Horizon Defined Risk Fund | ||||||||
PORTFOLIO OF INVESTMENTS | ||||||||
August 31, 2021 (Unaudited) | ||||||||
Shares | Value | |||||||
COMMON STOCKS - 101.0% | ||||||||
Accommodation and Food Services - 0.1% | ||||||||
1,319 | Caesars Entertainment, Inc. (a) | $ | 134,050 | |||||
947 | Penn National Gaming, Inc. (a)(d) | 76,802 | ||||||
210,852 | ||||||||
Advertising - 0.1% | ||||||||
2,480 | Interpublic Group of Cos., Inc. | 92,330 | ||||||
1,361 | Omnicom Group, Inc. (d) | 99,653 | ||||||
191,983 | ||||||||
Aerospace/Defense - 1.1% | ||||||||
3,479 | Boeing Co. (a)(f) | 763,641 | ||||||
1,453 | General Dynamics Corp. | 291,050 | ||||||
2,464 | Howmet Aerospace, Inc. | 78,232 | ||||||
1,305 | L3Harris Technologies, Inc. | 304,078 | ||||||
1,554 | Lockheed Martin Corp. | 559,129 | ||||||
951 | Northrop Grumman Corp. | 349,683 | ||||||
295 | Teledyne Technologies, Inc. (a) | 136,697 | ||||||
347 | TransDigm Group, Inc. (a) | 210,792 | ||||||
2,693,302 | ||||||||
Agriculture - 0.8% | ||||||||
11,746 | Altria Group, Inc. | 590,002 | ||||||
3,521 | Archer Daniels Midland Co. | 211,260 | ||||||
9,883 | Philip Morris International, Inc. (f) | 1,017,949 | ||||||
1,819,211 | ||||||||
Airlines - 0.2% | ||||||||
785 | Alaska Air Group, Inc. (a) | 45,012 | ||||||
4,057 | American Airlines Group, Inc. (a)(d) | 80,897 | ||||||
4,033 | Delta Air Lines, Inc. (a) | 163,094 | ||||||
3,728 | Southwest Airlines Co. (a) | 185,580 | ||||||
2,020 | United Airlines Holdings, Inc. (a) | 93,950 | ||||||
568,533 | ||||||||
Apparel - 0.7% | ||||||||
2,198 | Hanesbrands, Inc. (d) | 41,058 | ||||||
8,130 | Nike, Inc., Class B (f) | 1,339,336 | ||||||
447 | PVH Corp. (a) | 46,841 | ||||||
305 | Ralph Lauren Corp., Class A (d) | 35,420 | ||||||
1,756 | Tapestry, Inc. | 70,802 | ||||||
1,198 | Under Armour, Inc., Class A (a)(d) | 27,722 | ||||||
1,243 | Under Armour, Inc., Class C (a) | 24,934 | ||||||
2,027 | VF Corp. (d) | 155,005 | ||||||
1,741,118 | ||||||||
Auto Manufacturers - 0.5% | ||||||||
943 | Cummins, Inc. (d) | 222,529 | ||||||
24,681 | Ford Motor Co. (a) | 321,593 | ||||||
8,068 | General Motors Co. (a) | 395,413 | ||||||
2,203 | PACCAR, Inc. | 180,360 | ||||||
1,119,895 | ||||||||
Auto Parts & Equipment - 0.1% | ||||||||
1,716 | Aptiv PLC (a) | 261,158 | ||||||
1,523 | BorgWarner, Inc. (d) | 65,002 | ||||||
326,160 | ||||||||
Banks - 5.0% | ||||||||
47,845 | Bank of America Corp. (f)(d) | 1,997,529 | ||||||
5,098 | Bank of New York Mellon Corp. | 281,512 | ||||||
13,094 | Citigroup, Inc. (f) | 941,589 | ||||||
2,682 | Citizens Financial Group, Inc. | 117,445 | ||||||
877 | Comerica, Inc. | 64,819 | ||||||
4,477 | Fifth Third Bancorp (d) | 173,976 | ||||||
1,104 | First Republic Bank (d) | 219,630 | ||||||
2,155 | Goldman Sachs Group, Inc. | 891,114 | ||||||
9,275 | Huntington Bancshares, Inc. | 144,041 | ||||||
19,166 | JPMorgan Chase & Co. (f) | 3,065,602 | ||||||
6,099 | KeyCorp (d) | 123,932 | ||||||
809 | M&T Bank Corp. (d) | 113,268 | ||||||
9,454 | Morgan Stanley | 987,281 | ||||||
1,315 | Northern Trust Corp. | 155,854 | ||||||
2,675 | PNC Financial Services Group, Inc. | 511,192 | ||||||
6,045 | Regions Financial Corp. | 123,499 | ||||||
2,219 | State Street Corp. | 206,167 | ||||||
370 | SVB Financial Group (a) | 207,015 | ||||||
8,499 | Truist Financial Corp. | 484,953 | ||||||
26,094 | Wells Fargo & Co. (f) | 1,192,496 | ||||||
1,035 | Zions Bancorp NA | 59,926 | ||||||
12,062,840 | ||||||||
Beverages - 1.4% | ||||||||
1,154 | Brown-Forman Corp., Class B | 81,034 | ||||||
24,643 | Coca-Cola Co. (f) | 1,387,647 | ||||||
1,073 | Constellation Brands, Inc., Class A | 226,553 | ||||||
1,193 | Molson Coors Brewing Co., Class B (d) | 56,703 | ||||||
2,338 | Monster Beverage Corp. (a) | 228,119 | ||||||
8,785 | PepsiCo, Inc. (f) | 1,373,886 | ||||||
3,353,942 | ||||||||
Biotechnology - 1.4% | ||||||||
3,647 | Amgen, Inc. (f) | 822,508 | ||||||
952 | Biogen, Inc. (a) | 322,642 | ||||||
136 | Bio-Rad Laboratories, Inc., Class A (a) | 109,456 | ||||||
4,679 | Corteva, Inc. | 205,736 | ||||||
7,949 | Gilead Sciences, Inc. | 578,528 | ||||||
925 | Illumina, Inc. (a) | 422,873 | ||||||
1,186 | Incyte Corp. (a) | 90,717 | ||||||
668 | Regeneron Pharmaceuticals, Inc. (a) | 449,831 | ||||||
1,654 | Vertex Pharmaceuticals, Inc. (a) | 331,280 | ||||||
3,333,571 | ||||||||
Building Materials - 0.5% | ||||||||
5,169 | Carrier Global Corp. | 297,734 | ||||||
877 | Fortune Brands Home & Security, Inc. | 85,394 | ||||||
4,582 | Johnson Controls International PLC | 342,734 | ||||||
393 | Martin Marietta Materials, Inc. | 149,831 | ||||||
1,636 | Masco Corp. | 99,338 | ||||||
840 | Vulcan Materials Co. | 156,181 | ||||||
1,131,212 | ||||||||
Chemicals - 1.5% | ||||||||
1,404 | Air Products & Chemicals, Inc. | 378,392 | ||||||
742 | Albemarle Corp. (d) | 175,661 | ||||||
723 | Celanese Corp. | 114,668 | ||||||
1,357 | CF Industries Holdings, Inc. | 61,635 | ||||||
4,729 | Dow, Inc. | 297,454 | ||||||
3,382 | DuPont de Nemours, Inc. | 250,336 | ||||||
861 | Eastman Chemical Co. | 97,431 | ||||||
821 | FMC Corp. | 76,870 | ||||||
1,574 | International Flavors & Fragrances, Inc. | 238,461 | ||||||
3,304 | Linde PLC | 1,039,405 | ||||||
1,633 | LyondellBasell Industries NV, Class A | 163,872 | ||||||
2,195 | Mosaic Co. | 70,635 | ||||||
1,502 | PPG Industries, Inc. | 239,644 | ||||||
1,521 | Sherwin-Williams Co. | 461,882 | ||||||
3,666,346 | ||||||||
Commercial Services - 2.6% | ||||||||
2,705 | Automatic Data Processing, Inc. | 565,453 | ||||||
559 | Cintas Corp. | 221,236 | ||||||
1,576 | Ecolab, Inc. | 355,167 | ||||||
769 | Equifax, Inc. | 209,368 | ||||||
529 | FleetCor Technologies, Inc. (a) | 139,275 | ||||||
546 | Gartner, Inc. (a) | 168,572 | ||||||
1,880 | Global Payments, Inc. | 305,763 | ||||||
2,361 | IHS Markit, Ltd. | 284,737 | ||||||
240 | MarketAxess Holdings, Inc. (d) | 114,221 | ||||||
1,016 | Moody's Corp. | 386,862 | ||||||
2,259 | Nielsen Holdings PLC (d) | 48,478 | ||||||
7,480 | PayPal Holdings, Inc. (a)(f) | 2,159,177 | ||||||
876 | Quanta Services, Inc. | 89,440 | ||||||
716 | Robert Half International, Inc. | 74,034 | ||||||
1,400 | Rollins, Inc. | 54,488 | ||||||
1,521 | S&P Global, Inc. | 675,050 | ||||||
458 | United Rentals, Inc. (a)(d) | 161,514 | ||||||
1,033 | Verisk Analytics, Inc. | 208,418 | ||||||
6,221,253 | ||||||||
Computers - 7.7% | ||||||||
4,020 | Accenture PLC, Class A | 1,352,971 | ||||||
99,912 | Apple, Inc. (f) | 15,169,639 | ||||||
3,374 | Cognizant Technology Solutions Corp., Class A | 257,470 | ||||||
1,609 | DXC Technology Co. (a) | 59,083 | ||||||
855 | Fortinet, Inc. (a) | 269,445 | ||||||
8,153 | Hewlett Packard Enterprise Co. (d) | 126,045 | ||||||
7,566 | HP, Inc. | 225,013 | ||||||
5,670 | International Business Machines Corp. (f)(d) | 795,728 | ||||||
846 | Leidos Holdings, Inc. | 83,001 | ||||||
1,410 | NetApp, Inc. | 125,391 | ||||||
1,921 | Western Digital Corp. (a)(d) | 121,407 | ||||||
18,585,193 | ||||||||
Cosmetics/Personal Care - 1.3% | ||||||||
5,362 | Colgate-Palmolive Co. | 417,968 | ||||||
1,485 | Estee Lauder Cos., Inc., Class A | 505,628 | ||||||
15,588 | Procter & Gamble Co. (f) | 2,219,575 | ||||||
3,143,171 | ||||||||
Distribution/Wholesale - 0.3% | ||||||||
1,313 | Copart, Inc. (a) | 189,492 | ||||||
3,638 | Fastenal Co. | 203,183 | ||||||
1,765 | LKQ Corp. (a)(d) | 92,998 | ||||||
279 | WW Grainger, Inc. | 121,002 | ||||||
606,675 | ||||||||
Diversified Financial Services - 3.9% | ||||||||
4,113 | American Express Co. | 682,593 | ||||||
738 | Ameriprise Financial, Inc. | 201,408 | ||||||
898 | BlackRock, Inc. (f) | 847,074 | ||||||
2,862 | Capital One Financial Corp. | 475,006 | ||||||
679 | CBOE Global Markets, Inc. (d) | 85,656 | ||||||
9,474 | Charles Schwab Corp. | 690,181 | ||||||
2,277 | CME Group, Inc. (d) | 459,316 | ||||||
1,930 | Discover Financial Services (d) | 247,465 | ||||||
1,722 | Franklin Resources, Inc. (d) | 55,862 | ||||||
3,562 | Intercontinental Exchange, Inc. | 425,766 | ||||||
2,382 | Invesco, Ltd. | 60,312 | ||||||
5,551 | MasterCard, Inc., Class A (f) | 1,921,923 | ||||||
730 | Nasdaq, Inc. | 142,919 | ||||||
775 | Raymond James Financial, Inc. | 108,423 | ||||||
3,431 | Synchrony Financial (d) | 170,692 | ||||||
1,441 | T. Rowe Price Group, Inc. | 322,597 | ||||||
10,768 | Visa, Inc. (d)(f) | 2,466,949 | ||||||
2,616 | Western Union Co. (d) | 56,610 | ||||||
9,420,752 | ||||||||
Electric - 2.4% | ||||||||
4,241 | AES Corp. | 101,233 | ||||||
1,588 | Alliant Energy Corp. | 96,534 | ||||||
1,619 | Ameren Corp. | 142,019 | ||||||
3,151 | American Electric Power Co., Inc. (d) | 282,235 | ||||||
3,688 | CenterPoint Energy, Inc. (d) | 92,532 | ||||||
1,834 | CMS Energy Corp. | 117,614 | ||||||
2,173 | Consolidated Edison, Inc. | 163,953 | ||||||
5,118 | Dominion Energy, Inc. | 398,385 | ||||||
1,228 | DTE Energy Co. | 147,778 | ||||||
4,866 | Duke Energy Corp. | 509,276 | ||||||
2,411 | Edison International | 139,452 | ||||||
1,272 | Entergy Corp. (d) | 140,696 | ||||||
1,440 | Evergy, Inc. | 98,568 | ||||||
2,185 | Eversource Energy | 198,245 | ||||||
6,197 | Exelon Corp. | 303,777 | ||||||
3,432 | FirstEnergy Corp. | 133,402 | ||||||
12,433 | NextEra Energy, Inc. | 1,044,248 | ||||||
1,527 | NRG Energy, Inc. | 69,738 | ||||||
713 | Pinnacle West Capital Corp. | 54,830 | ||||||
4,874 | PPL Corp. | 143,052 | ||||||
3,197 | Public Service Enterprise Group, Inc. | 204,416 | ||||||
2,001 | Sempra Energy | 264,852 | ||||||
6,702 | Southern Co. | 440,522 | ||||||
1,998 | WEC Energy Group, Inc. | 188,771 | ||||||
3,424 | Xcel Energy, Inc. | 235,400 | ||||||
5,711,528 | ||||||||
Electrical Components & Equipment - 0.3% | ||||||||
1,465 | AMETEK, Inc. | 199,196 | ||||||
3,808 | Emerson Electric Co. | 401,744 | ||||||
600,940 | ||||||||
Electronics - 1.4% | ||||||||
1,924 | Agilent Technologies, Inc. (d) | 337,604 | ||||||
575 | Allegion PLC | 82,794 | ||||||
3,801 | Amphenol Corp., Class A | 291,271 | ||||||
2,142 | Fortive Corp. | 158,230 | ||||||
952 | Garmin, Ltd. | 166,057 | ||||||
4,416 | Honeywell International, Inc. | 1,024,115 | ||||||
1,180 | Keysight Technologies, Inc. (a) | 211,668 | ||||||
148 | Mettler-Toledo International, Inc. (a) | 229,819 | ||||||
710 | PerkinElmer, Inc. | 131,208 | ||||||
666 | Roper Technologies, Inc. | 321,864 | ||||||
2,098 | TE Connectivity, Ltd. | 315,162 | ||||||
393 | Waters Corp. (a) | 162,710 | ||||||
3,432,502 | ||||||||
Engineering & Construction - 0.1% | ||||||||
826 | Jacobs Engineering Group, Inc. | 111,477 | ||||||
Entertainment - 0.0% (b) | ||||||||
915 | Live Nation Entertainment, Inc. (a)(d) | 79,330 | ||||||
Environmental Control - 0.3% | ||||||||
1,054 | Pentair PLC | 81,327 | ||||||
1,337 | Republic Services, Inc. | 165,962 | ||||||
2,465 | Waste Management, Inc. | 382,346 | ||||||
629,635 | ||||||||
Food - 1.0% | ||||||||
1,290 | Campbell Soup Co. (d) | 53,832 | ||||||
3,109 | Conagra Brands, Inc. (d) | 102,970 | ||||||
3,880 | General Mills, Inc. | 224,303 | ||||||
930 | Hershey Co. | 165,261 | ||||||
1,784 | Hormel Foods Corp. (d) | 81,243 | ||||||
694 | J.M. Smucker Co. (d) | 85,827 | ||||||
1,625 | Kellogg Co. (d) | 102,602 | ||||||
4,108 | Kraft Heinz Co. (d) | 147,847 | ||||||
4,825 | Kroger Co. (d) | 222,095 | ||||||
928 | Lamb Weston Holdings, Inc. | 60,459 | ||||||
1,576 | McCormick & Co., Inc. | 135,993 | ||||||
8,976 | Mondelez International, Inc., Class A | 557,140 | ||||||
3,238 | Sysco Corp. | 257,907 | ||||||
1,878 | Tyson Foods, Inc., Class A | 147,461 | ||||||
2,344,940 | ||||||||
Forest Products & Paper - 0.1% | ||||||||
2,485 | International Paper Co. | 149,324 | ||||||
Gas - 0.1% | ||||||||
830 | Atmos Energy Corp. | 80,933 | ||||||
2,454 | NiSource, Inc. | 60,491 | ||||||
141,424 | ||||||||
Hand/Machine Tools - 0.1% | ||||||||
342 | Snap-on, Inc. (d) | 76,933 | ||||||
1,016 | Stanley Black & Decker, Inc. | 196,362 | ||||||
273,295 | ||||||||
Healthcare Products - 4.1% | ||||||||
11,332 | Abbott Laboratories (f) | 1,432,025 | ||||||
288 | ABIOMED, Inc. (a) | 104,820 | ||||||
458 | Align Technology, Inc. (a)(d) | 324,722 | ||||||
3,210 | Baxter International, Inc. | 244,666 | ||||||
8,976 | Boston Scientific Corp. (a) | 405,266 | ||||||
314 | Cooper Cos., Inc. (d) | 141,523 | ||||||
4,039 | Danaher Corp. | 1,309,282 | ||||||
1,388 | Dentsply Sirona, Inc. | 85,640 | ||||||
3,958 | Edwards Lifesciences Corp. (a) | 463,798 | ||||||
1,637 | Hologic, Inc. (a) | 129,569 | ||||||
542 | IDEXX Laboratories, Inc. (a) | 365,178 | ||||||
754 | Intuitive Surgical, Inc. (a) | 794,384 | ||||||
8,568 | Medtronic PLC (f) | 1,143,657 | ||||||
921 | ResMed, Inc. | 267,578 | ||||||
617 | STERIS PLC | 132,661 | ||||||
2,071 | Stryker Corp. | 573,874 | ||||||
295 | Teleflex, Inc. (d) | 116,661 | ||||||
2,499 | Thermo Fisher Scientific, Inc. | 1,386,820 | ||||||
471 | West Pharmaceutical Services, Inc. | 212,713 | ||||||
1,313 | Zimmer Biomet Holdings, Inc. | 197,541 | ||||||
9,832,378 | ||||||||
Healthcare Services - 2.0% | ||||||||
1,556 | Anthem, Inc. | 583,702 | ||||||
3,713 | Centene Corp. (a) | 233,845 | ||||||
456 | DaVita, Inc. (a) | 59,631 | ||||||
1,665 | HCA Healthcare, Inc. | 421,212 | ||||||
819 | Humana, Inc. | 332,039 | ||||||
1,210 | IQVIA Holdings, Inc. (a) | 314,273 | ||||||
617 | Laboratory Corp. of America Holdings (a) | 187,185 | ||||||
830 | Quest Diagnostics, Inc. | 126,849 | ||||||
5,996 | UnitedHealth Group, Inc. (f) | 2,495,955 | ||||||
491 | Universal Health Services, Inc., Class B (d) | 76,478 | ||||||
4,831,169 | ||||||||
Home Builders - 0.2% | ||||||||
2,099 | DR Horton, Inc. | 200,706 | ||||||
1,742 | Lennar Corp., Class A | 186,934 | ||||||
20 | NVR, Inc. (a)(d) | 103,599 | ||||||
1,691 | PulteGroup, Inc. | 91,077 | ||||||
582,316 | ||||||||
Home Furnishings - 0.1% | ||||||||
844 | Leggett & Platt, Inc. (d) | 40,841 | ||||||
400 | Whirlpool Corp. (d) | 88,612 | ||||||
129,453 | ||||||||
Household Products/Wares - 0.3% | ||||||||
526 | Avery Dennison Corp. | 118,555 | ||||||
1,554 | Church & Dwight Co., Inc. | 130,008 | ||||||
800 | Clorox Co. (d) | 134,440 | ||||||
2,143 | Kimberly-Clark Corp. (d) | 295,327 | ||||||
678,330 | ||||||||
Housewares - 0.0% (b) | ||||||||
2,382 | Newell Brands, Inc. | 60,527 | ||||||
Information - 0.1% | ||||||||
6,231 | Lumen Technologies, Inc. (d) | 76,641 | ||||||
666 | PTC, Inc. (a) | 87,686 | ||||||
164,327 | ||||||||
Insurance - 3.3% | ||||||||
3,988 | Aflac, Inc. | 226,040 | ||||||
1,899 | Allstate Corp. | 256,897 | ||||||
5,464 | American International Group, Inc. | 298,116 | ||||||
1,428 | Aon PLC, Class A | 409,636 | ||||||
1,297 | Arthur J Gallagher & Co. | 186,275 | ||||||
384 | Assurant, Inc. (d) | 65,322 | ||||||
11,993 | Berkshire Hathaway, Inc., Class B (a)(f) | 3,427,240 | ||||||
2,847 | Chubb Ltd. | 523,620 | ||||||
946 | Cincinnati Financial Corp. | 116,736 | ||||||
254 | Everest Re Group Ltd. | 67,285 | ||||||
602 | Globe Life, Inc. | 57,834 | ||||||
2,263 | Hartford Financial Services Group, Inc. | 152,119 | ||||||
1,138 | Lincoln National Corp. (d) | 78,124 | ||||||
1,435 | Loews Corp. | 80,173 | ||||||
3,214 | Marsh & McLennan Cos., Inc. | 505,241 | ||||||
4,696 | MetLife, Inc. | 291,152 | ||||||
1,600 | Principal Financial Group, Inc. | 106,896 | ||||||
3,706 | Progressive Corp. | 357,036 | ||||||
2,505 | Prudential Financial, Inc. | 265,229 | ||||||
1,597 | Travelers Cos., Inc. | 255,057 | ||||||
1,287 | Unum Group | 34,260 | ||||||
814 | Willis Towers Watson PLC | 179,666 | ||||||
887 | WR Berkley Corp. | 66,800 | ||||||
8,006,754 | ||||||||
Internet - 10.1% | ||||||||
1,913 | Alphabet, Inc., Class A (a)(f) | 5,536,126 | ||||||
2,730 | Amazon.com, Inc. (a)(f) | 9,475,257 | ||||||
258 | Booking Holdings, Inc. (a) | 593,315 | ||||||
891 | CDW Corp. | 178,744 | ||||||
4,079 | eBay, Inc. (d) | 313,022 | ||||||
895 | Expedia Group, Inc. (a) | 129,328 | ||||||
378 | F5 Networks, Inc. (a)(d) | 76,949 | ||||||
15,214 | Facebook, Inc., Class A (a)(f) | 5,771,887 | ||||||
2,818 | Netflix, Inc. (a)(f) | 1,603,977 | ||||||
3,676 | NortonLifeLock, Inc. | 97,635 | ||||||
5,076 | Twitter, Inc. (a) | 327,402 | ||||||
633 | VeriSign, Inc. (a) | 136,893 | ||||||
24,240,535 | ||||||||
Iron/Steel - 0.1% | ||||||||
1,932 | Nucor Corp. | 227,126 | ||||||
Leisure Time - 0.1% | ||||||||
5,058 | Carnival Corp. (a)(d) | 122,100 | ||||||
2,308 | Norwegian Cruise Line Holdings Ltd. (a)(d) | 59,639 | ||||||
1,381 | Royal Caribbean Cruises Ltd. (a)(d) | 114,250 | ||||||
295,989 | ||||||||
Lodging - 0.3% | ||||||||
1,773 | Hilton Worldwide Holdings, Inc. (a) | 221,377 | ||||||
2,070 | Las Vegas Sands Corp. (a)(d) | 92,343 | ||||||
1,695 | Marriott International, Inc., Class A (a) | 229,062 | ||||||
2,602 | MGM Resorts International | 110,897 | ||||||
668 | Wynn Resorts Ltd. (a)(d) | 67,929 | ||||||
721,608 | ||||||||
Machinery - Construction & Mining - 0.3% | ||||||||
3,474 | Caterpillar, Inc. | 732,562 | ||||||
Machinery - Diversified - 0.8% | ||||||||
1,971 | Deere & Co. (d) | 745,097 | ||||||
911 | Dover Corp. (d) | 158,842 | ||||||
480 | IDEX Corp. (d) | 107,520 | ||||||
2,367 | Ingersoll Rand, Inc. (a) | 125,499 | ||||||
2,591 | Otis Worldwide Corp. | 238,942 | ||||||
737 | Rockwell Automation, Inc. | 239,857 | ||||||
1,127 | Wabtec Corp. | 101,193 | ||||||
1,143 | Xylem, Inc. (d) | 155,802 | ||||||
1,872,752 | ||||||||
Manufacturing - 5.3% | ||||||||
1,811 | Alphabet, Inc., Class C (a) | 5,268,634 | ||||||
1,072 | Catalent, Inc. (a) | 139,832 | ||||||
857 | Enphase Energy, Inc. (a) | 148,887 | ||||||
398 | Generac Holdings, Inc. (a) | 173,918 | ||||||
6,922 | General Electric Co. | 729,648 | ||||||
1,979 | Moderna, Inc. (a) | 745,469 | ||||||
269 | Monolithic Power Systems, Inc. (d) | 133,136 | ||||||
2,461 | NOV, Inc. (a) | 32,411 | ||||||
1,754 | NXP Semiconductors NV | 377,338 | ||||||
1,591 | Organon & Co. (f) | 53,919 | ||||||
9,590 | Raytheon Technologies Corp. (f) | 812,848 | ||||||
1,266 | Seagate Technology Holdings Plc | 110,889 | ||||||
1,056 | Teradyne, Inc. (d) | 128,241 | ||||||
4,907 | Tesla, Inc. (a) | 3,610,178 | ||||||
1,582 | Trimble, Inc. (a) | 149,056 | ||||||
12,614,404 | ||||||||
Media - 2.1% | ||||||||
878 | Charter Communications, Inc., Class A (a)(d) | 717,027 | ||||||
29,144 | Comcast Corp., Class A (f) | 1,768,458 | ||||||
1,026 | Discovery, Inc., Class A (a)(d) | 29,590 | ||||||
1,841 | Discovery, Inc., Class C (a) | 50,793 | ||||||
1,569 | DISH Network Corp., Class A (a) | 68,393 | ||||||
2,125 | Fox Corp., Class A (d) | 79,560 | ||||||
978 | Fox Corp., Class B | 33,868 | ||||||
2,475 | News Corp., Class A | 55,613 | ||||||
777 | News Corp., Class B | 17,117 | ||||||
3,860 | ViacomCBS, Inc., Class B | 159,997 | ||||||
11,592 | Walt Disney Co. (a)(f) | 2,101,630 | ||||||
5,082,046 | ||||||||
Mining - 0.3% | ||||||||
9,252 | Freeport-McMoRan, Inc. | 336,680 | ||||||
5,059 | Newmont Goldcorp Corp. | 293,372 | ||||||
630,052 | ||||||||
Mining, Quarrying, and Oil and Gas Extraction - 0.0% (b) | ||||||||
2,396 | APA Corp. | 46,674 | ||||||
Miscellaneous Manufacturing - 0.9% | ||||||||
3,667 | 3M Co. (f) | 714,112 | ||||||
861 | AO Smith Corp. | 62,612 | ||||||
2,527 | Eaton Corp PLC | 425,446 | ||||||
1,827 | Illinois Tool Works, Inc. | 425,435 | ||||||
821 | Parker-Hannifin Corp. | 243,566 | ||||||
1,436 | Textron, Inc. | 104,354 | ||||||
1,516 | Trane Technologies PLC | 300,926 | ||||||
2,276,451 | ||||||||
Office/Business Equipment - 0.1% | ||||||||
339 | Zebra Technologies Corp., Class A (a) | 199,051 | ||||||
Oil & Gas - 2.0% | ||||||||
2,525 | Cabot Oil & Gas Corp. (d) | 40,122 | ||||||
12,229 | Chevron Corp. (f) | 1,183,400 | ||||||
8,546 | ConocoPhillips | 474,559 | ||||||
3,744 | Devon Energy Corp. (d) | 110,635 | ||||||
1,143 | Diamondback Energy, Inc. | 88,171 | ||||||
3,701 | EOG Resources, Inc. | 249,892 | ||||||
26,826 | Exxon Mobil Corp. (f) | 1,462,554 | ||||||
1,720 | Hess Corp. | 118,250 | ||||||
4,995 | Marathon Oil Corp. | 58,691 | ||||||
4,030 | Marathon Petroleum Corp. | 238,858 | ||||||
5,285 | Occidental Petroleum Corp. | 135,772 | ||||||
2,758 | Phillips 66 | 196,066 | ||||||
1,463 | Pioneer Natural Resources Co. | 218,967 | ||||||
2,576 | Valero Energy Corp. | 170,815 | ||||||
4,746,752 | ||||||||
Oil & Gas Services - 0.2% | ||||||||
4,594 | Baker Hughes & GE Co., Class A | 104,651 | ||||||
5,616 | Halliburton Co. | 112,208 | ||||||
8,803 | Schlumberger, Ltd. | 246,836 | ||||||
463,695 | ||||||||
Packaging & Containers - 0.2% | ||||||||
9,827 | Amcor PLC | 126,277 | ||||||
2,096 | Ball Corp. | 201,132 | ||||||
599 | Packaging Corp of America | 90,868 | ||||||
976 | Sealed Air Corp. | 59,565 | ||||||
1,667 | Westrock Co. | 86,751 | ||||||
564,593 | ||||||||
Pharmaceuticals - 5.2% | ||||||||
11,166 | AbbVie, Inc. (f) | 1,348,630 | ||||||
926 | AmerisourceBergen Corp. | 113,167 | ||||||
1,838 | Becton Dickinson & Co. | 462,625 | ||||||
14,194 | Bristol-Myers Squibb Co. | 949,011 | ||||||
1,854 | Cardinal Health, Inc. | 97,316 | ||||||
2,167 | Cigna Corp. (d) | 458,646 | ||||||
8,341 | CVS Health Corp. (d) | 720,579 | ||||||
610 | DexCom, Inc. (a)(d) | 322,946 | ||||||
5,068 | Eli Lilly & Co. (f) | 1,309,014 | ||||||
903 | Henry Schein, Inc. (a) | 68,258 | ||||||
16,757 | Johnson & Johnson (f) | 2,901,139 | ||||||
1,003 | McKesson Corp. | 204,752 | ||||||
16,105 | Merck & Co., Inc. (f) | 1,228,650 | ||||||
845 | Perrigo Co. PLC | 34,603 | ||||||
35,549 | Pfizer, Inc. (f) | 1,637,742 | ||||||
7,688 | Viatris, Inc. (f) | 112,475 | ||||||
3,013 | Zoetis, Inc., Class A | 616,339 | ||||||
12,585,892 | ||||||||
Pipelines - 0.2% | ||||||||
12,341 | Kinder Morgan, Inc. | 200,788 | ||||||
2,806 | ONEOK, Inc. | 147,371 | ||||||
7,673 | Williams Cos., Inc. | 189,447 | ||||||
537,606 | ||||||||
Professional, Scientific, and Technical Services - 0.1% | ||||||||
315 | Charles River Laboratories International, Inc. (a) | 139,816 | ||||||
Real Estate - 0.1% | ||||||||
2,126 | CBRE Group, Inc., Class A (a) | 204,734 | ||||||
Real Estate Investment Trusts - 2.6% | ||||||||
872 | Alexandria Real Estate Equities, Inc. | 179,955 | ||||||
2,900 | American Tower Corp. | 847,293 | ||||||
886 | AvalonBay Communities, Inc. | 203,408 | ||||||
903 | Boston Properties, Inc. | 102,030 | ||||||
2,754 | Crown Castle International Corp. | 536,176 | ||||||
1,804 | Digital Realty Trust, Inc. | 295,694 | ||||||
2,374 | Duke Realty Corp. | 124,659 | ||||||
575 | Equinix, Inc. | 484,984 | ||||||
2,175 | Equity Residential | 182,852 | ||||||
413 | Essex Property Trust, Inc. | 136,596 | ||||||
850 | Extra Space Storage, Inc. | 158,873 | ||||||
440 | Federal Realty Investment Trust | 53,579 | ||||||
3,423 | Healthpeak Properties, Inc. | 123,228 | ||||||
4,440 | Host Hotels & Resorts, Inc. (a)(d) | 73,526 | ||||||
1,836 | Iron Mountain, Inc. (d) | 87,669 | ||||||
3,815 | Kimco Realty Corp. | 83,129 | ||||||
724 | Mid-America Apartment Communities, Inc. | 139,276 | ||||||
4,696 | Prologis, Inc. | 632,363 | ||||||
968 | Public Storage | 313,254 | ||||||
2,368 | Realty Income Corp. (d) | 171,017 | ||||||
1,002 | Regency Centers Corp. | 68,757 | ||||||
697 | SBA Communications Corp. | 250,202 | ||||||
2,090 | Simon Property Group, Inc. | 281,000 | ||||||
1,883 | UDR, Inc. (d) | 101,720 | ||||||
2,371 | Ventas, Inc. | 132,634 | ||||||
999 | Vornado Realty Trust (d) | 41,838 | ||||||
2,649 | Welltower, Inc. (d) | 231,867 | ||||||
4,737 | Weyerhaeuser Co. | 170,532 | ||||||
6,208,111 | ||||||||
Retail - 5.0% | ||||||||
416 | Advance Auto Parts, Inc. | 84,386 | ||||||
137 | AutoZone, Inc. (a) | 212,234 | ||||||
1,421 | Best Buy Co., Inc. | 165,561 | ||||||
1,026 | CarMax, Inc. (a)(d) | 128,465 | ||||||
180 | Chipotle Mexican Grill, Inc. (a)(d) | 342,599 | ||||||
2,797 | Costco Wholesale Corp. | 1,274,005 | ||||||
827 | Darden Restaurants, Inc. (d) | 124,588 | ||||||
1,499 | Dollar General Corp. | 334,142 | ||||||
1,491 | Dollar Tree, Inc. (a) | 134,995 | ||||||
247 | Domino's Pizza, Inc. (d) | 127,672 | ||||||
1,314 | Gap, Inc. (d) | 35,123 | ||||||
910 | Genuine Parts Co. | 111,193 | ||||||
6,737 | Home Depot, Inc. (f) | 2,197,475 | ||||||
4,474 | Lowe's Cos., Inc. | 912,204 | ||||||
4,751 | McDonald's Corp. (f) | 1,128,172 | ||||||
446 | O'Reilly Automotive, Inc. (a) | 264,960 | ||||||
2,262 | Ross Stores, Inc. | 267,821 | ||||||
7,488 | Starbucks Corp. | 879,765 | ||||||
3,144 | Target Corp. | 776,505 | ||||||
7,664 | TJX Cos., Inc. (a) | 557,326 | ||||||
736 | Tractor Supply Co. | 142,968 | ||||||
345 | Ulta Beauty, Inc. (a) | 133,622 | ||||||
4,534 | Walgreens Boots Alliance, Inc. | 230,100 | ||||||
8,709 | Walmart, Inc. (f) | 1,289,803 | ||||||
1,903 | Yum! Brands, Inc. | 249,350 | ||||||
12,105,034 | ||||||||
Retail Trade - 0.1% | ||||||||
1,694 | Bath & Body Works, Inc. (d) | 114,311 | ||||||
804 | Etsy, Inc. (a)(d) | 173,873 | ||||||
288,184 | ||||||||
Savings & Loans - 0.0% (b) | ||||||||
2,675 | People's United Financial, Inc. | 43,950 | ||||||
Semiconductors - 5.3% | ||||||||
7,707 | Advanced Micro Devices, Inc. (a) | 853,319 | ||||||
3,400 | Analog Devices, Inc. (d) | 554,006 | ||||||
5,765 | Applied Materials, Inc. | 779,024 | ||||||
2,578 | Broadcom, Inc. (f) | 1,281,807 | ||||||
25,608 | Intel Corp. (f)(d) | 1,384,369 | ||||||
227 | IPG Photonics Corp. (a)(d) | 38,744 | ||||||
973 | KLA Corp. | 330,781 | ||||||
903 | Lam Research Corp. | 546,153 | ||||||
1,722 | Microchip Technology, Inc. | 270,974 | ||||||
7,088 | Micron Technology, Inc. | 522,386 | ||||||
15,819 | NVIDIA Corp. (f) | 3,541,083 | ||||||
714 | Qorvo, Inc. (a) | 134,253 | ||||||
7,136 | QUALCOMM, Inc. | 1,046,780 | ||||||
1,043 | Skyworks Solutions, Inc. | 191,349 | ||||||
5,844 | Texas Instruments, Inc. | 1,115,678 | ||||||
1,565 | Xilinx, Inc. (a) | 243,498 | ||||||
12,834,204 | ||||||||
Shipbuilding - 0.0% (b) | ||||||||
255 | Huntington Ingalls Industries, Inc. | 52,063 | ||||||
Software - 10.6% | ||||||||
4,928 | Activision Blizzard, Inc. (d) | 405,919 | ||||||
3,049 | Adobe, Inc. (a)(f) | 2,023,621 | ||||||
1,039 | Akamai Technologies, Inc. (a)(d) | 117,667 | ||||||
550 | ANSYS, Inc. (a) | 200,948 | ||||||
1,403 | Autodesk, Inc. (a) | 435,056 | ||||||
734 | Broadridge Financial Solutions, Inc. | 126,410 | ||||||
1,772 | Cadence Design Systems, Inc. (a)(d) | 289,687 | ||||||
1,926 | Cerner Corp. | 147,050 | ||||||
783 | Citrix Systems, Inc. | 80,547 | ||||||
1,827 | Electronic Arts, Inc. | 265,299 | ||||||
3,961 | Fidelity National Information Services, Inc. (d) | 506,097 | ||||||
3,771 | Fiserv, Inc. (a)(d) | 444,186 | ||||||
1,752 | Intuit, Inc. | 991,825 | ||||||
482 | Jack Henry & Associates, Inc. (d) | 85,015 | ||||||
48,032 | Microsoft Corp. (f) | 14,499,900 | ||||||
521 | MSCI, Inc. | 330,616 | ||||||
11,546 | Oracle Corp. (f) | 1,029,095 | ||||||
2,034 | Paychex, Inc. | 232,832 | ||||||
312 | Paycom Software, Inc. (a) | 152,537 | ||||||
6,157 | salesforce.com, Inc. (a)(f) | 1,633,268 | ||||||
1,266 | ServiceNow, Inc. (a) | 814,848 | ||||||
968 | Synopsys, Inc. (a) | 321,608 | ||||||
732 | Take-Two Interactive Software, Inc. (a) | 118,013 | ||||||
257 | Tyler Technologies, Inc. (a) | 124,825 | ||||||
25,376,869 | ||||||||
Telecommunications - 2.3% | ||||||||
348 | Arista Networks, Inc. (a)(d) | 128,596 | ||||||
45,378 | AT&T, Inc. (f) | 1,244,265 | ||||||
26,730 | Cisco Systems, Inc. (f) | 1,577,605 | ||||||
4,834 | Corning, Inc. (d) | 193,312 | ||||||
2,075 | Juniper Networks, Inc. (d) | 60,133 | ||||||
1,068 | Motorola Solutions, Inc. | 260,827 | ||||||
3,734 | T-Mobile US, Inc. (a) | 511,633 | ||||||
26,293 | Verizon Communications, Inc. (f) | 1,446,115 | ||||||
5,422,486 | ||||||||
Textiles - 0.0% (b) | ||||||||
374 | Mohawk Industries, Inc. (a) | 73,962 | ||||||
Toys/Games/Hobbies - 0.0% (b) | ||||||||
808 | Hasbro, Inc. | 79,434 | ||||||
Transportation - 1.5% | ||||||||
847 | CH Robinson Worldwide, Inc. (d) | 76,281 | ||||||
14,404 | CSX Corp. (d) | 468,562 | ||||||
1,072 | Expeditors International of Washington, Inc. | 133,614 | ||||||
1,542 | FedEx Corp. | 409,694 | ||||||
528 | JB Hunt Transport Services, Inc. | 93,667 | ||||||
579 | Kansas City Southern | 162,508 | ||||||
1,590 | Norfolk Southern Corp. | 403,129 | ||||||
608 | Old Dominion Freight Line, Inc. (d) | 175,542 | ||||||
4,217 | Union Pacific Corp. | 914,414 | ||||||
4,588 | United Parcel Service, Inc., Class B | 897,550 | ||||||
3,734,961 | ||||||||
Water - 0.1% | ||||||||
1,153 | American Water Works Co., Inc. | 210,134 | ||||||
Wholesale Trade - 0.0% (b) | ||||||||
254 | Pool Corp. | 125,552 | ||||||
TOTAL COMMON STOCKS (Cost - $177,276,142) | 242,692,940 | |||||||
Contracts | Notional Amount | |||||||
PURCHASED OPTIONS - 0.9% (a)(c)(g) | ||||||||
PURCHASED PUT OPTIONS - 0.8% (h) | ||||||||
S&P 500 Index | ||||||||
160 | Expiration: September 2021, Exercise Price: $4,140 | 72,362,880 | $ | 80,800 | ||||
160 | Expiration: October 2021, Exercise Price: $4,270 | 72,362,880 | 512,000 | |||||
160 | Expiration: November 2021, Exercise Price: $4,350 | 72,362,880 | 1,243,200 | |||||
TOTAL PURCHASED PUT OPTIONS (Cost - $5,245,029) | 1,836,000 | |||||||
PURCHASED CALL OPTIONS - 0.1% | ||||||||
SPDR S&P 500 ETF Trust | ||||||||
3,000 | Expiration: September 2021, Exercise Price: $455 | 135,468,000 | 139,500 | |||||
CBOE Volatility Index | ||||||||
3,000 | Expiration: September 2021, Exercise Price $25 | 4,944,000 | 165,000 | |||||
TOTAL PURCHASED CALL OPTIONS (Cost - $951,828) | 304,500 | |||||||
TOTAL PURCHASED OPTIONS (Cost - $6,196,857) | 2,140,500 | |||||||
SHORT TERM INVESTMENTS - 0.5% | ||||||||
Money Market Funds - 0.5% | ||||||||
1,224,532 | First American Treasury Obligations Fund, Class X, 0.01% (e) | 1,224,532 | ||||||
TOTAL SHORT TERM INVESTMENTS (Cost - $1,224,532) | 1,224,532 | |||||||
INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING - 7.1% | ||||||||
17,119,938 | Mount Vernon Liquid Assets Portfolio, LLC, 0.09% (e) | 17,119,938 | ||||||
TOTAL INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING (Cost - $17,119,938) | 17,119,938 | |||||||
TOTAL INVESTMENTS - 109.5% (Cost - $201,817,469) | 263,177,910 | |||||||
Liabilities in Excess of Other Assets - (9.5)% | (22,893,861 | ) | ||||||
NET ASSETS - 100.0% | $ | 240,284,049 | ||||||
Contracts | Notional Value | Value | ||||||
SCHEDULE OF WRITTEN OPTIONS - (2.6)% (a)(c) | ||||||||
SCHEDULE OF WRITTEN CALL OPTIONS - (2.2)% | ||||||||
S&P 500 Index | ||||||||
160 | Expiration: September 2021, Exercise Price $4,390 | 72,362,880 | 2,409,600 | |||||
160 | Expiration: October 2021, Exercise Price $4,500 | 72,362,880 | 1,516,800 | |||||
160 | Expiration: November 2021, Exercise Price $4,600 | 72,362,880 | 1,172,800 | |||||
CBOE Volatility Index | ||||||||
3,000 | Expiration: September 2021, Exercise Price $30 | 4,944,000 | 105,000 | |||||
TOTAL WRITTEN CALL OPTIONS (Premiums Received $2,874,927) | 5,204,200 | |||||||
SCHEDULE OF WRITTEN PUT OPTIONS - (0.4)% | ||||||||
S&P 500 Index | ||||||||
160 | Expiration: September 2021, Exercise Price $3,940 | 72,362,880 | 44,000 | |||||
160 | Expiration: October 2021, Exercise Price $3,980 | 72,362,880 | 227,200 | |||||
160 | Expiration: November 2021, Exercise Price $4,060 | 72,362,880 | 648,800 | |||||
CBOE Volatility Index | ||||||||
3,000 | Expiration: September 2021, Exercise Price $17 | 4,944,000 | 142,500 | |||||
TOTAL WRITTEN PUT OPTIONS (Premiums Received $2,977,247) | 1,062,500 | |||||||
TOTAL OPTIONS WRITTEN (Premiums Received $5,852,174) | $ | 6,266,700 | ||||||
Percentages are stated as a percent of net assets. | ||||||||
(a) Non-income producing security. | ||||||||
(b) Rounds to less than 0.1%. | ||||||||
(c) Each option is exercisable into 100 shares of the underlying security. | ||||||||
(d) All or a portion of this security is out on loan as of August 31, 2021. | ||||||||
(e) Interest rate reflects seven-day yield on August 31, 2021. | ||||||||
(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 $102,003,597, which is 42.5% of total net assets. | ||||||||
(g) Held in connection with a written option, see Schedule of Written Options for more details. |
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NPORT-P Filing
Horizon Funds NPORT-PHorizon Defined Risk Fund (Aug 2021 report)
Filed: 26 Oct 21, 12:50pm