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, 2019
Date of reporting period:December 1, 2018 through November 30,2019
Item 1. Reports to Stockholders.
HORIZON FUNDS | Annual Report |
Horizon Active Asset Allocation Fund | Horizon Active Risk Assist® Fund | |||||
Investor Class
Advisor Class
Institutional Class | Shares
Shares
Shares | AAANX
HASAX
HASIX | Investor Class
Advisor Class
Institutional Class | Shares
Shares
Shares | ARANX
ARAAX
ACRIX |
Horizon Active Income Fund | Horizon Active Dividend Fund | |||||
Investor Class
Advisor Class
Institutional Class | Shares
Shares
Shares | AIMNX
AIHAX
AIRIX | Investor Class
Advisor Class | Shares
Shares | HNDDX
HADUX |
Horizon Defined Risk Fund | Horizon Multi-Asset Income Fund | |||||
Investor Class
Advisor Class | Shares
Shares | HNDRX
HADRX | Investor Class | Shares | HMANX |
Horizon Defensive Multi-Factor Fund | ||
Investor Class | Shares | USRAX |
November 30, 2019 |
Investor Information: 1-855-754-7932
This report and the financial statements contained herein are submitted for the general information of shareholders and are not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus. Nothing herein contained is to be considered an offer of sale or solicitation of an offer to buy shares of HORIZON ACTIVE ASSET ALLOCATION FUND, HORIZON ACTIVE RISK ASSIST® FUND, HORIZON ACTIVE INCOME FUND, HORIZON ACTIVE DIVIDEND FUND, HORIZON DEFINED RISK FUND, HORIZON MULTI-ASSET INCOME FUND, and HORIZON DEFENSIVE MULTI-FACTOR 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 | 6 |
Portfolio Composition | 13 |
Portfolio of Investments | 15 |
Statements of Assets and Liabilities | 75 |
Statements of Operations | 77 |
Statements of Changes in Net Assets | 79 |
Financial Highlights | 86 |
Notes to Financial Statements | 101 |
Disclosure of Fund Expenses | 124 |
Report of Independent Registered Public Accounting Firm | 125 |
Approval of the Management Agreements | 127 |
Additional Information | 129 |
Privacy Notice | 132 |
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, 2019.
Horizon Active Asset Allocation Fund
The Horizon Active Asset Allocation Fund (Investor Class) returned 7.23% for the fiscal year ended November 30, 2019. Domestic equities (as measured by the S&P 500 Total Return Index) returned 16.11%, while international equities returned 10.98% (as measured by the S&P Global BMI ex-US Index) over the same period.
As a tactical allocation strategy designed to improve the risk/reward characteristics of a more traditional core equity holding, the Fund had some difficulty navigating the volatile environment in the prior year. Market leadership, both at a regional and style level, varied throughout the year and was subject to binary headline risk. Domestic equities lagged global markets in the sharp pullback last December and did not overtake global equities until the spring, coinciding roughly with the escalation of the trade dispute between the U.S. and China. Throughout this time, growth was the dominant style in the U.S., as investors paid up for future earnings prospects in shares less likely to be influenced by trade concerns. A sharp rotation in late August/early September saw market leadership change again at both the regional and style level, with value leading growth and international leading domestic. Navigating these rotations was a key factor in the Fund’s performance throughout the year. The Fund entered underweight foreign stocks and increased the preference for U.S. stocks as the year went on. Toward the end of the year the Fund rotated to a foreign overweight position as signs of a bottoming in global growth appeared and resolution around the trade dispute looked likely.
Key drivers of Fund performance were the U.S. overweight and allocations to large cap technology shares, which are generally considered to be relatively immune to the slowdown in global growth. Key detractors include direct positioning in Chinese equities and option positioning for both as hedges and portfolio enhancement.
Horizon Active Risk Assist Fund
The Horizon Active Risk Assist Fund (Investor Class) realized a return of 2.52% for the fiscal year ended November 30, 2019, which trailed domestic and international equities. Domestic equities (as measured by the S&P 500 Total Return Index) returned 16.11%, while international equities returned 10.98% (as measured by the S&P Global BMI ex-US Index) over the same period.
As a risk mitigation strategy, the Fund performed in line with expectations, with realized volatility of 11.32%, lower than domestic equities (with a realized volatility of 15.60%) but slightly above international equities (with a realized volatility of 9.86%). The Fund also realized a maximum drawdown of -9.82% which was about one-third less than the S&P 500 drawdown of -15.74% and around the same drawdown as the S&P Global BMI ex-US of -9.30%
The Fund held a 20-45% allocation to international equities at various times throughout the year. Additionally, allocations towards domestic growth in large-cap stocks contributed the most to the Fund’s return, while allocations towards China detracted the most from the Fund’s return over the fiscal year.
The Fund had some de-risking activity throughout the fiscal year in an environment that was quick to sell off and quick to recover, (“de-risk” meaning a partial re-allocation of Fund assets away from global equities and towards U.S. Treasury-related securities). The first such event was the 2018 fourth quarter market selloff where the Fund partially de-risked. The market was quick to recover the losses in January and the Fund lagged due to being only 40% invested and 60% de-risked. The Fund was fully invested by the beginning of April. There were two other de-risking events where the Fund de-risked 10% each. The first was the period between 05/29-06/21. This was due to the selloff which was triggered by trade war escalations. The second was the period 08/06-09/13, which was also trade war related.
1
Horizon Funds |
As of the end of the fiscal year ended November 30, 2019, the Fund was 100% invested in its primary strategy. It was a challenging market for the Risk Assist strategy due to an environment with both sharp drawdowns and sharp recoveries.
Horizon Active Income Fund
The Horizon Active Income Fund (Investor Class) was up 6.78% for the fiscal year ended November 30, 2019, while the broader bond market (as measured by Bloomberg Barclays Aggregate Bond Index) was up 10.79%.
As a flexible fixed income strategy designed to opportunistically navigate through non-traditional fixed income market segments to improve the risk/reward of traditional core fixed income, the Fund had some difficulty amidst a very strong year for government debt. The Federal Reserve Board (Fed), after delivering four interest rate hikes in the prior year, began the year by hiking rates in December and was expected to do so a few more times in 2019. Instead, a rapid pivot by the Chairman in January ignited expectations of lower rates to come. Indeed, the Fed lowered interest rates three times in the back half of the year, driving a very strong year for U.S. government debt as curves flattened across the globe. Spreads, the additional yield over that on the equivalent maturity U.S. Treasury debt, on corporate bonds, both investment grade and high yield, widened in December as risk aversion took hold in the U.S. equity market. From there, spreads tightened throughout the year with minor stress seen during periods of heightened equity market volatility as the trade dispute escalated.
Key drivers of Fund performance were the overweight to credit, both investment grade and high yield, as well as opportunistic additions in the high yield space in the stressed period early in the year. Key detractors include core mortgage bond holdings and emerging market local currency government debt, as well as option positions during the early part of the year.
Horizon Active Dividend Fund
The Horizon Active Dividend Fund (Investor Class) posted a total return of 3.67% for the fiscal year ended November 30, 2019, versus the S&P Global 100 Index, which was up 15.30%.
Ebbs and flows in the trade dispute between the U.S. and China were the primary driver of return dispersion between sectors, countries and individual stocks over the past year. Daily, weekly and monthly changes in trade policy rhetoric (specifically the level and timing of tariffs) created an environment of abnormally high economic and fundamental uncertainty for company managements the likes of which global investors rarely see. This level of uncertainty made it a difficult environment for investment professionals who invest in temporarily out-of-favor stocks with compelling valuations, quality businesses, talented management teams and positive catalysts in place to improve investors’ perception of the company’s future prospects. Projecting future prospects of a global company is challenging when the ever-changing potential outcome of trade policy can affect a company’s input costs and sales growth by a wide range - resulting in a range of probabilistic sales and uncertain earnings estimates that can ultimately impact the future valuation of its stock. In such an environment, we believe it pays to be conservative - which is what we did. Our cash position throughout the year also detracted from performance.
That said, an uncertain and volatile global market environment can create investment opportunities when investor overreaction results in undervaluation.
Semiconductor companies presented such an opportunity this year. Skyworks and Qualcomm were the best performing holdings in the Fund during the period. We believe the companies’ exposure to the rapidly growing 5G infrastructure market make them attractive long-term growth companies. Despite attractive long-term fundamentals, Skyworks and Qualcomm’s stocks sold off when trade rhetoric became raucous due to both companies’ meaningful exposure to China. When they did, we found their historically high dividend yields and compelling long-term growth prospects attractive. Given both companies’ meaningful market positions in their respective segment of the rapidly growing 5G
2
Horizon Funds |
infrastructure market combined with strong intellectual property portfolios and deep customer relations, we believed their growth prospects would remain intact despite future trade policy. Our assessment was confirmed during our holding period.
Banks were another group that presented an abundance of opportunity this year. In March of 2019, bank stocks sold off hard following a dovish Fed meeting that suggested a bearish tilt on economic growth that was inconsistent with bank management’s positive messaging at the time. The selloff depressed bank stock prices to levels that drove their dividend yields to near all-time highs. We thought this ironic given that, in general, banks’ capital ratios (e.g., Tier 1 Capital Ratio measuring a bank’s core equity capital against its total risk-weighted assets) and dividend coverage ratios (the ratio of the company’s net income divided by the dividend paid to shareholders) - which federal regulators have monitored, tested and approved since the financial crisis in 2008 - are at their best levels in history - all of which led us to believe that banks were extraordinarily attractive investment following the selloff. We began accumulating shares of high quality regional banks at compelling prices given their well covered, historically high dividend yields (exceeding 4% in most cases), strong balance sheets and improving growth prospects given the strengthening U.S. economy. The Fund’s overweight to Bank stocks meaningfully contributed to performance during the year.
The primary detractors from the Fund’s performance for the year vs. the S&P Global 100 benchmark were an underweight to the Technology sector, an overweight to cash and poor stock selection in Consumer Discretionary and Industrials, two sectors that were highly impacted by volatile trade policy rhetoric and the potential impact of devastatingly high tariffs.
The Fund was underweight Technology during the year due to the paucity of adequate dividend yields available within the sector and concerns with broad-based Technology stocks’ overvaluation.
Stock selection in Consumer Discretionary and Industrials was hampered by uncertain trade policy and prospects of higher tariffs. Tapestry in the Consumer Discretionary sector represents a company with durable high quality brands (Coach, Kate Spade, Stuart Weitzman), significant free cash flow generation (defined as net cash from operations less capital expenditures and dividends paid), a well-covered dividend yield near historic highs and solid growth prospects from a strong U.S. consumer combined with increasing penetration into Emerging Markets. Yet its exposure to the Chinese consumer market, the potential for higher tariffs and a longer-than-expected turnaround at Kate Spade hurt the company’s stock during the year and detracted from the Fund’s performance.
In the Industrial sector, 3M represents a defensive high quality stalwart that was significantly impacted by the U.S.-China trade conflict. China and surrounding countries represent approximately one-third of 3M’s revenue with additional exposure coming through 3M’s broad customer base in Automotive and Electronic industries. Customers unexpectedly began slowing orders early in the year due to trade policy uncertainty, forcing 3M to report disappointing earnings and lower earnings expectations for the remainder of the year. As a result, 3M’s stock underperformed the benchmark and detracted from Fund performance.
Horizon Defined Risk Fund
The Defined Risk Fund’s objective is to invest in a basket of equities that track the S&P 500 Total Return Index, while seeking to generate income, hedge volatility, and reduce downside risk by buying and selling put and call options. The Horizon Defined Risk Fund should experience less volatility than the S&P 500 Total Return Index. The returns expectations for the Horizon Defined Risk Fund are to underperform the S&P 500 Total Return Index when the index is up and to outperform the S&P 500 Total Return Index when the index is down.
The Horizon Defined Risk Fund (Investor Class) returned 6.69% for the year ended November 30, 2019, while realizing a volatility of 7.60%. The return on the S&P 500 Total Return Index for the same period was 16.11%, with a realized volatility of 15.61%. Over the period, the Horizon Defined Risk Fund exhibited an average beta of 0.46 to
3
Horizon Funds |
the S&P 500 Total Return Index. The maximum drawdown for the Horizon Defined Risk Fund (Investor Class) for the year ended November 30, 2019, was 7.80% and the maximum drawdown on the S&P 500 Total Return Index over the same fiscal year was 22.14%
The Fund allows for active positioning within its options collar structure. The goal of this active positioning is to generate income, hedge volatility and reduce downside risk. This active positioning added to performance over the fiscal year.
Horizon Multi-Asset Income Fund
The Horizon Multi-Asset Income Fund (Investor Class) returned 4.84% for the period ended November 30, 2019. The return on the broader bond market (as measured by Bloomberg Barclays Aggregate Bond Index) was 2.86% and the return on world equities (as measured by S&P Global BMI ex-US Index) was 3.73%. This Fund was launched June 26, 2019 and thus the above fiscal year ended returns are partial year returns.
Throughout the year, the Fund kept a balanced exposure of 50% equities and 50% fixed income as classified by the Adviser. The Fund was able to perform well on a relative basis despite some of the market volatility throughout the year. The Fed, after delivering four interest rate hikes in the prior year, began the year by hiking rates in December and was expected to do so a few more times in 2019. Instead, a rapid pivot by the Chairman in January ignited expectations of lower rates to come. Indeed, the Fed lowered interest rates three times in the back half of the year, driving a very strong year for U.S. government debt as curves flattened across the globe. Spreads on corporate bonds, both investment grade and high yield, widened in December as risk aversion took hold in the U.S. equity market. From there, spreads tightened throughout the year with minor stress seen during periods of heighted equity market volatility as the trade dispute escalated.
Key drivers of Fund performance were the allocations to Treasury securities with maturities greater than twenty years, U.S. real estate and preferred stocks. Key detractors included emerging market debt, global equity infrastructure and high yield bonds.
Horizon Defensive Multi-Factor Fund
The Horizon Defensive Multi-Factor Fund (Investor Class) returned 4.88% for the period ended November 30, 2019, while realizing a volatility of 10.67%. The return on the S&P 500 Total Return Index for the same period was 8.73%, with a realized volatility of 13.26%. Over the period, the Defensive Multi-Factor Fund exhibited an average beta of 0.73 to the S&P 500 Total Return Index. This Fund was launched June 26, 2019 and thus the above fiscal year ended returns are partial year returns.
The Fund was up as much as 2.0% in the volatility of the 3Q19 but, due to a defensive bias, the Fund was unable to keep up in the strong 4Q19 rally. The 3Q19 volatility, and market selloff, was driven by an escalation of the trade war. This market stress was a good test of the defensive nature of the Fund and, as noted above, the Fund proved to act defensive when it mattered (market selloffs). Into 4Q19, trade war fears abated and global economic data began to bottom. This drove a strong broad market rally and the Fund was unable to keep up during this 4Q19 rally.
Key drivers of Fund performance were selection of Consumer Discretionary and Energy stocks. Key detractors were selection of Information Technology and Communication Services stocks.
* * * * *
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.
4
Horizon Funds |
The S&P 500 Total Return 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 its net asset value (“NAV”), an active secondary trading market may not develop or be maintained, or trading may be halted by the exchange in which they trade, which may impact a Fund’s ability to sell its shares. The Funds may invest in foreign securities which involve greater volatility and political, economic and currency risks and differences in accounting methods. These risks are greater in emerging markets. Investments in debt securities typically decrease in value when interest rates rise. This risk is usually greater for longer-term debt securities. Investment by the Funds in lower-rated and non-rated securities presents a greater risk of loss to principal and interest than higher-rated securities. Small and Medium capitalization companies tend to have limited liquidity and greater price volatility than large capitalization companies. Investments in Real Estate Investment Trusts (REITs) involve additional risks such as declines in the value of real estate and increased susceptibility to adverse economic or regulatory developments. The Funds may also use options, which have the risks of unlimited losses of the underlying holdings due to unanticipated market movements and failure to correctly predict the direction of securities’ prices, interest rates and currency exchange rates. The investment in options is not suitable for all investors.
Fund holdings and sector allocations are subject to change and are not recommendations to buy or sell any security. Current and future portfolio holdings are subject to risk. Please refer to the Portfolios of Investments in this report for a complete list of fund holdings.
Earnings growth is not a measure of the Funds’ future performance.
Horizon Funds are distributed by Quasar Distributors, LLC.
5
Horizon Active Asset Allocation Fund Portfolio Review (Unaudited) |
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, 2019. 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 | 7.23% | 5.36% | 8.18% |
Horizon Active Asset Allocation Fund - Advisor Class | 7.12% | N/A | 8.49% |
Horizon Active Asset Allocation Fund - Institutional Class | 7.33% | N/A | 9.58% |
S&P 500 Total Return Index | 16.11% | 10.98% | 14.50%(2) |
S&P Global BMI ex-US Index | 10.98% | 4.27% | 5.86%(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 14.62% and 7.69%, 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 15.12% and 7.17%, 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.
6
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, 2019. 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 Risk Assist® Fund - Investor Class | 2.52% | 2.97% | 3.31% |
Horizon Active Risk Assist® Fund - Advisor Class | 2.37% | N/A | 5.33% |
Horizon Active Risk Assist® Fund - Institutional Class | 2.70% | N/A | 6.64% |
Bloomberg Barclays Aggregate Bond Index | 10.79% | 3.08% | 3.13%(2) |
S&P 500 Total Return Index | 16.11% | 10.98% | 11.19%(2) |
S&P Global BMI ex-US Index | 10.98% | 4.27% | 2.97%(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 3.43%, 14.62%, and 7.69%, 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 2.95%, 15.12%, and 7.17%, 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.
7
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, 2019. 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 | 6.78% | 0.80% | 1.07% |
Horizon Active Income Fund - Advisor Class | 6.53% | N/A | 1.36% |
Horizon Active Income Fund - Institutional Class | 6.83% | N/A | 0.98% |
Bloomberg Barclays Aggregate Bond Index | 10.79% | 3.08% | 3.42%(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 3.34% and 2.95%, 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.
8
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, 2019. 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(3) | 3.67% | 9.30% |
Horizon Active Dividend Fund - Advisor Class(3) | 3.50% | 7.10% |
S&P Global 100 Index | 15.30% | 13.23%(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 10.96%. |
(3) | The returns reflect the actual performance for each period and do not include the impact of any adjustments made for financial reporting required by Generally Accepted Accounting Principles (GAAP). |
The S&P Global 100 Index measures the performance of multi-national, blue chip companies of major importance in the global equity markets. Index returns do not reflect the effects of fees or expenses. Investors cannot invest directly in an index or benchmark.
9
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, 2019. 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 Defined Risk Fund - Investor Class | 6.69% | 4.49% |
Horizon Defined Risk Fund - Advisor Class | 6.51% | 3.95% |
Bloomberg Barclays US Treasury 1-3 Years Index | 4.20% | 2.59%(2) |
S&P 500 Total Return Index | 16.11% | 10.61%(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 2.89%, and 9.48%, 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 US 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 US 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.
10
Horizon Multi-Asset Income Fund |
The chart above assumes an initial gross investment of $10,000 made on June 26, 2019. The Fund’s performance figures are for the period ended November 30, 2019. 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 Multi-Asset Income Fund - Investor Class | 4.84% |
Bloomberg Barclays Aggregate Bond Index | 2.86% |
S&P Global BMI ex-US Index | 3.73% |
(1) | Inception date is June 26, 2019 for Investor Class Shares. |
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 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.
11
Horizon Defensive Multi-Factor Fund |
The chart above assumes an initial gross investment of $10,000 made on June 26, 2019. The Fund’s performance figures are for the period ended November 30, 2019. 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 Defensive Multi-Factor Fund - Investor Class | 4.88% |
S&P 500 Total Return Index | 8.73% |
(1) | Inception date is June 26, 2019 for Investor Class Shares. |
The S&P 500 Total Return Index is an unmanaged market capitalization-weighted index which is comprised of the largest U.S. domiciled companies and includes the reinvestment of all dividends. Index returns do not reflect the effects of fees or expenses. Investors cannot invest directly in an index or benchmark.
12
Horizon Funds Portfolio Composition (Unaudited) |
Horizon Active Asset Allocation Fund Portfolio Composition as of November 30, 2019:
% of Total | |
Investment Companies | 83.8% |
Common Stocks | 0.8% |
Purchased Call Options | 0.1% |
Purchased Put Options | 0.0%(a) |
Short Term Investments | 0.2% |
Investments Purchased With Proceeds From Securities Lending | 15.1% |
100.0% |
Horizon Active Risk Assist® Fund Portfolio Composition as of November 30, 2019:
% of Total | |
Investment Companies | 87.0% |
Common Stocks | 6.8% |
Purchased Call Options | 0.1% |
Purchased Put Options | 0.2% |
Rights | 0.0%(a) |
Short Term Investments | 0.5% |
Investments Purchased With Proceeds From Securities Lending | 5.4% |
100.0% |
Horizon Active Income Fund Portfolio Composition as of November 30, 2019:
% of Total | |
Investment Companies | 90.7% |
Short Term Investments | 1.6% |
Investments Purchased With Proceeds From Securities Lending | 7.7% |
100.0% |
13
Horizon Funds |
Horizon Active Dividend Fund Portfolio Composition as of November 30, 2019:
% of Total | |
Common Stocks | 87.0% |
Convertible Preferred Stocks | 0.7% |
Purchased Call Options | 0.0%(a) |
Purchased Put Options | 0.1% |
Short Term Investments | 7.6% |
Investments Purchased With Proceeds From Securities Lending | 4.6% |
100.0% |
Horizon Defined Risk Fund Portfolio Composition as of November 30, 2019:
% of Total | |
Common Stocks | 97.6% |
Purchased Call Options | 0.0%(a) |
Purchased Put Options | 0.7% |
Short Term Investments | 1.2% |
Investments Purchased With Proceeds From Securities Lending | 0.5% |
100.0% |
Horizon Multi-Asset Income Fund Portfolio Composition as of November 30, 2019:
% of Total | |
Investment Companies | 62.9% |
Common Stocks | 21.6% |
Convertible Preferred Stocks | 0.2% |
Preferred Stocks | 13.8% |
Short Term Investments | 1.5% |
100.0% |
Horizon Defensive Multi-Factor Fund Portfolio Composition as of November 30, 2019:
% of Total | |
Common Stocks | 98.2% |
Short Term Investments | 1.8% |
100.0% |
Data expressed excludes written options. Please refer to the Portfolios of Investments in this annual report for a detailed analysis of the Funds’ holdings.
(a) | Less than 0.1% |
14
Horizon Active Asset Allocation Fund Portfolio of Investments |
| Value | |||||||||||
INVESTMENT COMPANIES - 98.7% | ||||||||||||
Exchange Traded Funds - 98.7% | ||||||||||||
262,686 | Invesco QQQ Trust Series 1 (f) | $ | 53,876,899 | |||||||||
510,190 | iShares Edge MSCI USA Quality Factor ETF | 50,330,244 | ||||||||||
1,446,107 | iShares MSCI Eurozone ETF (f) | 58,986,704 | ||||||||||
415,860 | iShares MSCI USA Minimum Volatility ETF | 26,964,362 | ||||||||||
415,964 | iShares Select Dividend ETF | 43,152,105 | ||||||||||
88,080 | Janus Henderson Small/Mid Cap Growth Alpha ETF (f) | 4,163,542 | ||||||||||
1,086,904 | JPMorgan BetaBuilders Japan ETF (f) | 27,053,041 | ||||||||||
240,022 | Schwab U.S. Large-Cap Value ETF (f) | 14,187,700 | ||||||||||
2,510,507 | SPDR Portfolio Developed World ex-US ETF | 77,122,775 | ||||||||||
712,393 | SPDR Portfolio Emerging Markets ETF | 25,525,041 | ||||||||||
935,941 | SPDR Portfolio S&P 500 Growth ETF (e) | 38,308,065 | ||||||||||
2,508,632 | SPDR Portfolio S&P 500 Value ETF | 85,519,265 | ||||||||||
505,297 | WisdomTree Japan Hedged Equity Fund (f) | 27,412,362 | ||||||||||
215,000 | X-Trackers S&P 500 ESG ETF (g) | 5,848,000 | ||||||||||
TOTAL EXCHANGE TRADED FUNDS (Cost - $508,357,915) | 538,450,105 | |||||||||||
COMMON STOCKS - 1.1% | ||||||||||||
Aerospace/Defense - 0.0% (b) | ||||||||||||
931 | Arconic, Inc. | 28,824 | ||||||||||
141 | Lockheed Martin Corp. | 55,135 | ||||||||||
145 | Northrop Grumman Corp. | 51,007 | ||||||||||
65 | TransDigm Group, Inc. | 36,861 | ||||||||||
171,827 | ||||||||||||
Beverages - 0.0% (b) | ||||||||||||
520 | Brown-Forman Corp., Class B | 35,266 | ||||||||||
697 | Coca-Cola Co. | 37,220 | ||||||||||
436 | PepsiCo, Inc. | 59,222 | ||||||||||
131,708 | ||||||||||||
Building Materials - 0.0% (b) | ||||||||||||
1,015 | Johnson Controls International PLC | 43,473 | ||||||||||
171 | Martin Marietta Materials, Inc. | 45,896 | ||||||||||
277 | Vulcan Materials Co. | 39,298 | ||||||||||
128,667 | ||||||||||||
Chemicals - 0.0% (b) | ||||||||||||
165 | Air Products & Chemicals, Inc. | 38,995 | ||||||||||
80 | Sherwin-Williams Co. | 46,650 | ||||||||||
85,645 | ||||||||||||
Commercial Services - 0.1% | ||||||||||||
214 | Cintas Corp. | 55,011 | ||||||||||
110 | Ecolab, Inc. | 20,534 | ||||||||||
166 | Equifax, Inc. | 23,180 |
See accompanying notes to financial statements.
15
Horizon Active Asset Allocation Fund |
| Value | |||||||||||
112 | FleetCor Technologies, Inc. (a) | $ | 34,375 | |||||||||
216 | Global Payments, Inc. | 39,118 | ||||||||||
673 | IHS Markit, Ltd. (a) | 48,894 | ||||||||||
121 | Moody’s Corp. | 27,427 | ||||||||||
174 | S&P Global, Inc. | 46,049 | ||||||||||
305 | Verisk Analytics, Inc. | 44,981 | ||||||||||
1,674 | Western Union Co. | 44,997 | ||||||||||
384,566 | ||||||||||||
Construction - 0.0% (b) | ||||||||||||
10 | NVR, Inc. (a) | 37,919 | ||||||||||
Cosmetics/Personal Care - 0.0% (b) | ||||||||||||
788 | Procter & Gamble Co. | 96,183 | ||||||||||
Distribution/Wholesale - 0.0% (b) | ||||||||||||
645 | Copart, Inc. (a) | 57,405 | ||||||||||
Diversified Financial Services - 0.1% | ||||||||||||
341 | CBOE Global Markets, Inc. | 40,545 | ||||||||||
322 | CME Group, Inc. | 65,279 | ||||||||||
621 | Intercontinental Exchange, Inc. | 58,480 | ||||||||||
98 | MasterCard, Inc., Class A | 28,638 | ||||||||||
216 | Nasdaq, Inc. | 22,637 | ||||||||||
215,579 | ||||||||||||
Electric - 0.1% | ||||||||||||
475 | Entergy Corp. | 55,285 | ||||||||||
463 | Eversource Energy | 38,262 | ||||||||||
327 | FirstEnergy Corp. | 15,595 | ||||||||||
209 | NextEra Energy, Inc. | 48,868 | ||||||||||
1,038 | Southern Co. | 64,346 | ||||||||||
499 | WEC Energy Group, Inc. | 44,236 | ||||||||||
354 | Xcel Energy, Inc. | 21,768 | ||||||||||
288,360 | ||||||||||||
Electrical Components & Equipment - 0.0% (b) | ||||||||||||
299 | L3Harris Technologies, Inc. | 60,126 | ||||||||||
Electronics - 0.0% (b) | ||||||||||||
140 | Allegion PLC | 16,804 | ||||||||||
220 | Keysight Technologies, Inc. (a) | 23,547 | ||||||||||
40,351 | ||||||||||||
Engineering & Construction - 0.0% (b) | ||||||||||||
284 | Jacobs Engineering Group, Inc. | 26,154 | ||||||||||
See accompanying notes to financial statements.
16
Horizon Active Asset Allocation Fund |
| Value | |||||||||||
Environmental Control - 0.0% (b) | ||||||||||||
413 | Republic Services, Inc. | $ | 36,613 | |||||||||
507 | Waste Management, Inc. | 57,245 | ||||||||||
93,858 | ||||||||||||
Finance and Insurance - 0.0% (b) | ||||||||||||
132 | MarketAxess Holdings, Inc. | 53,304 | ||||||||||
Food - 0.0% (b) | ||||||||||||
765 | Campbell Soup Co. | 35,626 | ||||||||||
393 | Hershey Co. | 58,227 | ||||||||||
391 | Mondelez International, Inc., Class A | 20,543 | ||||||||||
597 | Tyson Foods, Inc., Class A | 53,664 | ||||||||||
168,060 | ||||||||||||
Health Care and Social Assistance - 0.0% (b) | ||||||||||||
163 | Universal Health Services, Inc., Class B | 22,737 | ||||||||||
Healthcare Products - 0.1% | ||||||||||||
328 | Baxter International, Inc. | 26,886 | ||||||||||
462 | Danaher Corp. (f) | 67,443 | ||||||||||
551 | Dentsply Sirona, Inc. | 31,154 | ||||||||||
250 | Edwards Lifesciences Corp. (a) | 61,235 | ||||||||||
327 | Hologic, Inc. (a) | 16,782 | ||||||||||
137 | IDEXX Laboratories, Inc. (a) | 34,467 | ||||||||||
737 | Medtronic PLC | 82,094 | ||||||||||
375 | ResMed, Inc. | 56,100 | ||||||||||
269 | Stryker Corp. | 55,107 | ||||||||||
110 | Teleflex, Inc. | 38,867 | ||||||||||
470,135 | ||||||||||||
Healthcare Services - 0.0% (b) | ||||||||||||
181 | Quest Diagnostics, Inc. | 19,286 | ||||||||||
Home Builders - 0.0% (b) | ||||||||||||
575 | DR Horton, Inc. | 31,826 | ||||||||||
300 | Lennar Corp., Class A | 17,895 | ||||||||||
1,099 | PulteGroup, Inc. | 43,576 | ||||||||||
93,297 | ||||||||||||
Home Furnishings - 0.0% (b) | ||||||||||||
112 | Whirlpool Corp. | 16,027 | ||||||||||
Information - 0.0% (b) | ||||||||||||
1,992 | AT&T, Inc. | 74,461 | ||||||||||
332 | Microsoft Corp. | 50,258 | ||||||||||
124,719 |
See accompanying notes to financial statements.
17
Horizon Active Asset Allocation Fund |
| Value | |||||||||||
Insurance - 0.1% | ||||||||||||
426 | American International Group, Inc. | $ | 22,433 | |||||||||
161 | Aon PLC, Class A | 32,781 | ||||||||||
293 | Arthur J Gallagher & Co. | 27,328 | ||||||||||
248 | Assurant, Inc. | 32,952 | ||||||||||
300 | Chubb, Ltd. | 45,444 | ||||||||||
449 | Cincinnati Financial Corp. | 48,065 | ||||||||||
124 | Everest Re Group, Ltd. | 33,636 | ||||||||||
711 | Hartford Financial Services Group, Inc. | 43,983 | ||||||||||
212 | Marsh & McLennan Cos., Inc. | 22,911 | ||||||||||
167 | Willis Towers Watson PLC | 32,806 | ||||||||||
342,339 | ||||||||||||
Internet - 0.0% (b) | ||||||||||||
674 | Twitter, Inc. (a) | 20,833 | ||||||||||
Lodging - 0.0% (b) | ||||||||||||
187 | Hilton Worldwide Holdings, Inc. | 19,635 | ||||||||||
Machinery - Diversified - 0.0% (b) | ||||||||||||
51 | Roper Technologies, Inc. | 18,379 | ||||||||||
Media - 0.1% | ||||||||||||
178 | Charter Communications, Inc., Class A (a) | 83,662 | ||||||||||
1,830 | Comcast Corp., Class A | 80,794 | ||||||||||
248 | Walt Disney Co. | 37,592 | ||||||||||
202,048 | ||||||||||||
Mining - 0.0% (b) | ||||||||||||
652 | Newmont Goldcorp Corp. | 25,037 | ||||||||||
Miscellaneous Manufacturing - 0.0% (b) | ||||||||||||
205 | Ingersoll-Rand PLC | 26,878 | ||||||||||
Oil & Gas - 0.1% | ||||||||||||
586 | Chevron Corp. | 68,638 | ||||||||||
498 | Hess Corp. | 30,921 | ||||||||||
395 | HollyFrontier Corp. | 20,362 | ||||||||||
511 | Phillips 66 | 58,622 | ||||||||||
272 | Valero Energy Corp. | 25,973 | ||||||||||
204,516 | ||||||||||||
Oil & Gas Services - 0.0% (b) | ||||||||||||
521 | TechnipFMC PLC | 9,816 | ||||||||||
See accompanying notes to financial statements.
18
Horizon Active Asset Allocation Fund |
| Value | |||||||||||
Packaging & Containers - 0.0% (b) | ||||||||||||
793 | Ball Corp. | $ | 52,386 | |||||||||
Pharmaceuticals - 0.0% (b) | ||||||||||||
226 | McKesson Corp. | 32,689 | ||||||||||
658 | Merck & Co., Inc. | 57,364 | ||||||||||
554 | Zoetis, Inc., Class A | 66,768 | ||||||||||
156,821 | ||||||||||||
Pipelines - 0.0% (b) | ||||||||||||
3,275 | Kinder Morgan, Inc. | 64,223 | ||||||||||
742 | ONEOK, Inc. | 52,719 | ||||||||||
116,942 | ||||||||||||
Professional, Scientific, and Technical Services - 0.0% (b) | ||||||||||||
391 | CDW Corp/DE | 52,804 | ||||||||||
Real Estate Investment Trusts - 0.1% | ||||||||||||
226 | American Tower Corp. | 48,371 | ||||||||||
64 | Equinix, Inc. | 36,278 | ||||||||||
185 | Equity Residential | 15,744 | ||||||||||
308 | Extra Space Storage, Inc. | 32,663 | ||||||||||
510 | Healthpeak Properties, Inc. | 17,789 | ||||||||||
307 | Mid-America Apartment Communities, Inc. | 41,786 | ||||||||||
239 | SBA Communications Corp. | 56,516 | ||||||||||
353 | Ventas, Inc. | 20,584 | ||||||||||
618 | Welltower, Inc. | 52,264 | ||||||||||
321,995 | ||||||||||||
Retail - 0.1% | ||||||||||||
34 | AutoZone, Inc. (a) | 40,049 | ||||||||||
243 | CarMax, Inc. (a) | 23,634 | ||||||||||
55 | Chipotle Mexican Grill, Inc. (a) | 44,766 | ||||||||||
377 | Dollar General Corp. | 59,325 | ||||||||||
250 | Dollar Tree, Inc. (a) | 22,865 | ||||||||||
325 | McDonald’s Corp. | 63,206 | ||||||||||
799 | Starbucks Corp. | 68,259 | ||||||||||
430 | Target Corp. | 53,754 | ||||||||||
428 | Walmart, Inc. | 50,970 | ||||||||||
384 | Yum! Brands, Inc. | 38,657 | ||||||||||
465,485 | ||||||||||||
Semiconductors - 0.1% | ||||||||||||
649 | Applied Materials, Inc. | 37,577 | ||||||||||
357 | KLA Corp. | 58,498 | ||||||||||
218 | Lam Research Corp. | 58,169 |
See accompanying notes to financial statements.
19
Horizon Active Asset Allocation Fund |
| Value | |||||||||||
359 | QUALCOMM, Inc. | $ | 29,994 | |||||||||
184,238 | ||||||||||||
Software - 0.1% | ||||||||||||
414 | Akamai Technologies, Inc. (a) | 36,068 | ||||||||||
104 | ANSYS, Inc. (a) | 26,488 | ||||||||||
239 | Cerner Corp. | 17,110 | ||||||||||
356 | Fidelity National Information Services, Inc. | 49,181 | ||||||||||
464 | Fiserv, Inc. (a) | 53,935 | ||||||||||
538 | Leidos Holdings, Inc. | 48,872 | ||||||||||
273 | Synopsys, Inc. (a) | 38,504 | ||||||||||
270,158 | ||||||||||||
Telecommunications - 0.0% (b) | ||||||||||||
271 | Motorola Solutions, Inc. | 45,338 | ||||||||||
553 | T-Mobile US, Inc. (a) | 43,438 | ||||||||||
88,776 | ||||||||||||
Toys/Games/Hobbies - 0.0% (b) | ||||||||||||
224 | Hasbro, Inc. | 22,781 | ||||||||||
Transportation - 0.0% (b) | ||||||||||||
136 | Kansas City Southern | 20,729 | ||||||||||
Water - 0.0% (b) | ||||||||||||
210 | American Water Works Co., Inc. | 25,416 | ||||||||||
TOTAL COMMON STOCKS (Cost - $5,071,643) | 5,433,925 |
| Notional | |||||||||||
PURCHASED OPTIONS - 0.1% (a)(c) | ||||||||||||
PURCHASED CALL OPTIONS - 0.1% | ||||||||||||
iShares MSCI Emerging Markets ETF | ||||||||||||
7,500 | Expiration: January 17, 2020, Exercise Price: $45.50 | $ | 31,905,000 | 101,250 | ||||||||
7,500 | Expiration: January 17, 2020, Exercise Price: $46.00 | 31,905,000 | 56,250 | |||||||||
SPDR S&P 500 ETF Trust | ||||||||||||
4,000 | Expiration: December 31, 2019, Exercise Price: $335.00 (h) | 125,724,000 | 10,000 | |||||||||
200 | Expiration: June 19, 2020, Exercise Price: $306.00 (h) | 6,286,200 | 392,800 | |||||||||
TOTAL PURCHASED CALL OPTIONS (Cost - $1,028,305) | 560,300 | |||||||||||
See accompanying notes to financial statements.
20
Horizon Active Asset Allocation Fund |
Contracts | Notional Amount | Value | ||||||||||
PURCHASED PUT OPTIONS - 0.0% (b) | ||||||||||||
SPDR S&P 500 ETF Trust | ||||||||||||
100 | Expiration: June 19, 2020, Exercise Price: $275.00 (h) | $ | 3,143,100 | $ | 50,600 | |||||||
TOTAL PURCHASED PUT OPTIONS (Cost - $67,269) | 50,600 | |||||||||||
TOTAL PURCHASED OPTIONS (Cost - $1,095,574) | 610,900 | |||||||||||
Shares | ||||||||||||
SHORT TERM INVESTMENTS - 0.2% | ||||||||||||
Money Market Funds - 0.2% | ||||||||||||
1,137,887 | First American Treasury Obligations Fund, Class X, 1.58% (d) | 1,137,887 | ||||||||||
TOTAL SHORT TERM INVESTMENTS (Cost - $1,137,887) | 1,137,887 | |||||||||||
INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING - 17.8% | ||||||||||||
97,306,964 | First American Government Obligations Fund, Class Z, 1.51% (d) | 97,306,964 | ||||||||||
TOTAL INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING (Cost - $97,306,964) | 97,306,964 | |||||||||||
TOTAL INVESTMENTS - 117.9% (Cost - $612,969,983) | 642,939,781 | |||||||||||
Liabilities in Excess of Other Assets - (17.9)% | (97,591,176 | ) | ||||||||||
NET ASSETS - 100.0% | $ | 545,348,605 |
See accompanying notes to financial statements.
21
Horizon Active Asset Allocation Fund |
Contracts | Notional Value | Value | ||||||||||
SCHEDULE OF WRITTEN OPTIONS - 0.0% (a)(b)(c) | ||||||||||||
SCHEDULE OF WRITTEN CALL OPTIONS - 0.0% | ||||||||||||
SPDR S&P 500 ETF Trust | ||||||||||||
200 | Expiration: June 19, 2020, Exercise Price $335.00 | $ | 6,286,200 | $ | 75,100 | |||||||
TOTAL WRITTEN CALL OPTIONS (Premiums Received-$44,476) | 75,100 | |||||||||||
SCHEDULE OF WRITTEN PUT OPTIONS - 0.0% | ||||||||||||
SPDR S&P 500 ETF Trust | ||||||||||||
500 | Expiration: January 17, 2020, Exercise Price $288.00 | 15,715,500 | 53,000 | |||||||||
100 | Expiration: June 19, 2020, Exercise Price $306.00 | 3,143,100 | 112,750 | |||||||||
TOTAL WRITTEN PUT OPTIONS (Premiums Received-$325,048) | 165,750 | |||||||||||
TOTAL OPTIONS WRITTEN (Premiums Received-$369,524) | $ | 240,850 |
Percentages are stated as a percent of net assets.
(a) | Non-income producing security. |
(b) | Less than 0.1%. |
(c) | Each Option is exercisable into 100 shares of the underlying security. |
(d) | Money Market Fund; interest rate reflects seven-day yield on November 30, 2019. |
(e) | All or a portion of the security is segregated as collateral for written options. The value of the securities segregated as collateral for written options is $32,744,000. |
(f) | All or a portion of this security is out on loan as of November 30, 2019. |
(g) | Affiliated Security. Please refer to Note 9 of the Notes to Financial Statements. |
(h) | Held in connection with a written option, see Schedule of Written Options for more details. |
See accompanying notes to financial statements.
22
Horizon Active Risk Assist® Fund |
| Value | |||||||||||
INVESTMENT COMPANIES - 92.0% | ||||||||||||
Exchange Traded Funds - 92.0% | ||||||||||||
196,087 | Invesco QQQ Trust Series 1 (f) | $ | 40,217,444 | |||||||||
734,177 | iShares Core MSCI Emerging Markets ETF | 37,567,837 | ||||||||||
349,746 | iShares Core MSCI International Developed Markets ETF | 20,005,471 | ||||||||||
744,442 | iShares Edge MSCI Min Vol EAFE ETF | 55,967,150 | ||||||||||
203,773 | iShares Edge MSCI USA Quality Factor ETF | 20,102,207 | ||||||||||
2,357,754 | iShares MSCI USA Minimum Volatility ETF | 152,876,769 | ||||||||||
387,062 | iShares Select Dividend ETF | 40,153,812 | ||||||||||
2,786,517 | SPDR Portfolio Developed World ex-US ETF | 85,601,802 | ||||||||||
789,793 | SPDR Portfolio Emerging Markets ETF | 28,298,283 | ||||||||||
1,896,330 | SPDR Portfolio S&P 500 Growth ETF (f) | 77,616,787 | ||||||||||
3,009,643 | SPDR Portfolio S&P 500 Value ETF (e) | 102,598,730 | ||||||||||
1,226,542 | X-Trackers Russell 1000 Comprehensive Factor ETF (f)(g) | 43,984,409 | ||||||||||
790,001 | X-Trackers Russell 1000 US QARP ETF (g) | 23,194,429 | ||||||||||
343,000 | X-Trackers S&P 500 ESG ETF (g) | 9,329,600 | ||||||||||
TOTAL EXCHANGE TRADED FUNDS (Cost - $710,671,876) | 737,514,730 | |||||||||||
COMMON STOCKS - 7.1% | ||||||||||||
Advertising - 0.1% | ||||||||||||
14,547 | Interpublic Group of Cos., Inc. | 325,853 | ||||||||||
2,001 | Omnicom Group, Inc. | 159,039 | ||||||||||
484,892 | ||||||||||||
Aerospace/Defense - 0.1% | ||||||||||||
7,725 | Arconic, Inc. | 239,166 | ||||||||||
166 | General Dynamics Corp. | 30,169 | ||||||||||
240 | Lockheed Martin Corp. | 93,847 | ||||||||||
325 | Northrop Grumman Corp. | 114,325 | ||||||||||
244 | TransDigm Group, Inc. | 138,373 | ||||||||||
615,880 | ||||||||||||
Agriculture - 0.0% (b) | ||||||||||||
1,774 | Archer-Daniels-Midland Co. | 76,158 | ||||||||||
Agriculture, Forestry, Fishing and Hunting - 0.0% (b) | ||||||||||||
2,190 | Corteva, Inc. | 56,984 | ||||||||||
Airlines - 0.1% | ||||||||||||
3,264 | Alaska Air Group, Inc. | 225,249 | ||||||||||
4,160 | American Airlines Group, Inc. | 119,558 | ||||||||||
691 | Delta Air Lines, Inc. | 39,601 | ||||||||||
785 | United Airlines Holdings, Inc. (a) | 72,848 | ||||||||||
457,256 |
See accompanying notes to financial statements.
23
Horizon Active Risk Assist® Fund |
| Value | |||||||||||
Apparel - 0.2% | ||||||||||||
9,102 | Capri Holdings, Ltd. (a) | $ | 338,048 | |||||||||
17,802 | Hanesbrands, Inc. | 268,276 | ||||||||||
3,078 | PVH Corp. | 298,443 | ||||||||||
2,020 | Ralph Lauren Corp., Class A | 216,827 | ||||||||||
7,661 | Under Armour, Inc., Class A (a) | 144,716 | ||||||||||
550 | VF Corp. | 48,697 | ||||||||||
1,315,007 | ||||||||||||
Auto Manufacturers - 0.0% (b) | ||||||||||||
4,311 | Ford Motor Co. | 39,058 | ||||||||||
1,017 | PACCAR, Inc. | 82,753 | ||||||||||
121,811 | ||||||||||||
Auto Parts & Equipment - 0.0% (b) | ||||||||||||
840 | Aptiv PLC | 78,859 | ||||||||||
5,661 | BorgWarner, Inc. | 238,045 | ||||||||||
316,904 | ||||||||||||
Banks - 0.2% | ||||||||||||
796 | Bank of New York Mellon Corp. | 38,980 | ||||||||||
862 | BB&T Corp. | 47,169 | ||||||||||
417 | Capital One Financial Corp. | 41,704 | ||||||||||
2,765 | Citizens Financial Group, Inc. | 106,342 | ||||||||||
2,355 | Comerica, Inc. | 165,816 | ||||||||||
2,765 | Fifth Third Bancorp | 83,475 | ||||||||||
8,494 | Huntington Bancshares, Inc. | 126,476 | ||||||||||
5,424 | KeyCorp | 105,171 | ||||||||||
482 | M&T Bank Corp. | 79,405 | ||||||||||
854 | Northern Trust Corp. | 91,583 | ||||||||||
6,968 | Regions Financial Corp. | 115,948 | ||||||||||
1,390 | State Street Corp. | 104,389 | ||||||||||
665 | SVB Financial Group (a) | 154,100 | ||||||||||
4,972 | Zions Bancorp NA | 247,506 | ||||||||||
1,508,064 | ||||||||||||
Beverages - 0.1% | ||||||||||||
1,992 | Brown-Forman Corp., Class B | 135,097 | ||||||||||
1,191 | Coca-Cola Co. | 63,599 | ||||||||||
221 | Constellation Brands, Inc., Class A | 41,119 | ||||||||||
2,710 | Molson Coors Brewing Co., Class B | 136,801 | ||||||||||
757 | Monster Beverage Corp. (a) | 45,284 | ||||||||||
744 | PepsiCo, Inc. | 101,058 | ||||||||||
522,958 | ||||||||||||
Biotechnology - 0.0% (b) | ||||||||||||
555 | Alexion Pharmaceuticals, Inc. (a) | 63,237 |
See accompanying notes to financial statements.
24
Horizon Active Risk Assist® Fund |
| Value | |||||||||||
147 | Biogen, Inc. (a) | $ | 44,072 | |||||||||
120 | Illumina, Inc. (a) | 38,491 | ||||||||||
1,046 | Incyte Corp. (a) | 98,491 | ||||||||||
153 | Regeneron Pharmaceuticals, Inc. (a) | 56,457 | ||||||||||
194 | Vertex Pharmaceuticals, Inc. (a) | 43,020 | ||||||||||
343,768 | ||||||||||||
Building Materials - 0.1% | ||||||||||||
4,198 | Fortune Brands Home & Security, Inc. | 265,566 | ||||||||||
2,857 | Johnson Controls International PLC | 122,365 | ||||||||||
704 | Martin Marietta Materials, Inc. | 188,954 | ||||||||||
3,537 | Masco Corp. | 164,647 | ||||||||||
1,098 | Vulcan Materials Co. | 155,773 | ||||||||||
897,305 | ||||||||||||
Chemicals - 0.2% | ||||||||||||
424 | Air Products & Chemicals, Inc. | 100,204 | ||||||||||
3,218 | Albemarle Corp. (f) | 210,393 | ||||||||||
1,117 | Celanese Corp. | 140,262 | ||||||||||
2,640 | CF Industries Holdings, Inc. | 121,994 | ||||||||||
1,000 | Dow, Inc. | 53,370 | ||||||||||
2,305 | Eastman Chemical Co. | 180,643 | ||||||||||
1,715 | FMC Corp. | 168,001 | ||||||||||
681 | International Flavors & Fragrances, Inc. (f) | 96,178 | ||||||||||
138 | Linde PLC | 28,457 | ||||||||||
740 | LyondellBasell Industries NV, Class A | 68,480 | ||||||||||
6,837 | Mosaic Co. | 130,245 | ||||||||||
511 | PPG Industries, Inc. | 65,837 | ||||||||||
201 | Sherwin-Williams Co. | 117,209 | ||||||||||
1,481,273 | ||||||||||||
Commercial Services - 0.4% | ||||||||||||
220 | Automatic Data Processing, Inc. | 37,572 | ||||||||||
598 | Cintas Corp. | 153,722 | ||||||||||
324 | Ecolab, Inc. | 60,481 | ||||||||||
970 | Equifax, Inc. | 135,451 | ||||||||||
578 | FleetCor Technologies, Inc. (a) | 177,400 | ||||||||||
1,565 | Gartner, Inc. (a) | 251,120 | ||||||||||
1,002 | Global Payments, Inc. | 181,462 | ||||||||||
9,845 | H&R Block, Inc. | 240,021 | ||||||||||
2,117 | IHS Markit, Ltd. (a) | 153,800 | ||||||||||
393 | Moody’s Corp. | 89,081 | ||||||||||
8,699 | Nielsen Holdings PLC | 170,065 | ||||||||||
9,404 | Quanta Services, Inc. | 391,583 | ||||||||||
3,934 | Robert Half International, Inc. | 228,959 | ||||||||||
4,426 | Rollins, Inc. | 158,672 | ||||||||||
296 | S&P Global, Inc. | 78,336 |
See accompanying notes to financial statements.
25
Horizon Active Risk Assist® Fund |
| Value | |||||||||||
1,476 | United Rentals, Inc. (a) | $ | 225,902 | |||||||||
936 | Verisk Analytics, Inc. | 138,041 | ||||||||||
16,074 | Western Union Co. | 432,069 | ||||||||||
3,303,737 | ||||||||||||
Computers - 0.2% | ||||||||||||
1,107 | Cognizant Technology Solutions Corp., Class A | 70,970 | ||||||||||
3,380 | DXC Technology Co. | 126,175 | ||||||||||
2,329 | Fortinet, Inc. (a) | 244,801 | ||||||||||
10,491 | Hewlett Packard Enterprise Co. | 166,073 | ||||||||||
4,176 | HP, Inc. | 83,854 | ||||||||||
4,038 | NetApp, Inc. | 244,662 | ||||||||||
4,413 | Seagate Technology PLC | 263,368 | ||||||||||
2,969 | Western Digital Corp. | 149,430 | ||||||||||
1,349,333 | ||||||||||||
Construction - 0.0% (b) | ||||||||||||
20 | NVR, Inc. (a) | 75,838 | ||||||||||
Cosmetics/Personal Care - 0.0% (b) | ||||||||||||
1,346 | Procter & Gamble Co. | 164,293 | ||||||||||
Distribution/Wholesale - 0.1% | ||||||||||||
2,303 | Copart, Inc. (a) | 204,967 | ||||||||||
3,206 | Fastenal Co. | 113,877 | ||||||||||
7,259 | LKQ Corp. (a) | 256,098 | ||||||||||
382 | WW Grainger, Inc. | 121,075 | ||||||||||
696,017 | ||||||||||||
Diversified Financial Services - 0.3% | ||||||||||||
4,598 | Affiliated Managers Group, Inc. | 392,531 | ||||||||||
2,083 | Alliance Data Systems Corp. | 222,693 | ||||||||||
626 | Ameriprise Financial, Inc. | 102,583 | ||||||||||
1,630 | CBOE Global Markets, Inc. | 193,807 | ||||||||||
724 | Charles Schwab Corp. | 35,838 | ||||||||||
549 | CME Group, Inc. | 111,299 | ||||||||||
656 | Discover Financial Services | 55,675 | ||||||||||
3,172 | E*TRADE Financial Corp. | 140,520 | ||||||||||
3,177 | Franklin Resources, Inc. | 87,336 | ||||||||||
1,408 | Intercontinental Exchange, Inc. | 132,591 | ||||||||||
10,688 | Invesco, Ltd. | 187,681 | ||||||||||
13,079 | Jefferies Financial Group, Inc. | 273,351 | ||||||||||
167 | MasterCard, Inc., Class A | 48,802 | ||||||||||
1,375 | Nasdaq, Inc. | 144,100 | ||||||||||
1,880 | Raymond James Financial, Inc. | 168,862 | ||||||||||
1,934 | Synchrony Financial | 72,351 |
See accompanying notes to financial statements.
26
Horizon Active Risk Assist® Fund |
| Value | |||||||||||
562 | T. Rowe Price Group, Inc. | $ | 69,441 | |||||||||
2,439,461 | ||||||||||||
Electric - 0.3% | ||||||||||||
8,200 | AES Corp. | 155,062 | ||||||||||
2,619 | Alliant Energy Corp. | 138,807 | ||||||||||
1,084 | Ameren Corp. | 80,574 | ||||||||||
399 | American Electric Power Co., Inc. | 36,449 | ||||||||||
3,681 | CenterPoint Energy, Inc. | 90,405 | ||||||||||
1,570 | CMS Energy Corp. | 96,241 | ||||||||||
632 | Consolidated Edison, Inc. | 54,914 | ||||||||||
511 | DTE Energy Co. | 63,844 | ||||||||||
807 | Edison International | 55,764 | ||||||||||
1,498 | Entergy Corp. | 174,352 | ||||||||||
1,724 | Evergy, Inc. | 109,077 | ||||||||||
1,600 | Eversource Energy | 132,224 | ||||||||||
799 | Exelon Corp. | 35,476 | ||||||||||
2,055 | FirstEnergy Corp. | 98,003 | ||||||||||
356 | NextEra Energy, Inc. | 83,240 | ||||||||||
4,953 | NRG Energy, Inc. | 196,783 | ||||||||||
1,620 | Pinnacle West Capital Corp. | 141,572 | ||||||||||
2,468 | PPL Corp. | 83,986 | ||||||||||
947 | Public Service Enterprise Group, Inc. | 56,166 | ||||||||||
312 | Sempra Energy | 45,948 | ||||||||||
2,233 | Southern Co. | 138,424 | ||||||||||
1,491 | WEC Energy Group, Inc. | 132,177 | ||||||||||
1,428 | Xcel Energy, Inc. | 87,808 | ||||||||||
2,287,296 | ||||||||||||
Electrical Components & Equipment - 0.1% | ||||||||||||
918 | AMETEK, Inc. | 90,891 | ||||||||||
675 | Emerson Electric Co. | 49,856 | ||||||||||
679 | L3Harris Technologies, Inc. | 136,540 | ||||||||||
22,459 | Xerox Holdings Corp. | 874,329 | ||||||||||
1,151,616 | ||||||||||||
Electronics - 0.2% | ||||||||||||
1,071 | Agilent Technologies, Inc. | 86,505 | ||||||||||
1,862 | Allegion PLC | 223,496 | ||||||||||
1,083 | Amphenol Corp., Class A | 112,632 | ||||||||||
3,823 | Corning, Inc. | 111,020 | ||||||||||
8,086 | FLIR Systems, Inc. | 433,086 | ||||||||||
886 | Fortive Corp. | 63,942 | ||||||||||
1,332 | Garmin, Ltd. | 130,123 | ||||||||||
2,154 | Keysight Technologies, Inc. (a) | 230,542 | ||||||||||
118 | Mettler-Toledo International, Inc. (a) | 84,890 |
See accompanying notes to financial statements.
27
Horizon Active Risk Assist® Fund |
| Value | |||||||||||
1,993 | PerkinElmer, Inc. | $ | 185,150 | |||||||||
939 | TE Connectivity, Ltd. | 87,055 | ||||||||||
539 | Waters Corp. (a) | 119,696 | ||||||||||
1,868,137 | ||||||||||||
Engineering & Construction - 0.0% (b) | ||||||||||||
2,198 | Jacobs Engineering Group, Inc. | 202,414 | ||||||||||
Environmental Control - 0.1% | ||||||||||||
6,587 | Pentair PLC | 292,133 | ||||||||||
1,335 | Republic Services, Inc. | 118,348 | ||||||||||
1,142 | Waste Management, Inc. | 128,943 | ||||||||||
539,424 | ||||||||||||
Finance and Insurance - 0.0% (b) | ||||||||||||
1,042 | First Republic Bank | 114,516 | ||||||||||
577 | MarketAxess Holdings, Inc. | 233,004 | ||||||||||
347,520 | ||||||||||||
Food - 0.2% | ||||||||||||
1,305 | Campbell Soup Co. | 60,774 | ||||||||||
3,918 | Conagra Brands, Inc. | 113,113 | ||||||||||
903 | General Mills, Inc. | 48,148 | ||||||||||
996 | Hershey Co. | 147,567 | ||||||||||
1,729 | Hormel Foods Corp. | 76,992 | ||||||||||
1,103 | J.M. Smucker Co. | 115,914 | ||||||||||
1,155 | Kellogg Co. (f) | 75,214 | ||||||||||
1,238 | Kraft Heinz Co. | 37,759 | ||||||||||
2,432 | Lamb Weston Holdings, Inc. | 204,239 | ||||||||||
476 | McCormick & Co., Inc. | 80,563 | ||||||||||
668 | Mondelez International, Inc., Class A | 35,097 | ||||||||||
649 | Sysco Corp. | 52,277 | ||||||||||
1,641 | Tyson Foods, Inc., Class A | 147,510 | ||||||||||
1,195,167 | ||||||||||||
Forest Products & Paper - 0.0% (b) | ||||||||||||
2,295 | International Paper Co. | 106,350 | ||||||||||
Gas - 0.0% (b) | ||||||||||||
1,114 | Atmos Energy Corp. | 119,153 | ||||||||||
4,853 | NiSource, Inc. | 128,362 | ||||||||||
247,515 | ||||||||||||
Hand/Machine Tools - 0.0% (b) | ||||||||||||
1,278 | Snap-on, Inc. | 205,068 | ||||||||||
532 | Stanley Black & Decker, Inc. | 83,918 | ||||||||||
288,986 |
See accompanying notes to financial statements.
28
Horizon Active Risk Assist® Fund |
| Value | |||||||||||
Healthcare Products - 0.3% | ||||||||||||
816 | ABIOMED, Inc. (a) | $ | 160,083 | |||||||||
510 | Align Technology, Inc. (a) | 141,444 | ||||||||||
993 | Baxter International, Inc. | 81,396 | ||||||||||
283 | Cooper Cos., Inc. | 88,605 | ||||||||||
790 | Danaher Corp. (f) | 115,324 | ||||||||||
3,316 | Dentsply Sirona, Inc. | 187,487 | ||||||||||
593 | Edwards Lifesciences Corp. (a) | 145,250 | ||||||||||
2,402 | Henry Schein, Inc. (a) | 165,498 | ||||||||||
2,901 | Hologic, Inc. (a) | 148,879 | ||||||||||
491 | IDEXX Laboratories, Inc. (a) | 123,526 | ||||||||||
1,260 | Medtronic PLC | 140,351 | ||||||||||
1,284 | ResMed, Inc. | 192,086 | ||||||||||
457 | Stryker Corp. | 93,621 | ||||||||||
451 | Teleflex, Inc. | 159,356 | ||||||||||
1,271 | Varian Medical Systems, Inc. (a) | 169,971 | ||||||||||
405 | Zimmer Biomet Holdings, Inc. | 58,838 | ||||||||||
2,171,715 | ||||||||||||
Healthcare Services - 0.1% | ||||||||||||
1,491 | Centene Corp. (a) | 90,161 | ||||||||||
2,791 | DaVita, Inc. (a) | 200,310 | ||||||||||
284 | HCA Healthcare, Inc. | 39,380 | ||||||||||
135 | Humana, Inc. | 46,066 | ||||||||||
329 | IQVIA Holdings, Inc. (a) | 48,027 | ||||||||||
591 | Laboratory Corp. of America Holdings (a) | 101,823 | ||||||||||
1,470 | Quest Diagnostics, Inc. | 156,629 | ||||||||||
1,090 | Universal Health Services, Inc., Class B | 152,044 | ||||||||||
834,440 | ||||||||||||
Healthcare-Products - 0.0% (b) | ||||||||||||
628 | Boston Scientific Corp. (a) | 27,161 | ||||||||||
Home Builders - 0.1% | ||||||||||||
2,811 | DR Horton, Inc. | 155,589 | ||||||||||
2,533 | Lennar Corp., Class A | 151,094 | ||||||||||
7,285 | PulteGroup, Inc. | 288,850 | ||||||||||
595,533 | ||||||||||||
Home Furnishings - 0.1% | ||||||||||||
7,590 | Leggett & Platt, Inc. | 397,109 | ||||||||||
1,439 | Whirlpool Corp. | 205,921 | ||||||||||
603,030 | ||||||||||||
Household Products/Wares - 0.1% | ||||||||||||
1,521 | Avery Dennison Corp. | 198,293 |
See accompanying notes to financial statements.
29
Horizon Active Risk Assist® Fund |
| Value | |||||||||||
1,135 | Church & Dwight Co., Inc. | $ | 79,722 | |||||||||
502 | Clorox Co. | 74,411 | ||||||||||
249 | Kimberly-Clark Corp. | 33,949 | ||||||||||
386,375 | ||||||||||||
Housewares - 0.0% (b) | ||||||||||||
16,999 | Newell Brands, Inc. | 326,721 | ||||||||||
Information - 0.0% (b) | ||||||||||||
3,224 | Fox Corp., Class A | 115,290 | ||||||||||
Insurance - 0.3% | ||||||||||||
775 | Aflac, Inc. | 42,501 | ||||||||||
440 | Allstate Corp. | 48,994 | ||||||||||
1,344 | American International Group, Inc. | 70,775 | ||||||||||
462 | Aon PLC, Class A | 94,068 | ||||||||||
1,563 | Arthur J Gallagher & Co. | 145,781 | ||||||||||
2,502 | Assurant, Inc. | 332,441 | ||||||||||
511 | Chubb, Ltd. | 77,406 | ||||||||||
1,622 | Cincinnati Financial Corp. | 173,635 | ||||||||||
857 | Everest Re Group, Ltd. | 232,470 | ||||||||||
1,867 | Globe Life, Inc. | 191,853 | ||||||||||
2,544 | Hartford Financial Services Group, Inc. | 157,372 | ||||||||||
2,280 | Lincoln National Corp. | 134,634 | ||||||||||
1,879 | Loews Corp. | 95,641 | ||||||||||
685 | Marsh & McLennan Cos., Inc. | 74,028 | ||||||||||
746 | MetLife, Inc. | 37,233 | ||||||||||
1,863 | Principal Financial Group, Inc. | 102,651 | ||||||||||
424 | Progressive Corp. | 30,973 | ||||||||||
486 | Prudential Financial, Inc. | 45,499 | ||||||||||
283 | Travelers Cos., Inc. | 38,692 | ||||||||||
8,653 | Unum Group | 265,993 | ||||||||||
608 | Willis Towers Watson PLC | 119,436 | ||||||||||
2,512,076 | ||||||||||||
Internet - 0.1% | ||||||||||||
1,091 | eBay, Inc. | 38,752 | ||||||||||
517 | Expedia Group, Inc. | 52,558 | ||||||||||
2,152 | F5 Networks, Inc. (a) | 313,568 | ||||||||||
10,366 | TripAdvisor, Inc. | 294,395 | ||||||||||
3,163 | Twitter, Inc. (a) | 97,768 | ||||||||||
499 | VeriSign, Inc. (a) | 95,179 | ||||||||||
892,220 | ||||||||||||
Iron/Steel - 0.0% (b) | ||||||||||||
1,893 | Nucor Corp. | 106,689 | ||||||||||
See accompanying notes to financial statements.
30
Horizon Active Risk Assist® Fund |
| Value | |||||||||||
Leisure Time - 0.1% | ||||||||||||
1,013 | Carnival Corp. | $ | 45,666 | |||||||||
7,913 | Harley-Davidson, Inc. | 287,875 | ||||||||||
3,034 | Norwegian Cruise Line Holdings, Ltd. (a) | 162,744 | ||||||||||
566 | Royal Caribbean Cruises, Ltd. | 67,931 | ||||||||||
564,216 | ||||||||||||
Lodging - 0.1% | ||||||||||||
908 | Hilton Worldwide Holdings, Inc. | 95,340 | ||||||||||
244 | Marriott International, Inc., Class A | 34,248 | ||||||||||
3,382 | MGM Resorts International | 108,055 | ||||||||||
984 | Wynn Resorts, Ltd. | 118,916 | ||||||||||
356,559 | ||||||||||||
Machinery - Diversified - 0.1% | ||||||||||||
404 | Cummins, Inc. | 73,875 | ||||||||||
200 | Deere & Co. | 33,610 | ||||||||||
1,249 | Dover Corp. | 139,239 | ||||||||||
5,870 | Flowserve Corp. | 285,869 | ||||||||||
564 | Rockwell Automation, Inc. | 110,454 | ||||||||||
207 | Roper Technologies, Inc. | 74,597 | ||||||||||
1,502 | Wabtec Corp. | 118,012 | ||||||||||
1,461 | Xylem, Inc. | 113,242 | ||||||||||
948,898 | ||||||||||||
Manufacturing - 0.0% (b) | ||||||||||||
12,625 | Amcor PLC | 129,533 | ||||||||||
Media - 0.2% | ||||||||||||
2,845 | CBS Corp., Class B | 114,881 | ||||||||||
386 | Charter Communications, Inc., Class A (a) | 181,424 | ||||||||||
3,131 | Comcast Corp., Class A | 138,233 | ||||||||||
6,067 | Discovery, Inc., Class A (a)(f) | 199,847 | ||||||||||
5,369 | DISH Network Corp., Class A (a) | 183,459 | ||||||||||
27,027 | News Corp., Class A | 348,108 | ||||||||||
424 | Walt Disney Co. | 64,270 | ||||||||||
1,230,222 | ||||||||||||
Mining - 0.0% (b) | ||||||||||||
9,992 | Freeport-McMoRan, Inc. | 113,709 | ||||||||||
2,464 | Newmont Goldcorp Corp. | 94,618 | ||||||||||
208,327 | ||||||||||||
Miscellaneous Manufacturing - 0.1% | ||||||||||||
4,931 | AO Smith Corp. | 238,660 | ||||||||||
599 | Eaton Corp PLC | 55,408 | ||||||||||
214 | Illinois Tool Works, Inc. | 37,307 |
See accompanying notes to financial statements.
31
Horizon Active Risk Assist® Fund |
| Value | |||||||||||
795 | Ingersoll-Rand PLC | $ | 104,232 | |||||||||
428 | Parker-Hannifin Corp. | 85,082 | ||||||||||
3,039 | Textron, Inc. | 140,523 | ||||||||||
661,212 | ||||||||||||
Oil & Gas - 0.3% | ||||||||||||
7,268 | Apache Corp. | 161,931 | ||||||||||
11,393 | Cabot Oil & Gas Corp. | 181,604 | ||||||||||
999 | Chevron Corp. | 117,013 | ||||||||||
7,214 | Cimarex Energy Co. | 331,628 | ||||||||||
1,426 | Concho Resources, Inc. | 103,471 | ||||||||||
6,125 | Devon Energy Corp. | 134,076 | ||||||||||
1,035 | Diamondback Energy, Inc. | 80,047 | ||||||||||
412 | EOG Resources, Inc. | 29,211 | ||||||||||
6,857 | Helmerich & Payne, Inc. | 271,057 | ||||||||||
2,203 | Hess Corp. | 136,784 | ||||||||||
4,268 | HollyFrontier Corp. | 220,015 | ||||||||||
11,084 | Marathon Oil Corp. | 129,129 | ||||||||||
835 | Marathon Petroleum Corp. | 50,634 | ||||||||||
7,324 | Noble Energy, Inc. | 152,046 | ||||||||||
779 | Occidental Petroleum Corp. | 30,046 | ||||||||||
1,225 | Phillips 66 | 140,532 | ||||||||||
586 | Pioneer Natural Resources Co. | 74,914 | ||||||||||
1,038 | Valero Energy Corp. | 99,119 | ||||||||||
2,443,257 | ||||||||||||
Oil & Gas Services - 0.1% | ||||||||||||
5,021 | Baker Hughes & GE Co., Class A | 112,571 | ||||||||||
4,027 | Halliburton Co. | 84,527 | ||||||||||
8,343 | National Oilwell Varco, Inc. | 188,134 | ||||||||||
802 | Schlumberger, Ltd. | 29,032 | ||||||||||
6,120 | TechnipFMC PLC | 115,301 | ||||||||||
529,565 | ||||||||||||
Packaging & Containers - 0.1% | ||||||||||||
2,198 | Ball Corp. | 145,200 | ||||||||||
1,645 | Packaging Corp. of America | 184,075 | ||||||||||
5,532 | Sealed Air Corp. | 208,722 | ||||||||||
4,647 | Westrock Co. | 187,414 | ||||||||||
725,411 | ||||||||||||
Pharmaceuticals - 0.1% | ||||||||||||
2,445 | Cardinal Health, Inc. | 134,548 | ||||||||||
775 | McKesson Corp. | 112,096 | ||||||||||
1,123 | Merck & Co., Inc. | 97,903 | ||||||||||
7,748 | Mylan NV (a) | 145,507 | ||||||||||
9,647 | Nektar Therapeutics (a)(f) | 195,738 |
See accompanying notes to financial statements.
32
Horizon Active Risk Assist® Fund |
| Value | |||||||||||
4,278 | Perrigo Co. PLC | $ | 219,162 | |||||||||
1,194 | Zoetis, Inc., Class A | 143,901 | ||||||||||
1,048,855 | ||||||||||||
Pipelines - 0.0% (b) | ||||||||||||
7,267 | Kinder Morgan, Inc. | 142,506 | ||||||||||
2,046 | ONEOK, Inc. | �� | 145,368 | |||||||||
2,089 | Williams Cos., Inc. | 47,462 | ||||||||||
335,336 | ||||||||||||
Professional, Scientific, and Technical Services - 0.0% (b) | ||||||||||||
668 | CDW Corp/DE | 90,213 | ||||||||||
Real Estate - 0.0% (b) | ||||||||||||
1,660 | CBRE Group, Inc., Class A (a) | 94,653 | ||||||||||
Real Estate Investment Trusts - 0.5% | ||||||||||||
662 | Alexandria Real Estate Equities, Inc. | 107,588 | ||||||||||
385 | American Tower Corp. | 82,401 | ||||||||||
4,318 | Apartment Investment & Management Co., Class A | 232,179 | ||||||||||
273 | AvalonBay Communities, Inc. | 58,534 | ||||||||||
603 | Boston Properties, Inc. | 83,540 | ||||||||||
210 | Crown Castle International Corp. | 28,069 | ||||||||||
558 | Digital Realty Trust, Inc. | 67,490 | ||||||||||
4,050 | Duke Realty Corp. | 142,479 | ||||||||||
177 | Equinix, Inc. | 100,332 | ||||||||||
986 | Equity Residential | 83,909 | ||||||||||
262 | Essex Property Trust, Inc. | 81,791 | ||||||||||
1,452 | Extra Space Storage, Inc. | 153,985 | ||||||||||
1,242 | Federal Realty Investment Trust | 164,031 | ||||||||||
3,877 | Healthpeak Properties, Inc. | 135,230 | ||||||||||
7,425 | Host Hotels & Resorts, Inc. | 129,863 | ||||||||||
5,650 | Iron Mountain, Inc. | 181,478 | ||||||||||
10,353 | Kimco Realty Corp. | 223,832 | ||||||||||
10,928 | Macerich Co. (f) | 294,291 | ||||||||||
1,444 | Mid-America Apartment Communities, Inc. | 196,543 | ||||||||||
386 | Prologis, Inc. | 35,338 | ||||||||||
147 | Public Storage | 30,970 | ||||||||||
1,019 | Realty Income Corp. | 78,086 | ||||||||||
2,212 | Regency Centers Corp. | 143,868 | ||||||||||
634 | SBA Communications Corp. | 149,922 | ||||||||||
198 | Simon Property Group, Inc. | 29,939 | ||||||||||
3,051 | SL Green Realty Corp. | 260,342 | ||||||||||
2,612 | UDR, Inc. | 125,507 | ||||||||||
1,517 | Ventas, Inc. | 88,456 | ||||||||||
2,098 | Vornado Realty Trust | 135,468 |
See accompanying notes to financial statements.
33
Horizon Active Risk Assist® Fund |
| Value | |||||||||||
1,600 | Welltower, Inc. | $ | 135,312 | |||||||||
3,396 | Weyerhaeuser Co. | 100,216 | ||||||||||
3,860,989 | ||||||||||||
Retail - 0.5% | ||||||||||||
968 | Advance Auto Parts, Inc. | 152,053 | ||||||||||
110 | AutoZone, Inc. (a) | 129,571 | ||||||||||
1,230 | Best Buy Co., Inc. | 99,187 | ||||||||||
1,640 | CarMax, Inc. (a) | 159,506 | ||||||||||
180 | Chipotle Mexican Grill, Inc. (a) | 146,506 | ||||||||||
839 | Darden Restaurants, Inc. | 99,371 | ||||||||||
968 | Dollar General Corp. | 152,325 | ||||||||||
1,102 | Dollar Tree, Inc. (a) | 100,789 | ||||||||||
8,832 | Foot Locker, Inc. | 353,722 | ||||||||||
12,338 | Gap, Inc. | 204,934 | ||||||||||
1,181 | Genuine Parts Co. | 123,261 | ||||||||||
3,757 | Kohl’s Corp. | 176,617 | ||||||||||
9,221 | L Brands, Inc. | 176,490 | ||||||||||
11,098 | Macy’s, Inc. (f) | 170,021 | ||||||||||
555 | McDonald’s Corp. | 107,936 | ||||||||||
10,224 | Nordstrom, Inc. (f) | 390,250 | ||||||||||
141 | O’Reilly Automotive, Inc. (a) | 62,361 | ||||||||||
385 | Ross Stores, Inc. | 44,718 | ||||||||||
1,367 | Starbucks Corp. | 116,783 | ||||||||||
6,191 | Tapestry, Inc. | 166,476 | ||||||||||
1,163 | Target Corp. | 145,387 | ||||||||||
1,515 | Tiffany & Co. | 202,707 | ||||||||||
1,096 | Tractor Supply Co. | 103,506 | ||||||||||
221 | Ulta Beauty, Inc. (a) | 51,683 | ||||||||||
611 | Walgreens Boots Alliance, Inc. | 36,416 | ||||||||||
729 | Walmart, Inc. | 86,817 | ||||||||||
1,011 | Yum! Brands, Inc. | 101,777 | ||||||||||
3,861,170 | ||||||||||||
Savings & Loans - 0.0% (b) | ||||||||||||
16,581 | People’s United Financial, Inc. | 273,587 | ||||||||||
Semiconductors - 0.3% | ||||||||||||
2,786 | Advanced Micro Devices, Inc. (a) | 109,072 | ||||||||||
552 | Analog Devices, Inc. | 62,348 | ||||||||||
2,335 | Applied Materials, Inc. | 135,196 | ||||||||||
3,198 | IPG Photonics Corp. (a) | 454,404 | ||||||||||
1,514 | KLA Corp. | 248,084 | ||||||||||
810 | Lam Research Corp. | 216,132 | ||||||||||
3,022 | Maxim Integrated Products, Inc. | 171,257 |
See accompanying notes to financial statements.
34
Horizon Active Risk Assist® Fund |
| Value | |||||||||||
1,374 | Microchip Technology, Inc. (f) | $ | 129,898 | |||||||||
1,260 | Micron Technology, Inc. (a) | 59,863 | ||||||||||
4,365 | Qorvo, Inc. (a) | 454,877 | ||||||||||
1,031 | QUALCOMM, Inc. | 86,140 | ||||||||||
2,323 | Skyworks Solutions, Inc. | 228,351 | ||||||||||
821 | Xilinx, Inc. | 76,172 | ||||||||||
2,431,794 | ||||||||||||
Shipbuilding - 0.0% (b) | ||||||||||||
879 | Huntington Ingalls Industries, Inc. | 221,218 | ||||||||||
Software - 0.3% | ||||||||||||
1,494 | Activision Blizzard, Inc. | 81,916 | ||||||||||
2,737 | Akamai Technologies, Inc. (a) | 238,447 | ||||||||||
956 | ANSYS, Inc. (a) | 243,484 | ||||||||||
524 | Autodesk, Inc. (a) | 94,792 | ||||||||||
1,386 | Broadridge Financial Solutions, Inc. | 171,462 | ||||||||||
1,809 | Cadence Design Systems, Inc. (a) | 127,082 | ||||||||||
1,376 | Cerner Corp. | 98,508 | ||||||||||
2,209 | Citrix Systems, Inc. | 249,197 | ||||||||||
1,056 | Electronic Arts, Inc. (a) | 106,667 | ||||||||||
856 | Fidelity National Information Services, Inc. | 118,256 | ||||||||||
1,142 | Fiserv, Inc. (a) | 132,746 | ||||||||||
132 | Intuit, Inc. | 34,174 | ||||||||||
1,718 | Jack Henry & Associates, Inc. | 261,033 | ||||||||||
918 | Leidos Holdings, Inc. | 83,391 | ||||||||||
567 | Microsoft Corp. | 85,833 | ||||||||||
386 | MSCI, Inc. | 100,047 | ||||||||||
1,025 | Paychex, Inc. | 88,273 | ||||||||||
1,481 | Synopsys, Inc. (a) | 208,880 | ||||||||||
1,647 | Take-Two Interactive Software, Inc. (a) | 199,863 | ||||||||||
2,724,051 | ||||||||||||
Telecommunications - 0.1% | ||||||||||||
525 | Arista Networks, Inc. (a) | 102,443 | ||||||||||
3,400 | AT&T, Inc. | 127,092 | ||||||||||
17,118 | CenturyLink, Inc. (f) | 248,040 | ||||||||||
10,999 | Juniper Networks, Inc. | 275,635 | ||||||||||
1,018 | Motorola Solutions, Inc. | 170,312 | ||||||||||
1,457 | T-Mobile US, Inc. (a) | 114,447 | ||||||||||
1,037,969 | ||||||||||||
Textiles - 0.0% (b) | ||||||||||||
1,384 | Mohawk Industries, Inc. (a) | 192,888 | ||||||||||
See accompanying notes to financial statements.
35
Horizon Active Risk Assist® Fund |
| Value | |||||||||||
Toys/Games/Hobbies - 0.0% (b) | ||||||||||||
1,292 | Hasbro, Inc. | $ | 131,396 | |||||||||
Transportation - 0.1% | ||||||||||||
1,737 | CH Robinson Worldwide, Inc. | 133,488 | ||||||||||
440 | CSX Corp. | 31,477 | ||||||||||
1,772 | Expeditors International of Washington, Inc. | 132,475 | ||||||||||
234 | FedEx Corp. | 37,452 | ||||||||||
1,479 | JB Hunt Transport Services, Inc. | 171,002 | ||||||||||
1,323 | Kansas City Southern | 201,652 | ||||||||||
176 | Norfolk Southern Corp. | 34,056 | ||||||||||
741,602 | ||||||||||||
Water - 0.0% (b) | ||||||||||||
989 | American Water Works Co., Inc. | 119,699 | ||||||||||
Wholesale Trade - 0.0% (b) | ||||||||||||
433 | DuPont de Nemours, Inc. | 28,063 | ||||||||||
327 | Spectrum Brands Holdings, Inc. | 20,444 | ||||||||||
48,507 | ||||||||||||
TOTAL COMMON STOCKS (Cost - $54,816,059) | 58,043,741 | |||||||||||
| Notional | |||||||||||
PURCHASED OPTIONS - 0.3% (a)(c) | ||||||||||||
PURCHASED CALL OPTIONS - 0.1% | ||||||||||||
iShares MSCI Emerging Markets ETF | ||||||||||||
10,000 | Expiration: January 17, 2020, Exercise Price: $45.50 | $ | 42,540,000 | 135,000 | ||||||||
10,000 | Expiration: January 17, 2020, Exercise Price: $46.00 | 42,540,000 | 75,000 | |||||||||
iShares MSCI Japan ETF | ||||||||||||
12,000 | Expiration: December 13, 2019, Exercise Price: $61.00 | 71,316,000 | 72,000 | |||||||||
SPDR S&P 500 ETF Trust | ||||||||||||
5,000 | Expiration: December 31, 2019, Exercise Price: $323.00 (h) | 157,155,000 | 202,500 | |||||||||
5,000 | Expiration: December 31, 2019, Exercise Price: $335.00 (h) | 157,155,000 | 12,500 | |||||||||
TOTAL PURCHASED CALL OPTIONS (Cost - $1,369,704) | 497,000 |
See accompanying notes to financial statements.
36
Horizon Active Risk Assist® Fund |
| Notional | Value | ||||||||||
PURCHASED PUT OPTIONS - 0.2% | ||||||||||||
CBOE Volatility Index | ||||||||||||
6,000 | Expiration: December 18, 2019, Exercise Price: $15.00 (h) | $ | 7,572,000 | $ | 1,110,000 | |||||||
SPDR S&P 500 ETF Trust | ||||||||||||
1,800 | Expiration: December 31, 2019, Exercise Price: $310.00 (h) | 56,575,800 | 507,600 | |||||||||
TOTAL PURCHASED PUT OPTIONS (Cost - $1,269,033) | 1,617,600 | |||||||||||
TOTAL PURCHASED OPTIONS (Cost - $2,638,737) | 2,114,600 | |||||||||||
Shares | ||||||||||||
RIGHTS - 0.0% (b) | ||||||||||||
291 | DISH Network Corp. (a) | 198 | ||||||||||
TOTAL RIGHTS (Cost - $649) | 198 | |||||||||||
SHORT TERM INVESTMENTS - 0.6% | ||||||||||||
Money Market Funds - 0.6% | ||||||||||||
4,530,378 | First American Treasury Obligations Fund, Class X, 1.58% (d) | 4,530,378 | ||||||||||
TOTAL SHORT TERM INVESTMENTS (Cost - $4,530,378) | 4,530,378 | |||||||||||
INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING - 5.7% | ||||||||||||
45,510,621 | First American Government Obligations Fund, Class Z, 1.51% (d) | 45,510,621 | ||||||||||
TOTAL INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING (Cost - $45,510,621) | 45,510,621 | |||||||||||
TOTAL INVESTMENTS - 105.7% (Cost - $818,168,320) | 847,714,268 | |||||||||||
Liabilities in Excess of Other Assets - (5.7)% | (45,719,159 | ) | ||||||||||
NET ASSETS - 100.0% | $ | 801,995,109 |
See accompanying notes to financial statements.
37
Horizon Active Risk Assist® Fund |
| Notional | Value | ||||||||||
SCHEDULE OF WRITTEN OPTIONS - (0.1)% (a)(c) | ||||||||||||
SCHEDULE OF WRITTEN CALL OPTIONS - 0.0% (b) | ||||||||||||
SPDR S&P 500 ETF Trust | ||||||||||||
5,000 | Expiration: December 31, 2019, Exercise Price $330.00 | $ | 157,155,000 | $ | 32,500 | |||||||
TOTAL WRITTEN CALL OPTIONS (Premiums Received-$27,290) | 32,500 | |||||||||||
SCHEDULE OF WRITTEN PUT OPTIONS - (0.1)% | ||||||||||||
CBOE Volatility Index | ||||||||||||
12,000 | Expiration: December 18, 2019, Exercise Price $13.50 | 15,144,000 | 1,020,000 | |||||||||
TOTAL WRITTEN PUT OPTIONS (Premiums Received-$539,520) | 1,020,000 | |||||||||||
TOTAL OPTIONS WRITTEN (Premiums Received-$566,810) | $ | 1,052,500 |
Percentages are stated as a percent of net assets.
(a) | Non-income producing security. |
(b) | Less than 0.1%. |
(c) | Each Option is exercisable into 100 shares of the underlying security. |
(d) | Money Market Fund; interest rate reflects seven-day yield on November 30, 2019. |
(e) | All or a portion of the security is segregated as collateral for written options. The value of the securities segregated as collateral for written options is $78,747,900. |
(f) | All or a portion of this security is out on loan as of November 30, 2019. |
(g) | Affiliated Security. Please refer to Note 9 of the Notes to Financial Statements. |
(h) | Held in connection with a written option, see Schedule of Written Options for more details. |
See accompanying notes to financial statements.
38
Horizon Active Income Fund |
| Value | |||||||||||
INVESTMENT COMPANIES - 98.2% | ||||||||||||
Exchange Traded Funds - 98.2% | ||||||||||||
280,305 | Columbia Diversified Fixed Income Allocation ETF (f) | $ | 5,826,139 | |||||||||
370,086 | First Trust TCW Opportunistic Fixed Income ETF | 19,459,122 | ||||||||||
647,657 | Invesco Preferred ETF (f) | 9,559,417 | ||||||||||
514,298 | Invesco Senior Loan ETF (f) | 11,551,133 | ||||||||||
249,713 | iShares 7-10 Year Treasury Bond ETF (f) | 27,860,479 | ||||||||||
15,345 | iShares 20+ Year Treasury Bond ETF (f) | 2,154,745 | ||||||||||
46,042 | iShares iBoxx Investment Grade Corporate Bond ETF | 5,891,995 | ||||||||||
480,208 | iShares Intermediate-Term Corporate Bond ETF | 27,866,470 | ||||||||||
69,151 | iShares JP Morgan USD Emerging Markets Bond ETF | 7,753,210 | ||||||||||
138,696 | Janus Henderson Mortgage-Backed Securities ETF (f) | 7,276,686 | ||||||||||
252,375 | SPDR Bloomberg Barclays Convertible Securities ETF | 13,804,913 | ||||||||||
283,840 | SPDR Doubleline Total Return Tactical ETF (e)(f) | 13,905,322 | ||||||||||
784,094 | SPDR Portfolio Intermediate Term Corporate Bond ETF | 27,702,041 | ||||||||||
391,373 | VanEck Vectors J.P. Morgan EM Local Currency Bond ETF | 12,895,740 | ||||||||||
66,782 | Vanguard Total International Bond ETF (f) | 3,884,041 | ||||||||||
320,312 | WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (f) | 16,742,708 | ||||||||||
90,001 | X-Trackers Short Duration High Yield Bond ETF (g) | 4,365,499 | ||||||||||
1,184,497 | X-Trackers USD High Yield Corporate Bond ETF | 59,059,020 | ||||||||||
TOTAL EXCHANGE TRADED FUNDS (Cost - $273,588,336) | 277,558,680 | |||||||||||
SHORT TERM INVESTMENTS - 1.7% | ||||||||||||
Money Market Funds - 1.7% | ||||||||||||
4,916,965 | First American Treasury Obligations Fund, Class X, 1.58% (d) | 4,916,965 | ||||||||||
TOTAL SHORT TERM INVESTMENTS (Cost - $4,916,965) | 4,916,965 | |||||||||||
INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING - 8.4% | ||||||||||||
23,706,285 | First American Government Obligations Fund, Class Z, 1.51% (d) | 23,706,285 | ||||||||||
TOTAL INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING (Cost - $23,706,285) | 23,706,285 | |||||||||||
TOTAL INVESTMENTS - 108.3% (Cost - $302,211,586) | 306,181,930 | |||||||||||
Liabilities in Excess of Other Assets - (8.3)% | (23,414,103 | ) | ||||||||||
NET ASSETS - 100.0% | $ | 282,767,827 |
See accompanying notes to financial statements.
39
Horizon Active Income Fund |
Contracts | Notional | Value | ||||||||||
SCHEDULE OF WRITTEN OPTIONS - 0.0% (a)(b)(c) | ||||||||||||
SCHEDULE OF WRITTEN PUT OPTIONS - 0.0% (b) | ||||||||||||
iShares iBoxx High Yield Corporate Bond ETF | ||||||||||||
500 | Expiration: December 20, 2019, Exercise Price $86.00 | $ | 4,347,000 | $ | 14,500 | |||||||
TOTAL WRITTEN PUT OPTIONS (Premiums Received-$21,715) | 14,500 | |||||||||||
TOTAL OPTIONS WRITTEN (Premiums Received - $21, 715) | $ | 14,500 |
Percentages are stated as a percent of net assets.
(a) | Non-income producing security. |
(b) | Less than 0.1%. |
(c) | Each Option is exercisable into 100 shares of the underlying security. |
(d) | Money Market Fund; interest rate reflects seven-day yield on November 30, 2019. |
(e) | All or a portion of the security is segregated as collateral for written options. The value of the securities segregated as collateral for written options is $4,899,000. |
(f) | All or a portion of this security is out on loan as of November 30, 2019. |
(g) | Affiliated Security. Please refer to Note 9 of the Notes to Financial Statements. |
See accompanying notes to financial statements.
40
Horizon Active Dividend Fund |
| Value | |||||||
COMMON STOCKS - 91.9% | ||||||||
Aerospace/Defense - 2.8% | ||||||||
13,303 | Lockheed Martin Corp. | $ | 5,201,872 | |||||
Agriculture - 2.3% | ||||||||
97,005 | Archer-Daniels-Midland Co. | 4,164,424 | ||||||
Auto Manufacturers - 3.4% | ||||||||
191,726 | Daimler AG (e) | 2,686,081 | ||||||
25,631 | Toyota Motor Corp. - ADR | 3,593,723 | ||||||
6,279,804 | ||||||||
Banks - 14.0% | ||||||||
94,839 | Citizens Financial Group, Inc. | 3,647,508 | ||||||
184,503 | Huntington Bancshares, Inc. | 2,747,250 | ||||||
316,162 | ING Groep NV - ADR (e) | 3,642,186 | ||||||
32,275 | JPMorgan Chase & Co. | 4,252,554 | ||||||
189,238 | KeyCorp | 3,669,325 | ||||||
218,352 | Regions Financial Corp. | 3,633,377 | ||||||
78,104 | Wells Fargo & Co. | 4,253,544 | ||||||
25,845,744 | ||||||||
Beverages - 2.6% | ||||||||
34,549 | PepsiCo, Inc. | 4,692,791 | ||||||
Biotechnology - 2.4% | ||||||||
18,874 | Amgen, Inc. | 4,430,105 | ||||||
Chemicals - 4.3% | ||||||||
185,368 | BASF SE - ADR | 3,468,235 | ||||||
92,080 | Nutrien, Ltd. | 4,366,434 | ||||||
7,834,669 | ||||||||
Electric - 7.4% | ||||||||
43,697 | Dominion Energy, Inc. | 3,631,658 | ||||||
22,076 | DTE Energy Co. | 2,758,175 | ||||||
52,025 | Duke Energy Corp. | 4,587,044 | ||||||
22,674 | Entergy Corp. | 2,639,027 | ||||||
13,615,904 | ||||||||
Electronics - 2.1% | ||||||||
21,316 | Honeywell International, Inc. | 3,805,972 | ||||||
Food - 2.0% | ||||||||
69,201 | General Mills, Inc. | 3,689,797 | ||||||
See accompanying notes to financial statements.
41
Horizon Active Dividend Fund |
| Value | |||||||
Gas - 3.0% | ||||||||
25,573 | Atmos Energy Corp. | $ | 2,735,288 | |||||
102,897 | NiSource, Inc. | 2,721,626 | ||||||
5,456,914 | ||||||||
Healthcare Services - 1.8% | ||||||||
11,769 | UnitedHealth Group, Inc. | 3,293,790 | ||||||
Manufacturing - 5.4% | ||||||||
46,296 | BMW A G Sponsored ADR | 1,243,973 | ||||||
76,133 | British American Tobacco PLC - ADR | 3,015,628 | ||||||
89,188 | Imperial Brands PLC - ADR | 1,969,271 | ||||||
61,914 | Unilever NV, NY Shares | 3,686,979 | ||||||
9,915,851 | ||||||||
Media - 1.0% | ||||||||
79,386 | Viacom, Inc., Class B | 1,910,821 | ||||||
Mining - 2.0% | ||||||||
68,703 | Rio Tinto PLC - ADR | 3,748,436 | ||||||
Oil & Gas - 3.0% | ||||||||
52,866 | Exxon Mobil Corp. | 3,601,760 | ||||||
47,345 | Occidental Petroleum Corp. | 1,826,097 | ||||||
5,427,857 | ||||||||
Pharmaceuticals - 10.6% | ||||||||
37,950 | Bristol-Myers Squibb Co. | 2,160,873 | ||||||
57,806 | Cardinal Health, Inc. | 3,181,064 | ||||||
41,443 | CVS Health Corp. | 3,119,415 | ||||||
109,500 | GlaxoSmithKline PLC - ADR | 4,980,060 | ||||||
27,765 | Merck & Co., Inc. | 2,420,553 | ||||||
98,114 | Pfizer, Inc. | 3,779,351 | ||||||
19,641,316 | ||||||||
Professional, Scientific, and Technical Services - 0.8% | ||||||||
139,990 | Publicis Groupe SA - ADR | 1,530,091 | ||||||
Real Estate and Rental and Leasing - 0.5% | ||||||||
38,744 | Kennedy-Wilson Holdings, Inc. | 876,002 | ||||||
Real Estate Investment Trusts - 4.0% | ||||||||
171,956 | Macerich Co. (e) | 4,630,775 | ||||||
18,345 | Simon Property Group, Inc. | 2,773,947 | ||||||
7,404,722 |
See accompanying notes to financial statements.
42
Horizon Active Dividend Fund |
| Value | |||||||
Retail - 3.3% | ||||||||
69,975 | Kohl’s Corp. | $ | 3,289,525 | |||||
47,007 | Walgreens Boots Alliance, Inc. | 2,801,617 | ||||||
6,091,142 | ||||||||
Semiconductors - 1.4% | ||||||||
30,328 | QUALCOMM, Inc. | 2,533,904 | ||||||
Telecommunications - 8.3% | ||||||||
122,346 | AT&T, Inc. | 4,573,294 | ||||||
73,629 | Cisco Systems, Inc. | 3,336,130 | ||||||
109,798 | NTT DoCoMo, Inc. - ADR | 3,013,406 | ||||||
76,530 | Verizon Communications, Inc. | 4,610,167 | ||||||
15,532,997 | ||||||||
Transportation - 2.0% | ||||||||
30,167 | United Parcel Service, Inc., Class B | 3,611,895 | ||||||
Utilities - 1.5% | ||||||||
62,105 | UGI Corp. | 2,704,673 | ||||||
TOTAL COMMON STOCKS (Cost - $163,897,536) | 169,241,493 | |||||||
CONVERTIBLE PREFERRED STOCKS - 0.8% | ||||||||
Manufacturing - 0.3% | ||||||||
2,900 | Energizer Holdings, Inc., 7.5%, January 15, 2022 | 303,543 | ||||||
6,000 | International Flavors & Fragrances, Inc., 6.0%, September 15, 2021 | 310,500 | ||||||
614,043 | ||||||||
Mining, Quarrying, and Oil and Gas Extraction - 0.3% | ||||||||
10,235 | Chesapeake Energy Corp., 4.5%, Perpetually Convertible (e) | 218,620 | ||||||
14,633 | Nabors Industries, Ltd., 6.0%, May 1, 2021 | 246,127 | ||||||
464,747 | ||||||||
Real Estate Investment Trusts - 0.2% | ||||||||
35,472 | CBL & Associates Properties, Inc., 6.6%, Perpetually Convertible (e) | 358,977 | ||||||
TOTAL CONVERTIBLE PREFERRED STOCKS (Cost - $1,382,563) | 1,437,767 |
See accompanying notes to financial statements.
43
Horizon Active Dividend Fund |
| Notional | Value | ||||||||||
PURCHASED OPTIONS - 0.1% (a)(c) | ||||||||||||
PURCHASED CALL OPTIONS - 0.0% (b) | ||||||||||||
CBOE Volatility Index | ||||||||||||
700 | Expiration: December 18, 2019, Exercise Price $20.00 | $ | 883,400 | $ | 24,500 | |||||||
iShares MSCI Emerging Markets ETF | ||||||||||||
1,000 | Expiration: January 17, 2020, Exercise Price: $45.50 | 4,254,000 | 13,500 | |||||||||
1,000 | Expiration: January 17, 2020, Exercise Price: $46.00 | 4,254,000 | 7,500 | |||||||||
TOTAL PURCHASED CALL OPTIONS (Cost - $123,500) | 45,500 | |||||||||||
PURCHASED PUT OPTIONS - 0.1% | ||||||||||||
Invesco QQQ Trust Series 1 | ||||||||||||
425 | Expiration: December 31, 2019, Exercise Price: $198.00 (f) | 8,716,750 | 57,162 | |||||||||
SPDR S&P Regional Banking ETF | ||||||||||||
700 | Expiration: December 20, 2019, Exercise Price: $54.00 | 3,935,400 | 29,750 | |||||||||
VanEck Vectors Semiconductor ETF | ||||||||||||
250 | Expiration: December 20, 2019, Exercise Price: $129.00 | 3,322,750 | 35,500 | |||||||||
TOTAL PURCHASED PUT OPTIONS (Cost - $251,666) | 122,412 | |||||||||||
TOTAL PURCHASED OPTIONS (Cost - $375,166) | 167,912 | |||||||||||
Shares | ||||||||||||
SHORT TERM INVESTMENTS - 8.1% | ||||||||||||
Money Market Funds - 8.1% | ||||||||||||
14,825,163 | First American Treasury Obligations Fund, Class X, 1.58% (d) | 14,825,163 | ||||||||||
TOTAL SHORT TERM INVESTMENTS (Cost - $14,825,163) | 14,825,163 | |||||||||||
INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING - 4.9% | ||||||||||||
8,856,026 | First American Government Obligations Fund, Class Z, 1.51% (d) | 8,856,026 | ||||||||||
TOTAL INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING (Cost - $8,856,026) | 8,856,026 | |||||||||||
TOTAL INVESTMENTS - 105.8% (Cost - $189,336,454) | 194,528,361 | |||||||||||
Liabilities in Excess of Other Assets - (5.8)% | (10,623,995 | ) | ||||||||||
NET ASSETS - 100.0% | $ | 183,904,366 |
See accompanying notes to financial statements.
44
Horizon Active Dividend Fund |
| Notional | Value | ||||||||||
SCHEDULE OF WRITTEN OPTIONS - 0.0% (a)(b)(c) | ||||||||||||
SCHEDULE OF WRITTEN PUT OPTIONS - 0.0% (b) | ||||||||||||
Invesco QQQ Trust Series 1 | ||||||||||||
425 | Expiration: December 31, 2019, Exercise Price $192.00 | $ | 8,716,750 | $ | 29,325 | |||||||
TOTAL WRITTEN PUT OPTIONS (Premiums Received-$65,205) | 29,325 | |||||||||||
TOTAL OPTIONS WRITTEN (Premiums Received-$65,205) | $ | 29,325 |
Percentages are stated as a percent of net assets.
(a) | Non-income producing security. |
(b) | Less than 0.1%. |
(c) | Each Option is exercisable into 100 shares of the underlying security. |
(d) | Money Market Fund; rate reflects seven-day yield on November 30, 2019. |
(e) | All or a portion of this security is out on loan as of November 30, 2019. |
(f) | Held in connection with a written option, see Schedule of Written Options for more details. |
ADR - American Depositary Receipt
See accompanying notes to financial statements.
45
Horizon Defined Risk Fund |
| Value | |||||||||||
COMMON STOCKS - 100.0% | ||||||||||||
Aerospace/Defense - 2.6% | ||||||||||||
3,396 | Arconic, Inc. | $ | 105,140 | |||||||||
4,068 | Boeing Co. (e) | 1,489,620 | ||||||||||
2,086 | General Dynamics Corp. | 379,110 | ||||||||||
2,040 | Lockheed Martin Corp. | 797,701 | ||||||||||
1,220 | Northrop Grumman Corp. | 429,160 | ||||||||||
2,010 | Raytheon Co. | 437,014 | ||||||||||
381 | TransDigm Group, Inc. | 216,065 | ||||||||||
6,242 | United Technologies Corp. (e) | 925,938 | ||||||||||
4,779,748 | ||||||||||||
Agriculture - 0.6% | ||||||||||||
4,025 | Archer-Daniels-Midland Co. | 172,793 | ||||||||||
11,258 | Philip Morris International, Inc. (e) | 933,626 | ||||||||||
1,106,419 | ||||||||||||
Agriculture, Forestry, Fishing and Hunting - 0.1% | ||||||||||||
5,416 | Corteva, Inc. | 140,924 | ||||||||||
Airlines - 0.3% | ||||||||||||
3,218 | American Airlines Group, Inc. | 92,485 | ||||||||||
4,703 | Delta Air Lines, Inc. | 269,529 | ||||||||||
1,855 | United Airlines Holdings, Inc. (a) | 172,144 | ||||||||||
534,158 | ||||||||||||
Apparel - 0.7% | ||||||||||||
11,337 | Nike, Inc., Class B (e) | 1,059,896 | ||||||||||
2,877 | VF Corp. | 254,730 | ||||||||||
1,314,626 | ||||||||||||
Auto Manufacturers - 0.4% | ||||||||||||
28,879 | Ford Motor Co. | 261,644 | ||||||||||
10,332 | General Motors Co. | 371,952 | ||||||||||
2,503 | PACCAR, Inc. | 203,669 | ||||||||||
837,265 | ||||||||||||
Auto Parts & Equipment - 0.1% | ||||||||||||
1,849 | Aptiv PLC | 173,584 | ||||||||||
Banks - 6.4% | ||||||||||||
67,383 | Bank of America Corp. (e) | 2,245,201 | ||||||||||
6,817 | Bank of New York Mellon Corp. | 333,828 | ||||||||||
5,540 | BB&T Corp. | 303,149 | ||||||||||
3,401 | Capital One Financial Corp. | 340,134 | ||||||||||
16,350 | Citigroup, Inc. (e) | 1,228,212 | ||||||||||
3,230 | Citizens Financial Group, Inc. | 124,226 |
See accompanying notes to financial statements.
46
Horizon Defined Risk Fund |
| Value | |||||||||||
5,284 | Fifth Third Bancorp | $ | 159,524 | |||||||||
2,705 | Goldman Sachs Group, Inc. | 598,752 | ||||||||||
23,142 | JPMorgan Chase & Co. (e) | 3,049,190 | ||||||||||
7,256 | KeyCorp | 140,694 | ||||||||||
962 | M&T Bank Corp. | 158,480 | ||||||||||
11,959 | Morgan Stanley | 591,731 | ||||||||||
1,551 | Northern Trust Corp. | 166,329 | ||||||||||
3,218 | PNC Financial Services Group, Inc. | 493,030 | ||||||||||
7,217 | Regions Financial Corp. | 120,091 | ||||||||||
2,691 | State Street Corp. | 202,094 | ||||||||||
31,893 | Wells Fargo & Co. (e) | 1,736,893 | ||||||||||
11,991,558 | ||||||||||||
Beverages - 1.9% | ||||||||||||
30,950 | Coca-Cola Co. (e) | 1,652,730 | ||||||||||
1,383 | Constellation Brands, Inc., Class A | 257,321 | ||||||||||
3,941 | Monster Beverage Corp. (a) | 235,751 | ||||||||||
10,118 | PepsiCo, Inc. (e) | 1,374,328 | ||||||||||
3,520,130 | ||||||||||||
Biotechnology - 1.7% | ||||||||||||
4,336 | Amgen, Inc. (e) | 1,017,746 | ||||||||||
1,331 | Biogen, Inc. (a) | 399,047 | ||||||||||
9,164 | Gilead Sciences, Inc. | 616,188 | ||||||||||
1,060 | Illumina, Inc. (a) | 340,006 | ||||||||||
1,552 | Incyte Corp. (a) | 146,136 | ||||||||||
791 | Regeneron Pharmaceuticals, Inc. (a) | 291,879 | ||||||||||
1,855 | Vertex Pharmaceuticals, Inc. (a) | 411,346 | ||||||||||
3,222,348 | ||||||||||||
Building Materials - 0.3% | ||||||||||||
5,755 | Johnson Controls International PLC | 246,487 | ||||||||||
447 | Martin Marietta Materials, Inc. | 119,975 | ||||||||||
2,139 | Masco Corp. | 99,570 | ||||||||||
951 | Vulcan Materials Co. | 134,918 | ||||||||||
600,950 | ||||||||||||
Chemicals - 1.4% | ||||||||||||
1,591 | Air Products & Chemicals, Inc. | 376,001 | ||||||||||
891 | Celanese Corp. | 111,883 | ||||||||||
5,373 | Dow, Inc. | 286,757 | ||||||||||
1,006 | FMC Corp. | 98,548 | ||||||||||
769 | International Flavors & Fragrances, Inc. (f) | 108,606 | ||||||||||
3,906 | Linde PLC | 805,456 | ||||||||||
2,423 | LyondellBasell Industries NV, Class A | 224,224 | ||||||||||
1,705 | PPG Industries, Inc. | 219,672 |
See accompanying notes to financial statements.
47
Horizon Defined Risk Fund |
| Value | |||||||||||
662 | Sherwin-Williams Co. | $ | 386,032 | |||||||||
2,617,179 | ||||||||||||
Commercial Services - 2.0% | ||||||||||||
3,135 | Automatic Data Processing, Inc. | 535,395 | ||||||||||
735 | Cintas Corp. | 188,939 | ||||||||||
2,077 | Ecolab, Inc. | 387,714 | ||||||||||
870 | Equifax, Inc. | 121,487 | ||||||||||
620 | FleetCor Technologies, Inc. (a) | 190,290 | ||||||||||
1,129 | Global Payments, Inc. | 204,462 | ||||||||||
2,898 | IHS Markit, Ltd. (a) | 210,540 | ||||||||||
1,363 | Moody’s Corp. | 308,951 | ||||||||||
8,513 | PayPal Holdings, Inc. (a) | 919,489 | ||||||||||
1,779 | S&P Global, Inc. | 470,812 | ||||||||||
1,178 | Verisk Analytics, Inc. | 173,732 | ||||||||||
3,711,811 | ||||||||||||
Computers - 6.0% | ||||||||||||
4,614 | Accenture PLC, Class A | 928,152 | ||||||||||
32,713 | Apple, Inc. (e) | 8,742,550 | ||||||||||
3,993 | Cognizant Technology Solutions Corp., Class A | 255,991 | ||||||||||
9,446 | Hewlett Packard Enterprise Co. | 149,530 | ||||||||||
10,726 | HP, Inc. | 215,378 | ||||||||||
6,409 | International Business Machines Corp. (e) | 861,690 | ||||||||||
11,153,291 | ||||||||||||
Cosmetics/Personal Care - 1.7% | ||||||||||||
6,207 | Colgate-Palmolive Co. | 420,959 | ||||||||||
2,609 | Estee Lauder Cos., Inc., Class A | 509,981 | ||||||||||
18,111 | Procter & Gamble Co. (e) | 2,210,629 | ||||||||||
3,141,569 | ||||||||||||
Distribution/Wholesale - 0.2% | ||||||||||||
1,655 | Copart, Inc. (a) | 147,295 | ||||||||||
4,146 | Fastenal Co. | 147,266 | ||||||||||
392 | WW Grainger, Inc. | 124,244 | ||||||||||
418,805 | ||||||||||||
Diversified Financial Services - 4.5% | ||||||||||||
6,001 | American Express Co. | 720,840 | ||||||||||
942 | Ameriprise Financial, Inc. | 154,366 | ||||||||||
1,122 | BlackRock, Inc. (e) | 555,289 | ||||||||||
9,460 | Charles Schwab Corp. | 468,270 | ||||||||||
2,586 | CME Group, Inc. | 524,260 | ||||||||||
2,298 | Discover Financial Services | 195,031 | ||||||||||
4,054 | Intercontinental Exchange, Inc. | 381,765 | ||||||||||
7,341 | MasterCard, Inc., Class A (e) | 2,145,261 |
See accompanying notes to financial statements.
48
Horizon Defined Risk Fund |
| Value | |||||||||||
1,188 | Nasdaq, Inc. | $ | 124,502 | |||||||||
4,798 | Synchrony Financial | 179,493 | ||||||||||
1,700 | T. Rowe Price Group, Inc. | 210,052 | ||||||||||
14,358 | Visa, Inc., Class A (e) | 2,649,195 | ||||||||||
8,308,324 | ||||||||||||
Electric - 3.0% | ||||||||||||
1,714 | Alliant Energy Corp. | 90,842 | ||||||||||
1,829 | Ameren Corp. | 135,950 | ||||||||||
3,569 | American Electric Power Co., Inc. | 326,028 | ||||||||||
3,624 | CenterPoint Energy, Inc. | 89,006 | ||||||||||
2,050 | CMS Energy Corp. | 125,665 | ||||||||||
2,399 | Consolidated Edison, Inc. | 208,449 | ||||||||||
5,811 | Dominion Energy, Inc. | 482,952 | ||||||||||
1,321 | DTE Energy Co. | 165,046 | ||||||||||
5,267 | Duke Energy Corp. | 464,391 | ||||||||||
2,586 | Edison International | 178,693 | ||||||||||
1,434 | Entergy Corp. | 166,903 | ||||||||||
1,699 | Evergy, Inc. | 107,496 | ||||||||||
2,337 | Eversource Energy | 193,130 | ||||||||||
7,016 | Exelon Corp. | 311,510 | ||||||||||
3,848 | FirstEnergy Corp. | 183,511 | ||||||||||
3,465 | NextEra Energy, Inc. | 810,186 | ||||||||||
5,221 | PPL Corp. | 177,671 | ||||||||||
3,653 | Public Service Enterprise Group, Inc. | 216,659 | ||||||||||
1,982 | Sempra Energy | 291,889 | ||||||||||
7,812 | Southern Co. | 484,266 | ||||||||||
2,277 | WEC Energy Group, Inc. | 201,856 | ||||||||||
3,723 | Xcel Energy, Inc. | 228,927 | ||||||||||
5,641,026 | ||||||||||||
Electrical Components & Equipment - 0.4% | ||||||||||||
1,650 | AMETEK, Inc. | 163,367 | ||||||||||
4,450 | Emerson Electric Co. | 328,677 | ||||||||||
1,612 | L3Harris Technologies, Inc. | 324,157 | ||||||||||
816,201 | ||||||||||||
Electronics - 1.2% | ||||||||||||
2,234 | Agilent Technologies, Inc. | 180,440 | ||||||||||
2,148 | Amphenol Corp., Class A | 223,392 | ||||||||||
5,648 | Corning, Inc. | 164,018 | ||||||||||
2,426 | Fortive Corp. | 175,084 | ||||||||||
1,372 | Garmin, Ltd. | 134,031 | ||||||||||
5,203 | Honeywell International, Inc. | 928,996 | ||||||||||
1,354 | Keysight Technologies, Inc. (a) | 144,918 | ||||||||||
173 | Mettler-Toledo International, Inc. (a) | 124,458 |
See accompanying notes to financial statements.
49
Horizon Defined Risk Fund |
| Value | |||||||||||
2,428 | TE Connectivity, Ltd. | $ | 225,100 | |||||||||
2,300,437 | ||||||||||||
Engineering & Construction - 0.0% (b) | ||||||||||||
977 | Jacobs Engineering Group, Inc. | 89,972 | ||||||||||
Environmental Control - 0.3% | ||||||||||||
2,317 | Republic Services, Inc. | 205,402 | ||||||||||
3,066 | Waste Management, Inc. | 346,182 | ||||||||||
551,584 | ||||||||||||
Finance and Insurance - 0.1% | ||||||||||||
1,189 | First Republic Bank | 130,671 | ||||||||||
269 | MarketAxess Holdings, Inc. | 108,628 | ||||||||||
239,299 | ||||||||||||
Food - 1.2% | ||||||||||||
4,362 | General Mills, Inc. | 232,582 | ||||||||||
1,510 | Hershey Co. | 223,722 | ||||||||||
3,861 | Hormel Foods Corp. | 171,930 | ||||||||||
2,457 | Kellogg Co. | 160,000 | ||||||||||
8,829 | Kraft Heinz Co. | 269,284 | ||||||||||
10,437 | Mondelez International, Inc., Class A | 548,360 | ||||||||||
3,709 | Sysco Corp. | 298,760 | ||||||||||
2,635 | Tyson Foods, Inc., Class A | 236,860 | ||||||||||
2,141,498 | ||||||||||||
Forest Products & Paper - 0.1% | ||||||||||||
2,838 | International Paper Co. | 131,513 | ||||||||||
Gas - 0.0% (b) | ||||||||||||
851 | Atmos Energy Corp. | 91,023 | ||||||||||
Hand/Machine Tools - 0.1% | ||||||||||||
1,091 | Stanley Black & Decker, Inc. | 172,094 | ||||||||||
Healthcare Products - 3.7% | ||||||||||||
12,790 | Abbott Laboratories (e) | 1,092,906 | ||||||||||
3,692 | Baxter International, Inc. | 302,633 | ||||||||||
1,948 | Becton Dickinson & Co. | 503,558 | ||||||||||
354 | Cooper Cos., Inc. | 110,834 | ||||||||||
5,188 | Danaher Corp. (f) | 757,344 | ||||||||||
1,500 | Edwards Lifesciences Corp. (a) | 367,410 | ||||||||||
618 | IDEXX Laboratories, Inc. (a) | 155,477 | ||||||||||
830 | Intuitive Surgical, Inc. (a) | 492,107 | ||||||||||
9,708 | Medtronic PLC (e) | 1,081,374 | ||||||||||
1,034 | ResMed, Inc. | 154,686 |
See accompanying notes to financial statements.
50
Horizon Defined Risk Fund |
| Value | |||||||||||
2,704 | Stryker Corp. | $ | 553,941 | |||||||||
331 | Teleflex, Inc. | 116,956 | ||||||||||
2,892 | Thermo Fisher Scientific, Inc. | 907,943 | ||||||||||
1,481 | Zimmer Biomet Holdings, Inc. | 215,160 | ||||||||||
6,812,329 | ||||||||||||
Healthcare Services - 2.0% | ||||||||||||
1,848 | Anthem, Inc. | 533,444 | ||||||||||
2,988 | Centene Corp. (a) | 180,684 | ||||||||||
2,460 | HCA Healthcare, Inc. | 341,104 | ||||||||||
971 | Humana, Inc. | 331,334 | ||||||||||
1,411 | IQVIA Holdings, Inc. (a) | 205,978 | ||||||||||
703 | Laboratory Corp. of America Holdings (a) | 121,120 | ||||||||||
6,857 | UnitedHealth Group, Inc. (e) | 1,919,068 | ||||||||||
3,632,732 | ||||||||||||
Healthcare-Products - 0.2% | ||||||||||||
10,079 | Boston Scientific Corp. (a) | 435,917 | ||||||||||
Home Builders - 0.2% | ||||||||||||
2,673 | DR Horton, Inc. | 147,951 | ||||||||||
2,268 | Lennar Corp., Class A | 135,286 | ||||||||||
283,237 | ||||||||||||
Household Products/Wares - 0.3% | ||||||||||||
905 | Clorox Co. | 134,148 | ||||||||||
2,487 | Kimberly-Clark Corp. | 339,078 | ||||||||||
473,226 | ||||||||||||
Insurance - 4.2% | ||||||||||||
5,355 | Aflac, Inc. | 293,668 | ||||||||||
2,378 | Allstate Corp. | 264,790 | ||||||||||
6,292 | American International Group, Inc. | 331,337 | ||||||||||
1,703 | Aon PLC, Class A | 346,748 | ||||||||||
1,341 | Arthur J Gallagher & Co. | 125,075 | ||||||||||
17,733 | Berkshire Hathaway, Inc., Class B (a)(e) | 3,906,580 | ||||||||||
3,292 | Chubb, Ltd. | 498,672 | ||||||||||
1,177 | Cincinnati Financial Corp. | 125,998 | ||||||||||
2,613 | Hartford Financial Services Group, Inc. | 161,640 | ||||||||||
2,183 | Loews Corp. | 111,115 | ||||||||||
3,660 | Marsh & McLennan Cos., Inc. | 395,536 | ||||||||||
6,773 | MetLife, Inc. | 338,041 | ||||||||||
2,012 | Principal Financial Group, Inc. | 110,861 | ||||||||||
4,228 | Progressive Corp. | 308,855 | ||||||||||
2,903 | Prudential Financial, Inc. | 271,779 | ||||||||||
1,880 | Travelers Cos., Inc. | 257,034 | ||||||||||
7,847,729 |
See accompanying notes to financial statements.
51
Horizon Defined Risk Fund |
| Value | |||||||||||
Internet - 10.4% | ||||||||||||
5,012 | Alphabet, Inc., Class A (a)(e) | $ | 6,536,099 | |||||||||
3,574 | Amazon.com, Inc. (a)(e) | 6,436,059 | ||||||||||
303 | Booking Holdings, Inc. (a) | 576,921 | ||||||||||
6,066 | eBay, Inc. | 215,464 | ||||||||||
1,108 | Expedia Group, Inc. | 112,639 | ||||||||||
20,651 | Facebook, Inc. Class A (a)(e) | 4,164,068 | ||||||||||
3,164 | Netflix, Inc. (a)(e) | 995,584 | ||||||||||
5,591 | Twitter, Inc. (a) | 172,818 | ||||||||||
852 | VeriSign, Inc. (a) | 162,511 | ||||||||||
19,372,163 | ||||||||||||
Iron/Steel - 0.1% | ||||||||||||
2,190 | Nucor Corp. | 123,428 | ||||||||||
Leisure Time - 0.3% | ||||||||||||
4,907 | Carnival Corp. | 221,208 | ||||||||||
1,685 | Norwegian Cruise Line Holdings, Ltd. (a) | 90,383 | ||||||||||
1,510 | Royal Caribbean Cruises, Ltd. | 181,230 | ||||||||||
492,821 | ||||||||||||
Lodging - 0.4% | ||||||||||||
2,069 | Hilton Worldwide Holdings, Inc. | 217,245 | ||||||||||
2,379 | Marriott International, Inc., Class A | 333,916 | ||||||||||
3,768 | MGM Resorts International | 120,388 | ||||||||||
791 | Wynn Resorts, Ltd. | 95,592 | ||||||||||
767,141 | ||||||||||||
Machinery - Construction & Mining - 0.3% | ||||||||||||
4,068 | Caterpillar, Inc. | 588,762 | ||||||||||
Machinery - Diversified - 0.7% | ||||||||||||
1,136 | Cummins, Inc. | 207,729 | ||||||||||
2,273 | Deere & Co. | 381,978 | ||||||||||
1,049 | Dover Corp. | 116,942 | ||||||||||
842 | Rockwell Automation, Inc. | 164,897 | ||||||||||
749 | Roper Technologies, Inc. | 269,917 | ||||||||||
1,382 | Wabtec Corp. | 108,584 | ||||||||||
1,298 | Xylem, Inc. | 100,608 | ||||||||||
1,350,655 | ||||||||||||
Manufacturing - 0.1% | ||||||||||||
11,766 | Amcor PLC | 120,719 | ||||||||||
544 | IDEX Corp. | 88,531 | ||||||||||
209,250 |
See accompanying notes to financial statements.
52
Horizon Defined Risk Fund |
| Value | |||||||||||
Media - 2.3% | ||||||||||||
1,785 | Charter Communications, Inc., Class A (a) | $ | 838,968 | |||||||||
32,899 | Comcast Corp. (e) | 1,452,491 | ||||||||||
13,034 | Walt Disney Co. (e) | 1,975,693 | ||||||||||
4,267,152 | ||||||||||||
Mining - 0.2% | ||||||||||||
10,498 | Freeport-McMoRan, Inc. | 119,467 | ||||||||||
5,930 | Newmont Goldcorp Corp. | 227,712 | ||||||||||
347,179 | ||||||||||||
Miscellaneous Manufacturing - 1.4% | ||||||||||||
4,159 | 3M Co. (e) | 706,073 | ||||||||||
3,035 | Eaton Corp PLC | 280,737 | ||||||||||
63,177 | General Electric Co. | 712,005 | ||||||||||
2,336 | Illinois Tool Works, Inc. | 407,235 | ||||||||||
1,743 | Ingersoll-Rand PLC | 228,525 | ||||||||||
925 | Parker-Hannifin Corp. | 183,881 | ||||||||||
2,518,456 | ||||||||||||
Oil & Gas - 3.3% | ||||||||||||
13,738 | Chevron Corp. (e) | 1,609,132 | ||||||||||
1,451 | Concho Resources, Inc. | 105,285 | ||||||||||
8,032 | ConocoPhillips | 481,438 | ||||||||||
1,175 | Diamondback Energy, Inc. | 90,874 | ||||||||||
4,199 | EOG Resources, Inc. | 297,709 | ||||||||||
30,627 | Exxon Mobil Corp. (e) | 2,086,618 | ||||||||||
2,199 | Hess Corp. | 136,536 | ||||||||||
4,762 | Marathon Petroleum Corp. | 288,768 | ||||||||||
6,470 | Occidental Petroleum Corp. | 249,548 | ||||||||||
3,243 | Phillips 66 | 372,037 | ||||||||||
1,204 | Pioneer Natural Resources Co. | 153,919 | ||||||||||
2,996 | Valero Energy Corp. | 286,088 | ||||||||||
6,157,952 | ||||||||||||
Oil & Gas Services - 0.4% | ||||||||||||
7,510 | Baker Hughes & GE Co., Class A | 168,374 | ||||||||||
6,336 | Halliburton Co. | 132,993 | ||||||||||
10,006 | Schlumberger, Ltd. | 362,217 | ||||||||||
3,431 | TechnipFMC PLC | 64,640 | ||||||||||
728,224 | ||||||||||||
Packaging & Containers - 0.1% | ||||||||||||
2,396 | Ball Corp. | 158,280 | ||||||||||
Pharmaceuticals - 5.4% | ||||||||||||
10,698 | AbbVie, Inc. (e) | 938,535 |
See accompanying notes to financial statements.
53
Horizon Defined Risk Fund |
| Value | |||||||||||
11,835 | Bristol-Myers Squibb Co. | $ | 673,885 | |||||||||
2,730 | Cigna Corp. | 545,782 | ||||||||||
9,410 | CVS Health Corp. | 708,291 | ||||||||||
6,986 | Eli Lilly & Co. (e) | 819,807 | ||||||||||
19,102 | Johnson & Johnson (e) | 2,626,334 | ||||||||||
1,333 | McKesson Corp. | 192,805 | ||||||||||
18,533 | Merck & Co., Inc. (e) | 1,615,707 | ||||||||||
40,035 | Pfizer, Inc. (e) | 1,542,148 | ||||||||||
3,452 | Zoetis, Inc., Class A | 416,035 | ||||||||||
10,079,329 | ||||||||||||
Pipelines - 0.4% | ||||||||||||
16,385 | Kinder Morgan, Inc. | 321,310 | ||||||||||
2,984 | ONEOK, Inc. | 212,013 | ||||||||||
8,771 | Williams Cos., Inc. | 199,277 | ||||||||||
732,600 | ||||||||||||
Real Estate - 0.1% | ||||||||||||
2,430 | CBRE Group, Inc., Class A (a) | 138,559 | ||||||||||
Real Estate and Rental and Leasing - 0.1% | ||||||||||||
3,552 | Healthpeak Properties, Inc. | 123,894 | ||||||||||
Real Estate Investment Trusts - 2.8% | ||||||||||||
814 | Alexandria Real Estate Equities, Inc. | 132,291 | ||||||||||
3,200 | American Tower Corp. | 684,896 | ||||||||||
1,006 | AvalonBay Communities, Inc. | 215,697 | ||||||||||
1,113 | Boston Properties, Inc. | 154,195 | ||||||||||
3,005 | Crown Castle International Corp. | 401,648 | ||||||||||
1,573 | Digital Realty Trust, Inc. | 190,254 | ||||||||||
2,643 | Duke Realty Corp. | 92,981 | ||||||||||
609 | Equinix, Inc. | 345,212 | ||||||||||
2,681 | Equity Residential | 228,153 | ||||||||||
473 | Essex Property Trust, Inc. | 147,661 | ||||||||||
925 | Extra Space Storage, Inc. | 98,096 | ||||||||||
5,284 | Host Hotels & Resorts, Inc. | 92,417 | ||||||||||
823 | Mid-America Apartment Communities, Inc. | 112,019 | ||||||||||
4,559 | Prologis, Inc. | 417,376 | ||||||||||
1,258 | Public Storage | 265,035 | ||||||||||
2,298 | Realty Income Corp. | 176,096 | ||||||||||
1,322 | Regency Centers Corp. | 85,983 | ||||||||||
812 | SBA Communications Corp. | 192,014 | ||||||||||
2,224 | Simon Property Group, Inc. | 336,291 | ||||||||||
2,115 | UDR, Inc. | 101,626 | ||||||||||
2,691 | Ventas, Inc. | 156,912 | ||||||||||
1,425 | Vornado Realty Trust | 92,012 |
See accompanying notes to financial statements.
54
Horizon Defined Risk Fund |
| Value | |||||||||||
2,928 | Welltower, Inc. | $ | 247,621 | |||||||||
5,386 | Weyerhaeuser Co. | 158,941 | ||||||||||
5,125,427 | ||||||||||||
Retail - 6.0% | ||||||||||||
173 | AutoZone, Inc. (a) | 203,780 | ||||||||||
1,926 | Best Buy Co., Inc. | 155,313 | ||||||||||
1,194 | CarMax, Inc. (a) | 116,129 | ||||||||||
198 | Chipotle Mexican Grill, Inc. (a) | 161,156 | ||||||||||
3,178 | Costco Wholesale Corp. | 952,796 | ||||||||||
882 | Darden Restaurants, Inc. | 104,464 | ||||||||||
1,855 | Dollar General Corp. | 291,903 | ||||||||||
1,707 | Dollar Tree, Inc. (a) | 156,122 | ||||||||||
1,052 | Genuine Parts Co. | 109,797 | ||||||||||
7,921 | Home Depot, Inc. (e) | 1,746,660 | ||||||||||
5,582 | Lowe’s Cos., Inc. | 654,824 | ||||||||||
5,494 | McDonald’s Corp. (e) | 1,068,473 | ||||||||||
549 | O’Reilly Automotive, Inc. (a) | 242,812 | ||||||||||
2,635 | Ross Stores, Inc. | 306,055 | ||||||||||
8,660 | Starbucks Corp. | 739,824 | ||||||||||
3,694 | Target Corp. | 461,787 | ||||||||||
8,747 | TJX Cos., Inc. | 534,704 | ||||||||||
858 | Tractor Supply Co. | 81,030 | ||||||||||
420 | Ulta Beauty, Inc. (a) | 98,221 | ||||||||||
6,532 | Walgreens Boots Alliance, Inc. | 389,307 | ||||||||||
20,660 | Walmart, Inc. (e) | 2,460,399 | ||||||||||
2,198 | Yum! Brands, Inc. | 221,273 | ||||||||||
11,256,829 | ||||||||||||
Semiconductors - 4.0% | ||||||||||||
7,853 | Advanced Micro Devices, Inc. (a) | 307,445 | ||||||||||
2,669 | Analog Devices, Inc. | 301,464 | ||||||||||
6,683 | Applied Materials, Inc. | 386,946 | ||||||||||
2,877 | Broadcom, Inc. (e) | 909,736 | ||||||||||
32,067 | Intel Corp. (e) | 1,861,489 | ||||||||||
1,147 | KLA Corp. | 187,947 | ||||||||||
1,041 | Lam Research Corp. | 277,770 | ||||||||||
1,718 | Microchip Technology, Inc. | 162,420 | ||||||||||
7,985 | Micron Technology, Inc. (a) | 379,367 | ||||||||||
4,405 | NVIDIA Corp. | 954,740 | ||||||||||
8,795 | QUALCOMM, Inc. | 734,822 | ||||||||||
6,754 | Texas Instruments, Inc. | 811,898 | ||||||||||
1,824 | Xilinx, Inc. | 169,231 | ||||||||||
7,445,275 |
See accompanying notes to financial statements.
55
Horizon Defined Risk Fund |
| Value | |||||||||||
Software - 8.1% | ||||||||||||
5,549 | Activision Blizzard, Inc. | $ | 304,252 | |||||||||
3,509 | Adobe, Inc. (a)(e) | 1,086,141 | ||||||||||
1,586 | Autodesk, Inc. (a) | 286,907 | ||||||||||
2,024 | Cadence Design Systems, Inc. (a) | 142,186 | ||||||||||
2,299 | Cerner Corp. | 164,585 | ||||||||||
2,128 | Electronic Arts, Inc. (a) | 214,949 | ||||||||||
4,435 | Fidelity National Information Services, Inc. | 612,695 | ||||||||||
4,916 | Fiserv, Inc. (a) | 571,436 | ||||||||||
1,876 | Intuit, Inc. | 485,678 | ||||||||||
55,271 | Microsoft Corp. (e) | 8,366,924 | ||||||||||
609 | MSCI, Inc. | 157,847 | ||||||||||
24,146 | Oracle Corp. (e) | 1,355,557 | ||||||||||
2,594 | Paychex, Inc. | 223,395 | ||||||||||
6,342 | salesforce.com, Inc. (a) | 1,033,048 | ||||||||||
1,083 | Synopsys, Inc. (a) | 152,746 | ||||||||||
15,158,346 | ||||||||||||
Telecommunications - 3.2% | ||||||||||||
52,894 | AT&T, Inc. (e) | 1,977,178 | ||||||||||
30,988 | Cisco Systems, Inc. (e) | 1,404,066 | ||||||||||
1,199 | Motorola Solutions, Inc. | 200,593 | ||||||||||
6,179 | T-Mobile US, Inc. (a) | 485,360 | ||||||||||
29,936 | Verizon Communications, Inc. (e) | 1,803,345 | ||||||||||
5,870,542 | ||||||||||||
Toys/Games/Hobbies - 0.0% (b) | ||||||||||||
908 | Hasbro, Inc. | 92,344 | ||||||||||
Transportation - 1.7% | ||||||||||||
1,049 | CH Robinson Worldwide, Inc. | 80,616 | ||||||||||
5,774 | CSX Corp. | 413,072 | ||||||||||
1,229 | Expeditors International of Washington, Inc. | 91,880 | ||||||||||
1,883 | FedEx Corp. | 301,374 | ||||||||||
782 | JB Hunt Transport Services, Inc. | 90,415 | ||||||||||
717 | Kansas City Southern | 109,285 | ||||||||||
1,902 | Norfolk Southern Corp. | 368,037 | ||||||||||
5,093 | Union Pacific Corp. | 896,317 | ||||||||||
6,210 | United Parcel Service, Inc., Class B | 743,523 | ||||||||||
3,094,519 | ||||||||||||
Water - 0.1% | ||||||||||||
1,303 | American Water Works Co., Inc. | 157,702 | ||||||||||
See accompanying notes to financial statements.
56
Horizon Defined Risk Fund |
| Value | |||||||||||
Wholesale Trade - 0.2% | ||||||||||||
5,389 | DuPont de Nemours, Inc. (e) | $ | 349,261 | |||||||||
TOTAL COMMON STOCKS (Cost - $163,507,486) | 185,938,596 | |||||||||||
Contracts | Notional | |||||||||||
PURCHASED OPTIONS - 0.7% (c) | ||||||||||||
PURCHASED CALL OPTIONS - 0.0% | ||||||||||||
SPDR S&P 500 ETF Trust (g) | ||||||||||||
500 | Expiration: December 31, 2019, Exercise Price: $323.00 (a) | $ | 15,715,500 | 20,250 | ||||||||
1,000 | Expiration: December 31, 2019, Exercise Price: $335.00 (a) | 31,431,000 | 2,500 | |||||||||
TOTAL PURCHASED CALL OPTIONS (Cost - $71,838) | 22,750 | |||||||||||
PURCHASED PUT OPTIONS - 0.7% | ||||||||||||
S&P 500 Index (g) | ||||||||||||
160 | Expiration: December 20, 2019, Exercise Price: $2,960.00 (a) | 50,255,680 | 77,600 | |||||||||
166 | Expiration: January 17, 2020, Exercise Price: $2,950.00 (a) | 52,140,268 | 249,830 | |||||||||
200 | Expiration: February 21, 2020, Exercise Price: $3,040.00 (a) | 62,819,600 | 924,000 | |||||||||
TOTAL PURCHASED PUT OPTIONS (Cost - $3,450,825) | 1,251,430 | |||||||||||
TOTAL PURCHASED OPTIONS (Cost - $3,522,663) | 1,274,180 | |||||||||||
Shares | ||||||||||||
SHORT TERM INVESTMENTS - 1.2% | ||||||||||||
Money Market Funds - 1.2% | ||||||||||||
2,311,392 | First American Treasury Obligations Fund, Class X, 1.58% (d) | 2,311,392 | ||||||||||
TOTAL SHORT TERM INVESTMENTS (Cost - $2,311,392) | 2,311,392 | |||||||||||
INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING - 0.4% | ||||||||||||
887,890 | First American Government Obligations Fund, Class Z, 1.51% (d) | 878,890 | ||||||||||
TOTAL INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING (Cost - $878,890) | 878,890 | |||||||||||
TOTAL INVESTMENTS - 102.3% (Cost - $170,220,431) | 190,403,058 | |||||||||||
Liabilities in Excess of Other Assets - (2.3)% | (4,273,754 | ) | ||||||||||
NET ASSETS - 100.0% | $ | 186,129,304 |
See accompanying notes to financial statements.
57
Horizon Defined Risk Fund |
Contracts | Notional | Value | ||||||||||
SCHEDULE OF WRITTEN OPTIONS - (2.1)% (a)(c) | ||||||||||||
SCHEDULE OF WRITTEN CALL OPTIONS - (1.8)% | ||||||||||||
S&P 500 Index | ||||||||||||
40 | Expiration: December 20, 2019, Exercise Price $3,070.00 | $ | 12,563,920 | $ | 349,000 | |||||||
120 | Expiration: December 20, 2019, Exercise Price $3,110.00 | 37,691,760 | 646,800 | |||||||||
100 | Expiration: December 20, 2019, Exercise Price $3,150.00 | 31,409,800 | 264,500 | |||||||||
166 | Expiration: January 17, 2020, Exercise Price $3,090.00 | 52,140,268 | 1,523,880 | |||||||||
200 | Expiration: February 21, 2020, Exercise Price $3,190.00 | 62,819,600 | 979,000 | |||||||||
SPDR S&P 500 ETF Trust | ||||||||||||
500 | Expiration: December 31, 2019, Exercise Price $330.00 | 15,715,500 | 3,250 | |||||||||
TOTAL WRITTEN CALL OPTIONS (Premiums Received-$1,896,652) | 3,766,430 | |||||||||||
SCHEDULE OF WRITTEN PUT OPTIONS - (0.3)% | ||||||||||||
S&P 500 Index | ||||||||||||
100 | Expiration: December 20, 2019, Exercise Price $3,000.00 | 31,409,800 | 69,000 | |||||||||
75 | Expiration: December 20, 2019, Exercise Price $3,050.00 | 23,557,350 | 82,500 | |||||||||
195 | Expiration: January 17, 2020, Exercise Price $2,820.00 | 61,249,110 | 132,600 | |||||||||
200 | Expiration: February 21, 2020, Exercise Price $2,800.00 | 62,819,600 | 314,000 | |||||||||
TOTAL WRITTEN PUT OPTIONS (Premiums Received-$1,282,176) | 598,100 | |||||||||||
TOTAL OPTIONS WRITTEN (Premiums Received-$3,178,828) | $ | 4,364,530 |
Percentages are stated as a percent of net assets.
(a) | Non-income producing security. |
(b) | Less than 0.1%. |
(c) | Each Option is exercisable into 100 shares of the underlying security. |
(d) | Money Market Fund; interest rate reflects seven-day yield on November 30, 2019. |
(e) | All or a portion of the security is segregated as collateral for written options. The value of the securities segregated as collateral for written options is $93,460,940. |
(f) | All or a portion of this security is out on loan as of November 30, 2019. |
(g) | Held in connection with a written option, see Schedule of Written Options for more details. |
See accompanying notes to financial statements.
58
Horizon Multi-Asset Income Fund |
| Value | |||||||||||
INVESTMENT COMPANIES - 62.0% | ||||||||||||
Exchange Traded Funds - 62.0% | ||||||||||||
15,223 | iShares 20+ Year Treasury Bond ETF | $ | 2,137,614 | |||||||||
91,346 | iShares Global Infrastructure ETF | 4,275,906 | ||||||||||
31,400 | iShares iBoxx Investment Grade Corporate Bond ETF | 4,018,258 | ||||||||||
184,595 | iShares International Select Dividend ETF | 5,977,186 | ||||||||||
26,643 | iShares JP Morgan USD Emerging Markets Bond ETF | 2,987,213 | ||||||||||
126,077 | SPDR Bloomberg Barclays Convertible Securities ETF | 6,896,412 | ||||||||||
33,597 | SPDR S&P 500 ETF (e)(f) | 10,559,873 | ||||||||||
189,352 | X-Trackers USD High Yield Corporate Bond ETF | 9,441,091 | ||||||||||
TOTAL EXCHANGE TRADED FUNDS (Cost - $45,550,753) | 46,293,553 | |||||||||||
COMMON STOCKS - 21.3% | ||||||||||||
Advertising - 0.1% | ||||||||||||
3,450 | Interpublic Group of Cos., Inc. | 77,280 | ||||||||||
Aerospace/Defense - 0.1% | ||||||||||||
148 | Lockheed Martin Corp. | 57,873 | ||||||||||
Agriculture - 0.4% | ||||||||||||
3,287 | Altria Group, Inc. | 163,364 | ||||||||||
1,692 | Philip Morris International, Inc. | 140,318 | ||||||||||
303,682 | ||||||||||||
Auto Manufacturers - 0.3% | ||||||||||||
18,994 | Ford Motor Co. | 172,086 | ||||||||||
2,347 | General Motors Co. | 84,492 | ||||||||||
256,578 | ||||||||||||
Banks - 0.7% | ||||||||||||
1,538 | BB&T Corp. | 84,160 | ||||||||||
6,697 | Huntington Bancshares, Inc. | 99,718 | ||||||||||
5,211 | KeyCorp | 101,041 | ||||||||||
3,754 | PacWest Bancorp | 139,799 | ||||||||||
4,129 | Umpqua Holdings Corp. | 67,592 | ||||||||||
492,310 | ||||||||||||
Beverages - 0.1% | ||||||||||||
1,850 | Coca-Cola Co. | 98,790 | ||||||||||
Chemicals - 0.2% | ||||||||||||
1,241 | LyondellBasell Industries NV, Class A | 114,842 | ||||||||||
See accompanying notes to financial statements.
59
Horizon Multi-Asset Income Fund |
| Value | |||||||||||
Commercial Services - 0.2% | ||||||||||||
2,003 | H&R Block, Inc. | $ | 48,833 | |||||||||
3,735 | Western Union Co. | 100,397 | ||||||||||
149,230 | ||||||||||||
Computers - 0.2% | ||||||||||||
978 | International Business Machines Corp. | 131,492 | ||||||||||
Diversified Financial Services - 0.6% | ||||||||||||
9,442 | Invesco, Ltd. | 165,802 | ||||||||||
3,735 | Lazard, Ltd., Class A | 144,320 | ||||||||||
6,237 | Navient Corp. | 89,501 | ||||||||||
3,912 | Waddell & Reed Financial, Inc., Class A | 63,179 | ||||||||||
462,802 | ||||||||||||
Electric - 1.9% | ||||||||||||
1,531 | Alliant Energy Corp. | 81,143 | ||||||||||
931 | American Electric Power Co., Inc. | 85,047 | ||||||||||
3,014 | CenterPoint Energy, Inc. | 74,024 | ||||||||||
782 | CMS Energy Corp. | 47,937 | ||||||||||
1,827 | Dominion Energy, Inc. | 151,842 | ||||||||||
588 | DTE Energy Co. | 73,465 | ||||||||||
978 | Entergy Corp. | 113,829 | ||||||||||
746 | Eversource Energy | 61,649 | ||||||||||
1,370 | Exelon Corp. | 60,828 | ||||||||||
2,077 | FirstEnergy Corp. | 99,052 | ||||||||||
236 | NextEra Energy, Inc. | 55,181 | ||||||||||
797 | Pinnacle West Capital Corp. | 69,650 | ||||||||||
4,507 | PPL Corp. | 153,373 | ||||||||||
1,278 | Public Service Enterprise Group, Inc. | 75,798 | ||||||||||
610 | Sempra Energy | 89,835 | ||||||||||
661 | WEC Energy Group, Inc. | 58,598 | ||||||||||
888 | Xcel Energy, Inc. | 54,603 | ||||||||||
1,405,854 | ||||||||||||
Electrical Components & Equipment - 0.1% | ||||||||||||
982 | Emerson Electric Co. | 72,531 | ||||||||||
Electronics - 0.1% | ||||||||||||
399 | Garmin, Ltd. | 38,978 | ||||||||||
Finance and Insurance - 0.2% | ||||||||||||
363 | Bank of Hawaii Corp. | 32,710 | ||||||||||
3,104 | FNB Corp/PA | 38,552 | ||||||||||
2,526 | Old Republic International Corp. | 56,986 | ||||||||||
547 | Trustmark Corp. | 18,795 |
See accompanying notes to financial statements.
60
Horizon Multi-Asset Income Fund |
| Value | |||||||||||
957 | United Bankshares, Inc. | $ | 36,242 | |||||||||
183,285 | ||||||||||||
Food - 0.2% | ||||||||||||
2,100 | General Mills, Inc. | 111,972 | ||||||||||
Forest Products & Paper - 0.1% | ||||||||||||
2,136 | International Paper Co. | 98,982 | ||||||||||
Gas - 0.1% | ||||||||||||
2,453 | NiSource, Inc. | 64,882 | ||||||||||
Home Furnishings - 0.1% | ||||||||||||
979 | Leggett & Platt, Inc. | 51,221 | ||||||||||
Household Products/Wares - 0.1% | ||||||||||||
704 | Kimberly-Clark Corp. | 95,983 | ||||||||||
Information - 0.0% (b) | ||||||||||||
1,031 | Cinemark Holdings, Inc. | 34,920 | ||||||||||
Insurance - 1.7% | ||||||||||||
4,621 | Artisan Partners Asset Management, Inc., Class A | 137,105 | ||||||||||
26,294 | BGC Partners, Inc., Class A | �� | 152,505 | |||||||||
498 | Cincinnati Financial Corp. | 53,311 | ||||||||||
2,679 | Federated Investors, Inc., Class B | 89,800 | ||||||||||
3,156 | Hanmi Financial Corp. | 61,952 | ||||||||||
5,543 | Janus Henderson Group PLC | 140,792 | ||||||||||
2,510 | Legg Mason, Inc. | 98,091 | ||||||||||
1,799 | Mercury General Corp. | 88,115 | ||||||||||
1,423 | Moelis & Co., Class A | 46,902 | ||||||||||
3,640 | Principal Financial Group, Inc. | 200,564 | ||||||||||
1,309 | Prudential Financial, Inc. | 122,549 | ||||||||||
8,810 | Valley National Bancorp | 102,020 | ||||||||||
1,293,706 | ||||||||||||
Leisure Time - 0.1% | ||||||||||||
1,431 | Harley-Davidson, Inc. | 52,060 | ||||||||||
Machinery - Construction & Mining - 0.1% | ||||||||||||
454 | Caterpillar, Inc. | 65,707 | ||||||||||
Manufacturing - 0.1% | ||||||||||||
516 | Domtar Corp. | 19,257 |
See accompanying notes to financial statements.
61
Horizon Multi-Asset Income Fund |
| Value | |||||||||||
862 | Sonoco Products Co. | $ | 52,177 | |||||||||
71,434 | ||||||||||||
Miscellaneous Manufacturing - 0.1% | ||||||||||||
1,011 | Eaton Corp PLC | 93,518 | ||||||||||
Oil & Gas - 0.5% | ||||||||||||
753 | Chevron Corp. | 88,199 | ||||||||||
1,578 | Exxon Mobil Corp. | 107,509 | ||||||||||
1,698 | Occidental Petroleum Corp. | 65,492 | ||||||||||
1,292 | Valero Energy Corp. | 123,373 | ||||||||||
384,573 | ||||||||||||
Packaging & Containers - 0.1% | ||||||||||||
798 | Packaging Corp. of America | 89,296 | ||||||||||
Pharmaceuticals - 0.2% | ||||||||||||
720 | Merck & Co., Inc. | 62,769 | ||||||||||
1,788 | Pfizer, Inc. | 68,874 | ||||||||||
131,643 | ||||||||||||
Pipelines - 0.2% | ||||||||||||
2,323 | ONEOK, Inc. | 165,049 | ||||||||||
Real Estate - 0.6% | ||||||||||||
3,739 | Aircastle, Ltd. | 119,610 | ||||||||||
35,589 | Arlington Asset Investment Corp., Class A | 208,196 | ||||||||||
2,609 | Triton International, Ltd. | 98,829 | ||||||||||
426,635 | ||||||||||||
Real Estate Investment Trusts - 10.1% | ||||||||||||
320 | Acadia Realty Trust | 8,602 | ||||||||||
9,805 | AG Mortgage Investment Trust, Inc. | 152,664 | ||||||||||
17,650 | AGNC Investment Corp. | 305,698 | ||||||||||
453 | Alexandria Real Estate Equities, Inc. | 73,622 | ||||||||||
537 | American Campus Communities, Inc. | 25,797 | ||||||||||
1,012 | American Homes 4 Rent, Class A | 27,031 | ||||||||||
1,806 | American Tower Corp. | 386,538 | ||||||||||
780 | Americold Realty Trust | 29,344 | ||||||||||
35,920 | Annaly Capital Management, Inc. | 335,134 | ||||||||||
574 | Apartment Investment & Management Co., Class A | 30,864 | ||||||||||
818 | Apple Hospitality REIT, Inc. | 13,301 | ||||||||||
14,695 | ARMOUR Residential REIT, Inc. | 253,636 | ||||||||||
572 | AvalonBay Communities, Inc. | 122,642 | ||||||||||
494 | Blackstone Mortgage Trust, Inc., Class A | 18,095 | ||||||||||
558 | Boston Properties, Inc. | 77,305 |
See accompanying notes to financial statements.
62
Horizon Multi-Asset Income Fund |
| Value | |||||||||||
588 | Brandywine Realty Trust | $ | 9,073 | |||||||||
1,221 | Brixmor Property Group, Inc. | 26,789 | ||||||||||
390 | Camden Property Trust | 43,505 | ||||||||||
12,831 | Chimera Investment Corp. | 261,367 | ||||||||||
437 | Columbia Property Trust, Inc. | 9,072 | ||||||||||
456 | Corporate Office Properties Trust | 13,306 | ||||||||||
557 | Cousins Properties, Inc. | 22,553 | ||||||||||
1,733 | Crown Castle International Corp. | 231,633 | ||||||||||
842 | CubeSmart | 25,967 | ||||||||||
904 | DiamondRock Hospitality Co. | 9,311 | ||||||||||
882 | Digital Realty Trust, Inc. | 106,678 | ||||||||||
622 | Douglas Emmett, Inc. | 27,412 | ||||||||||
1,372 | Duke Realty Corp. | 48,267 | ||||||||||
9,431 | Dynex Capital, Inc. | 159,290 | ||||||||||
167 | EastGroup Properties, Inc. | 22,744 | ||||||||||
345 | EPR Properties | 24,467 | ||||||||||
343 | Equinix, Inc. | 194,430 | ||||||||||
558 | Equity Commonwealth | 18,330 | ||||||||||
707 | Equity LifeStyle Properties, Inc. | 52,375 | ||||||||||
1,409 | Equity Residential | 119,906 | ||||||||||
259 | Essex Property Trust, Inc. | 80,855 | ||||||||||
523 | Extra Space Storage, Inc. | 55,464 | ||||||||||
298 | Federal Realty Investment Trust | 39,357 | ||||||||||
530 | First Industrial Realty Trust, Inc. | 22,567 | ||||||||||
779 | Gaming and Leisure Properties, Inc. | 32,874 | ||||||||||
517 | Healthcare Realty Trust, Inc. | 17,159 | ||||||||||
862 | Healthcare Trust of America, Inc., Class A | 26,162 | ||||||||||
1,914 | Healthpeak Properties, Inc. | 66,760 | ||||||||||
383 | Highwoods Properties, Inc. | 18,595 | ||||||||||
3,006 | Host Hotels & Resorts, Inc. | 52,575 | ||||||||||
628 | Hudson Pacific Properties, Inc. | 22,482 | ||||||||||
16,243 | Invesco Mortgage Capital, Inc. | 263,786 | ||||||||||
1,894 | Invitation Homes, Inc. | 57,824 | ||||||||||
447 | JBG SMITH Properties | 17,826 | ||||||||||
375 | Kilroy Realty Corp. | 31,215 | ||||||||||
1,662 | Kimco Realty Corp. | 35,932 | ||||||||||
823 | Lexington Realty Trust | 9,119 | ||||||||||
527 | Liberty Property Trust | 32,474 | ||||||||||
207 | Life Storage, Inc. | 22,671 | ||||||||||
417 | Mack-Cali Realty Corp. | 8,920 | ||||||||||
1,725 | Medical Properties Trust, Inc. | 35,811 | ||||||||||
34,226 | MFA Financial, Inc. | 262,171 | ||||||||||
448 | Mid-America Apartment Communities, Inc. | 60,977 | ||||||||||
156 | National Health Investors, Inc. | 12,634 | ||||||||||
685 | National Retail Properties, Inc. | 38,182 |
See accompanying notes to financial statements.
63
Horizon Multi-Asset Income Fund |
| Value | |||||||||||
18,538 | New Residential Investment Corp. | $ | 287,339 | |||||||||
40,210 | New York Mortgage Trust, Inc. | 250,508 | ||||||||||
915 | Omega Healthcare Investors, Inc. | 38,457 | ||||||||||
42,453 | Orchid Island Capital, Inc. | 241,133 | ||||||||||
663 | Paramount Group, Inc. | 9,010 | ||||||||||
962 | Park Hotels & Resorts, Inc. | 22,751 | ||||||||||
723 | Physicians Realty Trust | 13,874 | ||||||||||
411 | Piedmont Office Realty Trust, Inc., Class A | 9,091 | ||||||||||
2,689 | Prologis, Inc. | 246,178 | ||||||||||
75 | PS Business Parks, Inc. | 13,244 | ||||||||||
639 | Public Storage | 134,625 | ||||||||||
499 | Rayonier, Inc. | 15,284 | ||||||||||
1,264 | Realty Income Corp. | 96,860 | ||||||||||
670 | Regency Centers Corp. | 43,577 | ||||||||||
975 | Retail Properties of America, Inc., Class A | 13,874 | ||||||||||
467 | Rexford Industrial Realty, Inc. | 22,351 | ||||||||||
822 | RLJ Lodging Trust | 14,048 | ||||||||||
465 | SBA Communications Corp. | 109,959 | ||||||||||
712 | Service Properties Trust | 16,582 | ||||||||||
1,277 | Simon Property Group, Inc. | 193,095 | ||||||||||
323 | SL Green Realty Corp. | 27,562 | ||||||||||
359 | Spirit Realty Capital, Inc. | 18,812 | ||||||||||
1,097 | Starwood Property Trust, Inc. | 26,876 | ||||||||||
774 | STORE Capital Corp. | 31,510 | ||||||||||
359 | Sun Communities, Inc. | 59,131 | ||||||||||
999 | Sunstone Hotel Investors, Inc. | 13,986 | ||||||||||
21,024 | Two Harbors Investment Corp. | 305,689 | ||||||||||
1,157 | UDR, Inc. | 55,594 | ||||||||||
424 | Urban Edge Properties | 8,790 | ||||||||||
1,516 | Ventas, Inc. | 88,398 | ||||||||||
4,067 | VEREIT, Inc. | 39,694 | ||||||||||
1,878 | VICI Properties, Inc. | 46,443 | ||||||||||
613 | Vornado Realty Trust | 39,581 | ||||||||||
291 | Washington Real Estate Investment Trust | 9,041 | ||||||||||
424 | Weingarten Realty Investors | 13,500 | ||||||||||
1,579 | Welltower, Inc. | 133,536 | ||||||||||
21,722 | Western Asset Mortgage Capital Corp. | 223,302 | ||||||||||
7,544,425 | ||||||||||||
Retail - 0.4% | ||||||||||||
552 | Darden Restaurants, Inc. | 65,379 | ||||||||||
610 | Genuine Parts Co. | 63,666 | ||||||||||
318 | McDonald’s Corp. | 61,844 | ||||||||||
1,112 | Target Corp. | 139,011 | ||||||||||
329,900 |
See accompanying notes to financial statements.
64
Horizon Multi-Asset Income Fund |
| Value | |||||||||||
Savings & Loans - 0.4% | ||||||||||||
14,917 | New York Community Bancorp, Inc. | $ | 177,811 | |||||||||
9,307 | People’s United Financial, Inc. | 153,565 | ||||||||||
331,376 | ||||||||||||
Semiconductors - 0.1% | ||||||||||||
1,006 | Intel Corp. | 58,398 | ||||||||||
Telecommunications - 0.4% | ||||||||||||
5,567 | AT&T, Inc. | 208,094 | ||||||||||
1,762 | Verizon Communications, Inc. | 106,143 | ||||||||||
314,237 | ||||||||||||
Utilities - 0.3% | ||||||||||||
649 | Avista Corp. | 30,685 | ||||||||||
158 | Black Hills Corp. | 12,098 | ||||||||||
173 | IDACORP, Inc. | 18,173 | ||||||||||
854 | New Jersey Resources Corp. | 36,329 | ||||||||||
433 | NorthWestern Corp. | 30,990 | ||||||||||
1,745 | OGE Energy Corp. | 73,395 | ||||||||||
201,670 | ||||||||||||
Wholesale Trade - 0.1% | ||||||||||||
283 | Watsco, Inc. | 50,366 | ||||||||||
TOTAL COMMON STOCKS (Cost - $15,733,724) | 15,907,480 | |||||||||||
CONVERTIBLE PREFERRED STOCKS - 0.2% | ||||||||||||
Finance and Insurance - 0.2% | ||||||||||||
5,100 | Prudential PLC, 6.5%, Perpetually Convertible | 136,680 | ||||||||||
TOTAL CONVERTIBLE PREFERRED STOCKS (Cost - $138,541) | 136,680 | |||||||||||
PREFERRED STOCKS - 13.6% | ||||||||||||
Banks - 2.3% | ||||||||||||
5,275 | Bank of America Corp., Series CC, 6.2% | 137,994 | ||||||||||
5,050 | Bank of America Corp., Series EE, 6.0% | 133,269 | ||||||||||
5,775 | Bank of America Corp., Series Y, 6.5% | 147,609 | ||||||||||
4,975 | Citigroup, Inc., Series J, 7.1% | 142,385 | ||||||||||
4,975 | Citigroup, Inc., Series K, 6.9% | 139,350 | ||||||||||
5,300 | Citigroup, Inc., Series S, 6.3% | 138,065 | ||||||||||
5,325 | JPMorgan Chase & Co., Series AA, 6.1% | 136,320 | ||||||||||
5,375 | JPMorgan Chase & Co., Series BB, 6.2% | 137,761 | ||||||||||
5,000 | JPMorgan Chase & Co., Series P, 5.5% | 125,050 | ||||||||||
5,500 | JPMorgan Chase & Co., Series Y, 6.1% | 138,875 | ||||||||||
4,800 | PNC Financial Services Group, Inc., Series P, 6.1% | 129,408 |
See accompanying notes to financial statements.
65
Horizon Multi-Asset Income Fund |
| Value | |||||||||||
4,450 | State Street Corp., Class D, 5.9% | $ | 119,572 | |||||||||
4,725 | Wells Fargo & Co., Series X, 5.5% | 122,519 | ||||||||||
1,748,177 | ||||||||||||
Finance and Insurance - 8.1% | ||||||||||||
4,975 | American Financial Group, Inc., 6.0% | 129,499 | ||||||||||
5,475 | American Financial Group, Inc., 6.3% | 138,517 | ||||||||||
4,675 | Arch Capital Group, Ltd., Series E, 5.3% | 117,109 | ||||||||||
5,625 | Ares Management Corp., Series A, 7.0% | 149,906 | ||||||||||
4,575 | Bank of America Corp., Series HH, 5.9% | 123,296 | ||||||||||
4,675 | Bank of America Corp., Series GG, 6.0% | 127,066 | ||||||||||
4,650 | Capital One Financial Corp., Series H, 6.0% | 121,969 | ||||||||||
5,225 | Capital One Financial Corp., Series F, 6.2% | 134,805 | ||||||||||
5,275 | Capital One Financial Corp., Series B, 6.0% | 133,405 | ||||||||||
4,675 | Citizens Financial Group, Inc., Series D, 6.4% | 128,983 | ||||||||||
6,975 | Deutsche Bank, 8.1% | 177,374 | ||||||||||
5,525 | Enstar Group, Ltd., Series E, 7.0% | 146,523 | ||||||||||
5,225 | Huntington Bancshares, Inc., Series D, 6.3% | 136,268 | ||||||||||
5,200 | ING Groep NV, 6.1% | 134,628 | ||||||||||
4,325 | JPMorgan Chase & Co., Series EE, 6.0% | 119,630 | ||||||||||
4,475 | JPMorgan Chase & Co., Series DD, 5.8% | 120,020 | ||||||||||
4,600 | KeyCorp, Series F, 5.7% | 118,956 | ||||||||||
5,325 | KKR & Co, Inc., Series A, 6.8% | 139,835 | ||||||||||
4,925 | Legg Mason, Inc., 6.4% | 129,872 | ||||||||||
4,650 | Morgan Stanley, Series I, 6.4% | 129,503 | ||||||||||
4,425 | Morgan Stanley, Series K, 5.9% | 123,369 | ||||||||||
4,875 | Morgan Stanley, Series E, 7.1% | 141,911 | ||||||||||
5,900 | Morgan Stanley, Series G, 6.6% | 149,388 | ||||||||||
4,925 | Morgan Stanley, Series F, 6.9% | 141,348 | ||||||||||
5,275 | Northern Trust Corp., Series C, 5.9% | 133,510 | ||||||||||
5,600 | Prospect Capital Corp., 6.3% | 142,016 | ||||||||||
4,900 | Prudential Financial, Inc., 5.8% | 125,244 | ||||||||||
4,900 | Prudential Financial, Inc., 5.7% | 125,146 | ||||||||||
4,400 | Prudential Financial, Inc., 5.6% | 116,116 | ||||||||||
5,500 | Regions Financial Corp., Series A, 6.4% | 140,195 | ||||||||||
4,775 | Reinsurance Group of America, Inc., 6.2% | 130,023 | ||||||||||
5,400 | State Street Corp., Series E, 6.0% | 136,836 | ||||||||||
4,650 | State Street Corp., Series C, 5.3% | 116,483 | ||||||||||
4,575 | The Allstate Corp., Series A, 5.6% | 116,617 | ||||||||||
4,775 | The Charles Schwab Corp., Series D, 6.0% | 124,532 | ||||||||||
4,750 | The Charles Schwab Corp., Series C, 6.0% | 122,740 | ||||||||||
4,650 | The Goldman Sachs Group, Inc., Series K, 6.4% | 128,479 | ||||||||||
5,250 | The Goldman Sachs Group, Inc., Series N, 6.3% | 137,550 | ||||||||||
5,575 | The Hartford Financial Services Group, Inc., 7.9% | 157,996 | ||||||||||
5,350 | Wells Fargo & Co., Series T, 6.0% | 135,355 |
See accompanying notes to financial statements.
66
Horizon Multi-Asset Income Fund |
| Value | |||||||||||
4,600 | Wells Fargo & Co., Series R, 6.6% | $ | 132,434 | |||||||||
4,700 | Wells Fargo & Co., Series Q, 5.9% | 126,947 | ||||||||||
4,700 | Wells Fargo & Co., 5.2% | 118,346 | ||||||||||
4,650 | Wells Fargo & Co., Series Y, 5.6% | 121,365 | ||||||||||
4,900 | Wells Fargo & Co., Series W, 5.7% | 126,273 | ||||||||||
5,100 | Wells Fargo & Co., Series V, 6.0% | 131,835 | ||||||||||
6,059,218 | ||||||||||||
Insurance - 0.5% | ||||||||||||
4,375 | Allstate Corp., Series G, 5.6% | 116,156 | ||||||||||
4,675 | Arch Capital Group, Ltd., Series F, 5.5% | 119,540 | ||||||||||
4,450 | MetLife, Inc., Series E, 5.6% | 117,302 | ||||||||||
352,998 | ||||||||||||
Manufacturing - 0.2% | ||||||||||||
4,950 | Stanley Black & Decker, Inc., 5.8% | 125,284 | ||||||||||
Professional, Scientific, and Technical Services - 0.2% | ||||||||||||
4,925 | eBay, Inc., 6.0% | 128,641 | ||||||||||
Real Estate Investment Trusts - 1.3% | ||||||||||||
5,250 | Digital Realty Trust, Inc., Series G, 5.9% | 132,825 | ||||||||||
5,375 | Digital Realty Trust, Inc., Series I, 6.4% | 138,675 | ||||||||||
4,650 | Public Storage, Series B, 5.4% | 119,505 | ||||||||||
5,275 | Public Storage, Series A, 5.9% | 133,457 | ||||||||||
5,575 | SL Green Realty Corp., Series I, 6.5% | 143,723 | ||||||||||
6,000 | VEREIT, Inc., Series F, 6.7% | 151,260 | ||||||||||
5,600 | Wells Fargo Real Estate Investment Corp., Series A, 6.4% | 141,568 | ||||||||||
961,013 | ||||||||||||
Utilities - 1.0% | ||||||||||||
5,225 | Algonquin Power & Utilities Corp., 6.9% | 143,635 | ||||||||||
4,575 | DTE ENERGY Co., Series B, 5.4% | 116,434 | ||||||||||
4,375 | Duke Energy Corp., 5.6% | 116,900 | ||||||||||
4,825 | NiSource, Inc., Series B, 6.5% | 131,433 | ||||||||||
5,200 | PPL Capital Funding, Inc., Series B, 5.9% | 132,600 | ||||||||||
5,225 | The Southern Co., 6.3% | 135,641 | ||||||||||
776,643 | ||||||||||||
TOTAL PREFERRED STOCKS (Cost - $10,290,197) | 10,151,974 | |||||||||||
SHORT TERM INVESTMENTS - 1.5% | ||||||||||||
Money Market Funds - 1.5% | ||||||||||||
1,115,094 | First American Treasury Obligations Fund, Class X, 1.58% (d) | 1,115,094 | ||||||||||
TOTAL SHORT TERM INVESTMENTS (Cost - $1,115,094) | 1,115,094 | |||||||||||
See accompanying notes to financial statements.
67
Horizon Multi-Asset Income Fund |
| Value | |||||||||||
TOTAL INVESTMENTS - 98.6% (Cost - $72,828,309) | $ | 73,604,781 | ||||||||||
Other Assets in Excess of Liabilities - 1.4% | 1,020,760 | |||||||||||
NET ASSETS - 100.0% | $ | 74,625,541 |
Contracts |
| Notional | ||||||||||
SCHEDULE OF WRITTEN OPTIONS - (0.1)% (a)(c) | ||||||||||||
SCHEDULE OF WRITTEN CALL OPTIONS - (0.1)% | ||||||||||||
SPDR S&P 500 ETF Trust | ||||||||||||
336 | Expiration: December 20, 2019, Exercise Price $317.00 | $ | 10,560,816 | 59,304 | ||||||||
TOTAL WRITTEN CALL OPTIONS (Premiums Received - $40,703) | 59,304 | |||||||||||
TOTAL OPTIONS WRITTEN (Premiums Received - $40,703) | $ | 59,304 |
Percentages are stated as a percent of net assets.
(a) | Non-income producing security. |
(b) | Less than 0.1%. |
(c) | Each Option is exercisable into 100 shares of the underlying security. |
(d) | Money Market Fund; interest rate reflects seven-day yield on November 30, 2019. |
(e) | All or a portion of the security is segregated as collateral for written options. The value of the securities segregated as collateral for written options is $6,286,200. |
(f) | Held in connection with a written option, see Schedule of Written Options for more details. |
See accompanying notes to financial statements.
68
Horizon Defensive Multi-Factor Fund |
| Value | |||||||||||
COMMON STOCKS - 96.9% | ||||||||||||
Advertising - 1.0% | ||||||||||||
10,733 | Omnicom Group, Inc. | $ | 853,059 | |||||||||
Aerospace/Defense - 1.9% | ||||||||||||
1,315 | Lockheed Martin Corp. | 514,204 | ||||||||||
904 | Northrop Grumman Corp. | 318,000 | ||||||||||
1,750 | Raytheon Co. | 380,485 | ||||||||||
2,649 | United Technologies Corp. | 392,953 | ||||||||||
1,605,642 | ||||||||||||
Airlines - 0.7% | ||||||||||||
4,228 | Alaska Air Group, Inc. | 291,774 | ||||||||||
5,740 | Southwest Airlines Co. | 330,854 | ||||||||||
622,628 | ||||||||||||
Auto Manufacturers - 0.5% | ||||||||||||
4,796 | PACCAR, Inc. | 390,251 | ||||||||||
Banks - 1.1% | ||||||||||||
8,378 | BB&T Corp. | 458,444 | ||||||||||
2,979 | PNC Financial Services Group, Inc. | 456,413 | ||||||||||
914,857 | ||||||||||||
Beverages - 0.9% | ||||||||||||
5,744 | PepsiCo, Inc. | 780,208 | ||||||||||
Biotechnology - 0.5% | ||||||||||||
1,866 | Amgen, Inc. | 437,988 | ||||||||||
Building Materials - 0.9% | ||||||||||||
11,201 | Johnson Controls International PLC | 479,739 | ||||||||||
1,098 | Martin Marietta Materials, Inc. | 294,703 | ||||||||||
774,442 | ||||||||||||
Chemicals - 2.2% | ||||||||||||
2,547 | Air Products & Chemicals, Inc. | 601,933 | ||||||||||
2,257 | Linde PLC | 465,416 | ||||||||||
3,437 | PPG Industries, Inc. | 442,823 | ||||||||||
657 | Sherwin-Williams Co. | 383,116 | ||||||||||
1,893,288 | ||||||||||||
Commercial Services - 5.3% | ||||||||||||
4,397 | Automatic Data Processing, Inc. | 750,920 | ||||||||||
1,388 | Cintas Corp. | 356,799 | ||||||||||
3,347 | Ecolab, Inc. | 624,785 | ||||||||||
1,646 | FleetCor Technologies, Inc. (a) | 505,190 |
See accompanying notes to financial statements.
69
Horizon Defensive Multi-Factor Fund |
| Value | |||||||||||
7,751 | IHS Markit, Ltd. (a) | $ | 563,110 | |||||||||
4,403 | Verisk Analytics, Inc. | 649,354 | ||||||||||
41,832 | Western Union Co. | 1,124,444 | ||||||||||
4,574,602 | ||||||||||||
Computers - 2.3% | ||||||||||||
4,348 | Accenture PLC, Class A | 874,643 | ||||||||||
7,908 | Cognizant Technology Solutions Corp., Class A | 506,982 | ||||||||||
4,333 | International Business Machines Corp. | 582,572 | ||||||||||
1,964,197 | ||||||||||||
Construction - 0.2% | ||||||||||||
50 | NVR, Inc. (a) | 189,594 | ||||||||||
Cosmetics/Personal Care - 0.7% | ||||||||||||
4,654 | Procter & Gamble Co. | 568,067 | ||||||||||
Distribution/Wholesale - 0.3% | ||||||||||||
8,383 | LKQ Corp. (a) | 295,752 | ||||||||||
Diversified Financial Services - 3.5% | ||||||||||||
4,553 | CBOE Global Markets, Inc. | 541,352 | ||||||||||
2,891 | CME Group, Inc. | 586,093 | ||||||||||
7,389 | Intercontinental Exchange, Inc. | 695,822 | ||||||||||
5,263 | Nasdaq, Inc. | 551,562 | ||||||||||
3,614 | Visa, Inc. | 666,819 | ||||||||||
3,041,648 | ||||||||||||
Electric - 7.7% | ||||||||||||
8,090 | American Electric Power Co., Inc. | 739,021 | ||||||||||
7,650 | Consolidated Edison, Inc. | 664,709 | ||||||||||
9,126 | Duke Energy Corp. | 804,639 | ||||||||||
6,389 | Entergy Corp. | 743,616 | ||||||||||
12,214 | Evergy, Inc. | 772,780 | ||||||||||
9,913 | Eversource Energy | 819,210 | ||||||||||
13,425 | FirstEnergy Corp. | 640,238 | ||||||||||
12,447 | Southern Co. | 771,590 | ||||||||||
11,078 | Xcel Energy, Inc. | 681,186 | ||||||||||
6,636,989 | ||||||||||||
Electrical Components & Equipment - 0.4% | ||||||||||||
1,544 | L3Harris Technologies, Inc. | 310,483 | ||||||||||
Electronics - 3.7% | ||||||||||||
4,801 | Allegion PLC | 576,264 | ||||||||||
5,930 | Amphenol Corp., Class A | 616,720 | ||||||||||
8,279 | FLIR Systems, Inc. | 443,423 |
See accompanying notes to financial statements.
70
Horizon Defensive Multi-Factor Fund |
| Value | |||||||||||
3,802 | Garmin, Ltd. | $ | 371,417 | |||||||||
3,460 | Honeywell International, Inc. | 617,783 | ||||||||||
5,615 | TE Connectivity, Ltd. | 520,567 | ||||||||||
3,146,174 | ||||||||||||
Environmental Control - 2.2% | ||||||||||||
11,864 | Republic Services, Inc. | 1,051,743 | ||||||||||
7,315 | Waste Management, Inc. | 825,937 | ||||||||||
1,877,680 | ||||||||||||
Food - 3.9% | ||||||||||||
9,158 | General Mills, Inc. | 488,304 | ||||||||||
4,867 | Hershey Co. | 721,095 | ||||||||||
3,828 | J.M. Smucker Co. | 402,284 | ||||||||||
14,446 | Mondelez International, Inc., Class A | 758,993 | ||||||||||
7,143 | Sysco Corp. | 575,369 | ||||||||||
4,382 | Tyson Foods, Inc., Class A | 393,898 | ||||||||||
3,339,943 | ||||||||||||
Healthcare Products - 4.1% | ||||||||||||
5,220 | Baxter International, Inc. | 427,883 | ||||||||||
1,698 | Becton Dickinson & Co. | 438,933 | ||||||||||
3,169 | Danaher Corp. | 462,611 | ||||||||||
5,308 | Dentsply Sirona, Inc. | 300,114 | ||||||||||
5,865 | Henry Schein, Inc. (a) | 404,098 | ||||||||||
8,396 | Hologic, Inc. (a) | 430,883 | ||||||||||
5,948 | Medtronic PLC | 662,548 | ||||||||||
2,677 | Zimmer Biomet Holdings, Inc. | 388,915 | ||||||||||
3,515,985 | ||||||||||||
Healthcare Services - 1.6% | ||||||||||||
2,046 | Laboratory Corp. of America Holdings (a) | 352,505 | ||||||||||
3,781 | Quest Diagnostics, Inc. | 402,866 | ||||||||||
1,195 | UnitedHealth Group, Inc. | 334,445 | ||||||||||
2,264 | Universal Health Services, Inc., Class B | 315,805 | ||||||||||
1,405,621 | ||||||||||||
Home Builders - 0.9% | ||||||||||||
4,706 | DR Horton, Inc. | 260,477 | ||||||||||
3,960 | Lennar Corp., Class A | 236,214 | ||||||||||
6,807 | PulteGroup, Inc. | 269,898 | ||||||||||
766,589 | ||||||||||||
Household Products/Wares - 1.1% | ||||||||||||
3,587 | Avery Dennison Corp. | 467,637 | ||||||||||
3,568 | Kimberly-Clark Corp. | 486,461 | ||||||||||
954,098 |
See accompanying notes to financial statements.
71
Horizon Defensive Multi-Factor Fund |
| Value | |||||||||||
Insurance - 10.4% | ||||||||||||
12,442 | Aflac, Inc. | $ | 682,319 | |||||||||
5,376 | Allstate Corp. | 598,618 | ||||||||||
7,881 | Arthur J Gallagher & Co. | 735,061 | ||||||||||
3,875 | Assurant, Inc. | 514,871 | ||||||||||
2,967 | Berkshire Hathaway, Inc., Class B (a) | 653,630 | ||||||||||
4,878 | Chubb, Ltd. | 738,919 | ||||||||||
4,908 | Cincinnati Financial Corp. | 525,401 | ||||||||||
2,169 | Everest Re Group, Ltd. | 588,363 | ||||||||||
6,080 | Globe Life, Inc. | 624,781 | ||||||||||
12,675 | Hartford Financial Services Group, Inc. | 784,076 | ||||||||||
10,533 | Loews Corp. | 536,130 | ||||||||||
6,334 | Marsh & McLennan Cos., Inc. | 684,515 | ||||||||||
5,560 | Travelers Cos., Inc. | 760,163 | ||||||||||
2,668 | Willis Towers Watson PLC | 524,102 | ||||||||||
8,950,949 | ||||||||||||
Internet - 0.4% | ||||||||||||
3,580 | Expedia Group, Inc. | 363,943 | ||||||||||
Machinery - Diversified - 0.9% | ||||||||||||
1,872 | Cummins, Inc. | 342,314 | ||||||||||
3,579 | Dover Corp. | 398,987 | ||||||||||
741,301 | ||||||||||||
Media - 2.0% | ||||||||||||
1,139 | Charter Communications, Inc. (a) | 535,341 | ||||||||||
15,967 | Comcast Corp., Class A | 704,943 | ||||||||||
38,019 | News Corp., Class A | 489,685 | ||||||||||
1,729,969 | ||||||||||||
Mining - 0.3% | ||||||||||||
7,670 | Newmont Goldcorp Corp. | 294,528 | ||||||||||
Miscellaneous Manufacturing - 0.6% | ||||||||||||
3,908 | Ingersoll-Rand PLC | 512,378 | ||||||||||
Oil & Gas - 2.3% | ||||||||||||
11,660 | Cabot Oil & Gas Corp. | 185,860 | ||||||||||
3,998 | Chevron Corp. | 468,286 | ||||||||||
7,738 | Exxon Mobil Corp. | 527,190 | ||||||||||
5,933 | Occidental Petroleum Corp. | 228,836 | ||||||||||
2,873 | Phillips 66 | 329,591 | ||||||||||
2,219 | Valero Energy Corp. | 211,892 | ||||||||||
1,951,655 |
See accompanying notes to financial statements.
72
Horizon Defensive Multi-Factor Fund |
| Value | |||||||||||
Packaging & Containers - 0.5% | ||||||||||||
6,019 | Ball Corp. | $ | 397,615 | |||||||||
Pharmaceuticals - 3.0% | ||||||||||||
2,946 | AmerisourceBergen Corp. | 258,983 | ||||||||||
4,260 | CVS Health Corp. | 320,650 | ||||||||||
4,112 | Johnson & Johnson | 565,359 | ||||||||||
1,783 | McKesson Corp. | 257,893 | ||||||||||
7,304 | Merck & Co., Inc. | 636,762 | ||||||||||
13,711 | Pfizer, Inc. | 528,148 | ||||||||||
2,567,795 | ||||||||||||
Pipelines - 1.5% | ||||||||||||
24,797 | Kinder Morgan, Inc. | 486,269 | ||||||||||
5,526 | ONEOK, Inc. | 392,622 | ||||||||||
16,858 | Williams Cos., Inc. | 383,014 | ||||||||||
1,261,905 | ||||||||||||
Professional, Scientific, and Technical Services - 0.5% | ||||||||||||
2,997 | CDW Corp/DE | 404,745 | ||||||||||
Real Estate Investment Trusts - 7.1% | ||||||||||||
2,620 | American Tower Corp. | 560,759 | ||||||||||
3,587 | AvalonBay Communities, Inc. | 769,089 | ||||||||||
9,452 | Equity Residential | 804,365 | ||||||||||
2,213 | Essex Property Trust, Inc. | 690,854 | ||||||||||
6,078 | Extra Space Storage, Inc. | 644,572 | ||||||||||
13,990 | Healthpeak Properties, Inc. | 487,971 | ||||||||||
5,428 | Mid-America Apartment Communities, Inc. | 738,805 | ||||||||||
7,738 | Realty Income Corp. | 592,963 | ||||||||||
7,307 | Ventas, Inc. | 426,071 | ||||||||||
5,635 | Welltower, Inc. | 476,552 | ||||||||||
6,192,001 | ||||||||||||
Retail - 7.4% | ||||||||||||
396 | AutoZone, Inc. (a) | 466,456 | ||||||||||
2,851 | CarMax, Inc. (a) | 277,288 | ||||||||||
3,679 | Darden Restaurants, Inc. | 435,741 | ||||||||||
2,092 | Dollar General Corp. | 329,197 | ||||||||||
3,010 | Dollar Tree, Inc. (a) | 275,295 | ||||||||||
5,216 | Genuine Parts Co. | 544,394 | ||||||||||
2,112 | Home Depot, Inc. | 465,717 | ||||||||||
4,041 | McDonald’s Corp. | 785,894 | ||||||||||
1,013 | O’Reilly Automotive, Inc. (a) | 448,030 | ||||||||||
5,192 | Starbucks Corp. | 443,553 | ||||||||||
6,769 | TJX Cos., Inc. | 413,789 |
See accompanying notes to financial statements.
73
Horizon Defensive Multi-Factor Fund |
| Value | |||||||||||
6,083 | Walmart, Inc. | $ | 724,424 | |||||||||
7,054 | Yum! Brands, Inc. | 710,126 | ||||||||||
6,319,904 | ||||||||||||
Software - 7.7% | ||||||||||||
4,812 | Broadridge Financial Solutions, Inc. | 595,293 | ||||||||||
11,388 | Citrix Systems, Inc. | 1,284,680 | ||||||||||
5,753 | Fidelity National Information Services, Inc. | 794,777 | ||||||||||
5,277 | Fiserv, Inc. (a) | 613,398 | ||||||||||
6,522 | Jack Henry & Associates, Inc. | 990,953 | ||||||||||
7,275 | Leidos Holdings, Inc. | 660,861 | ||||||||||
11,649 | Oracle Corp. | 653,975 | ||||||||||
11,260 | Paychex, Inc. | 969,711 | ||||||||||
6,563,648 | ||||||||||||
Telecommunications - 3.9% | ||||||||||||
19,843 | AT&T, Inc. | 741,731 | ||||||||||
20,888 | Juniper Networks, Inc. | 523,453 | ||||||||||
2,858 | Motorola Solutions, Inc. | 478,144 | ||||||||||
7,737 | T-Mobile US, Inc. (a) | 607,742 | ||||||||||
15,922 | Verizon Communications, Inc. | 959,141 | ||||||||||
3,310,211 | ||||||||||||
Transportation - 0.8% | ||||||||||||
4,584 | CH Robinson Worldwide, Inc. | 352,281 | ||||||||||
2,236 | Kansas City Southern | 340,811 | ||||||||||
693,092 | ||||||||||||
TOTAL COMMON STOCKS (Cost - $81,945,321) | 83,115,424 | |||||||||||
SHORT TERM INVESTMENTS - 1.7% | ||||||||||||
Money Market Funds - 1.7% | ||||||||||||
1,493,929 | First American Treasury Obligations Fund, Class X, 1.58% (b) | 1,493,929 | ||||||||||
TOTAL SHORT TERM INVESTMENTS (Cost - $1,493,929) | 1,493,929 | |||||||||||
TOTAL INVESTMENTS - 98.6% (Cost - $83,439,250) | 84,609,353 | |||||||||||
Other Assets in Excess of Liabilities - 1.4% | 1,166,573 | |||||||||||
NET ASSETS - 100.0% | $ | 85,775,926 |
Percentages are stated as a percent of net assets.
(a) | Non-income producing security. |
(b) | Money Market Fund; interest rate reflects seven-day yield on November 30, 2019. |
See accompanying notes to financial statements.
74
Horizon Funds Statements of Assets and Liabilities |
Horizon Active | Horizon Active | Horizon Active | Horizon Active | |||||||||||||
Assets: | ||||||||||||||||
Investments in Unaffiliated Securities, at Cost | $ | 607,616,483 | $ | 749,566,628 | $ | 297,753,785 | $ | 189,336,454 | ||||||||
Investments in Affiliated Securities, at Cost | 5,353,500 | 68,601,692 | 4,457,801 | — | ||||||||||||
Investments in Unaffiliated Securities, at Value (a) | $ | 637,091,781 | $ | 771,205,830 | $ | 301,816,431 | $ | 194,528,361 | ||||||||
Investments in Affiliated Securities, at Value | 5,848,000 | 76,508,438 | 4,365,499 | — | ||||||||||||
Cash Collateral for Written Options | — | 15 | — | 304,000 | ||||||||||||
Receivable for Fund Shares Sold | 803,216 | 1,811,647 | 645,130 | 624,258 | ||||||||||||
Dividends and Interest Receivable | 10,674 | 153,946 | 3,493 | 642,298 | ||||||||||||
Dividend Reclaims | — | 266 | — | 16,230 | ||||||||||||
Prepaid Expenses and Other Assets | 62,212 | 36,793 | 41,491 | 25,761 | ||||||||||||
Total Assets | 643,815,883 | 849,716,935 | 306,872,044 | 196,140,908 | ||||||||||||
Liabilities: | ||||||||||||||||
Options Written, at Value (Premiums Received $369,524, $566,810, $21,715 and $65,205) | 240,850 | 1,052,500 | 14,500 | 29,325 | ||||||||||||
Collateral Received for Securities Loaned (Note 5) | 97,306,964 | 45,510,621 | 23,706,285 | 8,856,026 | ||||||||||||
Payable for Investment Securities Purchased | — | — | — | 3,020,299 | ||||||||||||
Payable for Fund Shares Redeemed | 161,535 | 122,907 | 79,041 | 101,737 | ||||||||||||
Accrued Administration Fees | 43,754 | 65,937 | 24,211 | 10,472 | ||||||||||||
Accrued Advisory Fees | 533,729 | 711,962 | 177,588 | 123,670 | ||||||||||||
Accrued Audit and Tax Fees | 17,000 | 17,000 | 17,000 | 17,000 | ||||||||||||
Accrued Custodian Fees | 2,779 | 4,449 | 1,712 | 525 | ||||||||||||
Accrued Distribution Fees (12b-1) - Advisor Class | 5,550 | 3,715 | 286 | 46,940 | ||||||||||||
Accrued Shareholder Servicing Fees - Investor Class | 109,661 | 173,021 | 53,298 | — | ||||||||||||
Accrued Transfer Agent Fees | 23,587 | 20,771 | 15,317 | 5,257 | ||||||||||||
Accrued Expenses and Other Liabilities | 21,869 | 38,943 | 14,979 | 25,291 | ||||||||||||
Total Liabilities | 98,467,278 | 47,721,826 | 24,104,217 | 12,236,542 | ||||||||||||
Net Assets | $ | 545,348,605 | $ | 801,995,109 | $ | 282,767,827 | $ | 183,904,366 | ||||||||
Composition of Net Assets: | ||||||||||||||||
Net assets consisted of: | ||||||||||||||||
Paid in Capital | $ | 523,282,847 | $ | 791,752,652 | $ | 296,297,041 | $ | 177,232,774 | ||||||||
Distributable Earnings/(Accumulated Deficit) | 22,065,758 | 10,242,457 | (13,529,214 | ) | 6,671,592 | |||||||||||
Net Assets | $ | 545,348,605 | $ | 801,995,109 | $ | 282,767,827 | $ | 183,904,366 | ||||||||
Investor Class Shares: | ||||||||||||||||
Net Asset Value Per Share: | ||||||||||||||||
Net Assets | $ | 508,839,123 | $ | 738,854,190 | $ | 272,399,743 | $ | 156,452,320 | ||||||||
Shares of Beneficial Interest Outstanding | 40,344,178 | 34,556,437 | 28,861,506 | 2,670,780 | ||||||||||||
Net Asset Value, (Net Assets / Shares Outstanding) Offering and Redemption Price Per Share | $ | 12.61 | $ | 21.38 | $ | 9.44 | $ | 58.58 | ||||||||
Advisor Class Shares: | ||||||||||||||||
Net Assets | $ | 7,878,570 | $ | 177,103 | $ | 2,327,663 | $ | 27,452,046 | ||||||||
Shares of Beneficial Interest Outstanding | 627,997 | 8,292 | 245,826 | 468,812 | ||||||||||||
Net Asset Value, (Net Assets / Shares Outstanding) Offering and Redemption Price Per Share | $ | 12.55 | $ | 21.36 | $ | 9.47 | $ | 58.56 | ||||||||
Institutional Class Shares: | ||||||||||||||||
Net Assets | $ | 28,630,912 | $ | 62,963,816 | $ | 8,040,421 | $ | — | ||||||||
Shares of Beneficial Interest Outstanding | 2,265,374 | 2,938,541 | 853,036 | — | ||||||||||||
Net Asset Value, (Net Assets / Shares Outstanding) Offering and Redemption Price Per Share | $ | 12.64 | $ | 21.43 | $ | 9.43 | $ | — | ||||||||
(a) Includes loaned securities with a value of: | $ | 94,489,626 | $ | 44,375,912 | $ | 23,172,863 | $ | 8,525,050 |
See accompanying notes to financial statements.
75
Horizon Funds |
| Horizon Multi- | Horizon Defensive | ||||||||||
Assets: | ||||||||||||
Investments in Unaffiliated Securities, at Cost | $ | 170,220,431 | $ | 72,828,309 | $ | 83,439,250 | ||||||
Investments in Unaffiliated Securities, at Value (a) | $ | 190,403,058 | $ | 73,604,781 | $ | 84,609,353 | ||||||
Cash Held at Broker | 31 | — | — | |||||||||
Receivable for Fund Shares Sold | 831,569 | 1,071,171 | 1,107,674 | |||||||||
Dividends and Interest Receivable | 348,286 | 83,725 | 154,222 | |||||||||
Dividend Reclaims | 223 | — | 517 | |||||||||
Prepaid Expenses and Other Assets | 32,997 | 21,986 | 22,086 | |||||||||
Total Assets | 191,616,164 | 74,781,663 | 85,893,852 | |||||||||
Liabilities: | ||||||||||||
Options Written, at Value (Premiums Received $3,178,828, $40,703 and $0) | 4,364,530 | 59,304 | — | |||||||||
Collateral Received for Securities Loaned (Note 5) | 878,890 | — | — | |||||||||
Payable for Fund Shares Redeemed | 34,106 | 3,784 | 15,811 | |||||||||
Accrued Accounting Fees | 1,542 | 188 | 471 | |||||||||
Accrued Advisory Fees | 112,838 | 24,828 | 46,444 | |||||||||
Accrued Administration Fees | 7,480 | 7,727 | 8,569 | |||||||||
Accrued Audit and Tax Fees | 17,000 | 17,000 | 17,000 | |||||||||
Accrued Custodian Fees | 4,041 | 8,217 | 5,353 | |||||||||
Accrued Legal Fees | 105 | 4,004 | 990 | |||||||||
Accrued Trustees’ Fees and Expenses | — | 213 | 213 | |||||||||
Accrued Printing and Mailing Fees | 6,156 | 5,480 | 5,480 | |||||||||
Accrued Registration Fees | 20,340 | 9,085 | 10,175 | |||||||||
Accrued Distribution Fees (12b-1) - Investor Class | — | 11,555 | 2,640 | |||||||||
Accrued Distribution Fees (12b-1) - Advisor Class | 32,752 | — | — | |||||||||
Accrued Expenses and Other Liabilities | 7,080 | 4,737 | 4,780 | |||||||||
Total Liabilities | 5,486,860 | 156,122 | 117,926 | |||||||||
Net Assets | $ | 186,129,304 | $ | 74,625,541 | $ | 85,775,926 | ||||||
Composition of Net Assets: | ||||||||||||
Net assets consisted of: | ||||||||||||
Paid in Capital | $ | 174,473,709 | $ | 74,010,937 | $ | 84,510,406 | ||||||
Distributable Earnings | 11,655,595 | 614,604 | 1,265,520 | |||||||||
Net Assets | $ | 186,129,304 | $ | 74,625,541 | $ | 85,775,926 | ||||||
Investor Class Shares: | ||||||||||||
Net Asset Value Per Share: | ||||||||||||
Net Assets | $ | 163,321,870 | $ | 74,625,541 | $ | 85,775,926 | ||||||
Shares of Beneficial Interest Outstanding | 3,019,652 | 2,847,361 | 3,271,779 | |||||||||
Net Asset Value, (Net Assets / Shares Outstanding) Offering and Redemption Price Per Share | $ | 54.09 | $ | 26.21 | $ | 26.22 | ||||||
Advisor Class Shares: | ||||||||||||
Net Assets | $ | 22,807,434 | $ | — | $ | — | ||||||
Shares of Beneficial Interest Outstanding | 421,884 | — | — | |||||||||
Net Asset Value, (Net Assets / Shares Outstanding) Offering and Redemption Price Per Share | $ | 54.06 | $ | — | $ | — | ||||||
(a) Includes loaned securities with a value of: | $ | 857,229 | $ | — | $ | — |
See accompanying notes to financial statements.
76
Horizon Funds Statements of Operations |
Horizon Active | Horizon Active | Horizon Active | Horizon Active | |||||||||||||
Investment Income: | ||||||||||||||||
Dividend Income from Unaffiliated Securities (net of foreign withholdings tax of $0, $107, $0 and $67,224) | $ | 9,576,663 | $ | 11,721,211 | $ | 9,158,721 | $ | 4,072,632 | ||||||||
Dividend Income from Affiliated Securities | 264,351 | 3,586,974 | 1,663,382 | — | ||||||||||||
Interest Income | 129,448 | 287,504 | 112,672 | 260,184 | ||||||||||||
Total Investment Income | 9,970,462 | 15,595,689 | 10,934,775 | 4,332,816 | ||||||||||||
Expenses: | ||||||||||||||||
Investment Advisory Fees | 5,183,463 | 8,498,904 | 2,103,893 | 883,595 | ||||||||||||
Shareholder Servicing Fees - Investor Class | 316,600 | 552,715 | 210,666 | — | ||||||||||||
Administrative & Accounting Service Fees | 265,038 | 448,954 | 146,223 | 77,669 | ||||||||||||
Transfer Agent Fees | 148,638 | 155,783 | 103,051 | 37,713 | ||||||||||||
Registration Fees | 83,296 | 114,518 | 64,341 | 69,446 | ||||||||||||
Chief Compliance Officer & Compliance Fees | 54,971 | 88,404 | 28,609 | 13,107 | ||||||||||||
Trustees’ Fees and Expenses | 52,378 | 83,314 | 29,175 | 12,175 | ||||||||||||
Legal Fees | 51,636 | 84,328 | 30,542 | 10,930 | ||||||||||||
Custodian Fees | 28,833 | 64,092 | 14,168 | 9,791 | ||||||||||||
Printing and Postage Expenses | 25,240 | 37,463 | 21,653 | 22,689 | ||||||||||||
Miscellaneous Expenses | 25,138 | 31,017 | 17,273 | 4,756 | ||||||||||||
Interest Expense | 23,198 | 25,186 | 8,316 | — | ||||||||||||
Distribution Fees (12b-1) - Advisor Class | 18,095 | 668 | 5,072 | 49,648 | ||||||||||||
Audit Fees | 17,351 | 17,587 | 17,188 | 17,069 | ||||||||||||
Insurance Fees | 13,633 | 20,352 | 7,183 | 2,264 | ||||||||||||
Distribution Fees (12b-1) - Investor Class | — | — | — | 97,954 | ||||||||||||
Total Expenses | 6,307,508 | 10,223,285 | 2,807,353 | 1,308,806 | ||||||||||||
Securities Lending Expense Offset | (266,720 | ) | (363,783 | ) | (406,184 | ) | (17,314 | ) | ||||||||
Fees Recouped by the Adviser | 437,156 | 700,631 | — | 31,135 | ||||||||||||
Fees Waived by the Adviser | — | — | — | (8,680 | ) | |||||||||||
Net Expenses | 6,477,944 | 10,560,133 | 2,401,169 | 1,313,947 | ||||||||||||
Net Investment Income | 3,492,518 | 5,035,556 | 8,533,606 | 3,018,869 | ||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments: | ||||||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||||||
Unaffiliated Investments | 9,152,870 | 9,796,826 | (897,780 | ) | 607,405 | |||||||||||
Affiliated Investments | 2,094,438 | (5,525,929 | ) | 2,553,945 | — | |||||||||||
Purchased Options | (18,342,394 | ) | (23,485,745 | ) | (1,797,773 | ) | (166,941 | ) | ||||||||
Written Options | 378,477 | 2,976,892 | (469,495 | ) | 285,846 | |||||||||||
Foreign Currency | — | — | — | (68 | ) | |||||||||||
Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||||||
Unaffiliated Investments | 37,000,771 | 21,550,833 | 7,966,947 | 6,702,140 | ||||||||||||
Affiliated Investments | 782,489 | 17,855,753 | 1,000,742 | — | ||||||||||||
Purchased Options | 943,706 | 1,041,667 | 9,066 | (203,444 | ) | |||||||||||
Written Options | 139,332 | (505,647 | ) | 42,299 | 36,794 | |||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 32,149,689 | 23,704,650 | 8,407,951 | 7,261,732 | ||||||||||||
Net Increase in Net Assets Resulting From Operations | $ | 35,642,207 | $ | 28,740,206 | $ | 16,941,557 | $ | 10,280,601 |
See accompanying notes to financial statements.
77
Horizon Funds |
| Horizon Multi- | Horizon Defensive | ||||||||||
Investment Income: | ||||||||||||
Dividend Income from Unaffiliated Securities (net of foreign withholdings tax of $535, $195 and $387) | $ | 1,887,537 | $ | 182,873 | $ | 171,972 | ||||||
Interest Income | 51,985 | 6,213 | 6,755 | |||||||||
Total Investment Income | 1,939,522 | 189,086 | 178,727 | |||||||||
Expenses: | ||||||||||||
Investment Advisory Fees | 767,264 | 54,647 | 65,320 | |||||||||
Administrative & Accounting Service Fees | 77,438 | 13,142 | 15,456 | |||||||||
Transfer Agent Fees | 37,791 | 8,907 | 8,907 | |||||||||
Registration Fees | 59,273 | 20,133 | 21,222 | |||||||||
Chief Compliance Officer & Compliance Fees | 10,823 | 1,726 | 1,788 | |||||||||
Trustees’ Fees and Expenses | 9,741 | 216 | 216 | |||||||||
Legal Fees | 8,548 | 6,029 | 3,029 | |||||||||
Custodian Fees | 44,673 | 9,637 | 7,137 | |||||||||
Printing and Postage Expenses | 19,735 | 5,480 | 5,480 | |||||||||
Miscellaneous Expenses | 2,907 | 1,336 | 1,336 | |||||||||
Distribution Fees (12b-1) - Advisor Class | 33,936 | — | — | |||||||||
Audit Fees | 17,055 | 17,277 | 17,277 | |||||||||
Insurance Fees | 1,410 | — | — | |||||||||
Distribution Fees (12b-1) - Investor Class | 82,334 | 7,286 | 8,165 | |||||||||
Offering Costs | — | 2,272 | 2,272 | |||||||||
Total Expenses | 1,172,928 | 148,088 | 157,605 | |||||||||
Securities Lending Expense Offset | (1,574 | ) | — | — | ||||||||
Fees Waived by the Adviser | (153,545 | ) | (68,668 | ) | (68,606 | ) | ||||||
Net Expenses | 1,017,809 | 79,420 | 88,999 | |||||||||
Net Investment Income | 921,713 | 109,666 | 89,728 | |||||||||
Net Realized and Unrealized Gain (Loss) on Investments: | ||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||
Unaffiliated Investments | 369,612 | (123,563 | ) | 3,417 | ||||||||
Purchased Options | (8,229,104 | ) | — | — | ||||||||
Written Options | (221,939 | ) | (131,642 | ) | — | |||||||
Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||
Unaffiliated Investments | 22,189,824 | 776,472 | 1,170,103 | |||||||||
Purchased Options | (2,134,462 | ) | — | — | ||||||||
Written Options | (1,274,673 | ) | (18,601 | ) | — | |||||||
Net Realized and Unrealized Gain on Investments | 10,699,258 | 502,666 | 1,173,520 | |||||||||
Net Increase in Net Assets Resulting From Operations | $ | 11,620,971 | $ | 612,332 | $ | 1,263,248 |
(1) | The Horizon Multi-Asset Income Fund and the Horizon Defensive Multi-Factor Fund commenced operations on June 26, 2019. |
See accompanying notes to financial statements.
78
Horizon Active Asset Allocation Fund Statements of Changes in Net Assets |
For the | For the | |||||||
Operations: | ||||||||
Net Investment Income | $ | 3,492,518 | $ | 2,635,163 | ||||
Net Realized Gain (Loss) on Investments, | ||||||||
Purchased Options and Written Options | (6,716,609 | ) | 32,878,789 | |||||
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 | 38,866,298 | (39,775,842 | ) | |||||
Net Increase (Decrease) in Net Assets Resulting From Operations | 35,642,207 | (4,141,740 | ) | |||||
Distributions to Shareholders From: | ||||||||
Distributable earnings | ||||||||
Investor Class | (28,080,978 | ) | (43,271,145 | ) | ||||
Advisor Class | (449,545 | ) | (617,689 | ) | ||||
Institutional Class | (1,921,746 | ) | (3,269,530 | ) | ||||
Total Distributions to Shareholders | (30,452,269 | ) | (47,158,364 | ) | ||||
Capital Share Transactions: | ||||||||
Proceeds from Shares Issued | ||||||||
Investor Class | 183,834,240 | 202,909,817 | ||||||
Advisor Class | 2,532,615 | 3,596,369 | ||||||
Institutional Class | 5,217,874 | 8,938,049 | ||||||
Distributions Reinvested | ||||||||
Investor Class | 26,696,715 | 42,833,606 | ||||||
Advisor Class | 388,591 | 517,167 | ||||||
Institutional Class | 1,921,746 | 3,269,530 | ||||||
Cost of Shares Redeemed | ||||||||
Investor Class | (183,821,134 | ) | (115,053,606 | ) | ||||
Advisor Class | (2,277,638 | ) | (1,339,176 | ) | ||||
Institutional Class | (8,847,909 | ) | (7,785,149 | ) | ||||
Net Increase in Net Assets Resulting From Beneficial Interest Transactions | 25,645,100 | 137,886,607 | ||||||
Increase in Net Assets | 30,835,038 | 86,586,503 | ||||||
Net Assets: | ||||||||
Beginning of Period/Year | 514,513,567 | 427,927,064 | ||||||
End of Period/Year | $ | 545,348,605 | $ | 514,513,567 | ||||
Share Activity: | ||||||||
Investor Class: | ||||||||
Shares Issued | 15,494,502 | 15,210,405 | ||||||
Shares Reinvested | 2,602,019 | 3,367,422 | ||||||
Shares Redeemed | (15,372,021 | ) | (8,696,402 | ) | ||||
Net Increase | 2,724,500 | 9,881,425 | ||||||
Advisor Class: | ||||||||
Shares Issued | 212,299 | 269,968 | ||||||
Shares Reinvested | 38,023 | 40,786 | ||||||
Shares Redeemed | (191,777 | ) | (100,455 | ) | ||||
Net Increase | 58,545 | 210,299 | ||||||
Institutional Class: | ||||||||
Shares Issued | 434,457 | 668,245 | ||||||
Shares Reinvested | 187,122 | 256,635 | ||||||
Shares Redeemed | (734,146 | ) | (587,330 | ) | ||||
Net Increase (Decrease) | (112,567 | ) | 337,550 |
See accompanying notes to financial statements.
79
Horizon Active Risk Assist® Fund |
For the | For the | |||||||
Operations: | ||||||||
Net Investment Income | $ | 5,035,556 | $ | 3,263,976 | ||||
Net Realized Gain (Loss) on Investments, | ||||||||
Purchased Options and Written Options | (16,237,956 | ) | 22,061,441 | |||||
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 | 39,942,606 | (38,653,038 | ) | |||||
Net Increase (Decrease) in Net Assets Resulting From Operations | 28,740,206 | (13,205,441 | ) | |||||
Distributions to Shareholders From: | ||||||||
Distributable earnings | ||||||||
Investor Class | (25,020,041 | ) | (19,270,621 | ) | ||||
Advisor Class | (12,752 | ) | (15,334 | ) | ||||
Institutional Class | (822,520 | ) | (309,439 | ) | ||||
Total Distributions to Shareholders | (25,855,313 | ) | (19,595,394 | ) | ||||
Capital Share Transactions: | ||||||||
Proceeds from Shares Issued | ||||||||
Investor Class | 448,098,022 | 382,409,937 | ||||||
Advisor Class | 95,384 | 92,540 | ||||||
Institutional Class | 70,890,542 | 18,719,909 | ||||||
Distributions Reinvested | ||||||||
Investor Class | 23,214,578 | 18,955,229 | ||||||
Advisor Class | 12,752 | 15,334 | ||||||
Institutional Class | 810,861 | 309,439 | ||||||
Cost of Shares Redeemed | ||||||||
Investor Class | (412,903,377 | ) | (105,704,359 | ) | ||||
Advisor Class | (305,953 | ) | (48,948 | ) | ||||
Institutional Class | (35,981,934 | ) | (1,975,867 | ) | ||||
Net Increase in Net Assets Resulting From Beneficial Interest Transactions | 93,930,875 | 312,773,214 | ||||||
Increase in Net Assets | 96,815,768 | 279,972,379 | ||||||
Net Assets: | ||||||||
Beginning of Period/Year | 705,179,341 | 425,206,962 | ||||||
End of Period/Year | $ | 801,995,109 | $ | 705,179,341 | ||||
Share Activity: | ||||||||
Investor Class: | ||||||||
Shares Issued | 21,888,834 | 16,912,240 | ||||||
Shares Reinvested | 1,220,535 | 865,931 | ||||||
Shares Redeemed | (19,995,435 | ) | (4,677,374 | ) | ||||
Net Increase | 3,113,934 | 13,100,797 | ||||||
Advisor Class: | ||||||||
Shares Issued | 4,663 | 4,126 | ||||||
Shares Reinvested | 670 | 701 | ||||||
Shares Redeemed | (14,982 | ) | (2,144 | ) | ||||
Net Increase (Decrease) | (9,649 | ) | 2,683 | |||||
Institutional Class: | ||||||||
Shares Issued | 3,598,112 | 828,543 | ||||||
Shares Reinvested | 42,610 | 14,130 | ||||||
Shares Redeemed | (1,747,770 | ) | (87,471 | ) | ||||
Net Increase | 1,892,952 | 755,202 |
See accompanying notes to financial statements.
80
Horizon Active Income Fund |
For the | For the | |||||||
Operations: | ||||||||
Net Investment Income | $ | 8,533,606 | $ | 8,072,615 | ||||
Net Realized Loss on Investments, | ||||||||
Purchased Options and Written Options | (611,103 | ) | (12,906,931 | ) | ||||
Net Change in Unrealized Appreciation (Depreciation) on | ||||||||
Investments, Purchased Options and Written Options | 9,019,054 | (4,027,626 | ) | |||||
Net Increase (Decrease) in Net Assets Resulting From Operations | 16,941,557 | (8,861,942 | ) | |||||
Distributions to Shareholders From: | ||||||||
Distributable Earnings | ||||||||
Investor Class | (8,476,291 | ) | (6,524,973 | ) | ||||
Advisor Class | (54,060 | ) | (29,004 | ) | ||||
Institutional Class | (255,598 | ) | (229,059 | ) | ||||
Total Distributions to Shareholders | (8,785,949 | ) | (6,783,036 | ) | ||||
Capital Share Transactions: | ||||||||
Proceeds from Shares Issued | ||||||||
Investor Class | 122,032,458 | 142,464,097 | ||||||
Advisor Class | 777,825 | 1,012,985 | ||||||
Institutional Class | 1,265,958 | 2,386,593 | ||||||
Distributions Reinvested | ||||||||
Investor Class | 7,926,823 | 6,094,473 | ||||||
Advisor Class | 54,060 | 29,004 | ||||||
Institutional Class | 255,598 | 229,059 | ||||||
Cost of Shares Redeemed | ||||||||
Investor Class | (141,376,516 | ) | (58,011,804 | ) | ||||
Advisor Class | (163,128 | ) | (40,163 | ) | ||||
Institutional Class | (1,227,529 | ) | (2,718,117 | ) | ||||
Net Increase (Decrease) in Net Assets Resulting From Beneficial Interest Transactions | (10,454,451 | ) | 91,446,127 | |||||
Increase (Decrease) in Net Assets | (2,298,843 | ) | 75,801,149 | |||||
Net Assets: | ||||||||
Beginning of Period/Year | 285,066,670 | 209,265,521 | ||||||
End of Period/Year | $ | 282,767,827 | $ | 285,066,670 | ||||
Share Activity: | ||||||||
Investor Class: | ||||||||
Shares Issued | 13,160,061 | 15,134,834 | ||||||
Shares Reinvested | 875,624 | 644,511 | ||||||
Shares Redeemed | (15,394,987 | ) | (6,175,688 | ) | ||||
Net Increase (Decrease) | (1,359,302 | ) | 9,603,657 | |||||
Advisor Class: | ||||||||
Shares Issued | 84,117 | 106,778 | ||||||
Shares Reinvested | 5,923 | 3,059 | ||||||
Shares Redeemed | (17,470 | ) | (4,274 | ) | ||||
Net Increase | 72,570 | 105,563 | ||||||
Institutional Class: | ||||||||
Shares Issued | 137,045 | 253,240 | ||||||
Shares Reinvested | 28,265 | 24,205 | ||||||
Shares Redeemed | (132,790 | ) | (288,438 | ) | ||||
Net Increase (Decrease) | 32,520 | (10,993 | ) |
See accompanying notes to financial statements.
81
Horizon Active Dividend Fund |
For the | For the | |||||||
Operations: | ||||||||
Net Investment Income | $ | 3,018,869 | $ | 684,471 | ||||
Net Realized Gain on Investments, | ||||||||
Purchased Options, Written Options and Foreign Currencies | 726,242 | 2,561,704 | ||||||
Net Change in Unrealized Appreciation (Depreciation) on | ||||||||
Investments, Purchased Options, Written Options and Foreign Currencies | 6,535,490 | (2,152,986 | ) | |||||
Net Increase in Net Assets Resulting From Operations | 10,280,601 | 1,093,189 | ||||||
Distributions to Shareholders From: | ||||||||
Distributable earnings | ||||||||
Investor Class | (3,410,482 | ) | (815,228 | ) | ||||
Advisor Class | (1,015,651 | ) | (177,769 | ) | ||||
Total Distributions to Shareholders | (4,426,133 | ) | (992,997 | ) | ||||
Capital Share Transactions: | ||||||||
Proceeds from Shares Issued | ||||||||
Investor Class | 134,693,504 | 21,346,826 | ||||||
Advisor Class | 22,386,170 | 9,447,722 | ||||||
Distributions Reinvested | ||||||||
Investor Class | 3,410,116 | 815,228 | ||||||
Advisor Class | 798,268 | 140,433 | ||||||
Cost of Shares Redeemed | ||||||||
Investor Class | (26,621,049 | ) | (6,912,464 | ) | ||||
Advisor Class | (7,418,282 | ) | (1,998,986 | ) | ||||
Net Increase in Net Assets Resulting From Beneficial Interest Transactions | 127,248,727 | 22,838,759 | ||||||
Increase in Net Assets | 133,103,195 | 22,938,951 | ||||||
Net Assets: | ||||||||
Beginning of Period/Year | 50,801,171 | 27,862,220 | ||||||
End of Period/Year | $ | 183,904,366 | $ | 50,801,171 | ||||
Share Activity: | ||||||||
Investor Class: | ||||||||
Shares Issued | 2,408,615 | 350,521 | ||||||
Shares Reinvested | 65,074 | 13,443 | ||||||
Shares Redeemed | (467,780 | ) | (113,457 | ) | ||||
Net Increase | 2,005,909 | 250,507 | ||||||
Advisor Class: | ||||||||
Shares Issued | 401,444 | 155,431 | ||||||
Shares Reinvested | 15,523 | 2,312 | ||||||
Shares Redeemed | (129,693 | ) | (32,906 | ) | ||||
Net Increase | 287,274 | 124,837 |
See accompanying notes to financial statements.
82
Horizon Defined Risk Fund |
For the | For the | |||||||
Operations: | ||||||||
Net Investment Income | $ | 921,713 | $ | 70,171 | ||||
Net Realized Loss on Investments, | ||||||||
Purchased Options and Written Options | (8,081,431 | ) | (103,803 | ) | ||||
Net Change in Unrealized Appreciation on | ||||||||
Investments, Purchased Options and Written Options | 18,780,689 | 216,236 | ||||||
Net Increase in Net Assets Resulting From Operations | 11,620,971 | 182,604 | ||||||
Distributions to Shareholders From: | ||||||||
Distributable earnings | ||||||||
Investor Class | (93,805 | ) | — | |||||
Advisor Class | (46,441 | ) | — | |||||
Total Distributions to Shareholders | (140,246 | ) | — | |||||
Capital Share Transactions: | ||||||||
Proceeds from Shares Issued | ||||||||
Investor Class | 171,559,084 | 6,362,481 | ||||||
Advisor Class | 17,349,164 | 10,548,208 | ||||||
Distributions Reinvested | ||||||||
Investor Class | 93,805 | — | ||||||
Advisor Class | 28,456 | — | ||||||
Cost of Shares Redeemed | ||||||||
Investor Class | (24,572,765 | ) | (496,397 | ) | ||||
Advisor Class | (4,897,060 | ) | (1,509,001 | ) | ||||
Net Increase in Net Assets Resulting From Beneficial Interest Transactions | 159,560,684 | 14,905,291 | ||||||
Increase in Net Assets | 171,041,409 | 15,087,895 | ||||||
Net Assets: | ||||||||
Beginning of Period/Year | 15,087,895 | — | ||||||
End of Period/Year | $ | 186,129,304 | $ | 15,087,895 | ||||
Share Activity: | ||||||||
Investor Class: | ||||||||
Shares Issued | 3,376,396 | 125,760 | ||||||
Shares Reinvested | 1,995 | — | ||||||
Shares Redeemed | (474,710 | ) | (9,789 | ) | ||||
Net Increase | 2,903,681 | 115,971 | ||||||
Advisor Class: | ||||||||
Shares Issued | 335,380 | 209,699 | ||||||
Shares Reinvested | 605 | — | ||||||
Shares Redeemed | (94,023 | ) | (29,777 | ) | ||||
Net Increase | 241,962 | 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.
83
Horizon Multi-Asset Income Fund |
For the | ||||
Operations: | ||||
Net Investment Income | $ | 109,666 | ||
Net Realized Loss on Investments | ||||
and Written Options | (255,205 | ) | ||
Net Change in Unrealized Appreciation on | ||||
Investments and Written Options | 757,871 | |||
Net Increase in Net Assets Resulting From Operations | 612,332 | |||
Capital Share Transactions: | ||||
Proceeds from Shares Issued | ||||
Investor Class | 75,544,120 | |||
Cost of Shares Redeemed | ||||
Investor Class | (1,530,911 | ) | ||
Net Increase in Net Assets Resulting From Beneficial Interest Transactions | 74,013,209 | |||
Increase in Net Assets | 74,625,541 | |||
Net Assets: | ||||
Beginning of Period | — | |||
End of Period | $ | 74,625,541 | ||
Share Activity: | ||||
Investor Class: | ||||
Shares Issued | 2,906,083 | |||
Shares Redeemed | (58,722 | ) | ||
Net Increase | 2,847,361 |
(1) | Horizon Multi-Asset Income Fund, Investor Class, commenced operations on June 26, 2019. |
See accompanying notes to financial statements.
84
Horizon Defensive Multi-Factor Fund |
For the | ||||
Operations: | ||||
Net Investment Income | $ | 89,728 | ||
Net Realized Gain on Investments | 3,417 | |||
Net Change in Unrealized Appreciation on Investments | 1,170,103 | |||
Net Increase in Net Assets Resulting From Operations | 1,263,248 | |||
Capital Share Transactions: | ||||
Proceeds from Shares Issued | ||||
Investor Class | 86,203,772 | |||
Cost of Shares Redeemed | ||||
Investor Class | (1,691,094 | ) | ||
Net Increase in Net Assets Resulting From Beneficial Interest Transactions | 84,512,678 | |||
Increase in Net Assets | 85,775,926 | |||
Net Assets: | ||||
Beginning of Period | — | |||
End of Period | $ | 85,775,926 | ||
Share Activity: | ||||
Investor Class: | ||||
Shares Issued | 3,337,028 | |||
Shares Redeemed | (65,249 | ) | ||
Net Increase | 3,271,779 |
(1) | Horizon Defensive Multi-Factor Fund, Investor Class, commenced operations on June 26, 2019. |
See accompanying notes to financial statements.
85
Horizon Active Asset Allocation Fund Financial Highlights |
The table below sets forth financial data for one share of beneficial interest outstanding throughout each year.
Investor Class | ||||||||||||||||||||
For the | For the | For the | For the | For the | ||||||||||||||||
Net Asset Value, Beginning of Year | $ | 12.68 | $ | 14.20 | $ | 11.56 | $ | 11.99 | $ | 12.67 | ||||||||||
Income From Investment Operations: | ||||||||||||||||||||
Net investment income (c,f) | 0.08 | 0.07 | (h) | 0.08 | 0.12 | 0.13 | ||||||||||||||
Net gain (loss) from investments (both realized and unrealized) | 0.65 | (0.02 | )(h) | 2.66 | (0.20 | ) | (0.37 | ) | ||||||||||||
Total from investment operations | 0.73 | 0.05 | 2.74 | (0.08 | ) | (0.24 | ) | |||||||||||||
Less Distributions: | ||||||||||||||||||||
From net investment income | (0.08 | ) | (0.07 | ) | (0.10 | ) | (0.20 | ) | (0.02 | ) | ||||||||||
From net realized gains | (0.72 | ) | (1.50 | ) | — | (0.15 | ) | (0.42 | ) | |||||||||||
Total Distributions | (0.80 | ) | (1.57 | ) | (0.10 | ) | (0.35 | ) | (0.44 | ) | ||||||||||
Net Asset Value, End of Year | $ | 12.61 | $ | 12.68 | $ | 14.20 | $ | 11.56 | $ | 11.99 | ||||||||||
Total Return | 7.23 | % | 0.46 | % | 23.76 | % | (0.59 | )% | (2.01 | )% | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of year (in 000’s) | $ | 508,839 | $ | 477,097 | $ | 393,833 | $ | 354,279 | $ | 366,368 | ||||||||||
Ratio to average net assets: | ||||||||||||||||||||
Gross expenses (d,e) | 1.21 | % | 1.28 | %(g) | 1.48 | % | 1.54 | % | 1.54 | % | ||||||||||
Net expenses (a,d) | 1.24 | % | 1.27 | %(g) | 1.36 | %(b) | 1.43 | % | 1.42 | % | ||||||||||
Net investment income net of reimbursement (recapture) and securities lending expense offset (d,f) | 0.66 | % | 0.56 | % | 0.61 | % | 1.09 | % | 1.06 | % | ||||||||||
Portfolio turnover rate | 279 | % | 256 | % | 168 | % | 406 | % | 472 | % |
Portfolio turnover is calculated for the Fund as a whole.
(a) | The ratio of expenses to average net assets includes interest expense which was 0.01%, 0.00%, 0.00%, 0.01%, and 0.00%, respectively. |
(b) | Effective July 1, 2017, Shareholder Servicing Fees for Investor Class shares decreased from 0.25% to 0.10% of average daily net assets. |
(c) | Per share amounts are calculated using the average shares method. |
(d) | Does not reflect the expenses of the underlying funds in which the Fund invests. |
(e) | Represents the ratio of expenses to average net assets absent securities lending expense offset, fee waivers and/or expense reimbursements by the Adviser. |
(f) | Recognition of net investment income by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests. The ratio does not include net investment income of the investment companies in which the Fund invests. |
(g) | Effective March 30, 2018, the Operating Expense Limit for the Investor Class decreased from 1.27% to 1.17%. This excludes 0.10% of Shareholder Servicing Fees (See Note 3). |
(h) | Due to timing of shareholder transactions, and allocations of expenses among share classes, the per unit amounts presented may not coincide with the aggregate presentation on the Statements of Operations. |
See accompanying notes to financial statements.
86
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 | For the | ||||||||||||||||
Net Asset Value, Beginning of Period/Year | $ | 12.62 | $ | 14.16 | $ | 11.56 | $ | 11.99 | $ | 11.21 | ||||||||||
Income From Investment Operations: | ||||||||||||||||||||
Net investment income (loss) (c,g) | 0.07 | 0.05 | (f) | 0.05 | 0.12 | (0.03 | )(f) | |||||||||||||
Net gain (loss) from investments (both realized and unrealized) | 0.65 | (0.02 | )(f) | 2.68 | (0.20 | ) | 0.81 | (f) | ||||||||||||
Total from investment operations | 0.72 | 0.03 | 2.73 | (0.08 | ) | 0.78 | ||||||||||||||
Less Distributions: | ||||||||||||||||||||
From net investment income | (0.07 | ) | (0.07 | ) | (0.13 | ) | (0.20 | ) | — | |||||||||||
From net realized gains | (0.72 | ) | (1.50 | ) | — | (0.15 | ) | — | ||||||||||||
Total Distributions | (0.79 | ) | (1.57 | ) | (0.13 | ) | (0.35 | ) | — | |||||||||||
Net Asset Value, End of Period/Year | $ | 12.55 | $ | 12.62 | $ | 14.16 | $ | 11.56 | $ | 11.99 | ||||||||||
Total Return | 7.12 | % | 0.29 | % | 23.64 | % | (0.59 | )% | 6.96 | %(j) | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period/year (in 000’s) | $ | 7,879 | $ | 7,187 | $ | 5,084 | $ | 2,249 | $ | 29 | ||||||||||
Ratio to average net assets: | ||||||||||||||||||||
Gross expenses (d,e) | 1.39 | % | 1.43 | %(h) | 1.55 | % | 1.55 | % | 1.54 | %(i) | ||||||||||
Net expenses (b,d) | 1.39 | % | 1.42 | %(h) | 1.42 | % | 1.44 | % | 1.42 | %(i) | ||||||||||
Net investment income (loss) net of reimbursement (recapture) and securities lending expense offset (d,g) | 0.57 | % | 0.38 | % | 0.35 | % | 1.06 | % | (0.88 | )%(f)(i) | ||||||||||
Portfolio turnover rate | 279 | % | 256 | % | 168 | % | 406 | % | 472 | % |
Portfolio turnover is calculated for the Fund as a whole.
(a) | Since September 4, 2015 (Commencement of Operations). |
(b) | The ratio of expenses to average net assets includes interest expense which was 0.00%, 0.00%, 0.00%, 0.02%, and 0.00% respectively. |
(c) | Per share amounts are calculated using the average shares method. |
(d) | Does not reflect the expenses of the underlying funds in which the Fund invests. |
(e) | Represents the ratio of expenses to average net assets absent securities lending expense offset, fee waivers and/or expense reimbursements by the Adviser. |
(f) | 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%. This excludes 0.25% of Distribution Fees (12b-1) (See Note 3). |
(i) | Annualized. |
(j) | Not annualized. |
See accompanying notes to financial statements.
87
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 | For the | |||||||||||||
Net Asset Value, Beginning of Period/Year | $ | 12.71 | $ | 14.22 | $ | 11.59 | $ | 11.54 | ||||||||
Income From Investment Operations: | ||||||||||||||||
Net investment income (c,h) | 0.10 | 0.09 | (g) | 0.05 | 0.03 | |||||||||||
Net gain (loss) from investments (both realized and unrealized) | 0.65 | (0.03 | )(g) | 2.71 | 0.02 | (f) | ||||||||||
Total from investment operations | 0.75 | 0.06 | 2.76 | 0.05 | ||||||||||||
Less Distributions: | ||||||||||||||||
From net investment income | (0.10 | ) | (0.07 | ) | (0.13 | ) | — | |||||||||
From net realized gains | (0.72 | ) | (1.50 | ) | — | — | ||||||||||
Total Distributions | (0.82 | ) | (1.57 | ) | (0.13 | ) | — | |||||||||
Net Asset Value, End of Period/Year | $ | 12.64 | $ | 12.71 | $ | 14.22 | $ | 11.59 | ||||||||
Total Return | 7.33 | % | 0.55 | % | 23.92 | % | 0.43 | %(j) | ||||||||
Ratios/Supplemental Data | ||||||||||||||||
Net assets, end of period/year (in 000’s) | $ | 28,631 | $ | 30,230 | $ | 29,010 | $ | 8,809 | ||||||||
Ratio to average net assets: | ||||||||||||||||
Gross expenses (d,e) | 1.14 | % | 1.18 | % | 1.30 | % | 1.30 | %(i) | ||||||||
Net expenses (b,d) | 1.16 | % | 1.17 | % | 1.17 | % | 1.19 | %(i) | ||||||||
Net investment income net of reimbursement (recapture) and securities lending expense offset (d,h) | 0.80 | % | 0.68 | % | 0.38 | % | 1.28 | %(i) | ||||||||
Portfolio turnover rate | 279 | % | 256 | % | 168 | % | 406 | % |
Portfolio turnover is calculated for the Fund as a whole.
(a) | Since September 9, 2016 (Commencement of Operations). |
(b) | The ratio of expenses to average net assets includes interest expense which was 0.00%, 0.00%, 0.00% and 0.02%, respectively. |
(c) | Per share amounts are calculated using the average shares method. |
(d) | Does not reflect the expenses of the underlying funds in which the Fund invests. |
(e) | Represents the ratio of expenses to average net assets absent securities lending expense offset, fee waivers and/or expense reimbursements by the Adviser. |
(f) | Net realized and unrealized gain (loss) per share in this caption is a balancing amount necessary to reconcile the change in net asset value per share for the period, and may not reconcile with the aggregate gain (loss) on the Statements of Operations due to share transactions for the period. |
(g) | Due to timing of shareholder transactions, and allocations of expenses among share classes, the per unit amounts presented may not coincide with the aggregate presentation on the Statements of Operations. |
(h) | Recognition of net investment income by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests. The ratio does not include net investment income of the investment companies in which the Fund invests. |
(i) | Annualized. |
(j) | Not annualized. |
See accompanying notes to financial statements.
88
Horizon Active Risk Assist® 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 | $ | 21.69 | $ | 22.80 | $ | 19.31 | $ | 19.62 | $ | 20.50 | ||||||||||
Income From Investment Operations: | ||||||||||||||||||||
Net investment income (loss) (d,h) | 0.12 | 0.13 | 0.12 | 0.18 | 0.12 | |||||||||||||||
Net gain (loss) from investments (both realized and unrealized) | 0.33 | (0.21 | ) | 3.54 | (0.29 | ) | (1.00 | ) | ||||||||||||
Total from investment operations | 0.45 | (0.08 | ) | 3.66 | (0.11 | ) | (0.88 | ) | ||||||||||||
Less Distributions: | ||||||||||||||||||||
From net investment income | (0.12 | ) | (0.12 | ) | (0.17 | ) | (0.20 | ) | — | |||||||||||
From net realized gains | (0.64 | ) | (0.91 | ) | — | — | (0.00 | )(g) | ||||||||||||
Total Distributions | (0.76 | ) | (1.03 | ) | (0.17 | ) | (0.20 | ) | — | |||||||||||
Net Asset Value, End of Year | $ | 21.38 | $ | 21.69 | $ | 22.80 | $ | 19.31 | $ | 19.62 | ||||||||||
Total Return | 2.52 | % | (0.31 | )% | 19.05 | % | (0.54 | )% | (4.29 | )% | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of year (in 000’s) | $ | 738,854 | $ | 682,077 | $ | 418,227 | $ | 319,385 | $ | 222,421 | ||||||||||
Ratio to average net assets: | ||||||||||||||||||||
Gross expenses (e,f) | 1.20 | % | 1.28 | %(i) | 1.49 | % | 1.55 | % | 1.54 | % | ||||||||||
Net expenses (b,e) | 1.24 | % | 1.27 | %(i) | 1.35 | %(c) | 1.42 | % | 1.42 | % | ||||||||||
Net investment income (loss) net of reimbursement (recapture) and securities lending expense offset (e,h) | 0.60 | % | 0.58 | % | 0.58 | % | 0.92 | % | 0.57 | % | ||||||||||
Portfolio turnover rate | 368 | % | 275 | % | 143 | % | 563 | % | 541 | % |
Portfolio turnover is calculated for the Fund as a whole.
(a) | In 2016, 0.02% of the Fund’s total return consists of a voluntary reimbursement by the adviser for losses on investment transactions. Excluding this item, the total return would have been (0.56%). |
(b) | The ratio of expenses to average net assets includes interest expense which was 0.00%, 0.00%, 0.00%, 0.01%, and 0.00%, respectively. |
(c) | Effective July 1, 2017, Shareholder Servicing Fees for Investor Class shares decreased from 0.25% to 0.10% of average daily net assets. |
(d) | Per share amounts are calculated using the average shares method. |
(e) | Does not reflect the expenses of the underlying funds in which the Fund invests. |
(f) | Represents the ratio of expenses to average net assets absent securities lending expense offset, fee waivers and/or expense reimbursements by the Adviser. |
(g) | Per share amount is less than $0.01. |
(h) | 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. |
(i) | Effective March 30, 2018, the Operating Expense Limit for the Investor Class decreased from 1.27% to 1.17%. This excludes 0.10% of Shareholder Servicing Fees (See Note 3). |
See accompanying notes to financial statements.
89
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 | For the | ||||||||||||||||
Net Asset Value, Beginning of Period/Year | $ | 21.66 | $ | 22.78 | $ | 19.30 | $ | 19.62 | $ | 18.97 | ||||||||||
Income From Investment Operations: | ||||||||||||||||||||
Net investment income (d,h) | 0.10 | 0.11 | 0.11 | 0.17 | 0.07 | |||||||||||||||
Net gain (loss) from investments (both realized and unrealized) | 0.32 | (0.23 | ) | 3.54 | (0.29 | ) | 0.58 | (g) | ||||||||||||
Total from investment operations | 0.42 | (0.12 | ) | 3.65 | (0.12 | ) | 0.65 | |||||||||||||
Less Distributions: | ||||||||||||||||||||
From net investment income | (0.08 | ) | (0.09 | ) | (0.17 | ) | (0.20 | ) | — | |||||||||||
From net realized gains | (0.64 | ) | (0.91 | ) | — | — | — | |||||||||||||
Total Distributions | (0.72 | ) | (1.00 | ) | (0.17 | ) | (0.20 | ) | — | |||||||||||
Net Asset Value, End of Period/Year | $ | 21.36 | $ | 21.66 | $ | 22.78 | $ | 19.30 | $ | 19.62 | ||||||||||
Total Return | 2.37 | % | (0.46 | )% | 19.03 | % | (0.59 | )% | 3.43 | %(k) | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period/year (in 000’s) | $ | 177 | $ | 388 | $ | 347 | $ | 313 | $ | 19 | ||||||||||
Ratio to average net assets: | ||||||||||||||||||||
Gross expenses (e,f) | 1.38 | % | 1.43 | %(i) | 1.56 | % | 1.51 | % | 1.54 | %(j) | ||||||||||
Net expenses (c,e) | 1.42 | % | 1.42 | %(i) | 1.42 | % | 1.42 | % | 1.42 | %(j) | ||||||||||
Net investment income net of reimbursement (recapture) and securities lending expense offset (e,h) | 0.49 | % | 0.48 | % | 0.53 | % | 0.92 | % | 1.52 | %(j) | ||||||||||
Portfolio turnover rate | 368 | % | 275 | % | 143 | % | 563 | % | 541 | % |
Portfolio turnover is calculated for the Fund as a whole.
(a) | In 2016, 0.02% of the Fund’s total return consists of a voluntary reimbursement by the adviser for losses on investment transactions. Excluding this item, the total return would have been (0.61%). |
(b) | Since September 4, 2015 (Commencement of Operations). |
(c) | The ratio of expenses to average net assets includes interest expense which was 0.00%, 0.00%, 0.00%, 0.01% and 0.00%, respectively. |
(d) | Per share amounts are calculated using the average shares method. |
(e) | Does not reflect the expenses of the underlying funds in which the Fund invests. |
(f) | Represents the ratio of expenses to average net assets absent securities lending expense offset, fee waivers and/or expense reimbursements by the Adviser. |
(g) | 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. |
(h) | Recognition of net investment income by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests. The ratio does not include net investment income of the investment companies in which the Fund invests. |
(i) | Effective March 30, 2018, the Operating Expense Limit for the Advisor Class decreased from 1.42% to 1.17%. This excludes 0.25% of Distribution Fees (12b-1) (See Note 3). |
(j) | Annualized. |
(k) | Not annualized. |
See accompanying notes to financial statements.
90
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 | For the | |||||||||||||
Net Asset Value, Beginning of Period/Year | $ | 21.72 | $ | 22.84 | $ | 19.33 | $ | 19.21 | ||||||||
Income From Investment Operations: | ||||||||||||||||
Net investment income (loss) (c,g) | 0.10 | 0.14 | (0.14 | ) | 0.05 | |||||||||||
Net gain (loss) from investments (both realized and unrealized) | 0.39 | (0.20 | ) | 3.86 | 0.07 | (f) | ||||||||||
Total from investment operations | 0.49 | (0.06 | ) | 3.72 | 0.12 | |||||||||||
Less Distributions: | ||||||||||||||||
From net investment income | (0.14 | ) | (0.15 | ) | (0.21 | ) | — | |||||||||
From net realized gains | (0.64 | ) | (0.91 | ) | — | — | ||||||||||
Total Distributions | (0.78 | ) | (1.06 | ) | (0.21 | ) | — | |||||||||
Net Asset Value, End of Period/Year | $ | 21.43 | $ | 21.72 | $ | 22.84 | $ | 19.33 | ||||||||
Total Return | 2.70 | % | (0.21 | )% | 19.31 | % | 0.62 | %(i) | ||||||||
Ratios/Supplemental Data | ||||||||||||||||
Net assets, end of period/year (in 000’s) | $ | 62,964 | $ | 22,714 | $ | 6,633 | $ | 7 | ||||||||
Ratio to average net assets: | ||||||||||||||||
Gross expenses (d,e) | 1.13 | % | 1.19 | % | 1.35 | % | 1.31 | %(h) | ||||||||
Net expenses (b,d) | 1.08 | % | 1.14 | % | 1.17 | % | 1.17 | %(h) | ||||||||
Net investment income (loss) net of reimbursement (recapture) and securities lending expense offset (d,g) | 0.47 | % | 0.61 | % | (0.62 | )% | 1.09 | %(h) | ||||||||
Portfolio turnover rate | 368 | % | 275 | % | 143 | % | 563 | % |
Portfolio turnover is calculated for the Fund as a whole.
(a) | Since September 9, 2016 (Commencement of Operations). |
(b) | The ratio of expenses to average net assets includes interest expense which was 0.00%, 0.00%, 0.00% and 0.00%, respectively. |
(c) | Per share amounts are calculated using the average shares method. |
(d) | Does not reflect the expenses of the underlying funds in which the Fund invests. |
(e) | Represents the ratio of expenses to average net assets absent securities lending expense offset, fee waivers and/or expense reimbursements by the Adviser. |
(f) | Net realized and unrealized gain (loss) per share in this caption is a balancing amount necessary to reconcile the change in net asset value per share for the period, and may not reconcile with the aggregate gain (loss) on the Statements of Operations due to share transactions for the period. |
(g) | Recognition of net investment income 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) | Annualized. |
(i) | Not annualized. |
See accompanying notes to financial statements.
91
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 | $ | 9.13 | $ | 9.73 | $ | 9.56 | $ | 9.86 | $ | 10.11 | ||||||||||
Income From Investment Operations: | ||||||||||||||||||||
Net investment income (c,f) | 0.29 | 0.30 | 0.25 | 0.16 | 0.13 | |||||||||||||||
Net gain (loss) from investments (both realized and unrealized) | 0.31 | (0.64 | ) | 0.17 | (0.36 | ) | (0.25 | ) | ||||||||||||
Total from investment operations | 0.60 | (0.34 | ) | 0.42 | (0.20 | ) | (0.12 | ) | ||||||||||||
Less Distributions: | ||||||||||||||||||||
From net investment income | (0.29 | ) | (0.26 | ) | (0.25 | ) | (0.10 | ) | (0.13 | ) | ||||||||||
Total Distributions | (0.29 | ) | (0.26 | ) | (0.25 | ) | (0.10 | ) | (0.13 | ) | ||||||||||
Net Asset Value, End of Year | $ | 9.44 | $ | 9.13 | $ | 9.73 | $ | 9.56 | $ | 9.86 | ||||||||||
Total Return | 6.78 | % | (3.58 | )% | 4.39 | % | (2.03 | )% | (1.18 | )% | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of year (in 000’s) | $ | 272,400 | $ | 275,992 | $ | 200,521 | $ | 187,698 | $ | 169,725 | ||||||||||
Ratio to average net assets: | ||||||||||||||||||||
Gross expenses (d,e) | 1.03 | % | 1.09 | %(g) | 1.21 | % | 1.28 | % | 1.28 | % | ||||||||||
Net expenses (a,d) | 0.88 | % | 0.98 | %(g) | 1.18 | %(b) | 1.24 | % | 1.24 | % | ||||||||||
Net investment income net of reimbursement (recapture) and securities lending expense offset (d,f) | 3.13 | % | 3.16 | % | 2.54 | % | 1.58 | % | 1.25 | % | ||||||||||
Portfolio turnover rate | 167 | % | 155 | % | 175 | % | 205 | % | 324 | % |
Portfolio turnover is calculated for the Fund as a whole.
(a) | The ratio of expenses to average net assets includes interest expense which was 0.00%, 0.00%, 0.00%, 0.00% and 0.00%, respectively. |
(b) | Effective July 1, 2017, Shareholder Servicing Fees for Investor Class shares decreased from 0.25% to 0.10% of average daily net assets. |
(c) | Per share amounts are calculated using the average shares method. |
(d) | Does not reflect the expenses of the underlying funds in which the Fund invests. |
(e) | Represents the ratio of expenses to average net assets absent securities lending expense offset, fee waivers and/or expense reimbursements by the Adviser. |
(f) | Recognition of net investment income by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests. The ratio does not include net investment income of the investment companies in which the Fund invests. |
(g) | Effective March 30, 2018, the Operating Expense Limit for the Investor Class decreased from 1.09% to 0.99%. This excludes 0.10% of Shareholder Servicing Fees (See Note 3). |
See accompanying notes to financial statements.
92
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 | For the | |||||||||||||
Net Asset Value, Beginning of Period/Year | $ | 9.16 | $ | 9.76 | $ | 9.60 | $ | 9.84 | ||||||||
Income From Investment Operations: | ||||||||||||||||
Net investment income (c,f) | 0.26 | 0.29 | 0.13 | 0.13 | ||||||||||||
Net gain (loss) from investments (both realized and unrealized) | 0.32 | (0.63 | ) | 0.28 | (0.30 | ) | ||||||||||
Total from investment operations | 0.58 | (0.34 | ) | 0.41 | (0.17 | ) | ||||||||||
Less Distributions: | ||||||||||||||||
From net investment income | (0.27 | ) | (0.26 | ) | (0.25 | ) | (0.07 | ) | ||||||||
Total Distributions | (0.27 | ) | (0.26 | ) | (0.25 | ) | (0.07 | ) | ||||||||
Net Asset Value, End of Period/Year | $ | 9.47 | $ | 9.16 | $ | 9.76 | $ | 9.60 | ||||||||
Total Return | 6.53 | % | (3.58 | )% | 4.31 | % | (1.74 | )%(i) | ||||||||
Ratios/Supplemental Data | ||||||||||||||||
Net assets, end of period/year (in 000’s) | $ | 2,328 | $ | 1,587 | $ | 661 | $ | 6 | ||||||||
Ratio to average net assets: | ||||||||||||||||
Gross expenses (d,e) | 1.20 | % | 1.24 | %(g) | 1.32 | % | 1.35 | %(h) | ||||||||
Net expenses (b,d) | 1.05 | % | 1.04 | %(g) | 1.24 | % | 1.25 | %(h) | ||||||||
Net investment income net of reimbursement (recapture) and securities lending expense offset (d,f) | 2.79 | % | 3.07 | % | 1.37 | % | 1.70 | %(h) | ||||||||
Portfolio turnover rate | 167 | % | 155 | % | 175 | % | 205 | % |
Portfolio turnover is calculated for the Fund as a whole.
(a) | Since February 8, 2016 (Commencement of Operations). |
(b) | The ratio of expenses to average net assets includes interest expense which was 0.00%, 0.00%, 0.00% and 0.01%, respectively. |
(c) | Per share amounts are calculated using the average shares method. |
(d) | Does not reflect the expenses of the underlying funds in which the Fund invests. |
(e) | Represents the ratio of expenses to average net assets absent securities lending expense offset, fee waivers and/or expense reimbursements by the Adviser. |
(f) | Recognition of net investment income by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests. The ratio does not include net investment income of the investment companies in which the Fund invests. |
(g) | Effective March 30, 2018, the Operating Expense Limit for the Advisor Class decreased from 1.24% to 1.09%. This excludes 0.25% of Distribution Fees (12b-1) (See Note 3). |
(h) | Annualized. |
(i) | Not annualized. |
See accompanying notes to financial statements.
93
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 | For the | |||||||||||||
Net Asset Value, Beginning of Period/Year | $ | 9.13 | $ | 9.72 | $ | 9.57 | $ | 10.00 | ||||||||
Income From Investment Operations: | ||||||||||||||||
Net investment income (c,f) | 0.29 | 0.31 | 0.25 | 0.04 | ||||||||||||
Net gain (loss) from investments (both realized and unrealized) | 0.31 | (0.63 | ) | 0.17 | (0.47 | ) | ||||||||||
Total from investment operations | 0.60 | (0.32 | ) | 0.42 | (0.43 | ) | ||||||||||
Less Distributions: | ||||||||||||||||
From net investment income | (0.30 | ) | (0.27 | ) | (0.27 | ) | — | |||||||||
Total Distributions | (0.30 | ) | (0.27 | ) | (0.27 | ) | — | |||||||||
Net Asset Value, End of Period/Year | $ | 9.43 | $ | 9.13 | $ | 9.72 | $ | 9.57 | ||||||||
Total Return | 6.83 | % | (3.33 | )% | 4.41 | % | (4.30 | )%(h) | ||||||||
Ratios/Supplemental Data | ||||||||||||||||
Net assets, end of period/year (in 000’s) | $ | 8,040 | $ | 7,488 | $ | 8,084 | $ | 2,572 | ||||||||
Ratio to average net assets: | ||||||||||||||||
Gross expenses (d,e) | 0.95 | % | 0.99 | % | 1.03 | % | 1.09 | %(g) | ||||||||
Net expenses (b,d) | 0.80 | % | 0.86 | % | 0.99 | % | 0.99 | %(g) | ||||||||
Net investment income net of reimbursement (recapture) and securities lending expense offset (d,f) | 3.15 | % | 3.28 | % | 2.53 | % | 1.84 | %(g) | ||||||||
Portfolio turnover rate | 167 | % | 155 | % | 175 | % | 205 | % |
Portfolio turnover is calculated for the Fund as a whole.
(a) | Since September 9, 2016 (Commencement of Operations). |
(b) | The ratio of expenses to average net assets includes interest expense which was 0.00%, 0.00%, 0.00% and 0.00%, respectively. |
(c) | Per share amounts are calculated using the average shares method. |
(d) | Does not reflect the expenses of the underlying funds in which the Fund invests. |
(e) | Represents the ratio of expenses to average net assets absent securities lending expense offset, fee waivers and/or expense reimbursements by the Adviser. |
(f) | Recognition of net investment income by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests. The ratio does not include net investment income of the investment companies in which the Fund invests. |
(g) | Annualized. |
(h) | Not annualized. |
See accompanying notes to financial statements.
94
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 | For the | ||||||||||
Net Asset Value, Beginning of Period/Year | $ | 60.03 | $ | 59.15 | $ | 50.00 | ||||||
Income From Investment Operations: | ||||||||||||
Net investment income (c) | 1.47 | 1.18 | (e) | 0.66 | ||||||||
Net gain (loss) from investments (both realized and unrealized) | 0.27 | (h) | 1.61 | (e) | 9.01 | |||||||
Total from investment operations | 1.74 | 2.79 | 9.67 | |||||||||
Less Distributions: | ||||||||||||
From net investment income | (1.14 | ) | (1.13 | ) | (0.52 | ) | ||||||
From net realized gains | (2.05 | ) | (0.78 | ) | — | |||||||
Total Distributions | (3.19 | ) | (1.91 | ) | (0.52 | ) | ||||||
Net Asset Value, End of Period/Year | $ | 58.58 | $ | 60.03 | $ | 59.15 | ||||||
Total Return | 3.67 | % | 4.72 | % | 19.45 | %(g) | ||||||
Ratios/Supplemental Data | ||||||||||||
Net assets, end of period/year (in 000’s) | $ | 156,452 | $ | 39,909 | $ | 24,509 | ||||||
Ratio to average net assets: | ||||||||||||
Gross expenses (d) | 1.09 | % | 1.32 | % | 2.33 | %(f) | ||||||
Net expenses | 1.09 | % | 1.09 | % | 1.09 | %(b,f) | ||||||
Net investment income net of reimbursement (recapture) and securities lending expense offset | 2.59 | % | 1.93 | % | 1.24 | %(f) | ||||||
Portfolio turnover rate | 369 | % | 320 | % | 184 | %(g) |
Portfolio turnover is calculated for the Fund as a whole.
(a) | Since December 28, 2016 (Commencement of Operations). |
(b) | Effective July 1, 2017, Shareholder Servicing Fees for Investor Class shares decreased from 0.25% to 0.10% of average daily net assets. |
(c) | Per share amounts are calculated using the average shares method. |
(d) | Represents the ratio of expenses to average net assets absent securities lending expense offset, fee waivers and/or expense reimbursements by the Adviser. |
(e) | Due to the timing of shareholder transactions, and allocations of expenses among share classes, the per unit amounts presented may not coincide with the aggregate presentation on the Statements of Operations. |
(f) | Annualized. |
(g) | Not annualized. |
(h) | 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. |
See accompanying notes to financial statements.
95
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 | For the | ||||||||||
Net Asset Value, Beginning of Period/Year | $ | 60.00 | $ | 59.13 | $ | 54.31 | ||||||
Income From Investment Operations: | ||||||||||||
Net investment income (b) | 1.37 | 1.04 | (d) | 0.25 | ||||||||
Net gain (loss) from investments (both realized and unrealized) | 0.29 | (g) | 1.66 | (d) | 4.78 | |||||||
Total from investment operations | 1.66 | 2.70 | 5.03 | |||||||||
Less Distributions: | ||||||||||||
From net investment income | (1.05 | ) | (1.05 | ) | (0.21 | ) | ||||||
From net realized gains | (2.05 | ) | (0.78 | ) | — | |||||||
Total Distributions | (3.10 | ) | (1.83 | ) | (0.21 | ) | ||||||
Net Asset Value, End of Period/Year | $ | 58.56 | $ | 60.00 | $ | 59.13 | ||||||
Total Return | 3.50 | % | 4.57 | % | 9.28 | %(f) | ||||||
Ratios/Supplemental Data | ||||||||||||
Net assets, end of period/year (in 000’s) | $ | 27,452 | $ | 10,892 | $ | 3,353 | ||||||
Ratio to average net assets: | ||||||||||||
Gross expenses (c) | 1.24 | % | 1.48 | % | 2.12 | %(e) | ||||||
Net expenses | 1.24 | % | 1.24 | % | 1.24 | %(e) | ||||||
Net investment income net of reimbursement (recapture) and securities lending expense offset | 2.42 | % | 1.71 | % | 1.01 | %(e) | ||||||
Portfolio turnover rate | 369 | % | 320 | % | 184 | %(f) |
Portfolio turnover is calculated for the Fund as a whole.
(a) | Since June 20, 2017 (Commencement of Operations). |
(b) | Per share amounts are calculated using the average shares method. |
(c) | Represents the ratio of expenses to average net assets absent securities lending expense offset, fee waivers and/or expense reimbursements by the Adviser. |
(d) | Due to the timing of shareholder transactions, and allocations of expenses among share classes, the per unit amounts presented may not coincide with the aggregate presentation on the Statements of Operations. |
(e) | Annualized. |
(f) | Not annualized. |
(g) | 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. |
See accompanying notes to financial statements.
96
Horizon Defined Risk 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 | $ | 51.00 | $ | 50.00 | ||||
Income From Investment Operations: | ||||||||
Net investment income (b) | 0.51 | 0.44 | ||||||
Net gain (loss) from investments (both realized and unrealized) | 2.86 | 0.56 | ||||||
Total from investment operations | 3.37 | 1.00 | ||||||
Less Distributions: | ||||||||
From net investment income | (0.17 | ) | — | |||||
From net realized gains | (0.11 | ) | — | |||||
Total Distributions | (0.28 | ) | — | |||||
Net Asset Value, End of Period/Year | $ | 54.09 | $ | 51.00 | ||||
Total Return | 6.69 | % | 2.00 | %(e) | ||||
Ratios/Supplemental Data | ||||||||
Net assets, end of period/year (in 000’s) | $ | 163,322 | $ | 5,915 | ||||
Ratio to average net assets: | ||||||||
Gross expenses (c) | 1.20 | % | 2.28 | %(d) | ||||
Net expenses | 1.04 | % | 1.04 | %(d) | ||||
Net investment income net of reimbursement and securities lending expense offset | 0.99 | % | 0.94 | %(d) | ||||
Portfolio turnover rate | 10 | % | 89 | %(e) |
Portfolio turnover is calculated for the Fund as a whole.
(a) | Since December 28, 2017 (Commencement of Operations). |
(b) | Per share amounts are calculated using the average shares method. |
(c) | Represents the ratio of expenses to average net assets absent securities lending expense offset, fee waivers and/or expense reimbursements by the Adviser. |
(d) | Annualized. |
(e) | Not annualized. |
See accompanying notes to financial statements.
97
Horizon Defined Risk 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 | $ | 50.98 | $ | 50.58 | ||||
Income From Investment Operations: | ||||||||
Net investment income (b) | 0.42 | 0.31 | (d) | |||||
Net gain (loss) from investments (both realized and unrealized) | 2.87 | 0.09 | (d) | |||||
Total from investment operations | 3.29 | 0.40 | ||||||
Less Distributions: | ||||||||
From net investment income | (0.10 | ) | — | |||||
From net realized gains | (0.11 | ) | — | |||||
Total Distributions | (0.21 | ) | — | |||||
Net Asset Value, End of Period/Year | $ | 54.06 | $ | 50.98 | ||||
Total Return | 6.51 | % | 0.77 | %(f) | ||||
Ratios/Supplemental Data | ||||||||
Net assets, end of period/year (in 000’s) | $ | 22,807 | $ | 9,173 | ||||
Ratio to average net assets: | ||||||||
Gross expenses (c) | 1.37 | % | 2.10 | %(e) | ||||
Net expenses | 1.19 | % | 1.19 | %(e) | ||||
Net investment income net of reimbursement and securities lending expense offset | 0.80 | % | 0.75 | %(e) | ||||
Portfolio turnover rate | 10 | % | 89 | %(f) |
Portfolio turnover is calculated for the Fund as a whole.
(a) | Since February 2, 2018 (Commencement of Operations). |
(b) | Per share amounts are calculated using the average shares method. |
(c) | Represents the ratio of expenses to average net assets absent securities lending expense offset, fee waivers and/or expense reimbursements by the Adviser. |
(d) | Due to the timing of shareholder transactions, and allocations of expenses among share classes, the per unit amounts presented may not coincide with the aggregate presentation on the Statements of Operations. |
(e) | Annualized. |
(f) | Not annualized. |
See accompanying notes to financial statements.
98
Horizon Multi-Asset Income 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 | $ | 25.00 | ||
Income From Investment Operations: | ||||
Net investment income (b,g) | 0.17 | |||
Net gain (loss) from investments (both realized and unrealized) | 1.04 | |||
Total from investment operations | 1.21 | |||
Net Asset Value, End of Period | $ | 26.21 | ||
Total Return | 4.84 | %(e) | ||
Ratios/Supplemental Data | ||||
Net assets, end of period (in 000’s) | $ | 74,626 | ||
Ratio to average net assets: | ||||
Gross expenses (c,f) | 2.03 | %(d) | ||
Net expenses (f) | 1.09 | %(d) | ||
Net investment income net of reimbursement and securities lending expense offset (f,g) | 1.50 | %(d) | ||
Portfolio turnover rate | 89 | %(e) |
(a) | Since June 26, 2019 (Commencement of Operations). |
(b) | Per share amounts are calculated using the average shares method. |
(c) | Represents the ratio of expenses to average net assets absent securities lending expense offset, fee waivers and/or expense reimbursements by the Adviser. |
(d) | Annualized. |
(e) | Not annualized. |
(f) | Does not reflect the expenses of the underlying funds in which the Fund invests. |
(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.
99
Horizon Defensive Multi-Factor 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 | $ | 25.00 | ||
Income From Investment Operations: | ||||
Net investment income (b) | 0.12 | |||
Net gain (loss) from investments (both realized and unrealized) | 1.10 | |||
Total from investment operations | 1.22 | |||
Net Asset Value, End of Period | $ | 26.22 | ||
Total Return | 4.88 | %(e) | ||
Ratios/Supplemental Data | ||||
Net assets, end of period (in 000’s) | $ | 85,776 | ||
Ratio to average net assets: | ||||
Gross expenses (c) | 1.93 | %(d) | ||
Net expenses | 1.09 | %(d) | ||
Net investment income net of reimbursement and securities lending expense offset | 1.10 | %(d) | ||
Portfolio turnover rate | 0.11 | %(e) |
(a) | Since June 26, 2019 (Commencement of Operations). |
(b) | Per share amounts are calculated using the average shares method. |
(c) | Represents the ratio of expenses to average net assets absent securities lending expense offset, fee waivers and/or expense reimbursements by the Adviser. |
(d) | Annualized. |
(e) | Not annualized. |
See accompanying notes to financial statements.
100
Horizon Funds Notes to Financial Statements |
1. | ORGANIZATION |
The Horizon Active Asset Allocation Fund, Horizon Active Risk Assist® Fund, Horizon Active Income Fund, Horizon Active Dividend Fund, Horizon Defined Risk Fund, Horizon Multi-Asset Income Fund and Horizon Defensive Multi-Factor Fund (each a “Fund” and together the “Funds”) are each a series of shares of beneficial interest of Horizon Funds (the “Trust”), a Delaware business trust organized on May 21, 2015. The Horizon Active Asset Allocation Fund, Horizon Active Risk Assist® Fund, Horizon Active Income Fund, Horizon Defined Risk Fund, Horizon Multi-Asset Income Fund and Horizon Defensive Multi-Factor Fund are registered under the Investment Company Act of 1940, as amended (the “1940 Act”) as diversified, open-end management investment companies. The Horizon Active Dividend Fund is registered under the 1940 Act as a non-diversified, open-end management investment company. The investment objective of the Horizon Active Asset Allocation Fund is capital appreciation. The Fund presently offers Investor Class shares, Advisor Class shares and Institutional Class shares, which commenced operations on January 31, 2012, September 4, 2015 and September 9, 2016, respectively. The investment objective of the Horizon Active Risk® Assist Fund is to capture the majority of the returns associated with equity market investments, while mitigating downside risk through use of a risk overlay strategy. The Fund presently offers Investor Class shares, Advisor Class shares and Institutional Class shares, which commenced operations on August 28, 2014, September 4, 2015 and September 9, 2016, respectively. The investment objective of the Horizon Active Income Fund is income. The Fund presently offers Investor Class shares, Advisor Class shares and Institutional Class shares, which commenced operations on September 30, 2013, February 8, 2016 and September 9, 2016, respectively. The investment objective of the Horizon Active Dividend Fund is capital appreciation and current income. The Fund presently offers Investor Class shares and Advisor Class shares, which commenced operations on December 28, 2016 and June 20, 2017, respectively. The investment objective of the Horizon Defined Risk Fund is capital appreciation and capital preservation. The Fund presently offers Investor Class shares and Advisor Class shares, which commenced operations on December 28, 2017 and February 2, 2018, respectively. The investment objective of the Horizon Multi-Asset Income Fund is to seek to maximize current income with a secondary emphasis on capital appreciation. The Fund presently offers Investor Class shares which commenced operations on June 26, 2019. The investment objective of the Horizon Defensive Multi-Factor Fund is to capture the majority of the returns associated with domestic equity market investments, while mitigating downside risk through use of a risk overlay strategy. The Fund presently offers Investor Class shares which commenced operations on June 26, 2019.
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
101
Horizon Funds |
classified within Level 1 of the fair value hierarchy. If market quotations are not readily available, then securities are valued at fair value as determined by the Board of Trustees of the Trust (“the Board”) or its delegate. Short-term debt instruments with a remaining maturity of more than 60 days, intermediate and long-term bonds, convertible bonds, and other debt securities are generally valued on the basis of dealer supplied quotations or by a pricing system selected by the Adviser and approved by the Board. Where such prices are not available, valuations will be obtained from brokers who are market makers for such securities. However, in circumstances where the Adviser deems it appropriate to do so, the mean of the bid and asked prices for over-the-counter securities or the last available sale price for exchange-traded debt securities may be used. Where no last sale price for exchange traded debt securities is available, the mean of the bid and asked prices may be used. Short-term debt securities with a remaining maturity of 60 days or less are amortized to maturity, provided such valuations represent fair value. Investments in registered open-end investment companies (including money market funds), other than exchange-traded funds, are valued at their reported NAVs. Purchased and written options are valued primarily at the 4:15 ET composite mean of the bid and the ask.
Other securities and assets for which market quotations are not readily available or for which valuation cannot be provided, as described above, are valued as determined in good faith in accordance with procedures approved by the Board.
The Funds utilize various methods to measure the fair value of all of their investments on a recurring basis. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three levels of input are:
Level 1 – Unadjusted quoted prices in active markets for identical assets and liabilities that the Funds have the ability to access.
Level 2 – Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument in an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.
Level 3 – Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available, representing the Funds’ own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available.
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.
The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety, is determined based on the lowest level input that is significant to the fair value measurement in its entirety.
102
Horizon Funds |
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, 2019, for the Funds’ investments measured at value:
Horizon Active Asset Allocation Fund | ||||||||||||||||
Assets * | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Exchange Traded Funds | $ | 538,450,105 | $ | — | $ | — | $ | 538,450,105 | ||||||||
Common Stocks | 5,433,925 | — | — | 5,433,925 | ||||||||||||
Purchased Call Options | — | 560,300 | — | 560,300 | ||||||||||||
Purchased Put Options | — | 50,600 | — | 50,600 | ||||||||||||
Short Term Investments | 1,137,887 | — | — | 1,137,887 | ||||||||||||
Investments Purchased With Proceeds From Securities Lending | 97,306,964 | — | — | 97,306,964 | ||||||||||||
Total | $ | 642,328,881 | $ | 610,900 | $ | — | $ | 642,939,781 |
Liabilities * | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Written Call Options | $ | — | $ | 75,100 | $ | — | $ | 75,100 | ||||||||
Written Put Options | — | 165,750 | — | 165,750 | ||||||||||||
Total | $ | — | $ | 240,850 | $ | — | $ | 240,850 |
Horizon Active Risk Assist® Fund | ||||||||||||||||
Assets * | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Exchange Traded Funds | $ | 737,514,730 | $ | — | $ | — | $ | 737,514,730 | ||||||||
Common Stocks | 58,043,741 | — | — | 58,043,741 | ||||||||||||
Purchased Call Options | — | 497,000 | — | 497,000 | ||||||||||||
Purchased Put Options | — | 1,617,600 | — | 1,617,600 | ||||||||||||
Rights | 198 | — | — | 198 | ||||||||||||
Short Term Investments | 4,530,378 | — | — | 4,530,378 | ||||||||||||
Investments Purchased With Proceeds From Securities Lending | 45,510,621 | — | — | 45,510,621 | ||||||||||||
Total | $ | 845,599,668 | $ | 2,114,600 | $ | — | $ | 847,714,268 |
Liabilities * | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Written Call Options | $ | — | $ | 32,500 | $ | — | $ | 32,500 | ||||||||
Written Put Options | — | 1,020,000 | — | 1,020,000 | ||||||||||||
Total | $ | — | $ | 1,052,500 | $ | — | $ | 1,052,500 |
103
Horizon Funds |
Horizon Active Income Fund | ||||||||||||||||
Assets * | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Exchange Traded Funds | $ | 277,558,680 | $ | — | $ | — | $ | 277,558,680 | ||||||||
Short Term Investments | 4,916,965 | — | — | 4,916,965 | ||||||||||||
Investments Purchased With Proceeds From Securities Lending | 23,706,285 | — | — | 23,706,285 | ||||||||||||
Total | $ | 306,181,930 | $ | — | $ | — | $ | 306,181,930 |
Liabilities * | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Written Put Options | $ | — | $ | 14,500 | $ | — | $ | 14,500 | ||||||||
Total | $ | — | $ | 14,500 | $ | — | $ | 14,500 |
Horizon Active Dividend Fund | ||||||||||||||||
Assets * | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 169,241,493 | $ | — | $ | — | $ | 169,241,493 | ||||||||
Convertible Preferred Stocks | 1,437,767 | — | — | 1,437,767 | ||||||||||||
Purchased Call Options | — | 45,500 | — | 45,500 | ||||||||||||
Purchased Put Options | — | 122,412 | — | 122,412 | ||||||||||||
Short Term Investments | 14,825,163 | — | — | 14,825,163 | ||||||||||||
Investments Purchased With Proceeds From Securities Lending | 8,856,026 | — | — | 8,856,026 | ||||||||||||
Total | $ | 194,360,449 | $ | 167,912 | $ | — | $ | 194,528,361 |
Liabilities * | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Written Put Options | $ | — | $ | 29,325 | $ | — | $ | 29,325 | ||||||||
Total | $ | — | $ | 29,325 | $ | — | $ | 29,325 |
Horizon Defined Risk Fund | ||||||||||||||||
Assets * | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 185,938,596 | $ | — | $ | — | $ | 185,938,596 | ||||||||
Purchased Call Options | — | 22,750 | — | 22,750 | ||||||||||||
Purchased Put Options | — | 1,251,430 | — | 1,251,430 | ||||||||||||
Short Term Investments | 2,311,392 | — | — | 2,311,392 | ||||||||||||
Investments Purchased With Proceeds From Securities Lending | 878,890 | — | — | 878,890 | ||||||||||||
Total | $ | 189,128,878 | $ | 1,274,180 | $ | — | $ | 190,403,058 |
104
Horizon Funds |
Liabilities * | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Written Call Options | $ | — | $ | 3,766,430 | $ | — | $ | 3,766,430 | ||||||||
Written Put Options | — | 598,100 | — | 598,100 | ||||||||||||
Total | $ | — | $ | 4,364,530 | $ | — | $ | 4,364,530 |
Horizon Multi-Asset Income Fund | ||||||||||||||||
Assets * | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Exchange Traded Funds | $ | 46,293,553 | $ | — | $ | — | $ | 46,293,553 | ||||||||
Common Stocks | 15,907,480 | — | — | 15,907,480 | ||||||||||||
Convertible Preferred Stocks | 136,680 | — | — | 136,680 | ||||||||||||
Preferred Stocks | 10,151,974 | — | — | 10,151,974 | ||||||||||||
Short Term Investments | 1,115,094 | — | — | 1,115,094 | ||||||||||||
Total | $ | 73,604,781 | $ | — | $ | — | $ | 73,604,781 |
Liabilities * | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Written Call Options | $ | — | $ | 59,304 | $ | — | $ | 59,304 | ||||||||
Total | $ | — | $ | 59,304 | $ | — | $ | 59,304 |
Horizon Defensive Multi-Factor Fund | ||||||||||||||||
Assets * | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 83,115,424 | $ | — | $ | — | $ | 83,115,424 | ||||||||
Short Term Investments | 1,493,929 | — | — | 1,493,929 | ||||||||||||
Total | $ | 84,609,353 | $ | — | $ | — | $ | 84,609,353 |
* | 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 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.
105
Horizon Funds |
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, 2019, were as follows:
| Horizon Active | Horizon Active | Horizon Active | Horizon Active | Horizon | Horizon Multi- | ||||||||||||||||||
Purchased Options | $ | 1,635,605 | $ | 3,978,481 | $ | 128,500 | $ | 168,746 | $ | 2,058,345 | $ | — | ||||||||||||
Written Options | $ | 777,775 | $ | 1,038,857 | $ | 125,125 | $ | 34,585 | $ | 2,820,468 | $ | 29,652 |
The following is a summary of the location of derivative investments on the Funds’ Statements of Assets and Liabilities as of November 30, 2019:
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 | N/A | 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 |
Horizon Multi-Asset Income Fund | Equity Risk Contracts | N/A | Options Written, at Value |
106
Horizon Funds |
Horizon Active Asset Allocation Fund | ||||
Derivatives Investment Value | ||||
Purchased Options | $ | 610,900 | ||
Written Options | $ | 240,850 |
Horizon Active Risk Assist® Fund | ||||
Derivatives Investment Value | ||||
Purchased Options | $ | 2,114,600 | ||
Written Options | $ | 1,052,500 |
Horizon Active Income Fund | ||||
Derivatives Investment Value | ||||
Purchased Options | $ | — | ||
Written Options | $ | 14,500 |
Horizon Active Dividend Fund | ||||
Derivatives Investment Value | ||||
Purchased Options | $ | 167,912 | ||
Written Options | $ | 29,325 |
Horizon Defined Risk Fund | ||||
Derivatives Investment Value | ||||
Purchased Options | $ | 1,274,180 | ||
Written Options | $ | 4,364,530 |
Horizon Multi-Asset Income Fund | ||||
Derivatives Investment Value | ||||
Purchased Options | $ | — | ||
Written Options | $ | 59,304 |
The following is a summary of the location of derivative investments on the Funds’ Statements of Operations for the year ended November 30, 2019:
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 |
107
Horizon Funds |
Horizon Active Asset Allocation Fund | ||||
Realized gain/(loss) on derivatives recognized in the Statements of Operations | ||||
Derivative Investment Type |
| |||
Purchased Options | $ | (18,342,394 | ) | |
Written Options | 378,477 | |||
$ | (17,963,917 | ) |
Changes in unrealized appreciation/(depreciation) on derivatives recognized in the Statements of Operations | ||||
Purchased Options | $ | 943,706 | ||
Written Options | 139,332 | |||
$ | 1,083,038 |
Horizon Active Risk Assist® Fund | ||||
Realized gain/(loss) on derivatives recognized in the Statements of Operations | ||||
Derivative Investment Type |
| |||
Purchased Options | $ | (23,485,745 | ) | |
Written Options | 2,976,892 | |||
$ | (20,508,853 | ) |
Changes in unrealized appreciation/(depreciation) on derivatives recognized in the Statements of Operations | ||||
Purchased Options | $ | 1,041,667 | ||
Written Options | (505,647 | ) | ||
$ | 536,020 |
Horizon Active Income Fund | ||||
Realized gain/(loss) on derivatives recognized in the Statements of Operations | ||||
Derivative Investment Type |
| |||
Purchased Options | $ | (1,797,773 | ) | |
Written Options | (469,495 | ) | ||
$ | (2,267,268 | ) |
Changes in unrealized appreciation/(depreciation) on derivatives recognized in the Statements of Operations | ||||
Purchased Options | $ | 9,066 | ||
Written Options | 42,299 | |||
$ | 51,365 |
108
Horizon Funds |
Horizon Active Dividend Fund | ||||
Realized gain/(loss) on derivatives recognized in the Statements of Operations | ||||
Derivative Investment Type |
| |||
Purchased Options | $ | (166,941 | ) | |
Written Options | 285,846 | |||
$ | 118,905 |
Changes in unrealized appreciation/(depreciation) on derivatives recognized in the Statements of Operations | ||||
Purchased Options | $ | (203,444 | ) | |
Written Options | 36,794 | |||
$ | (166,650 | ) |
Horizon Defined Risk Fund | ||||
Realized gain/(loss) on derivatives recognized in the Statements of Operations | ||||
Derivative Investment Type |
| |||
Purchased Options | $ | (8,229,104 | ) | |
Written Options | (221,939 | ) | ||
$ | (8,451,043 | ) |
Changes in unrealized appreciation/(depreciation) on derivatives recognized in the Statements of Operations | ||||
Purchased Options | $ | (2,134,462 | ) | |
Written Options | (1,274,673 | ) | ||
$ | (3,409,135 | ) |
Horizon Multi-Asset Income Fund | ||||
Realized gain/(loss) on derivatives recognized in the Statements of Operations | ||||
Derivative Investment Type |
| |||
Purchased Options | $ | — | ||
Written Options | (131,642 | ) | ||
$ | (131,642 | ) |
Changes in unrealized appreciation/(depreciation) on derivatives recognized in the Statements of Operations | ||||
Purchased Options | $ | — | ||
Written Options | (18,601 | ) | ||
$ | (18,601 | ) |
109
Horizon Funds |
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, 2019:
Horizon Active Asset Allocation Fund | ||||||||||||||||||||||||
Liabilities: | Gross Amounts Not Offset | |||||||||||||||||||||||
Description | Gross Amounts | Gross Amounts | Net Amounts | Financial | Collateral | Net Amount | ||||||||||||||||||
Written Options | $ | 240,850 | (1) | $ | — | $ | 240,850 | $ | — | $ | (240,850 | )(2) | $ | — | ||||||||||
Total | $ | 240,850 | $ | — | $ | 240,850 | $ | — | $ | (240,850 | ) | $ | — |
Horizon Active Risk Assist® Fund | ||||||||||||||||||||||||
Liabilities: | Gross Amounts Not Offset | |||||||||||||||||||||||
Description | Gross Amounts | Gross Amounts | Net Amounts | Financial | Collateral | Net Amount | ||||||||||||||||||
Written Options | $ | 1,052,500 | (1) | $ | — | $ | 1,052,500 | $ | — | $ | (1,052,500 | )(2) | $ | — | ||||||||||
Total | $ | 1,052,500 | $ | — | $ | 1,052,500 | $ | — | $ | (1,052,500 | ) | $ | — |
Horizon Active Income Fund | ||||||||||||||||||||||||
Liabilities: | Gross Amounts Not Offset | |||||||||||||||||||||||
Description | Gross Amounts | Gross Amounts | Net Amounts | Financial | Collateral | Net Amount | ||||||||||||||||||
Written Options | $ | 14,500 | (1) | $ | — | $ | 14,500 | $ | — | $ | (14,500 | )(2) | $ | — | ||||||||||
Total | $ | 14,500 | $ | — | $ | 14,500 | $ | — | $ | (14,500 | ) | $ | — |
110
Horizon Funds |
Horizon Active Dividend Fund | ||||||||||||||||||||||||
Liabilities: | Gross Amounts Not Offset | |||||||||||||||||||||||
Description | Gross Amounts | Gross Amounts | Net Amounts | Financial | Collateral | Net Amount | ||||||||||||||||||
Written Options | $ | 29,325 | (1) | $ | — | $ | 29,325 | $ | — | $ | (29,325 | )(2) | $ | — | ||||||||||
Total | $ | 29,325 | $ | — | $ | 29,325 | $ | — | $ | (29,325 | ) | $ | — |
Horizon Defined Risk Fund | ||||||||||||||||||||||||
Liabilities: | Gross Amounts Not Offset | |||||||||||||||||||||||
Description | Gross Amounts | Gross Amounts | Net Amounts | Financial | Collateral | Net Amount | ||||||||||||||||||
Written Options | $ | 4,364,530 | (1) | $ | — | $ | 4,364,530 | $ | — | $ | (4,364,530 | )(2) | $ | — | ||||||||||
Total | $ | 4,364,530 | $ | — | $ | 4,364,530 | $ | — | $ | (4,364,530 | ) | $ | — |
Horizon Multi-Asset Income Fund | ||||||||||||||||||||||||
Liabilities: | Gross Amounts Not Offset | |||||||||||||||||||||||
Description | Gross Amounts | Gross Amounts | Net Amounts | Financial | Collateral | Net Amount | ||||||||||||||||||
Written Options | $ | 59,304 | (1) | $ | — | $ | 59,304 | $ | — | $ | (59,304 | )(2) | $ | — | ||||||||||
Total | $ | 59,304 | $ | — | $ | 59,304 | $ | — | $ | (59,304 | ) | $ | — |
(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
111
Horizon Funds |
interest income is recorded on the accrual basis. Long-term capital gain distributions from investment companies if any, are recorded separately from dividend income. Purchase discounts and premiums on securities are accreted and amortized over the life of the respective securities.
Expenses – Expenses of the Trust that are directly identifiable to a specific Fund are charged to that Fund. Expenses, which are not readily identifiable to a specific Fund, are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense and the relative sizes of the Funds in the Trust. Income, other non-class-specific expenses, and realized and unrealized gains and losses on investments are allocated to each class of shares based on its relative net assets.
Federal Income Taxes – It is each Fund’s policy to comply with all sections of the Internal Revenue Code applicable to regulated investment companies and to distribute all of its taxable income and gains to its shareholders and therefore, no provision for federal income tax has been made. Each Fund is treated as a separate taxpayer for federal income tax purposes.
The Funds recognize the tax benefits of uncertain tax positions only where the position is “more likely than not” to be sustained assuming examination by tax authorities. Management has analyzed the Funds’ tax positions, and has concluded that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions taken on returns filed for open tax years or expected to be taken on the Funds’ 2019 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, Horizon Defined Risk Fund and the Horizon Defensive Multi-Factor Fund and quarterly for the Horizon Active Income Fund, Horizon Active Dividend Fund and Horizon Multi-Asset Income Fundandare recorded on the ex-dividend date. The Funds will declare and pay net realized capital gains, if any, annually. The character of income and gains to be distributed is determined in accordance with income tax regulations, which may differ from GAAP.
Shareholder Services Plan – The Board has adopted a shareholder serving plan (the “Plan”) for Investor Class Shares of the Horizon Active Asset Allocation Fund, Horizon Active Risk Assist® Fund, and the Horizon Active Income Fund. The Plan allows the Funds to use part of their assets for shareholder servicing expenses. The Shareholder Servicing Expenses for the Investor Class shares of the Horizon Active Asset Allocation Fund, Horizon Active Risk Assist® Fund, and Horizon Active Income Fundare currently 0.10% of average daily net assets. For these services, the Funds pay a fee up to 0.10% of average net assets attributable to Investor Class shares of the Funds on an annualized basis. Payments under the Plan are made for the provision of support services to shareholders, including administrative or other shareholder support services such as responding to customer inquiries or assisting the Funds in establishing or maintaining shareholder accounts and records. The entities providing shareholder services may provide such services directly, or may arrange for such services to be provided by another entity that has a servicing relationship with one or more shareholders. However, payments under the Plan are an operating expense of each Fund that is not subject to the expense limitation provided by the Adviser. Payments under the Plan may vary and are determined by the respective Fund in its sole discretion, in amounts up to 0.10% of the Fund’s average daily net assets attributable to Investor Class shares of the Fund on an annualized basis.
Rule 12b-1 – The Trust, with respect to all Funds, has adopted a Distribution Plan for Advisor Class shares of each Fund, and also for Investor Class shares of the Horizon Active Dividend Fund, Horizon Defined Risk Fund, Horizon Multi-Asset Income Fund and the HorizonDefensive Multi-Factor 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
112
Horizon Funds |
fee to Quasar Distributors, LLC (the “Distributor”) at an annualized rate of up to 0.25% of the average daily net assets attributable to the applicable classes. During the year ended November 30, 2019 the distribution fees accrued for the Investor Class shares of the Horizon Active Dividend Fund, Horizon Defined Risk Fund, Horizon Multi-Asset Income Fund and the Horizon Defensive Multi-Factor 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, 2019, the Horizon Active Asset Allocation Fund, Horizon Active Risk Assist® Fund, Horizon Active Income Fund, Horizon Active Dividend Fund and Horizon Defined Risk Fund Advisor Class shares incurred $18,095, $668, $5,072, $49,648, and $33,936 respectively, pursuant to the plan. During the period ended November 30, 2019, the Horizon Active Dividend Fund, Horizon Defined Risk Fund, Horizon Multi-Asset Income Fund and Horizon Defensive Multi-Factor Fund Investor Class shares incurred $97,954, $82,334, $7,286 and $8,165 respectively, pursuant to the plan. Investor Class shares of the Horizon Active Asset Allocation Fund, Horizon Active Risk Assist® Fund and Horizon Active Income Fund and Institutional Class shares of all Funds do not pay any 12b-1 distribution fees.
Indemnification – The Trust indemnifies its officers and trustees for certain liabilities that may arise from the performance of their duties to the Trust. Additionally, in the normal course of business, the Funds enter into contracts that contain a variety of representations and warranties and which provide general indemnities. A Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred. However, based on experience, the Trust expects the risk of loss due to these warranties and indemnities to be remote.
3. | ADVISORY FEE AND OTHER RELATED PARTY TRANSACTIONS |
Pursuant to an Investment Advisory Agreement with each Fund (the “Advisory Agreements”), investment advisory services are provided to the Funds by Horizon Investments, LLC (the “Adviser”). Under the terms of the Advisory Agreements, the Adviser receives monthly fees calculated at an annual rate of 0.99% of the average daily net assets of the Horizon Active Asset Allocation Fund, 0.99% of the average daily net assets of the Horizon Active Risk Assist® Fund, 0.77% of the average daily net assets of the Horizon Active Income Fund, 0.75% of the average daily net assets of the Horizon Active Dividend Fund, 0.80% of the average daily net assets of the Horizon Defined Risk Fund, 0.75% of the average daily net assets of the Horizon Multi-Asset Income Fund and 0.80% of the average daily net assets of the Horizon Defensive Multi-Factor Fund.
Pursuant to the Expense Limitation Agreement (the “Waiver Agreement”), the Advisor has agreed, until March 31, 2021 for the Horizon Active Asset Allocation Fund, Horizon Active Risk Assist® Fund, Horizon Active Income Fund, Horizon Active Dividend Fund and Horizon Defined Risk Fund, and June 26, 2022 for the Horizon Multi-Asset Income Fund and Horizon Defensive Multi-Factor Fund 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
113
Horizon Funds |
Plan; payments by the Fund, if any, under the Trust’s Shareholder Services Plan; expenses paid with securities lending expense offset credits; taxes; and extraordinary expenses, such as litigation) incurred by a class of shares of the Fund in any fiscal year do not exceed the percentage of average daily net assets in the below table.
Fund | Investor | Advisor | Institutional | |||||||||
Horizon Active Asset Allocation Fund | 1.17 | % | 1.17 | % | 1.17 | % | ||||||
Horizon Active Risk Assist® Fund | 1.17 | % | 1.17 | % | 1.17 | % | ||||||
Horizon Active Income Fund | 0.99 | % | 0.99 | % | 0.99 | % | ||||||
Horizon Active Dividend Fund | 0.99 | % | 0.99 | % | 0.99 | % | ||||||
Horizon Defined Risk Fund | 0.94 | % | 0.94 | % | 0.94 | % | ||||||
Horizon Multi-Asset Income Fund | 0.99 | % | 0.99 | % | 0.99 | % | ||||||
Horizon Defensive Multi-Factor Fund | 0.99 | % | 0.99 | % | 0.99 | % |
Any fees waived or expenses reimbursed by the Adviser are subject to possible recoupment by the Adviser within 36 months after such fees have been waived or expenses reimbursed, if such recoupment can be achieved without exceeding the lower of the expense limit in place at the time of the waiver or reimbursement and the expense limit in place at the time of recoupment.
The table below contains the amounts of fee waivers and expense reimbursements subject to recapture by the Adviser through November 30 of the year indicated. During the year ended November 30, 2019, the Adviser recouped from Horizon Active Asset Allocation Fund, Horizon Active Risk Assist® Fund, Horizon Active Income Fund, Horizon Active Dividend Fund, Horizon Defined Risk Fund, Horizon Multi-Asset Income Fund, and the Horizon Defensive Multi-Factor Fund $437,156, $700,631, $0, $31,135, $0, $0, and $0, respectively.
Fund | 2020 | 2021 | 2022 | Total | ||||||||||||
Horizon Active Asset Allocation Fund | $ | 388,158 | 60,749 | — | $ | 448,907 | ||||||||||
Horizon Active Risk Assist® Fund | 198 | 82,124 | — | 82,322 | ||||||||||||
Horizon Active Dividend Fund | 32,831 | 68,437 | 8,680 | 109,948 | ||||||||||||
Horizon Defined Risk Fund | — | 87,874 | 153,545 | 241,419 | ||||||||||||
Horizon Multi-Asset Income Fund | — | — | 68,668 | 68,668 | ||||||||||||
Horizon Defensive Multi-Factor Fund | — | — | 68,606 | 68,606 |
For the year ended November 30, 2016, fees waived by the Adviser for the Horizon Active Asset Allocation Fund totaled $409,448, of which $337,405 was recovered by the Adviser, while the remaining $72,043 expired on November 30, 2019 and are no longer eligible for recovery by the Adviser.
For the year ended November 30, 2016, fees waived by the Adviser for the Horizon Active Risk Assist® Fund totaled $310,900, all of which was recovered by the Adviser.
For the year ended November 30, 2016, fees waived by the Adviser for the Horizon Active Income Fund totaled $94,696, all of which was recovered by the Adviser.
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
114
Horizon Funds |
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. Trustee fees will increase effective January 1, 2020.
Chief Compliance Officer Compensation – The Board of Trustees renewed the approval of a compensation policy with respect to the Trust’s Chief Compliance Officer pursuant to which the Horizon Funds and the Adviser each pay 50% of the Chief Compliance Officer’s salary, with the portion paid by the Horizon Funds allocated among the Funds in accordance with their relative net assets.
4. | INVESTMENT TRANSACTIONS |
The cost of purchases and proceeds from the sale of securities, other than short-term securities, for the year ended November 30, 2019, were as follows:
Fund | Purchases | Sales | ||||||
Horizon Active Asset Allocation Fund | $ | 1,443,799,976 | $ | 1,454,549,642 | ||||
Horizon Active Risk Assist® Fund | 3,132,645,621 | 3,069,595,380 | ||||||
Horizon Active Income Fund | 446,626,612 | 460,233,640 | ||||||
Horizon Active Dividend Fund | 511,578,667 | 397,372,709 | ||||||
Horizon Defined Risk Fund | 157,753,317 | 9,025,824 | ||||||
Horizon Multi-Asset Income Fund | 92,877,249 | 21,028,893 | ||||||
Horizon Defensive Multi-Factor Fund | 81,985,598 | 29,862 |
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”). The net income to which the Funds are entitled may be used to offset against costs and other charges incurred by the Funds with the Custodian or its affiliates or, as directed in writing by the Funds, other service providers. Investment Advisory Fees, Shareholder Servicing Fees - Investor Class, Distribution Fees (12b-1) - Advisor Class and Distribution Fees (12b-1) - Investor Class as noted in the Statements of Operations are not eligible to be offset by securities lending income. The securities lending agreement requires that loans are collateralized in an amount equal to at least 102% at the outset of the loan and at least 100%, at all times thereafter, of the value of any loaned securities. The Funds receive compensation in the form of fees and earn interest on the cash collateral. The amount of fees depends on a number of factors including the type of security and length of the loan. Securities lending income is disclosed in each Fund’s Statement of Operations as a securities lending credit. The Funds continue to receive interest payments or dividends on the securities loaned during the borrowing year. Gain or loss on the fair value of securities loaned that may occur during the term of the loan will be for the account of the Funds. The Funds have the right under the terms of the securities lending agreement to recall the securities from the borrower on demand. During the year ended November 30, 2019, 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
115
Horizon Funds |
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, 2019, 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 | $ | 94,489,626 | $ | 97,306,964 | ||||
Horizon Active Risk Assist® Fund | 44,375,912 | 45,510,621 | ||||||
Horizon Active Income Fund | 23,172,863 | 23,706,285 | ||||||
Horizon Active Dividend Fund | 8,525,050 | 8,856,026 | ||||||
Horizon Defined Risk Fund | 857,229 | 878,890 |
* | 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 disclosures in Note 2 (Offsetting of Financial Assets and Derivative Liabilities). |
6. | LINE OF CREDIT ARRANGEMENT |
Throughout the year ended November 30, 2019, and renewed effective March 1, 2019, the Funds, excluding the Horizon Multi-Asset Income Fund and the Horizon Defensive Multi-Factor Fund, are party to an unsecured line of credit arrangement with the Custodian. The Loan Agreement has an expiration date of February 27, 2020, 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 4.75% as of November 30, 2019, if they borrow. For the year ended November 30, 2019, the Horizon Active Asset Allocation Fund, Horizon Active Risk Assist® Fund, Horizon Active Income Fund and Horizon Defined Risk Fund had average borrowings of $284,737, $417,170, $81,512 and $2,707 and the weighted average interest rate on the line of credit borrowings was 5.25%, 5.01%, 4.97% and 4.80%, respectively. Between December 7, 2018 and December 9, 2018, the Horizon Active Asset Allocation Fund had borrowings of $24,204,000, on October 24, 2019 the Horizon Active Risk Assist® Fund had borrowings of $41,891,000, on October 23, 2019 the Horizon Active Income Fund had borrowings of $7,303,000, and on November 12, 2019 the Horizon Defined Risk Fund had borrowings of $783,000 which represent the largest borrowing amounts, respectively, during the year ended November 30, 2019. For the Horizon Active Dividend Fund, there were no borrowings on the line of credit during the year ended November 30, 2019. None of the Funds had outstanding borrowings on the line of credit as of November 30, 2019.
116
Horizon Funds |
7. | DISTRIBUTIONS TO SHAREHOLDERS AND TAX COMPONENTS OF CAPITAL |
The tax character of fund distributions paid for the years ended November 30, 2019 and November 30, 2018 was as follows:
For the year ended November 30, 2019 | ||||||||||||||||
Fund | Ordinary | Long-Term | Return of | Total | ||||||||||||
Horizon Active Asset Allocation Fund | $ | 25,841,890 | $ | 4,610,598 | $ | — | $ | 30,452,488 | ||||||||
Horizon Active Risk Assist® Fund | 23,830,449 | 2,024,864 | — | 25,855,313 | ||||||||||||
Horizon Active Income Fund | 8,785,949 | — | — | 8,785,949 | ||||||||||||
Horizon Active Dividend Fund | 4,426,133 | — | — | 4,426,133 | ||||||||||||
Horizon Defined Risk Fund | 131,365 | 8,881 | — | 140,246 | ||||||||||||
Horizon Multi-Asset Income Fund | — | — | — | — | ||||||||||||
Horizon Defensive Multi-Factor Fund | — | — | — | — |
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 | — | — | — | — |
The Horizon Multi-Asset Income Fund and the Horizon Defensive Multi-Factor Fund launched on June 26, 2019.
On December 20, 2019, the Funds paid the following per share income distributions:
Fund | Investor | Advisor | Institutional | |||||||||
Horizon Active Asset Allocation Fund | $ | 0.08602989 | $ | 0.06934418 | $ | 0.09400863 | ||||||
Horizon Active Risk Assist® Fund | 0.21823669 | 0.16378301 | 0.23428663 | |||||||||
Horizon Active Income Fund | 0.11121581 | 0.10544503 | 0.11397302 | |||||||||
Horizon Active Dividend Fund | 0.42452731 | 0.39528308 | — | |||||||||
Horizon Defined Risk Fund | 0.30062195 | 0.24467654 | — | |||||||||
Horizon Multi-Asset Income Fund | 0.20248988 | — | — | |||||||||
Horizon Defensive Multi-Factor Fund | 0.06652251 | — | — |
117
Horizon Funds |
On December 20, 2019, the Funds paid the following capital gains distributions from each class:
Fund | Short-Term* | Long-Term | ||||||
Horizon Active Asset Allocation Fund | $ | — | $ | — | ||||
Horizon Active Risk Assist® Fund | — | — | ||||||
Horizon Active Income Fund | — | — | ||||||
Horizon Active Dividend Fund | 0.21412 | — | ||||||
Horizon Defined Risk Fund | — | — | ||||||
Horizon Multi-Asset Income Fund | — | — | ||||||
Horizon Defensive Multi-Factor Fund | — | — |
* | 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, 2019, were as follows:
Fund | Cost of | Gross Tax | Gross Tax | Net Tax | ||||||||||||
Horizon Active Asset Allocation Fund | $ | 613,828,323 | $ | 30,838,382 | $ | (1,967,774 | ) | $ | 28,870,608 | |||||||
Horizon Active Risk Assist® Fund | 823,451,999 | 33,264,701 | (10,054,932 | ) | 23,209,769 | |||||||||||
Horizon Active Income Fund | 302,810,444 | 5,377,168 | (2,020,182 | ) | 3,356,986 | |||||||||||
Horizon Active Dividend Fund | 189,467,426 | 7,333,553 | (2,302,020 | ) | 5,031,533 | |||||||||||
Horizon Defined Risk Fund | 164,094,835 | 28,161,242 | (6,217,546 | ) | 21,943,696 | |||||||||||
Horizon Multi-Asset Income Fund | 72,818,022 | 1,217,483 | (490,028 | ) | 727,455 | |||||||||||
Horizon Defensive Multi-Factor Fund | 83,439,286 | 2,505,505 | (1,335,438 | ) | 1,170,067 |
118
Horizon Funds |
As of November 30, 2019, 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 | $ | 648,872 | $ | — | $ | — | $ | (7,453,722 | ) | $ | — | $ | 28,870,608 | $ | 22,065,758 | |||||||||||||
Horizon Active Risk Assist® Fund | 1,946,264 | — | — | (14,913,576 | ) | — | 23,209,769 | 10,242,457 | ||||||||||||||||||||
Horizon Active Income Fund | 2,181,047 | — | — | (19,067,247 | ) | — | 3,356,986 | (13,529,214 | ) | |||||||||||||||||||
Horizon Active Dividend Fund | 1,640,059 | — | — | — | — | 5,031,533 | 6,671,592 | |||||||||||||||||||||
Horizon Defined Risk Fund | 911,886 | — | — | (11,199,986 | ) | — | 21,943,696 | 11,655,595 | ||||||||||||||||||||
Horizon Multi-Asset Income Fund | 140,968 | — | — | (253,819 | ) | — | 727,455 | 614,604 | ||||||||||||||||||||
Horizon Defensive Multi-Factor Fund | 92,287 | 3,166 | — | — | — | 1,170,067 | 1,265,520 |
The difference between book and tax basis unrealized appreciation/depreciation is attributable to mark to market and/or the tax deferral of losses on various investments.
At November 30, 2019, 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 | $ | 7,398,613 | $ | — | $ | 7,398,613 | ||||||
Horizon Active Risk Assist® Fund | 14,420,632 | — | 14,420,632 | |||||||||
Horizon Active Income Fund | 16,703,172 | 2,364,075 | 19,067,247 | |||||||||
Horizon Active Dividend Fund | — | — | — | |||||||||
Horizon Defined Risk Fund | 4,647,487 | 6,552,499 | 11,199,986 | |||||||||
Horizon Multi-Asset Income Fund | 122,177 | — | 122,177 | |||||||||
Horizon Defensive Multi-Factor Fund | — | — | — |
The Funds did not utilize any capital loss carryforwards during the fiscal year.
119
Horizon Funds |
Additionally, GAAP requires that certain components of net assets relating to permanent differences be reclassified between financial and tax reporting. These reclassifications have no effect on net assets or net asset value per share. These reclassifications were due to the use of equalization. Each Fund may use earnings and profits distributed to shareholders on redemption of shares as part of the dividends paid deduction. For the year ended November 30, 2019, the following table shows the reclassifications made:
Fund | Distributable | Paid In | ||||||
Horizon Active Asset Allocation Fund | $ | — | $ | — | ||||
Horizon Active Risk Assist® Fund | — | — | ||||||
Horizon Active Income Fund | 3,363 | (3,363 | ) | |||||
Horizon Active Dividend Fund | (188,319 | ) | 188,319 | |||||
Horizon Defined Risk Fund | (707 | ) | 707 | |||||
Horizon Multi-Asset Income Fund | 2,272 | (2,272 | ) | |||||
Horizon Defensive Multi-Factor Fund | 2,272 | (2,272 | ) |
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, 2019, the Funds had omnibus shareholder accounts (comprised of a group of individual shareholders), which amounted to more than 25% of the total shares outstanding of the respective Fund. There 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.
120
Horizon Funds |
9. INVESTMENTS IN AFFILIATES
An affiliated person of the Horizon Active Asset Allocation Fund, as defined by the 1940 Act, may include any company in which the Fund owns five percent or more of its outstanding voting shares. Holdings and transactions in these affiliated companies for the year ended November 30, 2019 are as follows:
Security Name | Value at | Value of | Value of | Net Change | Net Realized | Dividend | Value at | Shares | ||||||||||||||||||||||||
iShares Emerging Markets Dividend ETF* | $ | 25,312,198 | $ | 4,214,523 | $ | (30,667,810 | ) | $ | (110,133 | ) | $ | 1,251,222 | $ | 255,948 | $ | — | — | |||||||||||||||
iShares MSCI BRIC ETF* | — | 26,059,232 | (26,700,923 | ) | — | 641,691 | — | — | — | |||||||||||||||||||||||
iShares MSCI Europe Small-Cap ETF* | — | 25,513,122 | (25,696,652 | ) | — | 183,530 | — | — | — | |||||||||||||||||||||||
Janus Henderson Small/Mid Cap Growth Alpha ETF* | — | 5,264,790 | (1,615,439 | ) | 398,122 | 116,069 | 8,403 | 4,163,542 | 88,080 | |||||||||||||||||||||||
SPDR S&P Emerging Markets Dividend ETF* | — | 24,695,073 | (24,596,999 | ) | — | (98,074 | ) | — | — | — | ||||||||||||||||||||||
X-trackers S&P 500 ESG ETF | — | 5,353,500 | — | 494,500 | — | — | 5,848,000 | ** | 215,000 | |||||||||||||||||||||||
$ | 25,312,198 | $ | 91,100,240 | $ | (109,277,823 | ) | $ | 782,489 | $ | 2,094,438 | $ | 264,351 | $ | 10,011,542 | 303,080 |
121
Horizon Funds |
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, 2019 are as follows:
Security Name | Value at | Value of | Value of | Net Change | Net Realized | Dividend | Value at | Shares | ||||||||||||||||||||||||
iShares Emerging Markets Dividend ETF* | $ | 27,069,355 | $ | 17,138,178 | $ | (44,253,097 | ) | $ | (119,944 | ) | $ | 165,508 | $ | 287,747 | $ | — | — | |||||||||||||||
iShares MSCI ACWI ex-US ETF* | — | 159,060,496 | (160,960,756 | ) | — | 1,900,260 | — | — | — | |||||||||||||||||||||||
iShares MSCI BRIC ETF* | — | 38,696,593 | (39,539,720 | ) | — | 843,127 | — | — | — | |||||||||||||||||||||||
iShares MSCI Europe Small-Cap ETF* | — | 37,918,624 | (38,052,616 | ) | — | 133,992 | — | — | — | |||||||||||||||||||||||
SPDR Portfolio S&P 500 Value ETF* | 130,721,623 | 143,683,535 | (173,524,326 | ) | 9,705,808 | (7,987,910 | ) | 2,441,464 | 102,598,730 | 3,009,643 | ||||||||||||||||||||||
SPDR S&P Emerging Markets Dividend ETF* | — | 32,224,365 | (31,936,996 | ) | — | (287,369 | ) | — | — | — | ||||||||||||||||||||||
X-Trackers Russell 1000 Comprehensive Factor ETF | — | 43,859,424 | (4,628,302 | ) | 4,590,408 | 162,879 | 475,150 | 43,984,409 | ** | 1,226,542 | ||||||||||||||||||||||
X-Trackers Russell 1000 US QARP ETF | 8,090,470 | 25,398,830 | (13,112,876 | ) | 2,890,581 | (72,576 | ) | 382,613 | 23,194,429 | ** | 790,001 | |||||||||||||||||||||
X-Trackers MSCI All China Equity ETF* | — | 5,005,336 | (4,621,496 | ) | — | (383,840 | ) | — | — | — | ||||||||||||||||||||||
X-Trackers S&P 500 ESG ETF | — | 8,540,700 | — | 788,900 | — | — | 9,329,600 | ** | 343,000 | |||||||||||||||||||||||
$ | 165,881,448 | $ | 511,526,081 | $ | (510,630,185 | ) | $ | 17,855,753 | $ | (5,525,929 | ) | $ | 3,586,974 | $ | 179,107,168 | 5,369,186 |
122
Horizon Funds |
An affiliated person of the Horizon Active Income Fund, as defined by the 1940 Act, may include any company in which the Fund owns five percent or more of its outstanding voting shares. Holdings and transactions in these affiliated companies for the year ended November 30, 2019 are as follows:
Security Name | Value at | Value of | Value of | Net Change | Net Realized | Dividend | Value at | Shares | ||||||||||||||||||||||||
Janus Henderson Mortgage-Backed Securities ETF* | $ | — | $ | 7,026,340 | $ | — | $ | 250,346 | $ | — | $ | 163,183 | $ | 7,276,686 | 138,696 | |||||||||||||||||
WisdomTree Yield Enhanced U.S. Aggregate Bond Fund* | — | 54,748,579 | (41,311,203 | ) | 657,923 | 2,647,409 | 1,083,363 | 16,742,708 | 320,312 | |||||||||||||||||||||||
X-Trackers Short Duration High Yield Bond ETF | 7,034,162 | — | (2,667,672 | ) | 92,473 | (93,464 | ) | 416,836 | 4,365,499 | ** | 90,001 | |||||||||||||||||||||
$ | 7,034,162 | $ | 61,774,919 | $ | (43,978,875 | ) | $ | 1,000,742 | $ | 2,553,945 | $ | 1,663,382 | $ | 28,384,893 | 549,009 |
* | Issuer was no longer an affiliate as of November 30, 2019. |
** | The value of these securities agrees to the Investments in Affiliated Securities, at Value in the Statements of Assets and Liabilities. |
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 the Trustee compensation increase noted in Note 3, the distributions noted in Note 7, and those noted below.
The Horizon ESG Defensive Core Fund launched on December 26, 2019.
123
Horizon Funds Disclosure of Fund Expenses (Unaudited) |
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 Paid |
Horizon Active Asset Allocation - Investor Class 1 | 1.22% | $ 1,000.00 | $ 1,105.20 | $ 6.44 | $ 1,018.95 | $ 6.17 |
Horizon Active Asset Allocation - Advisor Class 1 | 1.16% | $ 1,000.00 | $ 1,104.80 | $ 6.12 | $ 1,019.25 | $ 5.87 |
Horizon Active Asset Allocation - Institutional Class 1 | 1.20% | $ 1,000.00 | $ 1,105.90 | $ 6.34 | $ 1,019.05 | $ 6.07 |
Horizon Active Risk Assist® - Investor Class 1 | 1.19% | $ 1,000.00 | $ 1,084.20 | $ 6.22 | $ 1,019.10 | $ 6.02 |
Horizon Active Risk Assist® - Advisor Class 1 | 1.19% | $ 1,000.00 | $ 1,083.70 | $ 6.22 | $ 1,019.10 | $ 6.02 |
Horizon Active Risk Assist® - Institutional Class 1 | 1.12% | $ 1,000.00 | $ 1,085.10 | $ 5.85 | $ 1,019.45 | $ 5.67 |
Horizon Active Income - Investor Class 1 | 0.93% | $ 1,000.00 | $ 1,025.90 | $ 4.72 | $ 1,020.41 | $ 4.71 |
Horizon Active Income - Advisor Class 1 | 0.93% | $ 1,000.00 | $ 1,025.30 | $ 4.72 | $ 1,020.41 | $ 4.71 |
Horizon Active Income - Institutional Class 1 | 0.93% | $ 1,000.00 | $ 1,027.20 | $ 4.73 | $ 1,020.41 | $ 4.71 |
Horizon Active Dividend - Investor Class 1 | 1.01% | $ 1,000.00 | $ 1,085.60 | $ 5.28 | $ 1,020.00 | $ 5.11 |
Horizon Active Dividend - Advisor Class 1 | 1.01% | $ 1,000.00 | $ 1,084.60 | $ 5.28 | $ 1,020.00 | $ 5.11 |
Horizon Defined Risk - Investor Class 1 | 0.94% | $ 1,000.00 | $ 1,075.30 | $ 4.89 | $ 1,020.36 | $ 4.76 |
Horizon Defined Risk - Advisor Class 1 | 0.94% | $ 1,000.00 | $ 1,074.50 | $ 4.89 | $ 1,020.36 | $ 4.76 |
Horizon Multi-Asset Income - Investor Class 2 | 0.99% | $ 1,000.00 | $ 1,048.40 | $ 4.36 | $ 1,020.10 | $ 5.01 |
Horizon Defensive Multi-Factor - Investor Class 2 | 0.99% | $ 1,000.00 | $ 1,048.80 | $ 4.36 | $ 1,020.10 | $ 5.01 |
1 | Expenses Paid During the Period are equal to the Funds’ annualized expense ratio, multiplied by the average account value over the period, multiplied by 183 days, and divided by 365 (to reflect the number of days in the period). |
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 157 days, and divided by 365 (to reflect the number of days in the period). Hypothetical Expenses are multiplied by 183 days, and divided by 365 (to reflect the number of days in the period). |
3 | The expense ratio excludes securities lending offset. |
124
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, Horizon Defined Risk Fund, Horizon Multi-Asset Income Fund, and Horizon Defensive Multi-Factor Fund (the “Funds”) as of November 30, 2019, 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 four 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, 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 periods in the period then ended for Horizon Active Dividend 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 Defined Risk Fund, and the related statements of operations and changes in net assets, including the related notes, and the financial highlights for the period June 26, 2019 (commencement of operations) through November 30, 2019, for Horizon Multi-Asset Income Fund and Horizon Defensive Multi-Factor 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 each of the Funds as of November 30, 2019, 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 period ended November 30, 2015, 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, 2019, by correspondence with the
125
Horizon Funds |
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, 2020
126
Horizon Funds |
At an in-person meeting held on July 23, 2019, at which all of the Trustees were present, the Board of Trustees (the “Board”), including the Trustees who are not “interested persons,” as defined by the Investment Company Act of 1940 (the “1940 Act”), of the Trust (the “Independent Trustees”), voting separately, reviewed and approved the continuance of each Investment Advisory Agreement (each, an “Advisory Agreement”, and together the “Advisory Agreements”) between the Trust and the Adviser for each of the Horizon Active Allocation Fund, the Horizon Active Risk Assist Fund, the Horizon Active Income Fund the Horizon Active Dividend Fund and the Horizon Defined Risk Fund (each a “Fund” and together the “Funds”). In the course of their deliberations, the Board was advised by independent legal counsel. The Board received and reviewed a substantial amount of information provided by the Adviser in response to requests of the Board and counsel.
In considering the approval of the renewal and continuance of the Advisory Agreements and reaching their conclusions with respect thereto, the Board reviewed a memorandum, provided by independent legal counsel, which summarized the Board’s fiduciary duties and responsibilities in reviewing and approving the Advisory Agreements and other matters to be considered by the Board at the Meeting and the types of information that should be reviewed by them and their responsibilities in making an informed decision regarding the approval of the Advisory Agreements. The Board also reviewed and analyzed various factors that they determined were relevant, including: (i) the nature, extent and quality of the services to be provided by the Adviser to each Fund; (ii) the costs of the services to be provided and the profits to be realized by the Adviser and its affiliates from the relationship with the Funds; (iii) the investment performance of each Funds and the Adviser; (iv) the extent to which economies of scale will be realized as each Fund grows; and (iv) whether the fee levels reflect these economies of scale to the benefit of each Fund’s shareholders, including the following:
Nature, extent and quality of the services to be provided by the Adviser to the Funds. In this regard, the Board considered information regarding the services to be provided to the Funds, the experience, qualifications and key personnel of the Adviser, the Adviser’s compliance program, the Adviser’s sales force, the Adviser’s assets under management and relationships with other registered investment advisers for distribution purposes. The Board reviewed the Adviser’s financial statements and considered the Adviser’s financial condition.
The Investment Performance of the Funds and the Adviser. In this regard, the Board considered each Fund’s past performance, including comparisons to peer funds. The Board also considered each Fund’s portfolio turnover, use of soft dollars and best execution policies. The Board also considered the performance of other accounts managed by the Adviser.
Costs of the services to be provided and the profits to be realized by the Adviser and its affiliates from the relationship with each Fund. In this regard, the Board considered the management fees proposed to be charged to each Fund, and each Fund’s total expense ratios, each as compared to each Fund’s peer group, and took into account the differences in managing the Funds compared to other products that the Adviser offers, as well as the fees charged by Horizon to its separately managed accounts. The Board considered the terms and conditions of each Advisory Agreement, including the management fee and the services to be provided by the Adviser thereunder. The Board also considered the indirect benefits that the Adviser receives through soft dollars, cross sales of other products the Adviser sells and third-party marketing materials.
The extent to which economies of scale will be realized as the Fund grows and whether the fee levels reflect these economies of scale to the benefit of shareholders. In this regard, the Board considered that the Adviser was still waiving a portion of its advisory fees under the Expense Limitation Agreements with each Fund and considered how these waivers supported the Funds, noting that the Adviser expected to receive its full fees from all of the Funds as the Funds continue to grow. The Board considered the terms of the expense limitation agreement for each Fund, and the fact that the Adviser had agreed to continue the expense limitation agreements through at least March 31, 2021, and noted that the expense waivers and reimbursements were subject to recoupment during a three-year look-back window. The Board also considered that the Adviser agreed to consider implementing breakpoints in its management fee after such time as each Fund grows to a size that the Adviser is receiving its full fee.
After full consideration of the above factors as well as other factors, the Board unanimously approved the continuance and renewal of each Advisory Agreement.
127
Horizon Funds |
At an in-person meeting held on October 21, 2019, at which all of the Trustees were present, the Board of Trustees (the “Board”), including the Trustees who are not “interested persons,” as defined by the Investment Company Act of 1940 (the “1940 Act”), of the Trust (the “Independent Trustees”), voting separately, reviewed and approved a proposed Sub-Advisory Agreement (the “Sub-Advisory Agreement”) by and among the Adviser, the Trust, on behalf of the Horizon ESG Defensive Core Fund (the “ESG Fund”), and DWS Investment Management Americas, Inc. (“DIMA”). In the course of their deliberations, the Board was advised by independent legal counsel. The Board received and reviewed a substantial amount of information provided by DIMA and the Adviser in response to requests of the Board and counsel.
In considering the approval of the Sub-Advisory Agreement and reaching their conclusions with respect thereto, the Board was advised by independent legal counsel of the Board’s fiduciary duties and responsibilities in reviewing and approving the Sub-Advisory Agreement and the types of information that should be reviewed by them and their responsibilities in making an informed decision regarding the approval of the Sub-Advisory Agreement. The Board also reviewed and analyzed various factors that they determined were relevant, including: (i) the nature, extent and quality of the services to be provided by DIMA to the ESG Fund; (ii) the costs of the services to be provided and the profits to be realized by DIMA and its affiliates from the relationship with the ESG Fund; (iii) the investment performance of DIMA in managing products, including other registered investment companies, with strategies and objectives similar to the ESG Fund; (iv) the extent to which economies of scale will be realized as the ESG Fund grows; and (iv) whether the fee levels reflect these economies of scale to the benefit of the ESG Fund’s shareholders, including the following:
Nature, extent and quality of the services to be provided by DIMA to the ESG Fund. In this regard, the Board considered information regarding the services to be provided to the ESG Fund; the experience, qualifications and key personnel of DIMA, including with respect to ESG investments; DIMA’s compliance program; DIMA’s sales force; and DIMA’s assets under management. The Board reviewed financial statements for DIMA”s parent company, DWS Group Gmbh & Co. KGaA, and considered DIMA’s financial condition.
The Investment Performance of DIMA. In this regard, the Board considered DIMA’s past performance in managing other products, including other registered investment companies, with strategies and objectives similar to the ESG Fund, including comparisons to peer funds.
Costs of the services to be provided and the profits to be realized by DIMA and its affiliates from the relationship with the ESG Fund. In this regard, the Board considered the sub-advisory fees proposed to be paid to DIMA, noting that the fees would be paid by the Adviser out of the Adviser’s management fee. The Board considered the terms and conditions of the Sub-Advisory Agreement, including the sub-advisory fee and the services to be provided by DIMA thereunder. The Board also considered the indirect benefits that DIMA receives through soft dollars, cross sales of other products DIMA sells and third-party marketing materials.
The extent to which economies of scale will be realized as the ESG Fund grows and whether the fee levels reflect these economies of scale to the benefit of shareholders. In this regard, the Board considered that the proposed sub-advisory fee under the Sub-Advisory Agreement included a break-point for assets in excess of $150 million. The Board also considered the details of the proposed expense limitation agreement between the ESG Fund and the Adviser, including that the Adviser had agreed to continue the expense limitation agreement through at least December 31, 2022, and noted that the expense waivers and reimbursements were subject to recoupment during a 36 month look-back window.
After full consideration of the above factors as well as other factors, the Board unanimously approved the Sub-Advisory Agreement.
128
Horizon Funds |
Qualified Dividend Income/Dividends Received Deduction
For the fiscal year ended November 30, 2019, 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 | 33.56% |
Horizon Active Risk Assist® Fund | 41.44% |
Horizon Active Income Fund | 9.09% |
Horizon Active Dividend Fund | 58.97% |
Horizon Defined Risk Fund | 100.00% |
Horizon Multi-Asset Income Fund | 0.00% |
Horizon Defensive Multi-Factor 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 | 12.40% |
Horizon Active Risk Assist® Fund | 16.64% |
Horizon Active Income Fund | 5.15% |
Horizon Active Dividend Fund | 34.25% |
Horizon Defined Risk Fund | 100.00% |
Horizon Multi-Asset Income Fund | 0.00% |
Horizon Defensive Multi-Factor 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 | 87.61% |
Horizon Active Risk Assist® Fund | 82.24% |
Horizon Active Income Fund | 0.00% |
Horizon Active Dividend Fund | 50.06% |
Horizon Defined Risk Fund | 39.25% |
Horizon Multi-Asset Income Fund | 0.00% |
Horizon Defensive Multi-Factor Fund | 0.00% |
129
Horizon Funds |
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). | 7 | Trustee, AdvisorOne Funds |
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). | 7 | None |
Thomas W. Okel Year of Birth: 1962 | Trustee; Indefinite Term of Office | Executive Director (2011-2019), Catawba Lands Conservancy; Global Head of Syndicated Capital Markets (1998-2010), Bank of America Merrill Lynch. | 7 | Trustee, Barings Funds Trust (8 portfolios); Trustee, Barings Global Short Duration High Yield Fund (1 portfolio). Trustee, Barings BDC, Inc. |
* | The address for each Trustee and officer is 6210 Ardrey Kell Road, Suite 300, Charlotte, North Carolina 28277. |
130
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 | President and CEO of Horizon Investments, LLC | 7 | None |
Matthew Chambers Year of Birth: 1976 | Vice President, Chief Compliance Officer and Secretary; One Year Term of Office | 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 | Head of Finance and Business Systems of Horizon Investments, LLC, August 2016-present; Co-Founder, Catamaran Investment Partners, 2015-August 2016; Principal Intersection Partners, 2011-2015. | Not Applicable | Not Applicable |
* | The address for each Trustee and officer is 6210 Ardrey Kell Road, Suite 300, Charlotte, North Carolina 28277. |
** | Mr. Cannon is considered an “interested person” of the Trust, as defined in the 1940 Act, because of his current position with the Adviser. |
The Statement of Additional Information includes additional information about the Funds’ Trustees and is available free of charge upon request by calling the Funds toll free at (866) 371-2399.
131
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 |
132
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
133
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 at http://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 or Part F of Form N-PORT (beginning with filings after March 31, 2019). Form N-Q or Part F of Form N-PORT is available on the SEC’s website at http://www.sec.gov. The information on Form N-Q or Part F of Form N-PORT 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, including review of the registrant's tax returns and taxable income and excise calculations and year to date estimates for book-to-tax differences. The following table details the aggregate fees billed or expected to be billed for each of the last two fiscal years for audit fees, audit-related fees, tax fees and other fees by the principal accountant.
FYE 11/30/2019 | FYE 11/30/2018 | |
Audit Fees | $90,000 | $70,000 |
Audit-Related Fees | $0 | $0 |
Tax Fees | $21,000 | $15,000 |
All Other Fees | $0 | $0 |
The percentage of fees billed by Cohen & Company, Ltd. for the fiscal years ended November 30, 2019 and November 30, 2018, respectively, applicable to non-audit services pursuant to a waiver of the pre-approval requirement was as follows:
FYE 11/30/2019 | FYE 11/30/2018 | |
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 11/30/2019 | FYE 11/30/2018 |
Registrant | $2,781 | $7,360 |
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: | 2.4.2020 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)* | /s/ Robert Cannon | |
Robert Cannon, President and Principal Executive Officer | ||
Date: | 2.4.2020 | |
By (Signature and Title)* | /s/ Stephen Terry | |
Stephen Terry, Treasurer and Principal Financial Officer | ||
Date: | 2.4.2020 |
* Print the name and title of each signing officer under his or her signature.