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 number811-23063
Horizon Funds
(Exact name of registrant as specified in charter)
6210 Ardrey Kell Road, Suite 300
Charlotte, North Carolina 28277
(Address of principal executive offices) (Zip code)
Matthew Chambers
Horizon Funds
6210 Ardrey Kell Road, Suite 300
Charlotte, North Carolina 28277
(Name and address of agent for service)
(866) 371-2399
Registrant's telephone number, including area code
Date of fiscal year end:November 30, 2018
Date of reporting period:December 1, 2017 through November 30,2018
Item 1. Reports to Stockholders.
HORIZONFUNDS | Annual Report |
Horizon ActiveAsset Allocation Fund | ||
Investor Class | Shares | AAANX |
Advisor Class | Shares | HASAX |
Institutional Class | Shares | HASIX |
Horizon ActiveRisk Assist® Fund | ||
Investor Class | Shares | ARANX |
Advisor Class | Shares | ARAAX |
Institutional Class | Shares | ACRIX |
Horizon ActiveIncome Fund | ||
Investor Class | Shares | AIMNX |
Advisor Class | Shares | AIHAX |
Institutional Class | Shares | AIRIX |
Horizon ActiveDividend Fund | ||
Investor Class | Shares | HNDDX |
Advisor Class | Shares | HADUX |
HorizonDefined Risk Fund | ||
Investor Class | Shares | HNDRX |
Advisor Class | Shares | HADRX |
November 30, 2018 |
Investor Information: 1-855-754-7932
This report and the financial statements contained herein are submitted for the general information of shareholders and are not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus. Nothing herein contained is to be considered an offer of sale or solicitation of an offer to buy shares of HORIZON ACTIVE ASSET ALLOCATION FUND, HORIZON ACTIVE RISK ASSIST® FUND, HORIZON ACTIVE INCOME FUND, HORIZON ACTIVE DIVIDEND FUND, and HORIZON DEFINED RISK FUND. Such offering is made only by prospectus, which includes details as to offering price and other material information.
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Funds shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the Funds or from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications electronically from the Funds by calling 1-855-754-7932 or by contacting your financial intermediary (such as a broker-dealer or bank).
You may elect to receive all future reports in paper free of charge. You can request to continue receiving paper copies of your shareholder reports by contacting your financial intermediary or, if you invest directly with a Fund, calling 1-855-754-7932 to let the Fund know of your request. Your election to receive in paper will apply to all funds held in your account.
Horizon Funds |
Table of Contents | |
Letter to Shareholders | 1 |
Portfolio Review | 5 |
Portfolio Composition | 10 |
Portfolios of Investments | 12 |
Statements of Assets and Liabilities | 48 |
Statements of Operations | 50 |
Statements of Changes in Net Assets | 52 |
Financial Highlights | 57 |
Notes to Financial Statements | 70 |
Disclosure of Fund Expenses | 87 |
Report of Independent Registered Public Accounting Firm | 88 |
Additional Information | 89 |
Privacy Notice | 92 |
Horizon Funds |
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, 2018.
Horizon Active Asset Allocation Fund
The Horizon Active Asset Allocation Fund (Investor Class) returned 0.46% for the fiscal year ended November 30, 2018. Global stocks diverged significantly throughout the year with domestic stocks holding up well (S&P 500 Index returned 6.27%) and foreign stocks giving back some of their gains from the previous year (S&P Global BMI ex-US Index down -8.29%). The reversal in global stock leadership was a key factor in the Fund’s performance throughout the year. The Fund entered the year with an overweight to foreign stocks but reduced that exposure as it became clear that the domestic economy would hold up better than foreign economies. Markets certainly followed suit with emerging markets and European markets generally performing poorly. Key drivers of Fund performance were factor portfolios, specifically momentum and quality factors. Additionally, the Fund benefitted from option positions associated with the sharp spike in the VIX Index (Chicago Board Options Exchange S&P 500 Volatility) during February, helping to buffer losses during that event. The two factors generally have a growth tilt, which was the leading style during the fiscal year. Large technology and consumer discretionary firms have been the darlings of the stock market for several years; second, the Fund benefitted from holding these identities as well. As we expected, the markets were more volatile this past year. Valuations, specifically in the technology and consumer sectors, have begun to stretch and investors seem to be less confident. Rate hikes by the Federal Reserve have added to the angst. Even with the increase in market risks, U.S. fundamentals remain sound and we expect them to stay that way for some time.
Horizon Active Risk Assist Fund
The Horizon Active Risk Assist Fund (Investor Class) realized a return of -0.31% for the fiscal year ended November 30, 2018, which trailed domestic equities but outpaced international equities. Domestic equities (as measured by the S&P 500 Index) returned 6.27%, while international equities returned -8.29% (as measured by the S&P Global BMI ex-US Index) over the same period. As a risk mitigation strategy, the Fund performed well, with realized volatility of 12.57%, lower than domestic equities (with a realized volatility of 15.12%) but slightly above international equities (with a realized volatility of 10.65%). The Fund also realized a maximum drawdown of -10.96% which was similar to the S&P 500 drawdown of -10.10% and beat the -18.69% drawdown of the S&P Global BMI ex-US.
Unlike during the fiscal year of 2017 when the Fund’s Risk Assist methodology did not actively de-risk at any point (“de-risk” meaning a partial re-allocation of Fund assets away from global equities and towards U.S. Treasury-related securities), in 2018 we had two such events. The first event occurred when the Fund partially de-risked in early February when global stocks fell (due in part to inflation fears in the U.S.) and the Fund remained less than fully allocated to global equities until early June. The Fund benefitted from option positions associated with the sharp spike in the VIX Index (Chicago Board Options Exchange S&P 500 Volatility) during February, helping to buffer losses during that event. The second event occurred in late October, when global stocks fell due in part to uncertainty surrounding the Federal Reserve, and the Fund remained partially de-risked through the end of the fiscal year. As part of Horizon’s active asset allocation process, the Fund held a 10-45% allocation to international equities at various times throughout the year. Additionally, allocations towards domestic growth and momentum factor allocations in both large-cap and small-cap stocks contributed the most to the Fund’s return, while allocations towards Europe and developed international stocks detracted the most from the Fund’s return over the fiscal year.
1
Horizon Funds |
Horizon Active Income Fund
The Horizon Active Income Fund (Investor Class) was down -3.58% for the fiscal year ended November 30, 2018, while the broader bond market (as measured by Bloomberg Barclays US Aggregate Bond Index) was down -1.34%. Bond returns have been very limited for many years, and this past year was no exception. Interest rates moved higher during the previous twelve months with the yield curve flattening significantly. The move in rates kept bond returns in check and began to put pressure on credit markets towards the end of the year. The portfolio has held an overweight allocation to credit investments (corporate debt and high yield bonds) for several years and that has added to both return and risk. Even though volatility has picked up in credit markets, we still feel that the fundamentals supporting these investments are sound. Therefore, we continue to maintain this overweight allocation. As we look forward, we expect rates to be range-bound with a fairly flat yield curve. The demand for U.S. debt is strong and should remain strong with rates flat to higher in the next year.
Horizon Active Dividend Fund
The Horizon Active Dividend Fund (Investor Class) posted a total return of 4.72% for the fiscal year ended November 30, 2018, outperforming the S&P Global 100 Index which was up 2.35%. This year’s volatile markets presented opportunities to invest in dividend yielding stocks at what we felt were compelling prices. U.S. utilities presented such an opportunity early in the year when interest rate fears drove utility valuations unrealistically low and their dividend yields unrealistically high. We took the opportunity to build an overweight position in utilities, which contributed positively to returns as interest rates fears subsided. Similarly, many investors abandoned real estate investment trusts (REITs) in the spring of 2018 following rising interest rates. Concerns maintained against retail REITs on expectations that online commerce would severely hinder their prospects. Our research uncovered real estate markets that supported positive pricing for assets being sold by REITs and opportunities for management teams to redevelop existing properties for higher-value utilization. As a result, we built an overweight position in REITs we believed were undervalued. These holdings rose in value as investor fears subsided and their underlying value was realized. A volatile political environment created opportunities in the materials sector. For most of 2017, the President threatened to place tariffs on steel imports but took no action. In April 2017, the President commenced an investigation into the possibility that imported steel threatened U.S. national security. Despite strong global demand, rising steel prices and declining imports, investors shunned steel company stocks throughout 2017 due to the uncertainty surrounding steel tariffs. By the end of 2017, steel company valuations had fallen to multi-year lows. Nucor, a high-quality steel manufacturer, was no exception. Nucor’s compelling valuation, high dividend yield and improving fundamentals, along with our belief that the Trump administration would aid the steel industry by imposing tariffs on imported steel in 2018, prompted us to build a position in the company’s stock. Continued improvement in steel industry fundamentals and the eventual imposition of steel tariffs in March 2018 drove Nucor’s price higher.
The primary detractor from the Fund’s performance for the year was an underweight to the technology sector due to the paucity of dividend yield available and our overvaluation concerns. Stock selection in the consumer staples sector also detracted from performance. Packaged food companies Conagra Brands, General Mills and Campbell Soup offered attractive dividend yields and compelling valuations when purchased, but their fundamentals succumbed to the negative convergence of rising input costs and moderating revenue growth.
Horizon Defined Risk Fund
The inception date for the Defined Risk Fund was December 28, 2017. All information contained herein will reference the inception date to the fiscal year ended November 30, 2018. The Defined Risk Fund is an investment strategy that gains exposure to the equity markets by investing in a basket of stocks that mirror the S&P 500 Index, while seeking to manage volatility with an option collar strategy overlay. The Defined Risk Fund (Investor Class) returned 2.00% for the year ended November 30, 2018, while realizing a volatility of 9.32. The return on the S&P 500 for the same period was 4.57%, with a realized volatility of 20.26. Over the period, the Defined Risk Fund exhibited an average
2
Horizon Funds |
beta of 0.48 to the S&P 500 index. The year had two major drawdown periods for the S&P 500. The first drawdown was down 10%, between January 26 to February 8. The Defined Risk Fund had a drawdown of 4.62% by comparison. The second drawdown was 9.12% between October 3, 2018 and October 24, 2018. The Defined Risk Fund had a drawdown of 4.30% during that period.
At the inception of the Fund, the Fund held fewer securities in its basket of stocks meant to track the S&P 500 than it did at the end of the year, primarily due to the Fund’s asset size at the time of inception. This stock basket initially detracted from performance relative to the S&P 500 over the summer. The basket was expanded and rebalanced to more closely mirror the S&P 500 stock basket as Fund assets grew. The Fund also allows for flexibility in the collar strategy, which was used throughout the year to generate income, hedge volatility and reduce downside risk. The rebalance of the stock basket and the proprietary trading within the collar strategy mitigated the initial loss on the stock basket.
*****
We are grateful for the opportunity to manage these funds, and appreciate your continued investment in Horizon Funds.
Past performance does not guarantee future results.
The S&P 500 Index is an unmanaged composite of 500 large capitalization companies. This index is widely used by professional investors as a performance benchmark for large-cap stocks. The S&P Global ex-US BMI (Broad Market Index) comprises the S&P Developed BMI and S&P Emerging BMI, and is a comprehensive, rules-based index measuring stock market performance globally, excluding the U.S. The Bloomberg Barclays Aggregate Bond Index tracks the U.S. fixed income markets. The index includes government securities, mortgage-backed securities, asset-backed securities and corporate securities to simulate the universe of bonds in the market. The S&P Global 100 Index measures the performance of 100 multi-national, blue-chip companies of major importance in the global equity markets, including 100 large-cap companies drawn from the S&P Global 1200 whose businesses are global in nature, a substantial portion of their operating income, assets, and employees deriving from multiple countries.
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.
Realized volatility is a statistical measure of dispersion of returns for a given security or market index over a given period of time. This measure is typically calculated by determining the average deviation from the average price of a financial instrument in the given time period. The higher the realized volatility value, the riskier the security.
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 their net asset values (“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
3
Horizon Funds |
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.
Horizon Funds are distributed by Quasar Distributors, LLC.
4
Horizon Active Asset Allocation Fund |
The chart above assumes an initial gross investment of $10,000 made on January 31, 2012. The Fund’s performance figures are for the year ended November 30, 2018. The Performance data quoted is historical. Past performance is no guarantee of future results. Current performance may be higher or lower than the performance data quoted. The principal value and investment return of an investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. The returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemptions of Fund shares. In the absence of fee waivers and reimbursements, when they are necessary to keep expenses at the expense cap, total return would be reduced. Performance figures for periods greater than one year are annualized.
Average Annual Total Returns | One Year | Five Year | Since |
Horizon Active Asset Allocation Fund - Investor Class | 0.46% | 5.58% | 8.32% |
Horizon Active Asset Allocation Fund - Advisor Class | 0.29% | N/A | 8.91% |
Horizon Active Asset Allocation Fund - Institutional Class | 0.55% | N/A | 10.61% |
S&P 500 Total Return Index | 6.27% | 11.12% | 13.87%(2) |
S&P Global BMI ex-US Index | -8.29% | 2.30% | 5.13%(2) |
(1) | Inception date is January 31, 2012 for Investor Class Shares, September 4, 2015 for Advisor Class Shares and September 9, 2016 for Institutional Class Shares. |
(2) | The Since Commencement of Operations returns shown are from the commencement date of Horizon Active Asset Allocation Fund - Investor Class. The returns for the S&P 500 Total Return Index and S&P Global BMI ex-US Index since the commencement date of the Horizon Active Asset Allocation Fund - Advisor Class are 14.17% and 6.69%, respectively. The returns for the S&P 500 Total Return Index and S&P Global BMI ex-US Index since the commencement date of the Horizon Active Asset Allocation Fund - Institutional Class are 14.68% and 5.50%, respectively. |
The S&P 500 Total Return Index is an unmanaged market capitalization-weighted index which is comprised of the largest U.S. domiciled companies and includes the reinvestment of all dividends. Index returns do not reflect the effects of fees or expenses. Investors cannot invest directly in an index or benchmark.
The S&P Global BMI ex-US Index is a comprehensive, rules-based index that represents the composition of global stock markets. Index returns do not reflect the effects of fees or expenses. Investors cannot invest directly in an index or benchmark.
5
Horizon Active Risk Assist Fund |
The chart above assumes an initial gross investment of $10,000 made on August 28, 2014. The Fund’s performance figures are for the year ended November 30, 2018. The Performance data quoted is historical. Past performance is no guarantee of future results. Current performance may be higher or lower than the performance data quoted. The principal value and investment return of an investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. The returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemptions of Fund shares. In the absence of fee waivers and reimbursements, when they are necessary to keep expenses at the expense cap, total return would be reduced. Performance figures for periods greater than one year are annualized.
Average Annual Total Returns | One Year | Since |
Horizon Active Risk Assist Fund - Investor Class | -0.31% | 3.49% |
Horizon Active Risk Assist Fund - Advisor Class | -0.46% | 6.26% |
Horizon Active Risk Assist Fund - Institutional Class | -0.21% | 8.46% |
Bloomberg Barclays Aggregate Bond Index | -1.34% | 1.40%(2) |
S&P 500 Total Return Index | 6.27% | 10.06%(2) |
S&P Global BMI ex-US Index | -8.29% | 1.18%(2) |
(1) | Inception date is August 28, 2014 for Investor Class Shares, September 4, 2015 for Advisor Class Shares and September 9, 2016 for Institutional Class Shares. |
(2) | The Since Commencement of Operations returns shown are from the commencement date of Horizon Active Risk Assist Fund - Investor Class. The returns for the Bloomberg Barclays Aggregate Bond Index, S&P 500 Total Return Index, and S&P Global BMI ex-US Index since the commencement date of the Horizon Active Risk Assist Fund - Advisor Class are 1.26%, 14.17%, and 6.69%, respectively. The returns for the Bloomberg Barclays Aggregate Bond Index, S&P 500 Total Return Index, and S&P Global BMI ex-US Index since the commencement date of the Horizon Active Risk Assist Fund - Institutional Class are -0.39%, 14.68%, and 5.50%, respectively. |
The Bloomberg Barclays Aggregate Bond Index is a market-capitalization-weighted index that covers the USD denominated, investment-grade (rated Baa3 or above by Moody’s), fixed-rate, and taxable areas of the bond market. Index returns do not reflect the effects of fees or expenses. Investors cannot invest directly in an index or benchmark.
The S&P 500 Total Return Index is an unmanaged market capitalization-weighted index which is comprised of the largest U.S. domiciled companies and includes the reinvestment of all dividends. Index returns do not reflect the effects of fees or expenses. Investors cannot invest directly in an index or benchmark.
The S&P Global BMI ex-US Index is a comprehensive, rules-based index that represents the composition of global stock markets. Index returns do not reflect the effects of fees or expenses. Investors cannot invest directly in an index or benchmark.
6
Horizon Active Income Fund |
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, 2018. The Performance data quoted is historical. Past performance is no guarantee of future results. Current performance may be higher or lower than the performance data quoted. The principal value and investment return of an investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. The returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemptions of Fund shares. In the absence of fee waivers and reimbursements, when they are necessary to keep expenses at the expense cap, total return would be reduced. Performance figures for periods greater than one year are annualized.
Average Annual Total Returns | One Year | Five Year | Since |
Horizon Active Income Fund - Investor Class | -3.58% | -0.02% | 0.00% |
Horizon Active Income Fund - Advisor Class | -3.58% | N/A | -0.42% |
Horizon Active Income Fund - Institutional Class | -3.33% | N/A | -1.54% |
Bloomberg Barclays Aggregate Bond Index | -1.34% | 2.03% | 2.05%(2) |
(1) | Inception date is September 30, 2013 for Investor Class Shares, February 8, 2016 for Advisor Class Shares and September 9, 2016 for Institutional Class Shares. |
(2) | The Since Commencement of Operations returns shown are from the commencement date of Horizon Active Income Fund - Investor Class. The returns for the Bloomberg Barclays Aggregate Bond Index since the commencement date of the Horizon Active Income Fund - Advisor Class and the Horizon Active Income Fund - Institutional Class are 0.81% and -0.39%, respectively. |
The Bloomberg Barclays Aggregate Bond Index is a market-capitalization-weighted index that covers the USD denominated, investment-grade (rated Baa3 or above by Moody’s), fixed-rate, and taxable areas of the bond market. Index returns do not reflect the effects of fees or expenses. Investors cannot invest directly in an index or benchmark.
7
Horizon Active Dividend Fund |
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, 2018. The Performance data quoted is historical. Past performance is no guarantee of future results. Current performance may be higher or lower than the performance data quoted. The principal value and investment return of an investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. The returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemptions of Fund shares. In the absence of fee waivers and reimbursements, when they are necessary to keep expenses at the expense cap, total return would be reduced. Performance figures for periods greater than one year are annualized.
Average Annual Total Returns | One Year | Since |
Horizon Active Dividend Fund - Investor Class | 4.72% | 12.34% |
Horizon Active Dividend Fund - Advisor Class | 4.57% | 9.66% |
S&P Global 100 Index | 2.35% | 12.16%(2) |
(1) | Inception date is December 28, 2016 for Investor Class Shares and June 20, 2017 for Advisor Class Shares. |
(2) | The Since Commencement of Operations returns shown are from the commencement date of Horizon Active Dividend Fund - Investor Class. The return for the S&P Global 100 Index since the commencement date of the Horizon Active Dividend Fund - Advisor Class is 8.05%. |
The S&P Global 100 Index measures the performance of multi-national, blue chip companies of major importance in the global equity markets. Index returns do not reflect the effects of fees or expenses. Investors cannot invest directly in an index or benchmark.
8
Horizon Defined Risk Fund |
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, 2018. The Performance data quoted is historical. Past performance is no guarantee of future results. Current performance may be higher or lower than the performance data quoted. The principal value and investment return of an investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. The returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemptions of Fund shares. In the absence of fee waivers and reimbursements, when they are necessary to keep expenses at the expense cap, total return would be reduced. Performance figures for periods greater than one year are annualized.
Cumulative Total Returns | Since |
Horizon Defined Risk Fund - Investor Class | 2.00% |
Horizon Defined Risk Fund - Advisor Class | 0.77% |
Bloomberg Barclays US Treasury 1-3 Years Index | 0.80%(2) |
S&P 500 Total Return Index | 4.57%(2) |
(1) | Inception date is December 28, 2017 for Investor Class Shares and February 2, 2018 for Advisor Class Shares. |
(2) | The Since Commencement of Operations returns shown are from the commencement date of Horizon Defined Risk Fund - Investor Class. The returns for the Bloomberg Barclays US Treasury 1-3 Years Index and the S&P 500 Total Return Index since the commencement date of the Horizon Defined Risk Fund - Advisor Class are 1.09%, and 1.61%, respectively. |
The Bloomberg Barclays U S Treasury 1-3 Years Index measures the performance of the US government bond market and includes public obligations of the U.S. Treasury with a maturity between 1 and up to (but not including) 3 years. Index returns do not reflect the effects of fees or expenses. Investors cannot invest directly in an index or benchmark.
The S&P 500 Total Return Index is an unmanaged market capitalization-weighted index which is comprised of the largest U.S. domiciled companies and includes the reinvestment of all dividends. Index returns do not reflect the effects of fees or expenses. Investors cannot invest directly in an index or benchmark.
9
Horizon Funds |
Horizon Active Asset Allocation Fund Portfolio Composition as of November 30, 2018:
% of Net Assets | |
Investment Companies | 98.3% |
Purchased Call Options | 0.5% |
Purchased Put Options | 0.0%^ |
Short-Term Investments | 1.4% |
Investments Purchased With Proceeds From Securities Lending | 0.3% |
Liabilities in Excess of Other Assets | -0.5% |
100.0% |
Horizon Active Risk Assist Fund Portfolio Composition as of November 30, 2018:
% of Net Assets | |
Investment Companies | 90.7% |
Common Stocks | 7.0% |
Purchased Call Options | 0.4% |
Purchased Put Options | 0.0%^ |
Short-Term Investments | 1.8% |
Investments Purchased With Proceeds From Securities Lending | 3.6% |
Liabilities in Excess of Other Assets | -3.5% |
100.0% |
Horizon Active Income Fund Portfolio Composition as of November 30, 2018:
% of Net Assets | |
Investment Companies | 94.5% |
Preferred Stocks | 3.6% |
Convertible Preferred Stocks | 0.4% |
Purchased Put Options | 0.0%^ |
Short-Term Investments | 1.5% |
Investments Purchased With Proceeds From Securities Lending | 2.9% |
Liabilities in Excess of Other Assets | -2.9% |
100.0% |
10
Horizon Funds |
Horizon Active Dividend Fund Portfolio Composition as of November 30, 2018:
% of Net Assets | |
Common Stocks | 96.7% |
Purchased Put Options | 0.0%^ |
Short-Term Investments | 3.1% |
Investments Purchased With Proceeds From Securities Lending | 0.1% |
Other Assets in Excess of Liabilities | 0.1% |
100.0% |
Horizon Defined Risk Fund Portfolio Composition as of November 30, 2018:
% of Net Assets | |
Common Stocks | 98.0% |
Purchased Put Options | 1.7% |
Short-Term Investments | 1.3% |
Investments Purchased With Proceeds From Securities Lending | 0.1% |
Liabilities in Excess of Other Assets | -1.1% |
100.0% |
The tables above represent percentages of total portfolio.
Please refer to the Portfolio of Investments in this annual report for a detailed analysis of the Funds’ holdings.
^ | Less than 0.1% |
11
Horizon Active Asset Allocation Fund |
Shares |
| |||||||||||
INVESTMENT COMPANIES - 98.3% | ||||||||||||
Exchange Traded Funds - 98.3% | ||||||||||||
249,979 | Invesco S&P 500 Equal Weight ETF | $ | 25,412,865 | |||||||||
592,448 | iShares Edge MSCI USA Quality Factor ETF(a) | 49,943,366 | ||||||||||
653,218 | iShares Emerging Markets Dividend ETF | 25,312,198 | ||||||||||
455,444 | iShares MSCI Japan ETF | 25,204,271 | ||||||||||
876,863 | SPDR Portfolio Developed World ex-US ETF | 24,823,992 | ||||||||||
2,274,996 | SPDR Portfolio Emerging Markets ETF(b) | 77,076,864 | ||||||||||
2,817,008 | SPDR Portfolio S&P 500 Growth ETF(a) | 100,482,675 | ||||||||||
4,198,001 | SPDR Portfolio S&P 500 Value ETF | 126,947,550 | ||||||||||
1,662,898 | SPDR Portfolio Small Cap ETF(b) | 50,169,633 | ||||||||||
TOTAL EXCHANGE TRADED FUNDS (Cost - $512,702,202) | 505,373,414 | |||||||||||
Contracts | Notional | |||||||||||
PURCHASED OPTIONS - 0.5%* | ||||||||||||
PURCHASED CALL OPTIONS - 0.5% | ||||||||||||
Industrial Select Sector SPDR Fund | ||||||||||||
3,500 | Expiration: January 2019, Exercise Price $77** | $ | 25,389,000 | 119,000 | ||||||||
Invesco QQQ Trust Series 1 | ||||||||||||
1,500 | Expiration: January 2019, Exercise Price $175** | 25,405,500 | 438,750 | |||||||||
1,500 | Expiration: January 2019, Exercise Price $176** | 25,405,500 | 379,500 | |||||||||
iShares China Large-Cap ETF | ||||||||||||
5,000 | Expiration: December 2018, Exercise Price $43** | 21,010,000 | 232,500 | |||||||||
iShares MSCI Emerging Markets ETF(c) | ||||||||||||
9,000 | Expiration: December 2018, Exercise Price $42** | 36,972,000 | 472,500 | |||||||||
2,500 | Expiration: December 2018, Exercise Price $42.50** | 10,270,000 | 91,250 | |||||||||
8,000 | Expiration: December 2018, Exercise Price $46** | 32,864,000 | 20,000 | |||||||||
12,000 | Expiration: December 2018, Exercise Price $47** | 49,296,000 | 30,000 | |||||||||
iShares Russell 2000 ETF(c) | ||||||||||||
2,000 | Expiration: December 2018, Exercise Price $156** | 30,524,000 | 151,000 | |||||||||
1,500 | Expiration: December 2018, Exercise Price $162** | 22,893,000 | 51,000 | |||||||||
SPDR S&P 500 ETF Trust | ||||||||||||
1,000 | Expiration: December 2018, Exercise Price $280** | 27,565,000 | 288,000 | |||||||||
SPDR S&P Oil & Gas Exploration & Production ETF | ||||||||||||
1,500 | Expiration: January 2019, Exercise Price $36** | 4,921,500 | 103,500 | |||||||||
TOTAL PURCHASED CALL OPTIONS (Cost - $3,747,551) | 2,377,000 |
See accompanying notes to financial statements.
12
Horizon Active Asset Allocation Fund |
Contracts | Notional | Value | ||||||||||
PURCHASED PUT OPTIONS - 0.0%^ | ||||||||||||
CBOE Volatility Index(c) | ||||||||||||
2,500 | Expiration: December 2018, Exercise Price $13** | $ | 4,517,500 | $ | 18,750 | |||||||
2,500 | Expiration: December 2018, Exercise Price $15** | 4,517,500 | 100,000 | |||||||||
NN, Inc. | ||||||||||||
250 | Expiration: December 2018, Exercise Price $5** | 179,500 | 3,125 | |||||||||
S&P 500 Index(c) | ||||||||||||
100 | Expiration: December 2018, Exercise Price $2,700** | 27,377,600 | 130,000 | |||||||||
TOTAL PURCHASED PUT OPTIONS (Cost - $309,704) | 251,875 | |||||||||||
TOTAL PURCHASED OPTIONS (Cost - $4,057,255) | 2,628,875 | |||||||||||
Shares | ||||||||||||
SHORT-TERM INVESTMENTS - 1.4% | ||||||||||||
Money Market Funds - 1.4% | ||||||||||||
7,207,766 | Invesco Treasury Portfolio - Short-Term Investments Trust - Institutional Class, 2.12% + | 7,207,766 | ||||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost - $7,207,766) | 7,207,766 | |||||||||||
INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING - 0.3% | ||||||||||||
Money Market Funds - 0.3% | ||||||||||||
1,707,825 | First American Government Obligations Fund, Class Z, 2.08% + | 1,707,825 | ||||||||||
TOTAL INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING(Cost - $1,707,825) | 1,707,825 | |||||||||||
TOTAL INVESTMENTS - 100.5% (Cost - $525,675,048) | 516,917,880 | |||||||||||
Liabilities In Excess Of Other Assets - (0.5)% | (2,404,313 | ) | ||||||||||
NET ASSETS - 100.0% | $ | 514,513,567 |
See accompanying notes to financial statements.
13
Horizon Active Asset Allocation Fund |
Contracts | Notional | Value | ||||||||||
SCHEDULE OF WRITTEN OPTIONS - (0.2)%* | ||||||||||||
SCHEDULE OF WRITTEN CALL OPTIONS - (0.1)% | ||||||||||||
iShares MSCI Emerging Markets ETF | ||||||||||||
2,500 | Expiration: December 2018, Exercise Price $45** | $ | 10,270,000 | $ | 13,750 | |||||||
iShares Russell 2000 ETF | ||||||||||||
2,000 | Expiration: December 2018, Exercise Price $160** | 30,524,000 | 23,000 | |||||||||
S&P 500 Index | ||||||||||||
100 | Expiration: December 2018, Exercise Price $2,750** | 27,377,600 | 405,000 | |||||||||
TOTAL WRITTEN CALL OPTIONS(Premiums Received - $373,912) | 441,750 | |||||||||||
SCHEDULE OF WRITTEN PUT OPTIONS - (0.1)% | ||||||||||||
CBOE Volatility Index | ||||||||||||
5,000 | Expiration: December 2018, Exercise Price $14** | 9,035,000 | 87,500 | |||||||||
S&P 500 Index | ||||||||||||
100 | Expiration: December 2018, Exercise Price $2,750** | 27,377,600 | 283,000 | |||||||||
TOTAL WRITTEN PUT OPTIONS(Premiums Received - $427,680) | 370,500 | |||||||||||
TOTAL WRITTEN OPTIONS(Premiums Received - $801,592) | $ | 812,250 |
Percentages are stated as a percent of net assets.
* | Each Option is exercisable into 100 shares of the underlying security. |
** | Non-income producing security. |
+ | Money Market Fund; rate reflects seven-day yield on November 30, 2018. |
^ | Less than 0.1%. |
(a) | 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 $65,628,000. |
(b) | All or a portion of this security is out on loan as of November 30, 2018. |
(c) | Held in connection with a written option, see Schedule of Written Options for more details. |
See accompanying notes to financial statements.
14
Horizon Active Risk Assist Fund |
Shares |
| |||||||||||
INVESTMENT COMPANIES - 90.7% | ||||||||||||
Exchange Traded Funds - 90.7% | ||||||||||||
540,105 | iShares Edge MSCI USA Quality Factor ETF | $ | 45,530,852 | |||||||||
698,564 | iShares Emerging Markets Dividend ETF(c) | 27,069,355 | ||||||||||
487,572 | iShares MSCI Japan ETF | 26,982,234 | ||||||||||
1,230,048 | iShares Short Treasury Bond ETF | 135,883,403 | ||||||||||
938,654 | SPDR Portfolio Developed World ex-US ETF(b) | 26,573,295 | ||||||||||
2,440,909 | SPDR Portfolio Emerging Markets ETF | 82,697,997 | ||||||||||
2,864,793 | SPDR Portfolio S&P 500 Growth ETF(b) | 102,187,166 | ||||||||||
4,322,805 | SPDR Portfolio S&P 500 Value ETF(a)(b)(c) | 130,721,623 | ||||||||||
1,782,476 | SPDR Portfolio Small Cap ETF(b) | 53,777,301 | ||||||||||
311,535 | X-Trackers Russell 1000 US QARP ETF(c) | 8,090,470 | ||||||||||
TOTAL EXCHANGE TRADED FUNDS (Cost - $648,362,033) | 639,513,696 | |||||||||||
COMMON STOCKS - 7.0% | ||||||||||||
Advertising - 0.1% | ||||||||||||
19,695 | Interpublic Group of Cos., Inc. | 462,833 | ||||||||||
3,460 | Omnicom Group, Inc. | 266,316 | ||||||||||
729,149 | ||||||||||||
Aerospace/Defense - 0.1% | ||||||||||||
154 | General Dynamics Corp. | 28,473 | ||||||||||
590 | Harris Corp. | 84,340 | ||||||||||
561 | L3 Technologies, Inc. | 102,826 | ||||||||||
110 | Northrop Grumman Corp. | 28,587 | ||||||||||
160 | Raytheon Co. | 28,054 | ||||||||||
301 | TransDigm Group, Inc.** | 108,863 | ||||||||||
227 | United Technologies Corp. | 27,661 | ||||||||||
408,804 | ||||||||||||
Agriculture - 0.0%^ | ||||||||||||
1,282 | Archer-Daniels-Midland Co. | 58,998 | ||||||||||
Airlines - 0.1% | ||||||||||||
3,910 | Alaska Air Group, Inc. | 286,447 | ||||||||||
3,688 | American Airlines Group, Inc. | 148,110 | ||||||||||
1,000 | Delta Air Lines, Inc. | 60,710 | ||||||||||
920 | Southwest Airlines Co. | 50,241 | ||||||||||
1,023 | United Continental Holdings, Inc.** | 98,924 | ||||||||||
644,432 | ||||||||||||
Apparel - 0.1% | ||||||||||||
15,889 | Hanesbrands, Inc. | 252,794 | ||||||||||
2,630 | Michael Kors Holdings Ltd.** | 115,063 |
See accompanying notes to financial statements.
15
Horizon Active Risk Assist Fund |
Shares |
| |||||||||||
1,266 | PVH Corp. | $ | 139,906 | |||||||||
1,333 | Ralph Lauren Corp., Class A | 148,496 | ||||||||||
10,814 | Under Armour, Inc., Class A** | 258,238 | ||||||||||
518 | VF Corp. | 42,108 | ||||||||||
956,605 | ||||||||||||
Auto Manufacturers - 0.0%^ | ||||||||||||
5,159 | Ford Motor Co. | 48,546 | ||||||||||
1,087 | General Motors Co. | 41,252 | ||||||||||
1,221 | PACCAR, Inc. | 75,970 | ||||||||||
165,768 | ||||||||||||
Auto Parts & Equipment - 0.1% | ||||||||||||
1,075 | Aptiv PLC | 77,293 | ||||||||||
4,921 | BorgWarner, Inc. | 194,773 | ||||||||||
15,424 | Goodyear Tire & Rubber Co. | 357,220 | ||||||||||
629,286 | ||||||||||||
Banks - 0.2% | ||||||||||||
691 | Bank of New York Mellon Corp. | 35,455 | ||||||||||
980 | BB&T Corp. | 50,078 | ||||||||||
426 | Capital One Financial Corp. | 38,204 | ||||||||||
2,607 | Citizens Financial Group, Inc. | 94,790 | ||||||||||
1,303 | Comerica, Inc. | 103,172 | ||||||||||
3,443 | Fifth Third Bancorp | 96,163 | ||||||||||
7,061 | Huntington Bancshares, Inc. | 103,020 | ||||||||||
4,278 | KeyCorp | 78,458 | ||||||||||
453 | M&T Bank Corp. | 76,562 | ||||||||||
763 | Northern Trust Corp. | 75,712 | ||||||||||
4,895 | Regions Financial Corp. | 80,523 | ||||||||||
670 | State Street Corp. | 48,923 | ||||||||||
911 | SunTrust Banks, Inc. | 57,111 | ||||||||||
365 | SVB Financial Group** | 93,006 | ||||||||||
3,592 | Zions Bancorp NA | 174,787 | ||||||||||
1,205,964 | ||||||||||||
Beverages - 0.0%^ | ||||||||||||
192 | Constellation Brands, Inc., Class A | 37,586 | ||||||||||
2,255 | Molson Coors Brewing Co., Class B | 148,311 | ||||||||||
1,075 | Monster Beverage Corp.** | 64,156 | ||||||||||
250,053 | ||||||||||||
Biotechnology - 0.1% | ||||||||||||
517 | Alexion Pharmaceuticals, Inc.** | 63,669 | ||||||||||
365 | Celgene Corp.** | 26,360 | ||||||||||
124 | Illumina, Inc.** | 41,850 | ||||||||||
2,091 | Incyte Corp.** | 134,347 |
See accompanying notes to financial statements.
16
Horizon Active Risk Assist Fund |
Shares |
| |||||||||||
115 | Regeneron Pharmaceuticals, Inc.** | $ | 42,050 | |||||||||
222 | Vertex Pharmaceuticals, Inc.** | 40,135 | ||||||||||
348,411 | ||||||||||||
Building Materials - 0.1% | ||||||||||||
5,239 | Fortune Brands Home & Security, Inc. | 229,468 | ||||||||||
1,645 | Johnson Controls International PLC | 57,213 | ||||||||||
925 | Martin Marietta Materials, Inc. | 176,388 | ||||||||||
5,291 | Masco Corp. | 167,672 | ||||||||||
1,231 | Vulcan Materials Co. | 130,129 | ||||||||||
760,870 | ||||||||||||
Chemicals - 0.2% | ||||||||||||
314 | Air Products & Chemicals, Inc. | 50,513 | ||||||||||
1,795 | Albemarle Corp. | 172,894 | ||||||||||
2,714 | CF Industries Holdings, Inc. | 114,504 | ||||||||||
1,757 | Eastman Chemical Co. | 138,487 | ||||||||||
1,861 | FMC Corp. | 153,979 | ||||||||||
1,016 | International Flavors & Fragrances, Inc. | 143,896 | ||||||||||
250 | Linde PLC** | 39,763 | ||||||||||
471 | LyondellBasell Industries NV, Class A | 43,949 | ||||||||||
4,290 | Mosaic Co. | 154,440 | ||||||||||
770 | PPG Industries, Inc. | 84,184 | ||||||||||
110 | Sherwin-Williams Co. | 46,648 | ||||||||||
1,143,257 | ||||||||||||
Commercial Services - 0.4% | ||||||||||||
282 | Automatic Data Processing, Inc. | 41,572 | ||||||||||
457 | Cintas Corp. | 85,633 | ||||||||||
271 | Ecolab, Inc. | 43,493 | ||||||||||
983 | Equifax, Inc. | 100,925 | ||||||||||
671 | FleetCor Technologies, Inc.** | 129,771 | ||||||||||
1,265 | Gartner, Inc.** | 193,785 | ||||||||||
1,221 | Global Payments, Inc. | 136,520 | ||||||||||
11,142 | H&R Block, Inc. | 300,945 | ||||||||||
1,697 | IHS Markit Ltd.** | 90,569 | ||||||||||
377 | Moody's Corp. | 59,969 | ||||||||||
7,197 | Nielsen Holdings PLC | 195,543 | ||||||||||
11,860 | Quanta Services, Inc.** | 416,286 | ||||||||||
3,320 | Robert Half International, Inc. | 205,276 | ||||||||||
211 | S&P Global, Inc. | 38,583 | ||||||||||
1,629 | Total System Services, Inc. | 142,326 | ||||||||||
989 | United Rentals, Inc.** | 115,842 | ||||||||||
797 | Verisk Analytics, Inc.** | 98,286 | ||||||||||
17,788 | Western Union Co. | 333,169 | ||||||||||
2,728,493 |
See accompanying notes to financial statements.
17
Horizon Active Risk Assist Fund |
Shares |
| |||||||||||
Computers - 0.1% | ||||||||||||
847 | Cognizant Technology Solutions Corp., Class A | $ | 60,332 | |||||||||
1,182 | DXC Technology Co. | 74,513 | ||||||||||
7,485 | Hewlett Packard Enterprise Co. | 112,275 | ||||||||||
2,795 | HP, Inc. | 64,285 | ||||||||||
1,657 | NetApp, Inc. | 110,804 | ||||||||||
4,628 | Seagate Technology PLC | 199,421 | ||||||||||
2,968 | Western Digital Corp. | 134,717 | ||||||||||
756,347 | ||||||||||||
Cosmetics/Personal Care - 0.0%^ | ||||||||||||
508 | Colgate-Palmolive Co. | 32,268 | ||||||||||
18,226 | Coty, Inc., Class A | 152,005 | ||||||||||
276 | Estee Lauder Cos., Inc., Class A | 39,374 | ||||||||||
223,647 | ||||||||||||
Distribution/Wholesale - 0.1% | ||||||||||||
3,043 | Copart, Inc.** | 155,741 | ||||||||||
2,164 | Fastenal Co. | 128,238 | ||||||||||
6,032 | LKQ Corp.** | 167,931 | ||||||||||
305 | WW Grainger, Inc. | 95,782 | ||||||||||
547,692 | ||||||||||||
Diversified Financial Services - 0.3% | ||||||||||||
2,060 | Affiliated Managers Group, Inc. | 228,907 | ||||||||||
960 | Alliance Data Systems Corp. | 192,346 | ||||||||||
614 | Ameriprise Financial, Inc. | 79,666 | ||||||||||
1,575 | CBOE Global Markets, Inc. | 169,501 | ||||||||||
165 | CME Group, Inc. | 31,363 | ||||||||||
919 | Discover Financial Services | 65,525 | ||||||||||
2,600 | E*TRADE Financial Corp. | 135,954 | ||||||||||
3,856 | Franklin Resources, Inc. | 130,680 | ||||||||||
564 | Intercontinental Exchange, Inc. | 46,090 | ||||||||||
9,720 | Invesco Ltd. | 197,802 | ||||||||||
11,472 | Jefferies Financial Group, Inc. | 250,663 | ||||||||||
1,618 | Nasdaq, Inc. | 147,756 | ||||||||||
1,481 | Raymond James Financial, Inc. | 118,080 | ||||||||||
2,617 | Synchrony Financial | 67,990 | ||||||||||
685 | T. Rowe Price Group, Inc. | 68,062 | ||||||||||
1,930,385 | ||||||||||||
Electric - 0.4% | ||||||||||||
12,897 | AES Corp. | 199,774 | ||||||||||
4,097 | Alliant Energy Corp. | 185,963 | ||||||||||
1,749 | Ameren Corp. | 120,016 | ||||||||||
705 | American Electric Power Co., Inc. | 54,807 | ||||||||||
4,717 | CenterPoint Energy, Inc. | 132,123 | ||||||||||
2,565 | CMS Energy Corp. | 133,611 |
See accompanying notes to financial statements.
18
Horizon Active Risk Assist Fund |
Shares |
| |||||||||||
975 | Consolidated Edison, Inc. | $ | 78,341 | |||||||||
525 | Dominion Energy, Inc. | 39,112 | ||||||||||
792 | DTE Energy Co. | 94,834 | ||||||||||
385 | Duke Energy Corp. | 34,099 | ||||||||||
1,163 | Edison International | 64,337 | ||||||||||
1,475 | Entergy Corp. | 128,413 | ||||||||||
2,130 | Evergy, Inc. | 126,458 | ||||||||||
1,459 | Eversource Energy | 99,708 | ||||||||||
999 | Exelon Corp. | 46,344 | ||||||||||
2,607 | FirstEnergy Corp. | 98,623 | ||||||||||
4,444 | NRG Energy, Inc. | 170,783 | ||||||||||
2,397 | Pinnacle West Capital Corp. | 214,196 | ||||||||||
2,837 | PPL Corp. | 86,784 | ||||||||||
1,234 | Public Service Enterprise Group, Inc. | 68,981 | ||||||||||
498 | Sempra Energy | 57,380 | ||||||||||
932 | Southern Co. | 44,112 | ||||||||||
1,227 | WEC Energy Group, Inc. | 88,933 | ||||||||||
1,520 | Xcel Energy, Inc. | 79,724 | ||||||||||
2,447,456 | ||||||||||||
Electrical Components & Equipment - 0.0%^ | ||||||||||||
1,396 | AMETEK, Inc. | 102,508 | ||||||||||
524 | Emerson Electric Co. | 35,381 | ||||||||||
137,889 | ||||||||||||
Electronics - 0.2% | ||||||||||||
�� | 1,260 | Agilent Technologies, Inc. | 91,161 | |||||||||
2,613 | Allegion PLC | 239,325 | ||||||||||
1,112 | Amphenol Corp., Class A | 97,789 | ||||||||||
2,892 | Corning, Inc. | 93,180 | ||||||||||
5,711 | FLIR Systems, Inc. | 261,907 | ||||||||||
829 | Fortive Corp. | 63,062 | ||||||||||
2,026 | Garmin Ltd. | 135,053 | ||||||||||
221 | Mettler-Toledo International, Inc.** | 140,702 | ||||||||||
2,130 | PerkinElmer, Inc. | 185,438 | ||||||||||
1,120 | TE Connectivity Ltd. | 86,162 | ||||||||||
730 | Waters Corp.** | 144,963 | ||||||||||
1,538,742 | ||||||||||||
Engineering & Construction - 0.1% | ||||||||||||
4,638 | Fluor Corp. | 189,834 | ||||||||||
2,272 | Jacobs Engineering Group, Inc. | 149,202 | ||||||||||
339,036 | ||||||||||||
Environmental Control - 0.1% | ||||||||||||
6,233 | Pentair PLC | 266,149 | ||||||||||
1,080 | Republic Services, Inc. | 83,527 |
See accompanying notes to financial statements.
19
Horizon Active Risk Assist Fund |
Shares |
| |||||||||||
7,345 | Stericycle, Inc.** | $ | 353,074 | |||||||||
520 | Waste Management, Inc. | 48,750 | ||||||||||
751,500 | ||||||||||||
Food - 0.1% | ||||||||||||
3,681 | Conagra Brands, Inc. | 119,043 | ||||||||||
1,623 | General Mills, Inc. | 68,669 | ||||||||||
800 | Hershey Co. | 86,640 | ||||||||||
2,089 | Hormel Foods Corp. | 94,193 | ||||||||||
1,505 | J.M. Smucker Co. | 157,288 | ||||||||||
1,101 | Kellogg Co. | 70,079 | ||||||||||
690 | Mondelez International, Inc., Class A | 31,036 | ||||||||||
696 | Sysco Corp. | 46,910 | ||||||||||
1,306 | Tyson Foods, Inc., Class A | 76,989 | ||||||||||
750,847 | ||||||||||||
Forest Products & Paper - 0.0%^ | ||||||||||||
2,277 | International Paper Co. | 105,175 | ||||||||||
Gas - 0.0%^ | ||||||||||||
8,120 | NiSource, Inc. | 214,530 | ||||||||||
Hand/Machine Tools - 0.0%^ | ||||||||||||
1,056 | Snap-on, Inc. | 175,550 | ||||||||||
664 | Stanley Black & Decker, Inc. | 86,884 | ||||||||||
262,434 | ||||||||||||
Healthcare Products - 0.2% | ||||||||||||
281 | ABIOMED, Inc.** | 93,483 | ||||||||||
212 | Align Technology, Inc.** | 48,737 | ||||||||||
666 | Baxter International, Inc. | 45,654 | ||||||||||
568 | Cooper Cos., Inc. | 158,375 | ||||||||||
6,466 | Dentsply Sirona, Inc. | 244,286 | ||||||||||
417 | Edwards Lifesciences Corp.** | 67,558 | ||||||||||
1,591 | Henry Schein, Inc.** | 141,917 | ||||||||||
4,080 | Hologic, Inc.** | 181,193 | ||||||||||
437 | IDEXX Laboratories, Inc.** | 89,043 | ||||||||||
59 | Intuitive Surgical, Inc.** | 31,321 | ||||||||||
1,174 | ResMed, Inc. | 131,242 | ||||||||||
1,770 | Varian Medical Systems, Inc.** | 218,400 | ||||||||||
581 | Zimmer Biomet Holdings, Inc. | 67,989 | ||||||||||
1,519,198 | ||||||||||||
Healthcare Services - 0.1% | ||||||||||||
443 | Centene Corp.** | 63,017 | ||||||||||
170 | Cigna Corp. | 37,975 | ||||||||||
2,044 | DaVita, Inc.** | 135,027 | ||||||||||
279 | HCA Healthcare, Inc. | 40,173 |
See accompanying notes to financial statements.
20
Horizon Active Risk Assist Fund |
Shares |
| |||||||||||
122 | Humana, Inc. | $ | 40,195 | |||||||||
575 | IQVIA Holdings, Inc.** | 71,915 | ||||||||||
615 | Laboratory Corp. of America Holdings** | 89,569 | ||||||||||
1,270 | Quest Diagnostics, Inc. | 112,484 | ||||||||||
1,232 | Universal Health Services, Inc., Class B | 170,004 | ||||||||||
387 | WellCare Health Plans, Inc.** | 98,638 | ||||||||||
858,997 | ||||||||||||
Home Builders - 0.1% | ||||||||||||
2,880 | DR Horton, Inc. | 107,193 | ||||||||||
2,607 | Lennar Corp., Class A | 111,397 | ||||||||||
10,230 | PulteGroup, Inc. | 271,300 | ||||||||||
489,890 | ||||||||||||
Home Furnishings - 0.1% | ||||||||||||
7,826 | Leggett & Platt, Inc. | 303,179 | ||||||||||
2,244 | Whirlpool Corp. | 283,036 | ||||||||||
586,215 | ||||||||||||
Household Products/Wares - 0.1% | ||||||||||||
1,992 | Avery Dennison Corp. | 192,029 | ||||||||||
2,259 | Church & Dwight Co., Inc. | 149,523 | ||||||||||
653 | Clorox Co. | 108,150 | ||||||||||
415 | Kimberly-Clark Corp. | 47,878 | ||||||||||
497,580 | ||||||||||||
Housewares - 0.0%^ | ||||||||||||
10,374 | Newell Brands, Inc.(b) | 242,752 | ||||||||||
Insurance - 0.3% | ||||||||||||
1,102 | Aflac, Inc. | 50,405 | ||||||||||
550 | Allstate Corp. | 49,055 | ||||||||||
747 | American International Group, Inc. | 32,308 | ||||||||||
316 | Aon PLC, Class A | 52,175 | ||||||||||
1,825 | Arthur J Gallagher & Co. | 140,653 | ||||||||||
2,557 | Assurant, Inc. | 248,643 | ||||||||||
7,572 | Brighthouse Financial, Inc.** | 304,849 | ||||||||||
1,922 | Cincinnati Financial Corp. | 157,085 | ||||||||||
888 | Everest Re Group Ltd. | 197,207 | ||||||||||
2,100 | Hartford Financial Services Group, Inc. | 92,799 | ||||||||||
1,810 | Lincoln National Corp. | 113,976 | ||||||||||
2,356 | Loews Corp. | 113,229 | ||||||||||
533 | Marsh & McLennan Cos., Inc. | 47,277 | ||||||||||
856 | MetLife, Inc. | 38,203 | ||||||||||
1,854 | Principal Financial Group, Inc. | 91,439 | ||||||||||
639 | Progressive Corp. | 42,359 | ||||||||||
410 | Prudential Financial, Inc. | 38,442 | ||||||||||
2,135 | Torchmark Corp. | 184,485 |
See accompanying notes to financial statements.
21
Horizon Active Risk Assist Fund |
Shares |
| |||||||||||
411 | Travelers Cos., Inc. | $ | 53,582 | |||||||||
5,468 | Unum Group | 196,356 | ||||||||||
705 | Willis Towers Watson PLC | 112,412 | ||||||||||
2,356,939 | ||||||||||||
Internet - 0.3% | ||||||||||||
1,587 | eBay, Inc.** | 47,372 | ||||||||||
777 | Expedia Group, Inc. | 93,854 | ||||||||||
1,441 | F5 Networks, Inc.** | 247,809 | ||||||||||
10,545 | Symantec Corp. | 233,150 | ||||||||||
13,227 | TripAdvisor, Inc.** | 847,321 | ||||||||||
6,485 | Twitter, Inc.** | 203,953 | ||||||||||
1,017 | VeriSign, Inc.** | 158,713 | ||||||||||
1,832,172 | ||||||||||||
Iron/Steel - 0.0%^ | ||||||||||||
1,460 | Nucor Corp. | 88,199 | ||||||||||
Leisure Time - 0.1% | ||||||||||||
665 | Carnival Corp. | 40,093 | ||||||||||
5,590 | Harley-Davidson, Inc.(b) | 236,401 | ||||||||||
2,678 | Norwegian Cruise Line Holdings Ltd.** | 137,435 | ||||||||||
542 | Royal Caribbean Cruises Ltd. | 61,284 | ||||||||||
475,213 | ||||||||||||
Lodging - 0.1% | ||||||||||||
1,001 | Hilton Worldwide Holdings, Inc. | 75,615 | ||||||||||
340 | Marriott International, Inc., Class A | 39,110 | ||||||||||
4,222 | MGM Resorts International | 113,825 | ||||||||||
1,084 | Wynn Resorts Ltd. | 118,590 | ||||||||||
347,140 | ||||||||||||
Machinery - Diversified - 0.1% | ||||||||||||
500 | Cummins, Inc. | 75,530 | ||||||||||
251 | Deere & Co. | 38,875 | ||||||||||
1,733 | Dover Corp. | 147,114 | ||||||||||
5,101 | Flowserve Corp. | 247,450 | ||||||||||
461 | Rockwell Automation, Inc. | 80,371 | ||||||||||
218 | Roper Technologies, Inc. | 64,875 | ||||||||||
1,925 | Xylem, Inc. | 140,486 | ||||||||||
794,701 | ||||||||||||
Media - 0.2% | ||||||||||||
171 | Charter Communications, Inc., Class A** | 56,293 | ||||||||||
7,613 | Discovery, Inc., Class A**(b) | 233,871 | ||||||||||
7,444 | DISH Network Corp., Class A** | 243,866 | ||||||||||
37,321 | News Corp., Class B | 500,102 | ||||||||||
1,041 | Twenty-First Century Fox, Inc., Class B | 51,040 | ||||||||||
1,085,172 |
See accompanying notes to financial statements.
22
Horizon Active Risk Assist Fund |
Shares |
| |||||||||||
Mining - 0.0%^ | ||||||||||||
7,223 | Freeport-McMoRan, Inc. | $ | 86,243 | |||||||||
3,521 | Newmont Mining Corp. | 113,869 | ||||||||||
200,112 | ||||||||||||
Miscellaneous Manufacturing - 0.1% | ||||||||||||
4,400 | AO Smith Corp. | 208,472 | ||||||||||
611 | Eaton Corp PLC | 47,010 | ||||||||||
302 | Illinois Tool Works, Inc. | 41,993 | ||||||||||
746 | Ingersoll-Rand PLC | 77,226 | ||||||||||
454 | Parker-Hannifin Corp. | 78,106 | ||||||||||
1,569 | Textron, Inc. | 88,084 | ||||||||||
540,891 | ||||||||||||
Office/Business Equipment - 0.1% | ||||||||||||
15,507 | Xerox Corp. | 417,448 | ||||||||||
Oil & Gas - 0.2% | ||||||||||||
744 | Anadarko Petroleum Corp. | 39,358 | ||||||||||
2,126 | Apache Corp. | 74,686 | ||||||||||
7,168 | Cabot Oil & Gas Corp. | 180,347 | ||||||||||
1,991 | Cimarex Energy Co. | 163,222 | ||||||||||
374 | Concho Resources, Inc.** | 48,747 | ||||||||||
2,450 | Devon Energy Corp. | 66,223 | ||||||||||
3,246 | EQT Corp. | 60,733 | ||||||||||
3,306 | Helmerich & Payne, Inc. | 200,344 | ||||||||||
1,252 | Hess Corp. | 67,470 | ||||||||||
2,278 | HollyFrontier Corp. | 142,307 | ||||||||||
4,478 | Marathon Oil Corp. | 74,738 | ||||||||||
394 | Marathon Petroleum Corp. | 25,673 | ||||||||||
12,427 | Newfield Exploration Co.** | 210,638 | ||||||||||
3,679 | Noble Energy, Inc. | 87,339 | ||||||||||
375 | Occidental Petroleum Corp. | 26,351 | ||||||||||
300 | Phillips 66 | 28,056 | ||||||||||
326 | Pioneer Natural Resources Co. | 48,167 | ||||||||||
338 | Valero Energy Corp. | 27,006 | ||||||||||
1,571,405 | ||||||||||||
Oil & Gas Services - 0.0%^ | ||||||||||||
4,280 | Baker Hughes & GE Co., Class A | 97,669 | ||||||||||
1,211 | Halliburton Co. | 38,062 | ||||||||||
2,452 | National Oilwell Varco, Inc. | 78,734 | ||||||||||
4,280 | TechnipFMC PLC | 98,825 | ||||||||||
313,290 | ||||||||||||
Packaging & Containers - 0.1% | ||||||||||||
2,603 | Ball Corp. | 127,833 | ||||||||||
2,292 | Packaging Corp of America | 224,204 |
See accompanying notes to financial statements.
23
Horizon Active Risk Assist Fund |
Shares |
| |||||||||||
8,552 | Sealed Air Corp. | $ | 312,405 | |||||||||
3,639 | Westrock Co. | 171,433 | ||||||||||
835,875 | ||||||||||||
Pharmaceuticals - 0.1% | ||||||||||||
2,070 | Cardinal Health, Inc. | 113,498 | ||||||||||
502 | McKesson Corp. | 62,499 | ||||||||||
3,115 | Mylan NV** | 105,474 | ||||||||||
4,236 | Nektar Therapeutics** | 171,092 | ||||||||||
2,668 | Perrigo Co. PLC | 166,163 | ||||||||||
466 | Zoetis, Inc., Class A | 43,744 | ||||||||||
662,470 | ||||||||||||
Pipelines - 0.0%^ | ||||||||||||
2,597 | Equitrans Midstream Corp.** | 57,960 | ||||||||||
2,509 | Kinder Morgan, Inc. | 42,829 | ||||||||||
975 | ONEOK, Inc. | 59,894 | ||||||||||
2,037 | Williams Cos., Inc. | 51,577 | ||||||||||
212,260 | ||||||||||||
Real Estate - 0.0%^ | ||||||||||||
3,255 | CBRE Group, Inc., Class A** | 142,178 | ||||||||||
Real Estate Investment Trusts - 0.6% | ||||||||||||
1,093 | Alexandria Real Estate Equities, Inc. | 136,079 | ||||||||||
287 | American Tower Corp. | 47,209 | ||||||||||
6,002 | Apartment Investment & Management Co., Class A | 282,634 | ||||||||||
409 | AvalonBay Communities, Inc. | 77,943 | ||||||||||
825 | Boston Properties, Inc. | 108,240 | ||||||||||
383 | Crown Castle International Corp. | 44,007 | ||||||||||
722 | Digital Realty Trust, Inc. | 83,059 | ||||||||||
6,395 | Duke Realty Corp. | 182,002 | ||||||||||
135 | Equinix, Inc. | 52,013 | ||||||||||
1,163 | Equity Residential | 82,864 | ||||||||||
446 | Essex Property Trust, Inc. | 117,079 | ||||||||||
1,893 | Extra Space Storage, Inc. | 181,690 | ||||||||||
1,616 | Federal Realty Investment Trust | 213,457 | ||||||||||
5,811 | HCP, Inc. | 170,030 | ||||||||||
6,116 | Host Hotels & Resorts, Inc. | 116,204 | ||||||||||
5,864 | Iron Mountain, Inc. | 199,200 | ||||||||||
17,605 | Kimco Realty Corp. | 287,842 | ||||||||||
4,752 | Macerich Co. | 238,978 | ||||||||||
1,624 | Mid-America Apartment Communities, Inc. | 168,181 | ||||||||||
662 | Prologis, Inc. | 44,579 | ||||||||||
259 | Public Storage | 55,234 | ||||||||||
1,860 | Realty Income Corp. | 119,207 | ||||||||||
2,631 | Regency Centers Corp. | 167,489 |
See accompanying notes to financial statements.
24
Horizon Active Risk Assist Fund |
Shares |
| |||||||||||
676 | SBA Communications Corp.** | $ | 115,468 | |||||||||
237 | Simon Property Group, Inc. | 44,009 | ||||||||||
2,384 | SL Green Realty Corp. | 229,865 | ||||||||||
4,256 | UDR, Inc. | 181,391 | ||||||||||
1,707 | Ventas, Inc. | 108,377 | ||||||||||
1,905 | Vornado Realty Trust | 137,084 | ||||||||||
1,196 | Welltower, Inc. | 86,507 | ||||||||||
2,698 | Weyerhaeuser Co. | 71,254 | ||||||||||
4,149,175 | ||||||||||||
Retail - 0.4% | ||||||||||||
797 | Advance Auto Parts, Inc. | 141,635 | ||||||||||
104 | AutoZone, Inc.** | 84,143 | ||||||||||
1,172 | Best Buy Co., Inc. | 75,700 | ||||||||||
1,919 | CarMax, Inc.** | 126,788 | ||||||||||
301 | Chipotle Mexican Grill, Inc.** | 142,436 | ||||||||||
1,151 | Darden Restaurants, Inc. | 127,232 | ||||||||||
562 | Dollar General Corp. | 62,376 | ||||||||||
1,031 | Dollar Tree, Inc.** | 89,460 | ||||||||||
5,907 | Foot Locker, Inc. | 333,155 | ||||||||||
5,656 | Gap, Inc. | 154,352 | ||||||||||
1,181 | Genuine Parts Co. | 122,482 | ||||||||||
1,920 | Kohl's Corp. | 128,966 | ||||||||||
6,725 | L Brands, Inc. | 222,665 | ||||||||||
4,933 | Macy's, Inc. | 168,807 | ||||||||||
2,616 | Nordstrom, Inc. | 138,308 | ||||||||||
174 | O'Reilly Automotive, Inc.** | 60,340 | ||||||||||
470 | Ross Stores, Inc. | 41,172 | ||||||||||
2,737 | Tapestry, Inc. | 106,551 | ||||||||||
430 | Target Corp. | 30,513 | ||||||||||
967 | Tiffany & Co. | 87,997 | ||||||||||
1,738 | Tractor Supply Co. | 165,336 | ||||||||||
367 | Ulta Beauty, Inc.** | 109,289 | ||||||||||
643 | Yum! Brands, Inc. | 59,297 | ||||||||||
2,779,000 | ||||||||||||
Savings & Loans - 0.0%^ | ||||||||||||
16,692 | People's United Financial, Inc. | 281,427 | ||||||||||
Semiconductors - 0.2% | ||||||||||||
3,760 | Advanced Micro Devices, Inc.** | 80,088 | ||||||||||
944 | Analog Devices, Inc. | 86,772 | ||||||||||
2,181 | Applied Materials, Inc. | 81,308 | ||||||||||
2,706 | IPG Photonics Corp.** | 384,658 | ||||||||||
1,797 | KLA-Tencor Corp. | 177,112 | ||||||||||
837 | Lam Research Corp. | 131,376 |
See accompanying notes to financial statements.
25
Horizon Active Risk Assist Fund |
Shares |
| |||||||||||
2,376 | Microchip Technology, Inc.(b) | $ | 178,200 | |||||||||
1,243 | Micron Technology, Inc.** | 47,930 | ||||||||||
3,827 | Qorvo, Inc.** | 251,855 | ||||||||||
1,887 | Skyworks Solutions, Inc. | 137,317 | ||||||||||
1,753 | Xilinx, Inc. | 162,117 | ||||||||||
1,718,733 | ||||||||||||
Shipbuilding - 0.0%^ | ||||||||||||
696 | Huntington Ingalls Industries, Inc. | 149,988 | ||||||||||
Software - 0.3% | ||||||||||||
877 | Activision Blizzard, Inc. | 43,745 | ||||||||||
1,183 | ANSYS, Inc.** | 191,670 | ||||||||||
624 | Autodesk, Inc.** | 90,168 | ||||||||||
1,411 | Broadridge Financial Solutions, Inc. | 149,383 | ||||||||||
5,547 | Cadence Design Systems, Inc.** | 249,837 | ||||||||||
1,397 | Cerner Corp.** | 80,900 | ||||||||||
1,724 | Citrix Systems, Inc. | 187,864 | ||||||||||
1,116 | Electronic Arts, Inc.** | 93,822 | ||||||||||
713 | Fidelity National Information Services, Inc. | 76,968 | ||||||||||
1,025 | Fiserv, Inc.** | 81,108 | ||||||||||
220 | Intuit, Inc. | 47,197 | ||||||||||
787 | MSCI, Inc. | 123,630 | ||||||||||
1,448 | Paychex, Inc. | 102,460 | ||||||||||
1,003 | Red Hat, Inc.** | 179,096 | ||||||||||
2,196 | Synopsys, Inc.** | 201,900 | ||||||||||
2,159 | Take-Two Interactive Software, Inc.** | 236,777 | ||||||||||
2,136,525 | ||||||||||||
Telecommunications - 0.1% | ||||||||||||
663 | Arista Networks, Inc.** | 158,112 | ||||||||||
8,351 | CenturyLink, Inc. | 156,999 | ||||||||||
9,549 | Juniper Networks, Inc. | 274,152 | ||||||||||
1,069 | Motorola Solutions, Inc. | 140,306 | ||||||||||
729,569 | ||||||||||||
Textiles - 0.0%^ | ||||||||||||
858 | Mohawk Industries, Inc.** | 109,875 | ||||||||||
Toys/Games/Hobbies - 0.1% | ||||||||||||
1,298 | Hasbro, Inc. | 118,118 | ||||||||||
23,264 | Mattel, Inc.**(b) | 323,370 | ||||||||||
441,488 | ||||||||||||
Transportation - 0.1% | ||||||||||||
1,475 | CH Robinson Worldwide, Inc. | 136,187 | ||||||||||
2,160 | Expeditors International of Washington, Inc. | 164,355 | ||||||||||
135 | FedEx Corp. | 30,915 |
See accompanying notes to financial statements.
26
Horizon Active Risk Assist Fund |
Shares |
| |||||||||||
1,253 | JB Hunt Transport Services, Inc. | $ | 133,269 | |||||||||
1,547 | Kansas City Southern | 159,418 | ||||||||||
207 | Norfolk Southern Corp. | 35,343 | ||||||||||
659,487 | ||||||||||||
Water - 0.0%^ | ||||||||||||
1,261 | American Water Works Co., Inc. | 120,312 | ||||||||||
TOTAL COMMON STOCKS (Cost - $49,869,610) | 49,381,446 | |||||||||||
Contracts | Notional | |||||||||||
PURCHASED OPTIONS - 0.4%* | ||||||||||||
PURCHASED CALL OPTIONS - 0.4% | ||||||||||||
Industrial Select Sector SPDR Fund | ||||||||||||
4,500 | Expiration: January 2019, Exercise Price $77** | $ | 32,643,000 | 153,000 | ||||||||
Invesco QQQ Trust Series 1 | ||||||||||||
2,000 | Expiration: January 2019, Exercise Price $175** | 33,874,000 | 585,000 | |||||||||
2,000 | Expiration: January 2019, Exercise Price $176** | 33,874,000 | 506,000 | |||||||||
iShares China Large-Cap ETF | ||||||||||||
3,000 | Expiration: December 2018, Exercise Price $43** | 12,606,000 | 139,500 | |||||||||
iShares MSCI Emerging Markets ETF(d) | ||||||||||||
12,000 | Expiration: December 2018, Exercise Price $42** | 49,296,000 | 630,000 | |||||||||
2,500 | Expiration: December 2018, Exercise Price $42.50** | 10,270,000 | 91,250 | |||||||||
12,000 | Expiration: December 2018, Exercise Price $46** | 49,296,000 | 30,000 | |||||||||
15,000 | Expiration: December 2018, Exercise Price $47** | 61,620,000 | 37,500 | |||||||||
iShares Russell 2000 ETF(d) | ||||||||||||
2,000 | Expiration: December 2018, Exercise Price $156** | 30,524,000 | 151,000 | |||||||||
1,000 | Expiration: December 2018, Exercise Price $162** | 15,262,000 | 34,000 | |||||||||
SPDR S&P 500 ETF Trust | ||||||||||||
1,000 | Expiration: December 2018, Exercise Price $280** | 27,565,000 | 288,000 | |||||||||
SPDR S&P Oil & Gas Exploration & Production ETF | ||||||||||||
1,500 | Expiration: January 2019, Exercise Price $36** | 4,921,500 | 103,500 | |||||||||
TOTAL PURCHASED CALL OPTIONS (Cost - $4,278,297) | 2,748,750 | |||||||||||
PURCHASED PUT OPTIONS - 0.0%^ | ||||||||||||
CBOE Volatility Index(d) | ||||||||||||
5,000 | Expiration: December 2018, Exercise Price $13** | 9,590,000 | 37,500 | |||||||||
5,000 | Expiration: December 2018, Exercise Price $15** | 9,590,000 | 200,000 | |||||||||
NN, Inc. | ||||||||||||
250 | Expiration: December 2018, Exercise Price $5** | 179,500 | 3,125 | |||||||||
TOTAL PURCHASED PUT OPTIONS (Cost - $276,882) | 240,625 | |||||||||||
TOTAL PURCHASED OPTIONS (Cost - $4,555,179) | 2,989,375 |
See accompanying notes to financial statements.
27
Horizon Active Risk Assist Fund |
|
| |||||||||||
SHORT-TERM INVESTMENTS - 1.8% | ||||||||||||
Money Market Funds - 1.8% | ||||||||||||
12,465,129 | Invesco Treasury Portfolio - Short-Term Investments Trust - Institutional Class, 2.12% + | $ | 12,465,129 | |||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost - $12,465,129) | 12,465,129 | |||||||||||
INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING - 3.6% | ||||||||||||
Money Market Funds - 3.6% | ||||||||||||
25,680,541 | First American Government Obligations Fund, Class Z, 2.08% + | 25,680,541 | ||||||||||
TOTAL INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING(Cost - $25,680,541) | 25,680,541 | |||||||||||
TOTAL INVESTMENTS - 103.5%(Cost - $740,932,492) | 730,030,187 | |||||||||||
Liabilities In Excess Of Other Assets - (3.5)% | (24,850,846 | ) | ||||||||||
NET ASSETS - 100.0% | $ | 705,179,341 | ||||||||||
Contracts | Notional | |||||||||||
SCHEDULE OF WRITTEN OPTIONS - 0.0%*^ | ||||||||||||
SCHEDULE OF WRITTEN CALL OPTIONS - 0.0%^ | ||||||||||||
iShares MSCI Emerging Markets ETF | ||||||||||||
2,500 | Expiration: December 2018, Exercise Price $45** | $ | 10,270,000 | $ | 13,750 | |||||||
iShares Russell 2000 ETF | ||||||||||||
2,000 | Expiration: December 2018, Exercise Price $160** | 30,524,000 | 23,000 | |||||||||
TOTAL WRITTEN CALL OPTIONS(Premiums Received - $37,065) | 36,750 | |||||||||||
SCHEDULE OF WRITTEN PUT OPTIONS - 0.0%^ | ||||||||||||
CBOE Volatility Index | ||||||||||||
10,000 | Expiration: December 2018, Exercise Price $14** | 19,180,000 | 175,000 | |||||||||
TOTAL WRITTEN PUT OPTIONS(Premiums Received - $194,642) | 175,000 | |||||||||||
TOTAL WRITTEN OPTIONS(Premiums Received - $231,707) | $ | 211,750 |
Percentages are stated as a percent of net assets.
* | Each Option is exercisable into 100 shares of the underlying security. |
** | Non-income producing security. |
+ | Money Market Fund; rate reflects seven-day yield on November 30, 2018. |
^ | Less than 0.1%. |
(a) | All or a portion of the security is segregated as collateral for written options. The value of the security segregated as collateral for written options is $35,683,200. |
(b) | All or a portion of this security is out on loan as of November 30, 2018. |
(c) | Affiliated Security. Please refer to Note 9 of the Notes to Financial Statements. |
(d) | Held in connection with a written option, see Schedule of Written Options for more details. |
See accompanying notes to financial statements.
28
Horizon Active Income Fund |
Shares |
| |||||||||||
INVESTMENT COMPANIES - 94.5% | ||||||||||||
Exchange Traded Funds - 94.5% | ||||||||||||
905,220 | First Trust Tactical High Yield ETF(b) | $ | 42,092,730 | |||||||||
909,732 | SPDR Blackstone / GSO Senior Loan ETF(b) | 42,247,954 | ||||||||||
893,686 | SPDR Bloomberg Barclays Short Term High Yield Bond ETF | 23,959,722 | ||||||||||
1,456,783 | SPDR Doubleline Total Return Tactical ETF(a) | 68,701,886 | ||||||||||
862,062 | SPDR Portfolio Intermediate Term Corporate Bond ETF | 28,327,357 | ||||||||||
781,311 | Vanguard Total International Bond ETF(b) | 42,784,591 | ||||||||||
145,279 | X-Trackers Short Duration High Yield Bond ETF(c) | 7,034,162 | ||||||||||
292,656 | X-Trackers USD High Yield Corporate Bond ETF | 14,132,358 | ||||||||||
TOTAL EXCHANGE TRADED FUNDS(Cost - $273,639,517) | 269,280,760 | |||||||||||
PREFERRED STOCKS - 3.6% | ||||||||||||
Banks - 2.2% | ||||||||||||
7,323 | Bank of America Corp., Series CC, 6.20% | 185,492 | ||||||||||
11,048 | Bank of America Corp., Series EE, 6.00%(b) | 276,200 | ||||||||||
2,595 | Bank of America Corp., Series W, 6.63% | 65,653 | ||||||||||
11,418 | Bank of America Corp., Series Y, 6.50% | 290,246 | ||||||||||
23,264 | BB&T Corp., Series E, 5.63% | 552,753 | ||||||||||
33,941 | Capital One Financial Corp., Series G, 5.20% | 738,217 | ||||||||||
20,237 | Citigroup, Inc., Series J, 7.13% | 541,340 | ||||||||||
7,807 | Citigroup, Inc., Series S, 6.30% | 197,205 | ||||||||||
14,596 | Goldman Sachs Group, Inc., Series D, 4.00% | 283,162 | ||||||||||
6,127 | JPMorgan Chase & Co., Series AA, 6.10% | 155,381 | ||||||||||
7,914 | JPMorgan Chase & Co., Series P, 5.45%(b) | 192,943 | ||||||||||
2,882 | JPMorgan Chase & Co., Series T, 6.70% | 73,030 | ||||||||||
11,610 | JPMorgan Chase & Co., Series Y, 6.13% | 291,875 | ||||||||||
4,281 | PNC Financial Services Group, Inc., 6.13% | 111,477 | ||||||||||
11,697 | State Street Corp., Class D, 5.90%(b) | 297,689 | ||||||||||
35,811 | State Street Corp., Class G, 5.35% | 870,207 | ||||||||||
30,445 | Webster Financial Corp., Series F, 5.25% | 656,090 | ||||||||||
21,305 | Wells Fargo & Co., Series X, 5.50% | 504,076 | ||||||||||
6,283,036 | ||||||||||||
Insurance - 0.4% | ||||||||||||
19,441 | Allstate Corp., Series G, 5.63%(b) | 470,472 | ||||||||||
25,436 | MetLife, Inc., Series E, 5.63%(b) | 613,516 | ||||||||||
1,083,988 | ||||||||||||
Metal Fabricate/Hardware - 0.0%^ | ||||||||||||
1,075 | Rexnord Corp., Series A, 5.75% | 64,102 | ||||||||||
Real Estate Investment Trusts - 0.4% | ||||||||||||
11,661 | AGNC Investment Corp., 7.00% | 298,988 | ||||||||||
29,329 | Annaly Capital Management, Inc., 6.95% | �� | 730,585 | |||||||||
1,029,573 |
See accompanying notes to financial statements.
29
Horizon Active Income Fund |
| Value | |||||||||||
Telecommunications - 0.6% | ||||||||||||
32,351 | AT&T, Inc., 5.35% | $ | 728,545 | |||||||||
22,376 | Qwest Corp., 6.75% | 492,272 | ||||||||||
22,574 | Qwest Corp., 6.50% | 468,636 | ||||||||||
1,689,453 | ||||||||||||
TOTAL PREFERRED STOCKS(Cost - $10,826,680) | 10,150,152 | |||||||||||
CONVERTIBLE PREFERRED STOCKS - 0.4% | ||||||||||||
Agriculture - 0.0%^ | ||||||||||||
1,013 | Bunge Ltd., 4.88%, Perpetually Convertible | 101,199 | ||||||||||
Hand/Machine Tools - 0.1% | ||||||||||||
1,534 | Stanley Black & Decker, Inc., 5.38%, May 15, 2020 | 150,332 | ||||||||||
Healthcare Products - 0.3% | ||||||||||||
15,030 | Becton Dickinson & Co., Series A, 6.13%, May 1, 2020 | 949,445 | ||||||||||
TOTAL CONVERTIBLE PREFERRED STOCKS(Cost - $1,163,036) | 1,200,976 | |||||||||||
Contracts | Notional | |||||||||||
PURCHASED OPTIONS - 0.0%*^ | ||||||||||||
PURCHASED PUT OPTIONS - 0.0%^ | ||||||||||||
iShares iBoxx $ Investment Grade Corporate Bond ETF | ||||||||||||
1,500 | Expiration: February 2019, Exercise Price $110** | $ | 16,719,000 | 101,250 | ||||||||
TOTAL PURCHASED PUT OPTIONS(Cost - $110,316) | 101,250 | |||||||||||
TOTAL PURCHASED OPTIONS(Cost - $110,316) | 101,250 | |||||||||||
Shares | ||||||||||||
SHORT-TERM INVESTMENTS - 1.5% | ||||||||||||
Money Market Funds - 1.5% | ||||||||||||
4,316,777 | Invesco Treasury Portfolio - Short-Term Investments Trust - Institutional Class, 2.12% + | 4,316,777 | ||||||||||
TOTAL SHORT-TERM INVESTMENTS(Cost - $4,316,777) | 4,316,777 |
See accompanying notes to financial statements.
30
Horizon Active Income Fund |
| Value | |||||||||||
INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING - 2.9% | ||||||||||||
Money Market Funds - 2.9% | ||||||||||||
8,229,725 | First American Government Obligations Fund, Class Z, 2.08% + | $ | 8,229,725 | |||||||||
TOTAL INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING(Cost - $8,229,725) | 8,229,725 | |||||||||||
TOTAL INVESTMENTS - 102.9% (Cost - $298,286,051) | 293,279,640 | |||||||||||
Liabilities In Excess Of Other Assets - (2.9)% | (8,212,970 | ) | ||||||||||
NET ASSETS - 100.0% | $ | 285,066,670 | ||||||||||
| Notional | |||||||||||
SCHEDULE OF WRITTEN OPTIONS - 0.0%*^ | ||||||||||||
SCHEDULE OF WRITTEN CALL OPTIONS - 0.0%^ | ||||||||||||
iShares iBoxx High Yield Corporate Bond ETF | ||||||||||||
2,000 | Expiration: February 2019, Exercise Price $84** | $ | 16,720,000 | $ | 94,000 | |||||||
TOTAL WRITTEN CALL OPTIONS(Premiums Received - $58,916) | 94,000 | |||||||||||
TOTAL WRITTEN OPTIONS (Premiums Received - $58,916) | $ | 94,000 |
Percentages are stated as a percent of net assets.
* | Each Option is exercisable into 100 shares of the underlying security. |
** | Non-income producing security. |
+ | Money Market Fund; rate reflects seven-day yield on November 30, 2018. |
^ | Less than 0.1%. |
(a) | All or a portion of the security is segregated as collateral for written options. The value of the security segregated as collateral for written options is $15,091,200. |
(b) | All or a portion of this security is out on loan as of November 30, 2018. |
(c) | Affiliated Security. Please refer to Note 9 of the Notes to Financial Statements. |
See accompanying notes to financial statements.
31
Horizon Active Dividend Fund |
Shares |
| |||||||||||
COMMON STOCKS - 96.7% | ||||||||||||
Banks - 15.1% | ||||||||||||
50,533 | BNP Paribas SA - ADR | $ | 1,274,189 | |||||||||
23,968 | Citigroup, Inc. | 1,552,887 | ||||||||||
137,086 | Nordea Bank Abp | 1,215,953 | ||||||||||
11,274 | PNC Financial Services Group, Inc. | 1,530,784 | ||||||||||
16,998 | SunTrust Banks, Inc. | 1,065,604 | ||||||||||
21,480 | Zions Bancorp NA | 1,045,217 | ||||||||||
7,684,634 | ||||||||||||
Building Materials - 2.9% | ||||||||||||
42,781 | Johnson Controls International PLC | 1,487,923 | ||||||||||
Chemicals - 5.3% | ||||||||||||
19,887 | DowDuPont, Inc. | 1,150,463 | ||||||||||
29,809 | Nutrien Ltd. | 1,536,952 | ||||||||||
2,687,415 | ||||||||||||
Commercial Services - 1.3% | ||||||||||||
24,308 | H&R Block, Inc. | 656,559 | ||||||||||
Computers - 4.9% | ||||||||||||
9,715 | International Business Machines Corp. | 1,207,283 | ||||||||||
28,007 | Western Digital Corp. | 1,271,238 | ||||||||||
2,478,521 | ||||||||||||
Electric - 4.1% | ||||||||||||
14,309 | Dominion Energy, Inc. | 1,066,021 | ||||||||||
11,752 | Entergy Corp. | 1,023,129 | ||||||||||
2,089,150 | ||||||||||||
Entertainment - 0.8% | ||||||||||||
22,070 | International Game Technology PLC | 379,825 | ||||||||||
Food - 6.9% | ||||||||||||
46,943 | Conagra Brands, Inc. | 1,518,137 | ||||||||||
18,714 | General Mills, Inc. | 791,789 | ||||||||||
11,604 | J.M. Smucker Co. | 1,212,734 | ||||||||||
3,522,660 | ||||||||||||
Home Furnishings - 2.8% | ||||||||||||
11,141 | Whirlpool Corp. | 1,405,214 | ||||||||||
Insurance - 4.7% | ||||||||||||
28,071 | MetLife, Inc. | 1,252,809 | ||||||||||
12,158 | Prudential Financial, Inc. | 1,139,934 | ||||||||||
2,392,743 |
See accompanying notes to financial statements.
32
Horizon Active Dividend Fund |
Shares |
| |||||||||||
Machinery -Construction & Mining - 3.0% | ||||||||||||
74,108 | ABB Ltd. - ADR | $ | 1,502,910 | |||||||||
Mining - 2.9% | ||||||||||||
38,549 | BHP Billiton PLC - ADR | 1,490,304 | ||||||||||
Miscellaneous Manufacturing - 3.3% | ||||||||||||
8,077 | 3M Co. | 1,679,370 | ||||||||||
Oil & Gas - 8.0% | ||||||||||||
20,754 | BP PLC - ADR | 837,424 | ||||||||||
47,783 | Repsol SA - ADR | 820,434 | ||||||||||
25,328 | Royal Dutch Shell PLC - ADR | 1,571,096 | ||||||||||
25,468 | Suncor Energy, Inc. | 822,362 | ||||||||||
4,051,316 | ||||||||||||
Oil & Gas Services - 1.7% | ||||||||||||
36,728 | Baker Hughes & GE Co., Class A | 838,133 | ||||||||||
Pharmaceuticals - 4.9% | ||||||||||||
8,562 | Allergan PLC | 1,340,809 | ||||||||||
35,053 | Roche Holding AG - ADR | 1,136,769 | ||||||||||
2,477,578 | ||||||||||||
Real Estate Investment Trusts - 6.1% | ||||||||||||
22,218 | Prologis, Inc. | 1,496,160 | ||||||||||
128,661 | SITE Centers Corp. | 1,600,543 | ||||||||||
3,096,703 | ||||||||||||
Retail - 6.5% | ||||||||||||
118,889 | Bed Bath & Beyond, Inc.(a) | 1,531,290 | ||||||||||
10,813 | Lowe's Cos., Inc. | 1,020,423 | ||||||||||
19,285 | Tapestry, Inc. | 750,765 | ||||||||||
3,302,478 | ||||||||||||
Semiconductors - 9.0% | ||||||||||||
31,246 | Applied Materials, Inc. | 1,164,851 | ||||||||||
22,787 | Intel Corp. | 1,123,627 | ||||||||||
7,292 | Lam Research Corp. | 1,144,552 | ||||||||||
11,226 | Texas Instruments, Inc. | 1,120,916 | ||||||||||
4,553,946 | ||||||||||||
Transportation - 2.5% | ||||||||||||
40,393 | Deutsche Post AG - ADR | 1,290,152 | ||||||||||
TOTAL COMMON STOCKS (Cost - $50,370,511) | 49,067,534 |
See accompanying notes to financial statements.
33
Horizon Active Dividend Fund |
Contracts | Notional |
| ||||||||||
PURCHASED OPTIONS - 0.0%*^ | ||||||||||||
PURCHASED PUT OPTIONS - 0.0%^ | ||||||||||||
Technology Select Sector SPDR Fund(b) | ||||||||||||
130 | Expiration: December 2018, Exercise Price $67** | $ | 883,220 | $ | 16,705 | |||||||
TOTAL PURCHASED PUT OPTIONS(Cost - $20,515) | 16,705 | |||||||||||
TOTAL PURCHASED OPTIONS (Cost - $20,515) | 16,705 | |||||||||||
Shares | ||||||||||||
SHORT-TERM INVESTMENTS - 3.1% | ||||||||||||
Money Market Funds - 3.1% | ||||||||||||
1,583,051 | Invesco Treasury Portfolio - Short-Term Investments Trust - Institutional Class, 2.12% + | 1,583,051 | ||||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost - $1,583,051) | 1,583,051 | |||||||||||
INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING - 0.1% | ||||||||||||
Money Market Funds - 0.1% | ||||||||||||
70,364 | First American Government Obligations Fund, Class Z, 2.08% + | 70,364 | ||||||||||
TOTAL INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING (Cost - $70,364) | 70,364 | |||||||||||
TOTAL INVESTMENTS - 99.9%(Cost - $52,044,441) | 50,737,654 | |||||||||||
Other Assets In Excess Of Liabilities - 0.1% | 63,517 | |||||||||||
NET ASSETS - 100.0% | $ | 50,801,171 | ||||||||||
Contracts | ||||||||||||
SCHEDULE OF WRITTEN OPTIONS - 0.0%*^ | ||||||||||||
SCHEDULE OF WRITTEN PUT OPTIONS - 0.0%^ | ||||||||||||
Technology Select Sector SPDR Fund | ||||||||||||
130 | Expiration: December 2018, Exercise Price $61** | $ | 883,220 | $ | 3,640 | |||||||
TOTAL WRITTEN PUT OPTIONS (Premiums Received - $2,726) | 3,640 | |||||||||||
TOTAL WRITTEN OPTIONS (Premiums Received - $2,726) | $ | 3,640 |
Percentages are stated as a percent of net assets.
ADR - American Depositary Receipt
* | Each Option is exercisable into 100 shares of the underlying security. |
** | Non-income producing security. |
+ | Money Market Fund; rate reflects seven-day yield on November 30, 2018. |
^ | Less than 0.1%. |
(a) | All or a portion of this security is out on loan as of November 30, 2018. |
(b) | Held in connection with a written option, see Schedule of Written Options for more details. |
See accompanying notes to financial statements.
34
Horizon Defined Risk Fund |
Shares |
| |||||||||||
COMMON STOCKS - 98.0% | ||||||||||||
Aerospace/Defense - 2.5% | ||||||||||||
365 | Boeing Co. | $ | 126,568 | |||||||||
190 | General Dynamics Corp. | 35,129 | ||||||||||
75 | Harris Corp. | 10,721 | ||||||||||
182 | Lockheed Martin Corp. | 54,678 | ||||||||||
111 | Northrop Grumman Corp. | 28,847 | ||||||||||
182 | Raytheon Co. | 31,912 | ||||||||||
33 | TransDigm Group, Inc.** | 11,935 | ||||||||||
663 | United Technologies Corp. | 80,737 | ||||||||||
380,527 | ||||||||||||
Agriculture - 1.1% | ||||||||||||
1,211 | Altria Group, Inc. | 66,399 | ||||||||||
360 | Archer-Daniels-Midland Co. | 16,567 | ||||||||||
1,005 | Philip Morris International, Inc. | 86,963 | ||||||||||
169,929 | ||||||||||||
Airlines - 0.5% | ||||||||||||
295 | American Airlines Group, Inc. | 11,847 | ||||||||||
442 | Delta Air Lines, Inc. | 26,834 | ||||||||||
360 | Southwest Airlines Co. | 19,659 | ||||||||||
174 | United Continental Holdings, Inc.** | 16,826 | ||||||||||
75,166 | ||||||||||||
Apparel - 0.6% | ||||||||||||
1,023 | Nike, Inc., Class B | 76,848 | ||||||||||
256 | VF Corp. | 20,810 | ||||||||||
97,658 | ||||||||||||
Auto Manufacturers - 0.5% | ||||||||||||
2,565 | Ford Motor Co. | 24,137 | ||||||||||
909 | General Motors Co. | 34,497 | ||||||||||
225 | PACCAR, Inc. | 13,999 | ||||||||||
72,633 | ||||||||||||
Auto Parts & Equipment - 0.1% | ||||||||||||
170 | Aptiv PLC | 12,223 | ||||||||||
Banks - 6.8% | ||||||||||||
6,301 | Bank of America Corp. | 178,948 | ||||||||||
636 | Bank of New York Mellon Corp. | 32,633 | ||||||||||
493 | BB&T Corp. | 25,192 | ||||||||||
304 | Capital One Financial Corp. | 27,263 | ||||||||||
1,567 | Citigroup, Inc. | 101,526 | ||||||||||
303 | Citizens Financial Group, Inc. | 11,017 | ||||||||||
103 | Comerica, Inc. | 8,156 |
See accompanying notes to financial statements.
35
Horizon Defined Risk Fund |
Shares |
| |||||||||||
424 | Fifth Third Bancorp | $ | 11,842 | |||||||||
248 | Goldman Sachs Group, Inc. | 47,291 | ||||||||||
682 | Huntington Bancshares, Inc. | 9,950 | ||||||||||
2,136 | JPMorgan Chase & Co.(a) | 237,502 | ||||||||||
663 | KeyCorp | 12,159 | ||||||||||
88 | M&T Bank Corp. | 14,873 | ||||||||||
1,105 | Morgan Stanley | 49,051 | ||||||||||
141 | Northern Trust Corp. | 13,992 | ||||||||||
295 | PNC Financial Services Group, Inc. | 40,055 | ||||||||||
707 | Regions Financial Corp. | 11,630 | ||||||||||
245 | State Street Corp. | 17,890 | ||||||||||
288 | SunTrust Banks, Inc. | 18,055 | ||||||||||
3,028 | Wells Fargo & Co.(a) | 164,360 | ||||||||||
1,033,385 | ||||||||||||
Beverages - 2.0% | ||||||||||||
2,749 | Coca-Cola Co. | 138,550 | ||||||||||
121 | Constellation Brands, Inc., Class A | 23,687 | ||||||||||
356 | Monster Beverage Corp.** | 21,246 | ||||||||||
912 | PepsiCo, Inc. | 111,209 | ||||||||||
294,692 | ||||||||||||
Biotechnology - 2.2% | ||||||||||||
143 | Alexion Pharmaceuticals, Inc.** | 17,610 | ||||||||||
410 | Amgen, Inc. | 85,383 | ||||||||||
129 | Biogen, Inc.** | 43,050 | ||||||||||
449 | Celgene Corp.** | 32,427 | ||||||||||
834 | Gilead Sciences, Inc. | 59,998 | ||||||||||
94 | Illumina, Inc.** | 31,725 | ||||||||||
68 | Regeneron Pharmaceuticals, Inc.** | 24,864 | ||||||||||
165 | Vertex Pharmaceuticals, Inc.** | 29,830 | ||||||||||
324,887 | ||||||||||||
Building Materials - 0.2% | ||||||||||||
596 | Johnson Controls International PLC | 20,729 | ||||||||||
39 | Martin Marietta Materials, Inc. | 7,437 | ||||||||||
84 | Vulcan Materials Co. | 8,879 | ||||||||||
37,045 | ||||||||||||
Chemicals - 1.8% | ||||||||||||
142 | Air Products & Chemicals, Inc. | 22,843 | ||||||||||
69 | Albemarle Corp. | 6,646 | ||||||||||
148 | CF Industries Holdings, Inc. | 6,244 | ||||||||||
1,473 | DowDuPont, Inc. | 85,213 | ||||||||||
88 | Eastman Chemical Co. | 6,936 | ||||||||||
86 | FMC Corp. | 7,116 | ||||||||||
68 | International Flavors & Fragrances, Inc. | 9,631 |
See accompanying notes to financial statements.
36
Horizon Defined Risk Fund |
Shares |
| |||||||||||
355 | Linde PLC** | $ | 56,463 | |||||||||
248 | LyondellBasell Industries NV, Class A | 23,141 | ||||||||||
246 | Mosaic Co. | 8,856 | ||||||||||
154 | PPG Industries, Inc. | 16,837 | ||||||||||
60 | Sherwin-Williams Co. | 25,444 | ||||||||||
275,370 | ||||||||||||
Commercial Services - 1.8% | ||||||||||||
282 | Automatic Data Processing, Inc. | 41,572 | ||||||||||
68 | Cintas Corp. | 12,742 | ||||||||||
186 | Ecolab, Inc. | 29,851 | ||||||||||
76 | Equifax, Inc. | 7,803 | ||||||||||
56 | FleetCor Technologies, Inc.** | 10,830 | ||||||||||
101 | Global Payments, Inc. | 11,293 | ||||||||||
252 | IHS Markit Ltd.** | 13,449 | ||||||||||
121 | Moody's Corp. | 19,248 | ||||||||||
756 | PayPal Holdings, Inc.** | 64,872 | ||||||||||
140 | Rollins, Inc. | 8,898 | ||||||||||
161 | S&P Global, Inc. | 29,441 | ||||||||||
116 | Total System Services, Inc. | 10,135 | ||||||||||
105 | Verisk Analytics, Inc.** | 12,949 | ||||||||||
273,083 | ||||||||||||
Computers - 5.1% | ||||||||||||
410 | Accenture PLC, Class A | 67,453 | ||||||||||
3,045 | Apple, Inc. | 543,776 | ||||||||||
372 | Cognizant Technology Solutions Corp., Class A | 26,498 | ||||||||||
180 | DXC Technology Co. | 11,347 | ||||||||||
952 | Hewlett Packard Enterprise Co. | 14,280 | ||||||||||
1,017 | HP, Inc. | 23,391 | ||||||||||
585 | International Business Machines Corp. | 72,698 | ||||||||||
167 | NetApp, Inc. | 11,167 | ||||||||||
770,610 | ||||||||||||
Cosmetics/Personal Care - 1.5% | ||||||||||||
559 | Colgate-Palmolive Co. | 35,508 | ||||||||||
235 | Estee Lauder Cos., Inc., Class A | 33,525 | ||||||||||
1,604 | Procter & Gamble Co. | 151,594 | ||||||||||
220,627 | ||||||||||||
Distribution/Wholesale - 0.2% | ||||||||||||
150 | Copart, Inc.** | 7,677 | ||||||||||
184 | Fastenal Co. | 10,904 | ||||||||||
35 | WW Grainger, Inc. | 10,991 | ||||||||||
29,572 |
See accompanying notes to financial statements.
37
Horizon Defined Risk Fund |
Shares |
| |||||||||||
Diversified Financial Services - 4.0% | ||||||||||||
548 | American Express Co. | $ | 61,524 | |||||||||
87 | Ameriprise Financial, Inc. | 11,288 | ||||||||||
104 | BlackRock, Inc.(a) | 44,513 | ||||||||||
871 | Charles Schwab Corp. | 39,021 | ||||||||||
232 | CME Group, Inc. | 44,099 | ||||||||||
214 | Discover Financial Services | 15,258 | ||||||||||
334 | Franklin Resources, Inc. | 11,319 | ||||||||||
369 | Intercontinental Exchange, Inc. | 30,155 | ||||||||||
662 | MasterCard, Inc., Class A | 133,108 | ||||||||||
105 | Nasdaq, Inc. | 9,589 | ||||||||||
463 | Synchrony Financial | 12,029 | ||||||||||
154 | T. Rowe Price Group, Inc. | 15,301 | ||||||||||
1,299 | Visa, Inc., Class A(a) | 184,081 | ||||||||||
611,285 | ||||||||||||
Electric - 2.9% | ||||||||||||
155 | Ameren Corp. | 10,636 | ||||||||||
317 | American Electric Power Co., Inc. | 24,644 | ||||||||||
322 | CenterPoint Energy, Inc. | 9,019 | ||||||||||
181 | CMS Energy Corp. | 9,428 | ||||||||||
201 | Consolidated Edison, Inc. | 16,150 | ||||||||||
421 | Dominion Energy, Inc. | 31,365 | ||||||||||
116 | DTE Energy Co. | 13,890 | ||||||||||
459 | Duke Energy Corp. | 40,654 | ||||||||||
209 | Edison International | 11,562 | ||||||||||
115 | Entergy Corp. | 10,012 | ||||||||||
173 | Evergy, Inc. | 10,271 | ||||||||||
203 | Eversource Energy | 13,873 | ||||||||||
623 | Exelon Corp. | 28,901 | ||||||||||
328 | FirstEnergy Corp. | 12,408 | ||||||||||
307 | NextEra Energy, Inc. | 55,785 | ||||||||||
194 | NRG Energy, Inc. | 7,455 | ||||||||||
336 | PG&E Corp.** | 8,864 | ||||||||||
464 | PPL Corp. | 14,194 | ||||||||||
326 | Public Service Enterprise Group, Inc. | 18,223 | ||||||||||
175 | Sempra Energy | 20,164 | ||||||||||
653 | Southern Co. | 30,906 | ||||||||||
202 | WEC Energy Group, Inc. | 14,641 | ||||||||||
331 | Xcel Energy, Inc. | 17,361 | ||||||||||
430,406 |
See accompanying notes to financial statements.
38
Horizon Defined Risk Fund |
Shares |
| |||||||||||
Electrical Components & Equipment - 0.3% | ||||||||||||
148 | AMETEK, Inc. | $ | 10,868 | |||||||||
404 | Emerson Electric Co. | 27,278 | ||||||||||
38,146 | ||||||||||||
Electronics - 1.1% | ||||||||||||
205 | Agilent Technologies, Inc. | 14,832 | ||||||||||
193 | Amphenol Corp., Class A | 16,972 | ||||||||||
513 | Corning, Inc. | 16,529 | ||||||||||
214 | Fortive Corp. | 16,279 | ||||||||||
126 | Garmin Ltd. | 8,399 | ||||||||||
476 | Honeywell International, Inc. | 69,853 | ||||||||||
222 | TE Connectivity Ltd. | 17,079 | ||||||||||
48 | Waters Corp.** | 9,532 | ||||||||||
169,475 | ||||||||||||
Engineering & Construction - 0.0%^ | ||||||||||||
92 | Jacobs Engineering Group, Inc. | 6,042 | ||||||||||
Environmental Control - 0.3% | ||||||||||||
208 | Republic Services, Inc. | 16,087 | ||||||||||
275 | Waste Management, Inc. | 25,781 | ||||||||||
41,868 | ||||||||||||
Food - 1.2% | ||||||||||||
384 | General Mills, Inc. | 16,247 | ||||||||||
134 | Hershey Co. | 14,512 | ||||||||||
344 | Hormel Foods Corp. | 15,511 | �� | |||||||||
222 | Kellogg Co. | 14,131 | ||||||||||
790 | Kraft Heinz Co. | 40,385 | ||||||||||
938 | Mondelez International, Inc., Class A | 42,191 | ||||||||||
335 | Sysco Corp. | 22,579 | ||||||||||
255 | Tyson Foods, Inc., Class A | 15,032 | ||||||||||
180,588 | ||||||||||||
Forest Products & Paper - 0.1% | ||||||||||||
259 | International Paper Co. | 11,963 | ||||||||||
Hand/Machine Tools - 0.1% | ||||||||||||
97 | Stanley Black & Decker, Inc. | 12,692 | ||||||||||
Healthcare Products - 3.4% | ||||||||||||
1,128 | Abbott Laboratories | 83,528 | ||||||||||
27 | ABIOMED, Inc.** | 8,982 | ||||||||||
50 | Align Technology, Inc.** | 11,494 | ||||||||||
341 | Baxter International, Inc. | 23,376 | ||||||||||
169 | Becton Dickinson & Co. | 42,715 |
See accompanying notes to financial statements.
39
Horizon Defined Risk Fund |
Shares |
| |||||||||||
450 | Danaher Corp. | $ | 49,293 | |||||||||
133 | Edwards Lifesciences Corp.** | 21,547 | ||||||||||
54 | IDEXX Laboratories, Inc.** | 11,003 | ||||||||||
73 | Intuitive Surgical, Inc.** | 38,754 | ||||||||||
870 | Medtronic PLC | 84,851 | ||||||||||
89 | ResMed, Inc. | 9,949 | ||||||||||
241 | Stryker Corp. | 42,286 | ||||||||||
258 | Thermo Fisher Scientific, Inc. | 64,384 | ||||||||||
129 | Zimmer Biomet Holdings, Inc. | 15,096 | ||||||||||
507,258 | ||||||||||||
Healthcare Services - 2.4% | ||||||||||||
166 | Anthem, Inc. | 48,152 | ||||||||||
130 | Centene Corp.** | 18,493 | ||||||||||
156 | Cigna Corp. | 34,847 | ||||||||||
221 | HCA Healthcare, Inc. | 31,822 | ||||||||||
88 | Humana, Inc. | 28,993 | ||||||||||
128 | IQVIA Holdings, Inc.** | 16,009 | ||||||||||
63 | Laboratory Corp. of America Holdings** | 9,175 | ||||||||||
617 | UnitedHealth Group, Inc.(a) | 173,599 | ||||||||||
361,090 | ||||||||||||
Home Builders - 0.1% | ||||||||||||
242 | DR Horton, Inc. | 9,007 | ||||||||||
207 | Lennar Corp., Class A | 8,845 | ||||||||||
17,852 | ||||||||||||
Household Products/Wares - 0.2% | ||||||||||||
221 | Kimberly-Clark Corp. | 25,497 | ||||||||||
Insurance - 4.4% | ||||||||||||
489 | Aflac, Inc. | 22,367 | ||||||||||
221 | Allstate Corp. | 19,711 | ||||||||||
566 | American International Group, Inc. | 24,479 | ||||||||||
154 | Aon PLC, Class A | 25,427 | ||||||||||
117 | Arthur J Gallagher & Co. | 9,017 | ||||||||||
1,588 | Berkshire Hathaway, Inc., Class B**(a) | 346,565 | ||||||||||
296 | Chubb Ltd. | 39,587 | ||||||||||
230 | Hartford Financial Services Group, Inc. | 10,164 | ||||||||||
136 | Lincoln National Corp. | 8,564 | ||||||||||
202 | Loews Corp. | 9,708 | ||||||||||
324 | Marsh & McLennan Cos., Inc. | 28,739 | ||||||||||
635 | MetLife, Inc. | 28,340 | ||||||||||
180 | Principal Financial Group, Inc. | 8,877 | ||||||||||
375 | Progressive Corp. | 24,859 | ||||||||||
267 | Prudential Financial, Inc. | 25,034 |
See accompanying notes to financial statements.
40
Horizon Defined Risk Fund |
Shares |
| |||||||||||
170 | Travelers Cos., Inc. | $ | 22,163 | |||||||||
82 | Willis Towers Watson PLC | 13,075 | ||||||||||
666,676 | ||||||||||||
Internet - 9.8% | ||||||||||||
443 | Alphabet, Inc., Class A**(a) | 491,575 | ||||||||||
313 | Amazon.com, Inc.**(a) | 529,023 | ||||||||||
29 | Booking Holdings, Inc.** | 54,865 | ||||||||||
620 | eBay, Inc.** | 18,507 | ||||||||||
95 | Expedia Group, Inc. | 11,475 | ||||||||||
1,856 | Facebook, Inc., Class A**(a) | 260,972 | ||||||||||
280 | Netflix, Inc.** | 80,116 | ||||||||||
488 | Twitter, Inc.** | 15,348 | ||||||||||
77 | VeriSign, Inc.** | 12,017 | ||||||||||
1,473,898 | ||||||||||||
Iron/Steel - 0.1% | ||||||||||||
203 | Nucor Corp. | 12,263 | ||||||||||
Leisure Time - 0.3% | ||||||||||||
446 | Carnival Corp. | 26,889 | ||||||||||
134 | Royal Caribbean Cruises Ltd. | 15,152 | ||||||||||
42,041 | ||||||||||||
Lodging - 0.4% | ||||||||||||
192 | Hilton Worldwide Holdings, Inc. | 14,504 | ||||||||||
224 | Marriott International, Inc., Class A | 25,767 | ||||||||||
342 | MGM Resorts International | 9,220 | ||||||||||
69 | Wynn Resorts Ltd. | 7,548 | ||||||||||
57,039 | ||||||||||||
Machinery - Construction & Mining - 0.3% | ||||||||||||
380 | Caterpillar, Inc. | 51,555 | ||||||||||
Machinery - Diversified - 0.6% | ||||||||||||
104 | Cummins, Inc. | 15,710 | ||||||||||
207 | Deere & Co. | 32,060 | ||||||||||
93 | Dover Corp. | 7,895 | ||||||||||
78 | Rockwell Automation, Inc. | 13,598 | ||||||||||
67 | Roper Technologies, Inc. | 19,939 | ||||||||||
114 | Xylem, Inc. | 8,320 | ||||||||||
97,522 | ||||||||||||
Media - 2.2% | ||||||||||||
165 | Charter Communications, Inc., Class A** | 54,318 | ||||||||||
2,940 | Comcast Corp., Class A | 114,689 |
See accompanying notes to financial statements.
41
Horizon Defined Risk Fund |
Shares |
| |||||||||||
1,197 | Twenty-First Century Fox, Inc., Class B | $ | 58,689 | |||||||||
953 | Walt Disney Co. | 110,062 | ||||||||||
337,758 | ||||||||||||
Mining - 0.1% | ||||||||||||
937 | Freeport-McMoRan, Inc. | 11,188 | ||||||||||
341 | Newmont Mining Corp. | 11,028 | ||||||||||
22,216 | ||||||||||||
Miscellaneous Manufacturing - 1.4% | ||||||||||||
375 | 3M Co. | 77,970 | ||||||||||
279 | Eaton Corp PLC | 21,466 | ||||||||||
5,580 | General Electric Co. | 41,850 | ||||||||||
213 | Illinois Tool Works, Inc. | 29,618 | ||||||||||
157 | Ingersoll-Rand PLC | 16,253 | ||||||||||
84 | Parker-Hannifin Corp. | 14,451 | ||||||||||
155 | Textron, Inc. | 8,702 | ||||||||||
210,310 | ||||||||||||
Oil & Gas - 4.4% | ||||||||||||
324 | Anadarko Petroleum Corp. | 17,140 | ||||||||||
243 | Apache Corp. | 8,536 | ||||||||||
1,234 | Chevron Corp.(a) | 146,772 | ||||||||||
126 | Concho Resources, Inc.** | 16,423 | ||||||||||
741 | ConocoPhillips | 49,039 | ||||||||||
327 | Devon Energy Corp. | 8,839 | ||||||||||
373 | EOG Resources, Inc. | 38,535 | ||||||||||
2,726 | Exxon Mobil Corp.(a) | 216,717 | ||||||||||
192 | Hess Corp. | 10,347 | ||||||||||
550 | Marathon Oil Corp. | 9,179 | ||||||||||
445 | Marathon Petroleum Corp. | 28,996 | ||||||||||
308 | Noble Energy, Inc. | 7,312 | ||||||||||
484 | Occidental Petroleum Corp. | 34,011 | ||||||||||
296 | Phillips 66 | 27,682 | ||||||||||
109 | Pioneer Natural Resources Co. | 16,105 | ||||||||||
276 | Valero Energy Corp. | 22,052 | ||||||||||
657,685 | ||||||||||||
Oil & Gas Services - 0.5% | ||||||||||||
710 | Baker Hughes & GE Co., Class A | 16,202 | ||||||||||
564 | Halliburton Co. | 17,727 | ||||||||||
245 | National Oilwell Varco, Inc. | 7,867 | ||||||||||
893 | Schlumberger Ltd. | 40,274 | ||||||||||
82,070 |
See accompanying notes to financial statements.
42
Horizon Defined Risk Fund |
Shares |
| |||||||||||
Packaging & Containers - 0.1% | ||||||||||||
217 | Ball Corp. | $ | 10,657 | |||||||||
165 | Westrock Co. | 7,773 | ||||||||||
18,430 | ||||||||||||
Pharmaceuticals - 6.3% | ||||||||||||
979 | AbbVie, Inc. | 92,290 | ||||||||||
216 | Allergan PLC | 33,826 | ||||||||||
1,056 | Bristol-Myers Squibb Co. | 56,454 | ||||||||||
191 | Cardinal Health, Inc. | 10,473 | ||||||||||
657 | CVS Health Corp. | 52,691 | ||||||||||
683 | Eli Lilly & Co. | 81,031 | ||||||||||
1,727 | Johnson & Johnson(a) | 253,696 | ||||||||||
124 | McKesson Corp. | 15,438 | ||||||||||
1,711 | Merck & Co., Inc. | 135,751 | ||||||||||
328 | Mylan NV** | 11,106 | ||||||||||
3,775 | Pfizer, Inc. | 174,518 | ||||||||||
309 | Zoetis, Inc., Class A | 29,006 | ||||||||||
946,280 | ||||||||||||
Pipelines - 0.4% | ||||||||||||
1,423 | Kinder Morgan, Inc. | 24,291 | ||||||||||
264 | ONEOK, Inc. | 16,217 | ||||||||||
780 | Williams Cos., Inc. | 19,750 | ||||||||||
60,258 | ||||||||||||
Real Estate - 0.1% | ||||||||||||
218 | CBRE Group, Inc., Class A** | 9,522 | ||||||||||
Real Estate Investment Trusts - 2.6% | ||||||||||||
68 | Alexandria Real Estate Equities, Inc. | 8,466 | ||||||||||
284 | American Tower Corp. | 46,715 | ||||||||||
88 | AvalonBay Communities, Inc. | 16,770 | ||||||||||
98 | Boston Properties, Inc. | 12,858 | ||||||||||
267 | Crown Castle International Corp. | 30,678 | ||||||||||
139 | Digital Realty Trust, Inc. | 15,991 | ||||||||||
52 | Equinix, Inc. | 20,035 | ||||||||||
237 | Equity Residential | 16,886 | ||||||||||
41 | Essex Property Trust, Inc. | 10,763 | ||||||||||
81 | Extra Space Storage, Inc. | 7,774 | ||||||||||
302 | HCP, Inc. | 8,837 | ||||||||||
479 | Host Hotels & Resorts, Inc. | 9,101 | ||||||||||
74 | Mid-America Apartment Communities, Inc. | 7,664 | ||||||||||
404 | Prologis, Inc. | 27,205 | ||||||||||
112 | Public Storage | 23,885 | ||||||||||
189 | Realty Income Corp. | 12,113 |
See accompanying notes to financial statements.
43
Horizon Defined Risk Fund |
Shares |
| |||||||||||
115 | Regency Centers Corp. | $ | 7,321 | |||||||||
72 | SBA Communications Corp.** | 12,298 | ||||||||||
199 | Simon Property Group, Inc. | 36,952 | ||||||||||
184 | UDR, Inc. | 7,842 | ||||||||||
227 | Ventas, Inc. | 14,412 | ||||||||||
121 | Vornado Realty Trust | 8,707 | ||||||||||
241 | Welltower, Inc. | 17,432 | ||||||||||
483 | Weyerhaeuser Co. | 12,756 | ||||||||||
393,461 | ||||||||||||
Retail - 6.0% | ||||||||||||
47 | Advance Auto Parts, Inc. | 8,352 | ||||||||||
15 | AutoZone, Inc.** | 12,136 | ||||||||||
176 | Best Buy Co., Inc. | 11,368 | ||||||||||
111 | CarMax, Inc.** | 7,334 | ||||||||||
16 | Chipotle Mexican Grill, Inc.** | 7,571 | ||||||||||
283 | Costco Wholesale Corp. | 65,452 | ||||||||||
78 | Darden Restaurants, Inc. | 8,622 | ||||||||||
171 | Dollar General Corp. | 18,979 | ||||||||||
153 | Dollar Tree, Inc.** | 13,276 | ||||||||||
93 | Genuine Parts Co. | 9,645 | ||||||||||
737 | Home Depot, Inc. | 132,896 | ||||||||||
107 | Kohl's Corp. | 7,187 | ||||||||||
520 | Lowe's Cos., Inc. | 49,073 | ||||||||||
202 | Macy's, Inc. | 6,913 | ||||||||||
494 | McDonald's Corp. | 93,124 | ||||||||||
109 | Nordstrom, Inc. | 5,763 | ||||||||||
51 | O'Reilly Automotive, Inc.** | 17,686 | ||||||||||
242 | Ross Stores, Inc. | 21,199 | ||||||||||
843 | Starbucks Corp. | 56,245 | ||||||||||
185 | Tapestry, Inc. | 7,202 | ||||||||||
340 | Target Corp. | 24,126 | ||||||||||
77 | Tiffany & Co. | 7,007 | ||||||||||
803 | TJX Cos., Inc. | 39,227 | ||||||||||
78 | Tractor Supply Co. | 7,420 | ||||||||||
37 | Ulta Beauty, Inc.** | 11,018 | ||||||||||
611 | Walgreens Boots Alliance, Inc. | 51,733 | ||||||||||
1,892 | Walmart, Inc.(a) | 184,754 | ||||||||||
201 | Yum! Brands, Inc. | 18,536 | ||||||||||
903,844 | ||||||||||||
Semiconductors - 3.5% | ||||||||||||
638 | Advanced Micro Devices, Inc.** | 13,590 | ||||||||||
239 | Analog Devices, Inc. | 21,969 | ||||||||||
635 | Applied Materials, Inc. | 23,673 | ||||||||||
265 | Broadcom, Inc. | 62,914 |
See accompanying notes to financial statements.
44
Horizon Defined Risk Fund |
Shares |
| |||||||||||
2,956 | Intel Corp.(a) | $ | 145,760 | |||||||||
100 | Lam Research Corp. | 15,696 | ||||||||||
151 | Microchip Technology, Inc.(b) | 11,325 | ||||||||||
731 | Micron Technology, Inc.** | 28,187 | ||||||||||
389 | NVIDIA Corp. | 63,574 | ||||||||||
950 | QUALCOMM, Inc. | 55,347 | ||||||||||
115 | Skyworks Solutions, Inc. | 8,369 | ||||||||||
619 | Texas Instruments, Inc. | 61,807 | ||||||||||
161 | Xilinx, Inc. | 14,889 | ||||||||||
527,100 | ||||||||||||
Software - 6.5% | ||||||||||||
489 | Activision Blizzard, Inc. | 24,391 | ||||||||||
313 | Adobe, Inc.** | 78,529 | ||||||||||
140 | Autodesk, Inc.** | 20,230 | ||||||||||
211 | Cerner Corp.** | 12,219 | ||||||||||
194 | Electronic Arts, Inc.** | 16,310 | ||||||||||
209 | Fidelity National Information Services, Inc. | 22,561 | ||||||||||
255 | Fiserv, Inc.** | 20,178 | ||||||||||
166 | Intuit, Inc. | 35,612 | ||||||||||
4,968 | Microsoft Corp.(a) | 550,901 | ||||||||||
2,450 | Oracle Corp. | 119,462 | ||||||||||
230 | Paychex, Inc. | 16,275 | ||||||||||
484 | salesforce.com, Inc.** | 69,096 | ||||||||||
985,764 | ||||||||||||
Telecommunications - 3.1% | ||||||||||||
48 | Arista Networks, Inc.** | 11,447 | ||||||||||
4,688 | AT&T, Inc. | 146,453 | ||||||||||
2,924 | Cisco Systems, Inc. | 139,972 | ||||||||||
104 | Motorola Solutions, Inc. | 13,650 | ||||||||||
2,664 | Verizon Communications, Inc. | 160,639 | ||||||||||
472,161 | ||||||||||||
Toys/Games/Hobbies - 0.0%^ | ||||||||||||
80 | Hasbro, Inc. | 7,280 | ||||||||||
Transportation - 1.8% | ||||||||||||
87 | CH Robinson Worldwide, Inc. | 8,033 | ||||||||||
544 | CSX Corp. | 39,511 | ||||||||||
112 | Expeditors International of Washington, Inc. | 8,522 | ||||||||||
169 | FedEx Corp. | 38,701 | ||||||||||
69 | JB Hunt Transport Services, Inc. | 7,339 | ||||||||||
175 | Norfolk Southern Corp. | 29,879 |
See accompanying notes to financial statements.
45
Horizon Defined Risk Fund |
Shares |
| |||||||||||
475 | Union Pacific Corp. | $ | 73,046 | |||||||||
553 | United Parcel Service, Inc., Class B | 63,755 | ||||||||||
268,786 | ||||||||||||
Water - 0.1% | ||||||||||||
115 | American Water Works Co., Inc. | 10,972 | ||||||||||
TOTAL COMMON STOCKS (Cost - $14,555,174) | 14,796,460 | |||||||||||
Contracts | Notional | |||||||||||
PURCHASED OPTIONS - 1.7%* | ||||||||||||
PURCHASED PUT OPTIONS - 1.7% | ||||||||||||
Consumer Discretionary Select Sector SPDR Fund | ||||||||||||
76 | Expiration: January 2019, Exercise Price $107** | $ | 820,724 | 19,722 | ||||||||
S&P 500 Index(c) | ||||||||||||
16 | Expiration: December 2018, Exercise Price $2,730** | 4,380,416 | 52,800 | |||||||||
3 | Expiration: January 2019, Exercise Price $2,660** | 821,328 | 9,630 | |||||||||
4 | Expiration: January 2019, Exercise Price $2,700** | 1,095,104 | 16,660 | |||||||||
17 | Expiration: February 2019, Exercise Price $2,670** | 4,654,192 | 85,340 | |||||||||
Technology Select Sector SPDR Fund | ||||||||||||
226 | Expiration: January 2019, Exercise Price $70** | 1,535,444 | 74,015 | |||||||||
TOTAL PURCHASED PUT OPTIONS (Cost - $372,188) | 258,167 | |||||||||||
TOTAL PURCHASED OPTIONS (Cost - $372,188) | 258,167 | |||||||||||
Shares | ||||||||||||
SHORT-TERM INVESTMENTS - 1.3% | ||||||||||||
Money Market Funds - 1.3% | ||||||||||||
191,918 | Invesco Treasury Portfolio - Short-Term Investments Trust - Institutional Class, 2.12% + | 191,918 | ||||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost - $191,918) | 191,918 |
See accompanying notes to financial statements.
46
Horizon Defined Risk Fund |
Shares |
| |||||||||||
INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING - 0.1% | ||||||||||||
Money Market Funds - 0.1% | ||||||||||||
11,096 | First American Government Obligations Fund, Class Z, 2.08% + | $ | 11,096 | |||||||||
TOTAL INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING(Cost - 11,096) | 11,096 | |||||||||||
TOTAL INVESTMENTS - 101.1% (Cost - $15,130,376) | 15,257,641 | |||||||||||
Liabilities In Excess Of Other Assets - (1.1)% | (169,746 | ) | ||||||||||
NET ASSETS - 100.0% | $ | 15,087,895 | ||||||||||
Contracts | Notional | |||||||||||
SCHEDULE OF WRITTEN OPTIONS - (0.9)%* | ||||||||||||
SCHEDULE OF WRITTEN CALL OPTIONS - (0.6)% | ||||||||||||
S&P 500 Index | ||||||||||||
8 | Expiration: January 2019, Exercise Price $2,880** | $ | 2,190,208 | $ | 13,080 | |||||||
17 | Expiration: February 2019, Exercise Price $2,840** | 4,654,192 | 73,780 | |||||||||
TOTAL WRITTEN CALL OPTIONS(Premiums Received - $92,281) | 86,860 | |||||||||||
SCHEDULE OF WRITTEN PUT OPTIONS - (0.3)% | ||||||||||||
S&P 500 Index | ||||||||||||
16 | Expiration: December 2018, Exercise Price $2,500** | 4,380,416 | 5,360 | |||||||||
16 | Expiration: January 2019, Exercise Price $2,480** | 4,380,416 | 16,080 | |||||||||
17 | Expiration: February 2019, Exercise Price $2,440** | 4,654,192 | 28,135 | |||||||||
TOTAL WRITTEN PUT OPTIONS(Premiums Received - $133,125) | 49,575 | |||||||||||
TOTAL WRITTEN OPTIONS (Premiums Received - $225,406) | $ | 136,435 |
Percentages are stated as a percent of net assets.
* | Each Option is exercisable into 100 shares of the underlying security. |
** | Non-income producing security. |
+ | Money Market Fund; rate reflects seven-day yield on November 30, 2018. |
^ | Less than 0.1%. |
(a) | 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 $3,522,227. |
(b) | All or a portion of this security is out on loan as of November 30, 2018. |
(c) | Held in connection with a written option, see Schedule of Written Options for more details. |
See accompanying notes to financial statements.
47
Horizon Funds |
Horizon Active | Horizon Active | Horizon Active | ||||||||||
Assets: | ||||||||||||
Investments in Unaffiliated Securities, at Cost | $ | 525,675,048 | $ | 572,866,254 | $ | 291,067,114 | ||||||
Investments in Affiliated Securities, at Cost | — | 168,066,238 | 7,218,937 | |||||||||
Investments in Unaffiliated Securities, at Value(a) | $ | 516,917,880 | $ | 564,148,738 | $ | 286,245,478 | ||||||
Investments in Affiliated Securities, at Value | — | 165,881,449 | 7,034,162 | |||||||||
Cash Held at Broker | — | — | 4 | |||||||||
Receivable for Investment Securities Sold | 667,213 | — | — | |||||||||
Receivable for Fund Shares Sold | 689,230 | 2,511,981 | 426,039 | |||||||||
Dividends and Interest Receivable | 12,083 | 120,325 | 106,072 | |||||||||
Dividend Reclaims Receivable | — | 200 | — | |||||||||
Securities Lending Income Receivable | 25,823 | 33,178 | 43,698 | |||||||||
Prepaid Expenses and Other Assets | 35,752 | 66,241 | 28,747 | |||||||||
Total Assets | 518,347,981 | 732,762,112 | 293,884,200 | |||||||||
Liabilities: | ||||||||||||
Options Written, at Value (Premiums received $801,592, $231,707 and $58,916) | 812,250 | 211,750 | 94,000 | |||||||||
Collateral Received for Securities Loaned (Note 5) | 1,707,825 | 25,680,541 | 8,229,725 | |||||||||
Payable for Investment Securities Purchased | 170,494 | — | — | |||||||||
Payable for Fund Shares Redeemed | 367,592 | 696,316 | 100,709 | |||||||||
Accrued Advisory Fees | 414,548 | 540,624 | 179,261 | |||||||||
Accrued Custodian Fees | 7,774 | 9,669 | 4,182 | |||||||||
Accrued Trustees' Fees and Expenses | 700 | 800 | 350 | |||||||||
Accrued Distribution Fees (12b-1) - Advisor Class | 3,999 | 163 | 659 | |||||||||
Accrued Shareholder Servicing Fees - Investor Class | 180,773 | 233,432 | 90,182 | |||||||||
Accrued Expenses and Other Liabilities | 168,459 | 209,476 | 118,462 | |||||||||
Total Liabilities | 3,834,414 | 27,582,771 | 8,817,530 | |||||||||
Net Assets | $ | 514,513,567 | $ | 705,179,341 | $ | 285,066,670 | ||||||
Composition of Net Assets: | ||||||||||||
Net assets consisted of: | ||||||||||||
Paid in Capital | $ | 497,637,747 | $ | 697,821,777 | $ | 306,754,855 | ||||||
Distributable Earnings/(Accumulated Deficit) | 16,875,820 | 7,357,564 | (21,688,185 | ) | ||||||||
Net Assets | $ | 514,513,567 | $ | 705,179,341 | $ | 285,066,670 | ||||||
Investor Class Shares: | �� | |||||||||||
Net Asset Value Per Share: | ||||||||||||
Net Assets | $ | 477,096,561 | $ | 682,077,244 | $ | 275,991,825 | ||||||
Shares of Beneficial Interest Outstanding | 37,619,678 | 31,442,503 | 30,220,808 | |||||||||
Net Asset Value, (Net Assets / Shares Outstanding) Offering and Redemption Price Per Share | $ | 12.68 | $ | 21.69 | $ | 9.13 | ||||||
Advisor Class Shares: | ||||||||||||
Net Assets | $ | 7,187,504 | $ | 388,563 | $ | 1,586,457 | ||||||
Shares of Beneficial Interest Outstanding | 569,452 | 17,941 | 173,256 | |||||||||
Net Asset Value, (Net Assets / Shares Outstanding) Offering and Redemption Price Per Share | $ | 12.62 | $ | 21.66 | $ | 9.16 | ||||||
Institutional Class Shares: | ||||||||||||
Net Assets | $ | 30,229,502 | $ | 22,713,534 | $ | 7,488,388 | ||||||
Shares of Beneficial Interest Outstanding | 2,377,941 | 1,045,589 | 820,516 | |||||||||
Net Asset Value, (Net Assets / Shares Outstanding) Offering and Redemption Price Per Share | $ | 12.71 | $ | 21.72 | $ | 9.13 | ||||||
(a) Includes loaned securities with a value of: | $ | 1,675,548 | $ | 25,179,130 | $ | 8,039,718 |
See accompanying notes to financial statements.
48
Horizon Funds |
| Horizon Defined | |||||||
Assets: | ||||||||
Investments in Unaffiliated Securities, at Cost | $ | 52,044,441 | $ | 15,130,376 | ||||
Investments in Unaffiliated Securities, at Value(a) | $ | 50,737,654 | $ | 15,257,641 | ||||
Cash | 17,783 | — | ||||||
Cash Held at Broker as Collateral for Written Options | 305,828 | — | ||||||
Receivable for Investment Securities Sold | 22,234 | — | ||||||
Receivable for Fund Shares Sold | 109,157 | 58,676 | ||||||
Receivable from Adviser | — | 15,241 | ||||||
Dividends and Interest Receivable | 154,148 | 30,715 | ||||||
Dividend Reclaims Receivable | 12,399 | 49 | ||||||
Securities Lending Income Receivable | 61 | — | ||||||
Prepaid Expenses and Other Assets | 24,676 | 3,522 | ||||||
Total Assets | 51,383,940 | 15,365,844 | ||||||
Liabilities: | ||||||||
Options Written, at Value (Premiums received $2,726 and $225,406) | 3,640 | 136,435 | ||||||
Collateral Received for Securities Loaned (Note 5) | 70,364 | 11,096 | ||||||
Payable for Investment Securities Purchased | 378,428 | 30,110 | ||||||
Payable for Fund Shares Redeemed | 34,017 | 41,329 | ||||||
Due to Broker | 16,691 | — | ||||||
Accrued Advisory Fees | 7,028 | — | ||||||
Accrued Custodian Fees | 2,521 | 5,200 | ||||||
Accrued Trustees' Fees and Expenses | 50 | 16 | ||||||
Accrued Distribution Fees (12b-1) - Investor Class | 5,880 | 1,299 | ||||||
Accrued Distribution Fees (12b-1) - Advisor Class | 16,204 | 11,479 | ||||||
Accrued Expenses and Other Liabilities | 47,946 | 40,985 | ||||||
Total Liabilities | 582,769 | 277,949 | ||||||
Net Assets | $ | 50,801,171 | $ | 15,087,895 | ||||
Composition of Net Assets: | ||||||||
Net assets consisted of: | ||||||||
Paid in Capital | $ | 49,795,728 | $ | 14,912,318 | ||||
Distributable Earnings | 1,005,443 | 175,577 | ||||||
Net Assets | $ | 50,801,171 | $ | 15,087,895 | ||||
Investor Class Shares: | ||||||||
Net Asset Value Per Share: | ||||||||
Net Assets | $ | 39,909,512 | $ | 5,914,596 | ||||
Shares of Beneficial Interest Outstanding | 664,871 | 115,971 | ||||||
Net Asset Value, (Net Assets / Shares Outstanding) | $ | 60.03 | $ | 51.00 | ||||
Advisor Class Shares: | ||||||||
Net Assets | $ | 10,891,659 | $ | 9,173,299 | ||||
Shares of Beneficial Interest Outstanding | 181,538 | 179,922 | ||||||
Net Asset Value, (Net Assets / Shares Outstanding) | $ | 60.00 | $ | 50.98 | ||||
(a) Includes loaned securities with a value of: | $ | 64,735 | $ | 10,950 |
See accompanying notes to financial statements.
49
Horizon Funds |
Horizon Active | Horizon Active | Horizon Active | ||||||||||
Investment Income: | ||||||||||||
Dividend Income from Unaffiliated Securities (net of foreign withholdings tax of $0, $74, $0) | $ | 8,399,940 | $ | 9,725,755 | $ | 10,002,163 | ||||||
Dividend Income from Affiliated Securities | — | 347,420 | 438,197 | |||||||||
Interest Income | 138,575 | 224,230 | 92,909 | |||||||||
Securities Lending Income(a) | 16,864 | 75,138 | 44,617 | |||||||||
Total Investment Income | 8,555,379 | 10,372,543 | 10,577,886 | |||||||||
Expenses: | ||||||||||||
Investment Advisory Fees | 4,712,250 | 5,634,625 | 1,966,172 | |||||||||
Shareholder Servicing Fees - Investor Class | 418,020 | 535,437 | 241,886 | |||||||||
Administrative & Accounting Service Fees | 292,261 | 370,715 | 169,806 | |||||||||
Transfer Agent Fees | 141,905 | 139,633 | 124,299 | |||||||||
Legal Fees | 76,541 | 89,710 | 40,991 | |||||||||
Trustees' Fees and Expenses | 67,954 | 77,403 | 37,402 | |||||||||
Chief Compliance Officer & Compliance Fees | 65,086 | 76,232 | 35,832 | |||||||||
Registration Fees | 59,620 | 59,722 | 50,262 | |||||||||
Printing and Postage Expenses | 41,300 | 42,458 | 32,323 | |||||||||
Miscellaneous Expenses | 33,006 | 54,008 | 19,277 | |||||||||
Custodian Fees | 28,085 | 40,656 | 15,752 | |||||||||
Audit and Tax Fees | 19,792 | 19,736 | 18,305 | |||||||||
Insurance Fees | 16,843 | 16,360 | 7,942 | |||||||||
Distribution Fees (12b-1) - Advisor Class | 16,462 | 954 | 2,907 | |||||||||
Interest Expense | — | — | 2,767 | |||||||||
Total Expenses | 5,989,125 | 7,157,649 | 2,765,923 | |||||||||
Securities Lending Expense Offset(a) | (146,291 | ) | (248,647 | ) | (450,538 | ) | ||||||
Fees Recouped / (Waived) by the Adviser - Net | 77,382 | 199,565 | 189,886 | |||||||||
Net Expenses | 5,920,216 | 7,108,567 | 2,505,271 | |||||||||
Net Investment Income | 2,635,163 | 3,263,976 | 8,072,615 | |||||||||
Net Realized and Unrealized Loss on Investments: | ||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||
Unaffiliated Investments | 27,508,966 | 21,102,643 | (11,676,138 | ) | ||||||||
Affiliated Investments | — | (2,280,756 | ) | (8 | ) | |||||||
Purchased Options | 4,540,866 | (2,505,597 | ) | (1,590,017 | ) | |||||||
Written Options | 828,957 | 5,745,151 | 359,232 | |||||||||
Distributions of Long-Term Capital Gains by Underlying Investment Companies | 120,150 | 122,180 | — | |||||||||
Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||
Unaffiliated Investments | (37,904,337 | ) | (35,355,347 | ) | (4,197,014 | ) | ||||||
Affiliated Investments | — | (2,184,789 | ) | (184,774 | ) | |||||||
Purchased Options | (1,693,194 | ) | (365,520 | ) | 512,005 | |||||||
Written Options | (178,311 | ) | (747,382 | ) | (157,843 | ) | ||||||
Net Realized and Unrealized Loss on Investments | (6,776,903 | ) | (16,469,417 | ) | (16,934,557 | ) | ||||||
Net Decrease in Net Assets Resulting From Operations | $ | (4,141,740 | ) | $ | (13,205,441 | ) | $ | (8,861,942 | ) |
(a) | Effective March 28, 2018, the Funds are entitled to utilize Securities Lending Income to offset against certain Fund expenses (See Note 5). |
See accompanying notes to financial statements.
50
Horizon Funds |
| Horizon Defined | |||||||
Investment Income: | ||||||||
Dividend Income from Unaffiliated Securities (net of foreign withholdings tax of $35,962, $14) | $ | 1,036,228 | $ | 166,295 | ||||
Interest Income | 52,803 | 4,118 | ||||||
Securities Lending Income^ | 3,633 | 13 | ||||||
Total Investment Income | 1,092,664 | 170,426 | ||||||
Expenses: | ||||||||
Investment Advisory Fees | 272,487 | 69,920 | ||||||
Administrative & Accounting Service Fees | 41,746 | 25,528 | ||||||
Transfer Agent Fees | 40,236 | 20,643 | ||||||
Legal Fees | 6,145 | 1,286 | ||||||
Trustees' Fees and Expenses | 7,545 | 3,752 | ||||||
Chief Compliance Officer & Compliance Fees | 6,641 | 2,685 | ||||||
Registration Fees | 20,782 | 1,537 | ||||||
Printing and Postage Expenses | 16,594 | 5,913 | ||||||
Miscellaneous Expenses | 6,547 | 1,829 | ||||||
Custodian Fees | 8,910 | 18,899 | ||||||
Audit and Tax Fees | 17,174 | 18,053 | ||||||
Insurance Fees | 929 | — | ||||||
Distribution Fees (12b-1) - Advisor Class | 20,523 | 15,596 | ||||||
Distribution Fees (12b-1) - Investor Class | 28,122 | 2,502 | ||||||
Total Expenses | 494,381 | 188,143 | ||||||
Securities Lending Expense Offset^ | (17,751 | ) | (14 | ) | ||||
Fees Recouped / (Waived) by the Adviser - Net | (68,437 | ) | (87,874 | ) | ||||
Net Expenses | 408,193 | 100,255 | ||||||
Net Investment Income | 684,471 | 70,171 | ||||||
Net Realized and Unrealized Gain on Investments: | ||||||||
Net Realized Gain (Loss) on: | ||||||||
Unaffiliated Investments | 2,344,651 | (157,468 | ) | |||||
Purchased Options | 253,649 | (234,238 | ) | |||||
Written Options | (36,539 | ) | 287,903 | |||||
Foreign Currency | (57 | ) | — | |||||
Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||
Unaffiliated Investments | (2,148,262 | ) | 241,286 | |||||
Purchased Options | (3,810 | ) | (114,021 | ) | ||||
Written Options | (914 | ) | 88,971 | |||||
Net Realized and Unrealized Gain on Investments | 408,718 | 112,433 | ||||||
Net Increase in Net Assets Resulting From Operations | $ | 1,093,189 | $ | 182,604 |
(1) | Horizon Defined Risk Fund commenced operations on December 28, 2017. |
^ | Effective March 28, 2018, the Funds are entitled to utilize Securities Lending Income to offset against certain Fund expenses (See Note 5). |
See accompanying notes to financial statements.
51
Horizon Active Asset Allocation Fund |
For the | For the | |||||||
Operations: | ||||||||
Net Investment Income | $ | 2,635,163 | $ | 2,317,055 | ||||
Net Realized Gain on Investments, | ||||||||
Purchased Options and Written Options | 32,878,789 | 58,792,310 | ||||||
Distributions of Long-Term Capital Gains by Underlying Investment Companies | 120,150 | — | ||||||
Net Change in Unrealized Appreciation (Depreciation) on | ||||||||
Investments, Purchased Options and Written Options | (39,775,842 | ) | 21,951,095 | |||||
Net Increase (Decrease) in Net Assets Resulting From Operations | (4,141,740 | ) | 83,060,460 | |||||
Distributions to Shareholders From: | ||||||||
Distributable earnings | ||||||||
Investor Class | (43,271,145 | ) | (3,160,658 | ) | ||||
Advisor Class | (617,689 | ) | (24,872 | ) | ||||
Institutional Class | (3,269,530 | ) | (103,172 | ) | ||||
Total Distributions to Shareholders | (47,158,364 | ) | (3,288,702 | )(1) | ||||
Capital Share Transactions: | ||||||||
Proceeds from Shares Issued | ||||||||
Investor Class | 202,909,817 | 88,577,101 | ||||||
Advisor Class | 3,596,369 | 2,839,959 | ||||||
Institutional Class | 8,938,049 | 26,064,072 | ||||||
Distributions Reinvested | ||||||||
Investor Class | 42,833,606 | 3,134,834 | ||||||
Advisor Class | 517,167 | 18,935 | ||||||
Institutional Class | 3,269,530 | 103,172 | ||||||
Cost of Shares Redeemed | ||||||||
Investor Class | (115,053,606 | ) | (127,596,252 | ) | ||||
Advisor Class | (1,339,176 | ) | (728,867 | ) | ||||
Institutional Class | (7,785,149 | ) | (9,594,320 | ) | ||||
Net Increase (Decrease) in Net Assets Resulting From Beneficial Interest Transactions | 137,886,607 | (17,181,366 | ) | |||||
Increase in Net Assets | 86,586,503 | 62,590,392 | ||||||
Net Assets: | ||||||||
Beginning of Year | 427,927,064 | 365,336,672 | ||||||
End of Year | $ | 514,513,567 | $ | 427,927,064 | (2) | |||
Share Activity: | ||||||||
Investor Class: | ||||||||
Shares Issued | 15,210,405 | 6,952,864 | ||||||
Shares Reinvested | 3,367,422 | 267,934 | ||||||
Shares Redeemed | (8,696,402 | ) | (10,116,721 | ) | ||||
Net Increase (Decrease) | 9,881,425 | (2,895,923 | ) | |||||
Advisor Class: | ||||||||
Shares Issued | 269,968 | 219,598 | ||||||
Shares Reinvested | 40,786 | 1,621 | ||||||
Shares Redeemed | (100,455 | ) | (56,633 | ) | ||||
Net Increase | 210,299 | 164,586 | ||||||
Institutional Class: | ||||||||
Shares Issued | 668,245 | 1,982,738 | ||||||
Shares Reinvested | 256,635 | 8,818 | ||||||
Shares Redeemed | (587,330 | ) | (711,353 | ) | ||||
Net Increase | 337,550 | 1,280,203 |
(1) | Includes net investment income distributions of $3,228,702. |
(2) | Includes accumulated undistributed net investment income of $0. |
See accompanying notes to financial statements.
52
Horizon Active Risk Assist Fund |
For the | For the | |||||||
Operations: | ||||||||
Net Investment Income | $ | 3,263,976 | $ | 2,011,843 | ||||
Net Realized Gain on Investments, | ||||||||
Purchased Options and Written Options | 22,061,441 | 38,452,682 | ||||||
Distributions of Long-Term Capital Gains by Underlying Investment Companies | 122,180 | — | ||||||
Net Change in Unrealized Appreciation (Depreciation) on | ||||||||
Investments, Purchased Options and Written Options | (38,653,038 | ) | 20,897,869 | |||||
Net Increase (Decrease) in Net Assets Resulting From Operations | (13,205,441 | ) | 61,362,394 | |||||
Distributions to Shareholders From: | ||||||||
Distributable earnings | ||||||||
Investor Class | (19,270,621 | ) | (2,743,024 | ) | ||||
Advisor Class | (15,334 | ) | (2,886 | ) | ||||
Institutional Class | (309,439 | ) | (70 | ) | ||||
Total Distributions to Shareholders | (19,595,394 | ) | (2,745,980 | )(1) | ||||
Capital Share Transactions: | ||||||||
Proceeds from Shares Issued | ||||||||
Investor Class | 382,409,937 | 131,188,889 | ||||||
Advisor Class | 92,540 | 32,071 | ||||||
Institutional Class | 18,719,909 | 6,522,281 | ||||||
Distributions Reinvested | ||||||||
Investor Class | 18,955,229 | 2,685,810 | ||||||
Advisor Class | 15,334 | 2,886 | ||||||
Institutional Class | 309,439 | 70 | ||||||
Cost of Shares Redeemed | ||||||||
Investor Class | (105,704,359 | ) | (93,387,324 | ) | ||||
Advisor Class | (48,948 | ) | (56,176 | ) | ||||
Institutional Class | (1,975,867 | ) | (102,168 | ) | ||||
Net Increase in Net Assets Resulting From Beneficial Interest Transactions | 312,773,214 | 46,886,339 | ||||||
Increase in Net Assets | 279,972,379 | 105,502,753 | ||||||
Net Assets: | ||||||||
Beginning of Year | 425,206,962 | 319,704,209 | ||||||
End of Year | $ | 705,179,341 | $ | 425,206,962 | (2) | |||
Share Activity: | ||||||||
Investor Class: | ||||||||
Shares Issued | 16,912,240 | 6,179,225 | ||||||
Shares Reinvested | 865,931 | 138,230 | ||||||
Shares Redeemed | (4,677,374 | ) | (4,519,518 | ) | ||||
Net Increase | 13,100,797 | 1,797,937 | ||||||
Advisor Class: | ||||||||
Shares Issued | 4,126 | 1,551 | ||||||
Shares Reinvested | 701 | 149 | ||||||
Shares Redeemed | (2,144 | ) | (2,639 | ) | ||||
Net Increase (Decrease) | 2,683 | (939 | ) | |||||
Institutional Class: | ||||||||
Shares Issued | 828,543 | 294,586 | ||||||
Shares Reinvested | 14,130 | 4 | ||||||
Shares Redeemed | (87,471 | ) | (4,544 | ) | ||||
Net Increase | 755,202 | 290,046 |
(1) | Includes net investment income distributions of $2,745,980. |
(2) | Includes accumulated undistributed net investment income of $143,457. |
See accompanying notes to financial statements.
53
Horizon Active Income Fund |
For the | For the | |||||||
Operations: | ||||||||
Net Investment Income | $ | 8,072,615 | $ | 4,968,225 | ||||
Net Realized Loss on Investments, | ||||||||
Purchased Options and Written Options | (12,906,931 | ) | (4,663,270 | ) | ||||
Distributions of Long-Term Capital Gains by Underlying Investment Companies | — | 15,836 | ||||||
Net Change in Unrealized Appreciation (Depreciation) on | ||||||||
Investments, Purchased Options and Written Options | (4,027,626 | ) | 7,612,924 | |||||
Net Increase (Decrease) in Net Assets Resulting From Operations | (8,861,942 | ) | 7,933,715 | |||||
Distributions to Shareholders From: | ||||||||
Distributable earnings | ||||||||
Investor Class | (6,524,973 | ) | (4,741,698 | ) | ||||
Advisor Class | (29,004 | ) | (694 | ) | ||||
Institutional Class | (229,059 | ) | (134,221 | ) | ||||
Total Distributions to Shareholders | (6,783,036 | ) | (4,876,613 | )(1) | ||||
Capital Share Transactions: | ||||||||
Proceeds from Shares Issued | ||||||||
Investor Class | 142,464,097 | 61,379,496 | ||||||
Advisor Class | 1,012,985 | 673,867 | ||||||
Institutional Class | 2,386,593 | 9,603,596 | ||||||
Distributions Reinvested | ||||||||
Investor Class | 6,094,473 | 4,665,766 | ||||||
Advisor Class | 29,004 | 694 | ||||||
Institutional Class | 229,059 | 134,221 | ||||||
Cost of Shares Redeemed | ||||||||
Investor Class | (58,011,804 | ) | (56,294,921 | ) | ||||
Advisor Class | (40,163 | ) | (19,975 | ) | ||||
Institutional Class | (2,718,117 | ) | (4,210,485 | ) | ||||
Net Increase in Net Assets Resulting From Beneficial Interest Transactions | 91,446,127 | 15,932,259 | ||||||
Increase in Net Assets | 75,801,149 | 18,989,361 | ||||||
Net Assets: | ||||||||
Beginning of Year | 209,265,521 | 190,276,160 | ||||||
End of Year | $ | 285,066,670 | $ | 209,265,521 | (2) | |||
Share Activity: | ||||||||
Investor Class: | ||||||||
Shares Issued | 15,134,834 | 6,325,698 | ||||||
Shares Reinvested | 644,511 | 483,230 | ||||||
Shares Redeemed | (6,175,688 | ) | (5,817,951 | ) | ||||
Net Increase | 9,603,657 | 990,977 | ||||||
Advisor Class: | ||||||||
Shares Issued | 106,778 | 68,987 | ||||||
Shares Reinvested | 3,059 | 71 | ||||||
Shares Redeemed | (4,274 | ) | (2,040 | ) | ||||
Net Increase | 105,563 | 67,018 | ||||||
Institutional Class: | ||||||||
Shares Issued | 253,240 | 981,019 | ||||||
Shares Reinvested | 24,205 | 13,833 | ||||||
Shares Redeemed | (288,438 | ) | (432,184 | ) | ||||
Net Increase (Decrease) | (10,993 | ) | 562,668 |
(1) | Includes net investment income distributions of $4,876,613. |
(2) | Includes accumulated undistributed net investment income of $1,140,355. |
See accompanying notes to financial statements.
54
Horizon Active Dividend Fund |
For the | For the | |||||||
Operations: | ||||||||
Net Investment Income | $ | 684,471 | $ | 64,869 | ||||
Net Realized Gain on Investments, | ||||||||
Purchased Options and Written Options | 2,561,704 | 367,629 | ||||||
Net Change in Unrealized Appreciation (Depreciation) on | ||||||||
Investments, Purchased Options and Written Options | (2,152,986 | ) | 845,250 | |||||
Net Increase in Net Assets Resulting From Operations | 1,093,189 | 1,277,748 | ||||||
Distributions to Shareholders From: | ||||||||
Distributable earnings | ||||||||
Investor Class | (815,228 | ) | (713 | ) | ||||
Advisor Class | (177,769 | ) | — | |||||
Total Distributions to Shareholders | (992,997 | ) | (713 | )(2) | ||||
Capital Share Transactions: | ||||||||
Proceeds from Shares Issued | ||||||||
Investor Class | 21,346,826 | 24,122,285 | ||||||
Advisor Class | 9,447,722 | 3,207,652 | ||||||
Distributions Reinvested | ||||||||
Investor Class | 815,228 | 617 | ||||||
Advisor Class | 140,433 | — | ||||||
Cost of Shares Redeemed | ||||||||
Investor Class | (6,912,464 | ) | (684,733 | ) | ||||
Advisor Class | (1,998,986 | ) | (60,636 | ) | ||||
Net Increase in Net Assets Resulting From Beneficial Interest Transactions | 22,838,759 | 26,585,185 | ||||||
Increase in Net Assets | 22,938,951 | 27,862,220 | ||||||
Net Assets: | ||||||||
Beginning of Period/Year | 27,862,220 | — | ||||||
End of Period/Year | $ | 50,801,171 | $ | 27,862,220 | (3) | |||
Share Activity: | ||||||||
Investor Class: | ||||||||
Shares Issued | 350,521 | 426,287 | ||||||
Shares Reinvested | 13,443 | 12 | ||||||
Shares Redeemed | (113,457 | ) | (11,935 | ) | ||||
Net Increase | 250,507 | 414,364 | ||||||
Advisor Class: | ||||||||
Shares Issued | 155,431 | 57,756 | ||||||
Shares Reinvested | 2,312 | — | ||||||
Shares Redeemed | (32,906 | ) | (1,055 | ) | ||||
Net Increase | 124,837 | 56,701 |
(1) | Horizon Active Dividend Fund, Investor and Advisor Class, commenced operations on December 28, 2016 and June 20, 2017, respectively. |
(2) | Includes net investment income distributions of $713. |
(3) | Includes accumulated undistributed net investment income of $63,837. |
See accompanying notes to financial statements.
55
Horizon Defined Risk Fund |
For the | ||||
Operations: | ||||
Net Investment Income | $ | 70,171 | ||
Net Realized Loss on Investments, | ||||
Purchased Options and Written Options | (103,803 | ) | ||
Net Change in Unrealized Appreciation on | ||||
Investments, Purchased Options and Written Options | 216,236 | |||
Net Increase in Net Assets Resulting From Operations | 182,604 | |||
Capital Share Transactions: | ||||
Proceeds from Shares Issued | ||||
Investor Class | 6,362,481 | |||
Advisor Class | 10,548,208 | |||
Cost of Shares Redeemed | ||||
Investor Class | (496,397 | ) | ||
Advisor Class | (1,509,001 | ) | ||
Net Increase in Net Assets Resulting From Beneficial Interest Transactions | 14,905,291 | |||
Increase in Net Assets | 15,087,895 | |||
Net Assets: | ||||
Beginning of Period | — | |||
End of Period | $ | 15,087,895 | ||
Share Activity: | ||||
Investor Class: | ||||
Shares Issued | 125,760 | |||
Shares Reinvested | — | |||
Shares Redeemed | (9,789 | ) | ||
Net Increase | 115,971 | |||
Advisor Class: | ||||
Shares Issued | 209,699 | |||
Shares Reinvested | — | |||
Shares Redeemed | (29,777 | ) | ||
Net Increase | 179,922 |
(1) | Horizon Defined Risk Fund, Investor and Advisor Class, commenced operations on December 28, 2017 and February 2, 2018, respectively. |
See accompanying notes to financial statements.
56
Horizon Active Asset Allocation Fund |
The table below sets forth financial data for one share of beneficial interest outstanding throughout each year.
Investor Class | ||||||||||||||||||||
For the | For the | For the | For the | For the | ||||||||||||||||
Net Asset Value, Beginning of Year | $ | 14.20 | $ | 11.56 | $ | 11.99 | $ | 12.67 | $ | 12.76 | ||||||||||
Income From Investment Operations: | ||||||||||||||||||||
Net investment income (a,d) | 0.07 | (f) | 0.08 | 0.12 | 0.13 | 0.04 | ||||||||||||||
Net gain (loss) from investments (both realized and unrealized) | (0.02 | )(f) | 2.66 | (0.20 | ) | (0.37 | ) | 0.95 | ||||||||||||
Total from investment operations | 0.05 | 2.74 | (0.08 | ) | (0.24 | ) | 0.99 | |||||||||||||
Less Distributions: | ||||||||||||||||||||
From net investment income | (0.07 | ) | (0.10 | ) | (0.20 | ) | (0.02 | ) | (0.03 | ) | ||||||||||
From net realized gains | (1.50 | ) | — | (0.15 | ) | (0.42 | ) | (1.05 | ) | |||||||||||
Total Distributions | (1.57 | ) | (0.10 | ) | (0.35 | ) | (0.44 | ) | (1.08 | ) | ||||||||||
Net Asset Value, End of Year | $ | 12.68 | $ | 14.20 | $ | 11.56 | $ | 11.99 | $ | 12.67 | ||||||||||
Total Return | 0.46 | % | 23.76 | % | (0.59 | )% | (2.01 | )% | 8.33 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of year (in 000's) | $ | 477,097 | $ | 393,833 | $ | 354,279 | $ | 366,368 | $ | 418,274 | ||||||||||
Ratio to average net assets: | ||||||||||||||||||||
Gross expenses (b,c) | 1.28 | %(e) | 1.48 | % | 1.54 | % | 1.54 | % | 1.54 | % | ||||||||||
Net expenses (b) ^ | 1.27 | %(e) | 1.36 | %+ | 1.43 | % | 1.42 | % | 1.42 | % | ||||||||||
Net investment income net of reimbursement (recapture) and securities lending expense offset (b,d) | 0.56 | % | 0.61 | % | 1.09 | % | 1.06 | % | 0.35 | % | ||||||||||
Portfolio turnover rate | 256 | % | 168 | % | 406 | % | 472 | % | 591 | % |
^ | The ratio of expenses to average net assets includes interest expense which was 0.00%, 0.00%, 0.01%, 0.00% and 0.00%, respectively. |
+ | Effective July 1, 2017, Shareholder Servicing Fees for Investor Class shares decreased from 0.25% to 0.10% of average daily net assets. |
(a) | Per share amounts are calculated using the average shares method. |
(b) | Does not reflect the expenses of the underlying funds in which the Fund invests. |
(c) | Represents the ratio of expenses to average net assets absent securities lending expense offset, fee waivers and/or expense reimbursements by the Adviser. |
(d) | Recognition of net investment income by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests. The ratio does not include net investment income of the investment companies in which the Fund invests. |
(e) | Effective March 30, 2018, the Operating Expense Limit for the Investor Class decreased from 1.27% to 1.17% and now excludes 0.10% of Shareholder Servicing Fees (See Note 3). |
(f) | Due to timing of shareholder transactions, and allocations of expenses among share classes, the per unit amounts presented may not coincide with the aggregate presentation on the Statements of Operations. |
See accompanying notes to financial statements.
57
Horizon Active Asset Allocation Fund |
The table below sets forth financial data for one share of beneficial interest outstanding throughout each period/year.
Advisor Class | ||||||||||||||||
For the | For the | For the | For the | |||||||||||||
Net Asset Value, Beginning of Period/Year | $ | 14.16 | $ | 11.56 | $ | 11.99 | $ | 11.21 | ||||||||
Income From Investment Operations: | ||||||||||||||||
Net investment income (loss) (a,g) | 0.05 | (f) | 0.05 | 0.12 | (0.03 | )(f) | ||||||||||
Net gain (loss) from investments (both realized and unrealized) | (0.02 | )(f) | 2.68 | (0.20 | ) | 0.81 | (f) | |||||||||
Total from investment operations | 0.03 | 2.73 | (0.08 | ) | 0.78 | |||||||||||
Less Distributions: | ||||||||||||||||
From net investment income | (0.07 | ) | (0.13 | ) | (0.20 | ) | — | |||||||||
From net realized gains | (1.50 | ) | — | (0.15 | ) | — | ||||||||||
Total Distributions | (1.57 | ) | (0.13 | ) | (0.35 | ) | — | |||||||||
Net Asset Value, End of Period/Year | $ | 12.62 | $ | 14.16 | $ | 11.56 | $ | 11.99 | ||||||||
Total Return | 0.29 | % | 23.64 | % | (0.59 | )% | 6.96 | %(e) | ||||||||
Ratios/Supplemental Data | ||||||||||||||||
Net assets, end of period/year (in 000's) | $ | 7,187 | $ | 5,084 | $ | 2,249 | $ | 29 | ||||||||
Ratio to average net assets: | ||||||||||||||||
Gross expenses (c,d) | 1.43 | %(h) | 1.55 | % | 1.55 | % | 1.54 | %(b) | ||||||||
Net expenses (c) ^ | 1.42 | %(h) | 1.42 | % | 1.44 | % | 1.42 | %(b) | ||||||||
Net investment income (loss) net of reimbursement (recapture) and securities lending expense offset (c,g) | 0.38 | % | 0.35 | % | 1.06 | % | (0.88 | )%(b)(f) | ||||||||
Portfolio turnover rate | 256 | % | 168 | % | 406 | % | 472 | %(e) |
* | Since September 4, 2015 (Commencement of Operations). |
^ | The ratio of expenses to average net assets includes interest expense which was 0.00%, 0.00%, 0.02% and 0.00%, respectively. |
(a) | Per share amounts are calculated using the average shares method. |
(b) | Annualized. |
(c) | Does not reflect the expenses of the underlying funds in which the Fund invests. |
(d) | Represents the ratio of expenses to average net assets absent securities lending expense offset, fee waivers and/or expense reimbursements by the Adviser. |
(e) | Not annualized. |
(f) | Due to timing of shareholder transactions, and allocations of expenses among share classes, the per unit amounts presented may not coincide with the aggregate presentation on the Statements of Operations. |
(g) | Recognition of net investment income by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests. The ratio does not include net investment income of the investment companies in which the Fund invests. |
(h) | Effective March 30, 2018, the Operating Expense Limit for the Advisor Class decreased from 1.42% to 1.17% and now excludes 0.25% of Distribution Fees (12b-1) (See Note 3). |
See accompanying notes to financial statements.
58
Horizon Active Asset Allocation Fund |
The table below sets forth financial data for one share of beneficial interest outstanding throughout each period/year.
Institutional Class | ||||||||||||
For the | For the | For the | ||||||||||
Net Asset Value, Beginning of Period/Year | $ | 14.22 | $ | 11.59 | $ | 11.54 | ||||||
Income From Investment Operations: | ||||||||||||
Net investment income (a,g) | 0.09 | (h) | 0.05 | 0.03 | ||||||||
Net gain (loss) from investments (both realized and unrealized) | (0.03 | )(h) | 2.71 | 0.02 | (f) | |||||||
Total from investment operations | 0.06 | 2.76 | 0.05 | |||||||||
Less Distributions: | ||||||||||||
From net investment income | (0.07 | ) | (0.13 | ) | — | |||||||
From net realized gains | (1.50 | ) | — | — | ||||||||
Total Distributions | (1.57 | ) | (0.13 | ) | — | |||||||
Net Asset Value, End of Period/Year | $ | 12.71 | $ | 14.22 | $ | 11.59 | ||||||
Total Return | 0.55 | % | 23.92 | % | 0.43 | %(e) | ||||||
Ratios/Supplemental Data | ||||||||||||
Net assets, end of period/year (in 000's) | $ | 30,230 | $ | 29,010 | $ | 8,809 | ||||||
Ratio to average net assets: | ||||||||||||
Gross expenses (c,d) | 1.18 | % | 1.30 | % | 1.30 | %(b) | ||||||
Net expenses (c) ^ | 1.17 | % | 1.17 | % | 1.19 | %(b) | ||||||
Net investment income net of reimbursement (recapture) and securities lending expense offset (c,g) | 0.68 | % | 0.38 | % | 1.28 | %(b) | ||||||
Portfolio turnover rate | 256 | % | 168 | % | 406 | %(e) |
* | Since September 9, 2016 (Commencement of Operations). |
^ | The ratio of expenses to average net assets includes interest expense which was 0.00%, 0.00% and 0.02%, respectively. |
(a) | Per share amounts are calculated using the average shares method. |
(b) | Annualized. |
(c) | Does not reflect the expenses of the underlying funds in which the Fund invests. |
(d) | Represents the ratio of expenses to average net assets absent securities lending expense offset, fee waivers and/or expense reimbursements by the Adviser. |
(e) | Not annualized. |
(f) | Net realized and unrealized gain (loss) per share in this caption is a balancing amount necessary to reconcile the change in net asset value per share for the period, and may not reconcile with the aggregate gain (loss) on the Statements of Operations due to share transactions for the period. |
(g) | Recognition of net investment income by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests. The ratio does not include net investment income of the investment companies in which the Fund invests. |
(h) | Due to timing of shareholder transactions, and allocations of expenses among share classes, the per unit amounts presented may not coincide with the aggregate presentation on the Statements of Operations. |
See accompanying notes to financial statements.
59
Horizon Active Risk Assist Fund |
The table below sets forth financial data for one share of beneficial interest outstanding throughout each period/year.
Investor Class | ||||||||||||||||||||
For the | For the | For the | For the | For the | ||||||||||||||||
Net Asset Value, Beginning of Period/Year | $ | 22.80 | $ | 19.31 | $ | 19.62 | $ | 20.50 | $ | 20.00 | ||||||||||
Income From Investment Operations: | ||||||||||||||||||||
Net investment income (loss) (a,g) | 0.13 | 0.12 | 0.18 | 0.12 | (0.05 | ) | ||||||||||||||
Net gain (loss) from investments (both realized and unrealized) | (0.21 | ) | 3.54 | (0.29 | ) | (1.00 | ) | 0.55 | ||||||||||||
Total from investment operations | (0.08 | ) | 3.66 | (0.11 | ) | (0.88 | ) | 0.50 | ||||||||||||
Less Distributions: | ||||||||||||||||||||
From net investment income | (0.12 | ) | (0.17 | ) | (0.20 | ) | — | — | ||||||||||||
From net realized gains | (0.91 | ) | — | — | (0.00 | )(f) | — | |||||||||||||
Total Distributions | (1.03 | ) | (0.17 | ) | (0.20 | ) | — | — | ||||||||||||
Net Asset Value, End of Period/Year | $ | 21.69 | $ | 22.80 | $ | 19.31 | $ | 19.62 | 20.50 | |||||||||||
Total Return | (0.31 | )% | 19.05 | % | (0.54 | )% | (4.29 | )% | 2.50 | %(e) | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period/year (in 000's) | $ | 682,077 | $ | 418,227 | $ | 319,385 | $ | 222,421 | $ | 300 | ||||||||||
Ratio to average net assets: | ||||||||||||||||||||
Gross expenses (c,d) | 1.28 | %(h) | 1.49 | % | 1.55 | % | 1.54 | % | 50.52 | %(b) | ||||||||||
Net expenses (c) ^ | 1.27 | %(h) | 1.35 | %+ | 1.42 | % | 1.42 | % | 1.42 | %(b) | ||||||||||
Net investment income (loss) net of reimbursement (recapture) and securities lending expense offset (c,g) | 0.58 | % | 0.58 | % | 0.92 | % | 0.57 | % | (1.06 | )%(b) | ||||||||||
Portfolio turnover rate | 275 | % | 143 | % | 563 | % | 541 | % | 55 | %(e) |
* | In 2016, 0.02% of the Fund’s total return consists of a voluntary reimbursement by the adviser for losses on investment transactions. Excluding this item, the total return would have been (0.56%). |
** | Since August 28, 2014 (Commencement of Operations). |
^ | The ratio of expenses to average net assets includes interest expense which was 0.00%, 0.00%, 0.01%, 0.00% and 0.00%, respectively. |
+ | Effective July 1, 2017, Shareholder Servicing Fees for Investor Class shares decreased from 0.25% to 0.10% of average daily net assets. |
(a) | Per share amounts are calculated using the average shares method. |
(b) | Annualized. |
(c) | Does not reflect the expenses of the underlying funds in which the Fund invests. |
(d) | Represents the ratio of expenses to average net assets absent securities lending expense offset, fee waivers and/or expense reimbursements by the Adviser. |
(e) | Not annualized. |
(f) | Per share amount is less than $0.01. |
(g) | Recognition of net investment income (loss) by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests. The ratio does not include net investment income of the investment companies in which the Fund invests. |
(h) | Effective March 30, 2018, the Operating Expense Limit for the Investor Class decreased from 1.27% to 1.17% and now excludes 0.10% of Shareholder Servicing Fees (See Note 3). |
See accompanying notes to financial statements.
60
Horizon Active Risk Assist Fund |
The table below sets forth financial data for one share of beneficial interest outstanding throughout each period/year.
Advisor Class | ||||||||||||||||
For the | For the | For the | For the | |||||||||||||
Net Asset Value, Beginning of Period/Year | $ | 22.78 | $ | 19.30 | $ | 19.62 | $ | 18.97 | ||||||||
Income From Investment Operations: | ||||||||||||||||
Net investment income (a,g) | 0.11 | 0.11 | 0.17 | 0.07 | ||||||||||||
Net gain (loss) from investments (both realized and unrealized) | (0.23 | ) | 3.54 | (0.29 | ) | 0.58 | (f) | |||||||||
Total from investment operations | (0.12 | ) | 3.65 | (0.12 | ) | 0.65 | ||||||||||
Less Distributions: | ||||||||||||||||
From net investment income | (0.09 | ) | (0.17 | ) | (0.20 | ) | — | |||||||||
From net realized gains | (0.91 | ) | — | — | — | |||||||||||
Total Distributions | (1.00 | ) | (0.17 | ) | (0.20 | ) | — | |||||||||
Net Asset Value, End of Period/Year | $ | 21.66 | $ | 22.78 | $ | 19.30 | $ | 19.62 | ||||||||
Total Return | (0.46 | )% | 19.03 | % | (0.59 | )% | 3.43 | %(e) | ||||||||
Ratios/Supplemental Data | ||||||||||||||||
Net assets, end of period/year (in 000's) | $ | 388 | $ | 347 | $ | 313 | $ | 19 | ||||||||
Ratio to average net assets: | ||||||||||||||||
Gross expenses (c,d) | 1.43 | %(h) | 1.56 | % | 1.51 | % | 1.54 | %(b) | ||||||||
Net expenses (c) ^ | 1.42 | %(h) | 1.42 | % | 1.42 | % | 1.42 | %(b) | ||||||||
Net investment income net of reimbursement (recapture) and securities lending expense offset (c,g) | 0.48 | % | 0.53 | % | 0.92 | % | 1.52 | %(b) | ||||||||
Portfolio turnover rate | 275 | % | 143 | % | 563 | % | 541 | %(e) |
* | In 2016, 0.02% of the Fund’s total return consists of a voluntary reimbursement by the adviser for losses on investment transactions. Excluding this item, the total return would have been (0.61%). |
** | Since September 4, 2015 (Commencement of Operations). |
^ | The ratio of expenses to average net assets includes interest expense which was 0.00%, 0.00%, 0.01% and 0.00%, respectively. |
(a) | Per share amounts are calculated using the average shares method. |
(b) | Annualized. |
(c) | Does not reflect the expenses of the underlying funds in which the Fund invests. |
(d) | Represents the ratio of expenses to average net assets absent securities lending expense offset, fee waivers and/or expense reimbursements by the Adviser. |
(e) | Not annualized. |
(f) | Net realized and unrealized gain (loss) per share in this caption is a balancing amount necessary to reconcile the change in net asset value per share for the period, and may not reconcile with the aggregate gain (loss) on the Statements of Operations due to share transactions for the period. |
(g) | Recognition of net investment income by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests. The ratio does not include net investment income of the investment companies in which the Fund invests. |
(h) | Effective March 30, 2018, the Operating Expense Limit for the Advisor Class decreased from 1.42% to 1.17% and now excludes 0.25% of Distribution Fees (12b-1) (See Note 3). |
See accompanying notes to financial statements.
61
Horizon Active Risk Assist Fund |
The table below sets forth financial data for one share of beneficial interest outstanding throughout each period/year.
Institutional Class | ||||||||||||
For the | For the | For the | ||||||||||
Net Asset Value, Beginning of Period/Year | $ | 22.84 | $ | 19.33 | $ | 19.21 | ||||||
Income From Investment Operations: | ||||||||||||
Net investment income (loss) (a,g) | 0.14 | (0.14 | ) | 0.05 | ||||||||
Net gain from investments (both realized and unrealized) | (0.20 | ) | 3.86 | 0.07 | (f) | |||||||
Total from investment operations | (0.06 | ) | 3.72 | 0.12 | ||||||||
Less Distributions: | ||||||||||||
From net investment income | (0.15 | ) | (0.21 | ) | — | |||||||
From net realized gains | (0.91 | ) | — | — | ||||||||
Total Distributions | (1.06 | ) | (0.21 | ) | — | |||||||
Net Asset Value, End of Period/Year | $ | 21.72 | $ | 22.84 | $ | 19.33 | ||||||
Total Return | (0.21 | )% | 19.31 | % | 0.62 | %(e) | ||||||
Ratios/Supplemental Data | ||||||||||||
Net assets, end of period/year (in 000's) | $ | 22,714 | $ | 6,633 | $ | 7 | ||||||
Ratio to average net assets: | ||||||||||||
Gross expenses (c,d) | 1.19 | % | 1.35 | % | 1.31 | %(b) | ||||||
Net expenses (c) ^ | 1.14 | % | 1.17 | % | 1.17 | %(b) | ||||||
Net investment income (loss) net of reimbursement (recapture) and securities lending expense offset (c,g) | 0.61 | % | (0.62 | )% | 1.09 | %(b) | ||||||
Portfolio turnover rate | 275 | % | 143 | % | 563 | %(e) |
* | Since September 9, 2016 (Commencement of Operations). |
^ | The ratio of expenses to average net assets includes interest expense which was 0.00%, 0.00% and 0.00%, respectively. |
(a) | Per share amounts are calculated using the average shares method. |
(b) | Annualized. |
(c) | Does not reflect the expenses of the underlying funds in which the Fund invests. |
(d) | Represents the ratio of expenses to average net assets absent securities lending expense offset, fee waivers and/or expense reimbursements by the Adviser. |
(e) | Not annualized. |
(f) | Net realized and unrealized gain (loss) per share in this caption is a balancing amount necessary to reconcile the change in net asset value per share for the period, and may not reconcile with the aggregate gain (loss) on the Statements of Operations due to share transactions for the period. |
(g) | Recognition of net investment income by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests. The ratio does not include net investment income of the investment companies in which the Fund invests. |
See accompanying notes to financial statements.
62
Horizon Active Income Fund |
The table below sets forth financial data for one share of beneficial interest outstanding throughout each year.
Investor Class | ||||||||||||||||||||
For the | For the | For the | For the | For the | ||||||||||||||||
Net Asset Value, Beginning of Year | $ | 9.73 | $ | 9.56 | $ | 9.86 | $ | 10.11 | $ | 10.01 | ||||||||||
Income From Investment Operations: | ||||||||||||||||||||
Net investment income (a,d) | 0.30 | 0.25 | 0.16 | 0.13 | 0.15 | |||||||||||||||
Net gain (loss) from investments (both realized and unrealized) | (0.64 | ) | 0.17 | (0.36 | ) | (0.25 | ) | 0.10 | ||||||||||||
Total from investment operations | (0.34 | ) | 0.42 | (0.20 | ) | (0.12 | ) | 0.25 | ||||||||||||
Less Distributions: | ||||||||||||||||||||
From net investment income | (0.26 | ) | (0.25 | ) | (0.10 | ) | (0.13 | ) | (0.13 | ) | ||||||||||
Return of capital | — | — | — | — | (0.02 | ) | ||||||||||||||
Total Distributions | (0.26 | ) | (0.25 | ) | (0.10 | ) | (0.13 | ) | (0.15 | ) | ||||||||||
Net Asset Value, End of Year | $ | 9.13 | $ | 9.73 | $ | 9.56 | $ | 9.86 | $ | 10.11 | ||||||||||
Total Return | (3.58 | )% | 4.39 | % | (2.03 | )% | (1.18 | )% | 2.50 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of year (in 000's) | $ | 275,992 | $ | 200,521 | $ | 187,698 | $ | 169,725 | $ | 129,340 | ||||||||||
Ratio to average net assets: | ||||||||||||||||||||
Gross expenses (b,c) | 1.09 | %(e) | 1.21 | % | 1.28 | % | 1.28 | % | 1.30 | % | ||||||||||
Net expenses (b) ^ | 0.98 | %(e) | 1.18 | %+ | 1.24 | % | 1.24 | % | 1.24 | % | ||||||||||
Net investment income net of reimbursement (recapture) and securities lending expense offset (b,d) | 3.16 | % | 2.54 | % | 1.58 | % | 1.25 | % | 1.47 | % | ||||||||||
Portfolio turnover rate | 155 | % | 175 | % | 205 | % | 324 | % | 280 | % |
^ | The ratio of expenses to average net assets includes interest expense which was 0.00%, 0.00%, 0.00%, 0.00% and 0.00%, respectively. |
+ | Effective July 1, 2017, Shareholder Servicing Fees for Investor Class shares decreased from 0.25% to 0.10% of average daily net assets. |
(a) | Per share amounts are calculated using the average shares method. |
(b) | Does not reflect the expenses of the underlying funds in which the Fund invests. |
(c) | Represents the ratio of expenses to average net assets absent securities lending expense offset, fee waivers and/or expense reimbursements by the Adviser. |
(d) | Recognition of net investment income by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests. The ratio does not include net investment income of the investment companies in which the Fund invests. |
(e) | Effective March 30, 2018, the Operating Expense Limit for the Investor Class decreased from 1.09% to 0.99% and now excludes 0.10% of Shareholder Servicing Fees (See Note 3). |
See accompanying notes to financial statements.
63
Horizon Active Income Fund |
The table below sets forth financial data for one share of beneficial interest outstanding throughout each period/year.
Advisor Class | ||||||||||||
For the | For the | For the | ||||||||||
Net Asset Value, Beginning of Period/Year | $ | 9.76 | $ | 9.60 | $ | 9.84 | ||||||
Income From Investment Operations: | ||||||||||||
Net investment income (a,f) | 0.29 | 0.13 | 0.13 | |||||||||
Net gain (loss) from investments (both realized and unrealized) | (0.63 | ) | 0.28 | (0.30 | ) | |||||||
Total from investment operations | (0.34 | ) | 0.41 | (0.17 | ) | |||||||
Less Distributions: | ||||||||||||
From net investment income | (0.26 | ) | (0.25 | ) | (0.07 | ) | ||||||
Total Distributions | (0.26 | ) | (0.25 | ) | (0.07 | ) | ||||||
Net Asset Value, End of Period/Year | $ | 9.16 | $ | 9.76 | $ | 9.60 | ||||||
Total Return | (3.58 | )% | 4.31 | % | (1.74 | )%(e) | ||||||
Ratios/Supplemental Data | ||||||||||||
Net assets, end of period/year (in 000's) | $ | 1,587 | $ | 661 | $ | 6 | ||||||
Ratio to average net assets: | ||||||||||||
Gross expenses (c,d) | 1.24 | %(g) | 1.32 | % | 1.35 | %(b) | ||||||
Net expenses (c) ^ | 1.04 | %(g) | 1.24 | % | 1.25 | %(b) | ||||||
Net investment income net of reimbursement (recapture) and securities lending expense offset (c,f) | 3.07 | % | 1.37 | % | 1.70 | %(b) | ||||||
Portfolio turnover rate | 155 | % | 175 | % | 205 | %(e) |
* | Since February 8, 2016 (Commencement of Operations). |
^ | The ratio of expenses to average net assets includes interest expense which was 0.00%, 0.00% and 0.01%, respectively. |
(a) | Per share amounts are calculated using the average shares method. |
(b) | Annualized. |
(c) | Does not reflect the expenses of the underlying funds in which the Fund invests. |
(d) | Represents the ratio of expenses to average net assets absent securities lending expense offset, fee waivers and/or expense reimbursements by the Adviser. |
(e) | Not annualized. |
(f) | Recognition of net investment income by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests. The ratio does not include net investment income of the investment companies in which the Fund invests. |
(g) | Effective March 30, 2018, the Operating Expense Limit for the Advisor Class decreased from 1.24% to 1.09% and now excludes 0.25% of Distribution Fees (12b-1) (See Note 3). |
See accompanying notes to financial statements.
64
Horizon Active Income Fund |
The table below sets forth financial data for one share of beneficial interest outstanding throughout each period/year.
Institutional Class | ||||||||||||
For the | For the | For the | ||||||||||
Net Asset Value, Beginning of Period/Year | $ | 9.72 | $ | 9.57 | $ | 10.00 | ||||||
Income From Investment Operations: | ||||||||||||
Net investment income (a,f) | 0.31 | 0.25 | 0.04 | |||||||||
Net gain (loss) from investments (both realized and unrealized) | (0.63 | ) | 0.17 | (0.47 | ) | |||||||
Total from investment operations | (0.32 | ) | 0.42 | (0.43 | ) | |||||||
Less Distributions: | ||||||||||||
From net investment income | (0.27 | ) | (0.27 | ) | — | |||||||
Total Distributions | (0.27 | ) | (0.27 | ) | — | |||||||
Net Asset Value, End of Period/Year | $ | 9.13 | $ | 9.72 | $ | 9.57 | ||||||
Total Return | (3.33 | )% | 4.41 | % | (4.30 | )%(e) | ||||||
Ratios/Supplemental Data | ||||||||||||
Net assets, end of period/year (in 000's) | $ | 7,488 | $ | 8,084 | $ | 2,572 | ||||||
Ratio to average net assets: | ||||||||||||
Gross expenses (c,d) | 0.99 | % | 1.03 | % | 1.09 | %(b) | ||||||
Net expenses (c) ^ | 0.86 | % | 0.99 | % | 0.99 | %(b) | ||||||
Net investment income net of reimbursement (recapture) and securities lending expense offset (c,f) | 3.28 | % | 2.53 | % | 1.84 | %(b) | ||||||
Portfolio turnover rate | 155 | % | 175 | % | 205 | %(e) |
* | Since September 9, 2016 (Commencement of Operations). |
^ | The ratio of expenses to average net assets includes interest expense which was 0.00%, 0.00% and 0.00%, respectively. |
(a) | Per share amounts are calculated using the average shares method. |
(b) | Annualized. |
(c) | Does not reflect the expenses of the underlying funds in which the Fund invests. |
(d) | Represents the ratio of expenses to average net assets absent securities lending expense offset, fee waivers and/or expense reimbursements by the Adviser. |
(e) | Not annualized. |
(f) | Recognition of net investment income by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests. The ratio does not include net investment income of the investment companies in which the Fund invests. |
See accompanying notes to financial statements.
65
Horizon Active Dividend Fund |
The table below sets forth financial data for one share of beneficial interest outstanding throughout each period/year.
Investor Class | ||||||||
For the | For the | |||||||
Net Asset Value, Beginning of Period/Year | $ | 59.15 | $ | 50.00 | ||||
Income From Investment Operations: | ||||||||
Net investment income (a) | 1.18 | (e) | 0.66 | |||||
Net gain from investments (both realized and unrealized) | 1.61 | (e) | 9.01 | |||||
Total from investment operations | 2.79 | 9.67 | ||||||
Less Distributions: | ||||||||
From net investment income | (1.13 | ) | (0.52 | ) | ||||
From net realized gains | (0.78 | ) | — | |||||
Total Distributions | (1.91 | ) | (0.52 | ) | ||||
Net Asset Value, End of Period/Year | $ | 60.03 | $ | 59.15 | ||||
Total Return | 4.72 | % | 19.45 | %(d) | ||||
Ratios/Supplemental Data | ||||||||
Net assets, end of period/year (in 000's) | $ | 39,909 | $ | 24,509 | ||||
Ratio to average net assets: | ||||||||
Gross expenses (c) | 1.32 | % | 2.33 | %(b) | ||||
Net expenses | 1.09 | % | 1.09 | %(b) + | ||||
Net investment income net of reimbursement and securities lending expense offset | 1.93 | % | 1.24 | %(b) | ||||
Portfolio turnover rate | 320 | % | 184 | %(d) |
* | Since December 28, 2016 (Commencement of Operations). |
+ | Effective July 1, 2017, Shareholder Servicing Fees for Investor Class shares decreased from 0.25% to 0.10% of average daily net assets. |
(a) | Per share amounts are calculated using the average shares method. |
(b) | Annualized. |
(c) | Represents the ratio of expenses to average net assets absent securities lending expense offset, fee waivers and/or expense reimbursements by the Adviser. |
(d) | Not annualized. |
(e) | Due to timing of shareholder transactions, and allocations of expenses among share classes, the per unit amounts presented may not coincide with the aggregate presentation on the Statements of Operations. |
See accompanying notes to financial statements.
66
Horizon Active Dividend Fund |
The table below sets forth financial data for one share of beneficial interest outstanding throughout each period/year.
Advisor Class | ||||||||
For the | For the | |||||||
Net Asset Value, Beginning of Period/Year | $ | 59.13 | $ | 54.31 | ||||
Income From Investment Operations: | ||||||||
Net investment income (a) | 1.04 | (e) | 0.25 | |||||
Net gain from investments (both realized and unrealized) | 1.66 | (e) | 4.78 | |||||
Total from investment operations | 2.70 | 5.03 | ||||||
Less Distributions: | ||||||||
From net investment income | (1.05 | ) | (0.21 | ) | ||||
From net realized gains | (0.78 | ) | — | |||||
Total Distributions | (1.83 | ) | (0.21 | ) | ||||
Net Asset Value, End of Period/Year | $ | 60.00 | $ | 59.13 | ||||
Total Return | 4.57 | % | 9.28 | %(d) | ||||
Ratios/Supplemental Data | ||||||||
Net assets, end of period/year (in 000's) | $ | 10,892 | $ | 3,353 | ||||
Ratio to average net assets: | ||||||||
Gross expenses (c) | 1.48 | % | 2.12 | %(b) | ||||
Net expenses | 1.24 | % | 1.24 | %(b) | ||||
Net investment income net of reimbursement and securities lending expense offset | 1.71 | % | 1.01 | %(b) | ||||
Portfolio turnover rate | 320 | % | 184 | %(d) |
* | Since June 20, 2017 (Commencement of Operations). |
(a) | Per share amounts are calculated using the average shares method. |
(b) | Annualized. |
(c) | Represents the ratio of expenses to average net assets absent securities lending expense offset, fee waivers and/or expense reimbursements by the Adviser. |
(d) | Not annualized. |
(e) | Due to timing of shareholder transactions, and allocations of expenses among share classes, the per unit amounts presented may not coincide with the aggregate presentation on the Statements of Operations. |
See accompanying notes to financial statements.
67
Horizon Defined Risk Fund |
The table below sets forth financial data for one share of beneficial interest outstanding throughout the period.
Investor Class | ||||
For the | ||||
Net Asset Value, Beginning of Period | $ | 50.00 | ||
Income From Investment Operations: | ||||
Net investment income (a) | 0.44 | |||
Net gain (loss) from investments (both realized and unrealized) | 0.56 | |||
Total from investment operations | 1.00 | |||
Net Asset Value, End of Period | $ | 51.00 | ||
Total Return | 2.00 | %(d) | ||
Ratios/Supplemental Data | ||||
Net assets, end of period (in 000's) | $ | 5,915 | ||
Ratio to average net assets: | ||||
Gross expenses (c) | 2.28 | %(b) | ||
Net expenses | 1.04 | %(b) | ||
Net investment income net of reimbursement (recapture) and securities lending expense offset | 0.94 | %(b) | ||
Portfolio turnover rate | 89 | %(d) |
* | Since December 28, 2017 (Commencement of Operations). |
(a) | Per share amounts are calculated using the average shares method. |
(b) | Annualized. |
(c) | Represents the ratio of expenses to average net assets absent securities lending expense offset, fee waivers and/or expense reimbursements by the Adviser. |
(d) | Not annualized. |
See accompanying notes to financial statements.
68
Horizon Defined Risk Fund |
The table below sets forth financial data for one share of beneficial interest outstanding throughout the period.
Advisor Class | ||||
For the | ||||
Net Asset Value, Beginning of Period | $ | 50.58 | ||
Income From Investment Operations: | ||||
Net investment income (a) | 0.31 | (e) | ||
Net gain (loss) from investments (both realized and unrealized) | 0.09 | (e) | ||
Total from investment operations | 0.40 | |||
Net Asset Value, End of Period | $ | 50.98 | ||
Total Return | 0.77 | %(d) | ||
Ratios/Supplemental Data | ||||
Net assets, end of period (in 000's) | $ | 9,173 | ||
Ratio to average net assets: | ||||
Gross expenses (c) | 2.10 | %(b) | ||
Net expenses | 1.19 | %(b) | ||
Net investment income net of reimbursement (recapture) and securities lending expense offset | 0.75 | %(b) | ||
Portfolio turnover rate | 89 | %(d) |
* | Since February 2, 2018 (Commencement of Operations). |
(a) | Per share amounts are calculated using the average shares method. |
(b) | Annualized. |
(c) | Represents the ratio of expenses to average net assets absent securities lending expense offset, fee waivers and/or expense reimbursements by the Adviser. |
(d) | Not annualized. |
(e) | Due to timing of shareholder transactions, and allocations of expenses among share classes, the per unit amounts presented may not coincide with the aggregate presentation on the Statements of Operations. |
See accompanying notes to financial statements.
69
Horizon Funds |
1. ORGANIZATION
The Horizon Active Asset Allocation Fund, Horizon Active Risk Assist Fund, Horizon Active Income Fund, Horizon Active Dividend Fund and Horizon Defined Risk Fund (each a “Fund” and together the “Funds”) are each a series of shares of beneficial interest of Horizon Funds (the “Trust”), a Delaware business trust organized on May 21, 2015. The Horizon Active Asset Allocation Fund, Horizon Active Risk Assist Fund, Horizon Active Income Fund, and Horizon Defined Risk Fund are registered under the Investment Company Act of 1940, as amended (the “1940 Act”) as diversified, open-end management investment companies. The Horizon Active Dividend Fund is registered under the 1940 Act as a non-diversified, open-end management investment company. The investment objective of the Horizon Active Asset Allocation Fund is capital appreciation. The Fund presently offers Investor Class shares, Advisor Class shares and Institutional Class shares, which commenced operations on January 31, 2012, September 4, 2015 and September 9, 2016, respectively. The investment objective of the Horizon Active Risk Assist Fund is to capture the majority of the returns associated with equity market investments, while mitigating downside risk through use of a risk overlay strategy. The Fund presently offers Investor Class shares, Advisor Class shares and Institutional Class shares, which commenced operations on August 28, 2014, September 4, 2015 and September 9, 2016, respectively. The investment objective of the Horizon Active Income Fund is income. The Fund presently offers Investor Class shares, Advisor Class shares and Institutional Class shares, which commenced operations on September 30, 2013, February 8, 2016 and September 9, 2016, respectively. The investment objective of the Horizon Active Dividend Fund is capital appreciation and current income. The Fund presently offers Investor Class shares and Advisor Class shares, which commenced operations on December 28, 2016 and June 20, 2017, respectively. The investment objective of the Horizon Defined Risk Fund is capital appreciation and capital preservation. The Fund presently offers Investor Class shares and Advisor Class shares, which commenced operations on December 28, 2017 and February 2, 2018, respectively.
Organizational costs were incurred to establish the Horizon Defined Risk Fund and enable it to legally do business. These expenses were borne by the Adviser and are not subject to reimbursement by the Fund.
Each Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 “Financial Services – Investment Companies”.
2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”). The preparation of financial statements requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses for the year. Actual results could differ from those estimates.
In determining a Fund’s net asset value (“NAV”) per share, equity securities, including common stocks, preferred stocks, and exchange traded funds, for which market quotations are readily available are valued at current market value using the last reported sales price. NASDAQ traded securities are valued using the NASDAQ official closing price (“NOCP”). If the NOCP is not available, such securities shall be valued at the mean between the current bid and ask prices on the day of valuation, or if there has been no sale on such day, at the mean between the current bid and ask prices on the primary exchange. When market quotations received are from an active market, the securities will be classified within Level 1 of the fair value hierarchy. If market quotations are not readily available, then securities are valued at fair value as determined by the Board of Trustees of the Trust (“the Board”) or its delegate. Short-term debt instruments with a remaining maturity of more than 60 days, intermediate and long-term bonds, convertible bonds, and other debt securities are generally valued on the basis of dealer supplied quotations or by a pricing system selected by the Adviser and
70
Horizon Funds |
approved by the Board. Where such prices are not available, valuations will be obtained from brokers who are market makers for such securities. However, in circumstances where the Adviser deems it appropriate to do so, the mean of the bid and asked prices for over-the-counter securities or the last available sale price for exchange-traded debt securities may be used. Where no last sale price for exchange traded debt securities is available, the mean of the bid and asked prices may be used. Short-term debt securities with a remaining maturity of 60 days or less are amortized to maturity, provided such valuations represent fair value. Investments in registered open-end investment companies (including money market funds), other than exchange-traded funds, are valued at their reported NAVs. Purchased and written options are valued primarily at the mean of the bid and the ask.
Other securities and assets for which market quotations are not readily available or for which valuation cannot be provided, as described above, are valued as determined in good faith in accordance with procedures approved by the Board.
The Funds utilize various methods to measure the fair value of all of their investments on a recurring basis. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three levels of input are:
Level 1 – Unadjusted quoted prices in active markets for identical assets and liabilities that the Funds have the ability to access.
Level 2 – Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument in an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.
Level 3– Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available, representing the Funds’ own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available.
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.
The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety, is determined based on the lowest level input that is significant to the fair value measurement in its entirety.
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The following tables summarize the inputs used as of November 30, 2018, for the Funds’ investments measured at value:
Horizon Active Asset Allocation Fund | ||||||||||||||||
Assets* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Exchange Traded Funds | $ | 505,373,414 | $ | — | $ | — | $ | 505,373,414 | ||||||||
Purchased Call Options | — | 2,377,000 | — | 2,377,000 | ||||||||||||
Purchased Put Options | 130,000 | 121,875 | — | 251,875 | ||||||||||||
Short-Term Investments | 7,207,766 | — | — | 7,207,766 | ||||||||||||
Investments Purchased With Proceeds From Securities Lending | 1,707,825 | — | — | 1,707,825 | ||||||||||||
Total | $ | 514,419,005 | $ | 2,498,875 | $ | — | $ | 516,917,880 |
71
Horizon Funds |
Liabilities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Written Call Options | $ | 405,000 | $ | 36,750 | $ | — | $ | 441,750 | ||||||||
Written Put Options | 283,000 | 87,500 | — | 370,500 | ||||||||||||
Total | $ | 688,000 | $ | 124,250 | $ | — | $ | 812,250 |
Horizon Active Risk Assist Fund | ||||||||||||||||
Assets* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Exchange Traded Funds | $ | 639,513,696 | $ | — | $ | — | $ | 639,513,696 | ||||||||
Common Stocks | 49,381,446 | — | — | 49,381,446 | ||||||||||||
Purchased Call Options | — | 2,748,750 | — | 2,748,750 | ||||||||||||
Purchased Put Options | — | 240,625 | — | 240,625 | ||||||||||||
Short-Term Investments | 12,465,129 | — | — | 12,465,129 | ||||||||||||
Investments Purchased With Proceeds From Securities Lending | 25,680,541 | — | — | 25,680,541 | ||||||||||||
Total | $ | 727,040,812 | $ | 2,989,375 | $ | — | $ | 730,030,187 |
Liabilities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Written Call Options | $ | — | $ | 36,750 | $ | — | $ | 36,750 | ||||||||
Written Put Options | — | 175,000 | — | 175,000 | ||||||||||||
Total | $ | — | $ | 211,750 | $ | — | $ | 211,750 |
Horizon Active Income Fund | ||||||||||||||||
Assets* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Exchange Traded Funds | $ | 269,280,760 | $ | — | $ | — | $ | 269,280,760 | ||||||||
Preferred Stocks | 10,150,152 | — | — | 10,150,152 | ||||||||||||
Convertible Preferred Stocks | 1,200,976 | — | — | 1,200,976 | ||||||||||||
Purchased Put Options | — | 101,250 | — | 101,250 | ||||||||||||
Short-Term Investments | 4,316,777 | — | — | 4,316,777 | ||||||||||||
Investments Purchased With Proceeds From Securities Lending | 8,229,725 | — | — | 8,229,725 | ||||||||||||
Total | $ | 293,178,390 | $ | 101,250 | $ | — | $ | 293,279,640 |
Liabilities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Written Call Options | $ | — | $ | 94,000 | $ | — | $ | 94,000 | ||||||||
Total | $ | — | $ | 94,000 | $ | — | $ | 94,000 |
72
Horizon Funds |
Horizon Active Dividend Fund | ||||||||||||||||
Assets* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 49,067,534 | $ | — | $ | — | $ | 49,067,534 | ||||||||
Purchased Put Options | — | 16,705 | — | 16,705 | ||||||||||||
Short-Term Investments | 1,583,051 | — | — | 1,583,051 | ||||||||||||
Investments Purchased With Proceeds From Securities Lending | 70,364 | — | — | 70,364 | ||||||||||||
Total | $ | 50,720,949 | $ | 16,705 | $ | — | $ | 50,737,654 |
Liabilities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Written Put Options | $ | — | $ | 3,640 | — | $ | 3,640 | |||||||||
Total | $ | — | $ | 3,640 | $ | — | $ | 3,640 |
Horizon Defined Risk Fund | ||||||||||||||||
Assets* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 14,796,460 | $ | — | $ | — | $ | 14,796,460 | ||||||||
Purchased Put Options | — | 258,167 | — | 258,167 | ||||||||||||
Short-Term Investments | 191,918 | — | — | 191,918 | ||||||||||||
Investments Purchased With Proceeds From Securities Lending | 11,096 | — | — | 11,096 | ||||||||||||
Total | $ | 14,999,474 | $ | 258,167 | $ | — | $ | 15,257,641 |
Liabilities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Written Call Options | $ | — | $ | 86,860 | $ | — | $ | 86,860 | ||||||||
Written Put Options | — | 49,575 | — | 49,575 | ||||||||||||
Total | $ | — | $ | 136,435 | $ | — | $ | 136,435 |
* | Refer to the Portfolios of Investments for security classifications. |
Exchange Traded Funds – The Funds may invest in exchange traded funds (“ETFs”). ETFs are a type of registered investment company that is typically purchased and redeemed at net asset value (“NAV”) in large blocks of shares called “Creation Units”, and bought and sold in secondary markets on a securities exchange, where its shares trade like common stock. An index-based ETF represents a fixed portfolio of securities designed to track the performance and dividend yield of a particular domestic or foreign market index. Alternatively, ETFs may be actively managed in accordance with a particular investment strategy. The risks of owning an ETF generally reflect the risks of owning the underlying securities they hold, although the lack of liquidity on an ETF could result in it being more volatile.
Option Transactions – Options are derivative financial instruments that give the buyer, in exchange for a premium payment, the right, but not the obligation, to either purchase from (call option) or sell to (put option) the writer a specified underlying instrument at a specified price on or before a specified date. The Funds enter into option contracts to meet the requirements of their trading activities. The risk in writing a call option is that the Funds may incur a loss if the market price of the security increases and the option is exercised. The risk in writing a put option is that the Funds
73
Horizon Funds |
may incur a loss if the market price of the security decreases and the option is exercised. The risk in buying an option is that the Fund pays a premium whether or not the option is exercised. The Funds also have the additional risk of not being able to enter into a closing transaction if a liquid secondary market does not exist.
When a Fund writes a call or put option, an amount equal to the premium received is included in the statement of assets and liabilities as a liability. The amount of the liability is subsequently marked-to-market to reflect the current fair value of the option. If an option expires on its stipulated expiration date or if the Fund enters into a closing purchase transaction, a gain or loss is realized. If a written call or put option is exercised, a gain or loss is realized for the sale of the underlying security and the proceeds from the sale are increased by the premium originally received. As the writer of an option, the Fund has no control over whether the option will be exercised and, as a result, retains the market risk of an unfavorable change in price of the security underlying the written option.
A Fund may purchase put and call options. The Funds engage in options transactions on individual securities, ETFs, or indices to hedge against market declines or generate returns from falling asset prices. If such a decline occurs, the put options will permit the Fund to sell the securities underlying such options at the exercise price, or to close out the options at a profit. The premium paid for a put or call option plus any transaction costs will reduce the benefit, if any, realized by the Fund upon exercise of the option, and, unless the price of the underlying security rises or declines sufficiently, the option may expire worthless to the Fund. In addition, in the event that the price of the security in connection with which an option was purchased moves in a direction favorable to the Fund, the benefits realized by the Fund as a result of such a favorable movement will be reduced by the amount of the premium paid for the option and related transaction costs. Written and purchased options are non-income producing securities. With purchased options, there is minimal counterparty risk to the Fund since these options are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded options, guarantees against a possible default.
The average quarterly value outstanding of purchased and written options during the year ended November 30, 2018, were as follows:
| Horizon Active | Horizon Active | Horizon Active | Horizon Active | Horizon Defined | |||||||||||||||
Purchased Options | $ | 2,686,450 | $ | 2,591,496 | $ | 216,758 | $ | 6,726 | $ | 151,386 | ||||||||||
Written Options | $ | 1,284,331 | $ | 536,675 | $ | 146,034 | $ | 1,848 | $ | 142,838 |
The following is a summary of the location of derivative investments on the Funds’ Statements of Assets and Liabilities as of November 30, 2018:
Location on the Statements of Assets and Liabilities | |||
Fund | Derivatives Investment Type | Asset Derivatives | Liability Derivatives |
Horizon Active Asset Allocation Fund | Equity Risk Contracts | Investments in Unaffiliated Securities, at Value | Options Written, at Value |
Horizon Active Risk Assist Fund | Equity Risk Contracts | Investments in Unaffiliated Securities, at Value | Options Written, at Value |
Horizon Active Income Fund | Equity Risk Contracts | Investments in Unaffiliated Securities, at Value | Options Written, at Value |
Horizon Active Dividend Fund | Equity Risk Contracts | Investments in Unaffiliated Securities, at Value | Options Written, at Value |
Horizon Defined Risk Fund | Equity Risk Contracts | Investments in Unaffiliated Securities, at Value | Options Written, at Value |
74
Horizon Funds |
HorizonActive Asset Allocation Fund | ||||
Derivatives Investment Value | ||||
Purchased Options | $ | 2,628,875 | ||
Written Options | $ | 812,250 |
Horizon Active Risk Assist Fund | ||||
Derivatives Investment Value | ||||
Purchased Options | $ | 2,989,375 | ||
Written Options | $ | 211,750 |
Horizon Active Income Fund | ||||
Derivatives Investment Value | ||||
Purchased Options | $ | 101,250 | ||
Written Options | $ | 94,000 |
Horizon Active Dividend Fund | ||||
Derivatives Investment Value | ||||
Purchased Options | $ | 16,705 | ||
Written Options | $ | 3,640 |
Horizon Defined Risk Fund | ||||
Derivatives Investment Value | ||||
Purchased Options | $ | 258,167 | ||
Written Options | $ | 136,435 |
The following is a summary of the location of derivative investments on the Funds’ Statements of Operations for the year ended November 30, 2018:
Derivative Investment Type | Location of Gain (Loss) on Derivatives in the Statements of Operations |
Equity Risk contracts | Net realized gain (loss) from purchased options |
Net realized gain (loss) from written options | |
Net change in unrealized appreciation (depreciation) on purchased options | |
Net change in unrealized appreciation (depreciation) on written options |
Horizon Active Asset Allocation Fund | ||||
Realized gain/(loss) on derivatives recognized in the Statements of Operations | ||||
Derivative Investment Type |
| |||
Purchased Options | $ | 4,540,866 | ||
Written Options | 828,957 | |||
$ | 5,369,823 |
75
Horizon Funds |
Changes in unrealized appreciation/(depreciation) on derivatives recognized in the Statements of Operations | ||||
Purchased Options | $ | (1,693,194 | ) | |
Written Options | (178,311 | ) | ||
$ | (1,871,505 | ) |
Horizon Active Risk Assist Fund | ||||
Realized gain/(loss) on derivatives recognized in the Statements of Operations | ||||
Derivative Investment Type |
| |||
Purchased Options | $ | (2,505,597 | ) | |
Written Options | 5,745,151 | |||
$ | 3,239,554 |
Changes in unrealized appreciation/(depreciation) on derivatives recognized in the Statements of Operations | ||||
Purchased Options | $ | (365,520 | ) | |
Written Options | (747,382 | ) | ||
$ | (1,112,902 | ) |
Horizon Active Income Fund | ||||
Realized gain/(loss) on derivatives recognized in the Statements of Operations | ||||
Derivative Investment Type |
| |||
Purchased Options | $ | (1,590,017 | ) | |
Written Options | 359,232 | |||
$ | (1,230,785 | ) |
Changes in unrealized appreciation/(depreciation) on derivatives recognized in the Statements of Operations | ||||
Purchased Options | $ | 512,005 | ||
Written Options | (157,843 | ) | ||
$ | 354,162 |
Horizon Active Dividend Fund | ||||
Realized gain/(loss) on derivatives recognized in the Statements of Operations | ||||
Derivative Investment Type |
| |||
Purchased Options | $ | 253,649 | ||
Written Options | (36,539 | ) | ||
$ | 217,110 |
Changes in unrealized appreciation/(depreciation) on derivatives recognized in the Statements of Operations | ||||
Purchased Options | $ | (3,810 | ) | |
Written Options | (914 | ) | ||
$ | (4,724 | ) |
76
Horizon Funds |
Horizon Defined Risk Fund | ||||
Realized gain/(loss) on derivatives recognized in the Statements of Operations | ||||
Derivative Investment Type |
| |||
Purchased Options | $ | (234,238 | ) | |
Written Options | 287,903 | |||
$ | 53,665 |
Changes in unrealized appreciation/(depreciation) on derivatives recognized in the Statements of Operations | ||||
Purchased Options | $ | (114,021 | ) | |
Written Options | 88,971 | |||
$ | (25,050 | ) |
Offsetting of Financial Assets and Derivative Liabilities
The following table presents the Funds’ liability derivatives available for offset under a master netting arrangement net of collateral pledged for the Funds as of November 30, 2018:
Horizon Active Asset Allocation Fund | ||||||||||||||||||||||||
Liabilities: | Gross Amounts Not Offset | |||||||||||||||||||||||
Description | Gross Amounts | Gross Amounts | Net Amounts | Financial | Collateral | Net Amount | ||||||||||||||||||
Written Options | $ | 812,250 | (1) | $ | — | $ | 812,250 | $ | — | $ | (812,250 | )(2) | $ | — | ||||||||||
Total | $ | 812,250 | $ | — | $ | 812,250 | $ | — | $ | (812,250 | ) | $ | — |
Horizon Active Risk Assist Fund | ||||||||||||||||||||||||
Liabilities: | Gross Amounts Not Offset | |||||||||||||||||||||||
Description | Gross Amounts | Gross Amounts | Net Amounts | Financial | Collateral | Net Amount | ||||||||||||||||||
Written Options | $ | 211,750 | (1) | $ | — | $ | 211,750 | $ | — | $ | (211,750 | )(2) | $ | — | ||||||||||
Total | $ | 211,750 | $ | — | $ | 211,750 | $ | — | $ | (211,750 | ) | $ | — |
77
Horizon Funds |
Horizon Active Income Fund | ||||||||||||||||||||||||
Liabilities: | Gross Amounts Not Offset | |||||||||||||||||||||||
Description | Gross Amounts | Gross Amounts | Net Amounts | Financial | Collateral | Net Amount | ||||||||||||||||||
Written Options | $ | 94,000 | (1) | $ | — | $ | 94,000 | $ | — | $ | (94,000 | )(2) | $ | — | ||||||||||
Total | $ | 94,000 | $ | — | $ | 94,000 | $ | — | $ | (94,000 | ) | $ | — |
Horizon Active Dividend Fund | ||||||||||||||||||||||||
Liabilities: | Gross Amounts Not Offset | |||||||||||||||||||||||
Description | Gross Amounts | Gross Amounts | Net Amounts | Financial | Collateral | Net Amount | ||||||||||||||||||
Written Options | $ | 3,640 | (1) | $ | — | $ | 3,640 | $ | — | $ | (3,640 | )(2) | $ | — | ||||||||||
Total | $ | 3,640 | $ | — | $ | 3,640 | $ | — | $ | (3,640 | ) | $ | — |
Horizon Defined Risk Fund | ||||||||||||||||||||||||
Liabilities: | Gross Amounts Not Offset | |||||||||||||||||||||||
Description | Gross Amounts | Gross Amounts | Net Amounts | Financial | Collateral | Net Amount | ||||||||||||||||||
Written Options | $ | 136,435 | (1) | $ | — | $ | 136,435 | $ | — | $ | (136,435 | )(2) | $ | — | ||||||||||
Total | $ | 136,435 | $ | — | $ | 136,435 | $ | — | $ | (136,435 | ) | $ | — |
(1) | Written options at value as presented in the Portfolios of Investments. |
(2) | The amount is limited to the derivative liability balance and, accordingly, does not include excess collateral pledged. |
Due to the absence of a master netting agreement relating to the Funds’ participation in securities lending, no additional disclosures have been made on behalf of the Funds. Please reference Note 5 for collateral related to securities on loan.
Security Transactions and Investment Income – Investment security transactions are accounted for on a trade date basis. Cost is determined and gains and losses are based upon the specific identification method for both financial statement and federal income tax purposes. Dividend income and expense is recorded on the ex-dividend date and
78
Horizon Funds |
interest income is recorded on the accrual basis. Long-term capital gain distributions from investment companies are recorded separately from dividend income. Purchase discounts and premiums on securities are accreted and amortized over the life of the respective securities.
Expenses – Expenses of the Trust that are directly identifiable to a specific Fund are charged to that Fund. Expenses, which are not readily identifiable to a specific Fund, are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense and the relative sizes of the Funds in the Trust. Income, other non-class-specific expenses, and realized and unrealized gains and losses on investments are allocated to each class of shares based on its relative net assets.
Federal Income Taxes– It is each Fund’s policy to comply with all sections of the Internal Revenue Code applicable to regulated investment companies and to distribute all of its taxable income and gains to its shareholders and therefore, no provision for federal income tax has been made. Each Fund is treated as a separate taxpayer for federal income tax purposes.
The Funds recognize the tax benefits of uncertain tax positions only where the position is “more likely than not” to be sustained assuming examination by tax authorities. Management has analyzed the Funds’ tax positions, and has concluded that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions taken on returns filed for open tax years or expected to be taken in the Funds’ 2018 tax returns. The Funds identified their major tax jurisdictions as U.S. Federal, North Carolina State and Delaware State; however, the Funds are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months.
Distributions to Shareholders – Distributions from investment income, if any, are declared and paid at least annually for the Horizon Active Asset Allocation Fund, Horizon Active Risk Assist Fund and the Horizon Defined Risk Fund and quarterly for the Horizon Active Income Fund and Horizon Active Dividend Fund and are recorded on the ex-dividend date. The Funds will declare and pay net realized capital gains, if any, annually. The character of income and gains to be distributed is determined in accordance with income tax regulations, which may differ from GAAP.
Shareholder Services Plan– The Board has adopted a shareholder serving plan for Investor Class Shares (the “Plan”) of the Horizon Active Asset Allocation Fund, Horizon Active Risk Assist Fund, and the Horizon Active Income Fund. The Plan allows the Funds to use part of their assets for shareholder servicing expenses. The Shareholder Servicing Expenses for the Investor Class shares of the Horizon Active Asset Allocation Fund, Horizon Active Risk Assist Fund, and the Horizon Active Income Fund is 0.10% of average daily net assets. For these services, the Funds pay a fee up to 0.10% of average net assets attributable to Investor Class shares of the Funds on an annualized basis. Payments under the Plan are made for the provision of support services to shareholders, including administrative or other shareholder support services such as responding to customer inquiries or assisting the Funds in establishing or maintaining shareholder accounts and records. The entities providing shareholder services may provide such services directly, or may arrange for such services to be provided by another entity that has a servicing relationship with one or more shareholders. However, payments under the Plan are an operating expense of each Fund that is not subject to the expense limitation provided by the Adviser. Payments under the Plan may vary and are determined by the respective Fund in its sole discretion, in amounts up to 0.10% of the Fund’s average daily net assets attributable to Investor Class shares of the Fund on an annualized basis.
Rule 12b-1 – The Trust, with respect to all Funds, has adopted a Distribution Plan for Advisor Class shares of each Fund, and also for Investor Class shares of the Horizon Active Dividend Fund and the Horizon Defined Risk Fund pursuant to Rule 12b-1 under the 1940 Act (the “12b-1 Plan”). However, payments under the 12b-1 Plan are an operating expense of each Fund that is not subject to the expense limitation provided by the Adviser. The 12b-1 Plan provides for the payment of a distribution fee to Quasar Distributors, LLC (the “Distributor”) at an annualized rate of up to 0.25% of the average daily net assets attributable to the applicable classes. During the year endedNovember 30, 2018 the distribution fees
79
Horizon Funds |
accrued for the Investor Class shares of both the Horizon Active Dividend Fund and the Horizon Defined Risk Fund and Advisor Class shares of all Funds were 0.10% and 0.25% of average daily net assets, respectively. During the year ended November 30, 2018, the Horizon Active Asset Allocation Fund, Horizon Active Risk Assist Fund, Horizon Active Income Fund, Horizon Active Dividend Fund, and the Horizon Defined Risk Fund Advisor Class shares incurred $16,462, $954, $2,907, $20,523, and $15,596 respectively, pursuant to the plan. During the year ended November 30, 2018, the Horizon Active Dividend Fund and the Horizon Defined Risk Fund Investor Class shares incurred $28,122 and $2,502 respectively, pursuant to the plan. Investor Class shares of the Horizon Active Asset Allocation Fund, Horizon Active Risk Assist Fund and Horizon Active Income Fund and Institutional Class shares of Horizon Active Asset Allocation Fund, Horizon Active Risk Assist Fund and Horizon Active Income Fund do not pay any 12b-1 distribution fees.
Indemnification –The Trust indemnifies its officers and trustees for certain liabilities that may arise from the performance of their duties to the Trust. Additionally, in the normal course of business, the Funds enter into contracts that contain a variety of representations and warranties and which provide general indemnities. A Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred. However, based on experience, the Trust expects the risk of loss due to these warranties and indemnities to be remote.
3. ADVISORY FEE AND OTHER RELATED PARTY TRANSACTIONS
Pursuant to an Investment Advisory Agreement with each Fund (the “Advisory Agreements”), investment advisory services are provided to the Funds by Horizon Investments, LLC (the “Adviser”). Effective January 23, 2018, the Advisory fee rate decreased from 1.10% to 0.99% of the average daily net assets of the Horizon Active Asset Allocation Fund and the Horizon Active Risk Assist Fund. Under the terms of the Advisory Agreements, the Adviser receives monthly fees calculated at an annual rate of 0.99% of the average daily net assets of the Horizon Active Asset Allocation Fund, 0.99% of the average daily net assets of the Horizon Active Risk Assist Fund, 0.77% of the average daily net assets of the Horizon Active Income Fund, 0.75% of the average daily net assets of the Horizon Active Dividend Fund and 0.80% of the average daily net assets of the Horizon Defined Risk Fund as of November 30, 2018.
Pursuant to the Expense Limitation Agreement (the “Waiver Agreement”), the Advisor has agreed, until March 31, 2020, for each Fund, to waive a portion of the Fund’s advisory fee and has agreed to reimburse the Fund for other expenses to the extent that the aggregate expenses of every character, including but not limited to investment advisory fees of the Adviser (but excluding front-end or contingent sales loads; brokerage fees and commissions; acquired fund fees and expenses; borrowing costs, such as interest and dividend expense on securities sold short; payments by the Fund, if any, under the Trust’s Rule 12b-1 Distribution Plan; payments by the Fund, if any, under the Trust’s Shareholder Services Plan; expenses paid with securities lending expense offset credits; taxes; and extraordinary expenses, such as litigation) incurred by a class of shares of the Fund in any fiscal year do not exceed the percentage of average daily net assets in the below table.
Fund | Investor | Advisor | Institutional |
Horizon Active Asset Allocation Fund | 1.17%^ | 1.17%+ | 1.17% |
Horizon Active Risk Assist Fund | 1.17%^ | 1.17%+ | 1.17% |
Horizon Active Income Fund | 0.99%* | 0.99%# | 0.99% |
Horizon Active Dividend Fund | 0.99% | 0.99% | 0.99% |
Horizon Defined Risk Fund | 0.94% | 0.94% | 0.94% |
^ | Effective March 30, 2018, the Operating Expense Limit for the Investor Class decreased from 1.27% to 1.17% and now excludes 0.10% of Shareholder Servicing Fees. |
+ | Effective March 30, 2018, the Operating Expense Limit Agreement for the Advisor Class decreased from 1.42% to 1.17% and now excludes 0.25% of Distribution Fees (12b-1). |
* | Effective March 30, 2018, the Operating Expense Limit Agreement for the Investor Class decreased from 1.09% to 0.99% and now excludes 0.10% of Shareholder Servicing Fees. |
80
Horizon Funds |
# | Effective March 30, 2018, the Operating Expense Limit for the Advisor Class decreased from 1.24% to 0.99% and now excludes 0.25% of Distribution Fees (12b-1). |
If the Adviser waives any fee or reimburses any expense pursuant to the Waiver Agreement, and a Fund’s Operating Expenses are subsequently less than its respective limit described in the Waiver Agreement, the Adviser shall be entitled to reimbursement by that Fund. If the Funds’ Operating Expenses subsequently exceed the figures in the above table, the reimbursements shall be suspended. Any fees waived on expenses reimbursed are subject to possible recoupment by the Adviser within 36 months after such fees have been waived on expenses reimbursed; provided, however, that such expenses may only be reimbursed to the extent they were waived or paid after the date of the Waiver Agreement (or any similar agreement). No amounts will be paid to the Adviser in any fiscal quarter unless the Board determines that reimbursement is in the best interests of the Funds and their shareholders.
The table below contains the amounts of fee waivers and expense reimbursements subject to recapture by the Adviser through November 30 of the year indicated. The fee waivers and expense reimbursements incurred by the Predecessor funds are subject to recapture. During the year ended November 30, 2018, the Adviser recouped from Horizon Active Asset Allocation Fund, Horizon Active Risk Assist Fund, Horizon Active Income Fund, Horizon Active Dividend Fund and the Horizon Defined Risk Fund $143,922, $285,932, $189,886, $0 and $0, respectively.
Fund | 2019 | 2020 | 2021 | Total | ||||||||||||
Horizon Active Asset Allocation Fund | $ | 407,215 | $ | 484,350 | $ | 66,540 | $ | 958,105 | ||||||||
Horizon Active Risk Assist Fund | 216,992 | 479,594 | 86,367 | 782,953 | ||||||||||||
Horizon Active Income Fund | — | — | — | — | ||||||||||||
Horizon Active Dividend Fund | — | 63,967 | 68,437 | 132,404 | ||||||||||||
Horizon Defined Risk Fund | — | — | 87,874 | 87,874 |
Trustees – The Trust pays each Trustee of the Trust who is not an interested person an annual retainer of $26,000 for each fiscal year plus $6,000 for attendance at an in-person board meeting or $1,000 for attendance by telephone. In every instance, the cost of the fees are to be allocated among the participating Funds in accordance with a formula that takes into account the overall asset size of each affected Fund. The Trust also reimburses the Trustees for travel and other expenses incurred in attending meetings of the Board. Officers of the Trust and Trustees who are interested persons of the Trust do not receive any direct compensation from the Trust.
Chief Compliance Officer Compensation – The Board of Trustees renewed the approval of a compensation policy with respect to the Trust’s Chief Compliance Officer pursuant to which the Horizon Funds and the Adviser each pay 50% of the Chief Compliance Officer’s salary, with the portion paid by the Horizon Funds allocated among the Funds in accordance with their relative net assets.
4. INVESTMENT TRANSACTIONS
The cost of purchases and proceeds from the sale of securities, other than short-term securities, for the year ended November 30, 2018, were as follows:
Fund | Purchases | Sales | ||||||
Horizon Active Asset Allocation Fund | $ | 1,276,923,462 | $ | 1,182,633,057 | ||||
Horizon Active Risk Assist Fund | 1,805,842,000 | 1,511,600,627 | ||||||
Horizon Active Income Fund | 478,449,828 | 385,934,561 | ||||||
Horizon Active Dividend Fund | 132,699,753 | 107,751,762 | ||||||
Horizon Defined Risk Fund | 22,977,578 | 8,253,995 |
81
Horizon Funds |
5. SECURITIES LENDING
The Funds may lend domestic securities in their portfolios to approved brokers, dealers and financial institutions (but not individuals) under terms of participation in a securities lending program effective December 20, 2017, which is administered by U.S. Bank N.A. (the “Custodian”). On March 28, 2018, a special meeting of the Board was held to discuss the Securities Lending Program and the operational aspect of treating proceeds from Securities Lending activities as an offset to expenses of the Funds. Effective March 30, 2018, the Board approved an Amendment to the Securities Lending Agreement (the “Amendment”) whereby the Funds are entitled to utilize Securities Lending Income to offset costs and other charges incurred by the Funds with the Custodian or its affiliates or, as directed in writing by the Funds, other service providers. In the year ended November 30, 2018, these expenses included Administrative & Accounting Service Fees, Transfer Agent Fees, and Custodian Fees. As the Securities Lending Expense offset for the Horizon Active Income Fund exceeded charges incurred with the Custodian and its affiliates during the year, these expenses also included Legal Fees, Registration Fees, Printing and Postage Expenses, and Trustees’ Fees and Expenses, as allowed under the Amendment. The securities lending agreement requires that loans are collateralized in an amount equal to at least 102% at the outset of the loan and at least 100%, at all times thereafter, of the value of any loaned securities. The Funds receive compensation in the form of fees and earn interest on the cash collateral. The amount of fees depends on a number of factors including the type of security and length of the loan. Securities lending income is disclosed on the Statements of Operations as securities lending income (for the period before the Board approved the Amendment) and as a securities lending expense offset thereafter. The Funds continue to receive interest payments or dividends on the securities loaned during the borrowing year. Gain or loss on the fair value of securities loaned that may occur during the term of the loan will be for the account of the Funds. The Funds have the right under the terms of the securities lending agreement to recall the securities from the borrower on demand. During the year ended November 30, 2018, Funds had loaned securities and received cash collateral for the loans. The cash collateral is invested by the Custodian in accordance with approved investment guidelines. Those guidelines allow the cash collateral to be invested in readily marketable, high quality, short-term obligations issued or guaranteed by the United States Government; however, such investments are subject to risk of payment delays, declines in the value of collateral provided, default on the part of the issuer or counterparty, or otherwise may not generate sufficient interest to support the costs associated with securities lending. The Funds could also experience delays in recovering their securities and possible loss of income or value if the borrower fails to return the borrowed securities, although the Funds are indemnified from this risk by contract with the securities lending agent.
As of the year ended November 30, 2018, the value of the securities on loan and payable for collateral due to broker were as follows:
Value of Securities on Loan and Collateral Received
Fund | Values of | Fund Collateral | ||||||
Horizon Active Asset Allocation Fund | $ | 1,675,548 | $ | 1,707,825 | ||||
Horizon Active Risk Assist Fund | 25,179,130 | 25,680,541 | ||||||
Horizon Active Income Fund | 8,039,718 | 8,229,725 | ||||||
Horizon Active Dividend Fund | 64,735 | 70,364 | ||||||
Horizon Defined Risk Fund | 10,950 | 11,096 |
* | The cash collateral received was invested in the First American Government Obligations Fund, a money market fund subject to Rule 2a-7 under the 1940 Act with an overnight and continuous maturity, as shown on the Portfolios of Investments. These amounts were not included in the offsetting disclosure in Note 2 (Offsetting of Financial Assets and Derivative Liabilities). |
82
Horizon Funds |
6. LINE OF CREDIT ARRANGEMENT
Effective March 2, 2018, the Horizon Active Asset Allocation Fund, Horizon Active Risk Assist Fund, Horizon Active Income Fund, and the Horizon Active Dividend Fund are each party to an unsecured line of credit arrangement with the Custodian. The Loan Agreement has an expiration date of February 28, 2019, under which borrowing is limited to the lesser of 15% of the market value of a Fund, 33.33% of the market value of specific marketable securities of a Fund acceptable to the Custodian, or $50,000,000 for all the Funds subject to the line of credit. The Funds may utilize the line of credit for temporary or emergency purposes, primarily for financing redemption payments. The applicable Funds have authorized the Custodian to charge any of the Funds subject to the line of credit for any missed payments by the Funds. The Funds will be charged the prime rate, which was 5.25% as of November 30, 2018, if they borrow. For the year ended November 30, 2018, the Horizon Active Asset Allocation Fund had average borrowings of $3,186,500 and the weighted average interest rate on the line of credit borrowings was 5.25% which occurred between November 5, 2018 and November 6, 2018. On November 5, 2018, the Horizon Active Asset Allocation Fund had borrowings of $3,668,000, which represents the largest borrowing amount during the year ended November 30, 2018. For the Horizon Active Risk Assist Fund, Horizon Active Income Fund, and the Horizon Active Dividend Fund, there were no borrowings on the line of credit during the year ended November 30, 2018. None of the Funds had outstanding borrowings on the line of credit as of November 30, 2018.
7. DISTRIBUTIONS TO SHAREHOLDERS AND TAX COMPONENTS OF CAPITAL
The tax character of fund distributions paid for the years ended November 30, 2018 and November 30, 2017 was as follows:
For the year ended November 30, 2018 | ||||||||||||||||
Fund | Ordinary | Long-Term | Return of | Total | ||||||||||||
Horizon Active Asset Allocation Fund | $ | 45,761,474 | $ | 1,396,890 | $ | — | $ | 47,158,364 | ||||||||
Horizon Active Risk Assist Fund | 19,595,394 | — | — | 19,595,394 | ||||||||||||
Horizon Active Income Fund | 6,783,036 | — | — | 6,783,036 | ||||||||||||
Horizon Active Dividend Fund | 992,997 | — | — | 992,997 | ||||||||||||
Horizon Defined Risk Fund | — | — | — | — |
For the year ended November 30, 2017 | ||||||||||||||||
Fund | Ordinary | Long-Term | Return of | Total | ||||||||||||
Horizon Active Asset Allocation Fund | $ | 3,288,702 | $ | — | $ | — | $ | 3,288,702 | ||||||||
Horizon Active Risk Assist Fund | 2,745,980 | — | — | 2,745,980 | ||||||||||||
Horizon Active Income Fund | 4,876,613 | — | — | 4,876,613 | ||||||||||||
Horizon Active Dividend Fund | 713 | — | — | 713 |
On December 24, 2018, the Funds paid the following per share income distributions:
Fund | Investor | Advisor | Institutional | |||||||||
Horizon Active Asset Allocation Fund | $ | 0.08393966 | $ | 0.07034898 | $ | 0.09561637 | ||||||
Horizon Active Risk Assist Fund | 0.12440995 | 0.08679826 | 0.14083785 | |||||||||
Horizon Active Income Fund | 0.14775681 | 0.13793278 | 0.15598592 | |||||||||
Horizon Active Dividend Fund | 0.18563359 | 0.15545470 | — | |||||||||
Horizon Defined Risk Fund | 0.16937597 | 0.09978438 | — |
83
Horizon Funds |
On December 24, 2018, the Funds paid the following per share capital gains distributions from each class:
Fund | Short-Term* | Long-Term | ||||||
Horizon Active Asset Allocation Fund | $ | 0.59703 | $ | 0.12159 | ||||
Horizon Active Risk Assist Fund | 0.57838 | 0.05981 | ||||||
Horizon Active Income Fund | — | — | ||||||
Horizon Active Dividend Fund | 2.05126 | — | ||||||
Horizon Defined Risk Fund | 0.09162 | 0.01718 |
* | Short-Term Capital Gains distributions are considered income distributions for tax purposes. |
The cost basis of investments, purchased options and options written for federal income tax purposes at November 30, 2018, were as follows:
Fund | Cost of | Gross Tax | Gross Tax | Net Tax | ||||||||||||
Horizon Active Asset Allocation Fund | $ | 527,431,749 | $ | 5,582,284 | $ | (16,106,811 | ) | $ | (10,524,527 | ) | ||||||
Horizon Active Risk Assist Fund | 745,168,117 | 8,184,771 | (23,302,744 | ) | (15,117,973 | ) | ||||||||||
Horizon Active Income Fund | 298,330,361 | 532,538 | (5,618,343 | ) | (5,085,805 | ) | ||||||||||
Horizon Active Dividend Fund | 52,054,742 | 1,045,717 | (2,363,754 | ) | (1,318,037 | ) | ||||||||||
Horizon Defined Risk Fund | 15,302,080 | 1,003,799 | (959,267 | ) | 44,532 |
As of November 30, 2018, the components of accumulated earnings/(deficit) on a tax basis were as follows:
Fund | Undistributed | Undistributed | Capital | Other | Post October | Unrealized | Total | |||||||||||||||||||||
Horizon Active Asset Allocation Fund | $ | 22,998,025 | $ | 4,610,598 | $ | — | $ | (208,276 | ) | $ | — | $ | (10,524,527 | ) | $ | 16,875,820 | ||||||||||||
Horizon Active Risk Assist Fund | 20,740,673 | 2,026,444 | — | (291,580 | ) | — | (15,117,973 | ) | 7,357,564 | |||||||||||||||||||
Horizon Active Income Fund | 2,429,934 | — | — | (19,032,314 | ) | — | (5,085,805 | ) | (21,688,185 | ) | ||||||||||||||||||
Horizon Active Dividend Fund | 2,323,480 | — | — | — | — | (1,318,037 | ) | 1,005,443 | ||||||||||||||||||||
Horizon Defined Risk Fund | 121,434 | 9,611 | — | — | — | 44,532 | 175,577 |
The difference between book and tax basis, unrealized appreciation/depreciation, and accumulated net realized gain/(loss) from investments is attributable to mark to market and/or the tax deferral of losses on various investments.
84
Horizon Funds |
At November 30, 2018, the Funds had capital loss carry forwards for federal income tax purposes available to offset future capital gains as follows:
Non-Expiring | ||||||||||||
Fund | Short-Term | Long-Term | Total | |||||||||
Horizon Active Asset Allocation Fund | $ | — | $ | — | $ | — | ||||||
Horizon Active Risk Assist Fund | — | — | — | |||||||||
Horizon Active Income Fund | 15,957,640 | 3,074,674 | 19,032,314 | |||||||||
Horizon Active Dividend Fund | — | — | — | |||||||||
Horizon Defined Risk Fund | — | — | — |
The Funds did not utilize any capital loss carryforwards during the fiscal year.
Additionally, GAAP requires that certain components of net assets relating to permanent differences be reclassified between financial and tax reporting. These reclassifications have no effect on net assets or net asset value per share. These reclassifications were due to the use of equalization. Each Fund may utilize earnings and profits distributed to shareholders on redemption of shares as part of the dividends paid deduction. For the year ended November 30, 2018, the following table shows the reclassifications made:
Fund | Distributable | Paid in | ||||||
Horizon Active Asset Allocation Fund | $ | (6,869,252 | ) | $ | 6,869,252 | |||
Horizon Active Risk Assist Fund | (4,344,548 | ) | 4,344,548 | |||||
Horizon Active Income Fund | — | — | ||||||
Horizon Active Dividend Fund | (371,782 | ) | 371,782 | |||||
Horizon Defined Risk Fund | (7,027 | ) | 7,027 |
8. BENEFICIAL OWNERSHIP
The beneficial ownership, either directly or indirectly, of more than 25% of voting securities of a fund creates a presumption of control of that fund, under Section 2(a)(9) of the 1940 Act. As of November 30, 2018, the Horizon Active Asset Allocation Fund, Horizon Active Risk Assist Fund, Horizon Active Income Fund, Horizon Active Dividend Fund and Horizon Defined Risk Fund had omnibus shareholder accounts (comprised of a group of individual shareholders), which amounted to more than 25% of the total shares outstanding of the respective Fund. There were no individual shareholders of record who owned more than 5% of the outstanding shares of beneficial interest of a Fund or Class of shares of a Fund. Shareholders with a controlling interest could affect the outcome of proxy voting or direction of management of a Fund.
85
Horizon Funds |
9. INVESTMENTS IN AFFILIATES
An affiliated person of the Horizon Active Risk Assist Fund, as defined by the 1940 Act, may include any company in which the Fund owns five percent or more of its outstanding voting shares. Holdings and transactions in these affiliated companies for the year ended November 30, 2018 are as follows:
Security Name | Value At | Value of | Value of | Net Change | Net Realized | Dividend | Value At | Share | ||||||||||||||||||||||||
iShares Emerging Markets Dividend ETF* | $ | — | $ | 26,949,411 | $ | — | $ | 119,944 | $ | — | $ | — | $ | 27,069,355 | 698,564 | |||||||||||||||||
SPDR Portfolio S&P 500 Value ETF* | — | 202,699,519 | (67,916,540 | ) | (1,941,590 | ) | (2,119,766 | ) | 307,207 | 130,721,623 | 4,322,805 | |||||||||||||||||||||
X-Trackers Russell 1000 US QARP ETF* | — | 10,879,656 | (2,265,053 | ) | (363,143 | ) | (160,990 | ) | 40,213 | 8,090,470 | 311,535 | |||||||||||||||||||||
Total | $ | — | $ | 240,528,586 | $ | (70,181,593 | ) | $ | (2,184,789 | ) | $ | (2,280,756 | ) | $ | 347,420 | $ | 165,881,448 | 5,332,904 |
An affiliated person of the Horizon Active Income Fund, as defined by the 1940 Act, may include any company in which the Fund ownes five percent or more of its outstanding voting shares. Holdings and transactions in these affiliated companies for the year ended November 30, 2018 are as follows:
Security Name | Value At | Value of | Value of | Net Change | Net Realized | Dividend | Value At | Share | ||||||||||||||||||||||||
X-Trackers Short Duration High Yield Corporate Bond ETF* | $ | — | $ | 7,220,435 | $ | (1,491 | ) | $ | (184,774 | ) | $ | (8 | ) | $ | 192,135 | $ | 7,034,162 | 145,279 |
* | Affiliate as of November 30, 2018. |
The Horizon Active Income Fund was affiliated with the X-Trackers USD High Yield Corporate Bond ETF for the period December 1, 2017 to January 18, 2018. During that period the Horizon Active Income Fund received $246,062 in dividend income.
10. SUBSEQUENT EVENTS
Subsequent events after the date of the Statements of Assets and Liabilities have been evaluated through the date the financial statements were issued. Management has concluded that there is no impact requiring adjustment to or disclosure in the financial statements other than distributions noted in Note 7.
Effective January 23, 2019, the Board and the Adviser agreed to add the Horizon Defined Risk Fund to the Loan Agreement described in Note 6 due to the Fund’s asset growth during the fiscal year.
86
Horizon Funds |
As a shareholder of the Funds you incur ongoing costs, including management fees, sales charges, and other Fund operating expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds. Please note, the expenses shown in the tables are meant to highlight ongoing costs only and do not reflect any transactional costs.
This example is based on an investment of $1,000 invested for the period of time as indicated in the table below.
Actual Expenses: The column labeled “Actual” of the table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during the period.
Hypothetical Examples for Comparison Purposes: The column labeled “Hypothetical” of the table below provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual expense ratios and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs which may be applicable to your account. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Actual | Hypothetical | |||||
| Fund’s | Beginning | Ending | Expenses | Ending | Expenses |
Horizon Active Asset Allocation - Investor Class | 1.32% | $ 1,000.00 | $ 971.60 | $ 6.52 | $ 1,018.45 | $ 6.68 |
Horizon Active Asset Allocation - Advisor Class | 1.47% | $ 1,000.00 | $ 970.80 | $ 7.26 | $ 1,017.70 | $ 7.44 |
Horizon Active Asset Allocation - Institutional Class | 1.22% | $ 1,000.00 | $ 971.70 | $ 6.03 | $ 1,018.95 | $ 6.17 |
Horizon Active Risk Assist - Investor Class | 1.34% | $ 1,000.00 | $ 966.60 | $ 6.61 | $ 1,018.35 | $ 6.78 |
Horizon Active Risk Assist - Advisor Class | 1.49% | $ 1,000.00 | $ 1,030.30 | $ 7.19 | $ 1,017.85 | $ 7.14 |
Horizon Active Risk Assist - Institutional Class | 1.23% | $ 1,000.00 | $ 967.50 | $ 6.07 | $ 1,018.90 | $ 6.23 |
Horizon Active Income - Investor Class | 1.36% | $ 1,000.00 | $ 985.70 | $ 6.77 | $ 1,018.25 | $ 6.88 |
Horizon Active Income - Advisor Class | 1.40% | $ 1,000.00 | $ 986.10 | $ 6.97 | $ 1,018.05 | $ 7.08 |
Horizon Active Income - Institutional Class | 1.18% | $ 1,000.00 | $ 987.40 | $ 5.88 | $ 1,019.15 | $ 5.97 |
Horizon Active Dividend - Investor Class | 1.15% | $ 1,000.00 | $ 1,014.70 | $ 5.81 | $ 1,019.30 | $ 5.82 |
Horizon Active Dividend - Advisor Class | 1.30% | $ 1,000.00 | $ 1,014.00 | $ 6.56 | $ 1,018.55 | $ 6.58 |
Horizon Defined Risk - Investor Class | 1.02% | $ 1,000.00 | $ 1,027.40 | $ 5.18 | $ 1,019.95 | $ 5.16 |
Horizon Defined Risk - Advisor Class | 1.17% | $ 1,000.00 | $ 1,026.80 | $ 5.94 | $ 1,019.20 | $ 5.92 |
1 | The expense ratio excludes securities lending expense offset. |
2 | Expenses Paid During the Period are equal to the Funds’ annualized expense ratio, multiplied by the average account value over the period, multiplied by 183 days, and divided by 365 (to reflect the number of days in the period). |
87
Horizon Funds |
To the Shareholders and Board of Trustees of
Horizon Funds
Opinion on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the portfolios of investments, of Horizon Funds comprising Horizon Active Asset Allocation Fund, Horizon Active Risk Assist Fund, Horizon Active Income Fund, Horizon Active Dividend Fund, and Horizon Defined Risk Fund (the “Funds”) as of November 30, 2018, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, including the related notes, and the financial highlights for each of the three years in the period then ended for Horizon Active Asset Allocation Fund, Horizon Active Risk Assist Fund, and Horizon Active Income Fund, the related statement of operations for the year then ended, and the statements of changes in net assets and the financial highlights for each of the two periods in the period then ended, including the related notes, for Horizon Active Dividend Fund, and the related statements of operations and changes in net assets, including the related notes, and the financial highlights for the period December 28, 2017 (commencement of operations) through November 30, 2018, for Horizon Defined Risk Fund (collectively, for all Funds, referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the each of the Funds as of November 30, 2018, and the results of their operations, the changes in their net assets, and the financial highlights for each of the periods indicated above, in conformity with accounting principles generally accepted in the United States of America.
The Funds’ financial highlights for the periods ended November 30, 2015 and prior, were audited by other auditors whose report dated January 28, 2016, expressed an unqualified opinion on those highlights.
Basis for Opinion
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of November 30, 2018, by correspondence with the custodian and brokers. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the Funds’ auditor since 2015.
/s/ COHEN & COMPANY, LTD
COHEN & COMPANY, LTD.
Cleveland, Ohio
January 28, 2019
88
Horizon Funds |
Qualified Dividend Income/Dividends Received Deduction
For the fiscal year ended November 30, 2018, certain dividends paid by the Funds may be subject to a maximum tax rate of 23.8%, as provided for by the Jobs and Growth Tax Reconciliation Act of 2003. The percentage of dividends declared from ordinary income designated as qualified dividend income was as follows:
Fund Name | Qualified Dividend Income |
Horizon Active Asset Allocation Fund | 14.25% |
Horizon Active Risk Assist Fund | 30.35% |
Horizon Active Income Fund | 15.14% |
Horizon Active Dividend Fund | 26.24% |
Horizon Defined Risk Fund | 0.00% |
For corporate shareholders, the percent of ordinary income distributions qualifying for the corporate dividends received deduction for the fiscal year ended November 30, 2018 was as follows:
Fund Name | Dividends Received Deduction |
Horizon Active Asset Allocation Fund | 0.87% |
Horizon Active Risk Assist Fund | 2.07% |
Horizon Active Income Fund | 3.63% |
Horizon Active Dividend Fund | 16.56% |
Horizon Defined Risk Fund | 0.00% |
Short Term Capital Gain
The percentage of taxable ordinary income distributions that are designated as short-term capital gain distributions under Internal Revenue Section 871 (k)(2)(C) for Each Fund were as follows:
Fund Name | Short Term Capital Gain |
Horizon Active Asset Allocation Fund | 95.26% |
Horizon Active Risk Assist Fund | 88.64% |
Horizon Active Income Fund | 0.00% |
Horizon Active Dividend Fund | 37.05% |
Horizon Defined Risk Fund | 0.00% |
89
Horizon Funds |
Information pertaining to the Directors and Officers of the Trust is set forth below. The Statement of Additional Information (SAI) includes additional information about the Directors and is available with charge, upon request, by calling 1-855-754-7832.
Independent Trustees | ||||
Name, Address* | Position/Term | Principal Occupation During | Number of | Other |
John W. Davidson Year of Birth: 1946 | Trustee; Indefinite Term of Office | Director, President & Chief Economist of PartnerRe Asset Management Corporation; Chief Investment Officer of Partner Reinsurance Company of the US (2001-2008); Creator, author and founder of John Davidson’s Economic Comments (2009-Present). | 5 | Trustee, AdvisorOne Funds (7 portfolios). |
Todd W. Gaylord Year of Birth: 1975 | Trustee; Indefinite Term of Office | Consultant (financial services) since 2012; Owner, McCauley Street Partners, Inc. (real estate brokerage firm) (2009-2014); Vice President, Corporate Bond, Syndicated Loan, and Credit Default Swap Trader, Wachovia Securities (2005-2008). | 5 | None |
Thomas W. Okel Year of Birth: 1962 | Trustee; Indefinite Term of Office | Executive Director (since 2011), Catawba Lands Conservancy; Global Head of Syndicated Capital Markets (1998-2010), Bank of America Merrill Lynch. | 5 | Trustee, Barings Funds Trust (8 portfolios); Trustee, Barings Global Short Duration High Yield Fund (1 portfolio). |
* | The address for each Trustee and officer is 6210 Ardrey Kell Road, Suite 300, Charlotte, North Carolina 28277. |
90
Horizon Funds |
Interested Trustees and Officers | ||||
Name, Address* | Position/Term | Principal Occupation During | Number of | Other |
Robert J. Cannon** Year of Birth: 1972 | Interested Trustee Indefinite Term of Office (since 2015) and President; One Year Term of Office (since 2015) | President and CEO of Horizon Investments, LLC | 5 | None |
Matthew Chambers Year of Birth: 1976 | Vice President, Chief Compliance Officer and Secretary; One Year Term of Office (since 2015) | General Counsel and Chief Compliance Officer of Horizon Investments, LLC, December 2014-present; Attorney, Kilpatrick Townsend & Stockton, September 2008- November 2014 | Not Applicable | Not Applicable |
Steve Terry*** Year of Birth: 1980 | Treasurer; One Year Term of Office (Since October 2018) | Head of Finance and Business Systems of Horizon Investments, LLC, August 2016-present; Co-Founder, Catamaran Investment Partners, 2015-August 2016; Principal, Intersection Partners, 2011-2015 | Not Applicable | Not Applicable |
* | The address for each Trustee and officer is 6210 Ardrey Kell Road, Suite 300, Charlotte, North Carolina 28277. |
** | Mr. Cannon is considered an “interested person” of the Trust, as defined in the 1940 Act, because of his current position with the Adviser. |
*** | Benjamin Johnson served as Treasurer from 2015 - October 2018 at which point he was replaced by Steve Terry. |
91
PRIVACY NOTICE (Unaudited)
February 2016
FACTS | WHAT DOES HORIZON FUNDS DO WITH YOUR PERSONAL INFORMATION? | ||
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. | ||
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:
● Social Security number and account information ● Account balance and transaction history ● Wire Transfer Instructions | ||
How? | All financial companies need to share your personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Horizon Funds chooses to share; and whether you can limit this sharing. | ||
Reasons we can share your personal information | Does Horizon Funds share? | Can you limit this sharing? | |
For our everyday business purposes — | Yes | No | |
For our marketing purposes — | No | We don’t share | |
For joint marketing with other financial companies | No | We don’t share | |
For our affiliates’ everyday business purposes — | No | We don’t share | |
For non-affiliates to market to you | No | We don’t share |
Questions? | Call 1-855-754-7932 |
92
Page 2 | |
Who we are |
|
Who is providing this notice? | Horizon Funds |
What we do |
|
How does Horizon Funds protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. |
How does Horizon Funds collect my personal information? | We collect your personal information, for example, when you
● Open an account ● Provide account information ● Give us your contact information ● Make deposits or withdrawals from your account ● Make a wire transfer ● Tell us where to send the money ● Tell us who receives the money ● Show your government-issued ID ● Show your driver’s license |
Why can’t I limit all sharing? | Federal law gives you the right to limit only
● Sharing for affiliates’ everyday business purposes – information about your creditworthiness ● Affiliates from using your information to market to you ● Sharing for non-affiliates to market to you
State laws and individual companies may give you additional rights to limit sharing. |
Definitions |
|
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.
●Our affiliates include companies such as Horizon Investments, LLC. |
Non-affiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies
● Non-affiliates we share with can include financial companies such as custodians, transfer agents, registered representatives, financial advisers, and nonfinancial companies such as fulfillment, proxy voting, and class action service providers. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.
●Horizon Funds does not jointly market. |
Investment Adviser
Horizon Investments, LLC
6210 Ardrey Kell Road, Suite 300
93
Investment Adviser
Horizon Investments, LLC
6210 Ardrey Kell Road, Suite 300
Charlotte, NC 28277
Distributor
Quasar Distributors, LLC
615 East Michigan Street
Milwaukee, WI 53202
Custodian
U.S. Bank N.A.
Custody Operations
1555 N. RiverCenter Drive, Suite 302
Milwaukee, WI 53212
Transfer Agent, Fund Accountant and Fund Administrator
U.S. Bancorp Fund Services, LLC, doing business as U.S. Bank Global Fund Services
615 East Michigan Street
Milwaukee, WI 53202
Independent Registered Public Accounting Firm
Cohen & Company, Ltd.
1350 Euclid Avenue, Suite 800
Cleveland, OH 44115
Legal Counsel
Kilpatrick Townsend & Stockton LLP
1001 West Fourth Street
Winston-Salem, NC 27101
How to Obtain Proxy Voting Information
Information regarding how the Funds vote proxies relating to portfolio securities for the 12 month period ended June 30th as well as a description of the policies and procedures that the Funds used to determine how to vote proxies is available without charge, upon request, by calling l-855-754-7932 or by referring to the Securities and Exchange Commission’s (“SEC”) website athttp://www.sec.gov.
How to Obtain 1st and 3rd Fiscal Quarter Portfolio Holdings
The Funds file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Form N-Q is available on the SEC’s website athttp://www.sec.gov. The information on Form N-Q is available without charge, upon request, by calling 1-855-754-7932.
Item 2. Code of Ethics.
The registrant has adopted a code of ethics that applies to the registrant’s principal executive officer and principal financial officer. The registrant has not made any amendments to its code of ethics during the period covered by this report. The registrant has not granted any waivers from any provisions of the code of ethics during the period covered by this report.
Incorporated by reference to the Registrant’s Form N-CSR filed February 1, 2018.
Item 3. Audit Committee Financial Expert.
The registrant’s board of trustees has determined that there is at least one audit committee financial expert serving on its audit committee. Todd Gaylord is the “audit committee financial expert” and is considered to be “independent” as each term is defined in Item 3 of Form N-CSR.
Item 4. Principal Accountant Fees and Services.
The registrant has engaged its principal accountant, Cohen & Company, Ltd., to perform audit services, audit-related services, and tax services during the past fiscal year. “Audit services” refer to performing an audit of the registrant's annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for the fiscal year. “Audit-related services” refer to the assurance and related services by the principal accountant that are reasonably related to the performance of the audit. “Tax services” refer to professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning. The following table details the aggregate fees billed or expected to be billed for each of the last two fiscal years for audit fees, audit-related fees, tax fees and other fees by the principal accountant.
FYE 11/30/2018 | FYE 11/30/2017 | |
Audit Fees | $75,000 | $56,000 |
Audit-Related Fees | $0 | $0 |
Tax Fees | $15,000 | $12,000 |
All Other Fees | $0 | $0 |
The percentage of fees billed by Cohen & Company, Ltd. for the fiscal years ended November 30, 2018 and November 30, 2017, respectively, applicable to non-audit services pursuant to a waiver of the pre-approval requirement was as follows:
FYE 11/30/2018 | FYE 11/30/2017 | |
Audit-Related Fees | 0% | 0% |
Tax Fees | 0% | 0% |
All Other Fees | 0% | 0% |
All of the principal accountant’s hours spent on auditing the registrant’s financial statements were attributed to work performed by full-time permanent employees of the principal accountant. The following table indicates the non-audit fees billed or expected to be billed by the registrant’s accountants for services to the registrant and to the registrant’s investment adviser or Service Affiliates (as defined below) for the last two years.
Non-Audit Related Fees | FYE 11/30/2018 | FYE 11/30/2017 |
Registrant | $7,360 | $0 |
Registrant’s Investment Adviser | $0 | $0 |
Because the registrant’s accountants have not rendered any non-audit services during the last two fiscal years to the registrant’s investment adviser, or any entity controlling, controlled by or under common control with the investment adviser that provides ongoing services to the registrant (together with the registrant’s investment adviser, “Service Affiliates”) that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, the registrant’s board of directors has not considered whether the provision of such services to the registrant’s investment adviser or the Service Affiliates is compatible with maintaining the independence of the registrant’s accountant.
Item 5. Audit Committee of Listed Registrants.
Not applicable to registrants who are not listed issuers (as defined in Rule 10A-3 under the Securities Exchange Act of 1934).
Item 6. Investments.
(a) | Schedule of Investments is included as part of the report to shareholders filed under Item 1 of this Form. |
(b) | Not Applicable. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable to open-end investment companies.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable to open-end investment companies.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable to open-end investment companies.
Item 10. Submission of Matters to a Vote of Security Holders.
The registrant has not adopted any procedure by which shareholders may recommend nominees to the registrant’s board of directors.
Item 11. Controls and Procedures.
(a) | The registrant's principal executive officer and principal financial officer have concluded, based on an evaluation of the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended) as of a date within 90 days prior to the filing date of this Form N-CSR, that the disclosure controls and procedures are effectively designed to ensure that information required to be disclosed by the registrant in this Form N-CSR is recorded, processed, summarized and reported by the filing date, including ensuring that information required to be disclosed in this Form N-CSR is accumulated and communicated to the registrant's management, including the registrant's principal executive officer and principal financial officer, as appropriate, to allow timely decisions regarding required disclosure. |
(b) | There were no significant changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940, as amended) that occurred during the second fiscal quarter covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable to open-end investment companies.
Item 13. Exhibits.
(a) | (1)Any code of ethics or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy Item 2 requirements through filing an exhibit.Incorporated by reference to the Registrant’s Form N-CSR filed February 1, 2018. |
(2)A separate certification for each principal executive and principal financial officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.Filed herewith.
(3)Any written solicitation to purchase securities under Rule 23c-1 under the Act sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons.Not applicable to open-end investment companies.
(4)Change in the registrant’s independent public accountant. There was no change in the registrant’s independent public accountant for the period covered by this report.
(b) | Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. Furnished herewith. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) | Horizon Funds | |
By (Signature and Title)* | /s/ Robert Cannon | |
Robert Cannon, President and Principal Executive Officer | ||
Date: | 2/7/2019 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)* | /s/ Robert Cannon | |
Robert Cannon, President and Principal Executive Officer | ||
Date: | 2/7/2019 | |
By (Signature and Title)* | /s/ Stephen Terry | |
Stephen Terry, Treasurer and Principal Financial Officer | ||
Date: | 2/6/2019 |
* | Print the name and title of each signing officer under his or her signature. |