NPORT-EX

Horizon Funds

PORTFOLIO OF INVESTMENTS (Unaudited)

February 28, 2022

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 period. Actual results could differ from those estimates.

In determining a Fund’s net asset value (“NAV”) per share, equity securities, including common stocks, preferred stocks, and exchange traded funds, for which market quotations are readily available are valued at current market value using the last reported sales price. NASDAQ traded securities are valued using the NASDAQ official closing price (“NOCP”). If the NOCP is not available, such securities shall be valued at the mean between the current bid and ask prices on the day of valuation, or if there has been no sale on such day, at the mean between the current bid and ask prices on the primary exchange. When market quotations received are from an active market, the securities will be classified within Level 1 of the fair value hierarchy. If market quotations are not readily available, then securities are valued at fair value as determined by the Board of Trustees of the Trust (“the Board”) or its delegate. Short-term debt instruments with a remaining maturity of more than 60 days, intermediate and long-term bonds, convertible bonds, and other debt securities are generally valued on the basis of dealer supplied quotations or by a pricing system selected by the Adviser and approved by the Board. Where such prices are not available, valuations will be obtained from brokers who are market makers for such securities. However, in circumstances where the Adviser deems it appropriate to do so, the mean of the bid and asked prices for over-the-counter securities or the last available sale price for exchange-traded debt securities may be used. Where no last sale price for exchange traded debt securities is available, the mean of the bid and asked prices may be used. Short-term debt securities with a remaining maturity of 60 days or less are amortized to maturity, provided such valuations represent fair value. Investments in registered open-end investment companies (including money market funds), other than exchange-traded funds, are valued at their reported NAVs. Purchased and written options are valued primarily at the mean of the bid and the ask.

Other securities and assets for which market quotations are not readily available or for which valuation cannot be provided, as described above, are valued as determined in good faith in accordance with procedures approved by the Board.

The Funds utilize various methods to measure the fair value of all of their investments on a recurring basis. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three levels of input are:

Level 1 – Unadjusted quoted prices in active markets for identical assets and liabilities that the Funds have the ability to access.

Level 2 – Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument in an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.

Level 3 – Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available, representing the Funds’ own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available.

The availability of observable inputs can vary from security to security and is affected by a wide variety of factors,including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.

The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety, is determined based on the lowest level input that is significant to the fair value measurement in its entirety.

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The following tables summarize the inputs used as of February 28, 2022, for the Funds’ investments measured at value:

Horizon Active Asset Allocation Fund
Assets *	Level 1		Level 2		Level 3		Total
Investment Companies	$	725,974,715	$	-	$	-	$	725,974,715
Investments Purchased With Proceeds From Securities Lending		204,838,565		-		-		204,838,565
Total	$	930,813,280	$	-	$	-	$	930,813,280
Horizon Active Risk Assist® Fund
Assets *	Level 1		Level 2		Level 3		Total
Investment Companies	$	1,139,216,993	$	-	$	-	$	1,139,216,993
Common Stocks		30,009,475		-		-		30,009,475
Purchased Put Options		-		202,500		-		202,500
Short-Term Investments		9,844,155		-		-		9,844,155
Investments Purchased With Proceeds From Securities Lending		260,274,878		-		-		260,274,878
Total	$	1,439,345,501	$	202,500	$	-	$	1,439,548,001
Liabilities *	Level 1		Level 2		Level 3		Total
Written Put Options	$	-	$	120,000	$	-	$	120,000
Total	$	-	$	120,000	$	-	$	120,000
Horizon Active Income Fund
Assets *	Level 1		Level 2		Level 3		Total
Investment Companies	$	435,923,557	$	-	$	-	$	435,923,557
Short-Term Investments		13,464,775		-		-		13,464,775
Investments Purchased With Proceeds From Securities Lending		146,503,889		-		-		146,503,889
Total	$	595,892,221	$	-	$	-	$	595,892,221
Horizon Active Dividend Fund
Assets *	Level 1		Level 2		Level 3		Total
Common Stocks	$	132,373,470	$	-	$	-	$	132,373,470
Preferred Stocks		199,028		-		-		199,028
Short-Term Investments		1,997,730		-		-		1,997,730
Total	$	134,570,228	$	-	$	-	$	134,570,228
Horizon Defined Risk Fund
Assets *	Level 1		Level 2		Level 3		Total
Common Stocks	$	289,460,713	$	-	$	-	$	289,460,713
Purchased Put Options		-		10,873,825		-		10,873,825
Short-Term Investments		6,376,501		-		-		6,376,501
Investments Purchased With Proceeds From Securities Lending		73,654		-		-		73,654
Total	$	295,910,868	$	10,873,825	$	-	$	306,784,693
Liabilities *	Level 1		Level 2		Level 3		Total
Written Call Options	$	-	$	1,034,250	$	-	$	1,034,250
Written Put Options		-		3,159,100		-		3,159,100
Total	$	-	$	4,193,350	$	-	$	4,193,350
Horizon ESG Defensive Core Fund
Assets *	Level 1		Level 2		Level 3		Total
Common Stocks	$	162,157,273	$	-	$	-	$	162,157,273
Short-Term Investments		2,086,352		-		-		2,086,352
Total	$	164,243,625	$	-	$	-	$	164,243,625
Horizon US Defensive Equity Fund
Assets *	Level 1		Level 2		Level 3		Total
Common Stocks	$	127,204,568	$	-	$	-	$	127,204,568
Short-Term Investments		1,330,844		-		-		1,330,844
Total	$	128,535,412	$	-	$	-	$	128,535,412
* Refer to the Portfolios of Investments for security classifications.

 

NPORT-EX

Horizon Active Risk Assist® Fund
PORTFOLIO OF INVESTMENTS (Unaudited)
February 28, 2022
Shares					Value
		INVESTMENT COMPANIES - 96.3%
		Exchange Traded Funds - 96.3%
	292,707	Invesco QQQ Trust Series 1 (f)			$	101,510,787
	623,319	Invesco S&P 500 Equal Weight ETF (f)				96,146,956
	763,154	iShares Core MSCI Total International Stock ETF				50,940,530
	356,452	iShares Edge MSCI USA Quality Factor ETF				46,295,986
	728,050	iShares MSCI EAFE Minimum Volatility ETF (f)				52,361,356
	1,698,929	iShares MSCI USA Minimum Volatility ETF				125,262,035
	527,433	iShares Select Dividend ETF				65,301,480
	766,324	Principal US Mega-Cap ETF				31,396,294
	1,237,936	SPDR Bloomberg 1-3 Month T-Bill ETF (a)				113,159,730
	4,542,567	SPDR Portfolio Developed World ex-US ETF				154,765,257
	1,282,901	SPDR Portfolio Emerging Markets ETF (f)				51,097,947
	975,145	SPDR Portfolio S&P 500 Growth ETF (f)(e)				61,863,199
	1,835,246	SPDR Portfolio S&P 500 Value ETF (f)				74,676,160
	1,185,668	WisdomTree U.S. Quality Dividend Growth Fund				73,606,269
	751,844	Xtrackers MSCI USA ESG Leaders Equity ETF				30,276,758
	267,044	Xtrackers S&P 500 ESG ETF (f)(e)				10,556,249
		TOTAL INVESTMENT COMPANIES (Cost - $1,131,216,382)				1,139,216,993
		COMMON STOCKS - 2.5%
		Advertising - 0.1%
	9,994	Interpublic Group of Cos., Inc.				367,779
	2,108	Omnicom Group, Inc.				176,840
						544,619
		Aerospace/Defense - 0.1%
	210	General Dynamics Corp.				49,234
	3,254	Howmet Aerospace, Inc.				116,884
	120	L3Harris Technologies, Inc.				30,277
	101	Lockheed Martin Corp.				43,814
	74	Northrop Grumman Corp.				32,718
	554	Teledyne Technologies, Inc. (a)				237,877
	32	TransDigm Group, Inc. (a)				21,331
						532,135
		Agriculture - 0.0% (b)
	773	Archer Daniels Midland Co.				60,642
		Airlines - 0.0% (b)
	2,381	Alaska Air Group, Inc. (a)				133,669
	5,327	American Airlines Group, Inc. (a)(f)				91,891
	711	Delta Air Lines, Inc. (a)				28,383
	483	Southwest Airlines Co. (a)				21,156
	1,210	United Airlines Holdings, Inc. (a)				53,724
						328,823
		Apparel - 0.1%
	4,628	Hanesbrands, Inc.				71,503
	1,408	PVH Corp.				137,829
	1,013	Ralph Lauren Corp.				133,757
	5,268	Tapestry, Inc.				215,461
	7,805	Under Armour, Inc., Class A (a)				139,631
	211	VF Corp.				12,242
						710,423
		Auto Manufacturers - 0.0% (b)
	64	Cummins, Inc.				13,064
	4,922	Ford Motor Co.				86,430
	322	General Motors Co. (a)				15,044
	171	PACCAR, Inc.				15,699
						130,237
		Auto Parts & Equipment - 0.0% (b)
	207	Aptiv PLC (a)				26,794
	1,366	BorgWarner, Inc.				56,020
						82,814
		Banks - 0.1%
	3,895	Bank of America Corp.				172,159
	902	Bank of New York Mellon Corp.				47,941
	1,565	Citizens Financial Group, Inc.				82,037
	2,223	Comerica, Inc.				212,274
	1,860	Fifth Third Bancorp				88,983
	217	First Republic Bank				37,598
	4,958	Huntington Bancshares, Inc.				76,948
	3,647	KeyCorp				91,430
	362	M&T Bank Corp.				65,967
	320	Northern Trust Corp.				36,448
	84	PNC Financial Services Group, Inc.				16,737
	3,433	Regions Financial Corp.				83,044
	328	State Street Corp.				27,988
	145	SVB Financial Group (a)				87,870
	223	Truist Financial Corp.				13,875
	2,069	Wells Fargo & Co.				110,423
	3,100	Zions Bancorp, N.A.				219,759
						1,471,481
		Beverages - 0.0% (b)
	171	Brown-Forman Corp., Class B				11,154
	1,531	Coca-Cola Co.				95,290
	70	Constellation Brands, Inc., Class A				15,093
	1,867	Molson Coors Brewing Co., Class B				97,420
	139	Monster Beverage Corp. (a)				11,732
	654	PepsiCo, Inc.				107,086
						337,775
		Biotechnology - 0.0% (b)
	44	Biogen, Inc. (a)				9,284
	68	Bio-Rad Laboratories, Inc., Class A (a)				42,565
	926	Corteva, Inc.				48,180
	46	Illumina, Inc. (a)				15,024
	330	Incyte Corp. (a)				22,539
	56	Regeneron Pharmaceuticals, Inc. (a)				34,628
	133	Vertex Pharmaceuticals, Inc. (a)				30,593
						202,813
		Building Materials - 0.0% (b)
	511	Carrier Global Corp.				22,934
	411	Fortune Brands Home & Security, Inc.				35,716
	553	Johnson Controls International PLC				35,923
	130	Martin Marietta Materials, Inc.				49,322
	497	Masco Corp.				27,852
	183	Vulcan Materials Co.				33,205
						204,952
		Chemicals - 0.1%
	467	Albemarle Corp.				91,481
	290	Celanese Corp.				40,391
	2,147	CF Industries Holdings, Inc.				174,315
	239	Dow, Inc.				14,091
	481	Eastman Chemical Co.				56,984
	357	FMC Corp.				41,858
	376	International Flavors & Fragrances, Inc.				50,008
	113	Linde PLC				33,136
	231	LyondellBasell Industries NV, Class A				22,460
	3,406	Mosaic Co.				178,577
	116	PPG Industries, Inc.				15,480
						718,781
		Commercial Services - 0.1%
	130	Automatic Data Processing, Inc.				26,577
	38	Cintas Corp.				14,262
	139	Equifax, Inc.				30,349
	215	FleetCor Technologies, Inc. (a)				50,353
	755	Gartner, Inc. (a)				211,717
	104	Global Payments, Inc.				13,872
	9,824	H&R Block, Inc.				243,734
	52	MarketAxess Holdings, Inc.				19,834
	28	Moody's Corp.				9,017
	5,982	Nielsen Holdings PLC				104,207
	1,217	Quanta Services, Inc.				132,580
	1,387	Robert Half International, Inc.				166,842
	47	S&P Global, Inc.				17,593
	199	United Rentals, Inc. (a)				64,002
	76	Verisk Analytics, Inc.				13,478
						1,118,417
		Computers - 0.2%
	238	Accenture PLC, Class A				75,213
	1,764	Apple, Inc.				291,272
	604	Cognizant Technology Solutions Corp., Class A				52,022
	14,134	DXC Technology Co. (a)				480,980
	524	Fortinet, Inc. (a)				180,528
	9,775	Hewlett Packard Enterprise Co.				155,618
	2,857	HP, Inc.				98,167
	76	International Business Machines Corp.				9,311
	854	Leidos Holdings, Inc.				86,971
	2,697	NetApp, Inc.				211,391
	2,363	Western Digital Corp. (a)				120,371
						1,761,844
		Cosmetics/Personal Care - 0.0% (b)
	37,280	Coty, Inc., Class A (a)				341,858
	1,099	Procter & Gamble Co.				171,323
						513,181
		Distribution/Wholesale - 0.0% (b)
	157	Copart, Inc. (a)				19,292
	344	Fastenal Co.				17,702
	1,893	LKQ Corp.				88,877
	98	WW Grainger, Inc.				46,752
						172,623
		Diversified Financial Services - 0.1%
	153	Ameriprise Financial, Inc.				45,868
	183	Capital One Financial Corp.				28,048
	451	CBOE Global Markets, Inc.				52,898
	1,369	Charles Schwab Corp.				115,626
	177	CME Group, Inc.				41,866
	445	Discover Financial Services				54,931
	2,075	Franklin Resources, Inc.				61,690
	7,934	Invesco, Ltd.				168,518
	161	Nasdaq, Inc.				27,555
	1,049	Raymond James Financial, Inc.				115,023
	1,057	Synchrony Financial				45,218
	112	T. Rowe Price Group, Inc.				16,190
	5,049	Western Union Co.				91,791
						865,222
		Electric - 0.1%
	1,811	AES Corp.				38,447
	632	Alliant Energy Corp.				36,909
	272	Ameren Corp.				23,378
	122	American Electric Power Co., Inc.				11,059
	2,462	CenterPoint Energy, Inc.				67,336
	378	CMS Energy Corp.				24,196
	428	Consolidated Edison, Inc.				36,710
	153	DTE Energy Co.				18,603
	409	Edison International				25,939
	211	Entergy Corp.				22,199
	183	Eversource Energy				14,969
	673	Exelon Corp.				28,643
	1,308	FirstEnergy Corp.				54,740
	1,936	NRG Energy, Inc.				73,258
	674	Pinnacle West Capital Corp.				47,739
	753	PPL Corp.				19,706
	473	Public Service Enterprise Group, Inc.				30,665
	98	Sempra Energy				14,134
	355	Southern Co.				22,993
	141	WEC Energy Group, Inc.				12,814
	169	Xcel Energy, Inc.				11,379
						635,816
		Electrical Components & Equipment - 0.0% (b)
	185	AMETEK, Inc.				24,011
	159	Emerson Electric Co.				14,774
						38,785
		Electronics - 0.0% (b)
	181	Agilent Technologies, Inc.				23,595
	461	Allegion PLC				52,794
	608	Amphenol Corp., Class A				46,214
	225	Fortive Corp.				14,569
	233	Garmin, Ltd.				25,732
	562	Keysight Technologies, Inc. (a)				88,442
	24	Mettler-Toledo International, Inc. (a)				33,810
	334	PerkinElmer, Inc.				59,990
	26	Roper Technologies, Inc.				11,654
	330	TE Connectivity, Ltd.				47,002
	88	Vontier Corp.				2,138
	229	Waters Corp. (a)				72,531
						478,471
		Engineering & Construction - 0.0% (b)
	372	Jacobs Engineering Group, Inc.				45,756
		Entertainment - 0.0% (b)
	1,901	Live Nation Entertainment, Inc. (a)				229,679
		Environmental Control - 0.0% (b)
	1,178	Pentair PLC				68,218
	315	Republic Services, Inc.				37,888
	218	Waste Management, Inc.				31,479
						137,585
		Finance and Insurance - 0.0% (b)
	267	Brown & Brown, Inc.				18,052
	48	Signature Bank				16,555
						34,607
		Food - 0.1%
	709	Campbell Soup Co.				31,884
	763	Conagra Brands, Inc.				26,682
	551	General Mills, Inc.				37,154
	254	Hershey Co.				51,374
	356	Hormel Foods Corp.				16,960
	326	J.M. Smucker Co.				43,928
	340	Kellogg Co.				21,740
	433	Kraft Heinz Co.				16,982
	517	Kroger Co.				24,196
	765	Lamb Weston Holdings, Inc.				50,819
	185	McCormick & Co., Inc.				17,606
	227	Sysco Corp.				19,772
	640	Tyson Foods, Inc., Class A				59,302
						418,399
		Forest Products & Paper - 0.0% (b)
	624	International Paper Co.				27,163
		Gas - 0.0% (b)
	463	Atmos Energy Corp.				50,842
	2,585	NiSource, Inc.				74,784
						125,626
		Hand/Machine Tools - 0.0% (b)
	356	Snap-on, Inc.				74,824
	98	Stanley Black & Decker, Inc.				15,945
						90,769
		Healthcare Products - 0.1%
	167	ABIOMED, Inc. (a)				51,894
	66	Align Technology, Inc. (a)				33,756
	387	Baxter International, Inc.				32,883
	255	Boston Scientific Corp. (a)				11,263
	88	Cooper Cos., Inc.				35,994
	1,261	Dentsply Sirona, Inc.				68,270
	145	Edwards Lifesciences Corp. (a)				16,294
	493	Hologic, Inc. (a)				35,087
	46	IDEXX Laboratories, Inc. (a)				24,488
	124	ResMed, Inc.				30,597
	273	STERIS PLC				65,520
	102	Teleflex, Inc.				34,304
	94	West Pharmaceutical Services, Inc.				36,385
	141	Zimmer Biomet Holdings, Inc.				17,934
						494,669
		Healthcare Services - 0.1%
	189	Anthem, Inc.				85,400
	687	Centene Corp. (a)				56,760
	624	DaVita, Inc. (a)				70,368
	211	HCA Healthcare, Inc.				52,815
	28	Humana, Inc.				12,161
	180	IQVIA Holdings, Inc. (a)				41,422
	165	Laboratory Corp. of America Holdings (a)				44,758
	308	Quest Diagnostics, Inc.				40,431
	529	UnitedHealth Group, Inc.				251,735
	568	Universal Health Services, Inc., Class B				81,752
						737,602
		Home Builders - 0.0% (b)
	201	DR Horton, Inc.				17,165
	207	Lennar Corp., Class A				18,605
	20	NVR, Inc. (a)				99,169
	721	PulteGroup, Inc.				35,805
						170,744
		Home Furnishings - 0.0% (b)
	1,736	Leggett & Platt, Inc.				64,371
	201	Whirlpool Corp.				40,455
						104,826
		Household Products/Wares - 0.0% (b)
	328	Avery Dennison Corp.				57,794
	387	Church & Dwight Co., Inc.				37,868
	80	Clorox Co.				11,663
	62	Kimberly-Clark Corp.				8,069
						115,394
		Housewares - 0.0% (b)
	3,207	Newell Brands, Inc.				76,166
		Information - 0.0% (b)
	14	Kyndryl Holdings, Inc. (a)				222
	9,105	Lumen Technologies, Inc.				94,328
						94,550
		Insurance - 0.1%
	817	Aflac, Inc.				49,910
	153	Allstate Corp.				18,721
	628	American International Group, Inc.				38,459
	44	Aon PLC				12,854
	329	Arthur J Gallagher & Co.				52,044
	463	Assurant, Inc.				78,576
	933	Berkshire Hathaway, Inc., Class B (a)				299,913
	64	Chubb, Ltd.				13,033
	419	Cincinnati Financial Corp.				51,449
	247	Everest Re Group, Ltd.				73,660
	598	Globe Life, Inc.				60,374
	868	Hartford Financial Services Group, Inc.				60,309
	2,137	Lincoln National Corp.				144,077
	1,202	Loews Corp.				73,731
	326	MetLife, Inc.				22,021
	963	Principal Financial Group, Inc.				68,026
	253	Prudential Financial, Inc.				28,250
	132	Travelers Cos., Inc.				22,682
	7,074	Unum Group				197,506
	753	WR Berkley Corp.				67,996
						1,433,591
		Internet - 0.1%
	111	Alphabet, Inc., Class A (a)				299,827
	10	Booking Holdings, Inc. (a)				21,722
	566	CDW Corp.				97,612
	215	eBay, Inc.				11,737
	400	Expedia Group, Inc. (a)				78,444
	1,132	F5 Networks, Inc. (a)				227,362
	4,283	NortonLifeLock, Inc.				124,121
	707	Twitter, Inc. (a)				25,134
	205	VeriSign, Inc. (a)				43,813
						929,772
		Iron/Steel - 0.0% (b)
	748	Nucor Corp.				98,452
		Leisure Time - 0.0% (b)
	3,294	Carnival Corp. (a)				66,967
	6,379	Norwegian Cruise Line Holdings, Ltd. (a)(f)				124,327
	489	Royal Caribbean Cruises, Ltd. (a)				39,472
						230,766
		Lodging - 0.0% (b)
	352	Hilton Worldwide Holdings, Inc. (a)				52,399
	245	Las Vegas Sands Corp. (a)				10,501
	283	Marriott International, Inc., Class A (a)				48,150
	1,736	MGM Resorts International				76,887
	693	Wynn Resorts, Ltd. (a)				59,958
						247,895
		Machinery - Diversified - 0.0% (b)
	67	Deere & Co.				24,121
	309	Dover Corp.				48,470
	3,820	Flowserve Corp.				116,013
	165	IDEX Corp.				31,663
	977	Ingersoll Rand, Inc.				49,358
	241	Otis Worldwide Corp.				18,878
	74	Rockwell Automation, Inc.				19,727
	556	Wabtec Corp.				51,608
	320	Xylem, Inc.				28,464
						388,302
		Manufacturing - 0.0% (b)
	392	AstraZeneca PLC				23,865
	7,906	NOV, Inc.				135,588
	512	Raytheon Technologies Corp.				52,583
	1,875	Seagate Technology Holdings PLC				193,425
	56	Sylvamo Corp. (a)				1,954
						407,415
		Media - 0.1%
	14	Charter Communications, Inc., Class A (a)				8,425
	4,489	Discovery, Inc., Class A (a)(f)				125,916
	2,266	DISH Network Corp., Class A (a)				72,421
	2,779	Fox Corp., Class A				116,246
	8,414	News Corp., Class A				187,801
	1,936	Paramount Global, Class B				59,261
						570,070
		Mining - 0.0% (b)
	1,638	Freeport-McMoRan, Inc.				76,904
	126	Newmont Goldcorp Corp.				8,341
						85,245
		Mining, Quarrying, and Oil and Gas Extraction - 0.0% (b)
	6,647	APA Corp.				236,833
		Miscellaneous Manufacturing - 0.0% (b)
	1,014	AO Smith Corp.				69,540
	100	Eaton Corp PLC				15,429
	80	Parker-Hannifin Corp.				23,711
	1,418	Textron, Inc.				103,699
	112	Trane Technologies PLC				17,240
						229,619
		Office/Business Equipment - 0.0% (b)
	14,380	Xerox Holdings Corp.				283,430
	292	Zebra Technologies Corp., Class A (a)				120,695
						404,125
		Oil & Gas - 0.2%
	2,343	Cabot Oil & Gas Corp.				54,662
	2,408	ConocoPhillips				228,423
	11,463	Devon Energy Corp.				682,622
	2,404	Diamondback Energy, Inc.				331,992
	814	EOG Resources, Inc.				93,545
	691	Hess Corp.				69,832
	5,017	HollyFrontier Corp.				152,768
	23,406	Marathon Oil Corp.				528,039
	596	Marathon Petroleum Corp.				46,411
	3,149	Occidental Petroleum Corp.				137,706
	267	Phillips 66				22,492
	430	Pioneer Natural Resources Co.				103,028
	394	Valero Energy Corp.				32,903
						2,484,423
		Oil & Gas Services - 0.0% (b)
	2,699	Baker Hughes & GE Co.				79,297
	2,351	Halliburton Co.				78,829
	846	Schlumberger, Ltd.				33,197
	17,924	TechnipFMC PLC (a)				122,779
						314,102
		Packaging & Containers - 0.0% (b)
	2,174	Amcor PLC				25,283
	183	Ball Corp.				16,422
	372	Packaging Corp of America				54,755
	1,990	Sealed Air Corp.				133,589
	1,345	Westrock Co.				60,888
						290,937
		Pharmaceuticals - 0.1%
	1,031	AbbVie, Inc.				152,351
	437	AmerisourceBergen Corp.				62,286
	36	Becton Dickinson & Co.				9,766
	832	Cardinal Health, Inc.				44,936
	155	Cigna Corp.				36,856
	836	CVS Health Corp.				86,651
	36	DexCom, Inc. (a)				14,901
	1,075	Henry Schein, Inc. (a)				92,858
	259	McKesson Corp.				71,215
	1,835	Perrigo Co. PLC				65,179
	2,504	Pfizer, Inc.				117,538
	4,829	Viatris, Inc.				53,167
						807,704
		Pipelines - 0.0% (b)
	963	Kinder Morgan, Inc.				16,756
	1,227	ONEOK, Inc.				80,123
	685	Williams Cos., Inc.				21,427
						118,306
		Professional, Scientific, and Technical Services - 0.0% (b)
	3,584	Technip Energies NV ADR (a)				39,818
		Real Estate - 0.0% (b)
	560	CBRE Group, Inc., Class A (a)				54,236
		Real Estate Investment Trusts - 0.2%
	126	Alexandria Real Estate Equities, Inc.				23,864
	2,331	Apartment Income REIT Corp.				120,303
	2,331	Apartment Investment and Management Co., Class A (a)				16,643
	209	AvalonBay Communities, Inc.				49,865
	394	Boston Properties, Inc.				48,190
	72	Digital Realty Trust, Inc.				9,714
	1,103	Duke Realty Corp.				58,459
	604	Equity Residential				51,521
	143	Essex Property Trust, Inc.				45,355
	383	Extra Space Storage, Inc.				72,062
	979	Federal Realty Investment Trust				115,111
	1,061	Healthpeak Properties, Inc.				32,955
	5,262	Host Hotels & Resorts, Inc. (a)				96,137
	1,906	Iron Mountain, Inc.				93,737
	7,432	Kimco Realty Corp.				174,875
	360	Mid-America Apartment Communities, Inc.				73,660
	32	Orion Office REIT, Inc. (a)				545
	442	Prologis, Inc.				64,466
	166	Public Storage				58,933
	322	Realty Income Corp.				21,281
	1,682	Regency Centers Corp.				110,827
	38	SBA Communications Corp.				11,529
	314	Simon Property Group, Inc.				43,194
	2,631	SL Green Realty Corp.				209,220
	1,492	UDR, Inc.				81,866
	622	Ventas, Inc.				33,588
	1,887	Vornado Realty Trust				81,669
	330	Welltower, Inc.				27,486
	703	Weyerhaeuser Co.				27,333
						1,854,388
		Retail - 0.1%
	321	Advance Auto Parts, Inc.				65,638
	30	AutoZone, Inc. (a)				55,902
	134	Best Buy Co., Inc.				12,950
	245	CarMax, Inc. (a)				26,786
	10	Chipotle Mexican Grill, Inc. (a)				15,233
	245	Costco Wholesale Corp.				127,216
	344	Darden Restaurants, Inc.				49,956
	38	Dollar General Corp.				7,537
	348	Dollar Tree, Inc. (a)				49,444
	56	Domino's Pizza, Inc.				24,204
	3,834	Gap, Inc.				55,785
	398	Genuine Parts Co.				48,620
	412	Home Depot, Inc.				130,122
	6,078	Kohl's Corp.				338,058
	338	Lowe's Cos., Inc.				74,718
	273	McDonald's Corp.				66,822
	73	O'Reilly Automotive, Inc. (a)				47,395
	139	Ross Stores, Inc.				12,703
	251	Tractor Supply Co.				51,151
	143	Ulta Beauty, Inc. (a)				53,553
	161	Yum! Brands, Inc.				19,735
						1,333,528
		Retail Trade - 0.0% (b)
	1,551	Bath & Body Works, Inc.				82,777
	517	Victoria's Secret & Co. (a)				27,727
						110,504
		Savings & Loans - 0.0% (b)
	9,151	People's United Financial, Inc.				192,903
		Semiconductors - 0.1%
	1,364	Advanced Micro Devices, Inc. (a)				168,212
	205	Analog Devices, Inc.				32,859
	318	Applied Materials, Inc.				42,676
	131	Broadcom, Inc.				76,955
	703	IPG Photonics Corp. (a)				91,636
	185	KLA Corp.				64,473
	62	Lam Research Corp.				34,804
	801	Microchip Technology, Inc.				56,334
	358	Micron Technology, Inc.				31,812
	1,162	NVIDIA Corp.				283,354
	517	Qorvo, Inc. (a)				70,715
	359	QUALCOMM, Inc.				61,744
	312	Skyworks Solutions, Inc.				43,109
	54	Texas Instruments, Inc.				9,179
						1,067,862
		Shipbuilding - 0.0% (b)
	487	Huntington Ingalls Industries, Inc.				99,543
		Software - 0.1%
	203	Activision Blizzard, Inc.				16,545
	487	Akamai Technologies, Inc. (a)				52,723
	118	ANSYS, Inc. (a)				38,254
	86	Autodesk, Inc. (a)				18,940
	507	Broadridge Financial Solutions, Inc.				74,128
	338	Cadence Design Systems, Inc. (a)				51,183
	368	Cerner Corp.				34,316
	433	Citrix Systems, Inc.				44,383
	211	Electronic Arts, Inc.				27,449
	74	Fidelity National Information Services, Inc.				7,047
	147	Fiserv, Inc. (a)				14,357
	121	Intuit, Inc.				57,399
	497	Jack Henry & Associates, Inc.				87,870
	1,013	Microsoft Corp.				302,674
	40	MSCI, Inc.				20,068
	620	Paychex, Inc.				73,817
	219	Paycom Software, Inc. (a)				74,287
	24	ServiceNow, Inc. (a)				13,918
	159	Synopsys, Inc. (a)				49,670
	389	Take-Two Interactive Software, Inc. (a)				63,018
	213	Tyler Technologies, Inc. (a)				91,219
						1,213,265
		Telecommunications - 0.1%
	1,529	Arista Networks, Inc. (a)				187,654
	1,333	Corning, Inc.				53,853
	6,542	Juniper Networks, Inc.				221,054
	243	Motorola Solutions, Inc.				53,565
						516,126
		Textiles - 0.0% (b)
	610	Mohawk Industries, Inc. (a)				85,876
		Toys/Games/Hobbies - 0.0% (b)
	499	Hasbro, Inc.				48,428
		Transportation - 0.0% (b)
	282	CH Robinson Worldwide, Inc.				27,264
	298	Expeditors International of Washington, Inc.				30,801
	295	JB Hunt Transport Services, Inc.				59,864
	168	Old Dominion Freight Line, Inc.				52,757
	169	Union Pacific Corp.				41,566
	305	United Parcel Service, Inc., Class B				64,178
						276,430
		Transportation and Warehousing - 0.0% (b)
	76	DT Midstream, Inc.				4,036
		Utilities - 0.0% (b)
	108	Constellation Energy Corp.				4,966
		Water - 0.0% (b)
	110	American Water Works Co., Inc.				16,620
		TOTAL COMMON STOCKS (Cost - $27,652,289)				30,009,475
Contracts			Notional Amount
		PURCHASED OPTIONS - 0.0% (a)(b)(c)
		PURCHASED PUT OPTIONS - 0.0% (b)
		CBOE Volatility Index (g)
	3,000	Expiration: March 2022, Exercise Price: $22	$	9,045,000	$	67,500
	5,000	Expiration: April 2022, Exercise Price: $19		15,075,000		125,000
		Energy Select Sector SPDR Fund
	10,000	Expiration: March 2022, Exercise Price: $47		70,580,000		10,000
		TOAL PURCHASED PUT OPTIONS (Cost - $1,305,627)				202,500
		TOTAL PURCHASED OPTIONS (Cost - $1,305,627)				202,500
Shares
		SHORT TERM INVESTMENTS - 0.8%
		Money Market Funds - 0.8%
	9,844,155	First American Treasury Obligations Fund, Class X, 0.01% (d)				9,844,155
		TOTAL SHORT TERM INVESTMENTS (Cost - $9,844,155)				9,844,155
		INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING - 22.0%
	260,274,878	Mount Vernon Liquid Assets Portfolio, LLC, 0.12% (d)				260,274,878
		TOTAL INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING (Cost - $260,274,878)				260,274,878
		TOTAL INVESTMENTS - 121.6% (Cost - $1,430,293,331)				1,439,548,001
		Liabilities in Excess of Other Assets - (21.6)%				(255,769,925	)
		NET ASSETS - 100.0%			$	1,183,778,076
Contracts			Notional Value		Value
		SCHEDULE OF WRITTEN OPTIONS - 0.0% (a)(b)(c)
		SCHEDULE OF WRITTEN PUT OPTIONS - 0.0% (b)
		CBOE Volatility Index
	6,000	Expiration: March 2022, Exercise Price $20	$	18,090,000	$	45,000
	10,000	Expiration: April 2022, Exercise Price $17		30,150,000		75,000
		TOTAL WRITTEN PUT OPTIONS (Premiums Received $704,000)				120,000
		TOTAL OPTIONS WRITTEN (Premiums Received $704,000)			$	120,000
Percentages are stated as a percent of net assets.
ADR - American Depositary Receipt
(a) Non-income producing security.
(b) Rounds to less than 0.1%
(c) Each option is exercisable into 100 shares of the underlying security.
(d) Interest rate reflects seven-day yield on February 28, 2022.
(e) All or a portion of the security is segregated as collateral for written options. The value of the securities segregated as collateral for written options is $61,154,150, which is 5.2% of total net assets.
(f) All or a portion of this security is out on loan as of February 28, 2022.
(g) Held in connection with a written option, see Schedule of Written Options for more details.