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Form N-CSRS Horizon Funds For: May 31

August 8, 2022 2:23 PM EDT

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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, 2022

 

Date of reporting period: December 1, 2021 through May 31, 2022

 

 

 

 

 

Item 1. Reports to Stockholders.

 

(a)

 

HORIZON FUNDS

Semi-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 U.S. Defensive Equity 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

 

May 31, 2022

 

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 U.S. DEFENSIVE EQUITY 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.

 

 

Horizon Funds

 

Table of Contents

 

Portfolio Review

1

Portfolio Composition

8

Portfolio of Investments

10

Statements of Assets and Liabilities

60

Statements of Operations

62

Statements of Changes in Net Assets

64

Financial Highlights

71

Notes to Financial Statements

88

Disclosure of Fund Expenses

105

Statement Regarding Liquidity Risk Management Program

106

Additional Information

107

 

 

Horizon Active Asset Allocation Fund

Portfolio Review (Unaudited)

May 31, 2022

 

 

 

The chart above assumes an initial gross investment of $10,000 made on January 31, 2012. The Fund’s performance figures are for the period ended May 31, 2022. 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(3)

-4.63%

8.37%

8.60%

Horizon Active Asset Allocation Fund - Advisor Class(3)

-4.80%

8.24%

8.98%

Horizon Active Asset Allocation Fund - Institutional Class(3)

-4.53%

8.50%

9.80%

S&P 500 Total Return Index

-0.30%

13.38%

13.97%(2)

S&P Global BMI ex-US Index

-13.01%

4.49%

5.53%(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 14.17% and 6.49%, 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 14.37% and 5.99%, respectively.

(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 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.

 

1

 

 

Horizon Active Risk Assist® Fund
PORTFOLIO REVIEW (Unaudited)
May 31, 2022

 

 

The chart above assumes an initial gross investment of $10,000 made on August 28, 2014. The Fund’s performance figures are for the period ended May 31, 2022. 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(3)

-6.46%

4.27%

3.77%

Horizon Active Risk Assist® Fund - Advisor Class(3)

-6.62%

4.10%

5.04%

Horizon Active Risk Assist® Fund - Institutional Class(3)

-6.41%

4.37%

5.84%

Bloomberg Barclays Aggregate Bond Index

-8.22%

1.18%

1.62%(2)

S&P 500 Total Return Index

-0.30%

13.38%

11.90%(2)

S&P Global BMI ex-US Index

-13.01%

4.49%

3.46%(2)

 

(1)

Inception date is August 28, 2014 for Investor Class Shares, September 4, 2015 for Advisor Class Shares and September 9, 2016 for Institutional Class Shares.

(2)

The Since Commencement of Operations returns shown are from the commencement date of Horizon Active Risk Assist® Fund - Investor Class. The returns for the Bloomberg Barclays Aggregate Bond Index, S&P 500 Total Return Index, and S&P Global BMI ex-US Index since the commencement date of the Horizon Active Risk Assist® Fund - Advisor Class are 1.58%, 14.17%, and 6.49%, respectively. The returns for the Bloomberg Barclays Aggregate Bond Index, S&P 500 Total Return Index, and S&P Global BMI ex-US Index since the commencement date of the Horizon Active Risk Assist® Fund - Institutional Class are 0.99%, 14.37%, and 5.99%, respectively.

(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 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.

 

2

 

 

Horizon Active Income Fund
PORTFOLIO REVIEW (Unaudited)
May 31, 2022

 

 

The chart above assumes an initial gross investment of $10,000 made on September 30, 2013. The Fund’s performance figures are for the period ended May 31, 2022. 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(3)

-10.16%

-0.20%

0.27%

Horizon Active Income Fund - Advisor Class(3)

-10.24%

-0.35%

0.08%

Horizon Active Income Fund - Institutional Class(3)

-10.00%

-0.14%

-0.18%

Bloomberg Barclays Aggregate Bond Index

-8.22%

1.18%

1.98%(2)

 

(1)

Inception date is September 30, 2013 for Investor Class Shares, February 8, 2016 for Advisor Class Shares and September 9, 2016 for Institutional Class Shares.

(2)

The Since Commencement of Operations returns shown are from the commencement date of Horizon Active Income Fund - Investor Class. The returns for the Bloomberg Barclays Aggregate Bond Index since the commencement date of the Horizon Active Income Fund - Advisor Class and the Horizon Active Income Fund - Institutional Class are 1.40% and 0.99%, respectively.

(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 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.

 

3

 

 

Horizon Active Dividend Fund
PORTFOLIO REVIEW (Unaudited)
May 31, 2022

 

 

The chart above assumes an initial gross investment of $10,000 made on December 28, 2016. The Fund’s performance figures are for the period ended May 31, 2022. 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 Dividend Fund - Investor Class(4)

1.39%

6.87%

7.76%

Horizon Active Dividend Fund - Advisor Class(4)

1.23%

N/A

6.46%

MSCI World High Dividend Yield Index(3)

2.54%

7.81%

9.20%(2)

S&P Global 100 Index

2.26%

12.64%

13.79%(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 returns for the MSCI World High Dividend Yield Index and S&P Global 100 Index - Advisor Class are 7.78% and 12.70%, respectively.

(3)

The MSCI World High Dividend Yield Index has replaced the S&P Global 100 Index as the Fund’s primary bencharmk index. The Advisor believes that the new index is more appropriate given the Fund’s holdings.

(4)

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 MSCI World High Dividend Yield Index is based on the MSCI World Index, its parent index, and includes large- and mid-cap stocks across 23 developed markets countries. The index is designed to reflect the performance of equities in the parent index (excluding REITs) with higher dividend income and quality characteristics than average dividend yields that are both sustainable and persistent. The index also applies quality screens and reviews 12-month past performance to omit stocks with potentially deteriorating fundamentals that could force them to cut or reduce dividends. Investors cannot directly invest in an index.

 

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.

 

4

 

 

Horizon Defined Risk Fund
PORTFOLIO REVIEW (Unaudited)
May 31, 2022

 

 

The chart above assumes an initial gross investment of $10,000 made on December 28, 2017. The Fund’s performance figures are for the period ended May 31, 2022. 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(3)

-0.09%

4.53%

Horizon Defined Risk Fund - Advisor Class(3)

-0.27%

4.21%

Bloomberg Barclays US Treasury 1-3 Years Index

-3.06%

1.18%(2)

S&P 500 Total Return Index

-0.30%

12.19%(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 1.28%, and 11.74%, respectively.

(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 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.

 

5

 

 

Horizon U.S. Defensive Equity Fund
PORTFOLIO REVIEW (Unaudited)
May 31, 2022

 

 

The chart above assumes an initial gross investment of $10,000 made on June 26, 2019. The Fund’s performance figures are for the period ended May 31, 2022. 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 U.S. Defensive Equity Fund - Investor Class(3)

1.22%

9.28%

Horizon U.S. Defensive Equity Fund - Advisor Class(3)

1.03%

9.24%

S&P 500 Total Return Index

-0.30%

14.55%(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 U.S. Defensive Equity Fund - Investor Class. The returns for the S&P 500 Total Return Index since the commencement date of the Horizon U.S. Defensive Equity Fund - Advisor Class are 13.01%.

(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 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.

 

6

 

 

Horizon ESG Defensive Core Fund
PORTFOLIO REVIEW (Unaudited)
May 31, 2022

 

 

The chart above assumes an initial gross investment of $10,000 made on December 26, 2019. The Fund’s performance figures are for the period ended May 31, 2022. 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 ESG Defensive Core Fund - Investor Class(3)

-0.89%

13.30%

Horizon ESG Defensive Core Fund - Advisor Class(3)

-1.07%

13.17%

MSCI USA Index

-2.28%

12.17%(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 12.11%.

(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 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.

 

7

 

 

Horizon Funds

Portfolio Composition (Unaudited)

May 31, 2022

 

 

Horizon Active Asset Allocation Fund Portfolio Composition as of May 31, 2022:

 

 

% of Total
Investments

Investment Companies

73.5%

Short-Term Investments

2.5%

Investments Purchased With Proceeds From Securities Lending

24.0%

 

100.0%

 

Horizon Active Risk Assist® Fund Portfolio Composition as of May 31, 2022:

 

 

% of Total
Investments

Investment Companies

81.7%

Common Stocks

2.0%

Purchased Call Options

0.2%

Purchased Put Options

0.0%(a)

Short-Term Investments

3.3%

Investments Purchased With Proceeds From Securities Lending

12.8%

 

100.0%

 

Horizon Active Income Fund Portfolio Composition as of May 31, 2022:

 

 

% of Total
Investments

Investment Companies

83.4%

Short-Term Investments

0.7%

Investments Purchased With Proceeds From Securities Lending

15.9%

 

100.0%

 

Horizon Active Dividend Fund Portfolio Composition as of May 31, 2022:

 

 

% of Total
Investments

Common Stocks

95.5%

Preferred Stocks

0.2%

Short-Term Investments

1.8%

Investments Purchased With Proceeds From Securities Lending

2.5%

 

100.0%

 

8

 

 

Horizon Funds
PORTFOLIO COMPOSITION (Unaudited) (Continued)
May 31, 2022

 

Horizon Defined Risk Fund Portfolio Composition as of May 31, 2022:

 

 

% of Total
Investments

Common Stocks

91.7%

Purchased Put Options

4.6%

Short-Term Investments

3.7%

Investments Purchased With Proceeds From Securities Lending

0.0%(a)

 

100.0%

 

Horizon U.S. Defensive Equity Fund Portfolio Composition as of May 31, 2022:

 

 

% of Total
Investments

Common Stocks

97.5%

Short-Term Investments

2.5%

 

100.0%

 

Horizon ESG Defensive Core Fund Portfolio Composition as of May 31, 2022:

 

 

% of Total
Investments

Investment Companies

29.5%

Common Stocks

68.3%

Short-Term Investments

2.2%

 

100.0%

 

Data expressed excludes written options. Please refer to the Portfolio of Investments in this report for a detailed analysis of the Funds’ holdings.

 

(a)

Rounds to less than 0.1%

 

9

 

 

Horizon Active Asset Allocation Fund

Portfolio of Investments (Unaudited)

May 31, 2022

 

 

 

Shares

             

Value

 
       

INVESTMENT COMPANIES - 96.7%

               
       

Exchange Traded Funds - 96.7%

               
    96,856  

Consumer Staples Select Sector SPDR Fund

          $ 7,212,866  
    289,155  

Energy Select Sector SPDR Fund

            25,214,316  
    215,421  

Invesco QQQ Trust Series 1 (a)

            66,409,986  
    636,108  

Invesco S&P 500 Equal Weight ETF (a)

            94,735,564  
    202,275  

iShares Core S&P Mid-Cap ETF (a)

            50,807,434  
    507,675  

iShares Core S&P Small-Cap ETF

            51,417,324  
    292,869  

iShares Edge MSCI USA Quality Factor ETF

            36,101,962  
    1,231,446  

iShares International Select Dividend ETF (a)

            38,692,033  
    283,748  

iShares Latin America 40 ETF (a)

            8,066,956  
    293,613  

iShares MSCI Australia ETF (a)

            7,246,369  
    194,024  

iShares MSCI Canada ETF (a)

            7,339,928  
    534,571  

iShares MSCI Japan ETF (a)

            30,791,290  
    790,640  

iShares MSCI USA Minimum Volatility ETF

            58,080,414  
    529,080  

iShares Select Dividend ETF

            68,843,889  
    107,858  

Schwab U.S. Large-Cap Value ETF (a)

            7,417,395  
    104,414  

Overlay Shares Large Cap Equity ETF

            3,569,915  
    630,907  

SPDR Portfolio Emerging Markets ETF

            23,040,724  
    1,830,322  

SPDR Portfolio S&P 500 Value ETF

            73,853,493  
    564,709  

Xtrackers MSCI USA ESG Leaders Equity ETF

            21,351,647  
    194,809  

Xtrackers S&P 500 ESG ETF

            7,266,376  
    842,720  

WisdomTree U.S. Quality Dividend Growth Fund

            51,793,571  
       

TOTAL INVESTMENT COMPANIES (Cost - $753,684,320)

            739,253,452  
                         
       

SHORT TERM INVESTMENTS - 3.3%

               
       

Money Market Funds - 3.3%

               
    24,759,239  

First American Treasury Obligations Fund, Class X. 0.67% (b)

            24,759,239  
       

TOTAL SHORT TERM INVESTMENTS (Cost - $24,759,239)

            24,759,239  
                         
       

INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING - 31.5%

               
    200,699,189  

First American Government Obligations Fund, Class X, 0.65% (b)

            240,825,029  
       

TOTAL INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING (Cost - $240,825,029)

            240,825,029  
                         
       

TOTAL INVESTMENTS - 131.5% (Cost - $1,019,268,588)

            1,004,837,720  
       

Liabilities in Excess of Other Assets - (31.5)%

            (240,516,405 )
       

NET ASSETS - 100.0%

          $ 764,321,315  

 

Percentages are stated as a percent of net assets.

 

(a)

All or a portion of this security is out on loan as of May 31, 2022.

 

(b)

Interest rate reflects the seven-day yield on May 31, 2022.

 

See accompanying notes to financial statements.

 

10

 

 

Horizon Active Risk Assist® Fund
PORTFOLIO OF INVESTMENTS (Unaudited)
May 31, 2022

 

 

Shares

             

Value

 
       

INVESTMENT COMPANIES - 95.8%

               
       

Exchange Traded Funds - 95.8%

               
    235,075  

Invesco QQQ Trust Series 1 (f)

          $ 72,468,921  
    347,081  

Invesco S&P 500 Equal Weight ETF (f)

            51,690,773  
    597,015  

iShares Core MSCI Total International Stock ETF

            37,629,855  
    363,560  

iShares Core S&P Small-Cap ETF

            36,821,357  
    175,070  

iShares Core S&P Mid-Cap ETF (f)

            43,974,083  
    295,434  

iShares Edge MSCI USA Quality Factor ETF

            36,418,149  
    983,001  

iShares MSCI USA Minimum Volatility ETF

            72,211,253  
    393,843  

iShares Select Dividend ETF (f)

            51,246,851  
    5,469,119  

SPDR Bloomberg 1-3 Month T-Bill ETF (f)(h)

            500,150,933  
    2,774,352  

SPDR Portfolio Developed World ex-US ETF (f)

            90,138,697  
    1,028,383  

SPDR Portfolio Emerging Markets ETF

            37,556,547  
    507,181  

SPDR Portfolio S&P 500 Growth ETF (e)

            28,954,963  
    1,439,208  

SPDR Portfolio S&P 500 Value ETF (e)(f)

            58,072,043  
    819,091  

WisdomTree U.S. Quality Dividend Growth Fund (f)

            50,341,333  
    576,694  

Xtrackers MSCI USA ESG Leaders Equity ETF

            21,804,800  
    196,866  

Xtrackers S&P 500 ESG ETF (e)

            7,343,102  
       

TOTAL INVESTMENT COMPANIES (Cost - $1,221,081,029)

            1,196,823,660  
                         
       

COMMON STOCKS - 2.3%

               
       

Accommodation and Food Services - 0.0% (b)

               
    1,598  

Caesars Entertainment, Inc. (a)

            80,172  
    5,871  

Penn National Gaming, Inc. (a)

            187,637  
                      267,809  
       

Advertising - 0.0% (b)

               
    3,266  

Interpublic Group of Cos., Inc.

            105,263  
    1,142  

Omnicom Group, Inc.

            85,205  
                      190,468  
       

Aerospace/Defense - 0.1%

               
    248  

General Dynamics Corp.

            55,778  
    2,186  

Howmet Aerospace, Inc.

            78,193  
    166  

L3Harris Technologies, Inc.

            39,989  
    162  

Lockheed Martin Corp.

            71,298  
    102  

Northrop Grumman Corp.

            47,733  
    239  

Teledyne Technologies, Inc. (a)

            96,831  
    49  

TransDigm Group, Inc. (a)

            29,663  
                      419,485  
       

Agriculture - 0.0% (b)

               
    1,059  

Altria Group, Inc.

            57,281  
    689  

Archer Daniels Midland Co.

            62,575  
                      119,856  
       

Airlines - 0.0% (b)

               
    3,042  

Alaska Air Group, Inc. (a)

            146,807  

 

See accompanying notes to financial statements.

 

11

 

 

Horizon Active Risk Assist® Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2022

 

 

Shares

             

Value

 
    4,742  

American Airlines Group, Inc. (a)

          $ 84,740  
    900  

Delta Air Lines, Inc. (a)

            37,521  
    750  

Southwest Airlines Co. (a)

            34,395  
    1,329  

United Airlines Holdings, Inc. (a)

            63,300  
                      366,763  
       

Apparel - 0.1%

               
    3,430  

PVH Corp.

            243,084  
    4,607  

Tapestry, Inc.

            158,942  
    20,090  

Under Armour, Inc., Class A (a)

            212,552  
    1,198  

VF Corp.

            60,451  
                      675,029  
       

Auto Manufacturers - 0.0% (b)

               
    163  

Cummins, Inc.

            34,087  
    2,881  

Ford Motor Co.

            39,412  
    474  

General Motors Co. (a)

            18,334  
    366  

PACCAR, Inc.

            31,783  
                      123,616  
       

Auto Parts & Equipment - 0.0% (b)

               
    402  

Aptiv PLC (a)

            42,708  
    3,177  

BorgWarner, Inc.

            128,097  
                      170,805  
       

Banks - 0.1%

               
    688  

Bank of New York Mellon Corp.

            32,068  
    1,357  

Citizens Financial Group, Inc.

            56,153  
    1,274  

Comerica, Inc.

            106,009  
    1,110  

Fifth Third Bancorp

            43,767  
    286  

First Republic Bank

            44,339  
    4,163  

Huntington Bancshares, Inc.

            57,782  
    3,026  

KeyCorp

            60,399  
    208  

M&T Bank Corp.

            37,434  
    454  

Northern Trust Corp.

            50,734  
    92  

PNC Financial Services Group, Inc.

            16,138  
    2,651  

Regions Financial Corp.

            58,561  
    598  

State Street Corp.

            43,349  
    78  

SVB Financial Group (a)

            38,108  
    338  

Truist Financial Corp.

            16,812  
    2,265  

Zions Bancorp NA

            129,196  
                      790,849  
       

Beverages - 0.0% (b)

               
    526  

Brown-Forman Corp.

            34,779  
    2,510  

Coca-Cola Co.

            159,084  
    1,664  

Molson Coors Brewing Co.

            92,918  
    267  

Monster Beverage Corp. (a)

            23,795  
                      310,576  

 

See accompanying notes to financial statements.

 

12

 

 

Horizon Active Risk Assist® Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2022

 

 

Shares

             

Value

 
       

Biotechnology - 0.0% (b)

               
    185  

Biogen, Inc. (a)

          $ 37,000  
    141  

Bio-Rad Laboratories, Inc.. Class A (a)

            75,828  
    1,024  

Corteva, Inc.

            64,123  
    216  

Gilead Sciences, Inc.

            14,008  
    121  

Illumina, Inc. (a)

            28,977  
    814  

Incyte Corp. (a)

            61,775  
    83  

Regeneron Pharmaceuticals, Inc. (a)

            55,173  
    231  

Vertex Pharmaceuticals, Inc. (a)

            62,058  
                      398,942  
       

Building Materials - 0.0% (b)

               
    752  

Carrier Global Corp.

            29,561  
    1,389  

Fortune Brands Home & Security, Inc.

            96,327  
    477  

Johnson Controls International PLC

            26,002  
    148  

Martin Marietta Materials, Inc.

            50,228  
    1,355  

Masco Corp.

            76,815  
    285  

Vulcan Materials Co.

            46,988  
                      325,921  
       

Chemicals - 0.1%

               
    86  

Air Products & Chemicals, Inc.

            21,170  
    169  

Albemarle Corp.

            44,011  
    452  

Celanese Corp.

            70,747  
    757  

CF Industries Holdings, Inc.

            74,769  
    317  

Dow, Inc.

            21,550  
    495  

DuPont de Nemours, Inc.

            33,586  
    748  

Eastman Chemical Co.

            82,400  
    729  

FMC Corp.

            89,361  
    264  

International Flavors & Fragrances, Inc.

            34,893  
    274  

LyondellBasell Industries NV, Class A

            31,304  
    1,154  

Mosaic Co.

            72,298  
    272  

PPG Industries, Inc.

            34,405  
    53  

Sherwin-Williams Co.

            14,206  
                      624,700  
       

Commercial Services - 0.1%

               
    295  

Automatic Data Processing, Inc.

            65,767  
    101  

Cintas Corp.

            40,231  
    135  

Ecolab, Inc.

            22,128  
    182  

Equifax, Inc.

            36,870  
    465  

FleetCor Technologies, Inc. (a)

            115,697  
    424  

Gartner, Inc. (a)

            111,258  
    445  

Global Payments, Inc.

            58,313  
    406  

MarketAxess Holdings, Inc.

            114,362  
    65  

Moody’s Corp.

            19,602  

 

See accompanying notes to financial statements.

 

13

 

 

Horizon Active Risk Assist® Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2022

 

 

Shares

             

Value

 
    240  

PayPal Holdings, Inc. (a)

          $ 20,450  
    605  

Quanta Services, Inc.

            71,995  
    979  

Robert Half International, Inc.

            88,257  
    1,655  

Rollins, Inc.

            58,686  
    149  

United Rentals, Inc. (a)

            44,429  
    244  

Verisk Analytics, Inc.

            42,680  
                      910,725  
       

Computers - 0.1%

               
    1,892  

Apple, Inc.

            281,605  
    894  

Cognizant Technology Solutions Corp., Class A

            66,782  
    8,967  

DXC Technology Co. (a)

            315,818  
    278  

Fortinet, Inc. (a)

            81,771  
    5,474  

Hewlett Packard Enterprise Co.

            85,394  
    1,975  

HP, Inc.

            76,709  
    111  

International Business Machines Corp.

            15,411  
    726  

Leidos Holdings, Inc.

            75,867  
    1,510  

NetApp, Inc.

            108,645  
    1,671  

Western Digital Corp. (a)

            101,413  
                      1,209,415  
       

Cosmetics/Personal Care - 0.0% (b)

               
    206  

Colgate-Palmolive Co.

            16,235  
    1,165  

Procter & Gamble Co.

            172,280  
                      188,515  
       

Distribution/Wholesale - 0.0% (b)

               
    318  

Copart, Inc. (a)

            36,420  
    563  

Fastenal Co.

            30,154  
    1,445  

LKQ Corp.

            74,259  
    114  

WW Grainger, Inc.

            55,526  
                      196,359  
       

Diversified Financial Services - 0.1%

               
    285  

American Express Co.

            48,114  
    137  

Ameriprise Financial, Inc.

            37,849  
    169  

Capital One Financial Corp.

            21,608  
    207  

CME Group, Inc.

            41,158  
    319  

Discover Financial Services

            36,203  
    3,413  

Franklin Resources, Inc.

            92,424  
    192  

Intercontinental Exchange, Inc.

            19,659  
    7,081  

Invesco, Ltd.

            136,947  
    282  

Nasdaq, Inc.

            43,783  
    703  

Raymond James Financial, Inc.

            69,239  
    1,527  

Synchrony Financial

            56,560  
    293  

T. Rowe Price Group, Inc.

            37,237  
                      640,781  

 

See accompanying notes to financial statements.

 

14

 

 

Horizon Active Risk Assist® Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2022

 

 

Shares

             

Value

 
       

Electric - 0.1%

               
    3,559  

AES Corp.

          $ 78,440  
    1,202  

Alliant Energy Corp.

            76,712  
    473  

Ameren Corp.

            45,025  
    517  

American Electric Power Co., Inc.

            52,749  
    2,363  

CenterPoint Energy, Inc.

            75,734  
    772  

CMS Energy Corp.

            54,843  
    623  

Consolidated Edison, Inc.

            61,839  
    185  

Dominion Energy, Inc.

            15,581  
    304  

DTE Energy Co.

            40,344  
    573  

Edison International

            40,058  
    368  

Entergy Corp.

            44,278  
    1,004  

Evergy, Inc.

            70,220  
    374  

Eversource Energy

            34,528  
    480  

Exelon Corp.

            23,592  
    1,485  

FirstEnergy Corp.

            63,796  
    2,535  

NRG Energy, Inc.

            116,711  
    1,712  

Pinnacle West Capital Corp.

            132,937  
    1,717  

PPL Corp.

            51,819  
    435  

Public Service Enterprise Group, Inc.

            29,815  
    353  

Sempra Energy

            57,842  
    594  

Southern Co.

            44,942  
    325  

WEC Energy Group, Inc.

            34,148  
    354  

Xcel Energy, Inc.

            26,670  
                      1,272,623  
       

Electrical Components & Equipment - 0.0% (b)

               
    263  

AMETEK, Inc.

            31,947  
    206  

Emerson Electric Co.

            18,264  
                      50,211  
       

Electronics - 0.1%

               
    246  

Agilent Technologies, Inc.

            31,380  
    824  

Allegion PLC

            92,000  
    616  

Amphenol Corp., Class A

            43,650  
    711  

Fortive Corp.

            43,918  
    502  

Garmin, Ltd.

            53,021  
    528  

Keysight Technologies, Inc. (a)

            76,877  
    28  

Mettler-Toledo International, Inc. (a)

            36,011  
    385  

PerkinElmer, Inc.

            57,623  
    89  

Roper Technologies, Inc.

            39,377  
    352  

TE Connectivity, Ltd.

            45,545  
    167  

Waters Corp. (a)

            54,768  
                      574,170  

 

See accompanying notes to financial statements.

 

15

 

 

Horizon Active Risk Assist® Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2022

 

 

Shares

             

Value

 
       

Engineering & Construction - 0.0% (b)

               
    469  

Jacobs Engineering Group, Inc.

          $ 65,702  
                         
       

Entertainment - 0.0% (b)

               
    844  

Live Nation Entertainment, Inc. (a)

            80,222  
                         
       

Environmental Control - 0.0% (b)

               
    2,211  

Pentair PLC

            110,926  
    336  

Republic Services, Inc.

            44,970  
    255  

Waste Management, Inc.

            40,420  
                      196,316  
       

Finance and Insurance - 0.0% (b)

               
    1,339  

Brown & Brown, Inc.

            79,497  
    357  

Signature Bank/New York NY

            77,208  
    290  

US Bancorp

            15,390  
                      172,095  
       

Food - 0.1%

               
    1,383  

Campbell Soup Co.

            66,260  
    1,700  

Conagra Brands, Inc.

            55,913  
    335  

General Mills, Inc.

            23,400  
    264  

Hershey Co.

            55,891  
    1,091  

Hormel Foods Corp.

            53,099  
    474  

J.M. Smucker Co.

            59,425  
    572  

Kellogg Co.

            39,891  
    447  

Kraft Heinz Co.

            16,910  
    1,077  

Kroger Co.

            57,049  
    1,836  

Lamb Weston Holdings, Inc.

            124,077  
    405  

McCormick & Co., Inc.

            37,552  
    286  

Sysco Corp.

            24,075  
    589  

Tyson Foods, Inc., Class A

            52,780  
                      666,322  
       

Forest Products & Paper - 0.0% (b)

               
    1,208  

International Paper Co.

            58,528  
                         
       

Gas - 0.0% (b)

               
    715  

Atmos Energy Corp.

            83,162  
    3,400  

NiSource, Inc.

            106,930  
                      190,092  
       

Hand/Machine Tools - 0.0% (b)

               
    365  

Snap-on, Inc.

            80,986  
    397  

Stanley Black & Decker, Inc.

            47,120  
                      128,106  
       

Health Care and Social Assistance - 0.0% (b)

               
    224  

Molina Healthcare, Inc. (a)

            65,009  

 

See accompanying notes to financial statements.

 

16

 

 

Horizon Active Risk Assist® Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2022

 

 

Shares

             

Value

 
       

Healthcare Products - 0.1%

               
    372  

ABIOMED, Inc. (a)

          $ 98,096  
    178  

Align Technology, Inc. (a)

            49,420  
    384  

Baxter International, Inc.

            29,203  
    461  

Boston Scientific Corp. (a)

            18,906  
    197  

Cooper Cos., Inc.

            69,096  
    3,219  

Dentsply Sirona, Inc.

            127,344  
    175  

Edwards Lifesciences Corp. (a)

            17,649  
    764  

Hologic, Inc. (a)

            57,506  
    98  

IDEXX Laboratories, Inc. (a)

            38,379  
    180  

ResMed, Inc.

            36,623  
    216  

STERIS PLC

            49,291  
    310  

Teleflex, Inc.

            89,199  
    154  

West Pharmaceutical Services, Inc.

            47,799  
    359  

Zimmer Biomet Holdings, Inc.

            43,155  
                      771,666  
       

Healthcare Services - 0.1%

               
    142  

Anthem, Inc.

            72,365  
    1,009  

DaVita, Inc. (a)

            98,367  
    69  

HCA Healthcare, Inc.

            14,518  
    44  

Humana, Inc.

            19,986  
    126  

IQVIA Holdings, Inc. (a)

            27,121  
    183  

Laboratory Corp. of America Holdings

            45,150  
    482  

Quest Diagnostics, Inc.

            67,972  
    545  

UnitedHealth Group, Inc.

            270,745  
    873  

Universal Health Services, Inc., Class B

            108,784  
                      725,008  
       

Home Builders - 0.0% (b)

               
    616  

DR Horton, Inc.

            46,292  
    602  

Lennar Corp., Class A

            48,311  
    20  

NVR, Inc. (a)

            89,012  
    2,410  

PulteGroup, Inc.

            109,077  
                      292,692  
       

Home Furnishings - 0.0% (b)

               
    517  

Whirlpool Corp.

            95,252  
                         
       

Household Products/Wares - 0.0% (b)

               
    413  

Avery Dennison Corp.

            71,267  
    454  

Church & Dwight Co., Inc.

            40,887  
    346  

Clorox Co.

            50,295  
    160  

Kimberly-Clark Corp.

            21,283  
                      183,732  

 

See accompanying notes to financial statements.

 

17

 

 

Horizon Active Risk Assist® Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2022

 

 

Shares

             

Value

 
       

Housewares - 0.0% (b)

               
    4,817  

Newell Brands, Inc.

          $ 103,277  
                         
       

Information - 0.1%

               
    4,167  

Ceridian HCM Holding, Inc. (a)

            234,602  
    197  

FactSet Research Systems, Inc.

            75,211  
    10,079  

Lumen Technologies, Inc. (f)

            123,367  
    1,291  

PTC, Inc. (a)

            150,440  
    1,620  

Warner Bros Discovery, Inc. (a)

            29,889  
                      613,509  
       

Insurance - 0.1%

               
    833  

Aflac, Inc.

            50,455  
    221  

Allstate Corp.

            30,209  
    733  

American International Group, Inc.

            43,012  
    60  

Aon PLC

            16,540  
    319  

Arthur J Gallagher & Co.

            51,659  
    629  

Assurant, Inc.

            111,138  
    928  

Berkshire Hathaway, Inc., Class B (a)

            293,229  
    201  

Chubb Ltd.

            42,469  
    508  

Cincinnati Financial Corp.

            64,953  
    327  

Everest Re Group Ltd.

            92,378  
    1,072  

Globe Life, Inc.

            104,595  
    624  

Hartford Financial Services Group, Inc.

            45,246  
    1,955  

Lincoln National Corp.

            113,253  
    1,249  

Loews Corp.

            81,797  
    217  

Marsh & McLennan Cos., Inc.

            34,709  
    288  

MetLife, Inc.

            19,408  
    1,034  

Principal Financial Group, Inc.

            75,410  
    419  

Progressive Corp.

            50,020  
    250  

Prudential Financial, Inc.

            26,563  
    268  

Travelers Cos., Inc.

            47,983  
    212  

Willis Towers Watson PLC

            44,747  
    1,131  

WR Berkley Corp.

            80,448  
                      1,520,221  
       

Internet - 0.1%

               
    465  

CDW Corp.

            78,985  
    761  

eBay, Inc.

            37,038  
    462  

Expedia Group, Inc. (a)

            59,750  
    1,017  

F5 Networks, Inc. (a)

            165,812  
    85  

Netflix, Inc. (a)

            16,782  
    5,697  

NortonLifeLock, Inc.

            138,665  
    562  

VeriSign, Inc. (a)

            98,097  
                      595,129  

 

See accompanying notes to financial statements.

 

18

 

 

Horizon Active Risk Assist® Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2022

 

 

Shares

             

Value

 
       

Iron/Steel - 0.0% (b)

               
    453  

Nucor Corp.

          $ 60,004  
                         
       

Leisure Time - 0.0% (b)

               
    4,015  

Carnival Corp. (a)

            55,728  
    8,533  

Norwegian Cruise Line Holdings Ltd. (a)(f)

            136,614  
    959  

Royal Caribbean Cruises Ltd. (a)

            55,689  
                      248,031  
       

Lodging - 0.0% (b)

               
    341  

Hilton Worldwide Holdings, Inc.

            48,033  
    1,276  

Las Vegas Sands Corp. (a)

            45,247  
    283  

Marriott International, Inc.

            48,557  
    1,796  

MGM Resorts International

            62,806  
    2,205  

Wynn Resorts Ltd. (a)

            145,751  
                      350,394  
       

Machinery - Diversified - 0.0% (b)

               
    115  

Deere & Co.

            41,145  
    364  

Dover Corp.

            48,743  
    345  

IDEX Corp.

            66,085  
    1,190  

Ingersoll Rand, Inc.

            56,108  
    399  

Otis Worldwide Corp.

            29,686  
    179  

Rockwell Automation, Inc.

            38,163  
    754  

Wabtec Corp.

            71,223  
    709  

Xylem, Inc.

            59,733  
                      410,886  
       

Manufacturing - 0.1%

               
    202  

Bio-Techne Corp.

            74,686  
    623  

Catalent, Inc. (a)

            64,206  
    644  

Enphase Energy, Inc. (a)

            119,906  
    273  

Generac Holdings, Inc. (a)

            67,453  
    144  

Moderna, Inc. (a)

            20,928  
    211  

Monolithic Power Systems, Inc.

            95,032  
    357  

Nordson Corp.

            77,783  
    216  

NXP Semiconductors NV

            40,988  
    3,429  

Organon & Co.

            130,165  
    711  

Raytheon Technologies Corp.

            67,630  
    1,236  

Seagate Technology Holdings Plc

            104,652  
    560  

SolarEdge Technologies, Inc. (a)

            152,763  
    1,024  

Teradyne, Inc.

            111,882  
    304  

Tesla, Inc. (a)

            230,511  
    1,793  

Trimble, Inc. (a)

            122,014  
                      1,480,599  

 

See accompanying notes to financial statements.

 

19

 

 

Horizon Active Risk Assist® Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2022

 

 

Shares

             

Value

 
       

Media - 0.1%

               
    33  

Charter Communications, Inc., Class A (a)

          $ 16,729  
    4,881  

DISH Network Corp., Class A (a)

            111,433  
    2,257  

Fox Corp.

            80,146  
    6,893  

News Corp., Class A

            119,938  
    2,431  

ViacomCBS, Inc., Class B

            83,456  
                      411,702  
       

Mining - 0.0% (b)

               
    1,396  

Freeport-McMoRan, Inc.

            54,556  
    801  

Newmont Goldcorp Corp.

            54,348  
                      108,904  
       

Mining, Quarrying, and Oil and Gas Extraction - 0.0% (b)

               
    2,208  

APA Corp.

            103,798  
                         
       

Miscellaneous Manufacturing - 0.0% (b)

               
    1,643  

AO Smith Corp.

            98,777  
    108  

Eaton Corp PLC

            14,969  
    68  

Illinois Tool Works, Inc.

            14,149  
    98  

Parker-Hannifin Corp.

            26,672  
    962  

Textron, Inc.

            62,809  
    217  

Trane Technologies PLC

            29,959  
                      247,335  
       

Office/Business Equipment - 0.0% (b)

               
    299  

Zebra Technologies Corp., Class A (a)

            101,119  
                         
       

Oil & Gas - 0.1%

               
    1,334  

Cabot Oil & Gas Corp.

            45,796  
    1,374  

Chevron Corp.

            239,983  
    937  

Devon Energy Corp.

            70,181  
    320  

Diamondback Energy, Inc.

            48,646  
    112  

EOG Resources, Inc.

            15,340  
    271  

Hess Corp.

            33,352  
    2,881  

Marathon Oil Corp.

            90,550  
    219  

Marathon Petroleum Corp.

            22,292  
    1,029  

Occidental Petroleum Corp.

            71,320  
    250  

Phillips 66

            25,203  
    64  

Pioneer Natural Resources Co.

            17,788  
    164  

Valero Energy Corp.

            21,254  
                      701,705  
       

Oil & Gas Services - 0.0% (b)

               
    1,069  

Baker Hughes & GE Co., Class A

            38,463  

 

See accompanying notes to financial statements.

 

20

 

 

Horizon Active Risk Assist® Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2022

 

 

Shares

             

Value

 
    1,703  

Halliburton Co.

          $ 68,971  
    451  

Schlumberger, Ltd.

            20,728  
                      128,162  
       

Packaging & Containers - 0.0% (b)

               
    4,254  

Amcor PLC

            55,728  
    429  

Packaging Corp of America

            67,473  
    1,890  

Sealed Air Corp.

            117,520  
    1,453  

Westrock Co.

            70,456  
                      311,177  
       

Pharmaceuticals - 0.1%

               
    1,206  

AbbVie, Inc.

            177,728  
    336  

AmerisourceBergen Corp.

            52,009  
    56  

Becton Dickinson & Co.

            14,325  
    1,351  

Bristol-Myers Squibb Co.

            101,933  
    1,256  

Cardinal Health, Inc.

            70,738  
    714  

CVS Health Corp.

            69,079  
    90  

DexCom, Inc. (a)

            26,815  
    606  

Eli Lilly & Co.

            189,945  
    1,113  

Henry Schein, Inc. (a)

            95,317  
    952  

Johnson & Johnson

            170,913  
    171  

McKesson Corp.

            56,206  
    2,921  

Pfizer, Inc.

            154,930  
    8,341  

Viatris, Inc.

            102,344  
                      1,282,282  
       

Pipelines - 0.0% (b)

               
    1,280  

Kinder Morgan, Inc.

            25,203  
    565  

ONEOK, Inc.

            37,205  
    682  

Williams Cos., Inc.

            25,275  
                      87,683  
       

Professional, Scientific, and Technical Services - 0.0% (b)

               
    368  

Charles River Laboratories International, Inc. (a)

            86,142  
    290  

EPAM Systems, Inc. (a)

            98,171  
    839  

Match Group, Inc. (a)

            66,096  
                      250,409  
       

Real Estate - 0.0% (b)

               
    496  

CBRE Group, Inc., Class A (a)

            41,089  
                         
       

Real Estate Investment Trusts - 0.1%

               
    218  

Alexandria Real Estate Equities, Inc.

            36,177  
    170  

AvalonBay Communities, Inc.

            35,353  
    502  

Boston Properties, Inc.

            55,812  
    540  

Camden Property Trust

            77,484  
    76  

Crown Castle International Corp.

            14,413  

 

See accompanying notes to financial statements.

 

21

 

 

Horizon Active Risk Assist® Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2022

 

 

Shares

             

Value

 
    202  

Digital Realty Trust, Inc.

          $ 28,197  
    1,062  

Duke Realty Corp.

            56,106  
    25  

Equinix, Inc.

            17,177  
    496  

Equity Residential

            38,108  
    175  

Essex Property Trust, Inc.

            49,674  
    347  

Extra Space Storage, Inc.

            61,835  
    1,046  

Federal Realty Investment Trust

            120,259  
    2,127  

Healthpeak Properties, Inc.

            63,151  
    4,280  

Host Hotels & Resorts, Inc.

            85,557  
    1,593  

Iron Mountain, Inc.

            85,863  
    3,610  

Kimco Realty Corp.

            85,377  
    276  

Mid-America Apartment Communities, Inc.

            49,956  
    494  

Prologis, Inc.

            62,975  
    190  

Public Storage

            62,822  
    413  

Realty Income Corp.

            28,175  
    1,343  

Regency Centers Corp.

            91,606  
    88  

SBA Communications Corp.

            29,622  
    219  

Simon Property Group, Inc.

            25,108  
    1,384  

UDR, Inc.

            66,155  
    862  

Ventas, Inc.

            48,910  
    4,376  

Vornado Realty Trust

            152,985  
    589  

Welltower, Inc.

            52,474  
    897  

Weyerhaeuser Co.

            35,449  
                      1,616,780  
       

Retail - 0.1%

               
    460  

Advance Auto Parts, Inc.

            87,336  
    29  

AutoZone, Inc. (a)

            59,730  
    572  

Best Buy Co., Inc.

            46,938  
    749  

CarMax, Inc. (a)

            74,353  
    20  

Chipotle Mexican Grill, Inc. (a)

            28,051  
    301  

Costco Wholesale Corp.

            140,332  
    511  

Darden Restaurants, Inc.

            63,875  
    192  

Dollar General Corp.

            42,305  
    362  

Dollar Tree, Inc. (a)

            58,039  
    254  

Domino’s Pizza, Inc.

            92,245  
    504  

Genuine Parts Co.

            68,912  
    194  

McDonald’s Corp.

            48,929  
    76  

O’Reilly Automotive, Inc. (a)

            48,425  
    341  

Ross Stores, Inc.

            28,992  
    116  

Target Corp.

            18,778  
    259  

TJX Cos., Inc.

            16,465  
    293  

Tractor Supply Co.

            54,896  
    175  

Ulta Beauty, Inc. (a)

            74,043  
    629  

Walgreens Boots Alliance, Inc.

            27,569  
    280  

Yum! Brands, Inc.

            34,012  
                      1,114,225  

 

See accompanying notes to financial statements.

 

22

 

 

Horizon Active Risk Assist® Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2022

 

 

Shares

             

Value

 
       

Retail Trade - 0.0% (b)

               
    1,685  

Bath & Body Works, Inc.

          $ 69,119  
    1,110  

Etsy, Inc. (a)

            90,043  
                      159,162  
       

Semiconductors - 0.1%

               
    140  

Analog Devices, Inc.

            23,576  
    169  

Applied Materials, Inc.

            19,822  
    206  

Broadcom, Inc.

            119,507  
    3,448  

IPG Photonics Corp. (a)

            363,729  
    113  

KLA Corp.

            41,228  
    59  

Lam Research Corp.

            30,682  
    698  

Microchip Technology, Inc.

            50,710  
    329  

Micron Technology, Inc.

            24,293  
    766  

NVIDIA Corp.

            143,027  
    1,465  

Qorvo, Inc. (a)

            163,714  
    390  

QUALCOMM, Inc.

            55,856  
    1,022  

Skyworks Solutions, Inc.

            111,265  
                      1,147,409  
       

Shipbuilding - 0.0% (b)

               
    501  

Huntington Ingalls Industries, Inc.

            105,440  
                         
       

Software - 0.1%

               
    1,344  

Akamai Technologies, Inc. (a)

            135,798  
    314  

ANSYS, Inc. (a)

            81,753  
    229  

Autodesk, Inc. (a)

            47,575  
    787  

Broadridge Financial Solutions, Inc.

            115,075  
    466  

Cadence Design Systems, Inc. (a)

            71,638  
    336  

Electronic Arts, Inc.

            46,586  
    313  

Fidelity National Information Services, Inc.

            32,709  
    309  

Fiserv, Inc. (a)

            30,956  
    42  

Intuit, Inc.

            17,407  
    837  

Jack Henry & Associates, Inc.

            157,456  
    80  

MSCI, Inc.

            35,388  
    613  

Paychex, Inc.

            75,908  
    359  

Paycom Software, Inc. (a)

            102,078  
    45  

ServiceNow, Inc. (a)

            21,036  
    241  

Synopsys, Inc. (a)

            76,927  
    876  

Take-Two Interactive Software, Inc. (a)

            109,088  
    336  

Tyler Technologies, Inc. (a)

            119,556  
                      1,276,934  
       

Telecommunications - 0.0% (b)

               
    800  

Arista Networks, Inc. (a)

            81,824  
    1,606  

Corning, Inc.

            57,527  

 

See accompanying notes to financial statements.

 

23

 

 

Horizon Active Risk Assist® Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2022

 

 

Shares

             

Value

 
    6,161  

Juniper Networks, Inc.

          $ 189,019  
    348  

Motorola Solutions, Inc.

            76,470  
    303  

T-Mobile US, Inc. (a)

            40,387  
                      445,227  
       

Textiles - 0.0% (b)

               
    763  

Mohawk Industries, Inc. (a)

            107,934  
                         
       

Toys/Games/Hobbies - 0.0% (b)

               
    907  

Hasbro, Inc.

            81,403  
                         
       

Transportation - 0.0% (b)

               
    695  

CH Robinson Worldwide, Inc.

            75,414  
    457  

Expeditors International of Washington, Inc.

            49,740  
    81  

FedEx Corp.

            18,191  
    285  

JB Hunt Transport Services, Inc.

            49,185  
    60  

Norfolk Southern Corp.

            14,380  
    104  

Old Dominion Freight Line, Inc.

            26,857  
                      233,767  
       

Utilities - 0.0% (b)

               
    917  

Constellation Energy Corp.

            56,927  
                         
       

Water - 0.0% (b)

               
    265  

American Water Works Co., Inc.

            40,081  
                         
       

Wholesale Trade - 0.0% (b)

               
    167  

Pool Corp.

            66,570  
                         
       

TOTAL COMMON STOCKS (Cost - $29,218,919)

            29,127,634  
                         
 

Contracts

     

Notional
Amount

         
       

PURCHASED OPTIONS - 0.3% (a)(c)

               
       

PURCHASED CALL OPTIONS - 0.3%

               
       

iShares China Large-Cap ETF

               
    15,000  

Expiration: January 2023, Exercise Price: $35

  $ 47,790,000       2,745,000  
       

TOTAL PURCHASED CALL OPTIONS (Cost - $1,407,375)

            2,745,000  
                         
       

PURCHASED PUT OPTIONS - 0.0% (b)

               
       

CBOE Volatility Index (g)

               
    5,000  

Expiration: July 2022, Exercise Price: $23

    13,095,000       475,000  
       

TOTAL PURCHASED PUT OPTIONS (Cost - $1,276,625)

            475,000  
       

TOTAL PURCHASED OPTIONS (Cost - $2,684,000)

            3,220,000  

 

See accompanying notes to financial statements.

 

24

 

 

Horizon Active Risk Assist® Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2022

 

 

Shares

             

Value

 
       

SHORT TERM INVESTMENTS - 3.8%

               
       

Money Market Funds - 3.8%

               
    47,669,459  

First American Treasury Obligations Fund, Class X, 0.67% (d)

          $ 47,669,459  
       

TOTAL SHORT TERM INVESTMENTS (Cost - $47,669,459)

            47,669,459  
                         
       

INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING - 15.1%

               
    156,731,067  

First American Government Obligations Fund, Class X, 0.65% (d)

            188,066,349  
       

TOTAL INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING (Cost - $188,066,349)

            188,066,349  
                         
       

TOTAL INVESTMENTS - 117.3% (Cost - $1,488,719,756)

            1,464,907,102  
       

Liabilities in Excess of Other Assets - (17.3)%

            (215,743,254 )
       

NET ASSETS - 100.0%

          $ 1,249,163,848  
 

Contracts

     

Notional
Value

   

Value

 
       

SCHEDULE OF WRITTEN OPTIONS - (0.1)% (a)(c)

               
       

WRITTEN CALL OPTIONS - (0.1)%

               
    15,000  

iShares China Large-Cap ETF

               
       

Expiration: September 2022, Exercise Price $35

  $ 47,790,000       1,545,000  
       

TOTAL WRITTEN CALL OPTIONS (Premiums Received $655,125)

            1,545,000  
                         
       

WRITTEN PUT OPTIONS - (0.0)% (b)

               
    10,000  

CBOE Volatility Index

               
       

Expiration: July 2022, Exercise Price $20

    26,190,000       200,000  
       

TOTAL WRITTEN PUT OPTIONS (Premiums Received $1,046,750)

            200,000  
       

TOTAL OPTIONS WRITTEN (Premiums Received $1,701,875)

          $ 1,745,000  

 

Percentages are stated as a percent of net assets.

 

ADR - American Depositary Receipt

 

(a)

Non-income producing security.

 

(b)

Rounds to less than 0.1%

 

(c)

Each option is exercisable into 100 shares of the underlying security.

 

(d)

Interest rate reflects seven-day yield on May 31, 2022.

 

(e)

All or a portion of the security is segregated as collateral for written options. The value of the securities segregated as collateral for written options is $43,677,200, which is 3.1% of total net assets.

 

(f)

All or a portion of this security is out on loan as of May 31, 2022.

 

(g)

Held in connection with a written option, see Schedule of Written Options for more details.

 

(h)

Fair value of this security exceeds 25% of the Fund’s net assets. Additional information for this security, including financial statements, is available from the SEC’s EDGAR database at www.sec.gov.

 

See accompanying notes to financial statements.

 

25

 

 

Horizon Active Income Fund
PORTFOLIO OF INVESTMENTS (Unaudited)
May 31, 2022

 

 

Shares

             

Value

 
       

INVESTMENT COMPANIES - 99.1%

               
       

Exchange Traded Funds - 99.1%

               
    1,325,049  

First Trust TCW Opportunistic Fixed Income ETF

          $ 62,953,078  
    753,640  

iShares 1-3 Year Treasury Bond ETF (c)

            62,815,894  
    367,444  

iShares 7-10 Year Treasury Bond ETF (c)

            37,964,314  
    407,125  

iShares Core U.S. Aggregate Bond ETF

            42,125,224  
    148,822  

iShares iBoxx Investment Grade Corporate Bond ETF (c)

            17,031,190  
    212,862  

iShares MBS ETF (c)

            21,109,525  
    436,138  

Janus Henderson Mortgage-Backed Securities ETF (c)

            21,244,238  
    92,269  

Overlay Shares Core Bond ETF

            2,070,784  
    752,823  

SPDR Bloomberg 1-3 Month T-Bill ETF (a)

            68,845,663  
    625,899  

SPDR Portfolio Long Term Treasury ETF (c)

            21,030,206  
    2,091,322  

SPDR Portfolio Short Term Corporate Bond ETF

            62,844,226  
       

TOTAL INVESTMENT COMPANIES (Cost - $437,550,314)

            420,034,342  
                         
       

SHORT TERM INVESTMENTS - 0.9%

               
       

Money Market Funds - 0.9%

               
    3,604,780  

First American Treasury Obligations Fund, Class X, 0.67% (b)

            3,604,780  
       

TOTAL SHORT TERM INVESTMENTS (Cost - $3,604,780)

            3,604,780  
                         
       

INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING - 18.8%

               
    66,491,628  

First American Government Obligations Fund, Class X, 0.65% (b)

            79,785,316  
       

TOTAL INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING (Cost - $79,785,316)

            79,785,316  
                         
       

TOTAL INVESTMENTS - 118.8% (Cost - $520,940,410)

            503,424,438  
       

Liabilities in Excess of Other Assets - (18.8)%

            (79,748,329 )
       

NET ASSETS - 100.0%

          $ 423,676,109  

 

Percentages are stated as a percent of net assets.

 

(a)

Non-income produceing security.

 

(b)

Interest rate reflects seven-day yield on May 31, 2022.

 

(c)

All or a portion of this security is out on loan as of May 31, 2022.

 

See accompanying notes to financial statements.

 

26

 

 

Horizon Active Dividend Fund
PORTFOLIO OF INVESTMENTS (Unaudited)
May 31, 2022

 

 

Shares

             

Value

 
       

COMMON STOCKS - 97.7%

               
       

Aerospace/Defense - 2.5%

               
    6,089  

Lockheed Martin Corp.

          $ 2,679,830  
                         
       

Beverages - 4.5%

               
    42,260  

Coca-Cola Co.

            2,678,439  
    13,376  

PepsiCo, Inc.

            2,243,824  
                      4,922,263  
       

Biotechnology - 1.1%

               
    4,667  

Amgen, Inc.

            1,198,206  
                         
       

Chemicals - 1.4%

               
    4,537  

Linde PLC

            1,473,073  
                         
       

Computers - 1.7%

               
    6,279  

Accenture PLC, Class A

            1,874,030  
                         
       

Cosmetics/Personal Care - 4.3%

               
    23,587  

Procter & Gamble Co.

            3,488,045  
    23,690  

Unilever PLC ADR

            1,144,938  
                      4,632,983  
       

Diversified Financial Services - 4.4%

               
    6,795  

American Express Co.

            1,147,132  
    2,705  

BlackRock, Inc.

            1,809,861  
    13,979  

Capital One Financial Corp.

            1,787,355  
                      4,744,348  
       

Electronics - 1.1%

               
    6,224  

Honeywell International, Inc.

            1,205,091  
                         
       

Finance and Insurance - 7.5%

               
    23,761  

Ares Management Corp., Class A

            1,691,070  
    15,427  

Blackstone, Inc.

            1,817,146  
    13,096  

Reinsurance Group of America, Inc.

            1,648,132  
    16,044  

Toronto-Dominion Bank

            1,223,676  
    90,653  

UBS Group AG (a)

            1,710,622  
                      8,090,646  
       

Healthcare Products - 2.9%

               
    15,987  

Abbott Laboratories

            1,877,833  
    12,217  

Medtronic PLC

            1,223,533  
                      3,101,366  
       

Home Builders - 1.6%

               
    21,783  

Lennar Corp., Class A

            1,748,086  
                         

 

See accompanying notes to financial statements.

 

27

 

 

Horizon Active Dividend Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2022

 

 

Shares

             

Value

 
       

Insurance - 1.5%

               
    12,934  

Cincinnati Financial Corp.

          $ 1,653,741  
                         
       

Machinery - Construction & Mining - 1.0%

               
    4,810  

Caterpillar, Inc.

            1,038,239  
                         
       

Manufacturing - 6.1%

               
    5,330  

Diageo PLC (a) ADR

            996,550  
    28,088  

Equinor ASA ADR

            1,057,794  
    47,942  

Taiwan Semiconductor Manufacturing Co., Ltd. ADR

            4,568,873  
                      6,623,217  
       

Media - 1.6%

               
    40,272  

Comcast Corp., Class A

            1,783,244  
                         
       

Mining - 1.6%

               
    27,565  

Southern Copper Corp.

            1,702,966  
                         
       

Mining, Quarrying, and Oil and Gas Extraction - 1.5%

               
    77,324  

Barrick Gold Corp.

            1,584,369  
                         
       

Miscellaneous Manufacturing - 1.5%

               
    6,120  

Parker-Hannifin Corp.

            1,665,680  
                         
       

Oil & Gas - 15.4%

               
    18,682  

Chevron Corp.

            3,262,998  
    11,496  

ConocoPhillips

            1,291,690  
    22,962  

Devon Energy Corp.

            1,719,854  
    12,302  

Diamondback Energy, Inc.

            1,870,150  
    13,008  

EOG Resources, Inc.

            1,781,576  
    38,631  

Exxon Mobil Corp.

            3,708,576  
    5,970  

Pioneer Natural Resources Co.

            1,659,302  
    23,029  

Total SA ADR

            1,354,105  
                      16,648,251  
       

Pharmaceuticals - 14.2%

               
    16,187  

AbbVie, Inc.

            2,385,478  
    8,902  

Eli Lilly & Co.

            2,790,243  
    22,630  

GlaxoSmithKline PLC

            993,457  
    24,485  

Johnson & Johnson

            4,395,792  
    22,844  

Merck & Co., Inc.

            2,102,333  
    51,351  

Pfizer, Inc.

            2,723,657  
                      15,390,960  

 

See accompanying notes to financial statements.

 

28

 

 

Horizon Active Dividend Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2022

 

 

Shares

             

Value

 
       

Real Estate Investment Trusts - 1.5%

               
    35,739  

Gaming and Leisure Properties, Inc.

          $ 1,673,300  
                         
       

Retail - 6.2%

               
    8,197  

Advance Auto Parts, Inc.

            1,556,283  
    13,754  

Darden Restaurants, Inc.

            1,719,250  
    26,843  

Walmart, Inc.

            3,452,815  
                      6,728,348  
       

Semiconductors - 6.7%

               
    6,976  

Broadcom, Inc.

            4,046,987  
    38,040  

Intel Corp.

            1,689,737  
    8,397  

Texas Instruments, Inc.

            1,484,253  
                      7,220,977  
       

Telecommunications - 1.8%

               
    44,518  

Cisco Systems, Inc.

            2,005,536  
                         
       

Transportation - 2.6%

               
    5,828  

Union Pacific Corp.

            1,280,878  
    8,326  

United Parcel Service, Inc., Class B

            1,517,413  
                      2,798,291  
       

Wholesale Trade - 1.5%

               
    6,506  

Watsco, Inc.

            1,663,129  
                         
       

TOTAL COMMON STOCKS (Cost - $100,885,993)

            105,850,170  

 

See accompanying notes to financial statements.

 

29

 

 

Horizon Active Dividend Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2022

 

 

Shares

             

Value

 
       

PREFERRED STOCKS - 0.2%

               
       

Manufacturing - 0.2%

               
    9,473  

Pitney Bowes, Inc.

          $ 205,753  
                         
       

TOTAL PREFERRED STOCKS (Cost - $173,880)

            205,753  
                         
       

SHORT TERM INVESTMENTS - 1.9%

               
       

Money Market Funds - 1.9%

               
    2,024,306  

First American Treasury Obligations Fund, Class X, 0.67% (b)

            2,024,306  
       

TOTAL SHORT TERM INVESTMENTS (Cost - $2,024,306)

            2,024,306  
                         
       

INVESTMENTS PURCHASED WITH PROCEEDS

               
       

FROM SECURITIES LENDING - 2.5%

               
    2,292,773  

First American Government Obligations Fund, Class X, 0.65% (b)

            2,751,168  
       

TOTAL INVESTMENTS PURCHASED WITH PROCEEDS

            2,751,168  
       

FROM SECURITIES LENDING (Cost - $2,751,168)

               
                         
       

TOTAL INVESTMENTS - 102.3% (Cost - $105,835,347)

            110,831,397  
       

Liabilities in Excess of Other Assets - (2.3)%

            (2,479,403 )
       

NET ASSETS - 100.0%

          $ 108,351,994  

 

Percentages are stated as a percent of net assets.

 

ADR - American Depositary Receipt

 

(a)

All or a portion of this security is out on loan as of May 31, 2022.

 

(b)

Interest rate reflects seven-day yield on May 31, 2022.

 

See accompanying notes to financial statements.

 

30

 

 

Horizon Defined Risk Fund
PORTFOLIO OF INVESTMENTS (Unaudited)
May 31, 2022

 

 

Shares

             

Value

 
       

COMMON STOCKS - 93.2%

               
       

Accommodation and Food Services - 0.0% (b)

               
    1,837  

Caesars Entertainment, Inc. (a)

          $ 92,162  
    1,323  

Penn National Gaming, Inc. (a)

            42,283  
                      134,445  
       

Advertising - 0.1%

               
    2,996  

Interpublic Group of Cos., Inc.

            96,561  
    1,560  

Omnicom Group, Inc.

            116,392  
                      212,953  
       

Aerospace/Defense - 1.1%

               
    4,562  

Boeing Co. (a)

            599,447  
    1,803  

General Dynamics Corp.

            405,513  
    3,058  

Howmet Aerospace, Inc.

            109,384  
    1,498  

L3Harris Technologies, Inc.

            360,868  
    1,871  

Lockheed Martin Corp. (f)

            823,446  
    1,137  

Northrop Grumman Corp. (f)

            532,082  
    355  

Teledyne Technologies, Inc. (a)

            143,828  
    424  

TransDigm Group, Inc. (a)

            256,677  
                      3,231,245  
       

Agriculture - 0.8%

               
    13,977  

Altria Group, Inc. (f)

            756,016  
    4,398  

Archer Daniels Midland Co.

            399,426  
    11,517  

Philip Morris International, Inc. (f)

            1,223,681  
                      2,379,123  
       

Airlines - 0.2%

               
    991  

Alaska Air Group, Inc. (a)

            47,826  
    5,277  

American Airlines Group, Inc. (a)

            94,300  
    5,098  

Delta Air Lines, Inc. (a)

            212,535  
    4,638  

Southwest Airlines Co. (a)

            212,699  
    2,651  

United Airlines Holdings, Inc. (a)

            126,267  
                      693,627  
       

Apparel - 0.5%

               
    9,849  

Nike, Inc.

            1,170,554  
    551  

PVH Corp.

            39,049  
    385  

Ralph Lauren Corp., Class A

            38,920  
    2,094  

Tapestry, Inc.

            72,243  
    1,512  

Under Armour, Inc., Class A (a)

            15,997  
    1,637  

Under Armour, Inc., Class C (a)

            15,879  
    2,427  

VF Corp.

            122,466