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, 2020
Date of reporting period: December 1, 2019 through November 30, 2020
Item 1. Reports to Stockholders.
HORIZON FUNDS | Annual Report |
Horizon Active Asset Allocation Fund | | Horizon Active Risk Assist® Fund |
Investor Class Advisor Class Institutional Class | Shares Shares Shares | AAANX HASAX HASIX | | Investor Class Advisor Class Institutional Class | Shares Shares Shares | ARANX ARAAX ACRIX |
Horizon Active Income Fund | | Horizon Active Dividend Fund |
Investor Class Advisor Class Institutional Class | Shares Shares Shares | AIMNX AIHAX AIRIX | | Investor Class Advisor Class | Shares Shares | HNDDX HADUX |
Horizon Defined Risk Fund | | Horizon Defensive Multi-Factor Fund |
Investor Class Advisor Class | Shares Shares | HNDRX HADRX | | Investor Class Advisor Class | Shares Shares | USRAX USRTX |
Horizon ESG Defensive Core Fund |
Investor Class Advisor Class | Shares Shares | HESGX HESAX |
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, HORIZON DEFINED RISK FUND, HORIZON DEFENSIVE MULTI-FACTOR FUND and HORIZON ESG DEFENSIVE CORE FUND. Such offering is made only by prospectus, which includes details as to offering price and other material information.
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Funds’ shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the Funds or from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications electronically from the Funds by calling 1-855-754-7932 or by contacting your financial intermediary (such as a broker-dealer or bank).
You may elect to receive all future reports in paper free of charge. You can request to continue receiving paper copies of your shareholder reports by contacting your financial intermediary or, if you invest directly with a Fund, calling 1-855-754-7932 to let the Fund know of your request. Your election to receive in paper will apply to all funds held in your account.
Table of Contents | |
Letter to Shareholders | 1 |
Portfolio Review | 7 |
Portfolio Composition | 14 |
Portfolio of Investments | 16 |
Statements of Assets and Liabilities | 63 |
Statements of Operations | 65 |
Statements of Changes in Net Assets | 67 |
Financial Highlights | 74 |
Notes to Financial Statements | 91 |
Report of Independent Registered Public Accounting Firm | 111 |
Disclosure of Fund Expenses | 113 |
Approval of the Management Agreements | 114 |
Additional Information | 116 |
Privacy Notice | 120 |
Horizon Funds
Letter to Shareholders
November 30, 2020
Dear Shareholder:
In the following paragraphs we will recap the key factors affecting broad markets and the Horizon Funds through the fiscal year ended November 30, 2020.
Horizon Active Asset Allocation Fund
The Horizon Active Asset Allocation Fund (Investor Class) (the Fund) returned 12.32% for the fiscal year ended November 30, 2020. Domestic equities (as measured by the S&P 500 Index) returned 17.42%, while international equities returned 10.86% (as measured by the S&P Global BMI ex-US Index) over the same period.
It was a year characterized by extreme price movements and position crowding against a backdrop of the record high economic volatility. Market leadership, both at a regional and style level, varied dramatically throughout the year. The expected cyclical upswing after the relaxation of trade tensions between the U.S. and China at the beginning of the year gave way to a sudden economic stop to stem the spread of a global pandemic. As the economy and markets recovered, focus shifted to the outlook for therapeutics and vaccines to combat Covid-19 and the U.S. election. Throughout most of the year, U.S. equities, and especially growth stocks, led other market segments, although this leadership was challenged in a few sharp positioning rotations, a reflection of investor crowding in the style and factor space. Toward the end of the year, the passing of the event risk around the U.S. election and positive vaccine news caused another regional and style shift in favor of the year’s laggards. Navigating these rotations was a key factor in the Fund’s performance throughout the year. The Fund began the year overweight foreign stocks but quickly increased domestic and large-cap growth positioning as the pandemic roiled the global economy. The Fund maintained this positioning through the equity market sell-off and initial phases of the recovery. As valuations and positioning metrics became more stretched in the back half of the year, the Fund increased its international allocation and moved down the capitalization spectrum, two areas that had lagged the domestic large-cap growth segment. Following the positive vaccine developments at the end of the year, the Fund shifted further down the capitalization spectrum, adding direct exposure to small-caps, and increased exposure to Asian equities.
The key driver of Fund performance was U.S. positioning, specifically allocations to large cap growth and technology shares whose business models were robust to an economic slowdown and whose balance sheets were perceived as high quality. Key detractors include European exposure and a systematic option program designed for portfolio enhancement. Emerging market equity exposure also lagged, although it did contribute strongly to returns at certain parts of the year.
Horizon Active Risk Assist Fund
The Horizon Active Risk Assist Fund (Investor Class) (the Fund) realized a return of 2.71% for the fiscal year ended November 30, 2020, which trailed domestic and international equities. Domestic equities (as measured by the S&P 500 Index) returned 17.46%, while international equities returned 10.86% (as measured by the S&P Global BMI ex-US Index) over the same period. The Fund exhibited an average beta of 0.37 to the S&P 500 Index over the period.
As a risk mitigation strategy, the Fund performed in line with expectations in a difficult market environment. The Fund’s realized volatility for the period was 20.89%, around 50% of that of domestic equities and about 75% of that of international equities (realized volatilities for the period of 41.51% and 27.86% respectively). The Fund also realized a maximum drawdown of 20.13%, which was substantially less than the 33.79% drawdown experienced by the S&P 500 and the 34.83% drawdown of the S&P Global BMI ex-US.
The Fund began the year with a slight overweight to international markets and a preference for value over growth domestically. As risks to the global outlook increased early in the year, the Fund moved toward U.S., and especially large-cap growth and technology, stocks. The Fund maintained this positioning through the equity market sell-off and initial phases of the recovery, a period during which the Risk Assist algorithm was engaged. Near the end of the year,
1
Horizon Funds
Letter to Shareholders (Continued)
November 30, 2020
the Fund added smaller cap exposure and moved away from its strong preference for domestic large-cap growth. In terms of performance of the underlying allocations, large-cap domestic growth and technology holdings contributed the most to the Fund’s return, while allocations towards domestic large-cap value and international developed markets detracted the most from the Fund’s return over the fiscal year.
The Fund had meaningful de-risking activity throughout the fiscal year in an environment that was quick to sell off and quick to recover (“de-risk” meaning a partial re-allocation of Fund assets away from global equities and towards U.S. Treasury-related securities). The Fund began the year fully invested, and after the equity market peak in mid-February, the speed and magnitude of the equity sell-off drove the Fund to de-risk rapidly, ending March with 90% of the Fund’s assets in short-term U.S. government securities. The speed of the equity rebound from late March caused a drag on Fund performance as assets were systematically reinvested in global equities. A brief sell-off in June caused some de-risking activity, while by July the Fund was fully invested in global equities and captured the equity market gains through the rest of the year. The speed of the drawdowns and recoveries throughout this past fiscal year was a challenging environment for the Risk Assist strategy. While the Risk Assist algorithm mitigated drawdowns relative to global equity markets throughout the year, these de-risking and re-risking activities were the biggest detractors to relative performance in the period.
Horizon Active Income Fund
The Horizon Active Income Fund (Investor Class) (the Fund) was up 7.29% for the fiscal year ended November 30, 2020, matching the 7.28% return for the broader bond market (as measured by Bloomberg Barclays U.S. Aggregate Bond Index). The Fund experienced higher volatility and a larger maximum drawdown than the benchmark during the period due to dislocations in the fixed income market in the first half of the year and the opportunistic use of fixed income market segments not in the benchmark.
As a flexible fixed income strategy designed to opportunistically navigate through non-traditional fixed income market segments to improve the risk/reward of traditional core fixed income, relative performance for the year was volatile. At the beginning of the year, the Fund faced a mixed market pricing backdrop. Optimism was reflected by the historically tight spreads on corporate debt, while the flatness of the government yield curve expressed skepticism around a synchronized global economic upswing. The sudden stop of global economic activity in February and March caused extreme volatility and illiquidity across all fixed income markets. The Federal Reserve Board and other global central banks responded by cutting rates rapidly and instituting large-scale asset purchase programs to restore market function. This intervention was largely successful, causing a sharp contraction in credit spreads in April followed by a gradual tightening throughout the rest of the year, as well as a steepening trend in government bond markets. The Fund was active throughout the period, initially positioning with a long duration profile and a diversified set of non-traditional fixed income risk exposures. As markets experienced difficulty early in the year, the Fund actively de-risked some of its more volatile holdings and increased duration, primarily through government bonds. The rebound in fixed income markets from April onwards saw an increase in Fund risk via convertible bonds, preferred equities, high-yield corporate and emerging market debt, a steady decrease in duration exposure, and an overweight to investment grade corporate debt.
The key drivers of Fund performance include long duration positioning in both the government and investment grade sectors and the opportunistic use of ETF holding convertible bonds. Despite the fact that these allocations added considerable value at times throughout the fiscal year, high-yield corporate bonds and emerging market U.S. dollar debt were the biggest detractors to performance over the period. Another key detractor of performance was a systematic option program designed for portfolio enhancement.
2
Horizon Funds
Letter to Shareholders (Continued)
November 30, 2020
Defined Risk Fund
The objective of the Defined Risk Fund (the Fund) is to invest in a basket of equities that track the S&P 500 Index, while seeking to generate income, hedge volatility, and reduce downside risk by buying and selling put and call options . In terms of expectations versus the S&P 500 Index, the Fund should outperform the Index when it is down and underperform it when it is up, while exhibiting less volatility than the Index across all market conditions.
The Defined Risk Fund (Investor Class) returned 5.93% for the year ended November 30, 2020, while realizing a volatility of 22.56%. The return on the S&P 500 Index for the same period was 17.42%, with a realized volatility of 41.51%. Over the period, the Fund exhibited a beta of 0.52 to the S&P 500 Index. The maximum drawdown for the Fund for the year ended November 30, 2020, was 20.71%, while the maximum drawdown on the S&P 500 Index over the same period was 33.79%
The Fund allows for active positioning within its options collar structure. The goal of this active positioning is to generate income, hedge volatility and reduce downside risk. This active positioning added to performance over the fiscal year.
Horizon Defensive Multi-Factor Fund
The Horizon Defensive Multi-Factor Fund (Investor Class) (the Fund) returned 3.96% for the year ended November 30, 2020, while realizing a volatility of 26.79% and a maximum drawdown of 23.39%. The return on the S&P 500 Index for the same period was 17.42%, with a realized volatility of 41.51% and a maximum drawdown of 33.79%. Over the period, the Fund exhibited an average beta of 0.57 to the S&P 500 index.
The Fund, via the Risk Assist algorithm, de-risked 80% of the equity portfolio in the drawdown during the first quarter of 2020 (“de-risk” meaning a partial re-allocation of Fund assets away from global equities and towards U.S. Treasury-related securities). This activity caused the Fund to experience lower volatility and a considerably shallower drawdown than the S&P 500 Index over this period. The stimulus provided by both fiscal and monetary authorities in March and beyond drove a strong market rally out of the drawdown. As markets rebounded, the Risk Assist algorithm systematically reinvested the equity portion of the portfolio. By early June the Fund was fully invested in the equity portion of the portfolio. The speed of the drawdown and recovery throughout this past fiscal year was a challenging environment for the Risk Assist algorithm. While the Risk Assist algorithm mitigated drawdowns relative to domestic equity markets throughout the year, these de-risking and re-risking activities were the biggest detractors to relative performance for the Fund in the period.
In terms of the underlying equity portfolio, the defensive nature of the holdings caused the Fund to slightly lag the S&P 500 Index through the rally that continued off the March equity lows. The main driver of the performance of the underlying equity portfolio is stock selection. Key highlights in the period include selection in Consumer Staples and Industrials, while selection in in Information Technology and Consumer Discretionary lagged in the period.
Horizon ESG Defensive Core Fund
The Horizon ESG Defensive Core Fund (Investor Class) (the Fund) returned 15.12% for the period December 26, 2019 to November 30, 2020, while realizing a volatility of 29.41% and a maximum drawdown of 24.43%. For the same period, the return on the MSCI USA Index was 15.55%, with a realized volatility of 43.59% and a maximum drawdown of 35.02%. The Fund exhibited an average beta of 0.61 to the S&P 500 index over the period. As the Fund was launched December 26, 2019, all the above statistics are from inception until the end of the fiscal year.
The Fund, via the Risk Assist algorithm, de-risked 80% of the equity portfolio in the drawdown during the first quarter of 2020 (“de-risk” meaning a partial re-allocation of Fund assets away from global equities and towards U.S. Treasury-related securities). This activity caused the Fund to experience lower volatility and a considerably shallower
3
Horizon Funds
Letter to Shareholders (Continued)
November 30, 2020
drawdown than the S&P 500 Index over this period. The stimulus provided by both fiscal and monetary authorities in March and beyond drove a strong market rally out of the drawdown. By late May the Fund was fully invested in the equity portion of the portfolio. Although the Risk Assist algorithm mitigated the drawdown and volatility of the Fund relative to domestic equity markets, the speed of the rebound off the March equity lows caused a drag on Fund performance in the second quarter of 2020. Over the full period, however, this de-risking and re-risking activity was the largest contributor to relative returns versus the Fund’s benchmark.
The Fund’s investment sub-adviser, DWS Investment Management Americas, Inc., manages the equity portion of the Fund through a quantitative process while integrating stringent ESG criteria. Over the period, it has been a generally challenging time for quantitative strategies. By design, these strategies rely on back-testing and factor diversification to generate alpha . The most recent paradigm, driven by a single macro factor (Covid-19), has reduced the diversification benefits of these types of quantitative strategies, leading to a difficult performance environment. Especially challenging was the tilt toward inexpensive securities, or value stocks, that have not benefitted from the typical mean reversion in this market environment. In terms of performance of the equity portion of the portfolio, the Fund’s quantitative stock selection suffered from high factor correlation and narrow market leadership. Specifically, overweights in several back-to-normal stocks, mainly in the Energy, Industrials, Communication Services, and Consumer Discretionary sectors, had a negative impact on performance. In addition, underweights in stocks which benefited from the stay-at-home economy also added to underperformance relative to the benchmark. However, despite the aggregate underweight to stay-at-home stocks, selection in some names that disproportionally benefitted from the macro environment were the best performers during the period. The portfolio management team over the year made revisions to certain stock selection models as well as incorporated upgraded risk models to better capture the current macro environment.
Horizon Active Dividend Fund
The Horizon Active Dividend Fund (Investor Class) (the Fund) posted a total return of -3.41% for the fiscal year ended November 30, 2020. The Fund’s benchmark, the MSCI World High Dividend Yield Index , returned -0.19% over the same period.
Horizon’s Active Dividend Fund invests in high quality companies with well-supported dividend yields that are trading at a discount to their intrinsic value. Two of these factors, dividend and value, struggled over the past year, leading the Fund to underperform its benchmark. Dividend-focused companies underperformed as concerns over Covid-19 forced an economic slowdown. This slowdown prompted some companies to reduce or eliminate dividends, and spurred investor fears that dividends would be negatively impacted across a broad swath of global companies. The value factor underperformed due to its overweight to economically-sensitive companies in the Financials, Industrials, Materials, and Energy sectors at a time when the global economy was experiencing an unprecedented slowdown.
As people around the world began staying home due to Covid-19, their demand for food and household products increased. As a result, the Fund’s exposure to food companies J.M. Smucker, General Mills and Nestle as well as household products companies Procter and Gamble, Reckitt Benckiser (maker of Lysol), and Kimberly Clark (maker of Kleenex) contributed meaningfully to performance during the period. Semiconductor manufacturers also contributed positively to performance. Specifically, Qualcomm and Taiwan Semiconductor benefited from rising demand for semiconductors driven by the buildout of 5G infrastructure worldwide. Railroads also contributed to performance during the period. As Covid-19 stressed supply chains in the U.S., railroads became an integral part of getting goods to customers. Railroads benefited from a tighter truck market and demand from the parcel industry due to a surge in e-commerce.
Financials detracted most from performance during the period. The unprecedented decrease in interest rates in March, 2020, as Covid-19 forced the shutdown of economies across the globe, took its toll on the earnings power for financial companies. Global economic weakness also raised fears that credit defaults would rise, causing deterioration in
4
Horizon Funds
Letter to Shareholders (Continued)
November 30, 2020
financial firms’ balance sheets. Real Estate exposure also detracted from performance as economic weakness spurred fears in the short-term that tenants would be unable to pay rent and called into question long-term demand for real estate once the world returns to normal.
* * * * *
We are grateful for the opportunity to manage these funds, and appreciate your continued investment in Horizon Funds.
Past performance does not guarantee future results.
The S&P 500 Index is an unmanaged composite of 500 large capitalization companies. This index is widely used by professional investors as a performance benchmark for large-cap stocks. The S&P Global ex-US BMI (Broad Market Index) comprises the S&P Developed BMI and S&P Emerging BMI, and is a comprehensive, rules-based index measuring stock market performance globally, excluding the U.S. The Bloomberg Barclays Aggregate Bond Index tracks the U.S. fixed income markets. The index includes government securities, mortgage-backed securities, asset-backed securities and corporate securities to simulate the universe of bonds in the market. The S&P Global 100 Index measures the performance of 100 multi-national, blue-chip companies of major importance in the global equity markets, including 100 large-cap companies drawn from the S&P Global 1200 whose businesses are global in nature, a substantial portion of their operating income, assets, and employees deriving from multiple countries. The MSCI USA Index is a broad measure of the performance of the U.S. equity market, composed of over 600 constituents in the large- and mid-cap market segments. The MSCI World High Dividend Yield Index measures the performance of large- and mid-cap equities in Developed Markets that pay higher than average dividends while omitting lower quality stocks with questionable dividend-sustainability characteristics.
Must be preceded or accompanied by a prospectus.
Beta is a measure of the volatility, or systematic risk, of a security or a portfolio in comparison to the entire market or a benchmark. Beta is calculated by dividing the product of the covariance of the security’s returns and the benchmark’s returns by the product of the variance of the benchmark’s returns over a specified period.
Alpha is a measure of the excess return, after accounting for systematic risk as measured by beta, of a security or a portfolio in comparison to the entire market or a stated benchmark. Alpha is calculated by comparing the security’s returns over a given period with the product of the security’s beta measure and the returns of the benchmark over that same period.
Realized volatility is a statistical measure of dispersion of returns for a given security or market index over a given period of time. This measure is typically calculated by determining the average deviation from the average price of a financial instrument in the given time period. The higher the realized volatility value, the riskier the security.
Duration is a measure of risk for fixed income securities. It measures the sensitivity of the price of a fixed income instrument or portfolio of fixed income instruments to a change in interest rates. All else equal and for a given change in interest rates, a security or portfolio of securities with a larger duration will exhibit greater price changes than that with a smaller duration.
A call option is a contract that provides the buyer with the right, but not the obligation, to buy a security at a specified price on or before a specified date. A put option is a contract that provides the buyer with the right, but not the obligation, to sell a security at a specified price on or before a specified date.
Opinions expressed are subject to change at any time, are not guaranteed and should not be considered investment advice.
5
Horizon Funds
Letter to Shareholders (Continued)
November 30, 2020
Mutual fund investing involves risk. Principal loss is possible. In addition to the costs, fees, and expenses involved in investing in ETFs, ETFs are subject to additional risks including the risks that the market price of the shares may trade at a discount to its net asset value (“NAV”), an active secondary trading market may not develop or be maintained, or trading may be halted by the exchange in which they trade, which may impact a Fund’s ability to sell its shares. The Funds may invest in foreign securities which involve greater volatility and political, economic and currency risks and differences in accounting methods. These risks are greater in emerging markets. Investments in debt securities typically decrease in value when interest rates rise. This risk is usually greater for longer-term debt securities. Investment by the Funds in lower-rated and non-rated securities presents a greater risk of loss to principal and interest than higher-rated securities. Small and Medium capitalization companies tend to have limited liquidity and greater price volatility than large capitalization companies. Investments in Real Estate Investment Trusts (REITs) involve additional risks such as declines in the value of real estate and increased susceptibility to adverse economic or regulatory developments. The Funds may also use options, which have the risks of unlimited losses of the underlying holdings due to unanticipated market movements and failure to correctly predict the direction of securities’ prices, interest rates and currency exchange rates. The investment in options is not suitable for all investors.
Fund holdings and sector allocations are subject to change and are not recommendations to buy or sell any security. Current and future portfolio holdings are subject to risk. Please refer to the Portfolio of Investments in this report for a complete list of fund holdings.
Earnings growth is not a measure of the Fund’s future performance.
Horizon Funds are distributed by Quasar Distributors, LLC.
6
Horizon Active Asset Allocation Fund
Portfolio Review (Unaudited)
November 30, 2020
The chart above assumes an initial gross investment of $10,000 made on January 31, 2012. The Fund’s performance figures are for the year ended November 30, 2020. 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. In the absence of fee waivers and reimbursements, when they are necessary to keep expenses at the expense cap, total return would be reduced. Performance figures for periods greater than one year are annualized.
Average Annual Total Returns | One Year | Five Year | Since
Commencement
of Operations (1) |
Horizon Active Asset Allocation Fund - Investor Class | 12.32% | 8.28% | 8.64% |
Horizon Active Asset Allocation Fund - Advisor Class | 12.24% | 8.19% | 9.19% |
Horizon Active Asset Allocation Fund - Institutional Class | 12.44% | N/A | 10.25% |
S&P 500 Total Return Index | 17.46% | 13.99% | 14.52%(2) |
S&P Global BMI ex-US Index | 10.40% | 7.63% | 6.37%(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 15.16% and 8.20%, 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 15.67% and 7.93%, respectively. |
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. Index returns do not reflect the effects of fees or expenses. 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. Index returns do not reflect the effects of fees or expenses. Investors cannot invest directly in an index or benchmark.
7
Horizon Active Risk Assist® Fund
PORTFOLIO REVIEW (Unaudited)
November 30, 2020 |
The chart above assumes an initial gross investment of $10,000 made on August 28, 2014. The Fund’s performance figures are for the year ended November 30, 2020. 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. In the absence of fee waivers and reimbursements, when they are necessary to keep expenses at the expense cap, total return would be reduced. Performance figures for periods greater than one year are annualized.
Average Annual Total Returns | One Year | Five Year | Since
Commencement
of Operations (1) |
Horizon Active Risk Assist® Fund - Investor Class | 2.71% | 4.43% | 3.21% |
Horizon Active Risk Assist® Fund - Advisor Class | 2.50% | 4.32% | 4.79% |
Horizon Active Risk Assist® Fund - Institutional Class | 2.78% | N/A | 5.71% |
Bloomberg Barclays Aggregate Bond Index | 7.28% | 4.34% | 3.78%(2) |
S&P 500 Total Return Index | 17.46% | 13.99% | 12.17%(2) |
S&P Global BMI ex-US Index | 10.40% | 7.63% | 4.13%(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 4.16%, 15.16%, and 8.20%, 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 3.96%, 15.67%, and 7.93%, respectively. |
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. Index returns do not reflect the effects of fees or expenses. 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. Index returns do not reflect the effects of fees or expenses. 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. Index returns do not reflect the effects of fees or expenses. Investors cannot invest directly in an index or benchmark.
8
Horizon Active Income Fund
PORTFOLIO REVIEW (Unaudited)
November 30, 2020 |
The chart above assumes an initial gross investment of $10,000 made on September 30, 2013. The Fund’s performance figures are for the year ended November 30, 2020. 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. In the absence of fee waivers and reimbursements, when they are necessary to keep expenses at the expense cap, total return would be reduced. Performance figures for periods greater than one year are annualized.
Average Annual Total Returns | One Year | Five Year | Since
Commencement
of Operations (1) |
Horizon Active Income Fund - Investor Class | 7.29% | 2.47% | 1.91% |
Horizon Active Income Fund - Advisor Class | 6.96% | N/A | 2.50% |
Horizon Active Income Fund - Institutional Class | 7.07% | N/A | 2.39% |
Bloomberg Barclays Aggregate Bond Index | 7.28% | 4.34% | 3.95%(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 4.14% and 3.96%, respectively. |
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. Index returns do not reflect the effects of fees or expenses. Investors cannot invest directly in an index or benchmark.
9
Horizon Active Dividend Fund
PORTFOLIO REVIEW (Unaudited)
November 30, 2020 |
The chart above assumes an initial gross investment of $10,000 made on December 28, 2016. The Fund’s performance figures are for the year ended November 30, 2020. 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. In the absence of fee waivers and reimbursements, when they are necessary to keep expenses at the expense cap, total return would be reduced. Performance figures for periods greater than one year are annualized.
Average Annual Total Returns | One Year | Since
Commencement
of Operations (1) |
Horizon Active Dividend Fund - Investor Class(3) | -3.41% | 5.91% |
Horizon Active Dividend Fund - Advisor Class(3) | -3.55% | 3.90% |
S&P Global 100 Index | 17.87% | 14.39%(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 12.92%. |
(3) | The returns reflect the actual performance for each period and do not include the impact of any adjustments made for financial reporting required by Generally Accepted Accounting Principles (GAAP). |
The S&P Global 100 Index measures the performance of multi-national, blue chip companies of major importance in the global equity markets. Index returns do not reflect the effects of fees or expenses. Investors cannot invest directly in an index or benchmark.
10
Horizon Defined Risk Fund
PORTFOLIO REVIEW (Unaudited)
November 30, 2020 |
The chart above assumes an initial gross investment of $10,000 made on December 28, 2017. The Fund’s performance figures are for the year ended November 30, 2020. 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. In the absence of fee waivers and reimbursements, when they are necessary to keep expenses at the expense cap, total return would be reduced. Performance figures for periods greater than one year are annualized.
Average Annual Total Returns | One Year | Since
Commencement
of Operations (1) |
Horizon Defined Risk Fund - Investor Class | 5.93% | 4.98% |
Horizon Defined Risk Fund - Advisor Class | 5.78% | 4.60% |
Bloomberg Barclays US Treasury 1-3 Years Index | 3.33% | 2.84%(2) |
S&P 500 Total Return Index | 17.46% | 12.91%(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 3.04%, and 12.24%, respectively. |
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. Index returns do not reflect the effects of fees or expenses. 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. Index returns do not reflect the effects of fees or expenses. Investors cannot invest directly in an index or benchmark.
11
Horizon Defensive Multi-Factor Fund
PORTFOLIO REVIEW (Unaudited)
November 30, 2020 |
The chart above assumes an initial gross investment of $10,000 made on June 26, 2019. The Fund’s performance figures are for the year ended November 30, 2020. 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. In the absence of fee waivers and reimbursements, when they are necessary to keep expenses at the expense cap, total return would be reduced. Performance figures for periods greater than one year are annualized.
Average Annual Total Returns | One Year | Since
Commencement
of Operations (1) |
Horizon Defensive Multi-Factor Fund - Investor Class | 3.96% | 6.23% |
Horizon Defensive Multi-Factor Fund - Advisor Class | N/A | 3.55% |
S&P 500 Total Return Index | 17.46% | 18.65%(2) |
(1) | Inception date is June 26, 2019 for Investor Class Shares and January 31, 2020 for Advisor Class Shares. |
(2) | The Since Commencement of Operations returns shown are from the commencement date of Horizon Defensive Multi-Factor Fund - Investor Class. The returns for the S&P 500 Total Return Index since the commencement date of the Horizon Defensive Multi-Factor Fund - Advisor Class are 14.06% |
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. Index returns do not reflect the effects of fees or expenses. Investors cannot invest directly in an index or benchmark.
12
Horizon ESG Defensive Core Fund
PORTFOLIO REVIEW (Unaudited)
November 30, 2020 |
The chart above assumes an initial gross investment of $10,000 made on December 26, 2019. The Fund’s performance figures are for the year ended November 30, 2020. 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. In the absence of fee waivers and reimbursements, when they are necessary to keep expenses at the expense cap, total return would be reduced. Performance figures for periods greater than one year are annualized.
Average Annual Total Returns | Since
Commencement
of Operations (1) |
Horizon ESG Defensive Core Fund - Investor Class | 15.12% |
Horizon ESG Defensive Core Fund - Advisor Class | 14.58% |
MSCI USA Index | 16.26(2) |
(1) | Inception date is December 26, 2019 for Investor Class Shares and January 8, 2020 for Advisor Class Shares. |
(2) | The Since Commencement of Operations returns shown are from the commencement date of Horizon ESG Defensive Core Fund - Investor Class. The return for the MSCI USA Index since the commencement date of the Horizon ESG Defensive Core Fund - Advisor Class is 15.63%. |
The MSCI USA Index is designed to measure the performance of the large and mid cap segments of the US market. With 616 constituents, the index covers approximately 85% of the free float-adjusted market capitalization in the US Index returns do not reflect the effects of fees or expenses. Investors cannot invest directly in an index or benchmark.
13
Horizon Funds
Portfolio Composition (Unaudited)
November 30, 2020
Horizon Active Asset Allocation Fund Portfolio Composition as of November 30, 2020:
| | % of Total
Investments |
Investment Companies | 75.5% |
Purchased Call Options | 0.0%(a) |
Short Term Investments | 0.0%(a) |
Investments Purchased With Proceeds From Securities Lending | 24.5% |
| | 100.0% |
Horizon Active Risk Assist® Fund Portfolio Composition as of November 30, 2020:
| | % of Total
Investments |
Investment Companies | 78.2% |
Common Stocks | 1.3% |
Purchased Call Options | 0.0%(a) |
Purchased Put Options | 0.2% |
Short Term Investments | 0.1% |
Investments Purchased With Proceeds From Securities Lending | 20.2% |
| | 100.0% |
Horizon Active Income Fund Portfolio Composition as of November 30, 2020:
| | % of Total
Investments |
Investment Companies | 81.1% |
Short Term Investments | 0.6% |
Investments Purchased With Proceeds From Securities Lending | 18.3% |
| | 100.0% |
Horizon Active Dividend Fund Portfolio Composition as of November 30, 2020:
| | % of Total
Investments |
Common Stocks | 81.6% |
Convertible Preferred Stocks | 0.4% |
Preferred Stocks | 0.2% |
Purchased Put Options | 0.0%(a) |
Short Term Investments | 1.3% |
Investments Purchased With Proceeds From Securities Lending | 16.5% |
| | 100.0% |
14
Horizon Funds
PORTFOLIO COMPOSITION (Unaudited) (Continued)
November 30, 2020 |
Horizon Defined Risk Fund Portfolio Composition as of November 30, 2020:
| | % of Total
Investments |
Common Stocks | 92.9% |
Warrants | 0.0%(a) |
Purchased Put Options | 1.2% |
Short Term Investments | 0.1% |
Investments Purchased With Proceeds From Securities Lending | 5.8% |
| | 100.0% |
Horizon Defensive Multi-Factor Fund Portfolio Composition as of November 30, 2020:
| | % of Total
Investments |
Common Stocks | 97.7% |
Short Term Investments | 0.3% |
Investments Purchased With Proceeds From Securities Lending | 2.0% |
| | 100.0% |
Horizon ESG Defensive Core Fund Portfolio Composition as of November 30, 2020:
| | % of Total
Investments |
Common Stocks | 96.0% |
Rights | 0.0%(a) |
Short Term Investments | 2.0% |
Investments Purchased With Proceeds From Securities Lending | 2.0% |
| | 100.0% |
Data expressed excludes written options. Please refer to the Portfolios of Investments in this report for a detailed analysis of the Funds’ holdings.
15
Horizon Active Asset Allocation Fund
Portfolio of Investments
November 30, 2020
| | Shares | | | | | | | |
Value
| |
| | | | | INVESTMENT COMPANIES - 99.0% | | | | | | | | |
| | | | | Exchange Traded Funds - 99.0% | | | | | | | | |
| | | 160,104 | | Invesco QQQ Trust Series 1 (a) | | | | | | $ | 47,970,361 | |
| | | 348,408 | | Invesco S&P 500 Equal Weight ETF (a) | | | | | | | 42,812,375 | |
| | | 237,680 | | iShares Core S&P Mid-Cap ETF | | | | | | | 51,462,473 | |
| | | 305,950 | | iShares MSCI All Country Asia ex Japan ETF (a) | | | | | | | 25,993,512 | |
| | | 801,605 | | iShares MSCI Japan ETF (a) | | | | | | | 51,615,346 | |
| | | 540,497 | | iShares MSCI USA Quality Factor ETF | | | | | | | 60,784,293 | |
| | | 240,627 | | iShares Russell 2000 ETF (a) | | | | | | | 43,558,299 | |
| | | 340,984 | | iShares Select Dividend ETF | | | | | | | 32,008,168 | |
| | | 112,690 | | Janus Henderson Small/Mid Cap Growth Alpha ETF (a) | | | | | | | 6,608,142 | |
| | | 264,475 | | Schwab U.S. Large-Cap Value ETF (a) | | | | | | | 15,305,168 | |
| | | 1,292,641 | | SPDR Portfolio Emerging Markets ETF | | | | | | | 51,990,021 | |
| | | 493,864 | | SPDR Portfolio S&P 500 Growth ETF | | | | | | | 26,322,951 | |
| | | 797,346 | | SPDR Portfolio S&P 500 Value ETF | | | | | | | 26,687,171 | |
| | | 318,320 | | SPDR S&P Kensho New Economies Composite ETF | | | | | | | 16,804,113 | |
| | | 656,365 | | Xtrackers MSCI USA ESG Leaders Equity ETF | | | | | | | 21,651,184 | |
| | | 207,495 | | Xtrackers S&P 500 ESG ETF (a) | | | | | | | 6,612,866 | |
| | | | | TOTAL INVESTMENT COMPANIES (Cost - $482,440,817) | | | | | | | 528,186,443 | |
| | | | | | | | | | | | | |
| | Contracts | | | | Notional
Amount | | | | | |
| | | | | PURCHASED OPTIONS - 0.1% (b)(e) | | | | | | | | |
| | | | | PURCHASED CALL OPTIONS - 0.1% | | | | | | | | |
| | | | | iShares China Large-Cap ETF | | | | | | | | |
| | | 4,000 | | Expiration: January 2021, Exercise Price: $51 | | $ | 18,800,000 | | | | 100,000 | |
| | | | | iShares MSCI EAFE ETF | | | | | | | | |
| | | 3,000 | | Expiration: January 2021, Exercise Price: $75 | | | 21,045,000 | | | | 55,500 | |
| | | | | iShares MSCI Emerging Markets ETF | | | | | | | | |
| | | 4,000 | | Expiration: January 2021, Exercise Price: $52 | | | 19,492,000 | | | | 118,000 | |
| | | | | TOTAL PURCHASED OPTIONS (Cost - $485,197) | | | | | | | 273,500 | |
| | | | | | | | | | | | | |
See accompanying notes to financial statements.
16
Horizon Active Asset Allocation Fund
PORTFOLIO OF INVESTMENTS (Continued)
November 30, 2020 |
| | Shares | | | | | | | |
Value
| |
| | | | | SHORT TERM INVESTMENTS - 0.0% (c) | | | | | | | | |
| | | | | Money Market Funds - 0.0% (c) | | | | | | | | |
| | | 213 | | First American Treasury Obligations Fund, Class X, 0.05% (d) | | | | | | $ | 213 | |
| | | | | TOTAL SHORT TERM INVESTMENTS (Cost - $213) | | | | | | | 213 | |
| | | | | | | | | | | | | |
| | | | | INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING - 32.1% | | | | | | | | |
| | | 171,201,918 | | Mount Vernon Liquid Assets Portfolio, LLC, 0.15% (d) | | | | | | | 171,201,918 | |
| | | | | TOTAL INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING (Cost - $171,201,918) | | | | | | | 171,201,918 | |
| | | | | | | | | | | | | |
| | | | | TOTAL INVESTMENTS - 131.2% (Cost - $654,128,145) | | | | | | | 699,662,074 | |
| | | | | Liabilities in Excess of Other Assets - (31.2)% | | | | | | | (166,401,381 | ) |
| | | | | NET ASSETS - 100.0% | | | | | | $ | 533,260,693 | |
Percentages are stated as a percent of net assets.
(a) | All or a portion of this security is out on loan as of November 30, 2020. |
(b) | Each option is exercisable into 100 shares of the underlying security. |
(d) | Interest rate reflects the seven-day yield on November 30, 2020. |
(e) | Non-income producing security. |
See accompanying notes to financial statements.
17
Horizon Active Risk Assist® Fund
PORTFOLIO OF INVESTMENTS
November 30, 2020 |
| | Shares | | | | | | | |
Value
| |
| | | | | INVESTMENT COMPANIES - 98.2% | | | | | | | | |
| | | | | Exchange Traded Funds - 98.2% | | | | | | | | |
| | | 162,950 | | Invesco QQQ Trust Series 1 (f) | | | | | | $ | 48,823,079 | |
| | | 403,261 | | Invesco S&P 500 Equal Weight ETF (f) | | | | | | | 49,552,712 | |
| | | 370,594 | | iShares Core S&P Mid-Cap ETF (f) | | | | | | | 80,241,013 | |
| | | 558,608 | | iShares MSCI EAFE Minimum Volatility Factor ETF | | | | | | | 39,800,820 | |
| | | 882,960 | | iShares MSCI Japan ETF (f) | | | | | | | 56,853,794 | |
| | | 1,072,783 | | iShares MSCI USA Minimum Volatility ETF (f) | | | | | | | 71,500,987 | |
| | | 132,676 | | iShares MSCI USA Momentum Factor ETF (f) | | | | | | | 20,729,298 | |
| | | 719,063 | | iShares MSCI USA Quality Factor ETF | | | | | | | 80,865,825 | |
| | | 140,775 | | iShares Russell 2000 ETF (f) | | | | | | | 25,483,091 | |
| | | 266,244 | | iShares Select Dividend ETF | | | | | | | 24,992,324 | |
| | | 947,486 | | Principal U.S. Mega-Cap ETF | | | | | | | 32,634,924 | |
| | | 1,996,372 | | SPDR Portfolio Emerging Markets ETF (f)(e) | | | | | | | 80,294,082 | |
| | | 734,464 | | SPDR Portfolio S&P 500 Growth ETF (f) | | | | | | | 39,146,931 | |
| | | 1,184,835 | | SPDR Portfolio S&P 500 Value ETF (f) | | | | | | | 39,656,427 | |
| | | 328,805 | | SPDR S&P Kensho New Economies Composite ETF (f) | | | | | | | 17,357,616 | |
| | | 1,474,757 | | Xtrackers MSCI USA ESG Leaders Equity ETF | | | | | | | 48,647,072 | |
| | | 437,287 | | Xtrackers Russell 1000 Comprehensive Factor ETF (g) | | | | | | | 16,316,752 | |
| | | 500,201 | | Xtrackers Russell 1000 U.S. QARP ETF (g) | | | | | | | 16,347,369 | |
| | | 255,849 | | Xtrackers S&P 500 ESG ETF (f) | | | | | | | 8,153,908 | |
| | | | | TOTAL INVESTMENT COMPANIES (Cost - $731,048,263) | | | | | | | 797,398,024 | |
| | | | | | | | | | | | | |
| | | | | COMMON STOCKS - 1.6% | | | | | | | | |
| | | | | Advertising - 0.0% (b) | | | | | | | | |
| | | 4,820 | | Interpublic Group of Cos., Inc. (f) | | | | | | | 107,390 | |
| | | 978 | | Omnicom Group, Inc. (f) | | | | | | | 61,614 | |
| | | | | | | | | | | | 169,004 | |
| | | | | Aerospace/Defense - 0.0% (b) | | | | | | | | |
| | | 36 | | General Dynamics Corp. | | | | | | | 5,377 | |
| | | 1,614 | | Howmet Aerospace, Inc. | | | | | | | 37,864 | |
| | | 30 | | L3Harris Technologies, Inc. | | | | | | | 5,760 | |
| | | 54 | | Teledyne Technologies, Inc. (a) | | | | | | | 20,409 | |
| | | 16 | | TransDigm Group, Inc. (f) | | | | | | | 9,267 | |
| | | | | | | | | | | | 78,677 | |
| | | | | Agriculture - 0.0% (b) | | | | | | | | |
| | | 550 | | Archer-Daniels-Midland Co. | | | | | | | 27,373 | |
| | | | | | | | | | | | | |
| | | | | Airlines - 0.0% (b) | | | | | | | | |
| | | 1,181 | | Alaska Air Group, Inc. | | | | | | | 60,196 | |
| | | 2,641 | | American Airlines Group, Inc. (f) | | | | | | | 37,317 | |
| | | 353 | | Delta Air Lines, Inc. | | | | | | | 14,208 | |
| | | 240 | | Southwest Airlines Co. | | | | | | | 11,122 | |
See accompanying notes to financial statements.
18
Horizon Active Risk Assist® Fund
PORTFOLIO OF INVESTMENTS (Continued)
November 30, 2020 |
| | Shares | | | | | | | |
Value
| |
| | | 601 | | United Airlines Holdings, Inc. (a) | | | | | | $ | 27,075 | |
| | | | | | | | | | | | 149,918 | |
| | | | | Apparel - 0.1% | | | | | | | | |
| | | 2,295 | | Hanesbrands, Inc. (f) | | | | | | | 32,589 | |
| | | 760 | | Nike, Inc., Class B | | | | | | | 102,372 | |
| | | 699 | | PVH Corp. (f) | | | | | | | 55,564 | |
| | | 503 | | Ralph Lauren Corp. (f) | | | | | | | 43,132 | |
| | | 2,612 | | Tapestry, Inc. | | | | | | | 73,972 | |
| | | 3,870 | | Under Armour, Inc., Class A (a)(f) | | | | | | | 64,126 | |
| | | 105 | | VF Corp. (f) | | | | | | | 8,757 | |
| | | | | | | | | | | | 380,512 | |
| | | | | Auto Manufacturers - 0.0% (b) | | | | | | | | |
| | | 128 | | Cummins, Inc. | | | | | | | 29,590 | |
| | | 1,086 | | Ford Motor Co. | | | | | | | 9,861 | |
| | | 160 | | General Motors Co. | | | | | | | 7,014 | |
| | | 85 | | PACCAR, Inc. (f) | | | | | | | 7,400 | |
| | | | | | | | | | | | 53,865 | |
| | | | | Auto Parts & Equipment - 0.0% (b) | | | | | | | | |
| | | 261 | | Aptiv PLC | | | | | | | 30,981 | |
| | | 678 | | BorgWarner, Inc. (f) | | | | | | | 26,340 | |
| | | | | | | | | | | | 57,321 | |
| | | | | Banks - 0.1% | | | | | | | | |
| | | 199 | | Bank of New York Mellon Corp. | | | | | | | 7,785 | |
| | | 777 | | Citizens Financial Group, Inc. | | | | | | | 25,377 | |
| | | 1,032 | | Comerica, Inc. | | | | | | | 50,774 | |
| | | 686 | | Fifth Third Bancorp | | | | | | | 17,383 | |
| | | 215 | | First Republic Bank | | | | | | | 27,855 | |
| | | 2,458 | | Huntington Bancshares, Inc. | | | | | | | 29,693 | |
| | | 1,465 | | KeyCorp (f) | | | | | | | 22,649 | |
| | | 180 | | M&T Bank Corp. | | | | | | | 20,968 | |
| | | 464 | | Morgan Stanley (f) | | | | | | | 28,689 | |
| | | 159 | | Northern Trust Corp. | | | | | | | 14,806 | |
| | | 42 | | PNC Financial Services Group, Inc. | | | | | | | 5,799 | |
| | | 1,702 | | Regions Financial Corp. | | | | | | | 25,990 | |
| | | 163 | | State Street Corp. | | | | | | | 11,488 | |
| | | 123 | | SVB Financial Group (a) | | | | | | | 42,418 | |
| | | 111 | | Truist Financial Corp. | | | | | | | 5,153 | |
| | | 1,454 | | Zions Bancorp NA | | | | | | | 56,110 | |
| | | | | | | | | | | | 392,937 | |
| | | | | Beverages - 0.0% (b) | | | | | | | | |
| | | 85 | | Brown-Forman Corp., Class B | | | | | | | 6,856 | |
| | | 35 | | Constellation Brands, Inc., Class A | | | | | | | 7,204 | |
| | | 926 | | Molson Coors Brewing Co., Class B (f) | | | | | | | 42,596 | |
See accompanying notes to financial statements.
19
Horizon Active Risk Assist® Fund
PORTFOLIO OF INVESTMENTS (Continued)
November 30, 2020 |
| | Shares | | | | | | | |
Value
| |
| | | 307 | | Monster Beverage Corp. (a) | | | | | | $ | 26,028 | |
| | | | | | | | | | | | 82,684 | |
| | | | | Biotechnology - 0.0% (b) | | | | | | | | |
| | | 92 | | Alexion Pharmaceuticals, Inc. (a) | | | | | | | 11,234 | |
| | | 22 | | Biogen, Inc. (a) | | | | | | | 5,284 | |
| | | 60 | | Bio-Rad Laboratories, Inc., Class A (a) | | | | | | | 32,310 | |
| | | 854 | | Corteva, Inc. | | | | | | | 32,725 | |
| | | 23 | | Illumina, Inc. (a) | | | | | | | 7,408 | |
| | | 164 | | Incyte Corp. (a) | | | | | | | 13,865 | |
| | | 8 | | Regeneron Pharmaceuticals, Inc. (a)(f) | | | | | | | 4,128 | |
| | | 15 | | Vertex Pharmaceuticals, Inc. (a) | | | | | | | 3,416 | |
| | | | | | | | | | | | 110,370 | |
| | | | | Building Materials - 0.0% (b) | | | | | | | | |
| | | 254 | | Carrier Global Corp. | | | | | | | 9,670 | |
| | | 372 | | Fortune Brands Home & Security, Inc. | | | | | | | 31,062 | |
| | | 158 | | Johnson Controls International PLC | | | | | | | 7,274 | |
| | | 65 | | Martin Marietta Materials, Inc. (f) | | | | | | | 17,266 | |
| | | 247 | | Masco Corp. | | | | | | | 13,257 | |
| | | 91 | | Vulcan Materials Co. | | | | | | | 12,708 | |
| | | | | | | | | | | | 91,237 | |
| | | | | Chemicals - 0.1% | | | | | | | | |
| | | 359 | | Albemarle Corp. | | | | | | | 48,813 | |
| | | 144 | | Celanese Corp. (f) | | | | | | | 18,624 | |
| | | 954 | | CF Industries Holdings, Inc. | | | | | | | 35,584 | |
| | | 492 | | Dow, Inc. (f) | | | | | | | 26,081 | |
| | | 88 | | DuPont de Nemours, Inc. (f) | | | | | | | 5,583 | |
| | | 239 | | Eastman Chemical Co. | | | | | | | 23,279 | |
| | | 136 | | FMC Corp. | | | | | | | 15,777 | |
| | | 124 | | International Flavors & Fragrances, Inc. (f) | | | | | | | 13,900 | |
| | | 168 | | Linde PLC | | | | | | | 43,079 | |
| | | 115 | | LyondellBasell Industries NV, Class A (f) | | | | | | | 9,786 | |
| | | 1,529 | | Mosaic Co. | | | | | | | 33,577 | |
| | | 186 | | PPG Industries, Inc. (f) | | | | | | | 27,299 | |
| | | | | | | | | | | | 301,382 | |
| | | | | Commercial Services - 0.1% | | | | | | | | |
| | | 65 | | Automatic Data Processing, Inc. | | | | | | | 11,302 | |
| | | 90 | | Cintas Corp. | | | | | | | 31,977 | |
| | | 69 | | Equifax, Inc. (f) | | | | | | | 11,516 | |
| | | 107 | | FleetCor Technologies, Inc. (a) | | | | | | | 28,377 | |
| | | 352 | | Gartner, Inc. (a) | | | | | | | 53,504 | |
| | | 52 | | Global Payments, Inc. | | | | | | | 10,150 | |
| | | 4,870 | | H&R Block, Inc. (f) | | | | | | | 91,556 | |
| | | 82 | | IHS Markit, Ltd. | | | | | | | 8,156 | |
| | | 51 | | MarketAxess Holdings, Inc. | | | | | | | 27,498 | |
See accompanying notes to financial statements.
20
Horizon Active Risk Assist® Fund
PORTFOLIO OF INVESTMENTS (Continued)
November 30, 2020 |
| | Shares | | | | | | | |
Value
| |
| | | 14 | | Moody’s Corp. | | | | | | $ | 3,953 | |
| | | 2,966 | | Nielsen Holdings PLC (f) | | | | | | | 47,960 | |
| | | 414 | | PayPal Holdings, Inc. (a) | | | | | | | 88,646 | |
| | | 759 | | Quanta Services, Inc. | | | | | | | 51,870 | |
| | | 632 | | Robert Half International, Inc. (f) | | | | | | | 40,562 | |
| | | 65 | | S&P Global, Inc. | | | | | | | 22,866 | |
| | | 172 | | United Rentals, Inc. (a)(f) | | | | | | | 39,040 | |
| | | 38 | | Verisk Analytics, Inc. | | | | | | | 7,536 | |
| | | | | | | | | | | | 576,469 | |
| | | | | Computers - 0.1% | | | | | | | | |
| | | 1,716 | | Apple, Inc. | | | | | | | 204,290 | |
| | | 198 | | Cognizant Technology Solutions Corp., Class A | | | | | | | 15,470 | |
| | | 7,007 | | DXC Technology Co. | | | | | | | 153,523 | |
| | | 221 | | Fortinet, Inc. (a) | | | | | | | 27,234 | |
| | | 4,488 | | Hewlett Packard Enterprise Co. | | | | | | | 49,547 | |
| | | 1,070 | | HP, Inc. | | | | | | | 23,465 | |
| | | 38 | | International Business Machines Corp. (f) | | | | | | | 4,694 | |
| | | 424 | | Leidos Holdings, Inc. | | | | | | | 42,697 | |
| | | 1,271 | | NetApp, Inc. | | | | | | | 67,757 | |
| | | 842 | | Seagate Technology PLC (f) | | | | | | | 49,518 | |
| | | 1,172 | | Western Digital Corp. | | | | | | | 52,599 | |
| | | | | | | | | | | | 690,794 | |
| | | | | Cosmetics/Personal Care - 0.0% (b) | | | | | | | | |
| | | 294 | | Colgate-Palmolive Co. | | | | | | | 25,178 | |
| | | 18,481 | | Coty, Inc., Class A (f) | | | | | | | 132,878 | |
| | | 180 | | Estee Lauder Cos., Inc., Class A | | | | | | | 44,158 | |
| | | 680 | | Procter & Gamble Co. | | | | | | | 94,432 | |
| | | | | | | | | | | | 296,646 | |
| | | | | Distribution/Wholesale - 0.0% (b) | | | | | | | | |
| | | 256 | | Copart, Inc. (a) | | | | | | | 29,555 | |
| | | 171 | | Fastenal Co. | | | | | | | 8,456 | |
| | | 819 | | LKQ Corp. (a) | | | | | | | 28,845 | |
| | | 32 | | WW Grainger, Inc. (f) | | | | | | | 13,386 | |
| | | | | | | | | | | | 80,242 | |
| | | | | Diversified Financial Services - 0.1% | | | | | | | | |
| | | 149 | | Ameriprise Financial, Inc. | | | | | | | 27,601 | |
| | | 50 | | BlackRock, Inc. | | | | | | | 34,917 | |
| | | 91 | | Capital One Financial Corp. | | | | | | | 7,793 | |
| | | 224 | | CBOE Global Markets, Inc. (f) | | | | | | | 20,456 | |
| | | 127 | | Charles Schwab Corp. | | | | | | | 6,195 | |
| | | 409 | | Discover Financial Services (f) | | | | | | | 31,154 | |
| | | 1,029 | | Franklin Resources, Inc. (f) | | | | | | | 22,628 | |
| | | 4,635 | | Invesco, Ltd. | | | | | | | 75,226 | |
See accompanying notes to financial statements.
21
Horizon Active Risk Assist® Fund
PORTFOLIO OF INVESTMENTS (Continued)
November 30, 2020 |
| | Shares | | | | | | | |
Value
| |
| | | 178 | | Nasdaq, Inc. | | | | | | $ | 22,782 | |
| | | 293 | | Raymond James Financial, Inc. | | | | | | | 26,648 | |
| | | 525 | | Synchrony Financial | | | | | | | 15,997 | |
| | | 169 | | T. Rowe Price Group, Inc. | | | | | | | 24,236 | |
| | | 2,503 | | Western Union Co. (f) | | | | | | | 56,468 | |
| | | | | | | | | | | | 372,101 | |
| | | | | Electric - 0.1% | | | | | | | | |
| | | 1,578 | | AES Corp. | | | | | | | 32,254 | |
| | | 522 | | Alliant Energy Corp. | | | | | | | 27,457 | |
| | | 135 | | Ameren Corp. (f) | | | | | | | 10,500 | |
| | | 61 | | American Electric Power Co., Inc. | | | | | | | 5,178 | |
| | | 1,003 | | CenterPoint Energy, Inc. (f) | | | | | | | 23,260 | |
| | | 377 | | CMS Energy Corp. | | | | | | | 23,201 | |
| | | 108 | | Consolidated Edison, Inc. | | | | | | | 8,235 | |
| | | 185 | | DTE Energy Co. | | | | | | | 23,275 | |
| | | 203 | | Edison International | | | | | | | 12,456 | |
| | | 105 | | Entergy Corp. | | | | | | | 11,429 | |
| | | 91 | | Eversource Energy | | | | | | | 7,963 | |
| | | 163 | | Exelon Corp. | | | | | | | 6,694 | |
| | | 448 | | FirstEnergy Corp. | | | | | | | 11,899 | |
| | | 726 | | NextEra Energy, Inc. (f) | | | | | | | 53,426 | |
| | | 960 | | NRG Energy, Inc. | | | | | | | 31,440 | |
| | | 335 | | Pinnacle West Capital Corp. | | | | | | | 27,420 | |
| | | 374 | | PPL Corp. | | | | | | | 10,629 | |
| | | 139 | | Public Service Enterprise Group, Inc. (f) | | | | | | | 8,101 | |
| | | 49 | | Sempra Energy (f) | | | | | | | 6,247 | |
| | | 222 | | WEC Energy Group, Inc. | | | | | | | 21,079 | |
| | | 318 | | Xcel Energy, Inc. (f) | | | | | | | 21,421 | |
| | | | | | | | | | | | 383,564 | |
| | | | | Electrical Components & Equipment - 0.0% (b) | | | | | | | | |
| | | 92 | | AMETEK, Inc. | | | | | | | 10,905 | |
| | | 79 | | Emerson Electric Co. | | | | | | | 6,069 | |
| | | | | | | | | | | | 16,974 | |
| | | | | Electronics - 0.1% | | | | | | | | |
| | | 302 | | Agilent Technologies, Inc. | | | | | | | 35,304 | |
| | | 229 | | Allegion PLC | | | | | | | 26,115 | |
| | | 309 | | Amphenol Corp., Class A | | | | | | | 40,420 | |
| | | 3,090 | | FLIR Systems, Inc. | | | | | | | 118,162 | |
| | | 112 | | Fortive Corp. | | | | | | | 7,855 | |
| | | 116 | | Garmin, Ltd. | | | | | | | 13,544 | |
| | | 279 | | Keysight Technologies, Inc. (a) | | | | | | | 33,491 | |
| | | 32 | | Mettler-Toledo International, Inc. (a) | | | | | | | 36,801 | |
| | | 289 | | PerkinElmer, Inc. | | | | | | | 38,437 | |
| | | 13 | | Roper Technologies, Inc. (f) | | | | | | | 5,551 | |
See accompanying notes to financial statements.
22
Horizon Active Risk Assist® Fund
PORTFOLIO OF INVESTMENTS (Continued)
November 30, 2020 |
| | Shares | | | | | | | |
Value
| |
| | | 164 | | TE Connectivity, Ltd. | | | | | | $ | 18,691 | |
| | | 44 | | Vontier Corp. (a) | | | | | | | 1,460 | |
| | | 114 | | Waters Corp. (a) | | | | | | | 26,449 | |
| | | | | | | | | | | | 402,280 | |
| | | | | Engineering & Construction - 0.0% (b) | | | | | | | | |
| | | 185 | | Jacobs Engineering Group, Inc. | | | | | | | 19,950 | |
| | | | | | | | | | | | | |
| | | | | Entertainment - 0.0% (b) | | | | | | | | |
| | | 870 | | Live Nation Entertainment, Inc. (a)(f) | | | | | | | 57,116 | |
| | | | | | | | | | | | | |
| | | | | Environmental Control - 0.0% (b) | | | | | | | | |
| | | 820 | | Pentair PLC | | | | | | | 42,492 | |
| | | 71 | | Republic Services, Inc. | | | | | | | 6,867 | |
| | | 37 | | Waste Management, Inc. | | | | | | | 4,408 | |
| | | | | | | | | | | | 53,767 | |
| | | | | Food - 0.0% (b) | | | | | | | | |
| | | 352 | | Campbell Soup Co. (f) | | | | | | | 17,607 | |
| | | 728 | | Conagra Brands, Inc. | | | | | | | 26,616 | |
| | | 107 | | General Mills, Inc. | | | | | | | 6,508 | |
| | | 57 | | Hershey Co. | | | | | | | 8,430 | |
| | | 177 | | Hormel Foods Corp. (f) | | | | | | | 8,351 | |
| | | 162 | | J.M. Smucker Co. (f) | | | | | | | 18,986 | |
| | | 169 | | Kellogg Co. (f) | | | | | | | 10,801 | |
| | | 215 | | Kraft Heinz Co. (f) | | | | | | | 7,082 | |
| | | 257 | | Kroger Co. (f) | | | | | | | 8,481 | |
| | | 380 | | Lamb Weston Holdings, Inc. | | | | | | | 27,504 | |
| | | 46 | | McCormick & Co., Inc., non-voting shares | | | | | | | 8,601 | |
| | | 113 | | Sysco Corp. | | | | | | | 8,056 | |
| | | 182 | | Tyson Foods, Inc., Class A | | | | | | | 11,866 | |
| | | | | | | | | | | | 168,889 | |
| | | | | Forest Products & Paper - 0.0% (b) | | | | | | | | |
| | | 310 | | International Paper Co. | | | | | | | 15,339 | |
| | | | | | | | | | | | | |
| | | | | Gas - 0.0% (b) | | | | | | | | |
| | | 181 | | Atmos Energy Corp. (f) | | | | | | | 17,356 | |
| | | 1,068 | | NiSource, Inc. | | | | | | | 25,846 | |
| | | | | | | | | | | | 43,202 | |
| | | | | Hand/Machine Tools - 0.0% (b) | | | | | | | | |
| | | 177 | | Snap-on, Inc. (f) | | | | | | | 31,126 | |
| | | 49 | | Stanley Black & Decker, Inc. (f) | | | | | | | 9,031 | |
| | | | | | | | | | | | 40,157 | |
| | | | | Healthcare Products - 0.1% | | | | | | | | |
| | | 136 | | ABIOMED, Inc. (a) | | | | | | | 37,278 | |
See accompanying notes to financial statements.
23
Horizon Active Risk Assist® Fund
PORTFOLIO OF INVESTMENTS (Continued)
November 30, 2020 |
| | Shares | | | | | | | |
Value
| |
| | | 93 | | Align Technology, Inc. (a) | | | | | | $ | 44,760 | |
| | | 82 | | Baxter International, Inc. | | | | | | | 6,238 | |
| | | 127 | | Boston Scientific Corp. (a) | | | | | | | 4,210 | |
| | | 44 | | Cooper Cos., Inc. | | | | | | | 14,750 | |
| | | 377 | | Danaher Corp. | | | | | | | 84,686 | |
| | | 626 | | Dentsply Sirona, Inc. | | | | | | | 31,857 | |
| | | 72 | | Edwards Lifesciences Corp. (a) | | | | | | | 6,040 | |
| | | 467 | | Hologic, Inc. (a) | | | | | | | 32,284 | |
| | | 83 | | IDEXX Laboratories, Inc. (a) | | | | | | | 38,261 | |
| | | 54 | | Intuitive Surgical, Inc. (a) | | | | | | | 39,207 | |
| | | 62 | | ResMed, Inc. | | | | | | | 12,995 | |
| | | 178 | | STERIS PLC | | | | | | | 34,498 | |
| | | 51 | | Teleflex, Inc. (f) | | | | | | | 19,520 | |
| | | 207 | | Thermo Fisher Scientific, Inc. | | | | | | | 96,251 | |
| | | 114 | | West Pharmaceutical Services, Inc. | | | | | | | 31,368 | |
| | | 70 | | Zimmer Biomet Holdings, Inc. | | | | | | | 10,438 | |
| | | | | | | | | | | | 544,641 | |
| | | | | Healthcare Services - 0.0% (b) | | | | | | | | |
| | | 17 | | Anthem, Inc. | | | | | | | 5,296 | |
| | | 153 | | Centene Corp. (a) | | | | | | | 9,432 | |
| | | 421 | | DaVita, Inc. (a) | | | | | | | 46,247 | |
| | | 56 | | HCA Healthcare, Inc. | | | | | | | 8,406 | |
| | | 14 | | Humana, Inc. | | | | | | | 5,607 | |
| | | 60 | | IQVIA Holdings, Inc. (a) | | | | | | | 10,139 | |
| | | 82 | | Laboratory Corp. of America Holdings (a) | | | | | | | 16,387 | |
| | | 153 | | Quest Diagnostics, Inc. | | | | | | | 18,969 | |
| | | 282 | | Universal Health Services, Inc., Class B | | | | | | | 36,824 | |
| | | | | | | | | | | | 157,307 | |
| | | | | Home Builders - 0.0% (b) | | | | | | | | |
| | | 344 | | DR Horton, Inc. | | | | | | | 25,628 | |
| | | 302 | | Lennar Corp., Class A | | | | | | | 22,910 | |
| | | 10 | | NVR, Inc. (a) | | | | | | | 39,972 | |
| | | 358 | | PulteGroup, Inc. | | | | | | | 15,619 | |
| | | | | | | | | | | | 104,129 | |
| | | | | Home Furnishings - 0.0% (b) | | | | | | | | |
| | | 861 | | Leggett & Platt, Inc. | | | | | | | 37,109 | |
| | | 172 | | Whirlpool Corp. (f) | | | | | | | 33,473 | |
| | | | | | | | | | | | 70,582 | |
| | | | | Household Products/Wares - 0.0% (b) | | | | | | | | |
| | | 163 | | Avery Dennison Corp. | | | | | | | 24,342 | |
| | | 283 | | Church & Dwight Co., Inc. | | | | | | | 24,839 | |
| | | 40 | | Clorox Co. (f) | | | | | | | 8,118 | |
| | | 31 | | Kimberly-Clark Corp. (f) | | | | | | | 4,319 | |
| | | | | | | | | | | | 61,618 | |
See accompanying notes to financial statements.
24
Horizon Active Risk Assist® Fund
PORTFOLIO OF INVESTMENTS (Continued)
November 30, 2020 |
| | Shares | | | | | | | |
Value
| |
| | | | | Housewares - 0.0% (b) | | | | | | | | |
| | | 1,591 | | Newell Brands, Inc. | | | | | | $ | 33,825 | |
| | | | | | | | | | | | | |
| | | | | Insurance - 0.1% | | | | | | | | |
| | | 210 | | Aflac, Inc. | | | | | | | 9,225 | |
| | | 76 | | Allstate Corp. | | | | | | | 7,779 | |
| | | 312 | | American International Group, Inc. | | | | | | | 11,993 | |
| | | 22 | | Aon PLC, Class A (f) | | | | | | | 4,508 | |
| | | 220 | | Arthur J Gallagher & Co. | | | | | | | 25,390 | |
| | | 312 | | Assurant, Inc. | | | | | | | 40,285 | |
| | | 32 | | Chubb Ltd. | | | | | | | 4,730 | |
| | | 208 | | Cincinnati Financial Corp. | | | | | | | 15,881 | |
| | | 123 | | Everest Re Group Ltd. | | | | | | | 27,962 | |
| | | 297 | | Globe Life, Inc. | | | | | | | 27,651 | |
| | | 431 | | Hartford Financial Services Group, Inc. | | | | | | | 19,050 | |
| | | 1,060 | | Lincoln National Corp. | | | | | | | 50,053 | |
| | | 597 | | Loews Corp. | | | | | | | 25,020 | |
| | | 162 | | MetLife, Inc. | | | | | | | 7,479 | |
| | | 478 | | Principal Financial Group, Inc. (f) | | | | | | | 23,800 | |
| | | 270 | | Progressive Corp. | | | | | | | 23,520 | |
| | | 126 | | Prudential Financial, Inc. | | | | | | | 9,528 | |
| | | 178 | | Travelers Cos., Inc. | | | | | | | 23,078 | |
| | | 3,507 | | Unum Group | | | | | | | 77,961 | |
| | | 457 | | WR Berkley Corp. | | | | | | | 29,764 | |
| | | | | | | | | | | | 464,657 | |
| | | | | Internet - 0.1% | | | | | | | | |
| | | 65 | | Amazon.com, Inc. (a) | | | | | | | 205,923 | |
| | | 281 | | CDW Corp. | | | | | | | 36,668 | |
| | | 484 | | eBay, Inc. (f) | | | | | | | 24,408 | |
| | | 277 | | Expedia Group, Inc. | | | | | | | 34,484 | |
| | | 562 | | F5 Networks, Inc. (a) | | | | | | | 91,499 | |
| | | 744 | | Facebook, Inc., Class A (a) | | | | | | | 206,066 | |
| | | 1,924 | | NortonLifeLock, Inc. | | | | | | | 35,074 | |
| | | 938 | | Twitter, Inc. (a) | | | | | | | 43,626 | |
| | | 102 | | VeriSign, Inc. (a) | | | | | | | 20,473 | |
| | | | | | | | | | | | 698,221 | |
| | | | | Iron/Steel - 0.0% (b) | | | | | | | | |
| | | 316 | | Nucor Corp. | | | | | | | 16,969 | |
| | | | | | | | | | | | | |
| | | | | Leisure Time - 0.0% (b) | | | | | | | | |
| | | 1,633 | | Carnival Corp. | | | | | | | 32,627 | |
| | | 3,163 | | Norwegian Cruise Line Holdings Ltd. (a)(f) | | | | | | | 72,338 | |
| | | 243 | | Royal Caribbean Cruises Ltd. (f) | | | | | | | 19,151 | |
| | | | | | | | | | | | 124,116 | |
See accompanying notes to financial statements.
25
Horizon Active Risk Assist® Fund
PORTFOLIO OF INVESTMENTS (Continued)
November 30, 2020 |
| | Shares | | | | | | | |
Value
| |
| | | | | Lodging - 0.0% (b) | | | | | | | | |
| | | 101 | | Hilton Worldwide Holdings, Inc. (f) | | | | | | $ | 10,467 | |
| | | 122 | | Las Vegas Sands Corp. | | | | | | | 6,797 | |
| | | 67 | | Marriott International, Inc., Class A | | | | | | | 8,500 | |
| | | 861 | | MGM Resorts International (f) | | | | | | | 24,323 | |
| | | 344 | | Wynn Resorts Ltd. (f) | | | | | | | 34,572 | |
| | | | | | | | | | | | 84,659 | |
| | | | | Machinery - Construction & Mining - 0.0% (b) | | | | | | | | |
| | | 235 | | Caterpillar, Inc. | | | | | | | 40,794 | |
| | | | | | | | | | | | | |
| | | | | Machinery - Diversified - 0.0% (b) | | | | | | | | |
| | | 181 | | Deere & Co. | | | | | | | 47,353 | |
| | | 119 | | Dover Corp. | | | | | | | 14,522 | |
| | | 1,894 | | Flowserve Corp. (f) | | | | | | | 64,547 | |
| | | 82 | | IDEX Corp. | | | | | | | 15,838 | |
| | | 378 | | Ingersoll Rand, Inc. (a) | | | | | | | 16,734 | |
| | | 120 | | Otis Worldwide Corp. | | | | | | | 8,033 | |
| | | 37 | | Rockwell Automation, Inc. (f) | | | | | | | 9,456 | |
| | | 276 | | Wabtec Corp. | | | | | | | 20,231 | |
| | | 321 | | Xylem, Inc. (f) | | | | | | | 30,806 | |
| | | | | | | | | | | | 227,520 | |
| | | | | Media - 0.0% (b) | | | | | | | | |
| | | 66 | | Charter Communications, Inc., Class A (a)(f) | | | | | | | 43,031 | |
| | | 2,226 | | Discovery, Inc., Class A (a)(f) | | | | | | | 59,902 | |
| | | 1,124 | | DISH Network Corp., Class A (a) | | | | | | | 40,318 | |
| | | 1,204 | | Fox Corp., Class A (f) | | | | | | | 34,723 | |
| | | 4,840 | | News Corp., Class A | | | | | | | 85,426 | |
| | | 960 | | ViacomCBS, Inc., Class B (f) | | | | | | | 33,869 | |
| | | | | | | | | | | | 297,269 | |
| | | | | Mining - 0.0% (b) | | | | | | | | |
| | | 1,773 | | Freeport-McMoRan, Inc. | | | | | | | 41,470 | |
| | | 63 | | Newmont Goldcorp Corp. | | | | | | | 3,706 | |
| | | | | | | | | | | | 45,176 | |
| | | | | Miscellaneous Manufacturing - 0.0% (b) | | | | | | | | |
| | | 440 | | AO Smith Corp. | | | | | | | 24,777 | |
| | | 251 | | Eaton Corp PLC (f) | | | | | | | 30,399 | |
| | | 113 | | Parker-Hannifin Corp. | | | | | | | 30,200 | |
| | | 704 | | Textron, Inc. | | | | | | | 31,750 | |
| | | 222 | | Trane Technologies PLC | | | | | | | 32,465 | |
| | | | | | | | | | | | 149,591 | |
| | | | | Office/Business Equipment - 0.0% (b) | | | | | | | | |
| | | 7,129 | | Xerox Holdings Corp. | | | | | | | 156,054 | |
See accompanying notes to financial statements.
26
Horizon Active Risk Assist® Fund
PORTFOLIO OF INVESTMENTS (Continued)
November 30, 2020 |
| | Shares | | | | | | | |
Value
| |
| | | 145 | | Zebra Technologies Corp., Class A (a) | | | | | | $ | 54,871 | |
| | | | | | | | | | | | 210,925 | |
| | | | | Oil & Gas - 0.1% | | | | | | | | |
| | | 4,285 | | Apache Corp. (f) | | | | | | | 55,234 | |
| | | 1,758 | | Cabot Oil & Gas Corp. | | | | | | | 30,800 | |
| | | 431 | | Concho Resources, Inc. | | | | | | | 24,774 | |
| | | 137 | | ConocoPhillips (f) | | | | | | | 5,420 | |
| | | 5,419 | | Devon Energy Corp. | | | | | | | 75,812 | |
| | | 1,114 | | Diamondback Energy, Inc. (f) | | | | | | | 44,515 | |
| | | 206 | | EOG Resources, Inc. (f) | | | | | | | 9,657 | |
| | | 343 | | Hess Corp. (f) | | | | | | | 16,183 | |
| | | 2,487 | | HollyFrontier Corp. | | | | | | | 58,171 | |
| | | 11,221 | | Marathon Oil Corp. (f) | | | | | | | 66,428 | |
| | | 627 | | Marathon Petroleum Corp. (f) | | | | | | | 24,378 | |
| | | 1,562 | | Occidental Petroleum Corp. | | | | | | | 24,617 | |
| | | 133 | | Phillips 66 | | | | | | | 8,057 | |
| | | 252 | | Pioneer Natural Resources Co. | | | | | | | 25,346 | |
| | | 196 | | Valero Energy Corp. (f) | | | | | | | 10,539 | |
| | | | | | | | | | | | 479,931 | |
| | | | | Oil & Gas Services - 0.0% (b) | | | | | | | | |
| | | 1,969 | | Baker Hughes & GE Co. | | | | | | | 36,860 | |
| | | 1,955 | | Halliburton Co. (f) | | | | | | | 32,433 | |
| | | 3,920 | | National Oilwell Varco, Inc. | | | | | | | 48,059 | |
| | | 420 | | Schlumberger, Ltd. | | | | | | | 8,732 | |
| | | 8,886 | | TechnipFMC PLC | | | | | | | 73,843 | |
| | | | | | | | | | | | 199,927 | |
| | | | | Packaging & Containers - 0.0% (b) | | | | | | | | |
| | | 1,078 | | Amcor PLC | | | | | | | 12,214 | |
| | | 334 | | Ball Corp. | | | | | | | 32,067 | |
| | | 185 | | Packaging Corp of America | | | | | | | 24,050 | |
| | | 1,159 | | Sealed Air Corp. | | | | | | | 52,225 | |
| | | 668 | | Westrock Co. (f) | | | | | | | 28,196 | |
| | | | | | | | | | | | 148,752 | |
| | | | | Pharmaceuticals - 0.0% (b) | | | | | | | | |
| | | 142 | | AmerisourceBergen Corp. | | | | | | | 14,642 | |
| | | 18 | | Becton Dickinson & Co. | | | | | | | 4,227 | |
| | | 413 | | Cardinal Health, Inc. | | | | | | | 22,546 | |
| | | 27 | | Cigna Corp. | | | | | | | 5,647 | |
| | | 18 | | DexCom, Inc. (a) | | | | | | | 5,754 | |
| | | 534 | | Henry Schein, Inc. (a) | | | | | | | 34,341 | |
| | | 73 | | McKesson Corp. | | | | | | | 13,133 | |
| | | 910 | | Perrigo Co. PLC | | | | | | | 43,880 | |
| | | 2,395 | | Viatris, Inc. (a) | | | | | | | 40,284 | |
See accompanying notes to financial statements.
27
Horizon Active Risk Assist® Fund
PORTFOLIO OF INVESTMENTS (Continued)
November 30, 2020 |
| | Shares | | | | | | | |
Value
| |
| | | 212 | | Zoetis, Inc. | | | | | | $ | 34,001 | |
| | | | | | | | | | | | 218,455 | |
| | | | | Pipelines - 0.0% (b) | | | | | | | | |
| | | 478 | | Kinder Morgan, Inc. | | | | | | | 6,874 | |
| | | 609 | | ONEOK, Inc. | | | | | | | 21,845 | |
| | | 972 | | Williams Cos., Inc. | | | | | | | 20,392 | |
| | | | | | | | | | | | 49,111 | |
| | | | | Real Estate - 0.0% (b) | | | | | | | | |
| | | 494 | | CBRE Group, Inc., Class A (a) | | | | | | | 30,203 | |
| | | | | | | | | | | | | |
| | | | | Real Estate Investment Trusts - 0.1% | | | | | | | | |
| | | 63 | | Alexandria Real Estate Equities, Inc. | | | | | | | 10,315 | |
| | | 1,432 | | Apartment Investment & Management Co., Class A (f) | | | | | | | 43,461 | |
| | | 63 | | AvalonBay Communities, Inc. | | | | | | | 10,495 | |
| | | 196 | | Boston Properties, Inc. (f) | | | | | | | 19,239 | |
| | | 36 | | Digital Realty Trust, Inc. (f) | | | | | | | 4,851 | |
| | | 691 | | Duke Realty Corp. | | | | | | | 26,299 | |
| | | 28 | | Equinix, Inc. | | | | | | | 19,538 | |
| | | 197 | | Equity Residential (f) | | | | | | | 11,410 | |
| | | 71 | | Essex Property Trust, Inc. | | | | | | | 17,457 | |
| | | 246 | | Extra Space Storage, Inc. | | | | | | | 27,732 | |
| | | 486 | | Federal Realty Investment Trust (f) | | | | | | | 42,389 | |
| | | 527 | | Healthpeak Properties, Inc. | | | | | | | 15,209 | |
| | | 2,609 | | Host Hotels & Resorts, Inc. (f) | | | | | | | 36,604 | |
| | | 945 | | Iron Mountain, Inc. (f) | | | | | | | 25,988 | |
| | | 3,685 | | Kimco Realty Corp. | | | | | | | 53,211 | |
| | | 133 | | Mid-America Apartment Communities, Inc. | | | | | | | 16,779 | |
| | | 199 | | Prologis, Inc. | | | | | | | 19,910 | |
| | | 102 | | Public Storage | | | | | | | 22,895 | |
| | | 160 | | Realty Income Corp. (f) | | | | | | | 9,595 | |
| | | 834 | | Regency Centers Corp. | | | | | | | 38,014 | |
| | | 19 | | SBA Communications Corp. | | | | | | | 5,456 | |
| | | 156 | | Simon Property Group, Inc. (f) | | | | | | | 12,881 | |
| | | 1,295 | | SL Green Realty Corp. (f) | | | | | | | 74,981 | |
| | | 631 | | UDR, Inc. | | | | | | | 24,275 | |
| | | 556 | | Ventas, Inc. | | | | | | | 26,638 | |
| | | 936 | | Vornado Realty Trust | | | | | | | 36,420 | |
| | | 164 | | Welltower, Inc. | | | | | | | 10,329 | |
| | | 792 | | Weyerhaeuser Co. | | | | | | | 23,000 | |
| | | | | | | | | | | | 685,371 | |
| | | | | Retail - 0.1% | | | | | | | | |
| | | 130 | | Advance Auto Parts, Inc. (f) | | | | | | | 19,201 | |
| | | 7 | | AutoZone, Inc. (a) | | | | | | | 7,964 | |
| | | 255 | | Best Buy Co., Inc. (f) | | | | | | | 27,744 | |
See accompanying notes to financial statements.
28
Horizon Active Risk Assist® Fund
PORTFOLIO OF INVESTMENTS (Continued)
November 30, 2020 |
| | Shares | | | | | | | |
Value
| |
| | | 122 | | CarMax, Inc. (a) | | | | | | $ | 11,405 | |
| | | 24 | | Chipotle Mexican Grill, Inc. (a) | | | | | | | 30,946 | |
| | | 153 | | Costco Wholesale Corp. | | | | | | | 59,941 | |
| | | 171 | | Darden Restaurants, Inc. | | | | | | | 18,465 | |
| | | 123 | | Dollar General Corp. (f) | | | | | | | 26,885 | |
| | | 109 | | Dollar Tree, Inc. (a) | | | | | | | 11,907 | |
| | | 28 | | Domino’s Pizza, Inc. (f) | | | | | | | 10,992 | |
| | | 2,474 | | Gap, Inc. (f) | | | | | | | 51,855 | |
| | | 150 | | Genuine Parts Co. | | | | | | | 14,756 | |
| | | 3,014 | | Kohl’s Corp. (f) | | | | | | | 97,051 | |
| | | 1,177 | | L Brands, Inc. | | | | | | | 45,679 | |
| | | 310 | | Lowe’s Cos., Inc. | | | | | | | 48,304 | |
| | | 14 | | O’Reilly Automotive, Inc. (a)(f) | | | | | | | 6,194 | |
| | | 69 | | Ross Stores, Inc. | | | | | | | 7,419 | |
| | | 246 | | Target Corp. | | | | | | | 44,164 | |
| | | 188 | | Tractor Supply Co. | | | | | | | 26,472 | |
| | | 71 | | Ulta Beauty, Inc. (a)(f) | | | | | | | 19,553 | |
| | | 644 | | Walmart, Inc. | | | | | | | 98,397 | |
| | | 80 | | Yum! Brands, Inc. | | | | | | | 8,464 | |
| | | | | | | | | | �� | | 693,758 | |
| | | | | Savings & Loans - 0.0% (b) | | | | | | | | |
| | | 4,537 | | People’s United Financial, Inc. | | | | | | | 56,259 | |
| | | | | | | | | | | | | |
| | | | | Semiconductors - 0.1% | | | | | | | | |
| | | 712 | | Advanced Micro Devices, Inc. (a) | | | | | | | 65,974 | |
| | | 102 | | Analog Devices, Inc. (f) | | | | | | | 14,186 | |
| | | 158 | | Applied Materials, Inc. | | | | | | | 13,032 | |
| | | 413 | | IPG Photonics Corp. (a)(f) | | | | | | | 85,495 | |
| | | 92 | | KLA Corp. | | | | | | | 23,181 | |
| | | 97 | | Lam Research Corp. (f) | | | | | | | 43,908 | |
| | | 199 | | Microchip Technology, Inc. (f) | | | | | | | 26,744 | |
| | | 178 | | Micron Technology, Inc. (a) | | | | | | | 11,408 | |
| | | 326 | | NVIDIA Corp. | | | | | | | 174,756 | |
| | | 257 | | Qorvo, Inc. (a) | | | | | | | 40,267 | |
| | | 609 | | QUALCOMM, Inc. | | | | | | | 89,626 | |
| | | 155 | | Skyworks Solutions, Inc. | | | | | | | 21,881 | |
| | | 357 | | Texas Instruments, Inc. | | | | | | | 57,566 | |
| | | 203 | | Xilinx, Inc. | | | | | | | 29,547 | |
| | | | | | | | | | | | 697,571 | |
| | | | | Shipbuilding - 0.0% (b) | | | | | | | | |
| | | 242 | | Huntington Ingalls Industries, Inc. | | | | | | | 38,766 | |
| | | | | | | | | | | | | |
| | | | | Software - 0.1% | | | | | | | | |
| | | 101 | | Activision Blizzard, Inc. | | | | | | | 8,027 | |
See accompanying notes to financial statements.
29
Horizon Active Risk Assist® Fund
PORTFOLIO OF INVESTMENTS (Continued)
November 30, 2020 |
| | Shares | | | | | | | |
Value
| |
| | | 242 | | Akamai Technologies, Inc. (a)(f) | | | | | | $ | 25,049 | |
| | | 59 | | ANSYS, Inc. (a) | | | | | | | 19,946 | |
| | | 163 | | Autodesk, Inc. (a) | | | | | | | 45,677 | |
| | | 252 | | Broadridge Financial Solutions, Inc. | | | | | | | 37,014 | |
| | | 359 | | Cadence Design Systems, Inc. (a) | | | | | | | 41,752 | |
| | | 183 | | Cerner Corp. (f) | | | | | | | 13,696 | |
| | | 215 | | Citrix Systems, Inc. (f) | | | | | | | 26,643 | |
| | | 105 | | Electronic Arts, Inc. (f) | | | | | | | 13,414 | |
| | | 37 | | Fidelity National Information Services, Inc. | | | | | | | 5,491 | |
| | | 73 | | Fiserv, Inc. (a) | | | | | | | 8,408 | |
| | | 19 | | Intuit, Inc. | | | | | | | 6,688 | |
| | | 247 | | Jack Henry & Associates, Inc. | | | | | | | 39,732 | |
| | | 58 | | MSCI, Inc. | | | | | | | 23,746 | |
| | | 230 | | Paychex, Inc. | | | | | | | 21,424 | |
| | | 159 | | Paycom Software, Inc. (a) | | | | | | | 66,316 | |
| | | 377 | | salesforce.com, Inc. (a) | | | | | | | 92,667 | |
| | | 101 | | ServiceNow, Inc. (a) | | | | | | | 53,990 | |
| | | 188 | | Synopsys, Inc. (a) | | | | | | | 42,770 | |
| | | 251 | | Take-Two Interactive Software, Inc. (a) | | | | | | | 45,308 | |
| | | 106 | | Tyler Technologies, Inc. (a) | | | | | | | 45,326 | |
| | | | | | | | | | | | 683,084 | |
| | | | | Telecommunications - 0.0% (b) | | | | | | | | |
| | | 162 | | Arista Networks, Inc. (a)(f) | | | | | | | 43,854 | |
| | | 4,514 | | CenturyLink, Inc. (f) | | | | | | | 47,171 | |
| | | 1,177 | | Corning, Inc. (f) | | | | | | | 44,043 | |
| | | 3,069 | | Juniper Networks, Inc. (f) | | | | | | | 66,812 | |
| | | 121 | | Motorola Solutions, Inc. | | | | | | | 20,755 | |
| | | 416 | | T-Mobile US, Inc. (a) | | | | | | | 55,303 | |
| | | | | | | | | | | | 277,938 | |
| | | | | Textiles - 0.0% (b) | | | | | | | | |
| | | 303 | | Mohawk Industries, Inc. (a) | | | | | | | 38,126 | |
| | | | | | | | | | | | | |
| | | | | Toys/Games/Hobbies - 0.0% (b) | | | | | | | | |
| | | 248 | | Hasbro, Inc. (f) | | | | | | | 23,071 | |
| | | | | | | | | | | | | |
| | | | | Transportation - 0.0% (b) | | | | | | | | |
| | | 294 | | CH Robinson Worldwide, Inc. | | | | | | | 27,627 | |
| | | 148 | | Expeditors International of Washington, Inc. | | | | | | | 13,227 | |
| | | 164 | | FedEx Corp. (f) | | | | | | | 46,999 | |
| | | 111 | | JB Hunt Transport Services, Inc. | | | | | | | 15,016 | |
| | | 138 | | Old Dominion Freight Line, Inc. | | | | | | | 28,064 | |
| | | 461 | | United Parcel Service, Inc., Class B | | | | | | | 78,863 | |
| | | | | | | | | | | | 209,796 | |
See accompanying notes to financial statements.
30
Horizon Active Risk Assist® Fund
PORTFOLIO OF INVESTMENTS (Continued)
November 30, 2020 |
| | Shares | | | | | | | |
Value
| |
| | | | | Water - 0.0% (b) | | | | | | | | |
| | | 180 | | American Water Works Co., Inc. (f) | | | | | | $ | 27,608 | |
| | | | | TOTAL COMMON STOCKS (Cost - $11,722,938) | | | | | | | 13,002,496 | |
| | | | | | | | | | | | | |
| | Contracts | | | | Notional
Amount | | | | | |
| | | | | PURCHASED OPTIONS - 0.3% (a)(c) | | | | | | | | |
| | | | | PURCHASED CALL OPTIONS - 0.1% | | | | | | | | |
| | | | | iShares China Large-Cap ETF | | | | | | | | |
| | | 6,000 | | Expiration: January 2021, Exercise Price: $51 | | $ | 28,200,000 | | | | 150,000 | |
| | | | | iShares MSCI EAFE ETF | | | | | | | | |
| | | 4,000 | | Expiration: January 2021, Exercise Price: $75 | | | 28,060,000 | | | | 74,000 | |
| | | | | iShares MSCI Emerging Markets ETF | | | | | | | | |
| | | 7,000 | | Expiration: January 2021, Exercise Price: $52 | | | 34,111,000 | | | | 206,500 | |
| | | | | TOTAL PURCHASED CALL OPTIONS (Cost - $759,482) | | | | | | | 430,500 | |
| | | | | | | | | | | | | |
| | | | | PURCHASED PUT OPTIONS - 0.2% | | | | | | | | |
| | | 3,750 | | CBOE Volatility Index | | | | | | | | |
| | | | | Expiration: December 2020, Exercise Price $22 | | | 7,713,750 | | | | 637,500 | |
| | | | | iPath Series B S&P 500 VIX Short-Term Futures ETN | | | | | | | | |
| | | 3,000 | | Expiration: January 2021, Exercise Price: $15 (h) | | | 5,154,000 | | | | 273,000 | |
| | | 5,000 | | Expiration: January 2021, Exercise Price: $17 (h) | | | 8,590,000 | | | | 1,027,500 | |
| | | | | SPDR Gold Shares | | | | | | | | |
| | | 5,000 | | Expiration: December 2020, Exercise Price: $150 | | | 83,335,000 | | | | 107,500 | |
| | | 5,000 | | Expiration: December 2020, Exercise Price: $155 | | | 83,335,000 | | | | 222,500 | |
| | | | | TOTAL PURCHASED PUT OPTIONS (Cost - $1,617,640) | | | | | | | 2,268,000 | |
| | | | | | | | | | | | | |
| | | | | TOTAL PURCHASED OPTIONS (Cost - $2,377,122) | | | | | | | 2,698,500 | |
| | Shares | | | | | | | | | | |
| | | | | SHORT TERM INVESTMENTS - 0.1% | | | | | | | | |
| | | | | Money Market Funds - 0.1% | | | | | | | | |
| | | 703,675 | | First American Treasury Obligations Fund, Class X, 0.05% (d) | | | | | | | 703,675 | |
| | | | | TOTAL SHORT TERM INVESTMENTS (Cost - $703,675) | | | | | | | 703,675 | |
| | | | | | | | | | | | | |
| | | | | INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING - 25.5% | | | | | | | | |
| | | 206,423,075 | | Mount Vernon Liquid Assets Portfolio, LLC, 0.15% (d) | | | | | | | 206,423,075 | |
| | | | | TOTAL INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING (Cost - $206,423,075) | | | | | | | 206,423,075 | |
| | | | | | | | | | | | | |
| | | | | TOTAL INVESTMENTS - 125.7% (Cost - $952,275,073) | | | | | | | 1,020,225,770 | |
| | | | | Liabilities in Excess of Other Assets - (25.7)% | | | | | | | (208,489,862 | ) |
| | | | | NET ASSETS - 100.0% | | | | | | $ | 811,735,908 | |
See accompanying notes to financial statements.
31
Horizon Active Risk Assist® Fund
PORTFOLIO OF INVESTMENTS (Continued)
November 30, 2020 |
| | Contracts | | | | Notional
Value | | | Value | |
| | | | | SCHEDULE OF WRITTEN OPTIONS - (0.1)% (a)(c) | | | | | | | | |
| | | | | SCHEDULE OF WRITTEN PUT OPTIONS - (0.1)% | | | | | | | | |
| | | | | iPath Series B S&P 500 VIX Short-Term Futures ETN | | | | | | | | |
| | | 5,000 | | Expiration: December 2020, Exercise Price $17 | | $ | 8,590,000 | | | $ | 605,000 | |
| | | 3,000 | | Expiration: December 2020, Exercise Price $15 | | | 5,154,000 | | | | 112,500 | |
| | | 3,000 | | Expiration: January 2021, Exercise Price $14 | | | 5,154,000 | | | | 150,000 | |
| | | | | TOTAL WRITTEN PUT OPTIONS (Premiums Received $513,987) | | | | | | | 867,500 | |
| | | | | | | | | | | | | |
| | | | | TOTAL WRITTEN OPTIONS (Premiums Received $513,987) | | | | | | $ | 867,500 | |
Percentages are stated as a percent of net assets.
(a) | Non-income producing security. |
(c) | Each option is exercisable into 100 shares of the underlying security. |
(d) | Interest rate reflects the seven-day yield on November 30, 2020. |
(e) | All or a portion of the security is segregated as collateral for written options. The value of the securities segregated as collateral for written options is $20,110,000, which is 2.5% of total net assets. |
(f) | All or a portion of this security is out on loan as of November 30, 2020. |
(g) | Affiliated Security; please refer to Note 9 of the Notes to Financial Statements |
(h) | Held in connection with a written option, see Schedule of Written Options for more details. |
See accompanying notes to financial statements.
32
Horizon Active Income Fund
PORTFOLIO OF INVESTMENTS
November 30, 2020 |
| | Shares | | | | | | | |
Value
| |
| | | | | INVESTMENT COMPANIES - 99.4% | | | | | | | | |
| | | | | Exchange Traded Funds - 99.4% | | | | | | | | |
| | | 406,557 | | Columbia Diversified Fixed Income Allocation ETF (b) | | | | | | $ | 8,919,861 | |
| | | 932,691 | | First Trust TCW Opportunistic Fixed Income ETF | | | | | | | 51,596,466 | |
| | | 2,558,917 | | Invesco Preferred ETF | | | | | | | 38,460,523 | |
| | | 232,326 | | iShares 7-10 Year Treasury Bond ETF (b) | | | | | | | 27,969,727 | |
| | | 120,987 | | iShares 20+ Year Treasury Bond ETF (b) | | | | | | | 19,360,340 | |
| | | 545,837 | | iShares Core U.S. Aggregate Bond ETF | | | | | | | 64,638,018 | |
| | | 125,229 | | iShares iBoxx Investment Grade Corporate Bond ETF (b) | | | | | | | 17,341,712 | |
| | | 113,144 | | iShares JP Morgan USD Emerging Markets Bond ETF (b) | | | | | | | 12,926,702 | |
| | | 700,262 | | iShares Trust iShares 5-10 Year Investment Grade Corporate Bond ETF (b) | | | | | | | 43,220,171 | |
| | | 275,698 | | Janus Henderson Mortgage-Backed Securities ETF (b) | | | | | | | 14,793,955 | |
| | | 97,542 | | Overlay Shares Core Bond ETF | | | | | | | 2,581,088 | |
| | | 668,729 | | SPDR Blackstone / GSO Senior Loan ETF (b) | | | | | | | 30,173,052 | |
| | | 515,608 | | SPDR Bloomberg Barclays Convertible Securities ETF (b) | | | | | | | 40,361,794 | |
| | | 553,711 | | VanEck Vectors Fallen Angel High Yield Bond ETF | | | | | | | 17,430,822 | |
| | | 399,156 | | WisdomTree Yield Enhanced U.S. Aggregate Bond Fund | | | | | | | 21,526,483 | |
| | | 168,337 | | X-Trackers Short Duration High Yield Bond ETF (b)(c) | | | | | | | 7,939,614 | |
| | | 261,904 | | X-Trackers USD High Yield Corporate Bond ETF | | | | | | | 12,969,486 | |
| | | | | TOTAL INVESTMENT COMPANIES (Cost - $420,796,525) | | | | | | | 432,209,814 | |
| | | | | | | | | | | | | |
| | | | | SHORT TERM INVESTMENTS - 0.7% | | | | | | | | |
| | | | | Money Market Funds - 0.7% | | | | | | | | |
| | | 2,909,196 | | First American Treasury Obligations Fund, Class X, 0.05% (a) | | | | | | | 2,909,196 | |
| | | | | TOTAL SHORT TERM INVESTMENTS (Cost - $2,909,196) | | | | | | | 2,909,196 | |
| | | | | | | | | | | | | |
| | | | | INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING - 22.4% | | | | | | | | |
| | | 97,650,825 | | Mount Vernon Liquid Assets Portfolio, LLC, 0.15% (a) | | | | | | | 97,650,825 | |
| | | | | TOTAL INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING (Cost - $97,650,825) | | | | | | | 97,650,825 | |
| | | | | | | | | | | | | |
| | | | | TOTAL INVESTMENTS - 122.5% (Cost - $521,356,546) | | | | | | | 532,769,835 | |
| | | | | Liabilities in Excess of Other Assets - (22.5)% | | | | | | | (97,731,836 | ) |
| | | | | NET ASSETS - 100.0% | | | | | | $ | 435,037,999 | |
Percentages are stated as a percent of net assets.
(a) | Interest rate reflects seven-day yield on November 30, 2020. |
(b) | All or a portion of this security is out on loan as of November 30, 2020. |
(c) | Affiliated Security. Please refer to Note 9 of the Notes to Financial Statements. |
See accompanying notes to financial statements.
33
Horizon Active Dividend Fund
PORTFOLIO OF INVESTMENTS
November 30, 2020 |
| | Shares | | | | | | | |
Value
| |
| | | | | COMMON STOCKS - 97.8% | | | | | | | | |
| | | | | Aerospace/Defense - 1.9% | | | | | | | | |
| | | 6,971 | | Northrop Grumman Corp. (e) | | | | | | $ | 2,107,055 | |
| | | | | | | | | | | | | |
| | | | | Apparel - 2.0% | | | | | | | | |
| | | 27,276 | | VF Corp. (e) | | | | | | | 2,274,818 | |
| | | | | | | | | | | | | |
| | | | | Banks - 8.2% | | | | | | | | |
| | | 96,033 | | Bank of America Corp. | | | | | | | 2,704,289 | |
| | | 24,912 | | JPMorgan Chase & Co. | | | | | | | 2,936,627 | |
| | | 14,704 | | PNC Financial Services Group, Inc. | | | | | | | 2,030,181 | |
| | | 58,103 | | Wells Fargo & Co. | | | | | | | 1,589,117 | |
| | | | | | | | | | | | 9,260,214 | |
| | | | | Beverages - 2.7% | | | | | | | | |
| | | 21,505 | | PepsiCo, Inc. | | | | | | | 3,101,666 | |
| | | | | | | | | | | | | |
| | | | | Biotechnology - 2.3% | | | | | | | | |
| | | 6,464 | | Amgen, Inc. | | | | | | | 1,435,266 | |
| | | 19,052 | | Gilead Sciences, Inc. | | | | | | | 1,155,885 | |
| | | | | | | | | | | | 2,591,151 | |
| | | | | Chemicals - 3.4% | | | | | | | | |
| | | 25,209 | | LyondellBasell Industries NV, Class A (e) | | | | | | | 2,145,286 | |
| | | 35,007 | | Nutrien, Ltd. | | | | | | | 1,724,795 | |
| | | | | | | | | | | | 3,870,081 | |
| | | | | Commercial Services - 1.1% | | | | | | | | |
| | | 20,200 | | Robert Half International, Inc. (e) | | | | | | | 1,296,436 | |
| | | | | | | | | | | | | |
| | | | | Computers - 2.9% | | | | | | | | |
| | | 4,934 | | Accenture PLC, Class A | | | | | | | 1,229,010 | |
| | | 25,625 | | Cognizant Technology Solutions Corp., Class A | | | | | | | 2,002,081 | |
| | | | | | | | | | | | 3,231,091 | |
| | | | | Cosmetics/Personal Care - 6.1% | | | | | | | | |
| | | 13,069 | | Colgate-Palmolive Co. | | | | | | | 1,119,229 | |
| | | 24,090 | | Procter & Gamble Co. | | | | | | | 3,345,378 | |
| | | 40,879 | | Unilever PLC, ADR (e) | | | | | | | 2,496,072 | |
| | | | | | | | | | | | 6,960,679 | |
| | | | | Electrical Components & Equipment - 1.7% | | | | | | | | |
| | | 24,361 | | Emerson Electric Co. | | | | | | | 1,871,412 | |
| | | | | | | | | | | | | |
| | | | | Electronics - 4.8% | | | | | | | | |
| | | 47,735 | | Corning, Inc. (e) | | | | | | | 1,786,244 | |
| | | 17,896 | | Honeywell International, Inc. | | | | | | | 3,649,352 | |
| | | | | | | | | | | | 5,435,596 | |
See accompanying notes to financial statements.
34
Horizon Active Dividend Fund
PORTFOLIO OF INVESTMENTS (Continued)
November 30, 2020 |
| | Shares | | | | | | | |
Value
| |
| | | | | Environmental Control - 1.6% | | | | | | | | |
| | | 15,649 | | Waste Management, Inc. | | | | | | $ | 1,864,265 | |
| | | | | | | | | | | | | |
| | | | | Finance and Insurance - 5.2% | | | | | | | | |
| | | 23,015 | | Royal Bank of Canada | | | | | | | 1,886,770 | |
| | | 39,188 | | Sun Life Financial, Inc. | | | | | | | 1,743,474 | |
| | | 48,032 | | Truist Financial Corp. | | | | | | | 2,229,645 | |
| | | | | | | | | | | | 5,859,889 | |
| | | | | Food - 1.1% | | | | | | | | |
| | | 10,401 | | J.M. Smucker Co. (e) | | | | | | | 1,218,997 | |
| | | | | | | | | | | | | |
| | | | | Hand/Machine Tools - 1.6% | | | | | | | | |
| | | 10,123 | | Snap-on, Inc. (e) | | | | | | | 1,780,130 | |
| | | | | | | | | | | | | |
| | | | | Healthcare Services - 1.2% | | | | | | | | |
| | | 4,463 | | Anthem, Inc. | | | | | | | 1,390,314 | |
| | | | | | | | | | | | | |
| | | | | Household Products/Wares - 1.0% | | | | | | | | |
| | | 5,414 | | Clorox Co. (e) | | | | | | | 1,098,826 | |
| | | | | | | | | | | | | |
| | | | | Insurance - 2.0% | | | | | | | | |
| | | 22,196 | | Allstate Corp. | | | | | | | 2,271,761 | |
| | | | | | | | | | | | | |
| | | | | Iron/Steel - 1.6% | | | | | | | | |
| | | 33,900 | | Nucor Corp. | | | | | | | 1,820,430 | |
| | | | | | | | | | | | | |
| | | | | Manufacturing - 6.6% | | | | | | | | |
| | | 38,231 | | Bunge Ltd. | | | | | | | 2,251,424 | |
| | | 11,095 | | Hubbell, Inc. | | | | | | | 1,792,841 | |
| | | 14,759 | | Reliance Steel & Aluminum Co. | | | | | | | 1,738,610 | |
| | | 48,072 | | Steel Dynamics, Inc. | | | | | | | 1,740,687 | |
| | | | | | | | | | | | 7,523,562 | |
| | | | | Media - 3.0% | | | | | | | | |
| | | 67,183 | | Comcast Corp., Class A (e) | | | | | | | 3,375,274 | |
| | | | | | | | | | | | | |
| | | | | Mining - 1.0% | | | | | | | | |
| | | 19,507 | | Newmont Corp. | | | | | | | 1,147,402 | |
| | | | | | | | | | | | | |
| | | | | Mining, Quarrying, and Oil and Gas Extraction - 1.0% | | | | | | | | |
| | | 17,735 | | Agnico Eagle Mines Ltd. | | | | | | | 1,168,205 | |
| | | | | | | | | | | | | |
| | | | | Miscellaneous Manufacturing - 3.1% | | | | | | | | |
| | | 20,540 | | 3M Co. | | | | | | | 3,547,874 | |
| | | | | | | | | | | | | |
See accompanying notes to financial statements.
35
Horizon Active Dividend Fund
PORTFOLIO OF INVESTMENTS (Continued)
November 30, 2020 |
| | Shares | | | | | | | |
Value
| |
| | | | | Oil & Gas - 1.5% | | | | | | | | |
| | | 43,993 | | Exxon Mobil Corp. | | | | | | $ | 1,677,453 | |
| | | | | | | | | | | | | |
| | | | | Packaging & Containers - 1.1% | | | | | | | | |
| | | 9,575 | | Packaging Corp of America | | | | | | | 1,244,750 | |
| | | | | | | | | | | | | |
| | | | | Pharmaceuticals - 9.3% | | | | | | | | |
| | | 7,990 | | Eli Lilly & Co. | | | | | | | 1,163,743 | |
| | | 24,298 | | Johnson & Johnson | | | | | | | 3,515,435 | |
| | | 15,481 | | McKesson Corp. | | | | | | | 2,785,187 | |
| | | 38,641 | | Merck & Co., Inc. | | | | | | | 3,106,350 | |
| | | | | | | | | | | | 10,570,715 | |
| | | | | Real Estate Investment Trusts - 1.3% | | | | | | | | |
| | | 36,337 | | Gaming and Leisure Properties, Inc. (e) | | | | | | | 1,509,439 | |
| | | | | | | | | | | | | |
| | | | | Retail - 5.0% | | | | | | | | |
| | | 20,508 | | Starbucks Corp. | | | | | | | 2,010,194 | |
| | | 24,118 | | Walmart, Inc. | | | | | | | 3,684,989 | |
| | | | | | | | | | | | 5,695,183 | |
| | | | | Semiconductors - 3.8% | | | | | | | | |
| | | 36,260 | | Intel Corp. | | | | | | | 1,753,171 | |
| | | 16,055 | | Texas Instruments, Inc. | | | | | | | 2,588,869 | |
| | | | | | | | | | | | 4,342,040 | |
| | | | | Software - 1.9% | | | | | | | | |
| | | 37,490 | | Oracle Corp. | | | | | | | 2,163,923 | |
| | | | | | | | | | | | | |
| | | | | Telecommunications - 2.0% | | | | | | | | |
| | | 29,386 | | Cisco Systems, Inc. | | | | | | | 1,264,186 | |
| | | 46,941 | | Juniper Networks, Inc. (e) | | | | | | | 1,021,905 | |
| | | | | | | | | | | | 2,286,091 | |
| | | | | Transportation - 1.9% | | | | | | | | |
| | | 3,716 | | Norfolk Southern Corp. (e) | | | | | | | 880,766 | |
| | | 6,457 | | Union Pacific Corp. (e) | | | | | | | 1,317,745 | |
| | | | | | | | | | | | 2,198,511 | |
| | | | | Transportation and Warehousing - 1.0% | | | | | | | | |
| | | 10,701 | | Canadian National Railway Co. | | | | | | | 1,145,542 | |
| | | | | | | | | | | | | |
| | | | | Wholesale Trade - 1.9% | | | | | | | | |
| | | 33,573 | | DuPont de Nemours, Inc. (e) | | | | | | | 2,129,871 | |
| | | | | | | | | | | | | |
| | | | | TOTAL COMMON STOCKS (Cost - $100,499,011) | | | | | | | 111,030,646 | |
| | | | | | | | | | | | | |
See accompanying notes to financial statements.
36
Horizon Active Dividend Fund
PORTFOLIO OF INVESTMENTS (Continued)
November 30, 2020 |
| | Shares | | | | | | | |
Value
| |
| | | | | CONVERTIBLE PREFERRED STOCKS - 0.5% | | | | | | | | |
| | | | | Manufacturing - 0.4% | | | | | | | | |
| | | 2,600 | | Energizer Holdings, Inc., Series A, 7.5% | | | | | | $ | 234,780 | |
| | | 5,150 | | International Flavors & Fragrances, Inc., 6.0% | | | | | | | 212,592 | |
| | | | | | | | | | | | 447,372 | |
| | | | | Mining, Quarrying, and Oil and Gas Extraction - 0.1% | | | | | | | | |
| | | 8,735 | | Chesapeake Energy Corp., 4.5% | | | | | | | 4,105 | |
| | | 12,483 | | Nabors Industries, Ltd., Series A, 6.0% | | | | | | | 100,239 | |
| | | | | | | | | | | | 104,344 | |
| | | | | TOTAL CONVERTIBLE PREFERRED STOCKS (Cost - $911,367) | | | | | | | 551,716 | |
| | | | | | | | | | | | | |
| | | | | PREFERRED STOCKS - 0.2% | | | | | | | | |
| | | | | Manufacturing - 0.2% | | | | | | | | |
| | | 9,473 | | Pitney Bowes, Inc., 6.7% | | | | | | | 200,922 | |
| | | | | | | | | | | | | |
| | | | | Real Estate Investment Trusts - 0.0% (b) | | | | | | | | |
| | | 21,147 | | CBL & Associates Properties, Inc. Series E, 6.6% | | | | | | | 8,249 | |
| | | | | TOTAL PREFERRED STOCKS (Cost - $339,203) | | | | | | | 209,171 | |
| | | | | | | | | | | | | |
| | | | | | | | | | | | | |
| | Contracts | | | | Notional
Amount | | | | | |
| | | | | PURCHASED OPTIONS - 0.0% (a)(b)(c) | | | | | | | | |
| | | | | PURCHASED PUT OPTIONS - 0.0% (b) | | | | | | | | |
| | | | | SPDR S&P 500 ETF Trust | | | | | | | | |
| | | 200 | | Expiration: December 2020, Exercise Price: $346 | | $ | 7,241,200 | | | | 11,200 | |
| | | | | TOTAL PURCHASED OPTIONS (Cost - $116,492) | | | | | | | 11,200 | |
| | | | | | | | | | | | | |
| | | | | SHORT TERM INVESTMENTS - 1.5% | | | | | | | | |
| | | | | Money Market Funds - 1.5% | | | | | | | | |
| | | 1,745,150 | | First American Treasury Obligations Fund, Class X, 0.05% (d) | | | | | | | 1,745,150 | |
| | | | | TOTAL SHORT TERM INVESTMENTS (Cost - $1,745,150) | | | | | | | 1,745,150 | |
| | | | | | | | | | | | | |
See accompanying notes to financial statements.
37
Horizon Active Dividend Fund
PORTFOLIO OF INVESTMENTS (Continued)
November 30, 2020 |
| | Shares | | | | | | | |
Value
| |
| | | | | INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING - 19.8% | | | | | | | | |
| | | 22,446,600 | | Mount Vernon Liquid Assets Portfolio, LLC, 0.15% (d) | | | | | | $ | 22,446,600 | |
| | | | | TOTAL INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING (Cost - $22,446,600) | | | | | | | 22,446,600 | |
| | | | | | | | | | | | | |
| | | | | TOTAL INVESTMENTS - 119.8% (Cost - $126,057,823) | | | | | | | 135,994,483 | |
| | | | | Liabilities in Excess of Other Assets - (19.8)% | | | | | | | (22,439,054 | ) |
| | | | | NET ASSETS - 100.0% | | | | | | $ | 113,555,429 | |
Percentages are stated as a percent of net assets.
(a) | Non-income producing security. |
(c) | Each option is exercisable into 100 shares of the underlying security. |
(d) | Interest rate reflects seven-day yield on November 30, 2020. |
(e) | All or a portion of this security is out on loan as of November 30, 2020. |
ADR - American Depositary Receipt
See accompanying notes to financial statements.
38
Horizon Defined Risk Fund
PORTFOLIO OF INVESTMENTS
November 30, 2020 |
| | Shares | | | | | | | |
Value
| |
| | | | | COMMON STOCKS - 100.1% | | | | | | | | |
| | | | | Aerospace/Defense - 1.3% | | | | | | | | |
| | | 4,374 | | Boeing Co. (e) | | | | | | $ | 921,645 | |
| | | 2,226 | | General Dynamics Corp. | | | | | | | 332,453 | |
| | | 1,680 | | L3Harris Technologies, Inc. | | | | | | | 322,543 | |
| | | 2,177 | | Lockheed Martin Corp. | | | | | | | 794,605 | |
| | | 1,295 | | Northrop Grumman Corp. | | | | | | | 391,427 | |
| | | 332 | | Teledyne Technologies, Inc. (a) | | | | | | | 125,476 | |
| | | 420 | | TransDigm Group, Inc. (f) | | | | | | | 243,260 | |
| | | | | | | | | | | | 3,131,409 | |
| | | | | Agriculture - 0.7% | | | | | | | | |
| | | 14,434 | | Altria Group, Inc. | | | | | | | 574,906 | |
| | | 4,322 | | Archer-Daniels-Midland Co. | | | | | | | 215,106 | |
| | | 12,150 | | Philip Morris International, Inc. (e) | | | | | | | 920,363 | |
| | | | | | | | | | | | 1,710,375 | |
| | | | | Airlines - 0.2% | | | | | | | | |
| | | 4,920 | | Delta Air Lines, Inc. | | | | | | | 198,030 | |
| | | 4,544 | | Southwest Airlines Co. | | | | | | | 210,569 | |
| | | | | | | | | | | | 408,599 | |
| | | | | Apparel - 0.8% | | | | | | | | |
| | | 12,221 | | Nike, Inc., Class B (e) | | | | | | | 1,646,169 | |
| | | 3,054 | | VF Corp. (f) | | | | | | | 254,703 | |
| | | | | | | | | | | | 1,900,872 | |
| | | | | Auto Manufacturers - 0.5% | | | | | | | | |
| | | 1,151 | | Cummins, Inc. | | | | | | | 266,077 | |
| | | 30,868 | | Ford Motor Co. | | | | | | | 280,281 | |
| | | 11,221 | | General Motors Co. | | | | | | | 491,929 | |
| | | 2,692 | | PACCAR, Inc. | | | | | | | 234,365 | |
| | | | | | | | | | | | 1,272,652 | |
| | | | | Auto Parts & Equipment - 0.1% | | | | | | | | |
| | | 2,108 | | Aptiv PLC | | | | | | | 250,220 | |
| | | | | | | | | | | | | |
| | | | | Banks - 4.3% | | | | | | | | |
| | | 66,961 | | Bank of America Corp. (e) | | | | | | | 1,885,622 | |
| | | 6,845 | | Bank of New York Mellon Corp. | | | | | | | 267,776 | |
| | | 16,163 | | Citigroup, Inc. (e) | | | | | | | 890,096 | |
| | | 5,505 | | Fifth Third Bancorp | | | | | | | 139,497 | |
| | | 1,328 | | First Republic Bank | | | | | | | 172,056 | |
| | | 2,795 | | Goldman Sachs Group, Inc. | | | | | | | 644,471 | |
| | | 23,637 | | JPMorgan Chase & Co. (e) | | | | | | | 2,786,329 | |
| | | 1,126 | | M&T Bank Corp. | | | | | | | 131,168 | |
| | | 14,096 | | Morgan Stanley | | | | | | | 871,556 | |
| | | 1,580 | | Northern Trust Corp. | | | | | | | 147,129 | |
See accompanying notes to financial statements.
39
Horizon Defined Risk Fund
PORTFOLIO OF INVESTMENTS (Continued)
November 30, 2020 |
| | Shares | | | | | | | |
Value
| |
| | | 3,280 | | PNC Financial Services Group, Inc. | | | | | | $ | 452,870 | |
| | | 2,743 | | State Street Corp. | | | | | | | 193,327 | |
| | | 400 | | SVB Financial Group (a) | | | | | | | 137,944 | |
| | | 10,415 | | Truist Financial Corp. | | | | | | | 483,464 | |
| | | 32,034 | | Wells Fargo & Co. (e) | | | | | | | 876,130 | |
| | | | | | | | | | | | 10,079,435 | |
| | | | | Beverages - 1.7% | | | | | | | | |
| | | 33,510 | | Coca-Cola Co. (e) | | | | | | | 1,729,116 | |
| | | 1,515 | | Constellation Brands, Inc., Class A | | | | | | | 311,847 | |
| | | 4,122 | | Monster Beverage Corp. (a) | | | | | | | 349,463 | |
| | | 10,755 | | PepsiCo, Inc. (e) | | | | | | | 1,551,194 | |
| | | | | | | | | | | | 3,941,620 | |
| | | | | Biotechnology - 1.6% | | | | | | | | |
| | | 1,720 | | Alexion Pharmaceuticals, Inc. (a) | | | | | | | 210,029 | |
| | | 4,560 | | Amgen, Inc. (e) | | | | | | | 1,012,502 | |
| | | 1,230 | | Biogen, Inc. (a) | | | | | | | 295,409 | |
| | | 5,795 | | Corteva, Inc. | | | | | | | 222,064 | |
| | | 9,737 | | Gilead Sciences, Inc. | | | | | | | 590,744 | |
| | | 1,144 | | Illumina, Inc. (a) | | | | | | | 368,471 | |
| | | 1,692 | | Incyte Corp. (a) | | | | | | | 143,042 | |
| | | 829 | | Regeneron Pharmaceuticals, Inc. (a) | | | | | | | 427,789 | |
| | | 2,046 | | Vertex Pharmaceuticals, Inc. (a) | | | | | | | 465,977 | |
| | | | | | | | | | | | 3,736,027 | |
| | | | | Building Materials - 0.4% | | | | | | | | |
| | | 6,708 | | Carrier Global Corp. | | | | | | | 255,373 | |
| | | 5,803 | | Johnson Controls International PLC | | | | | | | 267,170 | |
| | | 482 | | Martin Marietta Materials, Inc. (f) | | | | | | | 128,034 | |
| | | 2,040 | | Masco Corp. | | | | | | | 109,487 | |
| | | 1,028 | | Vulcan Materials Co. | | | | | | | 143,560 | |
| | | | | | | | | | | | 903,624 | |
| | | | | Chemicals - 1.5% | | | | | | | | |
| | | 1,727 | | Air Products & Chemicals, Inc. | | | | | | | 483,802 | |
| | | 960 | | Celanese Corp. | | | | | | | 124,157 | |
| | | 5,757 | | Dow, Inc. (f) | | | | | | | 305,179 | |
| | | 5,722 | | DuPont de Nemours, Inc. (e) (f) | | | | | | | 363,004 | |
| | | 1,050 | | FMC Corp. | | | | | | | 121,810 | |
| | | 4,089 | | Linde PLC | | | | | | | 1,048,501 | |
| | | 2,600 | | LyondellBasell Industries NV, Class A (f) | | | | | | | 221,260 | |
| | | 1,844 | | PPG Industries, Inc. (f) | | | | | | | 270,644 | |
| | | 707 | | Sherwin-Williams Co. | | | | | | | 528,574 | |
| | | | | | | | | | | | 3,466,931 | |
See accompanying notes to financial statements.
40
Horizon Defined Risk Fund
PORTFOLIO OF INVESTMENTS (Continued)
November 30, 2020 |
| | Shares | | | | | | | |
Value
| |
| | | | | Commercial Services - 2.5% | | | | | | | | |
| | | 3,353 | | Automatic Data Processing, Inc. | | | | | | $ | 583,020 | |
| | | 815 | | Cintas Corp. | | | | | | | 289,570 | |
| | | 2,227 | | Ecolab, Inc. | | | | | | | 494,728 | |
| | | 944 | | Equifax, Inc. | | | | | | | 157,554 | |
| | | 2,339 | | Global Payments, Inc. | | | | | | | 456,549 | |
| | | 3,101 | | IHS Markit, Ltd. | | | | | | | 308,425 | |
| | | 296 | | MarketAxess Holdings, Inc. | | | | | | | 159,597 | |
| | | 1,460 | | Moody’s Corp. | | | | | | | 412,216 | |
| | | 9,171 | | PayPal Holdings, Inc. (a) (e) | | | | | | | 1,963,695 | |
| | | 2,559 | | Rollins, Inc. (f) | | | | | | | 146,324 | |
| | | 1,879 | | S&P Global, Inc. | | | | | | | 660,995 | |
| | | 597 | | United Rentals, Inc. (a) | | | | | | | 135,507 | |
| | | 1,266 | | Verisk Analytics, Inc. | | | | | | | 251,060 | |
| | | | | | | | | | | | 6,019,240 | |
| | | | | Computers - 7.8% | | | | | | | | |
| | | 4,967 | | Accenture PLC, Class A | | | | | | | 1,237,230 | |
| | | 132,569 | | Apple, Inc. (e) | | | | | | | 15,782,340 | |
| | | 4,246 | | Cognizant Technology Solutions Corp., Class A | | | | | | | 331,740 | |
| | | 10,708 | | HP, Inc. | | | | | | | 234,826 | |
| | | 6,987 | | International Business Machines Corp. (e) | | | | | | | 863,034 | |
| | | | | | | | | | | | 18,449,170 | |
| | | | | Cosmetics/Personal Care - 1.7% | | | | | | | | |
| | | 6,668 | | Colgate-Palmolive Co. | | | | | | | 571,048 | |
| | | 2,795 | | Estee Lauder Cos., Inc., Class A | | | | | | | 685,669 | |
| | | 19,304 | | Procter & Gamble Co. (e) | | | | | | | 2,680,746 | |
| | | | | | | | | | | | 3,937,463 | |
| | | | | Distribution/Wholesale - 0.2% | | | | | | | | |
| | | 1,848 | | Copart, Inc. (a) | | | | | | | 213,352 | |
| | | 4,490 | | Fastenal Co. | | | | | | | 222,030 | |
| | | 417 | | WW Grainger, Inc. (f) | | | | | | | 174,431 | |
| | | | | | | | | | | | 609,813 | |
| | | | | Diversified Financial Services - 4.5% | | | | | | | | |
| | | 6,276 | | American Express Co. (f) | | | | | | | 744,271 | |
| | | 933 | | Ameriprise Financial, Inc. | | | | | | | 172,829 | |
| | | 1,197 | | BlackRock, Inc. (e) | | | | | | | 835,925 | |
| | | 3,572 | | Capital One Financial Corp. | | | | | | | 305,906 | |
| | | 14,606 | | Charles Schwab Corp. | | | | | | | 712,481 | |
| | | 2,786 | | CME Group, Inc. | | | | | | | 487,634 | |
| | | 2,397 | | Discover Financial Services (f) | | | | | | | 182,579 | |
| | | 4,236 | | Intercontinental Exchange, Inc. | | | | | | | 446,940 | |
| | | 7,818 | | MasterCard, Inc., Class A (e) | | | | | | | 2,630,835 | |
| | | 1,285 | | Nasdaq, Inc. | | | | | | | 164,467 | |
See accompanying notes to financial statements.
41
Horizon Defined Risk Fund
PORTFOLIO OF INVESTMENTS (Continued)
November 30, 2020 |
| | Shares | | | | | | | |
Value
| |
| | | 4,579 | | Synchrony Financial | | | | | | $ | 139,522 | |
| | | 1,770 | | T. Rowe Price Group, Inc. | | | | | | | 253,836 | |
| | | 17,179 | | Visa, Inc., Class A (e) (f) | | | | | | | 3,613,603 | |
| | | | | | | | | | | | 10,690,828 | |
| | | | | Electric - 2.6% | | | | | | | | |
| | | 5,652 | | AES Corp. | | | | | | | 115,527 | |
| | | 2,039 | | Alliant Energy Corp. | | | | | | | 107,251 | |
| | | 1,908 | | Ameren Corp. | | | | | | | 148,404 | |
| | | 3,863 | | American Electric Power Co., Inc. | | | | | | | 327,930 | |
| | | 2,217 | | CMS Energy Corp. | | | | | | | 136,434 | |
| | | 2,588 | | Consolidated Edison, Inc. | | | | | | | 197,335 | |
| | | 6,509 | | Dominion Energy, Inc. | | | | | | | 510,892 | |
| | | 1,490 | | DTE Energy Co. | | | | | | | 187,457 | |
| | | 5,711 | | Duke Energy Corp. | | | | | | | 529,181 | |
| | | 2,925 | | Edison International | | | | | | | 179,478 | |
| | | 1,554 | | Entergy Corp. | | | | | | | 169,153 | |
| | | 2,039 | | Evergy, Inc. | | | | | | | 112,981 | |
| | | 2,644 | | Eversource Energy | | | | | | | 231,377 | |
| | | 7,560 | | Exelon Corp. | | | | | | | 310,489 | |
| | | 4,204 | | FirstEnergy Corp. | | | | | | | 111,658 | |
| | | 15,302 | | NextEra Energy, Inc. (f) | | | | | | | 1,126,074 | |
| | | 5,961 | | PPL Corp. | | | | | | | 169,412 | |
| | | 3,924 | | Public Service Enterprise Group, Inc. (f) | | | | | | | 228,691 | |
| | | 2,242 | | Sempra Energy (f) | | | | | | | 285,810 | |
| | | 8,184 | | Southern Co. | | | | | | | 489,812 | |
| | | 2,443 | | WEC Energy Group, Inc. | | | | | | | 231,963 | |
| | | 4,087 | | Xcel Energy, Inc. (f) | | | | | | | 275,300 | |
| | | | | | | | | | | | 6,182,609 | |
| | | | | Electrical Components & Equipment - 0.2% | | | | | | | | |
| | | 1,792 | | AMETEK, Inc. | | | | | | | 212,406 | |
| | | 4,671 | | Emerson Electric Co. | | | | | | | 358,826 | |
| | | | | | | | | | | | 571,232 | |
| | | | | Electronics - 1.2% | | | | | | | | |
| | | 2,410 | | Agilent Technologies, Inc. | | | | | | | 281,729 | |
| | | 2,335 | | Amphenol Corp., Class A | | | | | | | 305,441 | |
| | | 2,625 | | Fortive Corp. | | | | | | | 184,091 | |
| | | 1,492 | | Garmin, Ltd. | | | | | | | 174,206 | |
| | | 5,471 | | Honeywell International, Inc. | | | | | | | 1,115,646 | |
| | | 186 | | Mettler-Toledo International, Inc. (a) | | | | | | | 213,908 | |
| | | 815 | | Roper Technologies, Inc. (f) | | | | | | | 348,005 | |
| | | 2,574 | | TE Connectivity, Ltd. | | | | | | | 293,359 | |
| | | | | | | | | | | | 2,916,385 | |
See accompanying notes to financial statements.
42
Horizon Defined Risk Fund
PORTFOLIO OF INVESTMENTS (Continued)
November 30, 2020 |
| | Shares | | | | | | | |
Value
| |
| | | | | Engineering & Construction - 0.1% | | | | | | | | |
| | | 1,154 | | Jacobs Engineering Group, Inc. | | | | | | $ | 124,447 | |
| | | | | | | | | | | | | |
| | | | | Environmental Control - 0.3% | | | | | | | | |
| | | 2,477 | | Republic Services, Inc. | | | | | | | 239,576 | |
| | | 3,294 | | Waste Management, Inc. | | | | | | | 392,414 | |
| | | | | | | | | | | | 631,990 | |
| | | | | Food - 1.1% | | | | | | | | |
| | | 4,752 | | General Mills, Inc. | | | | | | | 289,017 | |
| | | 1,613 | | Hershey Co. | | | | | | | 238,547 | |
| | | 4,192 | | Hormel Foods Corp. (f) | | | | | | | 197,778 | |
| | | 2,668 | | Kellogg Co. (f) | | | | | | | 170,512 | |
| | | 9,516 | | Kraft Heinz Co. | | | | | | | 313,457 | |
| | | 6,004 | | Kroger Co. (f) | | | | | | | 198,132 | |
| | | 1,039 | | McCormick & Co., Inc. | | | | | | | 194,272 | |
| | | 11,118 | | Mondelez International, Inc., Class A | | | | | | | 638,729 | |
| | | 3,933 | | Sysco Corp. | | | | | | | 280,384 | |
| | | | | | | | | | | | 2,520,828 | |
| | | | | Forest Products & Paper - 0.1% | | | | | | | | |
| | | 3,059 | | International Paper Co. | | | | | | | 151,359 | |
| | | | | | | | | | | | | |
| | | | | Hand/Machine Tools - 0.1% | | | | | | | | |
| | | 1,242 | | Stanley Black & Decker, Inc. (f) | | | | | | | 228,913 | |
| | | | | | | | | | | | | |
| | | | | Healthcare Products - 4.0% | | | | | | | | |
| | | 13,847 | | Abbott Laboratories (e) | | | | | | | 1,498,522 | |
| | | 615 | | Align Technology, Inc. (a) | | | | | | | 295,993 | |
| | | 3,946 | | Baxter International, Inc. | | | | | | | 300,172 | |
| | | 11,091 | | Boston Scientific Corp. (a) | | | | | | | 367,667 | |
| | | 416 | | Cooper Cos., Inc. | | | | | | | 139,452 | |
| | | 5,524 | | Danaher Corp. | | | | | | | 1,240,856 | |
| | | 4,859 | | Edwards Lifesciences Corp. (a) | | | | | | | 407,622 | |
| | | 2,018 | | Hologic, Inc. (a) | | | | | | | 139,504 | |
| | | 667 | | IDEXX Laboratories, Inc. (a) | | | | | | | 307,474 | |
| | | 912 | | Intuitive Surgical, Inc. (a) | | | | | | | 662,158 | |
| | | 10,442 | | Medtronic PLC (e) | | | | | | | 1,187,255 | |
| | | 1,128 | | ResMed, Inc. | | | | | | | 236,429 | |
| | | 2,920 | | Stryker Corp. (f) | | | | | | | 681,528 | |
| | | 361 | | Teleflex, Inc. (f) | | | | | | | 138,173 | |
| | | 3,096 | | Thermo Fisher Scientific, Inc. | | | | | | | 1,439,578 | |
| | | 576 | | West Pharmaceutical Services, Inc. | | | | | | | 158,492 | |
| | | 1,612 | | Zimmer Biomet Holdings, Inc. | | | | | | | 240,381 | |
| | | | | | | | | | | | 9,441,256 | |
See accompanying notes to financial statements.
43
Horizon Defined Risk Fund
PORTFOLIO OF INVESTMENTS (Continued)
November 30, 2020 |
| | Shares | | | | | | | |
Value
| |
| | | | | Healthcare Services - 1.9% | | | | | | | | |
| | | 1,954 | | Anthem, Inc. | | | | | | $ | 608,710 | |
| | | 4,500 | | Centene Corp. (a) | | | | | | | 277,425 | |
| | | 2,634 | | HCA Healthcare, Inc. | | | | | | | 395,390 | |
| | | 1,030 | | Humana, Inc. | | | | | | | 412,535 | |
| | | 1,490 | | IQVIA Holdings, Inc. (a) | | | | | | | 251,795 | |
| | | 758 | | Laboratory Corp. of America Holdings (a) | | | | | | | 151,479 | |
| | | 7,405 | | UnitedHealth Group, Inc. (e) | | | | | | | 2,490,598 | |
| | | | | | | | | | | | 4,587,932 | |
| | | | | Home Builders - 0.2% | | | | | | | | |
| | | 2,845 | | DR Horton, Inc. | | | | | | | 211,953 | |
| | | 2,386 | | Lennar Corp., Class A | | | | | | | 181,002 | |
| | | 30 | | NVR, Inc. (a) | | | | | | | 119,915 | |
| | | | | | | | | | | | 512,870 | |
| | | | | Household Products/Wares - 0.3% | | | | | | | | |
| | | 1,931 | | Church & Dwight Co., Inc. | | | | | | | 169,484 | |
| | | 980 | | Clorox Co. (f) | | | | | | | 198,901 | |
| | | 2,650 | | Kimberly-Clark Corp. (f) | | | | | | | 369,171 | |
| | | | | | | | | | | | 737,556 | |
| | | | | Insurance - 3.4% | | | | | | | | |
| | | 5,511 | | Aflac, Inc. | | | | | | | 242,098 | |
| | | 2,439 | | Allstate Corp. | | | | | | | 249,632 | |
| | | 6,627 | | American International Group, Inc. | | | | | | | 254,742 | |
| | | 1,795 | | Aon PLC, Class A (f) | | | | | | | 367,777 | |
| | | 1,486 | | Arthur J Gallagher & Co. | | | | | | | 171,499 | |
| | | 18,546 | | Berkshire Hathaway, Inc., Class B (a) (e) | | | | | | | 4,245,365 | |
| | | 3,443 | | Chubb Ltd. | | | | | | | 508,979 | |
| | | 1,373 | | Cincinnati Financial Corp. | | | | | | | 104,828 | |
| | | 2,894 | | Hartford Financial Services Group, Inc. | | | | | | | 127,915 | |
| | | 3,928 | | Marsh & McLennan Cos., Inc. | | | | | | | 450,306 | |
| | | 7,034 | | MetLife, Inc. | | | | | | | 324,760 | |
| | | 4,534 | | Progressive Corp. | | | | | | | 394,957 | |
| | | 3,065 | | Prudential Financial, Inc. | | | | | | | 231,775 | |
| | | 1,949 | | Travelers Cos., Inc. | | | | | | | 252,688 | |
| | | 998 | | Willis Towers Watson PLC | | | | | | | 207,774 | |
| | | | | | | | | | | | 8,135,095 | |
| | | | | Internet - 13.2% | | | | | | | | |
| | | 5,327 | | Alphabet, Inc., Class A (a) (e) | | | | | | | 9,345,689 | |
| | | 3,922 | | Amazon.com, Inc. (a) (e) | | | | | | | 12,425,053 | |
| | | 317 | | Booking Holdings, Inc. (a) | | | | | | | 643,019 | |
| | | 5,521 | | eBay, Inc. (f) | | | | | | | 278,424 | |
| | | 1,217 | | Expedia Group, Inc. | | | | | | | 151,504 | |
| | | 22,207 | | Facebook, Inc., Class A (a) (e) | | | | | | | 6,150,673 | |
See accompanying notes to financial statements.
44
Horizon Defined Risk Fund
PORTFOLIO OF INVESTMENTS (Continued)
November 30, 2020 |
| | Shares | | | | | | | |
Value
| |
| | | 3,470 | | Netflix, Inc. (a) (e) | | | | | | $ | 1,702,729 | |
| | | 6,187 | | Twitter, Inc. (a) | | | | | | | 287,757 | |
| | | 896 | | VeriSign, Inc. (a) | | | | | | | 179,845 | |
| | | | | | | | | | | | 31,164,693 | |
| | | | | Iron/Steel - 0.1% | | | | | | | | |
| | | 2,351 | | Nucor Corp. | | | | | | | 126,249 | |
| | | | | | | | | | | | | |
| | | | | Leisure Time - 0.1% | | | | | | | | |
| | | 1,850 | | Royal Caribbean Cruises Ltd. (f) | | | | | | | 145,799 | |
| | | | | | | | | | | | | |
| | | | | Lodging - 0.4% | | | | | | | | |
| | | 2,158 | | Hilton Worldwide Holdings, Inc. (f) | | | | | | | 223,634 | |
| | | 5,924 | | Las Vegas Sands Corp. | | | | | | | 330,026 | |
| | | 2,531 | | Marriott International, Inc., Class A | | | | | | | 321,108 | |
| | | | | | | | | | | | 874,768 | |
| | | | | Machinery - Construction & Mining - 0.3% | | | | | | | | |
| | | 4,219 | | Caterpillar, Inc. | | | | | | | 732,376 | |
| | | | | | | | | | | | | |
| | | | | Machinery - Diversified - 0.7% | | | | | | | | |
| | | 2,440 | | Deere & Co. | | | | | | | 638,353 | |
| | | 1,123 | | Dover Corp. | | | | | | | 137,040 | |
| | | 588 | | IDEX Corp. | | | | | | | 113,572 | |
| | | 3,252 | | Ingersoll Rand, Inc. (a) (f) | | | | | | | 143,966 | |
| | | 3,376 | | Otis Worldwide Corp. | | | | | | | 225,989 | |
| | | 913 | | Rockwell Automation, Inc. | | | | | | | 233,326 | |
| | | 1,408 | | Xylem, Inc. (f) | | | | | | | 135,126 | |
| | | | | | | | | | | | 1,627,372 | |
| | | | | Manufacturing - 0.4% | | | | | | | | |
| | | 11,892 | | Raytheon Technologies Corp. (e) | | | | | | | 852,894 | |
| | | | | | | | | | | | | |
| | | | | Media - 2.1% | | | | | | | | |
| | | 1,847 | | Charter Communications, Inc., Class A (a) (f) | | | | | | | 1,204,226 | |
| | | 35,509 | | Comcast Corp., Class A (e) (f) | | | | | | | 1,783,972 | |
| | | 14,052 | | Walt Disney Co. (e) | | | | | | | 2,079,836 | |
| | | | | | | | | | | | 5,068,034 | |
| | | | | Mining - 0.3% | | | | | | | | |
| | | 11,226 | | Freeport-McMoRan, Inc. | | | | | | | 262,576 | |
| | | 6,227 | | Newmont Goldcorp Corp. | | | | | | | 366,272 | |
| | | | | | | | | | | | 628,848 | |
| | | | | Miscellaneous Manufacturing - 1.2% | | | | | | | | |
| | | 4,498 | | 3M Co. (e) | | | | | | | 776,939 | |
| | | 3,121 | | Eaton Corp PLC (f) | | | | | | | 377,984 | |
See accompanying notes to financial statements.
45
Horizon Defined Risk Fund
PORTFOLIO OF INVESTMENTS (Continued)
November 30, 2020 |
| | Shares | | | | | | | |
Value
| |
| | | 68,104 | | General Electric Co. | | | | | | $ | 693,299 | |
| | | 2,468 | | Illinois Tool Works, Inc. | | | | | | | 520,970 | |
| | | 1,004 | | Parker-Hannifin Corp. | | | | | | | 268,329 | |
| | | 1,861 | | Trane Technologies PLC | | | | | | | 272,153 | |
| | | | | | | | | | | | 2,909,674 | |
| | | | | Oil & Gas - 1.6% | | | | | | | | |
| | | 14,948 | | Chevron Corp. (e) | | | | | | | 1,303,167 | |
| | | 8,339 | | ConocoPhillips (f) | | | | | | | 329,891 | |
| | | 4,515 | | EOG Resources, Inc. (f) | | | | | | | 211,663 | |
| | | 32,773 | | Exxon Mobil Corp. (e) | | | | | | | 1,249,634 | |
| | | 5,017 | | Marathon Petroleum Corp. | | | | | | | 195,061 | |
| | | 3,378 | | Phillips 66 | | | | | | | 204,639 | |
| | | 1,363 | | Pioneer Natural Resources Co. | | | | | | | 137,091 | |
| | | 3,146 | | Valero Energy Corp. (f) | | | | | | | 169,160 | |
| | | | | | | | | | | | 3,800,306 | |
| | | | | Oil & Gas Services - 0.2% | | | | | | | | |
| | | 8,074 | | Baker Hughes & GE Co. | | | | | | | 151,145 | |
| | | 10,782 | | Schlumberger, Ltd. | | | | | | | 224,158 | |
| | | | | | | | | | | | 375,303 | |
| | | | | Packaging & Containers - 0.2% | | | | | | | | |
| | | 12,215 | | Amcor PLC | | | | | | | 138,396 | |
| | | 2,548 | | Ball Corp. | | | | | | | 244,634 | |
| | | | | | | | | | | | 383,030 | |
| | | | | Pharmaceuticals - 5.5% | | | | | | | | |
| | | 13,768 | | AbbVie, Inc. (e) | | | | | | | 1,439,857 | |
| | | 1,596 | | AmerisourceBergen Corp. | | | | | | | 164,564 | |
| | | 2,259 | | Becton Dickinson & Co. | | | | | | | 530,504 | |
| | | 17,512 | | Bristol-Myers Squibb Co. | | | | | | | 1,092,749 | |
| | | 2,839 | | Cigna Corp. | | | | | | | 593,748 | |
| | | 10,128 | | CVS Health Corp. | | | | | | | 686,577 | |
| | | 741 | | DexCom, Inc. (a) | | | | | | | 236,883 | |
| | | 7,436 | | Eli Lilly & Co. (e) | | | | | | | 1,083,053 | |
| | | 20,451 | | Johnson & Johnson (e) | | | | | | | 2,958,851 | |
| | | 1,264 | | McKesson Corp. | | | | | | | 227,406 | |
| | | 19,590 | | Merck & Co., Inc. (e) | | | | | | | 1,574,840 | |
| | | 43,141 | | Pfizer, Inc. (e) | | | | | | | 1,652,732 | |
| | | 5,352 | | Viatris, Inc. (a) (e) | | | | | | | 90,021 | |
| | | 3,688 | | Zoetis, Inc., Class A | | | | | | | 591,481 | |
| | | | | | | | | | | | 12,923,266 | |
| | | | | Pipelines - 0.2% | | | | | | | | |
| | | 17,500 | | Kinder Morgan, Inc. | | | | | | | 251,650 | |
| | | 3,935 | | ONEOK, Inc. | | | | | | | 141,148 | |
See accompanying notes to financial statements.
46
Horizon Defined Risk Fund
PORTFOLIO OF INVESTMENTS (Continued)
November 30, 2020 |
| | Shares | | | | | | | |
Value
| |
| | | 9,410 | | Williams Cos., Inc. | | | | | | $ | 197,422 | |
| | | | | | | | | | | | 590,220 | |
| | | | | Real Estate - 0.1% | | | | | | | | |
| | | 2,600 | | CBRE Group, Inc., Class A (a) | | | | | | | 158,964 | |
| | | | | | | | | | | | | |
| | | | | Real Estate Investment Trusts - 2.2% | | | | | | | | |
| | | 974 | | Alexandria Real Estate Equities, Inc. | | | | | | | 159,473 | |
| | | 3,447 | | American Tower Corp. | | | | | | | 796,946 | |
| | | 1,089 | | AvalonBay Communities, Inc. | | | | | | | 181,416 | |
| | | 3,259 | | Crown Castle International Corp. (f) | | | | | | | 546,111 | |
| | | 2,153 | | Digital Realty Trust, Inc. | | | | | | | 290,117 | |
| | | 2,916 | | Duke Realty Corp. | | | | | | | 110,983 | |
| | | 688 | | Equinix, Inc. | | | | | | | 480,080 | |
| | | 2,882 | | Equity Residential (f) | | | | | | | 166,925 | |
| | | 567 | | Essex Property Trust, Inc. | | | | | | | 139,414 | |
| | | 997 | | Extra Space Storage, Inc. | | | | | | | 112,392 | |
| | | 4,164 | | Healthpeak Properties, Inc. | | | | | | | 120,173 | |
| | | 957 | | Mid-America Apartment Communities, Inc. | | | | | | | 120,735 | |
| | | 5,724 | | Prologis, Inc. | | | | | | | 572,686 | |
| | | 1,355 | | Public Storage | | | | | | | 304,143 | |
| | | 2,665 | | Realty Income Corp. (f) | | | | | | | 159,820 | |
| | | 870 | | SBA Communications Corp. | | | | | | | 249,847 | |
| | | 2,362 | | Simon Property Group, Inc. (f) | | | | | | | 195,030 | |
| | | 2,879 | | Ventas, Inc. | | | | | | | 137,933 | |
| | | 5,813 | | Weyerhaeuser Co. | | | | | | | 168,810 | |
| | | 3,211 | | Welltower, Inc. | | | | | | | 202,229 | |
| | | | | | | | | | | | 5,215,263 | |
| | | | | Retail - 6.2% | | | | | | | | |
| | | 180 | | AutoZone, Inc. (a) | | | | | | | 204,777 | |
| | | 2,024 | | Best Buy Co., Inc. (f) | | | | | | | 220,211 | |
| | | 1,279 | | CarMax, Inc. (a) | | | | | | | 119,561 | |
| | | 218 | | Chipotle Mexican Grill, Inc. (a) | | | | | | | 281,096 | |
| | | 3,445 | | Costco Wholesale Corp. | | | | | | | 1,349,648 | |
| | | 1,159 | | Darden Restaurants, Inc. | | | | | | | 125,149 | |
| | | 1,931 | | Dollar General Corp. (f) | | | | | | | 422,078 | |
| | | 1,848 | | Dollar Tree, Inc. (a) | | | | | | | 201,876 | |
| | | 304 | | Domino’s Pizza, Inc. | | | | | | | 119,341 | |
| | | 1,128 | | Genuine Parts Co. | | | | | | | 110,961 | |
| | | 8,405 | | Home Depot, Inc. (e) | | | | | | | 2,331,631 | |
| | | 5,907 | | Lowe’s Cos., Inc. | | | | | | | 920,429 | |
| | | 5,785 | | McDonald’s Corp. (e) | | | | | | | 1,257,890 | |
| | | 576 | | O’Reilly Automotive, Inc. (a) | | | | | | | 254,845 | |
| | | 2,770 | | Ross Stores, Inc. | | | | | | | 297,830 | |
| | | 9,134 | | Starbucks Corp. | | | | | | | 895,315 | |
See accompanying notes to financial statements.
47
Horizon Defined Risk Fund
PORTFOLIO OF INVESTMENTS (Continued)
November 30, 2020 |
| | Shares | | | | | | | |
Value
| |
| | | 3,901 | | Target Corp. | | | | | | $ | 700,347 | |
| | | 944 | | Tiffany & Co. (f) | | | | | | | 124,117 | |
| | | 9,348 | | TJX Cos., Inc. | | | | | | | 593,692 | |
| | | 908 | | Tractor Supply Co. | | | | | | | 127,856 | |
| | | 480 | | Ulta Beauty, Inc. (a) (f) | | | | | | | 132,192 | |
| | | 6,730 | | Walgreens Boots Alliance, Inc. | | | | | | | 255,807 | |
| | | 22,022 | | Walmart, Inc. (e) | | | | | | | 3,364,741 | |
| | | 2,343 | | Yum! Brands, Inc. | | | | | | | 247,889 | |
| | | | | | | | | | | | 14,659,279 | |
| | | | | Retail Trade - 0.1% | | | | | | | | |
| | | 951 | | Etsy, Inc. (a) | | | | | | | 152,826 | |
| | | | | | | | | | | | | |
| | | | | Semiconductors - 5.0% | | | | | | | | |
| | | 9,174 | | Advanced Micro Devices, Inc. (a) | | | | | | | 850,063 | |
| | | 2,874 | | Analog Devices, Inc. (f) | | | | | | | 399,716 | |
| | | 7,113 | | Applied Materials, Inc. | | | | | | | 586,680 | |
| | | 3,152 | | Broadcom, Inc. (e) | | | | | | | 1,265,780 | |
| | | 32,960 | | Intel Corp. (e) | | | | | | | 1,593,616 | |
| | | 1,207 | | KLA Corp. | | | | | | | 304,128 | |
| | | 1,132 | | Lam Research Corp. | | | | | | | 512,411 | |
| | | 1,978 | | Microchip Technology, Inc. | | | | | | | 265,823 | |
| | | 8,630 | | Micron Technology, Inc. (a) | | | | | | | 553,097 | |
| | | 4,818 | | NVIDIA Corp. (e) | | | | | | | 2,582,737 | |
| | | 8,773 | | QUALCOMM, Inc. | | | | | | | 1,291,122 | |
| | | 1,306 | | Skyworks Solutions, Inc. | | | | | | | 184,368 | |
| | | 7,130 | | Texas Instruments, Inc. | | | | | | | 1,149,713 | |
| | | 1,900 | | Xilinx, Inc. | | | | | | | 276,545 | |
| | | | | | | | | | | | 11,815,799 | |
| | | | | Software - 9.8% | | | | | | | | |
| | | 6,007 | | Activision Blizzard, Inc. | | | | | | | 477,436 | |
| | | 3,750 | | Adobe, Inc. (a) (e) | | | | | | | 1,794,262 | |
| | | 674 | | ANSYS, Inc. (a) | | | | | | | 227,852 | |
| | | 1,717 | | Autodesk, Inc. (a) | | | | | | | 481,155 | |
| | | 2,191 | | Cadence Design Systems, Inc. (a) | | | | | | | 254,813 | |
| | | 2,377 | | Cerner Corp. | | | | | | | 177,895 | |
| | | 2,258 | | Electronic Arts, Inc. (a) | | | | | | | 288,460 | |
| | | 4,827 | | Fidelity National Information Services, Inc. | | | | | | | 716,375 | |
| | | 5,251 | | Fiserv, Inc. (a) | | | | | | | 604,810 | |
| | | 2,048 | | Intuit, Inc. | | | | | | | 720,937 | |
| | | 59,066 | | Microsoft Corp. (e) | | | | | | | 12,644,259 | |
| | | 654 | | MSCI, Inc. | | | | | | | 267,761 | |
| | | 23,476 | | Oracle Corp. (e) | | | | | | | 1,355,035 | |
| | | 2,812 | | Paychex, Inc. | | | | | | | 261,938 | |
| | | 7,111 | | salesforce.com, Inc. (a) (e) | | | | | | | 1,747,884 | |
See accompanying notes to financial statements.
48
Horizon Defined Risk Fund
PORTFOLIO OF INVESTMENTS (Continued)
November 30, 2020 |
| | Shares | | | | | | | |
Value
| |
| | | 1,495 | | ServiceNow, Inc. (a) | | | | | | $ | 799,152 | |
| | | 1,182 | | Synopsys, Inc. (a) | | | | | | | 268,905 | |
| | | | | | | | | | | | 23,088,929 | |
| | | | | Telecommunications - 2.8% | | | | | | | | |
| | | 55,224 | | AT&T, Inc. (e) | | | | | | | 1,587,690 | |
| | | 33,070 | | Cisco Systems, Inc. (e) | | | | | | | 1,422,671 | |
| | | 5,919 | | Corning, Inc. (f) | | | | | | | 221,489 | |
| | | 1,324 | | Motorola Solutions, Inc. | | | | | | | 227,106 | |
| | | 9,709 | | T-Mobile US, Inc. (a) | | | | | | | 1,290,715 | |
| | | 32,156 | | Verizon Communications, Inc. (e) | | | | | | | 1,942,544 | |
| | | | | | | | | | | | 6,692,215 | |
| | | | | Transportation - 1.9% | | | | | | | | |
| | | 1,118 | | CH Robinson Worldwide, Inc. (f) | | | | | | | 105,058 | |
| | | 5,991 | | CSX Corp. (f) | | | | | | | 539,490 | |
| | | 1,311 | | Expeditors International of Washington, Inc. | | | | | | | 117,164 | |
| | | 2,078 | | FedEx Corp. | | | | | | | 595,513 | |
| | | 923 | | JB Hunt Transport Services, Inc. | | | | | | | 124,863 | |
| | | 729 | | Kansas City Southern | | | | | | | 135,718 | |
| | | 1,993 | | Norfolk Southern Corp. | | | | | | | 472,381 | |
| | | 917 | | Old Dominion Freight Line, Inc. | | | | | | | 186,481 | |
| | | 5,308 | | Union Pacific Corp. | | | | | | | 1,083,257 | |
| | | 6,787 | | United Parcel Service, Inc., Class B | | | | | | | 1,161,052 | |
| | | | | | | | | | | | 4,520,977 | |
| | | | | Water - 0.1% | | | | | | | | |
| | | 1,410 | | American Water Works Co., Inc. (f) | | | | | | | 216,266 | |
| | | | | | | | | | | | | |
| | | | | Wholesale Trade - 0.1% | | | | | | | | |
| | | 315 | | Pool Corp. | | | | | | | 109,025 | |
| | | | | | | | | | | | | |
| | | | | TOTAL COMMON STOCKS (Cost - $191,934,154) | | | | | | | 236,083,125 | |
| | | | | | | | | | | | | |
| | | | | WARRANTS - 0.0% (b) | | | | | | | | |
| | | | | Mining, Quarrying, Oil & Gas Extraction - 0.0% (b) | | | | | | | | |
| | | 758 | | Occidental Petroleum Corp. (a) | | | | | | | 3,896 | |
| | | | | | | | | | | | | |
| | | | | TOTAL WARRANTS (Cost - $24) | | | | | | | 3,896 | |
See accompanying notes to financial statements.
49
Horizon Defined Risk Fund
PORTFOLIO OF INVESTMENTS (Continued)
November 30, 2020 |
| | Contracts | | | | Notional
Amount | | | Value | |
| | | | | PURCHASED OPTIONS - 1.2% (a)(c) | | | | | | | | |
| | | | | PURCHASED PUT OPTIONS - 1.2% | | | | | | | | |
| | | | | S&P 500 Index (g) | | | | | | | | |
| | | 210 | | Expiration: December 2020, Exercise Price: $3,320 | | $ | 76,054,230 | | | $ | 155,400 | |
| | | 215 | | Expiration: January 2021, Exercise Price: $3,440 | | | 77,865,045 | | | | 950,300 | |
| | | 210 | | Expiration: February 2021, Exercise Price: $3,480 | | | 76,054,230 | | | | 1,783,950 | |
| | | | | TOTAL PURCHASED OPTIONS (Cost - $8,004,526) | | | | | | | 2,889,650 | |
| | | | | | | | | | | | | |
| | Shares | | | | | | | | | | |
| | | | | SHORT TERM INVESTMENTS - 0.1% | | | | | | | | |
| | | | | Money Market Funds - 0.1% | | | | | | | | |
| | | 279,051 | | First American Treasury Obligations Fund, Class X, 0.05% (d) | | | | | | | 279,051 | |
| | | | | TOTAL SHORT TERM INVESTMENTS (Cost - $279,051) | | | | | | | 279,051 | |
| | | | | | | | | | | | | |
| | | | | INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING - 6.3% | | | | | | | | |
| | | 14,768,355 | | Mount Vernon Liquid Assets Portfolio, LLC, 0.15% (d) | | | | | | | 14,768,355 | |
| | | | | TOTAL INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING (Cost - $14,768,355) | | | | | | | 14,768,355 | |
| | | | | | | | | | | | | |
| | | | | TOTAL INVESTMENTS - 107.7% (Cost - $214,986,110) | | | | | | | 254,024,077 | |
| | | | | Liabilities in Excess of Other Assets - (7.7)% | | | | | | | (18,227,370 | ) |
| | | | | NET ASSETS - 100.0% | | | | | | $ | 235,796,707 | |
| | | | | | | | | | | | | |
| | Contracts | | | | | | | | | | |
| | | | | SCHEDULE OF WRITTEN OPTIONS - (1.4)% (a)(c) | | | | | | | | |
| | | | | SCHEDULE OF WRITTEN CALL OPTIONS - (1.1)% | | | | | | | | |
| | | | | S&P 500 Index | | | | | | | | |
| | | 110 | | Expiration: December 2020, Exercise Price $3,620 | | | 39,837,930 | | | | 667,700 | |
| | | 125 | | Expiration: January 2021, Exercise Price $3,720 | | | 45,270,375 | | | | 586,875 | |
| | | 210 | | Expiration: February 2021, Exercise Price $3,740 | | | 76,054,230 | | | | 1,435,350 | |
| | | | | TOTAL WRITTEN CALL OPTIONS (Premiums Received $2,716,442) | | | | | | $ | 2,689,925 | |
| | | | | | | | | | | | | |
See accompanying notes to financial statements.
50
Horizon Defined Risk Fund
PORTFOLIO OF INVESTMENTS (Continued)
November 30, 2020 |
| | Contracts | | | | Notional
Amount | | | Value | |
| | | | | SCHEDULE OF WRITTEN PUT OPTIONS - (0.3)% | | | | | | | | |
| | | | | S&P 500 Index | | | | | | | | |
| | | 100 | | Expiration: January 2021, Exercise Price $3,020 | | $ | 36,216,300 | | | $ | 88,000 | |
| | | 210 | | Expiration: February 2021, Exercise Price $3,080 | | | 76,054,230 | | | | 573,300 | |
| | | | | TOTAL WRITTEN PUT OPTIONS (Premiums Received $1,370,616) | | | | | | $ | 661,300 | |
| | | | | | | | | | | | | |
| | | | | TOTAL WRITTEN OPTIONS (Premiums Received $4,087,058) | | | | | | $ | 3,351,225 | |
Percentages are stated as a percent of net assets.
(a) | Non-income producing security. |
(c) | Each option is exercisable into 100 shares of the underlying security. |
(d) | Interest rate reflects seven-day yield on November 30, 2020. |
(e) | All or a portion of the security is segregated as collateral for written options. The value of the securities segregated as collateral for written options is $101,342,237, which is 43.0% of total net assets. |
(f) | All or a portion of this security is out on loan as of November 30, 2020. |
(g) | Held in connection with a written option, see Schedule of Written Options for more details. |
See accompanying notes to financial statements.
51
Horizon Defensive Multi-Factor Fund
PORTFOLIO OF INVESTMENTS
November 30, 2020 |
| | Shares | | | | | | | |
Value
| |
| | | | | COMMON STOCKS - 99.7% | | | | | | | | |
| | | | | Agriculture, Forestry, Fishing and Hunting - 0.4% | | | | | | | | |
| | | 19,744 | | Corteva, Inc. | | | | | | $ | 756,590 | |
| | | | | | | | | | | | | |
| | | | | Apparel - 0.2% | | | | | | | | |
| | | 24,925 | | Hanesbrands, Inc. | | | | | | | 353,935 | |
| | | | | | | | | | | | | |
| | | | | Auto Manufacturers - 0.3% | | | | | | | | |
| | | 7,763 | | PACCAR, Inc. | | | | | | | 675,847 | |
| | | | | | | | | | | | | |
| | | | | Auto Parts & Equipment - 0.4% | | | | | | | | |
| | | 4,462 | | Aptiv PLC | | | | | | | 529,639 | |
| | | 8,520 | | BorgWarner, Inc. | | | | | | | 331,002 | |
| | | | | | | | | | | | 860,641 | |
| | | | | Banks - 3.9% | | | | | | | | |
| | | 17,106 | | Fifth Third Bancorp | | | | | | | 433,466 | |
| | | 30,650 | | JPMorgan Chase & Co. | | | | | | | 3,613,022 | |
| | | 24,293 | | KeyCorp | | | | | | | 375,569 | |
| | | 41,777 | | Morgan Stanley | | | | | | | 2,583,072 | |
| | | 26,214 | | Regions Financial Corp. | | | | | | | 400,288 | |
| | | 1,894 | | SVB Financial Group (a) | | | | | | | 653,165 | |
| | | | | | | | | | | | 8,058,582 | |
| | | | | Beverages - 0.8% | | | | | | | | |
| | | 3,607 | | Constellation Brands, Inc., Class A | | | | | | | 742,465 | |
| | | 10,468 | | Monster Beverage Corp. (a) | | | | | | | 887,477 | |
| | | | | | | | | | | | 1,629,942 | |
| | | | | Biotechnology - 1.8% | | | | | | | | |
| | | 6,304 | | Alexion Pharmaceuticals, Inc. (a) | | | | | | | 769,781 | |
| | | 9,439 | | Amgen, Inc. | | | | | | | 2,095,836 | |
| | | 1,786 | | Regeneron Pharmaceuticals, Inc. (a) | | | | | | | 921,630 | |
| | | | | | | | | | | | 3,787,247 | |
| | | | | Building Materials - 0.5% | | | | | | | | |
| | | 6,009 | | Fortune Brands Home & Security, Inc. | | | | | | | 501,751 | |
| | | 1,714 | | Martin Marietta Materials, Inc. | | | | | | | 455,290 | |
| | | | | | | | | | | | 957,041 | |
| | | | | Chemicals - 1.0% | | | | | | | | |
| | | 4,992 | | Eastman Chemical Co. | | | | | | | 486,221 | |
| | | 2,039 | | Sherwin-Williams Co. | | | | | | | 1,524,417 | |
| | | | | | | | | | | | 2,010,638 | |
| | | | | Commercial Services - 1.1% | | | | | | | | |
| | | 2,298 | | Cintas Corp. | | | | | | | 816,479 | |
| | | 15,364 | | H&R Block, Inc. (c) | | | | | | | 288,843 | |
See accompanying notes to financial statements.
52
Horizon Defensive Multi-Factor Fund
PORTFOLIO OF INVESTMENTS (Continued)
November 30, 2020 |
| | Shares | | | | | | | |
Value
| |
| | | 6,813 | | Quanta Services, Inc. | | | | | | $ | 465,601 | |
| | | 2,804 | | United Rentals, Inc. (a) | | | | | | | 636,452 | |
| | | | | | | | | | | | 2,207,375 | |
| | | | | Computers - 6.0% | | | | | | | | |
| | | 11,600 | | Accenture PLC, Class A | | | | | | | 2,889,444 | |
| | | 69,845 | | Apple, Inc. | | | | | | | 8,315,047 | |
| | | 14,138 | | Cognizant Technology Solutions Corp., Class A | | | | | | | 1,104,602 | |
| | | | | | | | | | | | 12,309,093 | |
| | | | | Cosmetics/Personal Care - 0.9% | | | | | | | | |
| | | 21,130 | | Colgate-Palmolive Co. | | | | | | | 1,809,573 | |
| | | | | | | | | | | | | |
| | | | | Distribution/Wholesale - 0.9% | | | | | | | | |
| | | 14,409 | | Fastenal Co. | | | | | | | 712,525 | |
| | | 12,377 | | LKQ Corp. (a) | | | | | | | 435,918 | |
| | | 1,647 | | WW Grainger, Inc. (c) | | | | | | | 688,940 | |
| | | | | | | | | | | | 1,837,383 | |
| | | | | Diversified Financial Services - 1.9% | | | | | | | | |
| | | 2,340 | | BlackRock, Inc. | | | | | | | 1,634,139 | |
| | | 24,242 | | Invesco, Ltd. | | | | | | | 393,448 | |
| | | 5,357 | | Raymond James Financial, Inc. | | | | | | | 487,219 | |
| | | 16,348 | | Synchrony Financial | | | | | | | 498,124 | |
| | | 5,850 | | T. Rowe Price Group, Inc. | | | | | | | 838,948 | |
| | | | | | | | | | | | 3,851,878 | |
| | | | | Electric - 2.0% | | | | | | | | |
| | | 6,131 | | CMS Energy Corp. | | | | | | | 377,302 | |
| | | 5,786 | | Consolidated Edison, Inc. | | | | | | | 441,182 | |
| | | 4,085 | | DTE Energy Co. | | | | | | | 513,934 | |
| | | 5,419 | | Eversource Energy | | | | | | | 474,217 | |
| | | 3,758 | | Pinnacle West Capital Corp. | | | | | | | 307,592 | |
| | | 13,745 | | PPL Corp. | | | | | | | 390,633 | |
| | | 8,448 | | Public Service Enterprise Group, Inc. | | | | | | | 492,349 | |
| | | 5,328 | | WEC Energy Group, Inc. | | | | | | | 505,894 | |
| | | 8,859 | | Xcel Energy, Inc. | | | | | | | 596,742 | |
| | | | | | | | | | | | 4,099,845 | |
| | | | | Electronics - 1.4% | | | | | | | | |
| | | 6,872 | | Amphenol Corp., Class A | | | | | | | 898,927 | |
| | | 5,849 | | Garmin, Ltd. | | | | | | | 682,929 | |
| | | 653 | | Mettler-Toledo International, Inc. (a) | | | | | | | 750,976 | |
| | | 3,710 | | PerkinElmer, Inc. | | | | | | | 493,430 | |
| | | | | | | | | | | | 2,826,262 | |
See accompanying notes to financial statements.
53
Horizon Defensive Multi-Factor Fund
PORTFOLIO OF INVESTMENTS (Continued)
November 30, 2020 |
| | Shares | | | | | | | |
Value
| |
| | | | | Environmental Control - 0.5% | | | | | | | | |
| | | 7,330 | | Pentair PLC | | | | | | $ | 379,841 | |
| | | 7,124 | | Republic Services, Inc. | | | | | | | 689,033 | |
| | | | | | | | | | | | 1,068,874 | |
| | | | | Finance and Insurance - 0.8% | | | | | | | | |
| | | 821 | | MarketAxess Holdings, Inc. | | | | | | | 442,667 | |
| | | 27,084 | | Truist Financial Corp. | | | | | | | 1,257,239 | |
| | | | | | | | | | | | 1,699,906 | |
| | | | | Food - 1.8% | | | | | | | | |
| | | 18,282 | | Conagra Brands, Inc. | | | | | | | 668,390 | |
| | | 1,216 | | Domino’s Pizza, Inc. | | | | | | | 477,365 | |
| | | 17,006 | | General Mills, Inc. | | | | | | | 1,034,305 | |
| | | 10,017 | | Hormel Foods Corp. (c) | | | | | | | 472,602 | |
| | | 4,429 | | J.M. Smucker Co. (c) | | | | | | | 519,079 | |
| | | 8,721 | | Tyson Foods, Inc., Class A | | | | | | | 568,609 | |
| | | | | | | | | | | | 3,740,350 | |
| | | | | Forest Products & Paper - 0.3% | | | | | | | | |
| | | 11,976 | | International Paper Co. | | | | | | | 592,573 | |
| | | | | | | | | | | | | |
| | | | | Hand/Machine Tools - 0.5% | | | | | | | | |
| | | 2,479 | | Snap-on, Inc. (c) | | | | | | | 435,932 | |
| | | 3,503 | | Stanley Black & Decker, Inc. | | | | | | | 645,638 | |
| | | | | | | | | | | | 1,081,570 | |
| | | | | Healthcare Products - 4.3% | | | | | | | | |
| | | 12,247 | | Danaher Corp. | | | | | | | 2,751,044 | |
| | | 7,743 | | Hologic, Inc. (a) | | | | | | | 535,273 | |
| | | 2,050 | | IDEXX Laboratories, Inc. (a) | | | | | | | 945,009 | |
| | | 3,143 | | ResMed, Inc. | | | | | | | 658,773 | |
| | | 8,600 | | Thermo Fisher Scientific, Inc. | | | | | | | 3,998,828 | |
| | | | | | | | | | | | 8,888,927 | |
| | | | | Healthcare Services - 2.4% | | | | | | | | |
| | | 4,874 | | DaVita, Inc. (a) | | | | | | | 535,409 | |
| | | 9,069 | | HCA Healthcare, Inc. | | | | | | | 1,361,347 | |
| | | 3,120 | | Humana, Inc. | | | | | | | 1,249,622 | |
| | | 3,239 | | Laboratory Corp. of America Holdings (a) | | | | | | | 647,282 | |
| | | 4,999 | | Quest Diagnostics, Inc. | | | | | | | 619,776 | |
| | | 3,472 | | Universal Health Services, Inc., Class B | | | | | | | 453,374 | |
| | | | | | | | | | | | 4,866,810 | |
| | | | | Home Builders - 1.0% | | | | | | | | |
| | | 11,182 | | DR Horton, Inc. | | | | | | | 833,059 | |
| | | 10,039 | | Lennar Corp., Class A | | | | | | | 761,559 | |
See accompanying notes to financial statements.
54
Horizon Defensive Multi-Factor Fund
PORTFOLIO OF INVESTMENTS (Continued)
November 30, 2020 |
| | Shares | | | | | | | |
Value
| |
| | | 11,345 | | PulteGroup, Inc. | | | | | | $ | 494,982 | |
| | | | | | | | | | | | 2,089,600 | |
| | | | | Home Furnishings - 0.2% | | | | | | | | |
| | | 2,627 | | Whirlpool Corp. | | | | | | | 511,240 | |
| | | | | | | | | | | | | |
| | | | | Household Products/Wares - 0.7% | | | | | | | | |
| | | 8,008 | | Church & Dwight Co., Inc. | | | | | | | 702,862 | |
| | | 3,454 | | Clorox Co. (c) | | | | | | | 701,024 | |
| | | | | | | | | | | | 1,403,886 | |
| | | | | Information - 0.6% | | | | | | | | |
| | | 1,458 | | Tyler Technologies, Inc. (a) | | | | | | | 623,441 | |
| | | 20,193 | | ViacomCBS, Inc., Class B | | | | | | | 712,409 | |
| | | | | | | | | | | | 1,335,850 | |
| | | | | Insurance - 6.6% | | | | | | | | |
| | | 6,194 | | Arthur J Gallagher & Co. | | | | | | | 714,850 | |
| | | 35,580 | | Berkshire Hathaway, Inc., Class B (a) | | | | | | | 8,144,618 | |
| | | 10,128 | | Hartford Financial Services Group, Inc. | | | | | | | 447,658 | |
| | | 9,797 | | Marsh & McLennan Cos., Inc. | | | | | | | 1,123,128 | |
| | | 13,038 | | MetLife, Inc. | | | | | | | 601,964 | |
| | | 16,347 | | Progressive Corp. | | | | | | | 1,423,987 | |
| | | 6,710 | | Travelers Cos., Inc. | | | | | | | 869,951 | |
| | | 13,309 | | Unum Group | | | | | | | 295,859 | |
| | | | | | | | | | | | 13,622,015 | |
| | | | | Internet - 8.9% | | | | | | | | |
| | | 4,746 | | Alphabet, Inc., Class A (a) | | | | | | | 8,326,382 | |
| | | 20,123 | | eBay, Inc. | | | | | | | 1,014,803 | |
| | | 3,534 | | F5 Networks, Inc. (a) | | | | | | | 575,371 | |
| | | 30,258 | | Facebook, Inc., Class A (a) | | | | | | | 8,380,558 | |
| | | | | | | | | | | | 18,297,114 | |
| | | | | Machinery - Diversified - 0.6% | | | | | | | | |
| | | 3,147 | | Cummins, Inc. | | | | | | | 727,492 | |
| | | 4,358 | | Dover Corp. | | | | | | | 531,807 | |
| | | | | | | | | | | | 1,259,299 | |
| | | | | Media - 1.4% | | | | | | | | |
| | | 4,527 | | Charter Communications, Inc., Class A (a)(c) | | | | | | | 2,951,559 | |
| | | | | | | | | | | | | |
| | | | | Mining - 0.6% | | | | | | | | |
| | | 19,600 | | Newmont Goldcorp Corp. | | | | | | | 1,152,872 | |
| | | | | | | | | | | | | |
| | | | | Miscellaneous Manufacturing - 2.3% | | | | | | | | |
| | | 11,563 | | 3M Co. | | | | | | | 1,997,277 | |
| | | 6,390 | | AO Smith Corp. | | | | | | | 359,821 | |
| | | 3,120 | | Parker-Hannifin Corp. | | | | | | | 833,851 | |
See accompanying notes to financial statements.
55
Horizon Defensive Multi-Factor Fund
PORTFOLIO OF INVESTMENTS (Continued)
November 30, 2020 |
| | Shares | | | | | | | |
Value
| |
| | | 6,759 | | Trane Technologies PLC | | | | | | $ | 988,436 | |
| | | 1,825 | | West Pharmaceutical Services, Inc. | | | | | | | 502,167 | |
| | | | | | | | | | | | 4,681,552 | |
| | | | | Oil & Gas - 0.9% | | | | | | | | |
| | | 16,847 | | Cabot Oil & Gas Corp. | | | | | | | 295,159 | |
| | | 32,432 | | Exxon Mobil Corp. | | | | | | | 1,236,632 | |
| | | 3,553 | | Pioneer Natural Resources Co. | | | | | | | 357,361 | |
| | | | | | | | | | | | 1,889,152 | |
| | | | | Oil & Gas Services - 0.2% | | | | | | | | |
| | | 17,407 | | Baker Hughes & GE Co. | | | | | | | 325,859 | |
| | | | | | | | | | | | | |
| | | | | Packaging & Containers - 0.6% | | | | | | | | |
| | | 3,753 | | Packaging Corp of America | | | | | | | 487,890 | |
| | | 8,869 | | Sealed Air Corp. | | | | | | | 399,637 | |
| | | 8,957 | | Westrock Co. | | | | | | | 378,075 | |
| | | | | | | | | | | | 1,265,602 | |
| | | | | Pharmaceuticals - 2.6% | | | | | | | | |
| | | 34,771 | | AbbVie, Inc. | | | | | | | 3,636,351 | |
| | | 27,499 | | Bristol-Myers Squibb Co. | | | | | | | 1,715,938 | |
| | | | | | | | | | | | 5,352,289 | |
| | | | | Pipelines - 0.4% | | | | | | | | |
| | | 31,862 | | Kinder Morgan, Inc. | | | | | | | 458,175 | |
| | | 19,966 | | Williams Cos., Inc. | | | | | | | 418,887 | |
| | | | | | | | | | | | 877,062 | |
| | | | | Professional, Scientific, and Technical Services - 1.1% | | | | | | | | |
| | | 4,792 | | CDW Corp. | | | | | | | 625,308 | |
| | | 3,171 | | ServiceNow, Inc. (a) | | | | | | | 1,695,058 | |
| | | | | | | | | | | | 2,320,366 | |
| | | | | Real Estate - 0.3% | | | | | | | | |
| | | 9,905 | | CBRE Group, Inc., Class A (a) | | | | | | | 605,592 | |
| | | | | | | | | | | | | |
| | | | | Real Estate Investment Trusts - 2.4% | | | | | | | | |
| | | 2,377 | | AvalonBay Communities, Inc. | | | | | | | 395,985 | |
| | | 1,188 | | Equinix, Inc. | | | | | | | 828,975 | |
| | | 1,440 | | Essex Property Trust, Inc. | | | | | | | 354,067 | |
| | | 4,303 | | Extra Space Storage, Inc. | | | | | | | 485,077 | |
| | | 2,862 | | Mid-America Apartment Communities, Inc. | | | | | | | 361,070 | |
| | | 9,048 | | Prologis, Inc. | | | | | | | 905,252 | |
| | | 3,684 | | Public Storage | | | | | | | 826,911 | |
| | | 6,630 | | Realty Income Corp. | | | | | | | 397,601 | |
| | | 16,834 | | Weyerhaeuser Co. | | | | | | | 488,859 | |
| | | | | | | | | | | | 5,043,797 | |
See accompanying notes to financial statements.
56
Horizon Defensive Multi-Factor Fund
PORTFOLIO OF INVESTMENTS (Continued)
November 30, 2020 |
| | Shares | | | | | | | |
Value
| |
| | | | | Retail - 14.0% | | | | | | | | |
| | | 8,121 | | Best Buy Co., Inc. | | | | | | $ | 883,565 | |
| | | 508 | | Chipotle Mexican Grill, Inc. (a) | | | | | | | 655,030 | |
| | | 9,987 | | Costco Wholesale Corp. | | | | | | | 3,912,607 | |
| | | 7,101 | | Dollar General Corp. | | | | | | | 1,552,137 | |
| | | 19,980 | | Home Depot, Inc. | | | | | | | 5,542,652 | |
| | | 20,347 | | Lowe’s Cos., Inc. | | | | | | | 3,170,469 | |
| | | 6,978 | | McDonald’s Corp. | | | | | | | 1,517,296 | |
| | | 13,090 | | Target Corp. | | | | | | | 2,350,048 | |
| | | 4,641 | | Tractor Supply Co. | | | | | | | 653,499 | |
| | | 55,076 | | Walmart, Inc. | | | | | | | 8,415,062 | |
| | | 5,317 | | Yum! Brands, Inc. | | | | | | | 562,539 | |
| | | | | | | | | | | | 29,214,904 | |
| | | | | Semiconductors - 5.0% | | | | | | | | |
| | | 50,816 | | Intel Corp. | | | | | | | 2,456,954 | |
| | | 9,236 | | NVIDIA Corp. | | | | | | | 4,951,050 | |
| | | 4,451 | | Qorvo, Inc. (a) | | | | | | | 697,383 | |
| | | 14,149 | | Texas Instruments, Inc. | | | | | | | 2,281,526 | |
| | | | | | | | | | | | 10,386,913 | |
| | | | | Software - 8.3% | | | | | | | | |
| | | 14,220 | | Activision Blizzard, Inc. | | | | | | | 1,130,206 | |
| | | 6,524 | | Adobe, Inc. (a) | | | | | | | 3,121,538 | |
| | | 5,586 | | Akamai Technologies, Inc. (a) | | | | | | | 578,207 | |
| | | 4,803 | | Broadridge Financial Solutions, Inc. | | | | | | | 705,465 | |
| | | 7,459 | | Cadence Design Systems, Inc. (a) | | | | | | | 867,482 | |
| | | 7,304 | | Cerner Corp. | | | | | | | 546,631 | |
| | | 3,165 | | Jack Henry & Associates, Inc. | | | | | | | 509,122 | |
| | | 39,156 | | Microsoft Corp. | | | | | | | 8,382,125 | |
| | | 3,399 | | Synopsys, Inc. (a) | | | | | | | 773,272 | |
| | | 2,861 | | Take-Two Interactive Software, Inc. (a) | | | | | | | 516,439 | |
| | | | | | | | | | | | 17,130,487 | |
| | | | | Telecommunications - 5.0% | | | | | | | | |
| | | 2,383 | | Arista Networks, Inc. (a)(c) | | | | | | | 645,078 | |
| | | 67,770 | | AT&T, Inc. | | | | | | | 1,948,388 | |
| | | 43,648 | | Cisco Systems, Inc. | | | | | | | 1,877,737 | |
| | | 21,157 | | Juniper Networks, Inc. | | | | | | | 460,588 | |
| | | 88,905 | | Verizon Communications, Inc. | | | | | | | 5,370,751 | |
| | | | | | | | | | | | 10,302,542 | |
See accompanying notes to financial statements.
57
Horizon Defensive Multi-Factor Fund
PORTFOLIO OF INVESTMENTS (Continued)
November 30, 2020 |
| | Shares | | | | | | | |
Value
| |
| | | | | Transportation - 1.6% | | | | | | | | |
| | | 10,725 | | CSX Corp. (c) | | | | | | $ | 965,786 | |
| | | 5,478 | | Expeditors International of Washington, Inc. | | | | | | | 489,569 | |
| | | 4,799 | | FedEx Corp. | | | | | | | 1,375,298 | |
| | | 3,730 | | JB Hunt Transport Services, Inc. | | | | | | | 504,594 | |
| | | | | | | | | | | | 3,335,247 | |
| | | | | Transportation and Warehousing - 0.3% | | | | | | | | |
| | | 3,063 | | Old Dominion Freight Line, Inc. | | | | | | | 622,892 | |
| | | | | | | | | | | | | |
| | | | | TOTAL COMMON STOCKS (Cost - $185,954,342) | | | | | | | 205,948,573 | |
| | | | | | | | | | | | | |
| | | | | SHORT TERM INVESTMENTS - 0.3% | | | | | | | | |
| | | | | Money Market Funds - 0.3% | | | | | | | | |
| | | 600,071 | | First American Treasury Obligations Fund, Class X, 0.05% (b) | | | | | | | 600,071 | |
| | | | | TOTAL SHORT TERM INVESTMENTS (Cost - $600,071) | | | | | | | 600,071 | |
| | | | | | | | | | | | | |
| | | | | INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING - 2.0% | | | | | | | | |
| | | 4,183,755 | | Mount Vernon Liquid Assets Portfolio, LLC, 0.15% (b) | | | | | | | 4,183,755 | |
| | | | | TOTAL INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING (Cost - $4,183,755) | | | | | | | 4,183,755 | |
| | | | | | | | | | | | | |
| | | | | TOTAL INVESTMENTS - 102.0% (Cost - $190,738,168) | | | | | | | 210,732,399 | |
| | | | | Liabilities in Excess of Other Assets - (2.0)% | | | | | | | (4,116,517 | ) |
| | | | | NET ASSETS - 100.0% | | | | | | $ | 206,615,882 | |
Percentages are stated as a percent of net assets.
(a) | Non-income producing security. |
(b) | Interest rate reflects seven-day yield on November 30, 2020. |
(c) | All or a portion of this security is out on loan as of November 30, 2020. |
See accompanying notes to financial statements.
58
Horizon ESG Defensive Core Fund
PORTFOLIO OF INVESTMENTS
November 30, 2020 |
| | Shares | | | | | | | |
Value
| |
| | | | | COMMON STOCKS - 96.5% | | | | | | | | |
| | | | | Advertising - 0.7% | | | | | | | | |
| | | 2,478 | | Interpublic Group of Cos., Inc. | | | | | | $ | 55,210 | |
| | | | | | | | | | | | | |
| | | | | Apparel - 1.0% | | | | | | | | |
| | | 592 | | Nike, Inc., Class B | | | | | | | 79,742 | |
| | | | | | | | | | | | | |
| | | | | Auto Parts & Equipment - 0.7% | | | | | | | | |
| | | 455 | | Aptiv PLC | | | | | | | 54,009 | |
| | | | | | | | | | | | | |
| | | | | Banks - 4.0% | | | | | | | | |
| | | 3,980 | | Bank of America Corp. | | | | | | | 112,077 | |
| | | 367 | | Goldman Sachs Group, Inc. | | | | | | | 84,623 | |
| | | 1,112 | | JPMorgan Chase & Co. | | | | | | | 131,082 | |
| | | | | | | | | | | | 327,782 | |
| | | | | Beverages - 3.0% | | | | | | | | |
| | | 1,217 | | Molson Coors Brewing Co., Class B | | | | | | | 55,982 | |
| | | 1,349 | | PepsiCo, Inc. | | | | | | | 194,566 | |
| | | | | | | | | | | | 250,548 | |
| | | | | Biotechnology - 3.7% | | | | | | | | |
| | | 930 | | Amgen, Inc. | | | | | | | 206,497 | |
| | | 421 | | Biogen, Inc. (a) | | | | | | | 101,112 | |
| | | | | | | | | | | | 307,609 | |
| | | | | Building Materials - 0.5% | | | | | | | | |
| | | 931 | | Johnson Controls International PLC | | | | | | | 42,863 | |
| | | | | | | | | | | | | |
| | | | | Chemicals - 2.1% | | | | | | | | |
| | | 710 | | DuPont de Nemours, Inc. | | | | | | | 45,042 | |
| | | 435 | | International Flavors & Fragrances, Inc. (d) | | | | | | | 48,763 | |
| | | 318 | | Linde PLC | | | | | | | 81,542 | |
| | | | | | | | | | | | 175,347 | |
| | | | | Commercial Services - 3.5% | | | | | | | | |
| | | 163 | | MarketAxess Holdings, Inc. | | | | | | | 87,886 | |
| | | 404 | | Moody’s Corp. | | | | | | | 114,066 | |
| | | 420 | | Verisk Analytics, Inc. | | | | | | | 83,290 | |
| | | | | | | | | | | | 285,242 | |
| | | | | Computers - 8.3% | | | | | | | | |
| | | 5,791 | | Apple, Inc. | | | | | | | 689,419 | |
| | | | | | | | | | | | | |
| | | | | Diversified Financial Services - 2.6% | | | | | | | | |
| | | 1,559 | | American Express Co. | | | | | | | 184,882 | |
| | | 99 | | MasterCard, Inc., Class A | | | | | | | 33,314 | |
| | | | | | | | | | | | 218,196 | |
See accompanying notes to financial statements.
59
Horizon ESG Defensive Core Fund
PORTFOLIO OF INVESTMENTS (Continued)
November 30, 2020 |
| | Shares | | | | | | | |
Value
| |
| | | | | Environmental Control - 1.8% | | | | | | | | |
| | | 1,556 | | Republic Services, Inc. | | | | | | $ | 150,496 | |
| | | | | | | | | | | | | |
| | | | | Food - 1.3% | | | | | | | | |
| | | 655 | | Campbell Soup Co. | | | | | | | 32,763 | |
| | | 624 | | Kellogg Co. | | | | | | | 39,880 | |
| | | 478 | | Tyson Foods, Inc., Class A | | | | | | | 31,166 | |
| | | | | | | | | | | | 103,809 | |
| | | | | Health Care & Social Assistance - 0.4% | | | | | | | | |
| | | 1,484 | | MEDNAX, Inc. (a) | | | | | | | 29,992 | |
| | | | | | | | | | | | | |
| | | | | Healthcare Products - 1.3% | | | | | | | | |
| | | 929 | | Medtronic PLC | | | | | | | 105,627 | |
| | | | | | | | | | | | | |
| | | | | Healthcare Services - 2.2% | | | | | | | | |
| | | 138 | | Anthem, Inc. | | | | | | | 42,990 | |
| | | 937 | | HCA Healthcare, Inc. | | | | | | | 140,653 | |
| | | | | | | | | | | | 183,643 | |
| | | | | Household Products/Wares - 1.0% | | | | | | | | |
| | | 524 | | Avery Dennison Corp. | | | | | | | 78,254 | |
| | | | | | | | | | | | | |
| | | | | Information - 0.5% | | | | | | | | |
| | | 885 | | Slack Technologies, Inc., Class A (a)(d) | | | | | | | 37,949 | |
| | | | | | | | | | | | | |
| | | | | Insurance - 2.0% | | | | | | | | |
| | | 1,601 | | Allstate Corp. | | | | | | | 163,862 | |
| | | | | | | | | | | | | |
| | | | | Internet - 7.1% | | | | | | | | |
| | | 260 | | Alphabet, Inc., Class A (a) | | | | | | | 456,144 | |
| | | 2,663 | | eBay, Inc. | | | | | | | 134,295 | |
| | | | | | | | | | | | 590,439 | |
| | | | | Lodging - 0.9% | | | | | | | | |
| | | 751 | | Hilton Worldwide Holdings, Inc. (d) | | | | | | | 77,826 | |
| | | | | | | | | | | | | |
| | | | | Manufacturing - 4.1% | | | | | | | | |
| | | 2,635 | | Keurig Dr Pepper, Inc. | | | | | | | 80,236 | |
| | | 542 | | Owens Corning | | | | | | | 39,495 | |
| | | 391 | | Tesla, Inc. (a) | | | | | | | 221,932 | |
| | | | | | | | | | | | 341,663 | |
| | | | | Media - 2.5% | | | | | | | | |
| | | 521 | | Comcast Corp. | | | | | | | 26,175 | |
| | | 1,213 | | Walt Disney Co. (a) | | | | | | | 179,536 | |
| | | | | | | | | | | | 205,711 | |
See accompanying notes to financial statements.
60
Horizon ESG Defensive Core Fund
PORTFOLIO OF INVESTMENTS (Continued)
November 30, 2020 |
| | Shares | | | | | | | |
Value
| |
| | | | | Miscellaneous Manufacturing - 1.2% | | | | | | | | |
| | | 9,602 | | General Electric Co. | | | | | | $ | 97,748 | |
| | | | | | | | | | | | | |
| | | | | Oil & Gas - 1.4% | | | | | | | | |
| | | 193 | | Chevron Corp. | | | | | | | 16,826 | |
| | | 2,483 | | Exxon Mobil Corp. | | | | | | | 94,677 | |
| | | | | | | | | | | | 111,503 | |
| | | | | Oil & Gas Services - 0.0% (b) | | | | | | | | |
| | | 161 | | National Oilwell Varco, Inc. | | | | | | | 1,974 | |
| | | | | | | | | | | | | |
| | | | | Pharmaceuticals - 4.4% | | | | | | | | |
| | | 2,250 | | Bristol-Myers Squibb Co. | | | | | | | 140,400 | |
| | | 915 | | Cigna Corp. | | | | | | | 191,363 | |
| | | 111 | | DexCom, Inc. (a) | | | | | | | 35,485 | |
| | | | | | | | | | | | 367,248 | |
| | | | | Real Estate Investment Trusts - 3.3% | | | | | | | | |
| | | 122 | | Alexandria Real Estate Equities, Inc. | | | | | | | 19,975 | |
| | | 1,064 | | Digital Realty Trust, Inc. | | | | | | | 143,374 | |
| | | 3,966 | | Iron Mountain, Inc. | | | | | | | 109,065 | |
| | | | | | | | | | | | 272,414 | |
| | | | | | | | | | | | | |
| | | | | Retail - 5.0% | | | | | | | | |
| | | 1,552 | | Lowe’s Cos., Inc. | | | | | | | 241,833 | |
| | | 1,321 | | Starbucks Corp. | | | | | | | 129,484 | |
| | | 249 | | Target Corp. | | | | | | | 44,703 | |
| | | | | | | | | | | | 416,020 | |
| | | | | Retail Trade - 0.8% | | | | | | | | |
| | | 300 | | Burlington Stores, Inc. (a) | | | | | | | 65,562 | |
| | | | | | | | | | | | | |
| | | | | Semiconductors - 4.8% | | | | | | | | |
| | | 416 | | Broadcom, Inc. | | | | | | | 167,058 | |
| | | 3,992 | | Intel Corp. | | | | | | | 193,013 | |
| | | 589 | | Micron Technology, Inc. (a) | | | | | | | 37,749 | |
| | | | | | | | | | | | 397,820 | |
| | | | | Software - 11.9% | | | | | | | | |
| | | 298 | | Cadence Design Systems, Inc. (a) | | | | | | | 34,657 | |
| | | 334 | | Citrix Systems, Inc. | | | | | | | 41,389 | |
| | | 2,914 | | Microsoft Corp. | | | | | | | 623,800 | |
| | | 2,977 | | Oracle Corp. | | | | | | | 171,833 | |
| | | 101 | | Paycom Software, Inc. (a) | | | | | | | 42,125 | |
| | | 157 | | salesforce.com, Inc. (a) | | | | | | | 38,591 | |
| | | 146 | | Synopsys, Inc. (a) | | | | | | | 33,215 | |
| | | | | | | | | | | | 985,610 | |
See accompanying notes to financial statements.
61
Horizon ESG Defensive Core Fund
PORTFOLIO OF INVESTMENTS (Continued)
November 30, 2020 |
| | Shares | | | | | | | |
Value
| |
| | | | | Telecommunications - 3.0% | | | | | | | | |
| | | 3,247 | | AT&T, Inc. | | | | | | $ | 93,351 | |
| | | 2,075 | | Cisco Systems, Inc. | | | | | | | 89,267 | |
| | | 1,157 | | Verizon Communications, Inc. | | | | | | | 69,894 | |
| | | | | | | | | | | | 252,512 | |
| | | | | Transportation - 2.8% | | | | | | | | |
| | | 362 | | Union Pacific Corp. | | | | | | | 73,877 | |
| | | 936 | | United Parcel Service, Inc., Class B | | | | | | | 160,121 | |
| | | | | | | | | | | | 233,998 | |
| | | | | Utilities - 0.3% | | | | | | | | |
| | | 234 | | IDACORP, Inc. | | | | | | | 21,196 | |
| | | | | | | | | | | | | |
| | | | | Water - 2.0% | | | | | | | | |
| | | 1,071 | | American Water Works Co., Inc. | | | | | | | 164,270 | |
| | | | | | | | | | | | | |
| | | | | Wholesale Trade - 0.4% | | | | | | | | |
| | | 88 | | Pool Corp. | | | | | | | 30,458 | |
| | | | | | | | | | | | | |
| | | | | TOTAL COMMON STOCKS (Cost - $7,049,112) | | | | | | | 7,973,571 | |
| | | | | | | | | | | | | |
| | | | | RIGHTS - 0.0% (b) | | | | | | | | |
| | | | | Manufacturing - 0.0% (b) | | | | | | | | |
| | | 1,684 | | Bristol-Myers Squibb Co., Expiration: March 2021 (a) | | | | | | | 1,987 | |
| | | | | | | | | | | | | |
| | | | | TOTAL RIGHTS (Cost - $4,439) | | | | | | | 1,987 | |
| | | | | | | | | | | | | |
| | | | | SHORT TERM INVESTMENTS - 2.0% | | | | | | | | |
| | | | | Money Market Funds - 2.0% | | | | | | | | |
| | | 163,118 | | First American Treasury Obligations Fund, Class X, 0.05% (c) | | | | | | | 163,118 | |
| | | | | TOTAL SHORT TERM INVESTMENTS (Cost - $163,118) | | | | | | | 163,118 | |
| | | | | | | | | | | | | |
| | | | | INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING - 2.0% | | | | | | | | |
| | | 163,101 | | Mount Vernon Liquid Assets Portfolio, LLC, 0.15% (c) | | | | | | | 163,101 | |
| | | | | TOTAL INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING (Cost - $163,101) | | | | | | | 163,101 | |
| | | | | | | | | | | | | |
| | | | | TOTAL INVESTMENTS - 100.5% (Cost - $7,379,770) | | | | | | | 8,301,777 | |
| | | | | Liabilities in Excess of Other Assets - (0.5)% | | | | | | | (34,226 | ) |
| | | | | NET ASSETS - 100.0% | | | | | | $ | 8,267,551 | |
Percentages are stated as a percent of net assets.
(a) | Non-income producing security. |
| | |
(c) | Interest rate reflects seven-day yield on November 30, 2020. |
| | |
(d) | All or a portion of this security is out on loan as of November 30, 2020. |
See accompanying notes to financial statements.
62
Horizon Funds
Statements of Assets and Liabilities
November 30, 2020
| | | Horizon Active
Asset Allocation
Fund | | | Horizon Active
Risk Assist® Fund | | | Horizon Active
Income Fund | | | Horizon Active
Dividend Fund | |
Assets: | | | | | | | | | | | | | | | | |
Investments in Unaffiliated Securities, at Cost | | $ | 654,128,145 | | | $ | 925,144,515 | | | $ | 513,423,843 | | | $ | 126,057,823 | |
Investments in Affiliated Securities, at Cost | | | — | | | | 27,130,558 | | | | 7,932,703 | | | | — | |
Investments in Unaffiliated Securities, at Value (a) | | $ | 699,662,074 | | | $ | 987,561,649 | | | $ | 524,830,221 | | | $ | 135,994,483 | |
Investments in Affiliated Securities, at Value (a) | | | — | | | | 32,664,121 | | | | 7,939,614 | | | | — | |
Cash | | | — | | | | — | | | | 40,000 | | | | 250,000 | |
Receivable for Investment Securities Sold | | | 5,708,825 | | | | 28 | | | | — | | | | 3,540,601 | |
Receivable for Fund Shares Sold | | | 536,379 | | | | 1,438,560 | | | | 562,075 | | | | 193,431 | |
Dividends and Interest Receivable | | | 2,239 | | | | 16,954 | | | | 183 | | | | 384,390 | |
Dividend Reclaims | | | — | | | | 85 | | | | — | | | | 85,050 | |
Prepaid Expenses and Other Assets | | | 78,822 | | | | 104,095 | | | | 72,169 | | | | 44,864 | |
Total Assets | | | 705,988,339 | | | | 1,021,785,492 | | | | 533,444,262 | | | | 140,492,819 | |
| | | | | | | | | | | | | | | | | |
Liabilities: | | | | | | | | | | | | | | | | |
Options Written, at Value (Premiums received $0, $513,987, $0 and $0) | | | — | | | | 867,500 | | | | — | | | | — | |
Collateral Received for Securities Loaned (Note 5) | | | 171,201,918 | | | | 206,423,075 | | | | 97,650,825 | | | | 22,446,600 | |
Payable for Investment Securities Purchased | | | — | | | | — | | | | — | | | | 3,448,231 | |
Payable for Fund Shares Redeemed | | | 433,582 | | | | 1,793,494 | | | | 309,343 | | | | 885,621 | |
Payable for Line of Credit | | | 390,000 | | | | — | | | | — | | | | — | |
Accrued Advisory Fees | | | 437,138 | | | | 657,253 | | | | 273,647 | | | | 61,547 | |
Accrued Custodian Fees | | | 6,040 | | | | 9,735 | | | | 3,260 | | | | 2,358 | |
Accrued Distribution Fees (12b-1) - Advisor Class | | | 11,564 | | | | 3,973 | | | | 111 | | | | 21,930 | |
Accrued Shareholder Servicing Fees - Investor Class | | | 132,174 | | | | 136,043 | | | | 56,334 | | | | — | |
Accrued Expenses and Other Liabilities | | | 115,230 | | | | 158,511 | | | | 112,743 | | | | 71,103 | |
Total Liabilities | | | 172,727,646 | | | | 210,049,584 | | | | 98,406,263 | | | | 26,937,390 | |
| | | | | | | | | | | | | | | | | |
Net Assets | | $ | 533,260,693 | | | $ | 811,735,908 | | | $ | 435,037,999 | | | $ | 113,555,429 | |
| | | | | | | | | | | | | | | | | |
Composition of Net Assets: | | | | | | | | | | | | | | | | |
Net assets consisted of: | | | | | | | | | | | | | | | | |
Paid in Capital | | $ | 461,460,099 | | | $ | 791,458,220 | | | $ | 432,803,219 | | | $ | 124,514,320 | |
Distributable Earnings/(Accumulated Deficit) | | | 71,800,594 | | | | 20,277,688 | | | | 2,234,780 | | | | (10,958,891 | ) |
Net Assets | | $ | 533,260,693 | | | $ | 811,735,908 | | | $ | 435,037,999 | | | $ | 113,555,429 | |
| | | | | | | | | | | | | | | | | |
Investor Class Shares: | | | | | | | | | | | | | | | | |
Net Asset Value Per Share: | | | | | | | | | | | | | | | | |
Net Assets | | $ | 521,477,274 | | | $ | 764,774,848 | | | $ | 430,958,420 | | | $ | 104,774,061 | |
Shares of Beneficial Interest Outstanding | | | 37,051,943 | | | | 35,174,734 | | | | 43,541,548 | | | | 1,904,633 | |
| | | | | | | | | | | | | | | | | |
Net Asset Value, (Net Assets / Shares Outstanding) Offering and Redemption Price Per Share | | $ | 14.07 | | | $ | 21.74 | | | $ | 9.90 | | | $ | 55.01 | |
| | | | | | | | | | | | | | | | | |
Advisor Class Shares: | | | | | | | | | | | | | | | | |
Net Assets | | $ | 10,051,744 | | | $ | 6,398,642 | | | $ | 3,895,664 | | | $ | 8,781,368 | |
Shares of Beneficial Interest Outstanding | | | 717,363 | | | | 294,463 | | | | 391,413 | | | | 159,684 | |
| | | | | | | | | | | | | | | | | |
Net Asset Value, (Net Assets / Shares Outstanding) Offering and Redemption Price Per Share | | $ | 14.01 | | | $ | 21.73 | | | $ | 9.95 | | | $ | 54.99 | |
| | | | | | | | | | | | | | | | | |
Institutional Class Shares: | | | | | | | | | | | | | | | | |
Net Assets | | $ | 1,731,675 | | | $ | 40,562,418 | | | $ | 183,915 | | | $ | — | |
Shares of Beneficial Interest Outstanding | | | 122,687 | | | | 1,861,154 | | | | 18,650 | | | | — | |
| | | | | | | | | | | | | | | | | |
Net Asset Value, (Net Assets / Shares Outstanding) Offering and Redemption Price Per Share | | $ | 14.11 | | | $ | 21.79 | | | $ | 9.86 | | | $ | — | |
| | | | | | | | | | | | | | | | | |
(a) Includes loaned securities with a value of
(see Portfolio of Investments for those affiliated securities that are loaned): | | $ | 165,021,019 | | | $ | 199,535,244 | | | $ | 95,513,938 | | | $ | 21,616,125 | |
See accompanying notes to financial statements.
63
Horizon Funds
STATEMENTS OF ASSETS AND LIABILITIES (Continued)
November 30, 2020 |
| | | Horizon Defined
Risk Fund | | | Horizon Defensive
Multi-Factor
Fund | | | Horizon ESG
Defensive
Core Fund | |
Assets: | | | | | | | | | | | | |
Investments in Unaffiliated Securities, at Cost | | $ | 214,986,110 | | | $ | 190,738,168 | | | $ | 7,379,770 | |
Investments in Unaffiliated Securities, at Value (a) | | $ | 254,024,077 | | | $ | 210,732,399 | | | $ | 8,301,777 | |
Receivable for Investment Securities Sold | | | 5 | | | | — | | | | 40,948 | |
Receivable for Fund Shares Sold | | | 380,491 | | | | 280,046 | | | | 100,000 | |
Receivable from Adviser | | | — | | | | — | | | | 19,613 | |
Dividends and Interest Receivable | | | 337,580 | | | | 230,471 | | | | 11,485 | |
Dividend Reclaims | | | 777 | | | | 588 | | | | — | |
Prepaid Expenses and Other Assets | | | 43,705 | | | | 34,543 | | | | 17,063 | |
Total Assets | | | 254,786,635 | | | | 211,278,047 | | | | 8,490,886 | |
| | | | | | | | | | | | | |
Liabilities: | | | | | | | | | | | | |
Options Written, at Value (Premiums received $4,087,058, $0 and $0) | | | 3,351,225 | | | | — | | | | — | |
Collateral Received for Securities Loaned (Note 5) | | | 14,768,355 | | | | 4,183,755 | | | | 163,101 | |
Payable for Fund Shares Redeemed | | | 632,589 | | | | 290,014 | | | | — | |
Accrued Advisory Fees | | | 138,342 | | | | 113,474 | | | | — | |
Accrued Audit Fees | | | 18,001 | | | | 17,999 | | | | 10,492 | |
Accrued Custodian Fees | | | 6,302 | | | | 4,958 | | | | 2,526 | |
Legal Fees | | | 1,223 | | | | 1,444 | | | | 20,620 | |
Accrued Trustees’ Fees and Expenses | | | 495 | | | | — | | | | 181 | |
Accrued Distribution Fees (12b-1) - Investor Class | | | — | | | | 5,573 | | | | 2,484 | |
Accrued Distribution Fees (12b-1) - Advisor Class | | | 14,329 | | | | 66 | | | | 986 | |
Accrued Expenses and Other Liabilities | | | 59,067 | | | | 44,882 | | | | 22,945 | |
Total Liabilities | | | 18,989,928 | | | | 4,662,165 | | | | 223,335 | |
| | | | | | | | | | | | | |
Net Assets | | $ | 235,796,707 | | | $ | 206,615,882 | | | $ | 8,267,551 | |
| | | | | | | | | | | | | |
Composition of Net Assets: | | | | | | | | | | | | |
Net assets consisted of: | | | | | | | | | | | | |
Paid in Capital | | $ | 215,076,779 | | | $ | 190,866,434 | | | $ | 7,171,766 | |
Distributable Earnings | | | 20,719,928 | | | | 15,749,448 | | | | 1,095,785 | |
Net Assets | | $ | 235,796,707 | | | $ | 206,615,882 | | | $ | 8,267,551 | |
| | | | | | | | | | | | | |
Investor Class Shares: | | | | | | | | | | | | |
Net Asset Value Per Share: | | | | | | | | | | | | |
Net Assets | | $ | 210,992,503 | | | $ | 205,885,836 | | | $ | 3,984,986 | |
Shares of Beneficial Interest Outstanding | | | 3,702,940 | | | | 7,571,976 | | | | 138,450 | |
| | | | | | | | | | | | | |
Net Asset Value, (Net Assets / Shares Outstanding) Offering and Redemption Price Per Share | | $ | 56.98 | | | $ | 27.19 | | | $ | 28.78 | |
| | | | | | | | | | | | | |
Advisor Class Shares: | | | | | | | | | | | | |
Net Assets | | $ | 24,804,204 | | | $ | 730,046 | | | $ | 4,282,565 | |
Shares of Beneficial Interest Outstanding | | | 435,688 | | | | 26,879 | | | | 149,256 | |
| | | | | | | | | | | | | |
Net Asset Value, (Net Assets / Shares Outstanding) Offering and Redemption Price Per Share | | $ | 56.93 | | | $ | 27.16 | | | | 28.69 | |
| | | | | | | | | | | | | |
(a) Includes loaned securities with a value of: | | $ | 14,282,093 | | | $ | 4,103,431 | | | $ | 160,096 | |
See accompanying notes to financial statements.
64
Horizon Funds
Statements of Operations
For the Year Ended November 30, 2020
| | | Horizon Active
Asset Allocation
Fund | | | Horizon Active
Risk Assist® Fund | | | Horizon Active
Income Fund | | | Horizon Active
Dividend Fund | |
Investment Income: | | | | | | | | | | | | | | | | |
Dividend Income from Unaffiliated Securities (Net of Foreign Withholdings Tax of $0, $0, $0 and $133,453) | | $ | 9,823,259 | | | $ | 14,531,694 | | | $ | 8,955,444 | | | $ | 4,692,796 | |
Dividend Income from affiliated securities | | | 109,685 | | | | 1,419,296 | | | | 335,154 | | | | — | |
Interest Income | | | 18,985 | | | | 53,161 | | | | 21,919 | | | | 40,631 | |
Total Investment Income | | | 9,951,929 | | | | 16,004,151 | | | | 9,312,517 | | | | 4,733,427 | |
| | | | | | | | | | | | | | | | | |
Expenses: | | | | | | | | | | | | | | | | |
Investment Advisory Fees | | | 5,053,344 | | | | 7,860,520 | | | | 2,582,501 | | | | 1,051,827 | |
Shareholder Servicing Fees - Investor Class | | | 436,003 | | | | 695,040 | | | | 321,282 | | | | — | |
Administrative & Accounting Service Fees | | | 267,237 | | | | 422,375 | | | | 173,615 | | | | 110,256 | |
Transfer Agent Fees | | | 148,343 | | | | 166,397 | | | | 93,884 | | | | 47,976 | |
Registration Fees | | | 86,685 | | | | 119,965 | | | | 73,025 | | | | 55,544 | |
Legal Fees | | | 85,889 | | | | 128,165 | | | | 44,409 | | | | 22,275 | |
Trustees’ Fees and Expenses | | | 75,048 | | | | 130,441 | | | | 47,773 | | | | 23,354 | |
Miscellaneous Expenses | | | 24,576 | | | | 33,907 | | | | 13,547 | | | | 26,778 | |
Chief Compliance Officer & Compliance Fees | | | 47,650 | | | | 72,347 | | | | 36,311 | | | | 14,670 | |
Custodian Fees | | | 38,060 | | | | 69,100 | | | | 21,273 | | | | 14,046 | |
Printing and Postage Expenses | | | 37,416 | | | | 50,006 | | | | 25,794 | | | | 26,569 | |
Excise Tax | | | 31,574 | | | | 64,089 | | | | 20,041 | | | | — | |
Audit Fees and Tax Services | | | 19,960 | | | | 20,896 | | | | 19,596 | | | | 20,827 | |
Distribution Fees (12b-1) - Advisor Class | | | 19,754 | | | | 8,657 | | | | 5,132 | | | | 49,700 | |
Insurance Fees | | | 12,326 | | | | 19,014 | | | | 6,338 | | | | 3,998 | |
Distribution Fees (12b-1) - Investor Class | | | — | | | | — | | | | — | | | | 120,364 | |
Interest Expense | | | — | | | | 1,761 | | | | 24,349 | | | | 325 | |
Total Expenses | | | 6,383,865 | | | | 9,862,680 | | | | 3,508,870 | | | | 1,588,509 | |
Securities Lending Expense Offset | | | (763,783 | ) | | | (488,769 | ) | | | (490,131 | ) | | | (81,689 | ) |
Fees Recouped by the Adviser | | | 450,596 | | | | 82,322 | | | | — | | | | 77,458 | |
Fees Waived by the Advisor | | | (6,078 | ) | | | — | | | | — | | | | (25,480 | ) |
| | | | | | | | | | | | | | | | | |
Net Expenses | | | 6,064,600 | | | | 9,456,233 | | | | 3,018,739 | | | | 1,558,798 | |
| | | | | | | | | | | | | | | | | |
Net Investment Income | | | 3,887,329 | | | | 6,547,918 | | | | 6,293,778 | | | | 3,174,629 | |
| | | | | | | | | | | | | | | | | |
Net Realized and Unrealized Gain (Loss) on Investments: | | | | | | | | | | | | | | | | |
Net Realized Gain (Loss) on: | | | | | | | | | | | | | | | | |
Unaffiliated Investments | | | 46,914,407 | | | | (14,088,337 | ) | | | 11,187,434 | | | | (20,721,594 | ) |
Net Long-Term Capital Gain Distributions | | | — | | | | — | | | | 22,168 | | | | — | |
Affiliated Investments | | | (10,882 | ) | | | (1,988,925 | ) | | | (116,406 | ) | | | — | |
Purchased Options | | | 1,770,837 | | | | (17,669,183 | ) | | | (43,487 | ) | | | (622,093 | ) |
Written Options | | | (12,144,235 | ) | | | 6,891,603 | | | | (2,397,419 | ) | | | 157,608 | |
Foreign Currency | | | — | | | | — | | | | — | | | | 265 | |
Net Change in Unrealized Appreciation (Depreciation) on: | | | | | | | | | | | | | | | | |
Unaffiliated Investments | | | 13,154,995 | | | | 38,208,133 | | | | 7,343,732 | | | | 4,642,791 | |
Affiliated Investments | | | 2,136,159 | | | | (648,899 | ) | | | 99,213 | | | | — | |
Purchased Options | | | 272,977 | | | | 845,515 | | | | — | | | | 101,962 | |
Written Options | | | (128,674 | ) | | | 132,177 | | | | (7,215 | ) | | | (35,880 | ) |
Foreign Currency | | | — | | | | — | | | | — | | | | 180 | |
Net Realized and Unrealized Gain (Loss) on Investments | | | 51,965,584 | | | | 11,682,084 | | | | 16,088,020 | | | | (16,476,761 | ) |
| | | | | | | | | | | | | | | | | |
Net Increase (Decrease) in Net Assets Resulting From Operations | | $ | 55,852,913 | | | $ | 18,230,002 | | | $ | 22,381,798 | | | $ | (13,302,132 | ) |
See accompanying notes to financial statements.
65
Horizon Funds
STATEMENTS OF OPERATIONS (Continued)
For the Period/Year Ended November 30, 2020 |
| | | Horizon Defined
Risk Fund | | | Horizon Defensive
Multi-Factor
Fund | | | Horizon ESG
Defensive
Core Fund (1) | |
Investment Income: | | | | | | | | | | | | |
Dividend Income from Unaffiliated Securities | | $ | 3,311,375 | | | $ | 1,995,004 | | | $ | 54,775 | |
Interest Income | | | 16,205 | | | | 9,202 | | | | 274 | |
Total Investment Income | | | 3,327,580 | | | | 2,004,206 | | | | 55,049 | |
| | | | | | | | | | | | | |
Expenses: | | | | | | | | | | | | |
Investment Advisory Fees | | | 1,531,462 | | | | 1,014,972 | | | | 23,801 | |
Administrative & Accounting Service Fees | | | 130,400 | | | | 84,943 | | | | 13,748 | |
Transfer Agent Fees | | | 52,043 | | | | 52,083 | | | | 26,672 | |
Registration Fees | | | 58,882 | | | | 51,634 | | | | 7,118 | |
Legal Fees | | | 28,239 | | | | 12,508 | | | | 26,582 | |
Trustees’ Fees and Expenses | | | 28,936 | | | | 16,155 | | | | 567 | |
Miscellaneous Expenses | | | 9,643 | | | | 5,543 | | | | 2,136 | |
Chief Compliance Officer & Compliance Fees | | | 18,524 | | | | 11,854 | | | | 2,097 | |
Custodian Fees | | | 51,658 | | | | 28,103 | | | | 15,254 | |
Printing and Postage Expenses | | | 28,762 | | | | 19,097 | | | | 7,612 | |
Audit Fees | | | 19,421 | | | | 18,426 | | | | 10,730 | |
Distribution Fees (12b-1) - Advisor Class | | | 60,680 | | | | 653 | | | | 4,996 | |
Insurance Fees | | | 3,703 | | | | 1,493 | | | | 8 | |
Distribution Fees (12b-1) - Investor Class | | | 167,161 | | | | 126,611 | | | | 1,175 | |
Offering Costs | | | — | | | | 5,600 | | | | 18,741 | |
Organizational Costs | | | — | | | | — | | | | 3,230 | |
Total Expenses | | | 2,189,514 | | | | 1,449,675 | | | | 164,467 | |
Securities Lending Expense Offset | | | (2,802 | ) | | | (4,338 | ) | | | — | |
Fees Waived by the Adviser | | | (159,403 | ) | | | (69,269 | ) | | | (128,466 | ) |
Fees Recouped by the Adviser | | | — | | | | 7,220 | | | | — | |
| | | | | | | | | | | | | |
Net Expenses | | | 2,027,309 | | | | 1,383,288 | | | | 36,001 | |
| | | | | | | | | | | | | |
Net Investment Income | | | 1,300,271 | | | | 620,918 | | | | 19,048 | |
| | | | | | | | | | | | | |
Net Realized and Unrealized Gain (Loss) on Investments: | | | | | | | | | | | | |
Net Realized Gain (Loss) on: | | | | | | | | | | | | |
Unaffiliated Investments | | | 7,592,939 | | | | (4,689,235 | ) | | | 154,474 | |
Purchased Options | | | (6,808,543 | ) | | | (78,841 | ) | | | — | |
Written Options | | | (12,784,142 | ) | | | 27,733 | | | | — | |
Net Change in Unrealized Appreciation (Depreciation) on: | | | | | | | | | | | | |
Unaffiliated Investments | | | 21,721,733 | | | | 18,824,128 | | | | 922,007 | |
Purchased Options | | | (2,866,393 | ) | | | — | | | | — | |
Written Options | | | 1,921,535 | | | | — | | | | — | |
Net Realized and Unrealized Gain on Investments | | | 8,777,129 | | | | 14,083,785 | | | | 1,076,481 | |
| | | | | | | | | | | | | |
Net Increase in Net Assets Resulting From Operations | | $ | 10,077,400 | | | $ | 14,704,703 | | | $ | 1,095,529 | |
(1) | The Horizon ESG Defensive Core Fund commenced operations on December 26, 2019. |
See accompanying notes to financial statements.
66
Horizon Active Asset Allocation Fund
Statements of Changes in Net Assets
| | | For the
Year Ended
November 30,
2020 | | | For the
Year Ended
November 30,
2019 | |
| | | | | | | | | |
Operations: | | | | | | | | |
Net Investment Income | | $ | 3,887,329 | | | $ | 3,492,518 | |
Net Realized Gain (Loss) on Investments | | | 36,530,127 | | | | (6,716,609 | ) |
Net Change in Unrealized Appreciation on Investments | | | 15,435,457 | | | | 38,866,298 | |
Net Increase in Net Assets Resulting From Operations | | | 55,852,913 | | | | 35,642,207 | |
| | | | | | | | | |
Distributions to Shareholders From: | | | | | | | | |
Distributable earnings | | | | | | | | |
Investor Class | | | (3,464,791 | ) | | | (28,080,978 | ) |
Advisor Class | | | (43,024 | ) | | | (449,545 | ) |
Institutional Class | | | (239,551 | ) | | | (1,921,746 | ) |
Total Distributions to Shareholders | | | (3,747,366 | ) | | | (30,452,269 | ) |
| | | | | | | | | |
Capital Share Transactions: | | | | | | | | |
Proceeds from Shares Issued | | | | | | | | |
Investor Class | | | 202,412,573 | | | | 183,834,240 | |
Advisor Class | | | 6,045,953 | | | | 2,532,615 | |
Institutional Class | | | 8,099,523 | | | | 5,217,874 | |
Distributions Reinvested | | | | | | | | |
Investor Class | | | 3,314,346 | | | | 26,696,715 | |
Advisor Class | | | 38,374 | | | | 388,591 | |
Institutional Class | | | 239,551 | | | | 1,921,746 | |
Cost of Shares Redeemed | | | | | | | | |
Investor Class | | | (240,665,906 | ) | | | (183,821,134 | ) |
Advisor Class | | | (5,566,352 | ) | | | (2,277,638 | ) |
Institutional Class | | | (38,111,521 | ) | | | (8,847,909 | ) |
Net Increase (Decrease) in Net Assets Resulting From Beneficial Interest Transactions | | | (64,193,459 | ) | | | 25,645,100 | |
| | | | | | | | | |
Increase (Decrease) in Net Assets | | | (12,087,912 | ) | | | 30,835,038 | |
| | | | | | | | | |
Net Assets: | | | | | | | | |
Beginning of Year | | | 545,348,605 | | | | 514,513,567 | |
End of Year | | $ | 533,260,693 | | | $ | 545,348,605 | |
| | | | | | | | | |
Share Activity: | | | | | | | | |
Investor Class: | | | | | | | | |
Shares Issued | | | 16,763,649 | | | | 15,494,502 | |
Shares Reinvested | | | 257,525 | | | | 2,602,019 | |
Shares Redeemed | | | (20,313,409 | ) | | | (15,372,021 | ) |
Net Increase (Decrease) | | | (3,292,235 | ) | | | 2,724,500 | |
| | | | | | | | | |
Advisor Class: | | | | | | | | |
Shares Issued | | | 517,248 | | | | 212,299 | |
Shares Reinvested | | | 2,993 | | | | 38,023 | |
Shares Redeemed | | | (430,875 | ) | | | (191,777 | ) |
Net Increase | | | 89,366 | | | | 58,545 | |
| | | | | | | | | |
Institutional Class: | | | | | | | | |
Shares Issued | | | 693,989 | | | | 434,457 | |
Shares Reinvested | | | 18,584 | | | | 187,122 | |
Shares Redeemed | | | (2,855,260 | ) | | | (734,146 | ) |
Net Decrease | | | (2,142,687 | ) | | | (112,567 | ) |
See accompanying notes to financial statements.
67
Horizon Active Risk Assist® Fund
STATEMENTS OF CHANGES IN NET ASSETS (Continued) |
| | | For the
Year Ended
November 30,
2020 | | | For the
Year Ended
November 30,
2019 | |
| | | | | | | | | |
Operations: | | | | | | | | |
Net Investment Income | | $ | 6,547,918 | | | $ | 5,035,556 | |
Net Realized Loss on Investments | | | (26,854,842 | ) | | | (16,237,956 | ) |
Net Change in Unrealized Appreciation on Investments | | | 38,536,926 | | | | 39,942,606 | |
Net Increase in Net Assets Resulting From Operations | | | 18,230,002 | | | | 28,740,206 | |
| | | | | | | | | |
Distributions to Shareholders From: | | | | | | | | |
Distributable earnings | | | | | | | | |
Investor Class | | | (7,582,927 | ) | | | (25,020,041 | ) |
Advisor Class | | | (1,359 | ) | | | (12,752 | ) |
Institutional Class | | | (674,574 | ) | | | (822,520 | ) |
Total Distributions to Shareholders | | | (8,258,860 | ) | | | (25,855,313 | ) |
| | | | | | | | | |
Capital Share Transactions: | | | | | | | | |
Proceeds from Shares Issued | | | | | | | | |
Investor Class | | | 480,907,603 | | | | 448,098,022 | |
Advisor Class | | | 7,267,563 | | | | 95,384 | |
Institutional Class | | | 7,956,644 | | | | 70,890,542 | |
Distributions Reinvested | | | | | | | | |
Investor Class | | | 7,203,726 | | | | 23,214,578 | |
Advisor Class | | | 1,359 | | | | 12,752 | |
Institutional Class | | | 673,553 | | | | 810,861 | |
Cost of Shares Redeemed | | | | | | | | |
Investor Class | | | (472,054,516 | ) | | | (412,903,377 | ) |
Advisor Class | | | (2,102,852 | ) | | | (305,953 | ) |
Institutional Class | | | (30,083,423 | ) | | | (35,981,934 | ) |
Net Increase (Decrease) in Net Assets Resulting From Beneficial Interest Transactions | | | (230,343 | ) | | | 93,930,875 | |
| | | | | | | | | |
Increase in Net Assets | | | 9,740,799 | | | | 96,815,768 | |
| | | | | | | | | |
Net Assets: | | | | | | | | |
Beginning of Year | | | 801,995,109 | | | | 705,179,341 | |
End of Year | | $ | 811,735,908 | | | $ | 801,995,109 | |
| | | | | | | | | |
Share Activity: | | | | | | | | |
Investor Class: | | | | | | | | |
Shares Issued | | | 24,770,984 | | | | 21,888,834 | |
Shares Reinvested | | | 332,429 | | | | 1,220,535 | |
Shares Redeemed | | | (24,485,116 | ) | | | (19,995,435 | ) |
Net Increase | | | 618,297 | | | | 3,113,934 | |
| | | | | | | | | |
Advisor Class: | | | | | | | | |
Shares Issued | | | 390,519 | | | | 4,663 | |
Shares Reinvested | | | 63 | | | | 670 | |
Shares Redeemed | | | (104,411 | ) | | | (14,982 | ) |
Net Increase (Decrease) | | | 286,171 | | | | (9,649 | ) |
| | | | | | | | | |
Institutional Class: | | | | | | | | |
Shares Issued | | | 409,210 | | | | 3,598,112 | |
Shares Reinvested | | | 31,039 | | | | 42,610 | |
Shares Redeemed | | | (1,517,636 | ) | | | (1,747,770 | ) |
Net Increase (Decrease) | | | (1,077,387 | ) | | | 1,892,952 | |
See accompanying notes to financial statements.
68
Horizon Active Income Fund
STATEMENTS OF CHANGES IN NET ASSETS (Continued) |
| | | For the
Year Ended
November 30,
2020 | | | For the
Year Ended
November 30,
2019 | |
| | | | | | | | | |
Operations: | | | | | | | | |
Net Investment Income | | $ | 6,293,778 | | | $ | 8,533,606 | |
Net Realized Gain (Loss) on Investments | | | 8,652,290 | | | | (611,103 | ) |
Net Change in Unrealized Appreciation on Investments | | | 7,435,730 | | | | 9,019,054 | |
Net Increase in Net Assets Resulting From Operations | | | 22,381,798 | | | | 16,941,557 | |
| | | | | | | | | |
Distributions to Shareholders From: | | | | | | | | |
Distributable Earnings | | | | | | | | |
Investor Class | | | (6,597,800 | ) | | | (8,476,291 | ) |
Advisor Class | | | (35,254 | ) | | | (54,060 | ) |
Institutional Class | | | (4,791 | ) | | | (255,598 | ) |
Total Distributions to Shareholders | | | (6,637,845 | ) | | | (8,785,949 | ) |
| | | | | | | | | |
Capital Share Transactions: | | | | | | | | |
Proceeds from Shares Issued | | | | | | | | |
Investor Class | | | 308,522,229 | | | | 122,032,458 | |
Advisor Class | | | 3,877,638 | | | | 777,825 | |
Institutional Class | | | 302,989 | | | | 1,265,958 | |
Distributions Reinvested | | | | | | | | |
Investor Class | | | 6,233,403 | | | | 7,926,823 | |
Advisor Class | | | 34,438 | | | | 54,060 | |
Institutional Class | | | 4,791 | | | | 255,598 | |
Cost of Shares Redeemed | | | | | | | | |
Investor Class | | | (171,700,477 | ) | | | (141,376,516 | ) |
Advisor Class | | | (2,523,258 | ) | | | (163,128 | ) |
Institutional Class | | | (8,225,534 | ) | | | (1,227,529 | ) |
Net Increase (Decrease) in Net Assets Resulting From Beneficial Interest Transactions | | | 136,526,219 | | | | (10,454,451 | ) |
| | | | | | | | | |
Increase (Decrease) in Net Assets | | | 152,270,172 | | | | (2,298,843 | ) |
| | | | | | | | | |
Net Assets: | | | | | | | | |
Beginning of Year | | | 282,767,827 | | | | 285,066,670 | |
End of Year | | $ | 435,037,999 | | | $ | 282,767,827 | |
| | | | | | | | | |
Share Activity: | | | | | | | | |
Investor Class: | | | | | | | | |
Shares Issued | | | 32,423,819 | | | | 13,160,061 | |
Shares Reinvested | | | 656,510 | | | | 875,624 | |
Shares Redeemed | | | (18,400,287 | ) | | | (15,394,987 | ) |
Net Increase (Decrease) | | | 14,680,042 | | | | (1,359,302 | ) |
| | | | | | | | | |
Advisor Class: | | | | | | | | |
Shares Issued | | | 404,105 | | | | 84,117 | |
Shares Reinvested | | | 3,616 | | | | 5,923 | |
Shares Redeemed | | | (262,134 | ) | | | (17,470 | ) |
Net Increase | | | 145,587 | | | | 72,570 | |
| | | | | | | | | |
Institutional Class: | | | | | | | | |
Shares Issued | | | 32,889 | | | | 137,045 | |
Shares Reinvested | | | 508 | | | | 28,265 | |
Shares Redeemed | | | (867,783 | ) | | | (132,790 | ) |
Net Increase (Decrease) | | | (834,386 | ) | | | 32,520 | |
See accompanying notes to financial statements.
69
Horizon Active Dividend Fund
STATEMENTS OF CHANGES IN NET ASSETS (Continued) |
| | | For the
Year Ended
November 30,
2020 | | | For the
Year Ended
November 30,
2019 | |
| | | | | | | | | |
Operations: | | | | | | | | |
Net Investment Income | | $ | 3,174,629 | | | $ | 3,018,869 | |
Net Realized Gain (Loss) on Investments | | | (21,185,814 | ) | | | 726,242 | |
Net Change in Unrealized Appreciation on Investments | | | 4,709,053 | | | | 6,535,490 | |
Net Increase (Decrease) in Net Assets Resulting From Operations | | | (13,302,132 | ) | | | 10,280,601 | |
| | | | | | | | | |
Distributions to Shareholders From: | | | | | | | | |
Distributable earnings | | | | | | | | |
Investor Class | | | (3,727,018 | ) | | | (3,410,482 | ) |
Advisor Class | | | (602,435 | ) | | | (1,015,651 | ) |
Total Distributions to Shareholders | | | (4,329,453 | ) | | | (4,426,133 | ) |
| | | | | | | | | |
Capital Share Transactions: | | | | | | | | |
Proceeds from Shares Issued | | | | | | | | |
Investor Class | | | 75,905,073 | | | | 134,693,504 | |
Advisor Class | | | 10,196,716 | | | | 22,386,170 | |
Distributions Reinvested | | | | | | | | |
Investor Class | | | 3,726,574 | | | | 3,410,116 | |
Advisor Class | | | 475,886 | | | | 798,268 | |
Cost of Shares Redeemed | | | | | | | | |
Investor Class | | | (116,808,266 | ) | | | (26,621,049 | ) |
Advisor Class | | | (26,213,335 | ) | | | (7,418,282 | ) |
Net Increase (Decrease) in Net Assets Resulting From Beneficial Interest Transactions | | | (52,717,352 | ) | | | 127,248,727 | |
| | | | | | | | | |
Increase (Decrease) in Net Assets | | | (70,348,937 | ) | | | 133,103,195 | |
| | | | | | | | | |
Net Assets: | | | | | | | | |
Beginning of Year | | | 183,904,366 | | | | 50,801,171 | |
End of Year | | $ | 113,555,429 | | | $ | 183,904,366 | |
| | | | | | | | | |
Share Activity: | | | | | | | | |
Investor Class: | | | | | | | | |
Shares Issued | | | 1,513,537 | | | | 2,408,615 | |
Shares Reinvested | | | 69,115 | | | | 65,074 | |
Shares Redeemed | | | (2,348,799 | ) | | | (467,780 | ) |
Net Increase (Decrease) | | | (766,147 | ) | | | 2,005,909 | |
| | | | | | | | | |
Advisor Class: | | | | | | | | |
Shares Issued | | | 194,692 | | | | 401,444 | |
Shares Reinvested | | | 8,821 | | | | 15,523 | |
Shares Redeemed | | | (512,641 | ) | | | (129,693 | ) |
Net Increase (Decrease) | | | (309,128 | ) | | | 287,274 | |
See accompanying notes to financial statements.
70
Horizon Defined Risk Fund
STATEMENTS OF CHANGES IN NET ASSETS (Continued) |
| | | For the
Year Ended
November 30,
2020 | | | For the
Year Ended
November 30,
2019 | |
| | | | | | | | | |
Operations: | | | | | | | | |
Net Investment Income | | $ | 1,300,271 | | | $ | 921,713 | |
Net Realized Loss on Investments | | | (11,999,746 | ) | | | (8,081,431 | ) |
Net Change in Unrealized Appreciation on Investments | | | 20,776,875 | | | | 18,780,689 | |
Net Increase in Net Assets Resulting From Operations | | | 10,077,400 | | | | 11,620,971 | |
| | | | | | | | | |
Distributions to Shareholders From: | | | | | | | | |
Distributable earnings | | | | | | | | |
Investor Class | | | (910,223 | ) | | | (93,805 | ) |
Advisor Class | | | (102,844 | ) | | | (46,441 | ) |
Total Distributions to Shareholders | | | (1,013,067 | ) | | | (140,246 | ) |
| | | | | | | | | |
Capital Share Transactions: | | | | | | | | |
Proceeds from Shares Issued | | | | | | | | |
Investor Class | | | 122,098,676 | | | | 171,559,084 | |
Advisor Class | | | 15,317,797 | | | | 17,349,164 | |
Distributions Reinvested | | | | | | | | |
Investor Class | | | 910,154 | | | | 93,805 | |
Advisor Class | | | 75,200 | | | | 28,456 | |
Cost of Shares Redeemed | | | | | | | | |
Investor Class | | | (83,224,179 | ) | | | (24,572,765 | ) |
Advisor Class | | | (14,574,578 | ) | | | (4,897,060 | ) |
Net Increase in Net Assets Resulting From Beneficial Interest Transactions | | | 40,603,070 | | | | 159,560,684 | |
| | | | | | | | | |
Increase in Net Assets | | | 49,667,403 | | | | 171,041,409 | |
| | | | | | | | | |
Net Assets: | | | | | | | | |
Beginning of Period/Year | | | 186,129,304 | | | | 15,087,895 | |
End of Period/Year | | $ | 235,796,707 | | | $ | 186,129,304 | |
| | | | | | | | | |
Share Activity: | | | | | | | | |
Investor Class: | | | | | | | | |
Shares Issued | | | 2,272,168 | | | | 3,376,396 | |
Shares Reinvested | | | 16,792 | | | | 1,995 | |
Shares Redeemed | | | (1,605,672 | ) | | | (474,710 | ) |
Net Increase | | | 683,288 | | | | 2,903,681 | |
| | | | | | | | | |
Advisor Class: | | | | | | | | |
Shares Issued | | | 284,181 | | | | 335,380 | |
Shares Reinvested | | | 1,387 | | | | 605 | |
Shares Redeemed | | | (271,764 | ) | | | (94,023 | ) |
Net Increase | | | 13,804 | | | | 241,962 | |
See accompanying notes to financial statements.
71
Horizon Defensive Multi-Factor Fund
STATEMENTS OF CHANGES IN NET ASSETS (Continued) |
| | | For the
Period Ended
November 30,
2020(1) | | | For the
Period Ended
November 30,
2019(2) | |
| | | | | | | | | |
Operations: | | | | | | | | |
Net Investment Income | | $ | 620,918 | | | $ | 89,728 | |
Net Realized Gain (Loss) on Investments | | | (4,740,343 | ) | | | 3,417 | |
Net Change in Unrealized Appreciation on Investments | | | 18,824,128 | | | | 1,170,103 | |
Net Increase in Net Assets Resulting From Operations | | | 14,704,703 | | | | 1,263,248 | |
| | | | | | | | | |
Distributions to Shareholders From: | | | | | | | | |
Distributable earnings | | | | | | | | |
Investor Class | | | (220,775 | ) | | | — | |
Advisor Class | | | — | | | | — | |
Total Distributions to Shareholders | | | (220,775 | ) | | | — | |
| | | | | | | | | |
Capital Share Transactions: | | | | | | | | |
Proceeds from Shares Issued | | | | | | | | |
Investor Class | | | 142,608,371 | | | | 86,203,772 | |
Advisor Class | | | 728,483 | | | | — | |
Distributions Reinvested | | | | | | | | |
Investor Class | | | 220,732 | | | | — | |
Advisor Class | | | — | | | | — | |
Cost of Shares Redeemed | | | | | | | | |
Investor Class | | | (37,126,755 | ) | | | (1,691,094 | ) |
Advisor Class | | | (74,803 | ) | | | — | |
Net Increase in Net Assets Resulting From Beneficial Interest Transactions | | | 106,356,028 | | | | 84,512,678 | |
| | | | | | | | | |
Increase in Net Assets | | | 120,839,956 | | | | 85,775,926 | |
| | | | | | | | | |
Net Assets: | | | | | | | | |
Beginning of Period | | | 85,775,926 | | | | — | |
End of Period | | $ | 206,615,882 | | | $ | 85,775,926 | |
| | | | | | | | | |
Share Activity: | | | | | | | | |
Investor Class: | | | | | | | | |
Shares Issued | | | 5,783,053 | | | | 3,337,028 | |
Shares Reinvested | | | 8,348 | | | | — | |
Shares Redeemed | | | (1,491,204 | ) | | | (65,249 | ) |
Net Increase | | | 4,300,197 | | | | 3,271,779 | |
| | | | | | | | | |
Advisor Class: | | | | | | | | |
Shares Issued | | | 29,766 | | | | — | |
Shares Reinvested | | | — | | | | — | |
Shares Redeemed | | | (2,887 | ) | | | — | |
Net Increase | | | 26,879 | | | | — | |
(1) | Horizon Defensive Multi-Factor Fund, Advisor Class, commenced operations on January 31, 2020. |
(2) | Horizon Defensive Multi-Factor Fund, Investor Class, commenced operations on June 26, 2019. |
See accompanying notes to financial statements.
72
Horizon ESG Defensive Core Fund
STATEMENT OF CHANGES IN NET ASSETS (Continued) |
| | | For the
Period Ended
November 30,
2020(1) | |
| | | | | |
Operations: | | | | |
Net Investment Income | | $ | 19,048 | |
Net Realized Gain on Investments | | | 154,474 | |
Net Change in Unrealized Appreciation on Investments | | | 922,007 | |
Net Increase in Net Assets Resulting From Operations | | | 1,095,529 | |
| | | | | |
Capital Share Transactions: | | | | |
Proceeds from Shares Issued | | | | |
Investor Class | | | 3,674,103 | |
Advisor Class | | | 3,715,169 | |
Cost of Shares Redeemed | | | | |
Investor Class | | | (52,237 | ) |
Advisor Class | | | (165,013 | ) |
Net Increase in Net Assets Resulting From Beneficial Interest Transactions | | | 7,172,022 | |
| | | | | |
Increase in Net Assets | | | 8,267,551 | |
| | | | | |
Net Assets: | | | | |
Beginning of Period | | | — | |
End of Period | | $ | 8,267,551 | |
| | | | | |
Share Activity: | | | | |
Investor Class: | | | | |
Shares Issued | | | 140,527 | |
Shares Redeemed | | | (2,077 | ) |
Net Increase | | | 138,450 | |
| | | | | |
Advisor Class: | | | | |
Shares Issued | | | 155,294 | |
Shares Redeemed | | | (6,038 | ) |
Net Increase | | | 149,256 | |
(1) | Horizon ESG Defensive Core Fund, Investor and Advisor Class, commenced operations on December 26, 2019 and January 8, 2020, respectively. |
See accompanying notes to financial statements.
73
Horizon Active Asset Allocation Fund
Financial Highlights
The table below sets forth financial data for one share of beneficial interest outstanding throughout each year.
| | | Investor Class | |
| | | For the
Year Ended
November 30,
2020 | | | For the
Year Ended
November 30,
2019 | | | For the
Year Ended
November 30,
2018 | | | For the
Year Ended
November 30,
2017 | | | For the
Year Ended
November 30,
2016 | |
| | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, Beginning of Year | | $ | 12.61 | | | $ | 12.68 | | | $ | 14.20 | | | $ | 11.56 | | | $ | 11.99 | |
Income From Investment Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income (c,f) | | | 0.09 | | | | 0.08 | | | | 0.07 | (h) | | | 0.08 | | | | 0.12 | |
Net gain (loss) from investments (both realized and unrealized) | | | 1.46 | | | | 0.65 | | | | (0.02 | )(h) | | | 2.66 | | | | (0.20 | ) |
Total from investment operations | | | 1.55 | | | | 0.73 | | | | 0.05 | | | | 2.74 | | | | (0.08 | ) |
| | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.09 | ) | | | (0.08 | ) | | | (0.07 | ) | | | (0.10 | ) | | | (0.20 | ) |
From net realized gains | | | — | | | | (0.72 | ) | | | (1.50 | ) | | | — | | | | (0.15 | ) |
Total Distributions | | | (0.09 | ) | | | (0.80 | ) | | | (1.57 | ) | | | (0.10 | ) | | | (0.35 | ) |
| | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Year | | $ | 14.07 | | | $ | 12.61 | | | $ | 12.68 | | | $ | 14.20 | | | $ | 11.56 | |
| | | | | | | | | | | | | | | | | | | | | |
Total Return | | | 12.32 | % | | | 7.23 | % | | | 0.46 | % | | | 23.76 | % | | | (0.59 | )% |
| | | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
Net assets, end of year (in 000’s) | | $ | 521,477 | | | $ | 508,839 | | | $ | 477,097 | | | $ | 393,833 | | | $ | 354,279 | |
Ratio to average net assets: | | | | | | | | | | | | | | | | | | | | |
Gross expenses (d,e) | | | 1.25 | % | | | 1.21 | % | | | 1.28 | %(g) | | | 1.48 | % | | | 1.54 | % |
Net expenses (a,d) | | | 1.20 | % | | | 1.24 | % | | | 1.27 | %(g) | | | 1.36 | %(b) | | | 1.43 | % |
Net investment income net of reimbursement (recapture) and securities lending expense offset (d,f) | | | 0.75 | % | | | 0.66 | % | | | 0.56 | % | | | 0.61 | % | | | 1.09 | % |
Portfolio turnover rate | | | 208 | % | | | 279 | % | | | 256 | % | | | 168 | % | | | 406 | % |
Portfolio turnover is calculated for the Fund as a whole.
(a) | The ratio of expenses to average net assets includes interest expense which was 0.00%, 0.01%, 0.00%, 0.00%, and 0.01%, respectively. |
(b) | Effective July 1, 2017, Shareholder Servicing Fees for Investor Class shares decreased from 0.25% to 0.10% of average daily net assets. |
(c) | Per share amounts are calculated using the average shares method. |
(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 securities lending expense offset, fee waivers and/or expense reimbursements by the Adviser. |
(f) | 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. |
(g) | 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). |
(h) | 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. |
See accompanying notes to financial statements.
74
Horizon Active Asset Allocation Fund
FINANCIAL HIGHLIGHTS |
The table below sets forth financial data for one share of beneficial interest outstanding throughout each year.
| | | Advisor Class | |
| | | For the
Year Ended
November 30,
2020 | | | For the
Year Ended
November 30,
2019 | | | For the
Year Ended
November 30,
2018 | | | For the
Year Ended
November 30,
2017 | | | For the
Year Ended
November 30,
2016 | |
| | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, Beginning of Year | | $ | 12.55 | | | $ | 12.62 | | | $ | 14.16 | | | $ | 11.56 | | | $ | 11.99 | |
Income From Investment Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income (b,f) | | | 0.08 | | | | 0.07 | | | | 0.05 | (e) | | | 0.05 | | | | 0.12 | |
Net gain (loss) from investments (both realized and unrealized) | | | 1.45 | | | | 0.65 | | | | (0.02 | )(e) | | | 2.68 | | | | (0.20 | ) |
Total from investment operations | | | 1.53 | | | | 0.72 | | | | 0.03 | | | | 2.73 | | | | (0.08 | ) |
| | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.07 | ) | | | (0.07 | ) | | | (0.07 | ) | | | (0.13 | ) | | | (0.20 | ) |
From net realized gains | | | — | | | | (0.72 | ) | | | (1.50 | ) | | | — | | | | (0.15 | ) |
Total Distributions | | | (0.07 | ) | | | (0.79 | ) | | | (1.57 | ) | | | (0.13 | ) | | | (0.35 | ) |
| | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Year | | $ | 14.01 | | | $ | 12.55 | | | $ | 12.62 | | | $ | 14.16 | | | $ | 11.56 | |
| | | | | | | | | | | | | | | | | | | | | |
Total Return | | | 12.24 | % | | | 7.12 | % | | | 0.29 | % | | | 23.64 | % | | | (0.59 | )% |
| | | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
Net assets, end of year (in 000’s) | | $ | 10,052 | | | $ | 7,879 | | | $ | 7,187 | | | $ | 5,084 | | | $ | 2,249 | |
Ratio to average net assets: | | | | | | | | | | | | | | | | | | | | |
Gross expenses (c,d) | | | 1.41 | % | | | 1.39 | % | | | 1.43 | %(g) | | | 1.55 | % | | | 1.55 | % |
Net expenses (a,c) | | | 1.25 | % | | | 1.39 | % | | | 1.42 | %(g) | | | 1.42 | % | | | 1.44 | % |
Net investment income net of reimbursement (recapture) and securities lending expense offset (c,f) | | | 0.63 | % | | | 0.57 | % | | | 0.38 | % | | | 0.35 | % | | | 1.06 | % |
Portfolio turnover rate | | | 208 | % | | | 279 | % | | | 256 | % | | | 168 | % | | | 406 | % |
Portfolio turnover is calculated for the Fund as a whole.
(a) | The ratio of expenses to average net assets includes interest expense which was 0.00%, 0.00%, 0.00%, 0.00%, and 0.02% respectively. |
(b) | Per share amounts are calculated using the average shares method. |
(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 securities lending expense offset, fee waivers and/or expense reimbursements by the Adviser. |
(e) | 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. |
(f) | 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. |
(g) | Effective March 30, 2018, the Operating Expense Limit for the Advisor Class decreased from 1.42% to 1.17% and now excludes 0.25% of Distribution Fees (12b-1) (See Note 3). |
See accompanying notes to financial statements.
75
Horizon Active Asset Allocation Fund
FINANCIAL HIGHLIGHTS |
The table below sets forth financial data for one share of beneficial interest outstanding throughout each period/year.
| | | Institutional Class | |
| | | For the
Year Ended
November 30,
2020 | | | For the
Year Ended
November 30,
2019 | | | For the
Year Ended
November 30,
2018 | | | For the
Year Ended
November 30,
2017 | | | For the
Period Ended
November 30,
2016 (a) | |
| | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, Beginning of Period/Year | | $ | 12.64 | | | $ | 12.71 | | | $ | 14.22 | | | $ | 11.59 | | | $ | 11.54 | |
Income From Investment Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income (c,h) | | | 0.12 | | | | 0.10 | | | | 0.09 | (g) | | | 0.05 | | | | 0.03 | |
Net gain (loss) from investments (both realized and unrealized) | | | 1.44 | | | | 0.65 | | | | (0.03 | )(g) | | | 2.71 | | | | 0.02 | (f) |
Total from investment operations | | | 1.56 | | | | 0.75 | | | | 0.06 | | | | 2.76 | | | | 0.05 | |
| | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.09 | ) | | | (0.10 | ) | | | (0.07 | ) | | | (0.13 | ) | | | — | |
From net realized gains | | | — | | | | (0.72 | ) | | | (1.50 | ) | | | — | | | | — | |
Total Distributions | | | (0.09 | ) | | | (0.82 | ) | | | (1.57 | ) | | | (0.13 | ) | | | — | |
| | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period/Year | | $ | 14.11 | | | $ | 12.64 | | | $ | 12.71 | | | $ | 14.22 | | | $ | 11.59 | |
| | | | | | | | | | | | | | | | | | | | | |
Total Return | | | 12.44 | % | | | 7.33 | % | | | 0.55 | % | | | 23.92 | % | | | 0.43 | %(j) |
| | | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period/year (in 000’s) | | $ | 1,732 | | | $ | 28,631 | | | $ | 30,230 | | | $ | 29,010 | | | $ | 8,809 | |
Ratio to average net assets: | | | | | | | | | | | | | | | | | | | | |
Gross expenses (d,e) | | | 1.16 | % | | | 1.14 | % | | | 1.18 | % | | | 1.30 | % | | | 1.30 | %(i) |
Net expenses (b,d) | | | 1.01 | % | | | 1.16 | % | | | 1.17 | % | | | 1.17 | % | | | 1.19 | %(i) |
Net investment income net of reimbursement (recapture) and securities lending expense offset (d,h) | | | 1.01 | % | | | 0.80 | % | | | 0.68 | % | | | 0.38 | % | | | 1.28 | %(i) |
Portfolio turnover rate | | | 208 | % | | | 279 | % | | | 256 | % | | | 168 | % | | | 406 | % |
Portfolio turnover is calculated for the Fund as a whole.
(a) | Since September 9, 2016 (Commencement of Operations). |
(b) | The ratio of expenses to average net assets includes interest expense which was 0.00%, 0.00%, 0.00%, 0.00% and 0.02%, respectively. |
(c) | Per share amounts are calculated using the average shares method. |
(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 securities lending expense offset, fee waivers and/or expense reimbursements by the Adviser. |
(f) | 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. |
(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. |
See accompanying notes to financial statements.
76
Horizon Active Risk Assist® Fund
FINANCIAL HIGHLIGHTS |
The table below sets forth financial data for one share of beneficial interest outstanding throughout each year.
| | | Investor Class | |
| | | For the
Year Ended
November 30,
2020 | | | For the
Year Ended
November 30,
2019 | | | For the
Year Ended
November 30,
2018 | | | For the
Year Ended
November 30,
2017 | | | For the
Year Ended
November 30,
2016 (a) | |
| | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, Beginning of Year | | $ | 21.38 | | | $ | 21.69 | | | $ | 22.80 | | | $ | 19.31 | | | $ | 19.62 | |
Income From Investment Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income (d,g) | | | 0.16 | (i) | | | 0.12 | | | | 0.13 | | | | 0.12 | | | | 0.18 | |
Net gain (loss) from investments (both realized and unrealized) | | | 0.42 | (i) | | | 0.33 | | | | (0.21 | ) | | | 3.54 | | | | (0.29 | ) |
Total from investment operations | | | 0.58 | | | | 0.45 | | | | (0.08 | ) | | | 3.66 | | | | (0.11 | ) |
| | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.22 | ) | | | (0.12 | ) | | | (0.12 | ) | | | (0.17 | ) | | | (0.20 | ) |
From net realized gains | | | — | | | | (0.64 | ) | | | (0.91 | ) | | | — | | | | — | |
Total Distributions | | | (0.22 | ) | | | (0.76 | ) | | | (1.03 | ) | | | (0.17 | ) | | | (0.20 | ) |
| | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Year | | $ | 21.74 | | | $ | 21.38 | | | $ | 21.69 | | | $ | 22.80 | | | $ | 19.31 | |
| | | | | | | | | | | | | | | | | | | | | |
Total Return | | | 2.71 | % | | | 2.52 | % | | | (0.31 | )% | | | 19.05 | % | | | (0.54 | )% |
| | | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
Net assets, end of year (in 000’s) | | $ | 764,775 | | | $ | 738,854 | | | $ | 682,077 | | | $ | 418,227 | | | $ | 319,385 | |
Ratio to average net assets: | | | | | | | | | | | | | | | | | | | | |
Gross expenses (e,f) | | | 1.25 | % | | | 1.20 | % | | | 1.28 | %(h) | | | 1.49 | % | | | 1.55 | % |
Net expenses (b,e) | | | 1.20 | % | | | 1.24 | % | | | 1.27 | %(h) | | | 1.35 | %(c) | | | 1.42 | % |
Net investment income net of reimbursement (recapture) and securities lending expense offset (e,g) | | | 0.81 | % | | | 0.60 | % | | | 0.58 | % | | | 0.58 | % | | | 0.92 | % |
Portfolio turnover rate | | | 462 | % | | | 368 | % | | | 275 | % | | | 143 | % | | | 563 | % |
Portfolio turnover is calculated for the Fund as a whole.
(a) | 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%). |
(b) | The ratio of expenses to average net assets includes interest expense which was 0.00%, 0.00%, 0.00%, 0.00%, and 0.01%, respectively. |
(c) | Effective July 1, 2017, Shareholder Servicing Fees for Investor Class shares decreased from 0.25% to 0.10% of average daily net assets. |
(d) | Per share amounts are calculated using the average shares method. |
(e) | Does not reflect the expenses of the underlying funds in which the Fund invests. |
(f) | Represents the ratio of expenses to average net assets absent securities lending expense offset, fee waivers and/or expense reimbursements by the Adviser. |
(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 Investor Class decreased from 1.27% to 1.17%. This excludes 0.10% of Shareholder Servicing Fees (See Note 3). |
(i) | 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 Statement of Operations. |
See accompanying notes to financial statements.
77
Horizon Active Risk Assist® Fund
FINANCIAL HIGHLIGHTS |
The table below sets forth financial data for one share of beneficial interest outstanding throughout each year.
| | | Advisor Class | |
| | | For the
Year Ended
November 30,
2020 | | | For the
Year Ended
November 30,
2019 | | | For the
Year Ended
November 30,
2018 | | | For the
Year Ended
November 30,
2017 | | | For the
Year Ended
November 30,
2016 (a) | |
| | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, Beginning of Year | | $ | 21.36 | | | $ | 21.66 | | | $ | 22.78 | | | $ | 19.30 | | | $ | 19.62 | |
Income From Investment Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss) (c,f) | | | (0.04 | )(h) | | | 0.10 | | | | 0.11 | | | | 0.11 | | | | 0.17 | |
Net gain (loss) from investments (both realized and unrealized) | | | 0.57 | (h) | | | 0.32 | | | | (0.23 | ) | | | 3.54 | | | | (0.29 | ) |
Total from investment operations | | | 0.53 | | | | 0.42 | | | | (0.12 | ) | | | 3.65 | | | | (0.12 | ) |
| | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.16 | ) | | | (0.08 | ) | | | (0.09 | ) | | | (0.17 | ) | | | (0.20 | ) |
From net realized gains | | | — | | | | (0.64 | ) | | | (0.91 | ) | | | — | | | | — | |
Total Distributions | | | (0.16 | ) | | | (0.72 | ) | | | (1.00 | ) | | | (0.17 | ) | | | (0.20 | ) |
| | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Year | | $ | 21.73 | | | $ | 21.36 | | | $ | 21.66 | | | $ | 22.78 | | | $ | 19.30 | |
| | | | | | | | | | | | | | | | | | | | | |
Total Return | | | 2.50 | % | | | 2.37 | % | | | (0.46 | )% | | | 19.03 | % | | | (0.59 | )% |
| | | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
Net assets, end of year (in 000’s) | | $ | 6,399 | | | $ | 177 | | | $ | 388 | | | $ | 347 | | | $ | 313 | |
Ratio to average net assets: | | | | | | | | | | | | | | | | | | | | |
Gross expenses (d,e) | | | 1.43 | % | | | 1.38 | % | | | 1.43 | %(g) | | | 1.56 | % | | | 1.51 | % |
Net expenses (b,d) | | | 1.37 | % | | | 1.42 | % | | | 1.42 | %(g) | | | 1.42 | % | | | 1.42 | % |
Net investment income (loss) net of reimbursement (recapture) and securities lending expense offset (d,f) | | | (0.18 | )% | | | 0.49 | % | | | 0.48 | % | | | 0.53 | % | | | 0.92 | % |
Portfolio turnover rate | | | 462 | % | | | 368 | % | | | 275 | % | | | 143 | % | | | 563 | % |
Portfolio turnover is calculated for the Fund as a whole.
(a) | 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%). |
(b) | The ratio of expenses to average net assets includes interest expense which was 0.00%, 0.00%, 0.00%, 0.00%, 0.00% and 0.01%, respectively. |
(c) | Per share amounts are calculated using the average shares method. |
(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 securities lending expense offset, fee waivers and/or expense reimbursements by the Adviser. |
(f) | 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. |
(g) | 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). |
(h) | 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 Statement of Operations. |
See accompanying notes to financial statements.
78
Horizon Active Risk Assist® Fund
FINANCIAL HIGHLIGHTS |
The table below sets forth financial data for one share of beneficial interest outstanding throughout each period/year.
| | | Institutional Class | |
| | | For the
Year Ended
November 30,
2020 | | | For the
Year Ended
November 30,
2019 | | | For the
Year Ended
November 30,
2018 | | | For the
Year Ended
November 30,
2017 | | | For the
Period Ended
November 30,
2016 (a) | |
| | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, Beginning of Period/Year | | $ | 21.43 | | | $ | 21.72 | | | $ | 22.84 | | | $ | 19.33 | | | $ | 19.21 | |
Income From Investment Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss) (c,g) | | | 0.23 | (j) | | | 0.10 | | | | 0.14 | | | | (0.14 | ) | | | 0.05 | |
Net gain from investments (both realized and unrealized) | | | 0.36 | (j) | | | 0.39 | | | | (0.20 | ) | | | 3.86 | | | | 0.07 | (f) |
Total from investment operations | | | 0.59 | | | | 0.49 | | | | (0.06 | ) | | | 3.72 | | | | 0.12 | |
| | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.23 | ) | | | (0.14 | ) | | | (0.15 | ) | | | (0.21 | ) | | | — | |
From net realized gains | | | — | | | | (0.64 | ) | | | (0.91 | ) | | | — | | | | — | |
Total Distributions | | | (0.23 | ) | | | (0.78 | ) | | | (1.06 | ) | | | (0.21 | ) | | | — | |
| | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period/Year | | $ | 21.79 | | | $ | 21.43 | | | $ | 21.72 | | | $ | 22.84 | | | $ | 19.33 | |
| | | | | | | | | | | | | | | | | | | | | |
Total Return | | | 2.78 | % | | | 2.70 | % | | | (0.21 | )% | | | 19.31 | % | | | 0.62 | %(i) |
| | | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period/year (in 000’s) | | $ | 40,562 | | | $ | 62,964 | | | $ | 22,714 | | | $ | 6,633 | | | $ | 7 | |
Ratio to average net assets: | | | | | | | | | | | | | | | | | | | | |
Gross expenses (d,e) | | | 1.15 | % | | | 1.13 | % | | | 1.19 | % | | | 1.35 | % | | | 1.31 | %(h) |
Net expenses (b,d) | | | 1.09 | % | | | 1.08 | % | | | 1.14 | % | | | 1.17 | % | | | 1.17 | %(h) |
Net investment income (loss) net of reimbursement (recapture) and securities lending expense offset (d,g) | | | 1.14 | % | | | 0.47 | % | | | 0.61 | % | | | (0.62 | )% | | | 1.09 | %(h) |
Portfolio turnover rate | | | 462 | % | | | 368 | % | | | 275 | % | | | 143 | % | | | 563 | % |
Portfolio turnover is calculated for the Fund as a whole.
(a) | Since September 9, 2016 (Commencement of Operations). |
(b) | The ratio of expenses to average net assets includes interest expense which was 0.00%, 0.00%, 0.00%, 0.00% and 0.00%, respectively. |
(c) | Per share amounts are calculated using the average shares method. |
(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 securities lending expense offset, fee waivers and/or expense reimbursements by the Adviser. |
(f) | 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. |
(g) | 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. |
(j) | 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 Statement of Operations. |
See accompanying notes to financial statements.
79
Horizon Active Income Fund
FINANCIAL HIGHLIGHTS |
The table below sets forth financial data for one share of beneficial interest outstanding throughout each year.
| | | Investor Class | |
| | | For the
Year Ended
November 30,
2020 | | | For the
Year Ended
November 30,
2019 | | | For the
Year Ended
November 30,
2018 | | | For the
Year Ended
November 30,
2017 | | | For the
Year Ended
November 30,
2016 | |
| | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, Beginning of Year | | $ | 9.44 | | | $ | 9.13 | | | $ | 9.73 | | | $ | 9.56 | | | $ | 9.86 | |
Income From Investment Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income (c,f) | | | 0.18 | | | | 0.29 | | | | 0.30 | | | | 0.25 | | | | 0.16 | |
Net gain (loss) from investments (both realized and unrealized) | | | 0.50 | | | | 0.31 | | | | (0.64 | ) | | | 0.17 | | | | (0.36 | ) |
Total from investment operations | | | 0.68 | | | | 0.60 | | | | (0.34 | ) | | | 0.42 | | | | (0.20 | ) |
| | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.22 | ) | | | (0.29 | ) | | | (0.26 | ) | | | (0.25 | ) | | | (0.10 | ) |
Total Distributions | | | (0.22 | ) | | | (0.29 | ) | | | (0.26 | ) | | | (0.25 | ) | | | (0.10 | ) |
| | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Year | | $ | 9.90 | | | $ | 9.44 | | | $ | 9.13 | | | $ | 9.73 | | | $ | 9.56 | |
| | | | | | | | | | | | | | | | | | | | | |
Total Return | | | 7.29 | % | | | 6.78 | % | | | (3.58 | )% | | | 4.39 | % | | | (2.03 | )% |
| | | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
Net assets, end of year (in 000’s) | | $ | 430,958 | | | $ | 272,400 | | | $ | 275,992 | | | $ | 200,521 | | | $ | 187,698 | |
Ratio to average net assets: | | | | | | | | | | | | | | | | | | | | |
Gross expenses (d,e) | | | 1.05 | % | | | 1.03 | % | | | 1.09 | %(g) | | | 1.21 | % | | | 1.28 | % |
Net expenses (a,d) | | | 0.90 | % | | | 0.88 | % | | | 0.98 | %(g) | | | 1.18 | %(b) | | | 1.24 | % |
Net investment income net of reimbursement (recapture) and securities lending expense offset (d,f) | | | 1.87 | % | | | 3.13 | % | | | 3.16 | % | | | 2.54 | % | | | 1.58 | % |
Portfolio turnover rate | | | 225 | % | | | 167 | % | | | 155 | % | | | 175 | % | | | 205 | % |
Portfolio turnover is calculated for the Fund as a whole.
(a) | The ratio of expenses to average net assets includes interest and dividend expense which was 0.01%, 0.00%, 0.00%, 0.00%, and 0.00%, respectively. |
(b) | Effective July 1, 2017, Shareholder Servicing Fees for Investor Class shares decreased from 0.25% to 0.10% of average daily net assets. |
(c) | Per share amounts are calculated using the average shares method. |
(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 securities lending expense offset, fee waivers and/or expense reimbursements by the Adviser. |
(f) | 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. |
(g) | 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.
80
Horizon Active Income Fund
FINANCIAL HIGHLIGHTS |
The table below sets forth financial data for one share of beneficial interest outstanding throughout each period/year.
| | | Advisor Class | |
| | | For the
Year Ended
November 30,
2020 | | | For the
Year Ended
November 30,
2019 | | | For the
Year Ended
November 30,
2018 | | | For the
Year Ended
November 30,
2017 | | | For the
Period Ended
November 30,
2016 (a) | |
| | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, Beginning of Period/Year | | $ | 9.47 | | | $ | 9.16 | | | $ | 9.76 | | | $ | 9.60 | | | $ | 9.84 | |
Income From Investment Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income (c,f) | | | 0.18 | | | | 0.26 | | | | 0.29 | | | | 0.13 | | | | 0.13 | |
Net gain (loss) from investments (both realized and unrealized) | | | 0.47 | | | | 0.32 | | | | (0.63 | ) | | | 0.28 | | | | (0.30 | ) |
Total from investment operations | | | 0.65 | | | | 0.58 | | | | (0.34 | ) | | | 0.41 | | | | (0.17 | ) |
| | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.17 | ) | | | (0.27 | ) | | | (0.26 | ) | | | (0.25 | ) | | | (0.07 | ) |
Total Distributions | | | (0.17 | ) | | | (0.27 | ) | | | (0.26 | ) | | | (0.25 | ) | | | (0.07 | ) |
| | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period/Year | | $ | 9.95 | | | $ | 9.47 | | | $ | 9.16 | | | $ | 9.76 | | | $ | 9.60 | |
| | | | | | | | | | | | | | | | | | | | | |
Total Return | | | 6.96 | % | | | 6.53 | % | | | (3.58 | )% | | | 4.31 | % | | | (1.74 | )%(i) |
| | | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period/year (in 000’s) | | $ | 3,896 | | | $ | 2,328 | | | $ | 1,587 | | | $ | 661 | | | $ | 6 | |
Ratio to average net assets: | | | | | | | | | | | | | | | | | | | | |
Gross expenses (d,e) | | | 1.17 | % | | | 1.20 | % | | | 1.24 | %(g) | | | 1.32 | % | | | 1.35 | %(h) |
Net expenses (b,d) | | | 1.06 | % | | | 1.05 | % | | | 1.04 | %(g) | | | 1.24 | % | | | 1.25 | %(h) |
Net investment income net of reimbursement (recapture) and securities lending expense offset (d,f) | | | 1.90 | % | | | 2.79 | % | | | 3.07 | % | | | 1.37 | % | | | 1.70 | %(h) |
Portfolio turnover rate | | | 225 | % | | | 167 | % | | | 155 | % | | | 175 | % | | | 205 | % |
Portfolio turnover is calculated for the Fund as a whole.
(a) | Since February 8, 2016 (Commencement of Operations). |
(b) | The ratio of expenses to average net assets includes interest expense which was 0.00%, 0.00%, 0.00%, 0.00% and 0.01%, respectively. |
(c) | Per share amounts are calculated using the average shares method. |
(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 securities lending expense offset, fee waivers and/or expense reimbursements by the Adviser. |
(f) | 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. |
(g) | Effective March 30, 2018, the Operating Expense Limit for the Advisor Class decreased from 1.24% to 1.09%. This excludes 0.25% of Distribution Fees (12b-1) (See Note 3). |
See accompanying notes to financial statements.
81
Horizon Active Income Fund
FINANCIAL HIGHLIGHTS |
The table below sets forth financial data for one share of beneficial interest outstanding throughout each period/year.
| | | Institutional Class | |
| | | For the
Year Ended
November 30,
2020 | | | For the
Year Ended
November 30,
2019 | | | For the
Year Ended
November 30,
2018 | | | For the
Year Ended
November 30,
2017 | | | For the
Period Ended
November 30,
2016 (a) | |
| | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, Beginning of Period/Year | | $ | 9.43 | | | $ | 9.13 | | | $ | 9.72 | | | $ | 9.57 | | | $ | 10.00 | |
Income From Investment Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income (c,f) | | | 0.49 | (i) | | | 0.29 | | | | 0.31 | | | | 0.25 | | | | 0.04 | |
Net gain (loss) from investments (both realized and unrealized) | | | 0.17 | (i) | | | 0.31 | | | | (0.63 | ) | | | 0.17 | | | | (0.47 | ) |
Total from investment operations | | | 0.66 | | | | 0.60 | | | | (0.32 | ) | | | 0.42 | | | | (0.43 | ) |
| | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.23 | ) | | | (0.30 | ) | | | (0.27 | ) | | | (0.27 | ) | | | — | |
Total Distributions | | | (0.23 | ) | | | (0.30 | ) | | | (0.27 | ) | | | (0.27 | ) | | | — | |
| | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period/Year | | $ | 9.86 | | | $ | 9.43 | | | $ | 9.13 | | | $ | 9.72 | | | $ | 9.57 | |
| | | | | | | | | | | | | | | | | | | | | |
Total Return | | | 7.07 | % | | | 6.83 | % | | | (3.33 | )% | | | 4.41 | % | | | (4.30 | )%(h) |
| | | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period/year (in 000’s) | | $ | 184 | | | $ | 8,040 | | | $ | 7,488 | | | $ | 8,084 | | | $ | 2,572 | |
Ratio to average net assets: | | | | | | | | | | | | | | | | | | | | |
Gross expenses (d,e) | | | 0.93 | % | | | 0.95 | % | | | 0.99 | % | | | 1.03 | % | | | 1.09 | %(g) |
Net expenses (b,d) | | | 0.82 | % | | | 0.80 | % | | | 0.86 | % | | | 0.99 | % | | | 0.99 | %(g) |
Net investment income net of reimbursement (recapture) and securities lending expense offset (d,f) | | | 5.13 | % | | | 3.15 | % | | | 3.28 | % | | | 2.53 | % | | | 1.84 | %(g) |
Portfolio turnover rate | | | 225 | % | | | 167 | % | | | 155 | % | | | 175 | % | | | 205 | % |
Portfolio turnover is calculated for the Fund as a whole.
(a) | Since September 9, 2016 (Commencement of Operations). |
(b) | The ratio of expenses to average net assets includes interest expense which was 0.00%, 0.00%, 0.00%, 0.00% and 0.00%, respectively. |
(c) | Per share amounts are calculated using the average shares method. |
(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 securities lending expense offset, fee waivers and/or expense reimbursements by the Adviser. |
(f) | 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) | 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 Statement of Operations. |
See accompanying notes to financial statements.
82
Horizon Active Dividend Fund
FINANCIAL HIGHLIGHTS |
The table below sets forth financial data for one share of beneficial interest outstanding throughout each period/year.
| | | Investor Class | |
| | | For the
Year Ended
November 30,
2020 | | | For the
Year Ended
November 30,
2019 | | | For the
Year Ended
November 30,
2018 | | | For the
Period Ended
November 30,
2017 (a) | |
| | | | | | | | | | | | | | | | | |
Net Asset Value, Beginning of Period/Year | | $ | 58.58 | | | $ | 60.03 | | | $ | 59.15 | | | $ | 50.00 | |
Income From Investment Operations: | | | | | | | | | | | | | | | | |
Net investment income (c) | | | 1.19 | | | | 1.47 | | | | 1.18 | (e) | | | 0.66 | |
Net gain (loss) from investments (both realized and unrealized) | | | (3.25 | ) | | | 0.27 | (h) | | | 1.61 | (e) | | | 9.01 | |
Total from investment operations | | | (2.06 | ) | | | 1.74 | | | | 2.79 | | | | 9.67 | |
| | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | |
From net investment income | | | (1.29 | ) | | | (1.14 | ) | | | (1.13 | ) | | | (0.52 | ) |
From net realized gains | | | (0.22 | ) | | | (2.05 | ) | | | (0.78 | ) | | | — | |
Total Distributions | | | (1.51 | ) | | | (3.19 | ) | | | (1.91 | ) | | | (0.52 | ) |
| | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period/Year | | $ | 55.01 | | | $ | 58.58 | | | $ | 60.03 | | | $ | 59.15 | |
| | | | | | | | | | | | | | | | | |
Total Return | | | (3.41 | )% | | | 3.67 | % | | | 4.72 | % | | | 19.45 | %(g) |
| | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data | | | | | | | | | | | | | | | | |
Net assets, end of period/year (in 000’s) | | $ | 104,774 | | | $ | 156,452 | | | $ | 39,909 | | | $ | 24,509 | |
Ratio to average net assets: | | | | | | | | | | | | | | | | |
Gross expenses (d) | | | 1.11 | % | | | 1.09 | % | | | 1.32 | % | | | 2.33 | %(f) |
Net expenses (i) | | | 1.09 | % | | | 1.09 | % | | | 1.09 | % | | | 1.09 | %(b,f) |
Net investment income net of reimbursement (recapture) and securities lending expense offset | | | 2.28 | % | | | 2.59 | % | | | 1.93 | % | | | 1.24 | %(f) |
Portfolio turnover rate | | | 376 | % | | | 369 | % | | | 320 | % | | | 184 | %(g) |
Portfolio turnover is calculated for the Fund as a whole.
(a) | Since December 28, 2016 (Commencement of Operations). |
(b) | Effective July 1, 2017, Shareholder Servicing Fees for Investor Class shares decreased from 0.25% to 0.10% of average daily net assets. |
(c) | Per share amounts are calculated using the average shares method. |
(d) | Represents the ratio of expenses to average net assets absent securities lending expense offset, fee waivers and/or expense reimbursements by the Adviser. |
(e) | Due to the 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) | Net realized and unrealized gain (loss) per share in this caption is a balancing amount necessary to reconcile the change in the 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. |
(i) | The ratio of expenses to average net assets includes interest expense which was 0.00%, 0.00%, 0.00% and 0.00%, respectively. |
See accompanying notes to financial statements.
83
Horizon Active Dividend Fund
FINANCIAL HIGHLIGHTS |
The table below sets forth financial data for one share of beneficial interest outstanding throughout each period/year.
| | | Advisor Class | |
| | | For the
Year Ended
November 30,
2020 | | | For the
Year Ended
November 30,
2019 | | | For the
Year Ended
November 30,
2018 | | | For the
Period Ended
November 30,
2017 (a) | |
| | | | | | | | | | | | | | | | | |
Net Asset Value, Beginning of Period/Year | | $ | 58.56 | | | $ | 60.00 | | | $ | 59.13 | | | $ | 54.31 | |
Income From Investment Operations: | | | | | | | | | | | | | | | | |
Net investment income (b) | | | 1.13 | | | | 1.37 | | | | 1.04 | (d) | | | 0.25 | |
Net gain (loss) from investments (both realized and unrealized) | | | (3.28 | ) | | | 0.29 | (g) | | | 1.66 | (d) | | | 4.78 | |
Total from investment operations | | | (2.15 | ) | | | 1.66 | | | | 2.70 | | | | 5.03 | |
| | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | |
From net investment income | | | (1.21 | ) | | | (1.05 | ) | | | (1.05 | ) | | | (0.21 | ) |
From net realized gains | | | (0.21 | ) | | | (2.05 | ) | | | (0.78 | ) | | | — | |
Total Distributions | | | (1.42 | ) | | | (3.10 | ) | | | (1.83 | ) | | | (0.21 | ) |
| | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period/Year | | $ | 54.99 | | | $ | 58.56 | | | $ | 60.00 | | | $ | 59.13 | |
| | | | | | | | | | | | | | | | | |
Total Return | | | (3.55 | )% | | | 3.50 | % | | | 4.57 | % | | | 9.28 | %(f) |
| | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data | | | | | | | | | | | | | | | | |
Net assets, end of period/year (in 000’s) | | $ | 8,781 | | | $ | 27,452 | | | $ | 10,892 | | | $ | 3,353 | |
Ratio to average net assets: | | | | | | | | | | | | | | | | |
Gross expenses (c) | | | 1.25 | % | | | 1.24 | % | | | 1.48 | % | | | 2.12 | %(e) |
Net expenses (h) | | | 1.24 | % | | | 1.24 | % | | | 1.24 | % | | | 1.24 | %(e) |
Net investment income net of reimbursement (recapture) and securities lending expense offset | | | 2.17 | % | | | 2.42 | % | | | 1.71 | % | | | 1.01 | %(e) |
Portfolio turnover rate | | | 376 | % | | | 369 | % | | | 320 | % | | | 184 | %(f) |
Portfolio turnover is calculated for the Fund as a whole.
(a) | Since June 20, 2017 (Commencement of Operations). |
(b) | Per share amounts are calculated using the average shares method. |
(c) | Represents the ratio of expenses to average net assets absent securities lending expense offset, fee waivers and/or expense reimbursements by the Adviser. |
(d) | Due to the 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. |
(g) | Net realized and unrealized gain (loss) per share in this caption is a balancing amount necessary to reconcile the change in the 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) | The ratio of expenses to average net assets includes interest expense which was 0.00%, 0.00%, 0.00% and 0.00%, respectively. |
See accompanying notes to financial statements.
84
Horizon Defined Risk Fund
FINANCIAL HIGHLIGHTS |
The table below sets forth financial data for one share of beneficial interest outstanding throughout each period/year.
| | | Investor Class | |
| | | For the
Year Ended
November 30,
2020 | | | For the
Year Ended
November 30,
2019 | | | For the
Period Ended
November 30,
2018 (a) | |
| | | | | | | | | | | | | |
Net Asset Value, Beginning of Period/Year | | $ | 54.09 | | | $ | 51.00 | | | $ | 50.00 | |
Income From Investment Operations: | | | | | | | | | | | | |
Net investment income (b) | | | 0.37 | | | | 0.51 | | | | 0.44 | |
Net gain from investments (both realized and unrealized) | | | 2.82 | | | | 2.86 | | | | 0.56 | |
Total from investment operations | | | 3.19 | | | | 3.37 | | | | 1.00 | |
| | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | |
From net investment income | | | (0.30 | ) | | | (0.17 | ) | | | — | |
From net realized gains | | | — | | | | (0.11 | ) | | | — | |
Total Distributions | | | (0.30 | ) | | | (0.28 | ) | | | — | |
| | | | | | | | | | | | | |
Net Asset Value, End of Period/Year | | $ | 56.98 | | | $ | 54.09 | | | $ | 51.00 | |
| | | | | | | | | | | | | |
Total Return | | | 5.93 | % | | | 6.69 | % | | | 2.00 | %(e) |
| | | | | | | | | | | | | |
Ratios/Supplemental Data | | | | | | | | | | | | |
Net assets, end of period/year (in 000’s) | | $ | 210,993 | | | $ | 163,322 | | | $ | 5,915 | |
Ratio to average net assets: | | | | | | | | | | | | |
Gross expenses (c) | | | 1.12 | % | | | 1.20 | % | | | 2.28 | %(d) |
Net expenses | | | 1.04 | % | | | 1.04 | % | | | 1.04 | %(d) |
Net investment income net of reimbursement and securities lending expense offset | | | 0.70 | % | | | 0.99 | % | | | 0.94 | %(d) |
Portfolio turnover rate | | | 28 | % | | | 10 | % | | | 89 | %(e) |
Portfolio turnover is calculated for the Fund as a whole.
(a) | Since December 28, 2017 (Commencement of Operations). |
(b) | Per share amounts are calculated using the average shares method. |
(c) | Represents the ratio of expenses to average net assets absent securities lending expense offset, fee waivers and/or expense reimbursements by the Adviser. |
See accompanying notes to financial statements.
85
Horizon Defined Risk Fund
FINANCIAL HIGHLIGHTS |
The table below sets forth financial data for one share of beneficial interest outstanding throughout each period/year.
| | | Advisor Class | |
| | | For the
Year Ended
November 30,
2020 | | | For the
Year Ended
November 30,
2019 | | | For the
Period Ended
November 30,
2018 (a) | |
| | | | | | | | | | | | | |
Net Asset Value, Beginning of Period/Year | | $ | 54.06 | | | $ | 50.98 | | | $ | 50.58 | |
Income From Investment Operations: | | | | | | | | | | | | |
Net investment income (b) | | | 0.29 | | | | 0.42 | | | | 0.31 | (d) |
Net gain from investments (both realized and unrealized) | | | 2.82 | | | | 2.87 | | | | 0.09 | (d) |
Total from investment operations | | | 3.11 | | | | 3.29 | | | | 0.40 | |
| | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | |
From net investment income | | | (0.24 | ) | | | (0.10 | ) | | | — | |
From net realized gains | | | — | | | | (0.11 | ) | | | — | |
Total Distributions | | | (0.24 | ) | | | (0.21 | ) | | | — | |
| | | | | | | | | | | | | |
Net Asset Value, End of Period/Year | | $ | 56.93 | | | $ | 54.06 | | | $ | 50.98 | |
| | | | | | | | | | | | | |
Total Return | | | 5.78 | % | | | 6.51 | % | | | 0.77 | %(f) |
| | | | | | | | | | | | | |
Ratios/Supplemental Data | | | | | | | | | | | | |
Net assets, end of period/year (in 000’s) | | $ | 24,804 | | | $ | 22,807 | | | $ | 9,173 | |
Ratio to average net assets: | | | | | | | | | | | | |
Gross expenses (c) | | | 1.28 | % | | | 1.37 | % | | | 2.10 | %(e) |
Net expenses | | | 1.19 | % | | | 1.19 | % | | | 1.19 | %(e) |
Net investment income net of reimbursement and securities lending expense offset | | | 0.56 | % | | | 0.80 | % | | | 0.75 | %(e) |
Portfolio turnover rate | | | 28 | % | | | 10 | % | | | 89 | %(f) |
Portfolio turnover is calculated for the Fund as a whole.
(a) | Since February 2, 2018 (Commencement of Operations). |
(b) | Per share amounts are calculated using the average shares method. |
(c) | Represents the ratio of expenses to average net assets absent securities lending expense offset, fee waivers and/or expense reimbursements by the Adviser. |
(d) | Due to the 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. |
See accompanying notes to financial statements.
86
Horizon Defensive Multi-Factor Fund
FINANCIAL HIGHLIGHTS |
The table below sets forth financial data for one share of beneficial interest outstanding throughout each period/year.
| | | Investor Class | |
| | | For the
Year Ended
November 30,
2020 | | | For the
Period Ended
November 30,
2019 (a) | |
| | | | | | | | | |
Net Asset Value, Beginning of period/year | | $ | 26.22 | | | $ | 25.00 | |
Income From Investment Operations: | | | | | | | | |
Net investment income (b) | | | 0.12 | | | | 0.12 | |
Net gain from investments (both realized and unrealized) | | | 0.91 | | | | 1.10 | |
Total from investment operations | | | 1.03 | | | | 1.22 | |
| | | | | | | | | |
Less Distributions: | | | | | | | | |
From net investment income | | | (0.06 | ) | | | — | |
Total Distributions | | | (0.06 | ) | | | — | |
| | | | | | | | | |
Net Asset Value, End of period/year | | $ | 27.19 | | | $ | 26.22 | |
| | | | | | | | | |
Total Return | | | 3.96 | % | | | 4.88 | %(e) |
| | | | | | | | | |
Ratios/Supplemental Data | | | | | | | | |
Net assets, end of period/year (in 000’s) | | $ | 205,886 | | | $ | 85,776 | |
Ratio to average net assets: | | | | | | | | |
Gross expenses (c) | | | 1.14 | % | | | 1.93 | %(d) |
Net expenses | | | 1.09 | % | | | 1.09 | %(d) |
Net investment income net of reimbursement and securities lending expense offset | | | 0.49 | % | | | 1.10 | %(d) |
Portfolio turnover rate | | | 325 | % | | | 0.11 | %(e) |
Portfolio turnover is calculated for the Fund as a whole.
(a) | Since June 26, 2019 (Commencement of Operations). |
(b) | Per share amounts are calculated using the average shares method. |
(c) | Represents the ratio of expenses to average net assets absent securities lending expense offset, fee waivers and/or expense reimbursements by the Adviser. |
See accompanying notes to financial statements.
87
Horizon Defensive Multi-Factor Fund
FINANCIAL HIGHLIGHTS |
The table below sets forth financial data for one share of beneficial interest outstanding throughout the period.
| | | Advisor Class | |
| | | For the
Period Ended
November 30,
2020 (a) | |
| | | | | |
Net Asset Value, Beginning of Period | | $ | 26.23 | |
Income From Investment Operations: | | | | |
Net investment income (b) | | | 0.04 | |
Net gain from investments (both realized and unrealized) | | | 0.89 | |
Total from investment operations | | | 0.93 | |
| | | | | |
Net Asset Value, End of Period | | $ | 27.16 | |
| | | | | |
Total Return | | | 3.55 | %(e) |
| | | | | |
Ratios/Supplemental Data | | | | |
Net assets, end of period (in 000’s) | | $ | 730 | |
Ratio to average net assets: | | | | |
Gross expenses (c) | | | 1.30 | %(d) |
Net expenses | | | 1.24 | %(d) |
Net investment income net of reimbursement and securities lending expense offset | | | 0.17 | %(d) |
Portfolio turnover rate | | | 325% | |
Portfolio turnover is calculated for the Fund as a whole.
(a) | Since January 31, 2020 (Commencement of Operations). |
(b) | Per share amounts are calculated using the average shares method. |
(c) | Represents the ratio of expenses to average net assets absent securities lending expense offset, fee waivers and/or expense reimbursements by the Adviser. |
See accompanying notes to financial statements.
88
Horizon ESG Defensive Core Fund
FINANCIAL HIGHLIGHTS |
The table below sets forth financial data for one share of beneficial interest outstanding throughout the period.
| | | Investor Class | |
| | | For the
Period Ended
November 30,
2020 (a) | |
| | | | | |
Net Asset Value, Beginning of Period | | $ | 25.00 | |
Income From Investment Operations: | | | | |
Net investment income (b) | | | 0.19 | (f) |
Net gain from investments (both realized and unrealized) | | | 3.59 | (f) |
Total from investment operations | | | 3.78 | |
| | | | | |
Net Asset Value, End of Period | | $ | 28.78 | |
| | | | | |
Total Return | | | 15.12 | %(e) |
| | | | | |
Ratios/Supplemental Data | | | | |
Net assets, end of period (in 000’s) | | $ | 3,985 | |
Ratio to average net assets: | | | | |
Gross expenses (c) | | | 6.24 | %(d) |
Net expenses | | | 1.04 | %(d) |
Net investment income net of reimbursement and securities lending expense offset | | | 0.73 | %(d) |
Portfolio turnover rate | | | 81 | %(e) |
Portfolio turnover is calculated for the Fund as a whole.
(a) | Since December 26, 2019 (Commencement of Operations). |
(b) | Per share amounts are calculated using the average shares method. |
(c) | Represents the ratio of expenses to average net assets absent securities lending expense offset, fee waivers and/or expense reimbursements by the Adviser. |
(f) | Due to the 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. |
See accompanying notes to financial statements.
89
Horizon ESG Defensive Core Fund
FINANCIAL HIGHLIGHTS |
The table below sets forth financial data for one share of beneficial interest outstanding throughout the period.
| | | Advisor Class | |
| | | For the
Period Ended
November 30,
2020 (a) | |
| | | | | |
Net Asset Value, Beginning of Period | | $ | 25.04 | |
Income From Investment Operations: | | | | |
Net investment income (b) | | | 0.13 | (f) |
Net gain from investments (both realized and unrealized) | | | 3.52 | (f) |
Total from investment operations | | | 3.65 | |
| | | | | |
Net Asset Value, End of Period | | $ | 28.69 | |
| | | | | |
Total Return | | | 14.58 | %(e) |
| | | | | |
Ratios/Supplemental Data | | | | |
Net assets, end of period (in 000’s) | | $ | 4,283 | |
Ratio to average net assets: | | | | |
Gross expenses (c) | | | 4.56 | %(d) |
Net expenses | | | 1.19 | %(d) |
Net investment income net of reimbursement and securities lending expense offset | | | 0.52 | %(d) |
Portfolio turnover rate | | | 81 | %(e) |
Portfolio turnover is calculated for the Fund as a whole.
(a) | Since January 8, 2020 (Commencement of Operations). |
(b) | Per share amounts are calculated using the average shares method. |
(c) | Represents the ratio of expenses to average net assets absent securities lending expense offset, fee waivers and/or expense reimbursements by the Adviser. |
(f) | Due to the 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. |
See accompanying notes to financial statements.
90
Horizon Funds
Notes to Financial Statements
November 30, 2020
The Horizon Active Asset Allocation Fund, Horizon Active Risk Assist® Fund, Horizon Active Income Fund, Horizon Active Dividend Fund, Horizon Defined Risk Fund, Horizon Defensive Multi-Factor Fund and Horizon ESG Defensive Core 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. The Horizon Active Asset Allocation Fund, Horizon Active Risk Assist® Fund, Horizon Active Income Fund, Horizon Defined Risk Fund, Horizon Defensive Multi-Factor Fund and Horizon ESG Defensive Core Fund are registered under the Investment Company Act of 1940, as amended (the “1940 Act”) as diversified, open-end management investment companies. The Horizon Active Dividend Fund is registered under the 1940 Act as a non-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. The investment objective of the Horizon Defensive Multi-Factor Fund is to capture the majority of the returns associated with domestic equity market investments, while mitigating downside risk through use of a risk overlay strategy. The Fund presently offers Investor Class shares and Advisor Class shares which commenced operations on June 26, 2019 and January 31, 2020, respectively. The investment objective of the Horizon ESG Defensive Core Fund is to seek long-term growth of capital, current income and growth of income, while mitigating downside risk through use of a risk overlay strategy (the “Risk Assist® strategy”). The Fund presently offers Investor Class shares and Advisor Class shares, which commenced operations on December 26, 2019 and January 8, 2020, respectively.
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 year. Actual results could differ from those estimates.
In determining a Fund’s net asset value (“NAV”) per share, equity securities, including common stocks, preferred 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
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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 of the Trust (“the Board”) 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. 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 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 fair value. Investments in registered open-end investment companies (including money market funds), other than exchange-traded funds, are valued at their reported NAVs. Purchased and written options are valued primarily at the 4:15 ET composite 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.
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.
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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 November 30, 2020, for the Funds’ investments measured at value:
Horizon Active Asset Allocation Fund |
Assets * | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Investment Companies | | $ | 528,186,443 | | | $ | — | | | $ | — | | | $ | 528,186,443 | |
Purchased Call Options | | | — | | | | 273,500 | | | | — | | | | 273,500 | |
Short Term Investments | | | 213 | | | | — | | | | — | | | | 213 | |
Investments Purchased With Proceeds From Securities Lending | | | — | ** | | | — | | | | — | | | | 171,201,918 | |
Total | | $ | 528,186,656 | | | $ | 273,500 | | | $ | — | | | $ | 699,662,074 | |
Horizon Active Risk Assist® Fund |
Assets * | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Investment Companies | | $ | 797,398,024 | | | $ | — | | | $ | — | | | $ | 797,398,024 | |
Common Stocks | | | 13,002,496 | | | | — | | | | — | | | | 13,002,496 | |
Purchased Call Options | | | — | | | | 430,500 | | | | — | | | | 430,500 | |
Purchased Put Options | | | — | | | | 2,268,000 | | | | — | | | | 2,268,000 | |
Short Term Investments | | | 703,675 | | | | — | | | | — | | | | 703,675 | |
Investments Purchased With Proceeds From Securities Lending | | | — | ** | | | — | | | | — | | | | 206,423,075 | |
Total | | $ | 811,104,195 | | | $ | 2,698,500 | | | $ | — | | | $ | 1,020,225,770 | |
Liabilities * | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Written Put Options | | | — | | | | 867,500 | | | | — | | | | 867,500 | |
Total | | $ | — | | | $ | 867,500 | | | $ | — | | | $ | 867,500 | |
Horizon Active Income Fund |
Assets * | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Investment Companies | | $ | 432,209,814 | | | $ | — | | | $ | — | | | $ | 432,209,814 | |
Short Term Investments | | | 2,909,196 | | | | — | | | | — | | | | 2,909,196 | |
Investments Purchased With Proceeds From Securities Lending | | | — | ** | | | — | | | | — | | | | 97,650,825 | |
Total | | $ | 435,119,010 | | | $ | — | | | $ | — | | | $ | 532,769,835 | |
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November 30, 2020 |
Horizon Active Dividend Fund |
Assets * | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Common Stocks | | $ | 111,030,646 | | | $ | — | | | $ | — | | | $ | 111,030,646 | |
Convertible Preferred Stocks | | | 551,716 | | | | — | | | | — | | | | 551,716 | |
Preferred Stocks | | | 209,171 | | | | — | | | | — | | | | 209,171 | |
Purchased Put Options | | | — | | | | 11,200 | | | | — | | | | 11,200 | |
Short Term Investments | | | 1,745,150 | | | | — | | | | — | | | | 1,745,150 | |
Investments Purchased With Proceeds From Securities Lending | | | — | ** | | | — | | | | — | | | | 22,446,600 | |
Total | | $ | 113,536,683 | | | $ | 11,200 | | | $ | — | | | $ | 135,994,483 | |
Horizon Defined Risk Fund |
Assets * | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Common Stocks | | $ | 236,083,125 | | | $ | — | | | $ | — | | | $ | 236,083,125 | |
Warrants | | | 3,896 | | | | — | | | | — | | | | 3,896 | |
Purchased Put Options | | | — | | | | 2,889,650 | | | | — | | | | 2,889,650 | |
Short Term Investments | | | 279,051 | | | | — | | | | — | | | | 279,051 | |
Investments Purchased With Proceeds From Securities Lending | | | — | ** | | | — | | | | — | | | | 14,768,355 | |
Total | | $ | 236,366,072 | | | $ | 2,889,650 | | | $ | — | | | $ | 254,024,077 | |
Liabilities * | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Written Call Options | | $ | — | | | $ | 2,689,925 | | | $ | — | | | $ | 2,689,925 | |
Written Put Options | | | — | | | | 661,300 | | | | — | | �� | | 661,300 | |
Total | | $ | — | | | $ | 3,351,225 | | | $ | — | | | $ | 3,351,225 | |
Horizon Defensive Multi-Factor Fund |
Assets * | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Common Stocks | | $ | 205,948,573 | | | $ | — | | | $ | — | | | $ | 205,948,573 | |
Short Term Investments | | | 600,071 | | | | — | | | | — | | | | 600,071 | |
Investments Purchased With Proceeds From Securities Lending | | | — | ** | | | — | | | | — | | | | 4,183,755 | |
Total | | $ | 206,548,644 | | | $ | — | | | $ | — | | | $ | 210,732,399 | |
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Horizon ESG Defensive Core Fund |
Assets * | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Common Stocks | | $ | 7,973,571 | | | $ | — | | | $ | — | | | $ | 7,973,571 | |
Rights | | | 1,987 | | | | — | | | | — | | | | 1,987 | |
Short Term Investments | | | 163,118 | | | | — | | | | — | | | | 163,118 | |
Investments Purchased With Proceeds From Securities Lending | | | — | ** | | | — | | | | — | | | | 163,101 | |
Total | | $ | 8,138,676 | | | $ | — | | | $ | — | | | $ | 8,301,777 | |
* | Refer to the Portfolios of Investments for security classifications. |
** | Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statement of Assets and Liabilities. |
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 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
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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 year ended November 30, 2020, were as follows:
| | Horizon Active
Asset Allocation
Fund | | | Horizon Active
Risk Assist®
Fund | | | Horizon Active
Income Fund | | | Horizon Active
Dividend Fund | | | Horizon
Defined Risk
Fund | | | Horizon
Defensive
Multi-Factor
Fund | |
Purchased Options | | $ | 804,313 | | | $ | 1,891,263 | | | $ | — | | | $ | 113,344 | | | $ | 3,859,673 | | | $ | 7,525 | |
Written Options | | $ | 1,745,738 | | | $ | 1,016,647 | | | $ | 244,912 | | | $ | 29,325 | | | $ | 4,622,063 | | | $ | — | |
The following is a summary of the location of derivative investments on the Funds’ Statements of Assets and Liabilities as of November 30, 2020:
Location on the Statements of Assets and Liabilities |
Fund | Derivatives Investment Type | Asset Derivatives | Liability Derivatives |
Horizon Active Asset Allocation Fund | Equity Risk Contracts | Investments in Unaffiliated Securities, at Value | N/A |
Horizon Active Risk Assist® Fund | Equity Risk Contracts | Investments in Unaffiliated Securities, at Value | Options Written, at Value |
Horizon Active Dividend Fund | Equity Risk Contracts | Investments in Unaffiliated Securities, at Value | N/A |
Horizon Defined Risk Fund | Equity Risk Contracts | Investments in Unaffiliated Securities, at Value | Options Written, at Value |
Horizon Active Asset Allocation Fund |
Derivatives Investment Value |
Purchased Options | | $ | 273,500 | |
Written Options | | $ | — | |
Horizon Active Risk Assist® Fund |
Derivatives Investment Value |
Purchased Options | | $ | 2,698,500 | |
Written Options | | $ | 867,500 | |
Horizon Active Dividend Fund |
Derivatives Investment Value |
Purchased Options | | $ | 11,200 | |
Written Options | | $ | — | |
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Horizon Defined Risk Fund |
Derivatives Investment Value |
Purchased Options | | $ | 2,889,650 | |
Written Options | | $ | 3,351,225 | |
The following is a summary of the location of derivative investments on the Funds’ Statements of Operations for the year ended November 30, 2020:
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 |
Horizon Active Asset Allocation Fund |
Realized gain/(loss) on derivatives recognized in the Statements of Operations |
Derivative Investment Type | | | |
Purchased Options | | $ | 1,770,837 | |
Written Options | | | (12,144,235 | ) |
| | | $ | (10,373,398 | ) |
Changes in unrealized appreciation/(depreciation) on derivatives recognized in the Statements of Operations |
Purchased Options | | $ | 272,977 | |
Written Options | | | (128,674 | ) |
| | | $ | 144,303 | |
Horizon Active Risk Assist® Fund |
Realized gain/(loss) on derivatives recognized in the Statements of Operations |
Derivative Investment Type | | | |
Purchased Options | | $ | (17,669,183 | ) |
Written Options | | | 6,891,603 | |
| | | $ | (10,777,580 | ) |
Changes in unrealized appreciation/(depreciation) on derivatives recognized in the Statements of Operations |
Purchased Options | | $ | 845,515 | |
Written Options | | | 132,177 | |
| | | $ | 977,692 | |
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Horizon Active Income Fund |
Realized gain/(loss) on derivatives recognized in the Statements of Operations |
Derivative Investment Type | | | |
Purchased Options | | $ | (43,487 | ) |
Written Options | | | (2,397,419 | ) |
| | | $ | (2,440,906 | ) |
Changes in unrealized appreciation/(depreciation) on derivatives recognized in the Statements of Operations |
Purchased Options | | $ | — | |
Written Options | | | (7,215 | ) |
| | | $ | (7,215 | ) |
Horizon Active Dividend Fund |
Realized gain/(loss) on derivatives recognized in the Statements of Operations |
Derivative Investment Type | | | |
Purchased Options | | $ | (622,093 | ) |
Written Options | | | 157,608 | |
| | | $ | (464,485 | ) |
Changes in unrealized appreciation/(depreciation) on derivatives recognized in the Statements of Operations |
Purchased Options | | $ | 101,962 | |
Written Options | | | (35,880 | ) |
| | | $ | 66,082 | |
Horizon Defined Risk Fund |
Realized gain/(loss) on derivatives recognized in the Statements of Operations |
Derivative Investment Type | | | |
Purchased Options | | $ | (6,808,543 | ) |
Written Options | | | (12,784,142 | ) |
| | | $ | (19,592,685 | ) |
Changes in unrealized appreciation/(depreciation) on derivatives recognized in the Statements of Operations |
Purchased Options | | $ | (2,866,393 | ) |
Written Options | | | 1,921,535 | |
| | | $ | (944,858 | ) |
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Defensive Multi-Factor Fund |
Realized gain/(loss) on derivatives recognized in the Statements of Operations |
Derivative Investment Type | | | |
Purchased Options | | $ | (78,841 | ) |
Written Options | | | 27,733 | |
| | | $ | (51,108 | ) |
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 Funds as of November 30, 2020.
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/
Received | | | Net Amount | |
Written Options | | $ | 867,500 | (1) | | $ | — | | | $ | 867,500 | | | $ | — | | | $ | (867,500 | )(2) | | $ | — | |
Total | | $ | 867,500 | | | $ | — | | | $ | 867,500 | | | $ | — | | | $ | (867,500 | ) | | $ | — | |
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 | | $ | 3,351,225 | (1) | | $ | — | | | $ | 3,351,225 | | | $ | — | | | $ | (3,351,225 | )(2) | | $ | — | |
Total | | $ | 3,351,225 | | | $ | — | | | $ | 3,351,225 | | | $ | — | | | $ | (3,351,225 | ) | | $ | — | |
(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. |
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
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interest income is recorded on the accrual basis. Long-term capital gain distributions from investment companies if any, 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 on the Funds’ 2020 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.
The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the Statement of Operations.
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, Horizon Defined Risk, Horizon Defensive Multi-Factor Fund, and Horizon ESG Defensive Core 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 has adopted a shareholder serving plan (the “Plan”) for Investor Class Shares 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 Horizon Active Income Fund are currently 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 not 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, Horizon Defined Risk Fund, the Horizon Defensive Multi-Factor Fund and the Horizon ESG Defensive Core Fund pursuant to Rule 12b-1 under the
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1940 Act (the “12b-1 Plan”). However, payments under the 12b-1 Plan are an operating expense of each Fund that is not 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 applicable classes. During the year ended November 30, 2020 the distribution fees accrued for the Investor Class shares of the Horizon Active Dividend Fund, Horizon Defined Risk Fund, Horizon Defensive Multi-Factor Fund, Horizon ESG Defensive Core Fund and for the Advisor Class shares of all Funds were 0.10% and 0.25% of average daily net assets, respectively. During the year ended November 30, 2020, the Horizon Active Asset Allocation Fund, Horizon Active Risk Assist® Fund, Horizon Active Income Fund, Horizon Active Dividend Fund, Horizon Defined Risk Fund, Horizon Defensive Multi-Factor Fund and Horizon ESG Defensive Core Fund Advisor Class shares incurred $19,754, $8,657, $5,132, $49,700, $60,680, $653, and $4,996, respectively, pursuant to the plan. During the year ended November 30, 2020, the Horizon Active Dividend Fund, Horizon Defined Risk Fund, Horizon Defensive Multi-Factor Fund and Horizon ESG Defensive Core Fund Investor Class shares incurred $120,364, $167,161, $126,611 and $1,175, 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 all Funds 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.
LIBOR Discontinuation Risk – Many financial instruments use or may use a floating rate based on the London Interbank Offered Rate, or “LIBOR,” which is the offered rate for short-term Eurodollar deposits between major international banks. On July 27, 2017, the Financial Conduct Authority announced a desire to phase out the use of LIBOR by the end of 2021. There remains uncertainty regarding the future utilization of LIBOR and the nature of any replacement rate. As such, the potential impact of a transition away from LIBOR on the Fund or the financial instruments in which the Funds invest cannot yet be determined. The elimination of LIBOR or changes to other reference rates or any other changes or reforms to the determination or supervision of reference rates could have an adverse impact on the market for, or value of, any securities or payments linked to those reference rates, which may adversely affect the Fund’s performance and/or net asset value. Furthermore, the risks associated with the expected discontinuation of LIBOR and transition may be exacerbated if the work necessary to effect an orderly transition to an alternative reference rate is not completed in a timely manner. Because the usefulness of LIBOR as a benchmark could deteriorate during the transition period, these effects could occur prior to the end of 2021.
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”). 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, 0.80% of the average daily net assets of the Horizon Defined Risk Fund, 0.80% of the average daily net assets of the Horizon Defensive Multi-Factor Fund and 0.75% of the average daily net assets up to $150,000,000 and 0.70% thereafter of the Horizon ESG Defensive Core Fund.
101
Horizon Funds
NOTES TO FINANCIAL STATEMENTS (Continued)
November 30, 2020 |
Pursuant to the Expense Limitation Agreement (the “Waiver Agreement”), the Adviser has agreed, until March 31, 2021 for the Horizon Active Asset Allocation Fund, Horizon Active Risk Assist® Fund, Horizon Active Income Fund, Horizon Active Dividend Fund and Horizon Defined Risk Fund, and June 26, 2022 for the Horizon Defensive Multi-Factor Fund and Horizon ESG Defensive Core 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 (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 percentage of average daily net assets 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 | % |
Horizon Defensive Multi-Factor Fund | | | 0.99 | % | | | 0.99 | % | | | 0.99 | % |
Horizon ESG Defensive Core Fund | | | 0.94 | % | | | 0.94 | % | | | 0.94 | % |
Any fees waived or expenses reimbursed by the Adviser are subject to possible recoupment by the Adviser within 36 months after such fees have been waived or expenses reimbursed, if such recoupment can be achieved without exceeding the lower of the expense limit in place at the time of the waiver or reimbursement and the expense limit in place at the time of recoupment.
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. During the year ended November 30, 2020, the Adviser recouped from Horizon Active Asset Allocation Fund, Horizon Active Risk Assist® Fund, Horizon Active Income Fund, Horizon Active Dividend Fund, Horizon Defined Risk Fund, Horizon Defensive Multi-Factor Fund, and the Horizon ESG Defensive Core Fund $450,596, $82,322, $0, $77,458, $0, $7,220, and $0, respectively.
Fund | | 2021 | | | 2022 | | | 2023 | | | Total | |
Horizon Active Asset Allocation Fund | | $ | — | | | $ | — | | | $ | 4,388 | | | $ | 4,388 | |
Horizon Active Risk Assist® Fund | | | — | | | | — | | | | — | | | | — | |
Horizon Active Income Fund | | | — | | | | — | | | | — | | | | — | |
Horizon Active Dividend Fund | | | 23,810 | | | | 3,050 | | | | 25,480 | | | | 52,340 | |
Horizon Defined Risk Fund | | | 87,874 | | | | 153,545 | | | | 159,403 | | | | 400,822 | |
Horizon Defensive Multi-Factor Fund | | | — | | | | 61,386 | | | | 69,269 | | | | 130,655 | |
Horizon ESG Defensive Core Fund | | | — | | | | — | | | | 128,466 | | | | 128,466 | |
Trustees – The Trust pays each Trustee of the Trust who is not an interested person an annual retainer of $60,000 for each fiscal year plus $10,000 for attendance at an in-person board meeting or $1,000 for attendance of a special meeting. 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. Officers of the Trust and Trustees who are interested persons of the Trust do not receive any direct compensation from the Trust.
102
Horizon Funds
NOTES TO FINANCIAL STATEMENTS (Continued)
November 30, 2020 |
Chief Compliance Officer Compensation – The Board of Trustees renewed the approval of a compensation policy with respect to the Trust’s Chief Compliance Officer pursuant to which 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.
4. | INVESTMENT TRANSACTIONS |
The cost of purchases and proceeds from the sale of securities, other than short-term securities, for the year or period ended November 30, 2020, were as follows:
Fund | | Purchases | | | Sales | |
Horizon Active Asset Allocation Fund | | $ | 1,045,666,129 | | | $ | 1,123,534,279 | |
Horizon Active Risk Assist® Fund | | | 3,582,159,134 | | | | 3,588,767,934 | |
Horizon Active Income Fund | | | 890,595,276 | | | | 754,454,377 | |
Horizon Active Dividend Fund | | | 506,242,286 | | | | 548,832,360 | |
Horizon Defined Risk Fund | | | 73,094,667 | | | | 52,194,328 | |
Horizon Defensive Multi-Factor Fund | | | 519,162,711 | | | | 410,434,421 | |
Horizon ESG Defensive Core Fund | | | 9,642,919 | | | | 2,742,314 | |
The Funds may lend domestic securities in their portfolios to approved brokers, dealers and financial institutions (but not individuals) under terms of participation in a securities lending program effective December 20, 2017, which is administered by U.S. Bank N.A. (the “Custodian”). The net income to which the Funds are entitled may be used to offset against costs and other charges incurred by the Funds with the Custodian or its affiliates or, as directed in writing by the Funds, other service providers. Investment Advisory Fees, Shareholder Servicing Fees - Investor Class, Distribution Fees (12b-1) - Advisor Class and Distribution Fees (12b-1) - Investor Class as noted in the Statements of Operations are not eligible to be offset by securities lending income. The securities lending agreement requires that loans are collateralized in an amount equal to at least 102% at the outset of the loan and at least 100%, at all times thereafter, of the value of any loaned securities. 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. Amounts earned from security lending is disclosed in each Fund’s Statement of Operations as a securities lending credit. The Funds continue to receive interest payments or dividends on the securities loaned during the borrowing year. 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 year ended November 30, 2020, 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 allow the cash collateral to be invested in readily marketable, high quality, short-term obligations issued or guaranteed by the United States Government; however, such investments are subject to risk of payment delays, declines in the value of collateral provided, 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 Funds are indemnified from this risk by contract with the securities lending agent.
103
Horizon Funds
NOTES TO FINANCIAL STATEMENTS (Continued)
November 30, 2020 |
As of the year or period ended November 30, 2020, the value of the securities on loan and payable for collateral due to broker were as follows:
Value of Securities on Loan and Collateral Received
Fund | | Values of
Securities on Loan | | | Fund Collateral
Received* | |
Horizon Active Asset Allocation Fund | | $ | 165,021,019 | | | $ | 171,201,918 | |
Horizon Active Risk Assist® Fund | | | 199,535,244 | | | | 206,423,075 | |
Horizon Active Income Fund | | | 95,513,938 | | | | 97,650,825 | |
Horizon Active Dividend Fund | | | 21,616,125 | | | | 22,446,600 | |
Horizon Defined Risk Fund | | | 14,282,093 | | | | 14,768,355 | |
Horizon Defensive Multi-Factor Fund | | | 4,103,431 | | | | 4,183,755 | |
Horizon ESG Defensive Core Fund | | | 160,096 | | | | 163,101 | |
* | The cash collateral received was invested in the Mount Vernon Liquid Assets Portfolio, LLC, with an overnight and continuous maturity, as shown on the Portfolios of Investments. These amounts were not included in the offsetting disclosures in Note 2 (Offsetting of Financial Assets and Derivative Liabilities). |
6. | LINE OF CREDIT ARRANGEMENT |
Throughout the year ended November 30, 2020, and renewed effective March 1, 2020, the Funds, excluding the Horizon ESG Defensive Core Fund, are party to an unsecured line of credit arrangement with the Custodian. The Loan Agreement has an expiration date of February 28, 2021, under which borrowing is limited to the lesser of 15% of the market value of a Fund, 33.33% of the market value of specific marketable securities of a Fund acceptable to the Custodian, or $75,000,000 for all the Funds subject to the line of credit. The Funds may utilize the line of credit for temporary or emergency purposes, primarily for financing redemption payments. The applicable Funds have authorized the Custodian to charge any of the Funds subject to the line of credit for any missed payments by the Funds. The Funds will be charged the prime rate, which was 3.25% as of November 30, 2020, if they borrow. For the year ended November 30, 2020, the Horizon Active Asset Allocation Fund, Horizon Active Risk Assist® Fund, Horizon Active Income Fund, Horizon Active Dividend Fund, Horizon Defined Risk Fund and Horizon Defensive Multi-Factor Fund had average borrowings of $502,240, $72,847, $329,036, $285,648, $80,437 and $932 and the weighted average interest rate on the line of credit borrowings was 3.34%, 3.25%, 3.88%, 4.00%, 3.25% and 3.25%, respectively. Between November 25, 2020 and November 26, 2020, the Horizon Active Asset Allocation Fund had borrowings of $20,298,000, between November 27, 2020 and November 29, 2020, the Horizon Active Risk Assist® Fund had borrowings of $2,320,000, on March 16, 2020, the Horizon Active Income Fund had borrowings of $39,056,000, on March 12, 2020, the Horizon Active Dividend Fund had borrowings of $20,495,000, on October 29, 2020, the Horizon Defined Risk Fund had borrowings of $2,946,000, and on March 16, 2020, the Horizon Defensive Multi-Factor Fund had borrowings of $302,000, which represent the largest borrowing amounts, respectively, during the year ended November 30, 2020. The Horizon Active Asset Allocation Fund had outstanding borrowings of $390,000 on the line of credit as of November 30, 2020 and is presented on the Statement of Assets and Liabilities with unpaid interest as “Payable for Line of Credit”.
104
Horizon Funds
NOTES TO FINANCIAL STATEMENTS (Continued)
November 30, 2020 |
7. | DISTRIBUTIONS TO SHAREHOLDERS AND TAX COMPONENTS OF CAPITAL |
The tax character of fund distributions paid for the years ended November 30, 2020 and November 30, 2019 was as follows:
| | | For the year or period ended November 30, 2020 | |
Fund | | Ordinary
Income | | | Long-Term
Capital Gains | | | Return of
Capital | | | Total | |
Horizon Active Asset Allocation Fund | | $ | 3,747,366 | | | $ | — | | | $ | — | | | $ | 3,747,366 | |
Horizon Active Risk Assist® Fund | | | 8,258,860 | | | | — | | | | — | | | | 8,258,860 | |
Horizon Active Income Fund | | | 6,637,845 | | | | — | | | | — | | | | 6,637,845 | |
Horizon Active Dividend Fund | | | 4,329,453 | | | | — | | | | — | | | | 4,329,453 | |
Horizon Defined Risk Fund | | | 1,013,067 | | | | — | | | | — | | | | 1,013,067 | |
Horizon Defensive Multi-Factor Fund | | | 218,854 | | | | 1,921 | | | | — | | | | 220,775 | |
Horizon ESG Defensive Core Fund | | | — | | | | — | | | | — | | | | — | |
| | | For the year or period ended November 30, 2019 | |
Fund | | Ordinary
Income | | | Long-Term
Capital Gains | | | Return of
Capital | | | Total | |
Horizon Active Asset Allocation Fund | | $ | 25,841,890 | | | $ | 4,610,598 | | | $ | — | | | $ | 30,452,488 | |
Horizon Active Risk Assist® Fund | | | 23,830,449 | | | | 2,024,864 | | | | — | | | | 25,855,313 | |
Horizon Active Income Fund | | | 8,785,949 | | | | — | | | | — | | | | 8,785,949 | |
Horizon Active Dividend Fund | | | 4,426,133 | | | | — | | | | — | | | | 4,426,133 | |
Horizon Defined Risk Fund | | | 131,365 | | | | 8,881 | | | | — | | | | 140,246 | |
Horizon Defensive Multi-Factor Fund | | | — | | | | — | | | | — | | | | — | |
On December 21, 2020, the Funds paid the following per share income distributions:
Fund | | Investor
Class | | | Advisor
Class | | | Institutional
Class | |
Horizon Active Asset Allocation Fund | | $ | 0.06825205 | | | $ | 0.04324425 | | | $ | 0.08032212 | |
Horizon Active Risk Assist® Fund | | | 0.08341779 | | | | 0.07327484 | | | | 0.10396551 | |
Horizon Active Income Fund | | | 0.07900094 | | | | 0.07078763 | | | | 0.08236843 | |
Horizon Active Dividend Fund | | | 0.33049457 | | | | 0.28351334 | | | | — | |
Horizon Defined Risk Fund | | | 0.32740337 | | | | 0.22931066 | | | | — | |
Horizon Defensive Multi-Factor Fund | | | 0.08409453 | | | | 0.07485484 | | | | — | |
Horizon ESG Defensive Core Fund | | | 0.09905555 | | | | 0.06923699 | | | | — | |
105
Horizon Funds
NOTES TO FINANCIAL STATEMENTS (Continued)
November 30, 2020 |
On December 21, 2020, the Funds paid the following capital gains distributions from each class:
Fund | | Short-Term* | | | Long-Term | |
Horizon Active Asset Allocation Fund | | $ | 0.23754 | | | $ | 0.60808 | |
Horizon Active Risk Assist® Fund | | | — | | | | — | |
Horizon Active Income Fund | | | — | | | | — | |
Horizon Active Dividend Fund | | | — | | | | — | |
Horizon Defined Risk Fund | | | — | | | | — | |
Horizon Defensive Multi-Factor Fund | | | — | | | | — | |
Horizon ESG Defensive Core Fund | | | 0.71101 | | | | 0.00241 | |
* | Short-Term Capital Gains distributions are considered income distributions for tax purposes. |
The cost basis of investments, purchased options and options written for federal income tax purposes at November 30, 2020, were as follows:
Fund | | Cost of
Investments,
Purchased Options
and Written
Options | | | Gross Tax
Unrealized
Appreciation | | | Gross Tax
Unrealized
Depreciation | | | Net Tax
Unrealized
Appreciation
(Depreciation) | |
Horizon Active Asset Allocation Fund | | $ | 660,565,303 | | | $ | 45,745,627 | | | $ | (6,648,856 | ) | | $ | 39,096,771 | |
Horizon Active Risk Assist® Fund | | | 956,091,454 | | | | 68,696,793 | | | | (5,429,977 | ) | | | 63,266,816 | |
Horizon Active Income Fund | | | 522,003,251 | | | | 11,693,451 | | | | (926,867 | ) | | | 10,766,584 | |
Horizon Active Dividend Fund | | | 126,121,554 | | | | 11,613,204 | | | | (1,740,172 | ) | | | 9,873,032 | |
Horizon Defined Risk Fund | | | 207,497,085 | | | | 49,309,792 | | | | (6,134,025 | ) | | | 43,175,767 | |
Horizon Defensive Multi-Factor Fund | | | 192,342,369 | | | | 21,372,033 | | | | (2,982,003 | ) | | | 18,390,030 | |
Horizon ESG Defensive Core Fund | | | 7,445,576 | | | | 1,005,982 | | | | (149,781 | ) | | | 856,201 | |
106
Horizon Funds
NOTES TO FINANCIAL STATEMENTS (Continued)
November 30, 2020 |
As of November 30, 2020, 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 | | $ | 9,776,576 | | | $ | 22,927,247 | | | $ | — | | | $ | — | | | $ | — | | | $ | 39,096,771 | | | $ | 71,800,594 | |
Horizon Active Risk Assist® Fund | | | 299,411 | | | | — | | | | — | | | | (43,288,539 | ) | | | — | | | | 63,266,816 | | | | 20,277,688 | |
Horizon Active Income Fund | | | 1,857,021 | | | | — | | | | — | | | | (10,388,825 | ) | | | — | | | | 10,766,584 | | | | 2,234,780 | |
Horizon Active Dividend Fund | | | 516,471 | | | | — | | | | — | | | | (21,348,394 | ) | | | — | | | | 9,873,032 | | | | (10,958,891 | ) |
Horizon Defined Risk Fund | | | 1,199,090 | | | | — | | | | — | | | | (23,654,930 | ) | | | — | | | | 43,175,768 | | | | 20,719,928 | |
Horizon Defensive Multi-Factor Fund | | | 494,350 | | | | — | | | | — | | | | (3,134,932 | ) | | | — | | | | 18,390,030 | | | | 15,749,448 | |
Horizon ESG Defensive Core Fund | | | 238,840 | | | | 744 | | | | — | | | | — | | | | — | | | | 856,201 | | | | 1,095,785 | |
The difference between book and tax basis unrealized appreciation/depreciation is attributable to mark to market and/or the tax deferral of losses on various investments.
At November 30, 2020, 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 | | | 32,795,561 | | | | 9,975,718 | | | | 42,771,279 | |
Horizon Active Income Fund | | | 9,722,261 | | | | 666,564 | | | | 10,388,825 | |
Horizon Active Dividend Fund | | | 21,348,394 | | | | — | | | | 21,348,394 | |
Horizon Defined Risk Fund | | | 12,093,287 | | | | 11,561,643 | | | | 23,654,930 | |
Horizon Defensive Multi-Factor Fund | | | 3,130,769 | | | | 4,163 | | | | 3,134,932 | |
Horizon ESG Defensive Core Fund | | | — | | | | — | | | | — | |
The Horizon Active Asset Allocation Fund utilized $7,398,690 of capital loss carryforward during the fiscal year.
107
Horizon Funds
NOTES TO FINANCIAL STATEMENTS (Continued)
November 30, 2020 |
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. These reclassifications were due to the use of equalization. Each Fund may use earnings and profits distributed to shareholders on redemption of shares as part of the dividends paid deduction. For the year ended November 30, 2020, the following table shows the reclassifications made:
Fund | | Distributable
Earnings/
(Accumulated
Deficit) | | | Paid In
Capital | |
Horizon Active Asset Allocation Fund | | $ | (2,370,711 | ) | | $ | 2,370,711 | |
Horizon Active Risk Assist® Fund | | | 64,089 | | | | (64,089 | ) |
Horizon Active Income Fund | | | 20,041 | | | | (20,041 | ) |
Horizon Active Dividend Fund | | | 1,102 | | | | (1,102 | ) |
Horizon Defined Risk Fund | | | — | | | | — | |
Horizon Defensive Multi-Factor Fund | | | — | | | | — | |
Horizon ESG Defensive Core Fund | | | 256 | | | | (256 | ) |
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 November 30, 2020, the Funds 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 was one individual shareholder of record who owned more than 5% of the outstanding shares of beneficial interest of the Horizon ESG Defensive Core Fund Investor Class. This shareholder did not own more than 5% of the outstanding shares of beneficial interest of the Fund. No other individual shareholders of record 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.
108
Horizon Funds
NOTES TO FINANCIAL STATEMENTS (Continued)
November 30, 2020 |
9. INVESTMENTS IN AFFILIATES
An affiliated person of the Horizon Active Asset Allocation Fund, as defined by the 1940 Act, may include any company in which the Fund owns five percent or more of its outstanding voting shares. Holdings and transactions in these affiliated companies for the year ended November 30, 2020 are as follows:
Security Name | | Value at
November 30,
2019 | | | Value of
Purchases | | | Value of
Sales | | | Net Change
in Unrealized
Appreciation
(Depreciation) | | | Net
Realized
Gain (Loss) | | | Dividend
Income | | | Value at
November 30,
2020 | | | Shares
Balance
November 30,
2020 | |
Janus Henderson Small/Mid Cap Growth Alpha ETF* | | $ | 4,163,542 | | | $ | 1,561,781 | | | $ | (312,060 | ) | | $ | 1,217,295 | | | $ | (22,416 | ) | | $ | 12,629 | | | $ | 6,608,142 | | | | 112,690 | |
Xtrackers S&P 500 ESG ETF* | | | 5,848,000 | | | | 272,688 | | | | (438,220 | ) | | | 918,864 | | | | 11,534 | | | | 97,056 | | | | 6,612,866 | | | | 207,495 | |
| | | $ | 10,011,542 | | | $ | 1,834,469 | | | $ | (750,280 | ) | | $ | 2,136,159 | | | $ | (10,882 | ) | | $ | 109,685 | | | $ | 13,221,008 | | | | 320,185 | |
An affiliated person of the Horizon Active Risk Assist® Fund, as defined by the 1940 Act, may include any company in which the Fund owns five percent or more of its outstanding voting shares. Holdings and transactions in these affiliated companies for the year ended November 30, 2020 are as follows:
Security Name | | Value at
November 30,
2019 | | | Value of
Purchases | | | Value of
Sales | | | Net Change
in Unrealized
Appreciation
(Depreciation) | | | Net
Realized
Gain (Loss) | | | Dividend
Income | | | Value at
November 30,
2020 | | | Shares
Balance
November 30,
2020 | |
X-Trackers Russell 1000 Comprehensive Factor ETF | | $ | 43,984,409 | | | $ | 13,513,061 | | | $ | (37,277,161 | ) | | $ | (1,974,363 | ) | | $ | (1,929,194 | ) | | $ | 329,943 | | | $ | 16,316,752 | ** | | | 437,287 | |
X-Trackers Russell 1000 US QARP ETF | | | 23,194,429 | | | | 11,337,673 | | | | (18,803,263 | ) | | | 390,080 | | | | 228,450 | | | | 283,625 | | | | 16,347,369 | ** | | | 500,201 | |
X-Trackers S&P 500 ESG ETF* | | | 9,329,600 | | | | 2,731,998 | | | | (5,285,177 | ) | | | 935,384 | | | | 442,103 | | | | 141,031 | | | | 8,153,908 | | | | 255,849 | |
SPDR Bloomberg Barclays 1-3 Month T-Bill ETF* | | | — | | | | 1,297,114,108 | | | | (1,296,383,824 | ) | | | — | | | | (730,284 | ) | | | 664,697 | | | | — | | | | — | |
| | | $ | 76,508,438 | | | $ | 1,324,696,840 | | | $ | (1,357,749,425 | ) | | $ | (648,899 | ) | | $ | (1,988,925 | ) | | $ | 1,419,296 | | | $ | 40,818,029 | | | $ | 1,193,337 | |
109
Horizon Funds
NOTES TO FINANCIAL STATEMENTS (Continued)
November 30, 2020 |
An affiliated person of the Horizon Active Income Fund, as defined by the 1940 Act, may include any company in which the Fund owns five percent or more of its outstanding voting shares. Holdings and transactions in this affiliated company for the year ended November 30, 2020 are as follows:
Security Name | | Value at
November 30,
2019 | | | Value of
Purchases | | | Value of
Sales | | | Net Change
in Unrealized
Appreciation
(Depreciation) | | | Net
Realized
Gain (Loss) | | | Dividend
Income | | | Value at
November 30,
2020 | | | Shares
Balance
November 30,
2020 | |
X-Trackers Short Duration High Yield Bond ETF | | $ | 4,365,499 | | | $ | 4,478,600 | | | $ | (887,292 | ) | | $ | 99,213 | | | $ | (116,406 | ) | | $ | 335,154 | | | $ | 7,939,614 | ** | | | 168,337 | |
| | | $ | 4,365,499 | | | $ | 4,478,600 | | | $ | (887,292 | ) | | $ | 99,213 | | | $ | (116,406 | ) | | $ | 335,154 | | | $ | 7,939,614 | | | | 168,337 | |
* | Issuer was no longer an affiliate as of November 30, 2020. |
** | The value of these securities agrees to the Investments in Affiliated Securities, at Value in the Statements of Assets and Liabilities. |
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 other than the distributions noted in Note 7, and those noted below.
The global outbreak of COVID-19 (commonly referred to as “coronavirus”) has disrupted economic markets and the prolonged economic impact is uncertain. The ultimate economic fallout from the pandemic, and the long-term impact on economies, markets, industries and individual issuers, are not known. The operational and financial performance of the issuers of securities in which the Funds invest depends on future developments, including the duration and spread of the outbreak, and such uncertainty may in turn adversely affect the value and liquidity of the Funds’ investments, impair the Funds’ ability to satisfy redemption requests, and negatively impact the Funds’ performance.
110
Horizon Funds
Report of Independent Registered Public Accounting Firm
November 30, 2020
To the Shareholders and Board of Trustees of
Horizon Funds
Opinion on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the portfolios of investments, of Horizon Funds comprising the funds listed below (the “Funds”) as of November 30, 2020, the related statements of operations, the statements of changes in net assets, the related notes, and the financial highlights for each of the periods indicated below (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of November 30, 2020, the results of their operations, the changes in net assets, and the financial highlights for each of the periods indicated below in conformity with accounting principles generally accepted in the United States of America.
Fund Name | Statements of
Operations | Statement(s) of
Changes in
Net Assets | Financial Highlights |
Horizon Active Asset Allocation Fund, Horizon Active Risk Assist Fund, and Horizon Active Income Fund | For the year ended November 30, 2020 | For the years ended November 30, 2020 and 2019 | For the years ended November 30, 2020, 2019, 2018, 2017, and 2016 |
Horizon Active Dividend Fund | For the year ended November 30, 2020 | For the years ended November 30, 2020 and 2019 | For the years ended November 30, 2020, 2019, 2018 and for the period from December 28, 2016 (commencement of operations) through November 30, 2017 |
Horizon Defined Risk Fund | For the year ended November 30, 2020 | For the years ended November 30, 2020 and 2019 | For the years ended November 30, 2020, 2019, and for the period from December 28, 2017 (commencement of operations) through November 30, 2018 |
Horizon Defensive Multi-Factor Fund | For the year ended November 30, 2020 | For the year ended November 30, 2020 and for the period from June 26, 2019 (commencement of operations) through November 30, 2019 |
Horizon ESG Defensive Core Fund | For the period from December 26, 2019 (commencement of operations) through November 30, 2020 |
Basis for Opinion
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement whether due to error or fraud.
111
Horizon Funds
Report of Independent Registered Public Accounting Firm (Continued)
November 30, 2020
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of November 30, 2020, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the Funds’ auditor since 2015.
/s/ COHEN & COMPANY, LTD
COHEN & COMPANY, LTD.
Cleveland, Ohio
January 29, 2021
112
Horizon Funds
Disclosure of Fund Expenses (Unaudited)
November 30, 2020
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
(5% return before expenses) |
| Fund’s
Annualized
Expense Ratio 2 | Beginning
Account Value
6/1/2020 | Ending
Account Value
11/30/2020 | Expenses
Paid During
Period 1 | Ending
Account Value
11/30/2020 | Expenses
Paid During
Period 1 |
Horizon Active Asset Allocation - Investor Class | 1.34% | $ 1,000.00 | $ 1,193.40 | $ 7.36 | $ 1,018.29 | $ 6.78 |
Horizon Active Asset Allocation - Advisor Class | 1.42% | $ 1,000.00 | $ 1,193.40 | $ 7.80 | $ 1,017.89 | $ 7.18 |
Horizon Active Asset Allocation - Institutional Class | 1.17% | $ 1,000.00 | $ 1,193.70 | $ 6.42 | $ 1,019.15 | $ 5.91 |
Horizon Active Risk Assist® - Investor Class | 1.28% | $ 1,000.00 | $ 1,175.80 | $ 6.94 | $ 1,018.62 | $ 6.44 |
Horizon Active Risk Assist® - Advisor Class | 1.43% | $ 1,000.00 | $ 1,174.60 | $ 7.80 | $ 1,017.83 | $ 7.23 |
Horizon Active Risk Assist® - Institutional Class | 1.18% | $ 1,000.00 | $ 1,175.90 | $ 6.40 | $ 1,019.12 | $ 5.94 |
Horizon Active Income - Investor Class | 1.03% | $ 1,000.00 | $ 1,044.80 | $ 5.27 | $ 1,019.85 | $ 5.21 |
Horizon Active Income - Advisor Class | 1.18% | $ 1,000.00 | $ 1,043.40 | $ 6.01 | $ 1,019.12 | $ 5.94 |
Horizon Active Income - Institutional Class | 0.93% | $ 1,000.00 | $ 1,045.30 | $ 4.77 | $ 1,020.34 | $ 4.71 |
Horizon Active Dividend - Investor Class | 1.18% | $ 1,000.00 | $ 1,130.80 | $ 6.28 | $ 1,019.11 | $ 5.95 |
Horizon Active Dividend - Advisor Class | 1.33% | $ 1,000.00 | $ 1,129.90 | $ 7.08 | $ 1,018.35 | $ 6.71 |
Horizon Defined Risk - Investor Class | 1.04% | $ 1,000.00 | $ 1,105.80 | $ 5.48 | $ 1,019.79 | $ 5.26 |
Horizon Defined Risk - Advisor Class | 1.19% | $ 1,000.00 | $ 1,105.00 | $ 6.27 | $ 1,019.05 | $ 6.01 |
Horizon Defensive Multi-Factor - Investor Class | 1.09% | $ 1,000.00 | $ 1,150.20 | $ 5.86 | $ 1,019.55 | $ 5.51 |
Horizon Defensive Multi-Factor - Advisor Class | 1.24% | $ 1,000.00 | $ 1,149.40 | $ 6.67 | $ 1,018.80 | $ 6.26 |
Horizon ESG Defensive Core - Investor Class | 1.04% | $ 1,000.00 | $ 1,191.70 | $ 5.70 | $ 1,019.80 | $ 5.25 |
Horizon ESG Defensive Core - Advisor Class | 1.19% | $ 1,000.00 | $ 1,191.00 | $ 6.52 | $ 1,019.05 | $ 6.01 |
1 | Expenses Paid During the Period are equal to the Funds’ annualized expense ratio, multiplied by the average account value over the period, multiplied by 183 days, and divided by 366 (to reflect the number of days in the period). |
2 | The expense ratio excludes securities lending offset. |
113
Horizon Funds
Approval of the Management Agreements (Unaudited)
November 30, 2020
At an in-person meeting held on July 21, 2020, 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 Asset Allocation Fund, the Horizon Active Risk Assist Fund, the Horizon Active Income Fund the Horizon Active Dividend Fund and the Horizon Defined Risk 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 renewal and continuance 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 compliance program, 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 each 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 March 31, 2022,
114
Horizon Funds
Approval of the Management Agreements (Unaudited) (Continued)
November 30, 2020
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 each Fund grows 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.
115
Horizon Funds
Additional Information (Unaudited)
November 30, 2020
Qualified Dividend Income/Dividends Received Deduction
For the fiscal year ended November 30, 2020, certain dividends paid by the Funds may be subject to a maximum tax rate of 23.8%, as provided for by the Jobs and Growth Tax Reconciliation Act of 2003. The percentage of dividends declared from ordinary income designated as qualified dividend income was as follows:
Fund Name | Qualified Dividend Income |
Horizon Active Asset Allocation Fund | 60.32% |
Horizon Active Risk Assist® Fund | 100.00% |
Horizon Active Income Fund | 9.53% |
Horizon Active Dividend Fund | 96.22% |
Horizon Defined Risk Fund | 100.00% |
Horizon Defensive Multi-Factor Fund | 100.00% |
Horizon ESG Defensive Core Fund | 0.00% |
For corporate shareholders, the percent of ordinary income distributions qualifying for the corporate dividends received deduction for the fiscal year ended November 30, 2020 was as follows:
Fund Name | Dividends Received Deduction |
Horizon Active Asset Allocation Fund | 6.55% |
Horizon Active Risk Assist® Fund | 25.99% |
Horizon Active Income Fund | 3.14% |
Horizon Active Dividend Fund | 79.67% |
Horizon Defined Risk Fund | 100.00% |
Horizon Defensive Multi-Factor Fund | 100.00% |
Horizon ESG Defensive Core Fund | 0.00% |
Short Term Capital Gain
The percentage of taxable ordinary income distributions that are designated as short-term capital gain distributions under Internal Revenue Section 871 (k)(2)(C) for Each Fund were as follows:
Fund Name | Short Term Capital Gain |
Horizon Active Asset Allocation Fund | 0.00% |
Horizon Active Risk Assist® Fund | 0.00% |
Horizon Active Income Fund | 0.00% |
Horizon Active Dividend Fund | 15.46% |
Horizon Defined Risk Fund | 0.00% |
Horizon Defensive Multi-Factor Fund | 0.00% |
Horizon ESG Defensive Core Fund | 0.00% |
116
Horizon Funds
ADDITIONAL INFORMATION (Unaudited) (Continued)
November 30, 2020
Foreign Tax Credit
For the year ended November 30, 2020, the Horizon Active Allocation Fund, Horizon Active Income Fund and Horizon Active Risk Assist® Fund earned foreign source income and paid foreign taxes, which it intends to pass through to its shareholders pursuant to Section 853 of the Internal Revenue Code as follows:
Fund Name | | Foreign Source
Income Earned | | | Foreign
Taxes Paid | |
Horizon Active Asset Allocation Fund | | $ | 2,047,412 | | | $ | 261,234 | |
Horizon Active Income Fund | | | 181,583 | | | | 1,782 | |
Horizon Active Risk Assist® Fund | | | 5,001,940 | | | | 518,465 | |
117
Horizon Funds
ADDITIONAL INFORMATION (Unaudited) (Continued)
November 30, 2020
Interested Trustees and Officers |
Name, Address*
and
Year of Birth | Position/Term
of Office | Principal Occupation During
the Past Five Years | Number of
Portfolios
in Fund
Complex
Overseen
by Trustee | Other
Directorships
held by Trustee
During the Past
Five Years |
Robert J. Cannon** Year of Birth: 1972 | Interested Trustee Indefinite Term of Office
(since 2015) and President; One Year Term of Office
(since 2015) | CEO of Horizon Investments, LLC | 7 | 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 |
Steve Terry Year of Birth: 1980 | Treasurer; One Year Term of Office
(since October 2018) | Head of Finance and Business Systems of Horizon Investments, LLC, August 2016-present; Co-Founder, Catamaran Investment Partners, 2015-August 2016; Principal Intersection Partners, 2011-2015. | 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. |
The Statement of Additional Information includes additional information about the Funds’ Trustees and is available free of charge upon request by calling the Funds toll free at (866) 371-2399.
118
Horizon Funds
ADDITIONAL INFORMATION (Unaudited) (Continued)
November 30, 2020
Independent Trustees |
Name, Address*
and
Year of Birth | Position/Term
of Office | Principal Occupation During
the Past Five Years | Number of
Portfolios
in Fund
Complex
Overseen
by Trustee | Other
Directorships
held by Trustee
During the Past
Five Years |
John W. Davidson Year of Birth: 1946 | Trustee; Indefinite Term of Office
(since 2015) | Creator, author and founder of John Davidson’s Economic Comments (2009-Present). | 7 | 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). | 7 | None |
Thomas W. Okel Year of Birth: 1962 | Trustee; Indefinite Term of Office
(since 2015) | Executive Director (2011-2019), Catawba Lands Conservancy; Global Head of Syndicated Capital Markets (1998-2010), Bank of America Merrill Lynch. | 7 | Trustee, Barings Funds Trust (8 portfolios); Trustee, Barings Global Short Duration High Yield Fund (1 portfolio). Trustee, Barings BDC, Inc. |
* | The address for each Trustee and officer is 6210 Ardrey Kell Road, Suite 300, Charlotte, North Carolina 28277. |
119
PRIVACY NOTICE (Unaudited)
February 2016
FACTS | WHAT DOES HORIZON FUNDS DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include: ● Social Security number and account information ● Account balance and transaction history ● Wire Transfer Instructions |
How? | All financial companies need to share your personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Horizon Funds chooses to share; and whether you can limit this sharing. |
| | | | |
Reasons we can share your personal information | Does Horizon Funds share? | Can you limit this sharing? |
For our everyday business purposes —
Such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No |
For our marketing purposes —
to offer our products and services to you | No | We don’t share |
For joint marketing with other financial companies | No | We don’t share |
For our affiliates’ everyday business purposes —
information about your transactions and experiences or creditworthiness | No | We don’t share |
For non-affiliates to market to you | No | We don’t share |
Questions? | Call 1-855-754-7932 |
120
Page 2 | |
Who we are | |
Who is providing this notice? | Horizon Funds |
What we do | |
How does Horizon Funds protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. |
How does Horizon Funds collect my personal information? | We collect your personal information, for example, when you ● Open an account ● Provide account information ● Give us your contact information ● Make deposits or withdrawals from your account ● Make a wire transfer ● Tell us where to send the money ● Tell us who receives the money ● Show your government-issued ID ● Show your driver’s license |
Why can’t I limit all sharing? | Federal law gives you the right to limit only ● Sharing for affiliates’ everyday business purposes – information about your creditworthiness ● Affiliates from using your information to market to you ● Sharing for non-affiliates to market to you State laws and individual companies may give you additional rights to limit sharing. |
Definitions | |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies. ● Our affiliates include companies such as Horizon Investments, LLC. |
Non-affiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies ● Non-affiliates we share with can include financial companies such as custodians, transfer agents, registered representatives, financial advisers, and nonfinancial companies such as fulfillment, proxy voting, and class action service providers. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you. ● Horizon Funds does not jointly market. |
Investment Adviser
Horizon Investments, LLC
6210 Ardrey Kell Road, Suite 300
121
Investment Adviser
Horizon Investments, LLC
6210 Ardrey Kell Road, Suite 300
Charlotte, NC 28277
Distributor
Quasar Distributors, LLC
111 E. Kilbourn Ave, Suite 1250
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, doing business as U.S. Bank Global Fund Services
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 schedules of portfolio holdings with the SEC for their first and third fiscal quarters on Part F of Form N-PORT. Once filed, the Funds’ Part F of Form N-PORT is available without charge, upon request on the SEC’s website (http://www.sec.gov) and is available by calling 1-855-754-7932.
Item 2. Code of Ethics.
The registrant has adopted a code of ethics that applies to the registrant’s principal executive officer and principal financial officer. The registrant has not made any amendments to its code of ethics during the period covered by this report. The registrant has not granted any waivers from any provisions of the code of ethics during the period covered by this report.
Incorporated by reference to the Registrant’s Form N-CSR filed February 1, 2018.
Item 3. Audit Committee Financial Expert.
The registrant’s board of trustees has determined that there is at least one audit committee financial expert serving on its audit committee. Todd Gaylord is the “audit committee financial expert” and is considered to be “independent” as each term is defined in Item 3 of Form N-CSR.
Item 4. Principal Accountant Fees and Services.
The registrant has engaged its principal accountant, Cohen & Company, Ltd., to perform audit services, audit-related services, and tax services during the past fiscal year. “Audit services” refer to performing an audit of the registrant's annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for the fiscal year. “Audit-related services” refer to the assurance and related services by the principal accountant that are reasonably related to the performance of the audit. “Tax services” refer to professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning, including review of the registrant’s tax returns and taxable income and excise calculations and year to date estimates for book-to-tax differences. The following table details the aggregate fees billed or expected to be billed for each of the last two fiscal years for audit fees, audit-related fees, tax fees and other fees by the principal accountant.
| | FYE 11/30/2020 | FYE 11/30/2019 |
| Audit Fees | $97,500 | $90,000 |
| Audit-Related Fees | $0 | $0 |
| Tax Fees | $21,000 | $21,000 |
| All Other Fees | $3,000 | $0 |
The percentage of fees billed by Cohen & Company, Ltd. for the fiscal years ended November 30, 2020 and November 30, 2019, respectively, applicable to non-audit services pursuant to a waiver of the pre-approval requirement was as follows:
| | FYE 11/30/2020 | FYE 11/30/2019 |
| Audit-Related Fees | 0% | 0% |
| Tax Fees | 0% | 0% |
| All Other Fees | 0% | 0% |
All of the principal accountant’s hours spent on auditing the registrant’s financial statements were attributed to work performed by full-time permanent employees of the principal accountant. The following table indicates the non-audit fees billed or expected to be billed by the registrant’s accountants for services to the registrant and to the registrant’s investment adviser or Service Affiliates (as defined below) for the last two years.
| Non-Audit Related Fees | FYE 11/30/2020 | FYE 11/30/2019 |
| Registrant | $3,730 | $1,531 |
| Registrant’s Investment Adviser | $0 | $0 |
Because the registrant’s accountants have not rendered any non-audit services during the last two fiscal years to the registrant’s investment adviser, or any entity controlling, controlled by or under common control with the investment adviser that provides ongoing services to the registrant (together with the registrant’s investment adviser, “Service Affiliates”) that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, the registrant’s board of directors has not considered whether the provision of such services to the registrant’s investment adviser or the Service Affiliates is compatible with maintaining the independence of the registrant’s accountant.
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. |
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.
(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.
(4) Change in the registrant’s independent public accountant. There was no change in the registrant’s independent public accountant for the period covered by this report.
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: | 2/4/2021 | |
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: | 2/4/2021 | |
| | | |
| By (Signature and Title)* | /s/ Stephen Terry | |
| | Stephen Terry, Treasurer and Principal Financial Officer | |
| | | |
| Date: | 2/4/2021 | |
| * | Print the name and title of each signing officer under his or her signature. |
