and took into account the differences in managing the Funds compared to other products that the Adviser offers, as well as the fees charged by Horizon to its separately managed accounts. The Board considered the terms and conditions of each Advisory Agreement, including the management fee and the services to be provided by the Adviser thereunder. The Board also considered the indirect benefits that the Adviser receives through soft dollars, cross sales of other products the Adviser sells and third-party marketing materials. |
● | The extent to which economies of scale will be realized as the Fund grows and whether the fee levels reflect these economies of scale to the benefit of shareholders. In this regard, the Board considered that the Adviser was still waiving a portion of its advisory fees under the Expense Limitation Agreements with each Fund and considered how these waivers supported the Funds, noting that the Adviser expected to receive its full fees from all of the Funds as the Funds continue to grow. The Board considered the terms of the expense limitation agreement for each Fund, and the fact that the Adviser had agreed to continue the expense limitation agreements through at least December 31, 2019, and noted that the expense waivers and reimbursements were subject to recoupment during a three-year look-back window. The Board also considered that the Adviser agreed to consider implementing breakpoints in its management fee after such time as the Fund’s grow to a size that the Adviser is receiving its full fee. |
After full consideration of the above factors as well as other factors, the Board unanimously approved the continuance and renewal of each Advisory Agreement.
82
Horizon Funds |
Independent Trustees | ||||
Name, Address* and | Position/Term | Principal Occupation During | Number of | Other |
John W. Davidson Year of Birth: 1946 | Trustee; Indefinite Term of Office (since 2015) | Director, President & Chief Economist of PartnerRe Asset Management Corporation; Chief Investment Officer of Partner Reinsurance Company of the US (2001-2008); Creator, author and founder of John Davidson’s Economic Comments (2009-Present). | 5 | Trustee, AdvisorOne Funds (7 portfolios). |
Todd W. Gaylord Year of Birth: 1975 | Trustee; Indefinite Term of Office (since 2015) | Consultant (financial services) since 2012; Owner, McCauley Street Partners, Inc. (real estate brokerage firm) (2009-2014); Vice President, Corporate Bond, Syndicated Loan, and Credit Default Swap Trader, Wachovia Securities (2005-2008). | 5 | None |
Thomas W. Okel Year of Birth: 1962 | Trustee; Indefinite Term of Office (since 2015) | Executive Director (since 2011), Catawba Lands Conservancy; Global Head of Syndicated Capital Markets (1998-2010), Bank of America Merrill Lynch. | 5 | Trustee, Barings Funds Trust (8 portfolios); Trustee, Babson Capital Global Short Duration High Yield Fund (1 portfolio). |
83
Horizon Funds |
Interested Trustees and Officers | ||||
Name, Address* and | Position/Term | Principal Occupation During | Number of Portfolios | Other |
Robert J. Cannon** Year of Birth: 1972 | Interested Trustee Indefinite Term of Office (since 2015) and President; One Year Term of Office (since 2015) | President and CEO of Horizon Investments, LLC | 5 | None |
Matthew Chambers Year of Birth: 1976 | Vice President, Chief Compliance Officer and Secretary; One Year Term of Office (since 2015) | General Counsel and Chief Compliance Officer of Horizon Investments, LLC, December 2014-present; Attorney, Kilpatrick Townsend & Stockton, September 2008- November 2014 | Not Applicable | Not Applicable |
Benjamin Johnson Year of Birth: 1978 | Treasurer; One Year Term of Office (since 2015) | Managing Director of Operations of Horizon Investments, LLC | Not Applicable | Not Applicable |
* | The address for each Trustee and officer is 6210 Ardrey Kell Road, Suite 300, Charlotte, North Carolina 28277. |
** | Mr. Cannon is considered an “interested person” of the Trust, as defined in the 1940 Act, because of his current position with the Adviser. |
84
THIS PAGE INTENTIONALLY LEFT BLANK
Investment Adviser
Horizon Investments, LLC
6210 Ardrey Kell Road, Suite 300
Charlotte, NC 28277
Distributor
Quasar Distributors, LLC
615 East Michigan Street
Milwaukee, WI 53202
Custodian
U.S. Bank N.A.
Custody Operations
1555 N. RiverCenter Drive, Suite 302
Milwaukee, WI 53212
Transfer Agent, Fund Accountant and Fund Administrator
U.S. Bancorp Fund Services, LLC
615 East Michigan Street
Milwaukee, WI 53202
Independent Registered Public Accounting Firm
Cohen & Company, Ltd.
1350 Euclid Avenue, Suite 800
Cleveland, OH 44115
Legal Counsel
Kilpatrick Townsend & Stockton LLP
1001 West Fourth Street
Winston-Salem, NC 27101
How to Obtain Proxy Voting Information
Information regarding how the Funds vote proxies relating to portfolio securities for the 12 month period ended June 30th as well as a description of the policies and procedures that the Funds used to determine how to vote proxies is available without charge, upon request, by calling l-855-754-7932 or by referring to the Securities and Exchange Commission’s (“SEC”) website at http://www.sec.gov.
How to Obtain 1st and 3rd Fiscal Quarter Portfolio Holdings
The Funds file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Form N-Q is available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC (1-800-SEC-0330). The information on Form N-Q is available without charge, upon request, by calling 1-855-754-7932.
Item 2. Code of Ethics.
Not applicable for semi-annual reports.
Item 3. Audit Committee Financial Expert.
Not applicable for semi-annual reports.
Item 4. Principal Accountant Fees and Services.
Not applicable for semi-annual reports.
Item 5. Audit Committee of Listed Registrants.
Not applicable to registrants who are not listed issuers (as defined in Rule 10A-3 under the Securities Exchange Act of 1934).
Item 6. Investments.
(a) | Schedule of Investments is included as part of the report to shareholders filed under Item 1 of this Form. |
(b) | Not Applicable. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable to open-end investment companies.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable to open-end investment companies.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable to open-end investment companies.
Item 10. Submission of Matters to a Vote of Security Holders.
The registrant has not adopted any procedure by which shareholders may recommend nominees to the registrant’s board of directors.
Item 11. Controls and Procedures.
(a) | The registrant's principal executive officer and principal financial officer have concluded, based on an evaluation of the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended) as of a date within 90 days prior to the filing date of this Form N-CSR, that the disclosure controls and procedures are effectively designed to ensure that information required to be disclosed by the registrant in this Form N-CSR is recorded, processed, summarized and reported by the filing date, including ensuring that information required to be disclosed in this Form N-CSR is accumulated and communicated to the registrant's management, including the registrant's principal executive officer and principal financial officer, as appropriate, to allow timely decisions regarding required disclosure. |
(b) | There were no significant changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940, as amended) that occurred during the second fiscal quarter covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable to open-end investment companies.
Item 13. Exhibits.
(a) | (1) Any code of ethics or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy Item 2 requirements through filing an exhibit. Not applicable for semi-annual reports. |
(2) A separate certification for each principal executive and principal financial officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. Filed herewith.
(3) Any written solicitation to purchase securities under Rule 23c-1 under the Act sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons. Not applicable to open-end investment companies.
(b) | Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. Furnished herewith. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) | Horizon Funds | ||
By (Signature and Title)* | /s/ Robert Cannon | ||
Robert Cannon, President and Principal Executive Officer | |||
Date | 8/2/2018 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)* | /s/ Robert Cannon | ||
Robert Cannon, President and Principal Executive Officer | |||
Date | 8/2/2018 | ||
By (Signature and Title)* | /s/ Benjamin Johnson | ||
Benjamin Johnson, Treasurer and Principal Financial Officer | |||
Date | 8/2/2018 |
* | Print the name and title of each signing officer under his or her signature. |