N-CSR 1 fp0086248-3_ncsr.htm

 

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, 2023

 

Date of reporting period: December 1, 2022 through November 30, 2023

 

 

Item 1. Reports to Stockholders.

 

(a)

 

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 Equity Premium Income 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 Multi-Factor U.S. Equity Fund

Investor Class

 

Advisor Class

Shares

 

Shares

HNDRX

 

HADRX

 

Investor Class

 

Advisor Class

Shares

 

Shares

USRAX

 

USRTX

 

Horizon Defensive Core Fund

 

Horizon Tactical Fixed Income Fund

Investor Class

 

Advisor Class

Shares

 

Shares

HESGX

 

HESAX

 

Investor Class

 

Advisor Class

Shares

 

Shares

HTFNX

 

HTFAX

 

Horizon Multi-Factor Small/Mid Cap Fund

Investor Class

 

Advisor Class

Shares

 

Shares

HSMNX

 

HSMBX

 

November 30, 2023

 

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 EQUITY PREMIUM INCOME FUND, HORIZON DEFINED RISK FUND, HORIZON MULTI - FACTOR U.S. EQUITY FUND, HORIZON DEFENSIVE CORE FUND, HORIZON TACTICAL FIXED INCOME FUND and HORIZON MULTI - FACTOR SMALL/MID CAP FUND. Such offering is made only by prospectus, which includes details as to offering price and other material information.

 

 

Horizon Funds

 

Table of Contents

 

Letter to Shareholders

1

Portfolio Review

8

Portfolio Composition

18

Portfolios of Investments

20

Statements of Assets and Liabilities

93

Statements of Operations

96

Statements of Changes in Net Assets

99

Financial Highlights

108

Notes to Financial Statements

129

Report of Independent Registered Public Accounting Firm

149

Disclosure of Fund Expenses

151

Approval of the Management Agreements

153

Additional Information

154

Privacy Notice

158

 

 

Horizon Funds

Letter to Shareholders

November 30, 2023

 

 

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, 2023.

 

Horizon Active Asset Allocation Fund

 

The Horizon Active Asset Allocation Fund (Investor Class) (the Fund) returned 5.69% for the fiscal year ended November 30, 2023. Domestic equities (as measured by the S&P 500 Total Return Index) returned 13.84%, while international equities returned 9.76% (as measured by the S&P Global ex-US BMI) over the Fund’s fiscal year.

 

The emergence of artificial intelligence (“AI”) was the most significant market event during the period; beneficiaries of the technology, namely the Magnificent-7 (“Mag-7”), led markets throughout the year. Continued interest rate volatility, and the resulting failure of a few banking institutions in mid-March, was another theme that impacted markets. While the swift response from the Treasury and Federal Reserve (“Fed”) allayed investor concerns of further contagion, interest rate sensitive sectors of the market were under pressure throughout the period. Economic growth in the U.S. remained strong as inflation fell – the Fed delivered what is likely to be their last hike of this cycle in July. Despite consensus among market participants that the U.S. economy would enter a recession in 2023, that probability waned throughout the year and was replaced by increased confidence of a “soft landing.” As the year came to a close, inflation and interest rate policy normalization, increasingly dovish messaging, and enthusiasm about the positive impacts of AI supported risk assets broadly.

 

Outside the U.S. there were a few notable developments. China’s pandemic reopening, which kicked off in earnest in December, ultimately could not overcome the drag from its property sector, resulting in significant underperformance of Chinese stock indices relative to broad international markets. The disappointing Chinese reopening and sluggish domestic growth dynamics contributed to an overhang of tepid growth in Europe as well. Despite tensions in the Middle East and the continuation of a stringent sanction regime on Russian energy exports, crude oil fell substantially over the fiscal year, contributing to much lower price pressures across the global economy.

 

On average, the Fund maintained a preference for U.S. equities throughout the year and benefitted from exposure to the domestic technology sector. At the beginning of the period, the Fund’s overweight to U.S. defensive value and international positioning detracted from performance; as the year went on, performance improved as Fund’s positioning increasingly reflected growing conviction in favor of domestic large-cap growth over domestic value, small- and mid-caps, and international equities. The Fund maintained this positioning into the end of the period.

 

Outside of market direction, one key driver of Fund performance was domestic equity positioning, especially allocations to mega-cap technology, the quality factor, and large-cap growth. Allocations to Japanese equities, in both local currency and FX-hedged expressions, were also accretive to absolute and relative performance throughout the year. Key detractors include international market exposures, specifically to emerging markets in Asia and broad developed markets, and domestic allocations that did not feature the Mag-7 in large weights, such as equal-weight large-caps and small- and mid-caps.

 

Horizon Active Risk Assist® Fund

 

The Horizon Active Risk Assist Fund (Investor Class) (the Fund) realized a return of 7.13% for the fiscal year ending November 30, 2023. Domestic equities (as measured by the S&P 500 Total Return Index) returned 13.84%, while international equities returned 9.76% (as measured by the S&P Global ex-US BMI) over the same period. The Fund exhibited an average beta of 0.77 to the S&P 500 Total Return Index over the period.

 

1

 

 

Horizon Funds

Letter to Shareholders (Continued)
November 30, 2023

 

 

As a risk mitigation strategy designed with the goal to mitigate catastrophic loss of portfolio value, the Fund performed in line with expectations during the period. The Fund’s realized volatility for the period was 11.22%, less than both domestic and international equities (realized volatilities for the period of 13.84% and 11.55% respectively), due to the Fund’s tactical de-risking and reinvesting activity. The Fund also realized a maximum drawdown of 11.33%, which was in between the drawdowns realized by domestic and international equities. In the strong recovery of global equities during the period, the Fund reinvested via the Risk Assist algorithm in line with expectations. The Fund began the fiscal year 60% de-risked. As markets recovered early in the year, the Fund reinvested rapidly and was completely reinvested by early April. Towards the end of the period, volatility in October resulted in small de-risking activity that was resolved quickly as markets recovered. The Fund ended the period fully invested in the underlying global equity portfolio.

 

In terms of the underlying allocation of the equity portfolio, the Fund began the period with regional and style exposures in line with global equities. As domestic growth stocks began to separate from the rest of the market, the Fund tilted in favor of domestic growth allocations. The Fund maintained a small overweight to domestic large-cap growth relative to global equities at the end of the period.

 

While market direction was the main driver of returns during the period, the underlying allocation was dominated by the narrow market environment, led by domestic large-cap growth, and specifically the Mag-7. Compared to global equities, the Fund’s overweight to domestic large-cap growth was the main positive contributors to performance over the period, whereas most other style and regional exposures generally detracted. The de-risking and re-risking activities of Risk Assist resulted in a performance drag versus the unhedged portfolio during the period, a result well within expectations for the market environment during the period.

 

Horizon Active Income Fund

 

The Horizon Active Income Fund (Investor Class) (the Fund) returned 0.38% for the fiscal year ended November 30, 2023, while the broader bond market, as measured by Bloomberg U.S. Aggregate Bond Index (the Index), returned 1.18%. Most measures of Fund risk, including standard deviation, beta, and down capture, were lower than the Index over the period. In general, the Fund maintained a more diversified risk profile than broad bonds, an output of the Fund’s tactical process. Opportunistic allocations also reduced portfolio volatility and benchmark-relative beta over the period.

 

In another extremely turbulent year for fixed income markets, Fed policy and economic data drove significant volatility across the fixed income universe. Early in the period, the Fed began to slow the pace of interest rate increases as both economic growth and inflationary pressures started to soften, an intentional consequence of the Fed’s tighter policy stance. In the first quarter of 2023, fixed income markets experienced significant volatility as credit spreads widened and Treasury yields fell during the March banking sector stress, as exemplified by the failure of Silicon Valley Bank. Following the Fed and Treasury’s placation of concerns around financial stability in March, economic activity began to reaccelerate, as reflected in corporate earnings and growth data. As a result, from late summer into the fall, Treasury yields resumed their climb, reaching cycle highs; fiscal sustainability and supply concerns also weighed on long-term interest rates. Near the end of the period, in a positive twist, soft inflation data allayed market concerns that price pressures were broadening as the labor market and growth remained strong; investors were increasingly optimistic that the Fed could once again start considering the maximum employment component of its dual mandate. Throughout the year, interest rates and credit spreads both exhibited above-average volatility, oscillating wildly between periods of increased recession risk and liquidity concerns (e.g. March) and periods of increased economic activity (and softening inflation) towards the end of the period.

 

The Fund’s actively managed approach resulted in a dynamic duration profile. Starting the year marginally underweight duration, the Fund gradually increased duration throughout the year, shifting to overweight to start the second calendar quarter and marginally increasing that overweight into fiscal year end. The Fund maintained an overweight allocation

 

2

 

 

Horizon Funds

Letter to Shareholders (Continued)
November 30, 2023

 

 

to corporate credit and opportunistically rotated through various credit qualities during the period. Exposure to non-traditional fixed income segments, including preferred equities and emerging market bonds, remained relatively low throughout the year but were held to varying degrees throughout the period. At the end of the period, Fund positioning reflected an optimistic outlook for riskier segments of the fixed income market. The Fund ended the period with a substantial overweight to corporate credit, expressed via high yield instruments, and mortgage-backed securities. Additionally, the Fund ended the period with duration longer than the Index, expressed primarily through long-term U.S. Treasury bonds, long-term investment grade corporate credit, and a small allocation to Treasury Inflation-Protected Securities.

 

The key drivers of Fund performance include high yield corporate credit allocations, especially to fallen angels, which on average carry a longer duration profile than other high yield corporate credit expressions. Allocations to preferred equity and long-tenor U.S. Treasury bonds were the biggest detractors to performance over the period.

 

Horizon Equity Premium Income Fund

 

The Horizon Equity Premium Income Fund (Investor Class) (the Income Fund), formerly known as the Horizon Active Dividend Fund (Investor Class) (the Dividend Fund) posted a total return of -3.84% for the period ended September 30, 2023, after which the Dividend Fund’s name and mandate changed. The Dividend Fund’s benchmark, the MSCI World High Dividend Yield Index, returned 1.38% over the same period.

 

The Dividend Fund invests in companies that Horizon Investments believes are high quality and have well-supported dividend yields. The market environment during the period was dominated by a handful of large domestic technology and growth stocks that are not generally viewed as dividend holdings.

 

Security selection in the United States was a tailwind to performance relative to the benchmark for the period. Selection in Financials (JPMorgan Chase), Consumer Staples (Walmart), and Industrials (Caterpillar) were the largest contributors during the period. An underweight to Utilities also benefited performance in the period.

 

An underweight allocation to Asia-related securities, specifically Japan, and an overweight to the United States detracted from performance relative to the benchmark during the period. Security selection in Canada also detracted from performance, driven primarily by underperformance of Canadian bank holdings.

 

The Horizon Equity Premium Income Fund (Investor Class) (the Income Fund) strategy change went into effect on October 3, 2023. From this date through the end of the fiscal year, the Fund realized a total return of 5.18%. Over this same period domestic equities (as measured by the S&P 500 Total Return Index) returned 7.44%. A commonly used benchmark for covered call strategies in domestic equity markets (as measured by the S&P 500 BuyWrite Index) returned 2.67% over this period.

 

The Income Fund consists of an underlying equity portfolio and a covered call strategy that sells short maturity out-of-the money call options on a portion of the Income Fund’s total assets. The underlying equity portfolio is sector-neutral to the S&P 500 Index with a tilt towards dividend paying securities that Horizon Investments believes are high quality with balanced fundamentals. During the period since the strategy change, the underlying equity portfolio of the Income Fund was generally in line with domestic large-cap stocks.

 

The covered call strategy covers a fraction of the Income Fund’s value via short sales of short-term out-of-the-money call options on the S&P 500 Index. Domestic equities rallied strongly over the period since the strategy change, causing the covered call option overlay to detract from performance by capping the gains in the Income Fund relative to the underlying portfolio. This is an expected result in the market environment and in line with expectations relative to the domestic equities and the S&P 500 Buy/Write Index. The Income Fund allows for active positioning within its covered call strategy. The goal of this active positioning is to generate income, hedge volatility and reduce downside risk. This active positioning had no material impact on the Income Fund’s performance over the period.

 

3

 

 

Horizon Funds

Letter to Shareholders (Continued)
November 30, 2023

 

 

Defined Risk Fund

 

For the year ending November 30, 2023, the Defined Risk Fund (Investor Class) (the Fund) had a total return of 9.26% and a standard deviation of 7.00%. Over the same period, the S&P 500 Total Return Index had a total return of 13.84% and a standard deviation of 13.84%. The Fund exhibited a 0.50 beta to the S&P 500 Total Return. The Fund had a maximum drawdown of 4.18% while the S&P 500 Total Return had a maximum drawdown of 9.94%.

 

The objective of the Fund is capital appreciation and capital preservation. The Fund pursues its objective by investing in a basket of U.S. large-cap 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. The Fund is expected to outperform the S&P 500 Index in a down market and underperform in an up market, while realizing less volatility in any market environment. As shown by the performance statistics above, the Fund performed in line with these expectations during the period.

 

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 had no material impact to the Fund’s performance over the fiscal year.

 

Horizon Multi-Factor US Equity Fund

 

The Horizon Multi-Factor U.S. Equity Fund (Investor Class) (the Fund) returned 5.51% for the year ended November 30, 2023, while realizing a volatility of 12.10%. The return on the S&P 500 Total Return Index for the same period was 13.84%, with a realized volatility of 13.84%. Over the period, the Fund exhibited an average beta of 0.84 to the S&P 500 Index.

 

The Fund is actively managed, selecting and weighting securities using a proprietary quantitative approach to allocate the Fund’s portfolio between issuers, sectors, and/or factors (e.g. value, momentum, quality, and volatility). This process is designed to be defensive in nature in order to help the Fund navigate volatile market swings. The Fund is expected to outperform the S&P 500 Index in a down market and underperform in an up market, while realizing less volatility. As shown by the performance statistics above, the Fund performed in line with these expectations during the period.

 

Outside of overall market direction, the main driver of the performance of the Fund is stock selection. Key highlights in the period include selection in Financials and Energy. Selection in Information Technology and Health Care lagged in the period. The Fund’s underweight to Information Technology also contributed negatively due to the strong performance of this sector during the period.

 

Horizon Defensive Core Fund

 

The Horizon Defensive Core Fund (Investor Class) (the Fund) returned 13.95% for the year ended November 30, 2023. The return of domestic equities (as measured by the MSCI USA ESG Leaders Index) for the same period was 16.35%. The Fund exhibited an average beta of 0.86 to the MSCI USA ESG Leaders Index over the period.

 

As a risk mitigation strategy designed with the goal to mitigate catastrophic loss of portfolio value, the Fund performed in line with expectations during the period. The Fund’s realized volatility for the period was 12.77%, less than domestic equities (realized volatility for the period of 14.12%), due to the Fund’s tactical de-risking and reinvesting activity. The Fund also realized a maximum drawdown of 9.58%, which was smaller than the 10.22% drawdown experienced by domestic equities. In a choppy period for domestic equities, the Fund had moderate de-risking and re-risking activity via the Risk Assist algorithm, in line with expectations. The Fund ended the fiscal year fully invested. The de-risking and re-risking activities of the Fund resulted in a performance drag versus the unhedged portfolio during the period, a result within expectations for the market environment during the period.

 

4

 

 

Horizon Funds

Letter to Shareholders (Continued)
November 30, 2023

 

 

The Fund’s underlying equity portfolio is an index replication strategy managed by Horizon Investments. The index replication strategy seeks to track the performance of MSCI USA ESG Leaders Index (the Index), which uses MSCI ESG Ratings, MSCI ESG Controversies, and MSCI Business Involvement Screening Research, each of which is provided by MSCI ESG Research Inc., a subsidiary of MSCI, Inc. to determine the securities that comprise the Index. During this period the performance and risk of the Fund’s underlying equity portfolio matched that of the MSCI US ESG Leaders Index.

 

Horizon Tactical Fixed Income Fund

 

The Tactical Fixed Income Fund (Investor Class) (the Fund) returned -1.63% from its inception date of December 20th, 2022 through the fiscal period ended November 30, 2023, thus all performance shown is partial year performance from December 20, 2022 through November 30, 2023. For the noted period, the broader bond market, as measured by the Bloomberg U.S. Aggregate Bond Index (the Index), returned 0.72%. Measures of Fund risk, including standard deviation and beta, were lower than the Index during the period, while the Fund’s maximum drawdown was slightly larger than that of the Index. In general, the Fund maintained a more defensive posture than the Index during the period as a result of the Fund’s tactical investment process.

 

Since the Fund’s inception, interest rate volatility has been elevated relative to historical readings, resulting in several sudden moves in both short-term and long-term interest rates. As the Fund’s strategy is designed to tactically de-risk higher yielding exposures in the fixed income universe, this activity was the main driver of performance over the period. A sharp fall in short-term interest rates occurred around the banking crisis in early March as markets flocked to safe-haven assets. Due to the rise in rates at the beginning of the year, the Fund was de-risked into shorter duration holdings during this episode, which led to underperformance relative to broad bonds early in the fiscal year. As longer-term rates rose sharply from July through October, the Fund’s tactical de-risking resulted in near equal-sized outperformance relative to the Index. At the end of the period, the Fund was positioned aggressively, with nearly all of the Fund’s higher yielding exposures represented in the portfolio, due to the stabilization in trends in the fixed income market. The Fund maintained a modestly shorter duration profile than the Index at the end of the period.

 

Over the period, the large and sharp changes in interest rates proved challenging for the Fund’s tactical approach, but this process successfully reduced overall portfolio volatility and performed in line with expectations. In the underlying portfolio, exposures to high yield credit contributed the most to returns for the period. Hybrid security allocations, such as convertible bonds and preferred stocks, contributed the least.

 

Horizon Multi-Factor Small/Mid Fund

 

The Horizon Multi-Factor Small/Mid Fund (Investor Class) (the Fund) inception date was December 20, 2022, thus all performance shown is partial year performance from December 20, 2022 through November 30, 2023. For the noted period, the Fund returned 13.48%, while realizing a volatility of 17.80%. For the same period, the return on the S&P 1000 Total Return Index was 7.04%, with a realized volatility of 18.03%. Over the same period, the Fund exhibited an average beta of 0.96 to the S&P 1000 Total Return Index.

 

The Fund is actively managed, selecting and weighting securities using a proprietary quantitative approach to allocate the Fund’s portfolio between issuers, sectors, and/or factors (e.g. value, momentum, quality, and volatility). This process is designed to be defensive in nature in order to help the Fund navigate volatile market swings. The Fund is expected to outperform the S&P 1000 Total Return Index in a down market and underperform in an up market, while realizing less volatility. As shown by the performance statistics above, the Fund performed better than these expectations during the period.

 

5

 

 

Horizon Funds

Letter to Shareholders (Continued)
November 30, 2023

 

 

Outside of overall market direction, the main driver of the performance of the Fund is stock selection. Key highlights in the period include selection in Information Technology and Consumer Discretionary. Selection in Health Care and Real Estate lagged in the period.

 

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 500 Total Return Index is a version of the S&P 500 Index that includes reinvestment of regular cash dividends. 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 U.S. 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. The MSCI USA ESG Leaders Index is designed to measure the performance of the large and mid-cap segments of the U.S. market through investing in U.S. common stocks screened by the Index Provider with regard to certain ESG criteria. You cannot invest directly into an index.

 

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, as known as standard deviation, 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.

 

Maximum drawdown is a measure of downside risk for a security or portfolio. Maximum drawdown is calculated by measuring the largest observed loss, in terms of total return, of a security or portfolio from its highest value to its lowest during a given period.

 

Down capture is a measure of a security’s or portfolio’s performance in periods of negative returns for the overall market or benchmark. Typically computed monthly, it is defined as a ratio of portfolio return to benchmark return during periods when the benchmark return is negative.

 

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.

 

6

 

 

Horizon Funds

Letter to Shareholders (Continued)
November 30, 2023

 

 

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.

 

With regard to the Risk Assist algorithm, a de-risking activity is a sale of a portion of the Fund’s equity portfolio and a purchase of a highly liquid short-term U.S. Treasury obligation, or other cash-like equivalents, with the goal to mitigate catastrophic loss of portfolio value. Similarly, a re-risking activity is a sale of a highly liquid short-term U.S. Treasury obligation, or other cash-like equivalents and a purchase of a portion of the Fund’s equity portfolio, with the goal to reduce the potential performance drag when compared with the fully-invested equity portfolio.

 

Opinions expressed are subject to change at any time, are not guaranteed and should not be considered investment advice.

 

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.

 

The Funds referred to herein are not sponsored, endorsed, or promoted by MSCI, and MSCI bears no liability with respect to any such funds or securities or any index on which such funds or securities are based. The Prospectus contains a more detailed description of the limited relationship MSCI has with the Fund and any related funds.

 

Earnings growth is not a measure of the Fund’s future performance.

 

Horizon Funds are distributed by Quasar Distributors, LLC.

 

7

 

 

Horizon Active Asset Allocation Fund

Portfolio Review (Unaudited)

November 30, 2023

 

 

 

The chart above assumes an initial gross investment of $10,000 made on November 30, 2013. The Fund’s performance figures are for the year ended November 30, 2023. 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. Performance data current to the most recent month end may be obtained by calling 866-371-2399. 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.

 

The Fund’s gross expense ratios are 1.39%, 1.54% and 1.29% for the Investor, Advisor, and Institutional Classes as of the most recent prospectus dated October 4, 2023.

 

Average Annual Total Returns

One Year

Five Year

Ten Year

Since
Commencement
of Operations (1)

Horizon Active Asset Allocation Fund - Investor Class(3)

5.69%

7.13%

6.35%

7.81%

Horizon Active Asset Allocation Fund - Advisor Class(3)

5.36%

6.95%

N/A

7.72%

Horizon Active Asset Allocation Fund - Institutional Class(3)

5.86%

7.25%

N/A

8.27%

S&P 500 Total Return Index

13.84%

12.51%

11.82%

13.29%(2)

S&P Global BMI ex-US Index

9.19%

5.04%

3.66%

5.09%(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 13.16% and 5.68%, 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 13.18% and 5.18%, 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.

 

8

 

 

Horizon Active Risk Assist® Fund
PORTFOLIO REVIEW (Unaudited)
November 30, 2023

 

 

The chart above assumes an initial gross investment of $10,000 made on August 29, 2014. The Fund’s performance figures are for the year ended November 30, 2023. 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. Performance data current to the most recent month end may be obtained by calling 866-371-2399. 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.

 

The Fund’s gross expense ratios are 1.32%, 1.47% and 1.22% for the Investor, Advisor, and Institutional Classes as of the most recent prospectus dated October 4, 2023.

 

Average Annual Total Returns

One Year

Five Year

Since
Commencement
of Operations (1)

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

7.13%

3.14%

3.30%

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

6.98%

2.97%

4.26%

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

7.27%

3.25%

4.83%

Bloomberg US Aggregate Bond Index

1.18%

0.71%

1.03%(2)

S&P 500 Total Return Index

13.84%

12.51%

11.38%(2)

S&P Global BMI ex-US Index

9.19%

5.04%

3.24%(2)

 

(1)

Inception date is August 29, 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 US 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 0.93%, 13.16%, and 5.68%, respectively. The returns for the Bloomberg US 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 0.37%, 13.18%, and 5.18%, 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 US 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.

 

9

 

 

Horizon Active Income Fund
PORTFOLIO REVIEW (Unaudited)
November 30, 2023

 

 

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, 2023. 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. Performance data current to the most recent month end may be obtained by calling 866-371-2399. 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.

 

The Fund’s gross expense ratios are 1.22%, 1.37% and 1.12% for the Investor, Advisor, and Institutional Classes as of the most recent prospectus dated October 4, 2023.

 

Average Annual Total Returns

One Year

Five Year

Ten Year

Since
Commencement
of Operations (1)

Horizon Active Income Fund - Investor Class(3)

0.38%

-0.21%

-0.12%

-0.10%

Horizon Active Income Fund - Advisor Class(3)

0.26%

-0.39%

N/A

-0.40%

Horizon Active Income Fund - Institutional Class(3)

0.49%

-0.17%

N/A

-0.59%

Bloomberg US Aggregate Bond Index

1.18%

0.71%

1.37%

1.39%(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 US Aggregate Bond Index since the commencement date of the Horizon Active Income Fund - Advisor Class and the Horizon Active Income Fund - Institutional Class are 0.75% and 0.37%, 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 US 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.

 

10

 

 

Horizon Equity Premium Income Fund
PORTFOLIO REVIEW (Unaudited)
November 30, 2023

 

 

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, 2023. 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. Performance data current to the most recent month end may be obtained by calling 866-371-2399. 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.

 

The Fund’s gross expense ratios are 1.13% and 1.29% for the Investor and Advisor Classes as of the most recent prospectus dated October 4, 2023.

 

Average Annual Total Returns

One Year

Five Year

Since
Commencement
of Operations (1)

Horizon Equity Premium Income Fund - Investor Class(4)

-0.43%

3.45%

5.84%

Horizon Equity Premium Income Fund Fund - Advisor Class(4)

-0.60%

3.29%

4.69%

S&P 500 Total Return Index

13.84%

12.51%

12.77%(2)

MSCI World High Dividend Yield Index(3)

4.12%

6.79%

7.62%(2)

S&P 500 Buy/Write Monthly Index

8.27%

3.98%

5.12%(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 Equity Premium Income Fund - Investor Class. The returns for the S&P 500 Total Return Index, MSCI World High Dividend Yield Index and S&P 500 Buy/Write Monthly Index - Advisor Class are 12.20%, 6.43%, and 4.44%, respectively.

(3)

The S&P 500 Total Return Index has replaced the MSCI World High Dividend Yield Index as the Fund’s primary benchmark index. The Adviser believes that the new index is more appropriate given the Fund’s change in investment strategy.

(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).

 

11

 

 

Horizon Equity Premium Income Fund
PORTFOLIO REVIEW (Unaudited) (Continued)
November 30, 2023

 

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 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 500 Buy/Write Index is a benchmark index designed to show the hypothetical performance of a portfolio that engages in a buy-write strategy using S&P 500 index call options.

 

12

 

 

Horizon Defined Risk Fund
PORTFOLIO REVIEW (Unaudited)
November 30, 2023

 

 

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, 2023. 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. Performance data current to the most recent month end may be obtained by calling 866-371-2399. 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.

 

The Fund’s gross expense ratios are 1.12% and 1.26% for the Investor and Advisor Classes as of the most recent prospectus dated October 4, 2023.

 

Average Annual Total Returns

One Year

Five Year

Since
Commencement
of Operations (1)

Horizon Defined Risk Fund - Investor Class(3)

9.27%

5.98%

5.37%

Horizon Defined Risk Fund - Advisor Class(3)

9.12%

5.81%

5.11%

Bloomberg US Treasury 1-3 Years Index

3.28%

1.21%

1.15%(2)

S&P 500 Total Return Index

13.84%

12.51%

11.30%(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 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 1.22%, and 10.95%, 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 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.

 

13

 

 

Horizon Multi-Factor U.S. Equity Fund
PORTFOLIO REVIEW (Unaudited)
November 30, 2023

 

 

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, 2023. 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. Performance data current to the most recent month end may be obtained by calling 866-371-2399. 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.

 

The Fund’s gross expense ratios are 1.11% and 1.26% for the Investor and Advisor Classes as of the most recent prospectus dated October 4, 2023.

 

Average Annual Total Returns

One Year

Since
Commencement
of Operations (1)

Horizon Multi-Factor U.S. Equity Fund - Investor Class(3)

5.51%

7.89%

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

5.38%

7.59%

S&P 500 Total Return Index

13.84%

12.55%(2)

MSCI USA Minimum Volatility Index

2.91%

6.94%(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 Multi-Factor U.S. Equity Fund - Investor Class. The return for the S&P 500 Total Return Index and the MSCI USA Minimum Volatility Index since the commencement date of the Horizon Multi-Factor U.S. Equity Fund - Advisor Class is 11.31% and 5.19%, 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 MSCI USA Minimum Volatility Index aims to reflect the performance characteristics of a minimum variance strategy applied to the large and mid cap USA equity universe. The index is calculated by optimizing the MSCI USA Index, its parent index, in USD for the lowest absolute risk (within a given set of constraints).

 

14

 

 

Horizon Defensive Core Fund
PORTFOLIO REVIEW (Unaudited)
November 30, 2023

 

 

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, 2023. 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. Performance data current to the most recent month end may be obtained by calling 866-371-2399. 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.

 

The Fund’s gross expense ratios are 1.06% and 1.21% for the Investor and Advisor Classes as of the most recent prospectus dated October 4, 2023.

 

Average Annual Total Returns

One Year

Since
Commencement
of Operations (1)

Horizon Defensive Core Fund - Investor Class(3)

13.95%

10.64%

Horizon Defensive Core Fund - Advisor Class(3)

13.76%

10.48%

MSCI USA ESG Leaders Index

16.35%

11.62% (2)

MSCI USA Index

14.24%

10.91% (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 Defensive Core Fund - Investor Class. The return for the MSCI USA Index and the MSCI USA ESG Index since the commencement date of the Horizon Defensive Core Fund - Advisor Class is 11.66% and 10.86%, 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 MSCI USA ESG Leaders Index is a free float-adjusted market capitalization-weighted index designed to represent the performance of companies that are selected from the MSCI USA Index (“Parent Index”) based on Environmental, Social and Governance (ESG) criteria.

 

The MSCI USA Index is designed to measure the performance of the large and mid cap segments of the US market. With 625 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.

 

15

 

 

Horizon Tactical Fixed Income Fund
PORTFOLIO REVIEW (Unaudited)
November 30, 2023

 

 

The chart above assumes an initial gross investment of $10,000 made on December 20, 2022. The Fund’s performance figures are for the period ended November 30, 2023. 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. Performance data current to the most recent month end may be obtained by calling 866-371-2399. 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.

 

The Fund’s gross expense ratios are 1.18% and 1.33% for the Investor and Advisor Classes as of the most recent prospectus dated October 4, 2023.

 

Average Annual Total Returns

Since
Commencement
of Operations (1)

Horizon Tactical Fixed Income Fund - Investor Class(3)

-1.63%

Horizon Tactical Fixed Income Fund - Advisor Class(3)

-1.10%

Bloomberg US Aggregate Bond Index

0.72%(2)

 

(1)

Inception date is December 20, 2022 for Investor Class Shares and March 7, 2023 for Advisor Class Shares.

(2)

The Since Commencement of Operations returns shown are from the commencement date of Horizon Tactical Fixed Income Fund - Investor Class. The return for the Bloomberg US Aggregate Bond Index since the commencement date of the Horizon Tactical Fixed Income Fund - Advisor Class is 1.65%.

(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 US 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.

 

16

 

 

Horizon Multi-Factor Small/Mid Cap Fund
PORTFOLIO REVIEW (Unaudited)
November 30, 2023

 

 

The chart above assumes an initial gross investment of $10,000 made on December 20, 2022. The Fund’s performance figures are for the period ended November 30, 2023. 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. Performance data current to the most recent month end may be obtained by calling 866-371-2399. 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.

 

The Fund’s gross expense ratios are 1.10% and 1.25% for the Investor and Advisor Classes as of the most recent prospectus dated October 4, 2023.

 

Average Annual Total Returns

Since
Commencement
of Operations (1)

Horizon Multi-Factor Small/Mid Cap Fund - Investor Class(3)

13.48%

Horizon Multi-Factor Small/Mid Cap Fund - Advisor Class(3)

5.43%

S&P 1000 Total Return Index

7.04%(2)

 

(1)

Inception date is December 20, 2022 for Investor Class Shares and March 7, 2023 for Advisor Class Shares.

(2)

The Since Commencement of Operations returns shown are from the commencement date of Horizon Multi-Factor Small/Mid Cap Fund- Investor Class. The return for the S&P 1000 Total Return Index since the commencement date of the Horizon Multi-Factor Small/Mid Cap Fund - Advisor Class is -0.70%.

(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 1000® Total Return Index combines the S&P MidCap 400® and the S&P SmallCap 600® to form an investable benchmark for the mid- to small-cap segment of the U.S. equity market. Index returns do not reflect the effects of fees or expenses. Investors cannot invest directly in an index or benchmark.

 

17

 

 

Horizon Funds

Portfolio Composition (Unaudited)

November 30, 2023

 

 

Horizon Active Asset Allocation Fund Portfolio Composition as of November 30, 2023:

 

 

% of Total
Investments

Investment Companies

97.3%

Purchased Call Options

0.0%(a)

Short-Term Investments

0.6%

Investments Purchased With Proceeds From Securities Lending

2.1%

 

100.0%

 

Horizon Active Risk Assist® Fund Portfolio Composition as of November 30, 2023:

 

 

% of Total
Investments

Investment Companies

96.1%

Common Stocks

1.1%

Purchased Call Options

0.2%

Purchased Put Options

0.3%

Short-Term Investments

0.0%(a)

Investments Purchased With Proceeds From Securities Lending

2.3%

 

100.0%

 

Horizon Active Income Fund Portfolio Composition as of November 30, 2023:

 

 

% of Total
Investments

Investment Companies

76.0%

Purchased Call Options

0.0%(a)

Short-Term Investments

0.1%

Investments Purchased With Proceeds From Securities Lending

23.9%

 

100.0%

 

Horizon Equity Premium Income Fund Portfolio Composition as of November 30, 2023:

 

 

% of Total
Investments

Common Stocks

99.8%

Short-Term Investments

0.2%

 

100.0%

 

18

 

 

Horizon Funds
PORTFOLIO COMPOSITION (Unaudited) (Continued)
November 30, 2023

 

Horizon Defined Risk Fund Portfolio Composition as of November 30, 2023:

 

 

% of Total
Investments

Common Stocks

98.0%

Purchased Put Options

0.7%

Short-Term Investments

1.2%

Investments Purchased With Proceeds From Securities Lending

0.1%

 

100.0%

 

Horizon Multi-Factor U.S. Equity Fund Portfolio Composition as of November 30, 2023:

 

 

% of Total
Investments

Common Stocks

99.0%

Short-Term Investments

1.0%

 

100.0%

 

Horizon Defensive Core Fund Portfolio Composition as of November 30, 2023:

 

 

% of Total
Investments

Common Stocks

100.0%

Short-Term Investments

0.0%(a)

 

100.0%

 

Horizon Tactical Fixed Income Fund Portfolio Composition as of November 30, 2023:

 

 

% of Total
Investments

Investment Companies

99.7%

Short-Term Investments

0.3%

 

100.0%

 

Horizon Multi-Factor Small/Mid Cap Fund Portfolio Composition as of November 30, 2023:

 

 

% of Total
Investments

Common Stocks

99.1%

Short-Term Investments

0.9%

 

100.0%

 

(a)

Rounds to less than 0.1%

 

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

 

19

 

 

Horizon Active Asset Allocation Fund

Portfolios of Investments

November 30, 2023

 

 

 

Shares

             

Value

 
       

INVESTMENT COMPANIES — 99.3%

               
       

Exchange Traded Funds — 99.3%

               
    254,764  

Communication Services Select Sector SPDR Fund

          $ 17,774,884  
    476  

Consumer Staples Select Sector SPDR Fund

            33,634  
    104,331  

Energy Select Sector SPDR Fund

            8,824,316  
    137,990  

Invesco QQQ Trust Series 1

            53,654,652  
    549  

Invesco S&P 500 Low Volatility ETF

            33,692  
    874,402  

iShares Core Dividend Growth ETF

            45,171,607  
    929,639  

iShares Core MSCI EAFE ETF

            62,797,114  
    640,716  

iShares Latin America 40 ETF (a)

            17,933,641  
    853  

iShares MSCI All Country Asia ex Japan ETF

            55,795  
    745  

iShares MSCI India ETF

            34,285  
    716,546  

iShares MSCI Japan ETF

            44,862,945  
    509  

iShares MSCI Switzerland ETF (a)

            23,119  
    716,906  

iShares MSCI USA Minimum Volatility Factor ETF

            54,735,773  
    608  

iShares MSCI USA Momentum Factor ETF

            91,267  
    890,363  

iShares MSCI USA Quality Factor ETF

            125,603,508  
    292  

iShares U.S. Aerospace & Defense ETF

            34,999  
    998,678  

JPMorgan BetaBuilders Europe ETF (a)

            53,988,533  
    1,123  

Pacer U.S. Cash Cows 100 ETF

            56,352  
    1,022,813  

SPDR Portfolio Emerging Markets ETF

            35,593,892  
    2,561,556  

SPDR Portfolio S&P 500 Growth ETF

            161,096,257  
    2,247,702  

SPDR Portfolio S&P 500 Value ETF

            99,797,969  
    2,131,829  

SPDR Portfolio S&P 600 Small Cap ETF

            80,284,680  
    293  

VanEck Semiconductor ETF

            47,021  
    847,001  

Xtrackers MSCI USA ESG Leaders Equity ETF

            36,073,773  
       

TOTAL INVESTMENT COMPANIES (Cost - $852,114,945)

            898,603,708  
                         
 

Contracts

     

Notional
Amount

         
       

PURCHASED OPTIONS — 0.0% (b)(c)(d)

               
       

PURCHASED CALL OPTIONS — 0.0%

               
       

iShares Russell 2000 ETF

               
    5,000  

Expiration: December 2023, Exercise Price: $190.00

  $ 89,830,000       320,000  
       

TOTAL PURCHASED CALL OPTIONS (Cost - $653,799)

            320,000  
                         

 

See accompanying notes to financial statements.

 

20

 

 

Horizon Active Asset Allocation Fund

Portfolios of Investments (Continued)
November 30, 2023

 

 

 

Shares

             

Value

 
       

SHORT TERM INVESTMENTS — 0.6%

               
       

Money Market Funds — 0.6%

               
    5,740,006  

First American Treasury Obligations Fund, Class X, 5.28% (e)

          $ 5,740,006  
       

TOTAL SHORT TERM INVESTMENTS (Cost - $5,740,006)

            5,740,006  
                         
       

INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING — 2.1%

               
    18,919,514  

First American Government Obligations Fund, Class X, 5.21% (e)

            18,919,514  
       

TOTAL INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING (Cost - $18,919,514)

            18,919,514  
                         
       

TOTAL INVESTMENTS — 102.0% (Cost - $877,428,264)

            923,583,228  
       

Liabilities in Excess of Other Assets — (2.0)%

            (18,558,679 )
       

NET ASSETS — 100.0%

          $ 905,024,549  

 

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, 2023.

 

(b)

Non-income producing security.

 

(c)

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

 

(d)

Rounds to less than 0.1%.

 

(e)

Interest rate reflects the seven-day yield on November 30, 2023.

 

See accompanying notes to financial statements.

 

21

 

 

Horizon Active Risk Assist® Fund
PORTFOLIOS OF INVESTMENTS
November 30, 2023

 

 

Shares

             

Value

 
       

INVESTMENT COMPANIES— 98.5%

               
       

Exchange Traded Funds — 98.5%

               
    127,732  

Energy Select Sector SPDR Fund

          $ 10,803,573  
    343,565  

Invesco QQQ Trust Series 1

            133,588,379  
    193,472  

Invesco S&P 500 Equal Weight ETF (a)

            28,691,898  
    1,214,151  

iShares Edge MSCI USA Quality Factor ETF

            171,280,281  
    342,187  

iShares MSCI EAFE Minimum Volatility ETF

            23,056,560  
    761,422  

iShares MSCI USA Minimum Volatility ETF

            58,134,570  
    6,209,228  

SPDR Portfolio Developed World ex-US ETF

            202,110,371  
    3,660,799  

SPDR Portfolio Emerging Markets ETF

            127,395,805  
    3,214,617  

SPDR Portfolio S&P 500 Growth ETF

            202,167,263  
    4,886,502  

SPDR Portfolio S&P 500 Value ETF (b)

            216,960,689  
       

TOTAL INVESTMENT COMPANIES (Cost - $1,085,951,595)

            1,174,189,389  
                         
       

COMMON STOCKS — 1.1%

               
       

Accommodation and Food Services — 0.0% (c)

               
    689  

Caesars Entertainment, Inc. (d)

            30,812  
    192  

Veralto Corp. (d)

            14,832  
                      45,644  
       

Administrative and Support and Waste Management and Remediation Services — 0.0% (c)

               
    54  

Fair Isaac Corp. (d)

            58,730  
                         
       

Advertising — 0.0% (c)

               
    1,139  

Interpublic Group of Cos., Inc.

            35,013  
    307  

Omnicom Group, Inc.

            24,753  
                      59,766  
       

Aerospace/Defense — 0.0% (c)

               
    170  

General Dynamics Corp.

            41,985  
    648  

Howmet Aerospace, Inc.

            34,085  
    37  

L3Harris Technologies, Inc.

            7,060  
    82  

Teledyne Technologies, Inc. (d)

            33,042  
    48  

TransDigm Group, Inc.

            46,218  
                      162,390  
       

Agriculture — 0.0% (c)

               
    84  

Archer Daniels Midland Co.

            6,193  
    391  

Philip Morris International, Inc.

            36,504  
                      42,697  
       

Airlines — 0.0% (c)

               
    1,067  

Alaska Air Group, Inc. (d)

            40,343  
    2,760  

American Airlines Group, Inc. (d)

            34,307  
    347  

Delta Air Lines, Inc.

            12,815  
    731  

Southwest Airlines Co.

            18,692  

 

See accompanying notes to financial statements.

 

22

 

 

Horizon Active Risk Assist® Fund
PORTFOLIOS OF INVESTMENTS (Continued)
November 30, 2023

 

 

Shares

             

Value

 
    558  

United Airlines Holdings, Inc. (d)

          $ 21,985  
                      128,142  
       

Apparel — 0.0% (c)

               
    273  

Ralph Lauren Corp.,

            35,321  
    1,259  

Tapestry, Inc.

            39,872  
    1,920  

VF Corp.

            32,122  
                      107,315  
       

Auto Manufacturers — 0.0% (c)

               
    33  

Cummins, Inc.

            7,397  
    491  

Ford Motor Co.

            5,038  
    222  

General Motors Co.

            7,015  
    444  

PACCAR, Inc.

            40,768  
                      60,218  
       

Auto Parts & Equipment — 0.0% (c)

               
    240  

Aptiv PLC (d)

            19,882  
    683  

BorgWarner, Inc.

            23,010  
                      42,892  
       

Banks — 0.1%

               
    595  

Bank of New York Mellon Corp.

            28,750  
    555  

Citigroup, Inc.

            25,585  
    884  

Citizens Financial Group, Inc.

            24,107  
    1,140  

Comerica, Inc.

            51,551  
    621  

Fifth Third Bancorp

            17,978  
    1,697  

Huntington Bancshares, Inc.

            19,108  
    971  

JPMorgan Chase & Co.

            151,554  
    3,231  

KeyCorp

            40,032  
    108  

M&T Bank Corp.

            13,842  
    259  

Northern Trust Corp.

            20,526  
    42  

PNC Financial Services Group, Inc.

            5,626  
    1,191  

Regions Financial Corp.

            19,866  
    169  

State Street Corp.

            12,307  
    215  

Truist Financial Corp.

            6,910  
    1,697  

Zions Bancorp NA

            60,464  
                      498,206  
       

Beverages — 0.0% (c)

               
    151  

Brown-Forman Corp., Class B

            8,870  
    24  

Constellation Brands, Inc., Class A

            5,772  
    473  

Molson Coors Brewing Co., Class B

            29,108  
    83  

Monster Beverage Corp. (d)

            4,577  
                      48,327  
       

Biotechnology — 0.0% (c)

               
    189  

Amgen, Inc.

            50,962  
    28  

Biogen, Inc. (d)

            6,554  

 

See accompanying notes to financial statements.

 

23

 

 

Horizon Active Risk Assist® Fund
PORTFOLIOS OF INVESTMENTS (Continued)
November 30, 2023

 

 

Shares

             

Value

 
    99  

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

          $ 30,187  
    136  

Corteva, Inc.

            6,147  
    119  

Illumina, Inc. (d)

            12,132  
    356  

Incyte Corp. (d)

            19,345  
    39  

Regeneron Pharmaceuticals, Inc. (d)

            32,129  
    94  

Vertex Pharmaceuticals, Inc. (d)

            33,352  
                      190,808  
       

Building Materials — 0.0% (c)

               
    128  

Carrier Global Corp.

            6,651  
    135  

Johnson Controls International PLC

            7,128  
    61  

Martin Marietta Materials, Inc.

            28,340  
    374  

Masco Corp.

            22,645  
    46  

Vulcan Materials Co.

            9,824  
                      74,588  
       

Chemicals — 0.0% (c)

               
    13  

Air Products & Chemicals, Inc.

            3,517  
    111  

Albemarle Corp.

            13,461  
    270  

Celanese Corp.

            37,438  
    177  

CF Industries Holdings, Inc.

            13,302  
    136  

Dow, Inc.

            7,038  
    91  

DuPont de Nemours, Inc.

            6,510  
    368  

Eastman Chemical Co.

            30,849  
    556  

FMC Corp.

            29,835  
    196  

International Flavors & Fragrances, Inc.

            14,775  
    87  

LyondellBasell Industries NV, Class A

            8,274  
    608  

Mosaic Co.

            21,821  
    65  

PPG Industries, Inc.

            9,229  
    124  

Sherwin-Williams Co.

            34,571  
                      230,620  
       

Commercial Services — 0.0% (c)

               
    72  

Cintas Corp.

            39,834  
    167  

Ecolab, Inc.

            32,019  
    66  

Equifax, Inc.

            14,369  
    60  

FleetCor Technologies, Inc. (d)

            14,430  
    129  

Gartner, Inc. (d)

            56,094  
    82  

Global Payments, Inc.

            9,548  
    133  

MarketAxess Holdings, Inc.

            31,936  
    110  

Moody’s Corp.

            40,146  
    83  

PayPal Holdings, Inc. (d)

            4,782  
    55  

Quanta Services, Inc.

            10,357  
    383  

Robert Half International, Inc.

            31,398  
    343  

Rollins, Inc.

            13,974  
    121  

S&P Global, Inc.

            50,315  
    66  

United Rentals, Inc.

            31,417  

 

See accompanying notes to financial statements.

 

24

 

 

Horizon Active Risk Assist® Fund
PORTFOLIOS OF INVESTMENTS (Continued)
November 30, 2023

 

 

Shares

             

Value

 
    30  

Verisk Analytics, Inc.

          $ 7,243  
                      387,862  
       

Computers — 0.0% (c)

               
    264  

Cognizant Technology Solutions Corp., Class A

            18,580  
    212  

Fortinet, Inc. (d)

            11,143  
    1,803  

Hewlett Packard Enterprise Co.

            30,489  
    781  

HP, Inc.

            22,914  
    30  

International Business Machines Corp.

            4,757  
    324  

Leidos Holdings, Inc.

            34,772  
    502  

NetApp, Inc.

            45,878  
    1,369  

Western Digital Corp. (d)

            66,136  
                      234,669  
       

Cosmetics/Personal Care — 0.0% (c)

               
    383  

Colgate-Palmolive Co.

            30,169  
    37  

Estee Lauder Cos., Inc., Class A

            4,725  
                      34,894  
       

Distribution/Wholesale — 0.0% (c)

               
    792  

Copart, Inc. (d)

            39,774  
    114  

Fastenal Co.

            6,837  
    442  

LKQ Corp.

            19,682  
    49  

WW Grainger, Inc.

            38,523  
                      104,816  
       

Diversified Financial Services — 0.1%

               
    23  

Ameriprise Financial, Inc.

            8,131  
    67  

Capital One Financial Corp.

            7,481  
    197  

CBOE Global Markets, Inc.

            35,891  
    259  

CME Group, Inc.

            56,555  
    140  

Discover Financial Services

            13,020  
    881  

Franklin Resources, Inc.

            21,849  
    34  

Intercontinental Exchange, Inc.

            3,871  
    3,104  

Invesco, Ltd.

            44,294  
    197  

Nasdaq, Inc.

            11,001  
    121  

Raymond James Financial, Inc.

            12,723  
    701  

Synchrony Financial

            22,684  
    120  

T. Rowe Price Group, Inc.

            12,016  
    866  

Visa, Inc., Class A

            222,285  
                      471,801  
       

Electric — 0.1%

               
    1,534  

AES Corp.

            26,400  
    369  

Alliant Energy Corp.

            18,660  
    151  

Ameren Corp.

            11,716  
    79  

American Electric Power Co., Inc.

            6,284  
    488  

CenterPoint Energy, Inc.

            13,796  

 

See accompanying notes to financial statements.

 

25

 

 

Horizon Active Risk Assist® Fund
PORTFOLIOS OF INVESTMENTS (Continued)
November 30, 2023

 

 

Shares

             

Value

 
    255  

CMS Energy Corp.

          $ 14,474  
    82  

Consolidated Edison, Inc.

            7,389  
    164  

Dominion Energy, Inc.

            7,436  
    117  

DTE Energy Co.

            12,181  
    144  

Edison International

            9,647  
    241  

Entergy Corp.

            24,440  
    406  

Evergy, Inc.

            20,722  
    225  

Eversource Energy

            13,367  
    155  

Exelon Corp.

            5,969  
    632  

FirstEnergy Corp.

            23,346  
    849  

NRG Energy, Inc.

            40,616  
    1,770  

PG&E Corp. (d)

            30,391  
    356  

Pinnacle West Capital Corp.

            26,679  
    946  

PPL Corp.

            24,709  
    422  

Public Service Enterprise Group, Inc.

            26,345  
    69  

Sempra Energy

            5,028  
    373  

Southern Co.

            26,476  
    103  

WEC Energy Group, Inc.

            8,613  
    113  

Xcel Energy, Inc.

            6,875  
                      411,559  
       

Electrical Components & Equipment — 0.0% (c)

               
    52  

AMETEK, Inc.

            8,072  
    48  

Emerson Electric Co.

            4,267  
                      12,339  
       

Electronics — 0.0% (c)

               
    190  

Agilent Technologies, Inc.

            24,282  
    271  

Allegion PLC

            28,750  
    143  

Amphenol Corp., Class A

            13,012  
    149  

Fortive Corp.

            10,278  
    285  

Garmin, Ltd.

            34,838  
    211  

Keysight Technologies, Inc. (d)

            28,673  
    11  

Mettler-Toledo International, Inc. (d)

            12,011  
    231  

PerkinElmer, Inc.

            20,536  
    22  

Roper Technologies, Inc.

            11,842  
    124  

TE Connectivity, Ltd.

            16,244  
    65  

Waters Corp. (d)

            18,240  
                      218,706  
       

Entertainment — 0.0% (c)

               
    239  

Live Nation Entertainment, Inc. (d)

            20,129  
                         
       

Environmental Control — 0.0% (c)

               
    402  

Pentair PLC

            25,945  
    246  

Republic Services, Inc.

            39,813  
    22  

Waste Management, Inc.

            3,762  
                      69,520  

 

See accompanying notes to financial statements.

 

26

 

 

Horizon Active Risk Assist® Fund
PORTFOLIOS OF INVESTMENTS (Continued)
November 30, 2023

 

 

Shares

             

Value

 
       

Finance and Insurance — 0.0% (c)

               
    424  

Arch Capital Group Ltd. (d)

          $ 35,485  
    382  

Blackstone, Inc.

            42,925  
    176  

Brown & Brown, Inc.

            13,154  
    694  

US Bancorp

            26,455  
                      118,019  
       

Food — 0.0% (c)

               
    455  

Campbell Soup Co.

            18,282  
    612  

Conagra Brands, Inc.

            17,314  
    92  

General Mills, Inc.

            5,857  
    32  

Hershey Co.

            6,013  
    394  

Hormel Foods Corp.

            12,052  
    174  

J.M. Smucker Co.

            19,093  
    261  

Kellogg Co.

            13,713  
    188  

Kraft Heinz Co.

            6,601  
    161  

Kroger Co.

            7,128  
    300  

Lamb Weston Holdings, Inc.

            30,009  
    207  

McCormick & Co., Inc.

            13,420  
    407  

Mondelez International, Inc., Class A

            28,921  
    100  

Sysco Corp.

            7,217  
    298  

Tyson Foods, Inc., Class A

            13,958  
                      199,578  
       

Forest Products & Paper — 0.0% (c)

               
    592  

International Paper Co.

            21,869  
                         
       

Gas — 0.0% (c)

               
    130  

Atmos Energy Corp.

            14,795  
    863  

NiSource, Inc.

            22,128  
                      36,923  
       

Hand/Machine Tools — 0.0% (c)

               
    67  

Snap-on, Inc.

            18,404  
    227  

Stanley Black & Decker, Inc.

            20,635  
                      39,039  
       

Health Care and Social Assistance — 0.0% (c)

               
    93  

Molina Healthcare, Inc. (d)

            33,997  
                         
       

Healthcare Products — 0.0% (c)

               
    87  

Align Technology, Inc. (d)

            18,601  
    429  

Baxter International, Inc.

            15,478  
    836  

Boston Scientific Corp. (d)

            46,724  
    48  

Cooper Cos., Inc.

            16,172  
    1,153  

Dentsply Sirona, Inc.

            36,608  
    98  

Edwards Lifesciences Corp. (d)

            6,636  

 

See accompanying notes to financial statements.

 

27

 

 

Horizon Active Risk Assist® Fund
PORTFOLIOS OF INVESTMENTS (Continued)
November 30, 2023

 

 

Shares

             

Value

 
    222  

Hologic, Inc. (d)

          $ 15,829  
    16  

IDEXX Laboratories, Inc. (d)

            7,453  
    83  

ResMed, Inc.

            13,092  
    52  

STERIS PLC

            10,449  
    173  

Stryker Corp.

            51,265  
    150  

Teleflex, Inc.

            33,853  
    66  

West Pharmaceutical Services, Inc.

            23,150  
    104  

Zimmer Biomet Holdings, Inc.

            12,096  
                      307,406  
       

Healthcare Services — 0.1%

               
    410  

Centene Corp. (d)

            30,209  
    530  

DaVita, Inc. (d)

            53,774  
    16  

HCA Healthcare, Inc.

            4,008  
    71  

Humana, Inc.

            34,425  
    37  

IQVIA Holdings, Inc. (d)

            7,922  
    63  

Laboratory Corp. of America Holdings

            13,665  
    122  

Quest Diagnostics, Inc.

            16,742  
    498  

UnitedHealth Group, Inc.

            275,379  
    215  

Universal Health Services, Inc., Class B

            29,558  
                      465,682  
       

Home Builders — 0.0% (c)

               
    300  

DR Horton, Inc.

            38,301  
    75  

Lennar Corp., Class A

            9,594  
    10  

NVR, Inc. (d)

            61,554  
    425  

PulteGroup, Inc.

            37,578  
                      147,027  
       

Home Furnishings — 0.0% (c)

               
    388  

Whirlpool Corp.

            42,253  
                         
       

Household Products/Wares — 0.0% (c)

               
    95  

Avery Dennison Corp.

            18,477  
    272  

Church & Dwight Co., Inc.

            26,283  
    128  

Clorox Co.

            18,349  
    46  

Kimberly-Clark Corp.

            5,692  
                      68,801  
       

Information — 0.0% (c)

               
    353  

Ceridian HCM Holding, Inc. (d)

            24,322  
    300  

CoStar Group, Inc. (d)

            24,912  
    62  

FactSet Research Systems, Inc.

            28,114  
    239  

PTC, Inc. (d)

            37,609  
    1,469  

Warner Bros Discovery, Inc. (d)

            15,351  
                      130,308  

 

See accompanying notes to financial statements.

 

28

 

 

Horizon Active Risk Assist® Fund
PORTFOLIOS OF INVESTMENTS (Continued)
November 30, 2023

 

 

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Insurance — 0.0% (c)

               
    62  

Aflac, Inc.

          $ 5,128  
    58  

Allstate Corp.

            7,996  
    90  

American International Group, Inc.

            5,923  
    12  

Aon PLC, Class A

            3,942  
    182  

Arthur J Gallagher & Co.

            45,318  
    273  

Assurant, Inc.

            45,869  
    144  

Cincinnati Financial Corp.

            14,802  
    80  

Everest Re Group Ltd.

            32,844  
    185  

Globe Life, Inc.

            22,779  
    142  

Hartford Financial Services Group, Inc.

            11,099  
    482  

Loews Corp.

            33,880  
    82  

MetLife, Inc.

            5,218  
    203  

Principal Financial Group, Inc.

            14,987  
    459  

Progressive Corp.

            75,290  
    81  

Prudential Financial, Inc.

            7,920  
    37  

Travelers Cos., Inc.

            6,683  
    42  

Willis Towers Watson PLC

            10,345  
    201  

WR Berkley Corp.

            14,582  
                      364,605  
       

Internet — 0.1%

               
    2,367  

Amazon.com, Inc. (d)

            345,795  
    196  

CDW Corp.

            41,332  
    297  

eBay, Inc.

            12,180  
    318  

Expedia Group, Inc. (d)

            43,305  
    398  

F5 Networks, Inc. (d)

            68,134  
    1,038  

Meta Platforms, Inc., Class A (d)

            339,582  
    3,041  

Gen Digital, Inc.

            67,145  
    325  

Netflix, Inc. (d)

            154,040  
    128  

VeriSign, Inc. (d)

            27,162  
                      1,098,675  
       

Iron/Steel — 0.0% (c)

               
    41  

Nucor Corp.

            6,969  
                         
       

Leisure Time — 0.0% (c)

               
    1,380  

Carnival Corp. (d)

            20,783  
    2,936  

Norwegian Cruise Line Holdings Ltd. (d)

            44,833  
    333  

Royal Caribbean Cruises Ltd. (d)

            35,784  
                      101,400  
       

Lodging — 0.0% (c)

               
    229  

Hilton Worldwide Holdings, Inc.

            38,362  
    125  

Las Vegas Sands Corp.

            5,765  
    194  

Marriott International, Inc., Class A

            39,324  
    540  

MGM Resorts International

            21,298  

 

See accompanying notes to financial statements.

 

29

 

 

Horizon Active Risk Assist® Fund
PORTFOLIOS OF INVESTMENTS (Continued)
November 30, 2023

 

 

Shares

             

Value

 
    260  

Wynn Resorts Ltd.

          $ 21,949  
                      126,698  
       

Machinery - Diversified — 0.0% (c)

               
    93  

Dover Corp.

            13,128  
    78  

IDEX Corp.

            15,731  
    151  

Ingersoll Rand, Inc.

            10,786  
    94  

Otis Worldwide Corp.

            8,064  
    27  

Rockwell Automation, Inc.

            7,437  
    255  

Wabtec Corp.

            29,723  
    116  

Xylem, Inc.

            12,195  
                      97,064  
       

Manufacturing — 0.1%

               
    143  

Axon Enterprise, Inc. (d)

            32,871  
    425  

Bio-Techne Corp.

            26,733  
    238  

Bunge Global SA

            26,149  
    1,036  

Catalent, Inc. (d)

            40,249  
    523  

Enphase Energy, Inc. (d)

            52,833  
    123  

GE HealthCare Technologies, Inc.

            8,421  
    417  

Generac Holdings, Inc. (d)

            48,818  
    614  

General Electric Co.

            74,785  
    53  

Hubbell, Inc.

            15,900  
    183  

Insulet Corp. (d)

            34,604  
    355  

Kenvue, Inc.

            7,256  
    661  

Keurig Dr Pepper, Inc.

            20,868  
    256  

Linde Plc

            105,925  
    101  

Lululemon Athletica, Inc. (d)

            45,127  
    106  

Moderna, Inc. (d)

            8,236  
    69  

Monolithic Power Systems, Inc.

            37,862  
    88  

Nordson Corp.

            20,710  
    67  

NXP Semiconductors NV

            13,673  
    218  

ON Semiconductor Corp. (d)

            15,550  
    802  

Seagate Technology Holdings PLC

            63,438  
    1,508  

SolarEdge Technologies, Inc.(d)

            119,705  
    246  

Steel Dynamics, Inc.

            29,306  
    487  

Teradyne, Inc.

            44,916  
    990  

Tesla, Inc. (d)

            237,679  
    1,000  

Trimble, Inc. (d)

            46,400  
                      1,178,014  
       

Media — 0.0% (c)

               
    14  

Charter Communications, Inc., Class A (d)

            5,602  
    808  

Fox Corp., Class A

            23,868  
    1,952  

News Corp., Class A

            43,022  
    4,305  

Paramount Global, Class B (a)

            61,863  
                      134,355  

 

See accompanying notes to financial statements.

 

30

 

 

Horizon Active Risk Assist® Fund
PORTFOLIOS OF INVESTMENTS (Continued)
November 30, 2023

 

 

Shares

             

Value

 
       

Mining — 0.0% (c)

               
    141  

Freeport-McMoRan, Inc.

          $ 5,262  
    199  

Newmont Goldcorp Corp.

            7,998  
                      13,260  
       

Mining, Quarrying, and Oil and Gas Extraction — 0.0% (c)

               
    450  

APA Corp.

            16,200  
    334  

Targa Resources Corp.

            30,210  
                      46,410  
       

Miscellaneous Manufacturing — 0.0% (c)

               
    54  

3M Co.

            5,350  
    315  

AO Smith Corp.

            23,739  
    207  

Eaton Corp PLC

            47,132  
    16  

Illinois Tool Works, Inc.

            3,875  
    106  

Parker-Hannifin Corp.

            45,917  
    197  

Textron, Inc.

            15,102  
    203  

Trane Technologies PLC

            45,758  
                      186,873  
       

Office/Business Equipment — 0.0% (c)

               
    247  

Zebra Technologies Corp., Class A (d)

            58,534  
                         
       

Oil & Gas — 0.0% (c)

               
    394  

Cabot Oil & Gas Corp.

            10,343  
    155  

Devon Energy Corp.

            6,970  
    168  

Diamondback Energy, Inc.

            25,941  
    309  

EQT Corp.

            12,348  
    484  

Marathon Oil Corp.

            12,308  
    286  

Marathon Petroleum Corp.

            42,668  
    68  

Occidental Petroleum Corp.

            4,022  
    305  

Phillips 66

            39,311  
    43  

Valero Energy Corp.

            5,391  
                      159,302  
       

Oil & Gas Services — 0.0% (c)

               
    188  

Baker Hughes & GE Co.,

            6,345  
    677  

Halliburton Co.

            25,069  
                      31,414  
       

Packaging & Containers — 0.0% (c)

               
    2,043  

Amcor PLC

            19,368  
    328  

Ball Corp.

            18,135  
    199  

Packaging Corp of America

            33,434  
    1,625  

Sealed Air Corp.

            54,242  
                      125,179  

 

See accompanying notes to financial statements.

 

31

 

 

Horizon Active Risk Assist® Fund
PORTFOLIOS OF INVESTMENTS (Continued)
November 30, 2023

 

 

Shares

             

Value

 
       

Pharmaceuticals — 0.1%

               
    113  

ABIOMED, Inc. (e)

          $  
    199  

AmerisourceBergen Corp.

            40,470  
    350  

Cardinal Health, Inc.

            37,478  
    82  

DexCom, Inc. (d)

            9,473  
    592  

Eli Lilly & Co.

            349,896  
    401  

Henry Schein, Inc. (d)

            26,759  
    107  

McKesson Corp.

            50,350  
    2,356  

Viatris, Inc.

            21,628  
    160  

Zoetis, Inc.,

            28,267  
                      564,321  
       

Pipelines — 0.0% (c)

               
    373  

Kinder Morgan, Inc.

            6,554  
    92  

ONEOK, Inc.

            6,334  
    880  

Williams Cos., Inc.

            32,375  
                      45,263  
       

Professional, Scientific, and Technical Services — 0.0% (c)

               
    151  

Charles River Laboratories International, Inc. (d)

            29,759  
    204  

EPAM Systems, Inc. (d)

            52,671  
    101  

Jacobs Solutions, Inc.

            12,845  
    1,021  

Match Group, Inc. (d)

            33,060  
    258  

Palo Alto Networks, Inc. (d)

            76,133  
                      204,468  
       

Real Estate — 0.0% (c)

               
    160  

CBRE Group, Inc., Class A (d)

            12,634  
                         
       

Real Estate Investment Trusts — 0.1%

               
    147  

Alexandria Real Estate Equities, Inc.

            16,082  
    182  

American Tower Corp.

            37,998  
    59  

AvalonBay Communities, Inc.

            10,203  
    506  

Boston Properties, Inc.

            28,807  
    276  

Camden Property Trust

            24,912  
    66  

Crown Castle International Corp.

            7,741  
    276  

Digital Realty Trust, Inc.

            38,303  
    42  

Equinix, Inc.

            34,230  
    197  

Equity Residential

            11,198  
    80  

Essex Property Trust, Inc.

            17,077  
    98  

Extra Space Storage, Inc.

            12,757  
    360  

Federal Realty OP LP

            34,412  
    1,510  

Healthpeak Properties, Inc.

            26,153  
    1,911  

Host Hotels & Resorts, Inc.

            33,385  
    427  

Invitation Homes, Inc.

            14,245  
    436  

Iron Mountain, Inc.

            27,969  
    1,224  

Kimco Realty Corp.

            23,648  

 

See accompanying notes to financial statements.

 

32

 

 

Horizon Active Risk Assist® Fund
PORTFOLIOS OF INVESTMENTS (Continued)
November 30, 2023

 

 

Shares

             

Value

 
    136  

Mid-America Apartment Communities, Inc.

          $ 16,929  
    36  

Prologis, Inc.

            4,137  
    22  

Public Storage

            5,693  
    141  

Realty Income Corp.

            7,608  
    359  

Regency Centers Corp.

            22,538  
    49  

SBA Communications Corp.

            12,101  
    222  

Simon Property Group, Inc.

            27,726  
    640  

UDR, Inc.

            21,376  
    568  

Ventas, Inc.

            26,037  
    287  

VICI Properties, Inc.

            8,579  
    450  

Welltower, Inc.

            40,095  
    379  

Weyerhaeuser Co.

            11,882  
                      603,821  
       

Retail — 0.1%

               
    12  

AutoZone, Inc. (d)

            31,319  
    241  

Best Buy Co., Inc.

            17,097  
    399  

CarMax, Inc. (d)

            25,512  
    21  

Chipotle Mexican Grill, Inc. (d)

            46,247  
    228  

Costco Wholesale Corp.

            135,145  
    92  

Darden Restaurants, Inc.

            14,395  
    70  

Dollar General Corp.

            9,178  
    87  

Dollar Tree, Inc. (d)

            10,752  
    55  

Domino’s Pizza, Inc.

            21,609  
    98  

Genuine Parts Co.

            13,012  
    36  

O’Reilly Automotive, Inc. (d)

            35,366  
    285  

Ross Stores, Inc.

            37,158  
    177  

Target Corp.

            23,684  
    459  

TJX Cos., Inc.

            40,443  
    57  

Tractor Supply Co.

            11,572  
    30  

Ulta Beauty, Inc. (d)

            12,780  
    573  

Walgreens Boots Alliance, Inc.

            11,426  
    774  

Walmart, Inc.

            120,504  
    55  

Yum! Brands, Inc.

            6,905  
                      624,104  
       

Retail Trade — 0.0% (c)

               
    1,213  

Bath & Body Works, Inc.

            39,568  
    484  

Etsy, Inc. (d)

            36,692  
                      76,260  
       

Semiconductors — 0.1%

               
    38  

Advanced Micro Devices, Inc. (d)

            4,604  
    41  

Analog Devices, Inc.

            7,519  
    37  

Applied Materials, Inc.

            5,542  
    322  

Broadcom, Inc.

            298,085  
    3,311  

Intel Corp.

            148,002  

 

See accompanying notes to financial statements.

 

33

 

 

Horizon Active Risk Assist® Fund
PORTFOLIOS OF INVESTMENTS (Continued)
November 30, 2023

 

 

Shares

             

Value

 
    113  

KLA Corp.

          $ 61,542  
    85  

Lam Research Corp.

            60,853  
    188  

Microchip Technology, Inc.

            15,687  
    732  

Micron Technology, Inc.

            55,720  
    733  

NVIDIA Corp.

            342,824  
    732  

Qorvo, Inc. (d)

            70,638  
    44  

QUALCOMM, Inc.

            5,678  
    435  

Skyworks Solutions, Inc.

            42,164  
    29  

Texas Instruments, Inc.

            4,429  
                      1,123,287  
       

Shipbuilding — 0.0% (c)

               
    119  

Huntington Ingalls Industries, Inc.

            28,205  
                         
       

Software — 0.1%

               
    337  

Adobe, Inc. (d)

            205,910  
    493  

Akamai Technologies, Inc. (d)

            56,956  
    83  

ANSYS, Inc. (d)

            24,349  
    64  

Autodesk, Inc. (d)

            13,980  
    157  

Broadridge Financial Solutions, Inc.

            30,430  
    37  

Cadence Design Systems, Inc. (d)

            10,111  
    225  

Electronic Arts, Inc.

            31,052  
    164  

Fidelity National Information Services, Inc.

            9,617  
    277  

Fiserv, Inc. (d)

            36,179  
    9  

Intuit, Inc.

            5,143  
    161  

Jack Henry & Associates, Inc.

            25,549  
    12  

MSCI, Inc.

            6,250  
    50  

Paychex, Inc.

            6,098  
    63  

Paycom Software, Inc.

            11,445  
    155  

ServiceNow, Inc. (d)

            106,290  
    131  

Synopsys, Inc. (d)

            71,163  
    246  

Take-Two Interactive Software, Inc. (d)

            38,917  
    95  

Tyler Technologies, Inc. (d)

            38,840  
                      728,279  
       

Telecommunications — 0.0% (c)

               
    312  

Arista Networks, Inc. (d)

            68,550  
    880  

Corning, Inc.

            25,071  
    2,475  

Juniper Networks, Inc.

            70,414  
    150  

Motorola Solutions, Inc.

            48,430  
    485  

T-Mobile US, Inc. (d)

            72,968  
                      285,433  
       

Textiles — 0.0% (c)

               
    588  

Mohawk Industries, Inc. (d)

            51,926  
                         

 

See accompanying notes to financial statements.

 

34

 

 

Horizon Active Risk Assist® Fund
PORTFOLIOS OF INVESTMENTS (Continued)
November 30, 2023

 

 

Shares

             

Value

 
       

Toys/Games/Hobbies — 0.0% (c)

               
    730  

Hasbro, Inc.

          $ 33,879  
                         
       

Transportation — 0.0% (c)

               
    288  

CH Robinson Worldwide, Inc.

            23,630  
    884  

CSX Corp.

            28,553  
    127  

Expeditors International of Washington, Inc.

            15,283  
    129  

FedEx Corp.

            33,389  
    76  

JB Hunt Transport Services, Inc.

            14,081  
    28  

Norfolk Southern Corp.

            6,109  
    77  

Old Dominion Freight Line, Inc.

            29,958  
    208  

Union Pacific Corp.

            46,856  
                      197,859  
       

Utilities — 0.0% (c)

               
    328  

Constellation Energy Corp.

            39,701  
    245  

First Solar, Inc. (d)

            38,656  
                      78,357  
       

Water — 0.0% (c)

               
    82  

American Water Works Co., Inc.

            10,811  
                         
       

Wholesale Trade — 0.0% (c)

               
    59  

Pool Corp.

            20,492  
                         
       

TOTAL COMMON STOCKS (Cost - $13,285,226)

            13,745,691  

 

See accompanying notes to financial statements.

 

35

 

 

Horizon Active Risk Assist® Fund
PORTFOLIOS OF INVESTMENTS (Continued)
November 30, 2023

 

Contracts

           

Notional
Amount

   

Value

 
   

PURCHASED OPTIONS — 0.5% (d)(f)

               
   

PURCHASED CALL OPTIONS — 0.2%

               
   

iShares 20+ Year Treasury Bond ETF (g)

               

1,500

 

Expiration: December 2023, Exercise Price: $101.00

  $ 13,734,000     $ 13,500  
   

iShares MSCI Brazil ETF (g)

               

10,000

 

Expiration: January 2024, Exercise Price: $36.00

    34,010,000       320,000  
   

iShares MSCI Emerging Markets ETF

               

15,000

 

Expiration: January 2024, Exercise Price: $45.00

    59,340,000       37,500  
   

iShares Russell 2000 ETF

               

30,000

 

Expiration: December 2023, Exercise Price: $190.00

    538,980,000       1,920,000  
   

TOTAL PURCHASED CALL OPTIONS (Cost - $5,703,211)

            2,291,000  
                           
   

PURCHASED PUT OPTIONS — 0.3%

               
   

CBOE Volatility Index (g)

               

7,500

 

Expiration: December 2023, Exercise Price: $16.00

    9,690,000       2,085,000  
   

SPDR S&P 500 ETF Trust (g)

               

3,500

 

Expiration: April 2024, Exercise Price: $405.00

    159,740,000       1,223,250  
   

SPDR S&P Retail ETF (g)

               

3,000

 

Expiration: December 2023, Exercise Price: $59.00

    19,380,000       42,000  
   

TOTAL PURCHASED PUT OPTIONS (Cost - $2,170,721)

            3,350,250  
   

TOTAL PURCHASED OPTIONS (Cost - $7,873,932)

            5,641,250  

Shares

                         
   

SHORT TERM INVESTMENTS — 0.0% (c)

               
   

Money Market Funds — 0.0% (c)

               

823

 

First American Treasury Obligations Fund, Class X, 5.28% (h)

            823  
   

TOTAL SHORT TERM INVESTMENTS (Cost - $823)

            823  
                           
   

INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING — 2.4%

               

28,608,150

 

First American Government Obligations Fund, Class X, 5.21% (h)

            28,608,150  
   

TOTAL INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING (Cost - $28,608,150)

            28,608,150  
                           
   

TOTAL INVESTMENTS — 102.5% (Cost - $1,135,719,726)

            1,222,185,303  
   

Liabilities in Excess of Other Assets — (2.5)%

            (30,091,760 )
   

NET ASSETS — 100.0%

          $ 1,192,093,543  
                           

 

See accompanying notes to financial statements.

 

36

 

 

Horizon Active Risk Assist® Fund
PORTFOLIOS OF INVESTMENTS (Continued)
November 30, 2023

 

Contracts

           

Notional
Amount

   

Value

 
   

SCHEDULE OF WRITTEN OPTIONS — (0.3)% (d)(f)

               
   

WRITTEN CALL OPTIONS — (0.0)% (c)

               

1,500

 

iShares 20+ Year Treasury Bond ETF

               
   

Expiration: December 2023, Exercise Price $106.00

  $ 13,734,000     $ 4,500  

10,000

 

iShares MSCI Brazil ETF

               
   

Expiration: December 2023, Exercise Price $36.00

    34,010,000       250,000  
   

TOTAL WRITTEN CALL OPTIONS (Premiums Received $1,539,263)

            254,500  
                           
   

WRITTEN PUT OPTIONS — (0.3)%

               

15,000

 

CBOE Volatility Index

               
   

Expiration: December 2023, Exercise Price $14.50

    19,380,000       2,272,500  

7,000

 

SPDR S&P 500 ETF Trust

               
   

Expiration: April 2024, Exercise Price $370.00

    319,480,000       1,186,500  

4,500

 

SPDR S&P Retail ETF

               
   

Expiration: December 2023, Exercise Price $56.00

    29,070,000       36,000  
   

TOTAL WRITTEN PUT OPTIONS (Premiums Received $1,811,578)

            3,495,000  
   

TOTAL OPTIONS WRITTEN (Premiums Received $3,350,841)

          $ 3,749,500  

 

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, 2023.

 

(b)

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 $22,200,000, which is 1.9% of total net assets.

 

(c)

Rounds to less than 0.1%

 

(d)

Non-income producing security.

 

(e)

Value determined using significant unobservable inputs. Classified as Level 3 in the fair value hierarchy.

 

(f)

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

 

(g)

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

 

(h)

Interest rate reflects seven-day yield on November 30, 2023.

 

See accompanying notes to financial statements.

 

37

 

 

Horizon Active Income Fund
PORTFOLIOS OF INVESTMENTS
November 30, 2023

 

 

Shares

             

Value

 
       

INVESTMENT COMPANIES — 99.8%

               
       

Exchange Traded Funds — 99.8%

               
    856,600  

First Trust TCW Opportunistic Fixed Income ETF (a)(f)

          $ 36,799,536  
    449,459  

Hartford Total Return Bond ETF (a)

            14,773,717  
    2,167  

iShares 7-10 Year Treasury Bond ETF

            202,419  
    235,827  

iShares iBoxx Investment Grade Corporate Bond ETF (a)

            25,066,052  
    325,452  

iShares MBS ETF

            29,567,314  
    93,320  

iShares TIPS Bond ETF

            9,816,331  
    1,361  

Janus Henderson AAA CLO ETF

            68,635  
    206  

Janus Henderson B-BBB CLO ETF

            9,820  
    333,585  

Janus Henderson Mortgage-Backed Securities ETF (a)

            14,817,846  
    274,300  

PIMCO Active Bond Exchange-Traded Fund (a)

            24,599,224  
    2,114  

SPDR Blackstone / GSO Senior Loan ETF

            88,450  
    687,889  

SPDR Doubleline Total Return Tactical ETF

            26,862,065  
    1,564  

SPDR Portfolio Intermediate Term Corporate Bond ETF (a)

            50,314  
    357,560  

SPDR Portfolio Long Term Treasury ETF

            9,639,818  
    334,295  

SPDR Portfolio Short Term Corporate Bond ETF

            9,905,161  
    893,216  

VanEck Fallen Angel High Yield Bond ETF (a)

            25,175,293  
    576,086  

Xtrackers USD High Yield Corporate Bond ETF (a)

            20,013,228  
       

TOTAL INVESTMENT COMPANIES (Cost - $258,128,551)

            247,455,223  
                         
 

Contracts

     

Notional
Amount

         
       

PURCHASED OPTIONS — 0.0% (b)(c)(d)

               
       

PURCHASED CALL OPTIONS — 0.0%

               
       

iShares 20+ Year Treasury Bond ETF (g)

               
    1,000  

Expiration: December 2023, Exercise Price: $101.00

  $ 9,156,000       9,000  
       

TOTAL PURCHASED OPTIONS (Cost - $187,325)

            9,000  
                         

 

See accompanying notes to financial statements.

 

38

 

 

Horizon Active Income Fund
PORTFOLIOS OF INVESTMENTS (Continued)
November 30, 2023

 

 

Shares

             

Value

 
       

SHORT TERM INVESTMENTS — 0.1% (d)

               
       

Money Market Funds — 0.1%

               
    157,559  

First American Treasury Obligations Fund, Class X, 5.28% (e)

          $ 157,559  
       

TOTAL SHORT TERM INVESTMENTS (Cost - $157,559)

            157,559  
                         
       

INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING — 31.4%

               
    77,974,294  

First American Government Obligations Fund, Class X, 5.21% (e)

            77,974,294  
       

TOTAL INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING (Cost - $77,974,294)

            77,974,294  
                         
       

TOTAL INVESTMENTS — 131.3% (Cost - $336,447,729)

            325,596,076  
       

Liabilities in Excess of Other Assets — (31.3)%

            (77,640,923 )
       

NET ASSETS — 100.0%

          $ 247,955,153  
                         

 

 

Contracts

     

Notional
Amount

         
       

SCHEDULE OF WRITTEN OPTIONS — 0.0% (b)(c)(d)

               
       

WRITTEN CALL OPTIONS — 0.0%

               
    1,000  

iShares 20+ Year Treasury Bond ETF

               
       

Expiration: December 2023, Exercise Price $106.00

  $ 9,156,000       3,000  
       

TOTAL WRITTEN CALL OPTIONS (Premiums Received $81,675)

            3,000  
                         
       

TOTAL OPTIONS WRITTEN (Premiums Received $81,675)

          $ 3,000  

 

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, 2023.

 

(b)

Rounds to less than 0.1%

 

(c)

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

 

(d)

Non-income producing security.

 

(e)

Interest rate reflects the seven-day yield on November 30, 2023.

 

(f)

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 $3,222,000, which is 1.3% of total net assets.

 

(g)

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

 

See accompanying notes to financial statements.

 

39

 

 

Horizon Equity Premium Income Fund
PORTFOLIOS OF INVESTMENTS
November 30, 2023

 

 

Shares

             

Value

 
       

COMMON STOCKS — 99.7%

               
       

Aerospace/Defense — 1.2%

               
    853  

Boeing Co. (a)

          $ 197,580  
    973  

General Dynamics Corp.

            240,302  
    1,018  

Lockheed Martin Corp.

            455,830  
    481  

Northrop Grumman Corp.

            228,552  
                      1,122,264  
       

Agriculture — 1.1%

               
    7,286  

Altria Group, Inc.

            306,304  
    1,218  

Archer Daniels Midland Co.

            89,803  
    7,036  

Philip Morris International, Inc.

            656,881  
                      1,052,988  
       

Apparel — 0.6%

               
    5,383  

Nike, Inc., Class B

            593,583  
                         
       

Auto Manufacturers — 0.8%

               
    30,372  

Ford Motor Co.

            311,617  
    7,259  

General Motors Co.

            229,384  
    2,181  

PACCAR, Inc.

            200,260  
                      741,261  
       

Banks — 5.0%

               
    36,504  

Bank of America Corp.

            1,113,007  
    1,565  

Goldman Sachs Group, Inc.

            534,510  
    11,275  

JPMorgan Chase & Co.

            1,759,802  
    763  

M&T Bank Corp.

            97,794  
    1,328  

Morgan Stanley

            105,363  
    1,970  

PNC Financial Services Group, Inc.

            263,901  
    7,033  

Truist Financial Corp.

            226,041  
    16,497  

Wells Fargo & Co.

            735,601  
                      4,836,019  
       

Beverages — 2.0%

               
    16,901  

Coca-Cola Co.

            987,695  
    358  

Constellation Brands, Inc., Class A

            86,095  
    5,022  

PepsiCo, Inc.

            845,152  
                      1,918,942  
       

Biotechnology — 1.2%

               
    2,226  

Amgen, Inc.

            600,219  
    5,634  

Gilead Sciences, Inc.

            431,564  
    256  

Vertex Pharmaceuticals, Inc. (a)

            90,831  
                      1,122,614  
       

Building Materials — 0.3%

               
    2,165  

Carrier Global Corp.

            112,493  
    2,576  

Johnson Controls International PLC

            136,013  
                      248,506  

 

See accompanying notes to financial statements.

 

40

 

 

Horizon Equity Premium Income Fund
PORTFOLIOS OF INVESTMENTS (Continued)
November 30, 2023

 

 

Shares

             

Value

 
       

Chemicals — 0.9%

               
    782  

Air Products & Chemicals, Inc.

          $ 211,570  
    3,533  

Dow, Inc.

            182,833  
    1,437  

DuPont de Nemours, Inc.

            102,803  
    1,587  

LyondellBasell Industries NV, Class A

            150,924  
    739  

PPG Industries, Inc.

            104,930  
    534  

Sherwin-Williams Co.

            148,879  
                      901,939  
       

Commercial Services — 1.0%

               
    1,368  

Automatic Data Processing, Inc.

            314,531  
    235  

Cintas Corp.

            130,014  
    694  

Ecolab, Inc.

            133,061  
    395  

Moody’s Corp.

            144,159  
    709  

S&P Global, Inc.

            294,823  
                      1,016,588  
       

Computers — 7.7%

               
    2,374  

Accenture PLC, Class A

            790,875  
    28,517  

Apple, Inc. (d)

            5,416,804  
    10,330  

HP, Inc.

            303,082  
    5,572  

International Business Machines Corp.

            883,496