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 Defined Risk Fund
PORTFOLIO OF INVESTMENTS (Unaudited)
February 28, 2022
Shares					Value
		COMMON STOCKS - 95.8%
		Accommodation and Food Services - 0.1%
	1,630	Caesars Entertainment, Inc. (a)			$	137,230
	1,160	Penn National Gaming, Inc. (a)				59,566
						196,796
		Advertising - 0.1%
	3,067	Interpublic Group of Cos., Inc.				112,866
	1,673	Omnicom Group, Inc.				140,348
						253,214
		Aerospace/Defense - 1.2%
	4,291	Boeing Co. (a)				881,114
	1,810	General Dynamics Corp.				424,354
	3,019	Howmet Aerospace, Inc.				108,442
	1,570	L3Harris Technologies, Inc.				396,127
	1,924	Lockheed Martin Corp. (f)				834,631
	1,177	Northrop Grumman Corp. (f)				520,399
	362	Teledyne Technologies, Inc. (a)				155,436
	406	TransDigm Group, Inc. (a)				270,636
						3,591,139
		Agriculture - 0.8%
	14,462	Altria Group, Inc. (f)				741,756
	4,371	Archer Daniels Midland Co.				342,905
	12,238	Philip Morris International, Inc. (f)				1,236,895
						2,321,556
		Airlines - 0.2%
	974	Alaska Air Group, Inc. (a)				54,680
	5,041	American Airlines Group, Inc. (a)(d)				86,957
	4,993	Delta Air Lines, Inc. (a)				199,321
	4,623	Southwest Airlines Co. (a)				202,487
	2,497	United Airlines Holdings, Inc. (a)				110,867
						654,312
		Apparel - 0.6%
	2,729	Hanesbrands, Inc.				42,163
	10,008	Nike, Inc., Class B				1,366,592
	554	PVH Corp.				54,231
	376	Ralph Lauren Corp.				49,647
	2,171	Tapestry, Inc.				88,794
	1,478	Under Armour, Inc., Class A (a)				26,442
	1,534	Under Armour, Inc., Class C (a)				23,976
	2,526	VF Corp.				146,559
						1,798,404
		Auto Manufacturers - 0.5%
	1,124	Cummins, Inc.				229,431
	30,550	Ford Motor Co. (f)				536,458
	11,323	General Motors Co. (a)(f)				529,010
	2,727	PACCAR, Inc.				250,366
						1,545,265
		Auto Parts & Equipment - 0.1%
	2,109	Aptiv PLC (a)				272,989
	1,881	BorgWarner, Inc.				77,140
						350,129
		Banks - 4.8%
	57,746	Bank of America Corp.				2,552,373
	6,208	Bank of New York Mellon Corp.				329,955
	15,806	Citigroup, Inc.				936,189
	3,323	Citizens Financial Group, Inc.				174,192
	1,041	Comerica, Inc.				99,405
	5,395	Fifth Third Bancorp				258,097
	1,369	First Republic Bank				237,193
	2,625	Goldman Sachs Group, Inc. (f)				895,886
	11,526	Huntington Bancshares, Inc.				178,884
	23,333	JPMorgan Chase & Co.				3,308,619
	7,464	KeyCorp				187,123
	1,001	M&T Bank Corp.				182,412
	11,376	Morgan Stanley				1,032,258
	1,628	Northern Trust Corp.				185,429
	3,320	PNC Financial Services Group, Inc. (f)				661,510
	7,447	Regions Financial Corp.				180,143
	2,854	State Street Corp.				243,532
	454	SVB Financial Group (a)				275,124
	10,418	Truist Financial Corp. (f)				648,208
	32,200	Wells Fargo & Co.				1,718,514
	1,264	Zions Bancorp N.A.				89,605
						14,374,651
		Beverages - 1.5%
	1,431	Brown-Forman Corp., Class B				93,344
	30,495	Coca-Cola Co.				1,898,009
	1,316	Constellation Brands, Inc., Class A				283,756
	1,482	Molson Coors Brewing Co., Class B				77,331
	2,915	Monster Beverage Corp. (a)				246,026
	10,880	PepsiCo, Inc.				1,781,491
						4,379,957
		Biotechnology - 1.2%
	4,452	Amgen, Inc.				1,008,289
	1,174	Biogen, Inc. (a)				247,726
	163	Bio-Rad Laboratories, Inc., Class A (a)				102,031
	5,724	Corteva, Inc.				297,820
	9,836	Gilead Sciences, Inc. (f)				594,094
	1,146	Illumina, Inc. (a)(f)				374,284
	1,470	Incyte Corp. (a)				100,401
	823	Regeneron Pharmaceuticals, Inc. (a)(f)				508,910
	2,033	Vertex Pharmaceuticals, Inc. (a)				467,631
						3,701,186
		Building Materials - 0.4%
	6,803	Carrier Global Corp.				305,319
	1,076	Fortune Brands Home & Security, Inc.				93,504
	5,582	Johnson Controls International PLC (f)				362,607
	483	Martin Marietta Materials, Inc.				183,250
	1,941	Masco Corp.				108,774
	1,036	Vulcan Materials Co.				187,982
						1,241,436
		Chemicals - 1.4%
	1,726	Air Products & Chemicals, Inc. (f)				407,854
	908	Albemarle Corp.				177,868
	864	Celanese Corp.				120,338
	1,667	CF Industries Holdings, Inc.				135,344
	5,817	Dow, Inc.				342,970
	4,081	DuPont de Nemours, Inc.				315,747
	1,060	Eastman Chemical Co.				125,578
	1,006	FMC Corp.				117,953
	1,952	International Flavors & Fragrances, Inc.				259,616
	4,037	Linde PLC (f)				1,183,810
	2,025	LyondellBasell Industries NV, Class A				196,891
	2,678	Mosaic Co.				140,408
	1,856	PPG Industries, Inc.				247,683
	1,887	Sherwin-Williams Co. (f)				496,526
						4,268,586
		Commercial Services - 1.8%
	3,317	Automatic Data Processing, Inc. (f)				678,127
	681	Cintas Corp.				255,593
	1,950	Ecolab, Inc. (f)				343,707
	952	Equifax, Inc.				207,860
	644	FleetCor Technologies, Inc. (a)				150,825
	650	Gartner, Inc. (a)				182,273
	2,293	Global Payments, Inc.				305,840
	294	MarketAxess Holdings, Inc.				112,140
	1,267	Moody's Corp. (f)				408,012
	2,795	Nielsen Holdings PLC				48,689
	9,203	PayPal Holdings, Inc. (a)				1,030,092
	1,083	Quanta Services, Inc.				117,982
	869	Robert Half International, Inc.				104,532
	1,743	Rollins, Inc.				56,874
	2,770	S&P Global, Inc.				1,040,698
	561	United Rentals, Inc. (a)				180,429
	1,261	Verisk Analytics, Inc.				223,626
						5,447,299
		Computers - 8.1%
	4,959	Accenture PLC, Class A (f)				1,567,143
	123,075	Apple, Inc. (f)				20,322,144
	4,113	Cognizant Technology Solutions Corp., Class A				354,253
	1,962	DXC Technology Co. (a)				66,767
	1,056	Fortinet, Inc. (a)				363,813
	10,202	Hewlett Packard Enterprise Co.				162,416
	9,378	HP, Inc.				322,228
	7,025	International Business Machines Corp. (f)				860,633
	1,046	Leidos Holdings, Inc.				106,525
	1,745	NetApp, Inc.				136,773
	2,377	Western Digital Corp. (a)				121,084
						24,383,779
		Cosmetics/Personal Care - 1.3%
	6,630	Colgate-Palmolive Co. (f)				510,178
	1,812	Estee Lauder Cos., Inc., Class A (f)				536,950
	19,063	Procter & Gamble Co.				2,971,731
						4,018,859
		Distribution/Wholesale - 0.2%
	1,643	Copart, Inc. (a)				201,892
	4,497	Fastenal Co.				231,416
	2,117	LKQ Corp.				99,393
	340	WW Grainger, Inc.				162,200
						694,901
		Diversified Financial Services - 3.8%
	5,013	American Express Co. (f)				975,229
	883	Ameriprise Financial, Inc.				264,715
	1,115	BlackRock, Inc. (f)				829,437
	3,481	Capital One Financial Corp. (f)				533,533
	831	CBOE Global Markets, Inc.				97,468
	11,710	Charles Schwab Corp. (f)				989,027
	2,816	CME Group, Inc. (f)				666,068
	2,332	Discover Financial Services				287,862
	2,141	Franklin Resources, Inc.				63,652
	4,405	Intercontinental Exchange, Inc. (f)				564,369
	2,657	Invesco, Ltd.				56,435
	6,833	MasterCard, Inc., Class A				2,465,483
	907	Nasdaq, Inc.				155,233
	1,445	Raymond James Financial, Inc.				158,444
	4,445	Synchrony Financial				190,157
	1,772	T. Rowe Price Group, Inc.				256,160
	13,232	Visa, Inc.				2,859,700
	3,183	Western Union Co.				57,867
						11,470,839
		Electric - 2.3%
	5,184	AES Corp.				110,056
	1,962	Alliant Energy Corp.				114,581
	2,020	Ameren Corp.				173,619
	3,937	American Electric Power Co., Inc.				356,889
	4,577	CenterPoint Energy, Inc.				125,181
	2,279	CMS Energy Corp.				145,879
	2,708	Consolidated Edison, Inc.				232,265
	6,347	Dominion Energy, Inc. (f)				504,777
	1,515	DTE Energy Co.				184,209
	6,039	Duke Energy Corp. (f)				606,376
	2,972	Edison International				188,484
	1,572	Entergy Corp.				165,390
	1,790	Evergy, Inc.				111,714
	2,694	Eversource Energy				220,369
	7,683	Exelon Corp.				326,988
	4,276	FirstEnergy Corp.				178,951
	15,428	NextEra Energy, Inc. (f)				1,207,550
	1,932	NRG Energy, Inc.				73,107
	890	Pinnacle West Capital Corp.				63,039
	6,038	PPL Corp.				158,014
	3,970	Public Service Enterprise Group, Inc.				257,375
	2,484	Sempra Energy				358,242
	8,314	Southern Co. (f)				538,498
	2,478	WEC Energy Group, Inc.				225,201
	4,230	Xcel Energy, Inc.				284,806
						6,911,560
		Electrical Components & Equipment - 0.2%
	1,807	AMETEK, Inc.				234,531
	4,671	Emerson Electric Co. (f)				434,029
						668,560
		Electronics - 1.2%
	2,367	Agilent Technologies, Inc.				308,562
	700	Allegion PLC				80,164
	4,663	Amphenol Corp., Class A				354,435
	2,807	Fortive Corp.				181,753
	1,179	Garmin, Ltd.				130,209
	5,405	Honeywell International, Inc. (f)				1,025,599
	1,436	Keysight Technologies, Inc. (a)				225,983
	179	Mettler-Toledo International, Inc. (a)				252,165
	871	PerkinElmer, Inc.				156,440
	824	Roper Technologies, Inc.				369,333
	2,554	TE Connectivity, Ltd.				363,766
	8	Vontier Corp.				194
	479	Waters Corp. (a)				151,714
						3,600,317
		Engineering & Construction - 0.0% (b)
	1,018	Jacobs Engineering Group, Inc.				125,214
		Entertainment - 0.0% (b)
	1,020	Live Nation Entertainment, Inc. (a)				123,236
		Environmental Control - 0.2%
	1,296	Pentair PLC				75,051
	1,645	Republic Services, Inc.				197,861
	3,030	Waste Management, Inc. (f)				437,532
						710,444
		Finance and Insurance - 0.0% (b)
	1,822	Brown & Brown, Inc.				123,185
		Food - 1.0%
	1,598	Campbell Soup Co.				71,862
	3,765	Conagra Brands, Inc.				131,662
	4,751	General Mills, Inc.				320,360
	1,140	Hershey Co.				230,576
	2,222	Hormel Foods Corp.				105,856
	846	J.M. Smucker Co.				113,998
	1,989	Kellogg Co.				127,177
	5,119	Kraft Heinz Co.				200,767
	5,343	Kroger Co.				250,052
	1,134	Lamb Weston Holdings, Inc.				75,332
	1,953	McCormick & Co., Inc.				185,867
	10,981	Mondelez International, Inc., Class A (f)				719,036
	4,016	Sysco Corp.				349,794
	2,310	Tyson Foods, Inc., Class A				214,045
						3,096,384
		Forest Products & Paper - 0.0% (b)
	3,063	International Paper Co.				133,332
		Gas - 0.1%
	1,019	Atmos Energy Corp.				111,896
	3,049	NiSource, Inc.				88,208
						200,104
		Hand/Machine Tools - 0.1%
	420	Snap-on, Inc.				88,276
	1,269	Stanley Black & Decker, Inc.				206,466
						294,742
		Healthcare Products - 3.6%
	13,869	Abbott Laboratories				1,672,879
	352	ABIOMED, Inc. (a)				109,380
	562	Align Technology, Inc. (a)				287,441
	3,915	Baxter International, Inc.				332,658
	11,148	Boston Scientific Corp. (a)(f)				492,407
	383	Cooper Cos., Inc.				156,655
	4,974	Danaher Corp. (f)				1,364,915
	1,707	Dentsply Sirona, Inc.				92,417
	4,876	Edwards Lifesciences Corp. (a)(f)				547,916
	1,983	Hologic, Inc. (a)				141,130
	664	IDEXX Laboratories, Inc. (a)				353,480
	2,783	Intuitive Surgical, Inc. (a)(f)				807,988
	10,527	Medtronic PLC				1,105,230
	1,139	ResMed, Inc.				281,048
	765	STERIS PLC				183,600
	2,622	Stryker Corp. (f)				690,504
	362	Teleflex, Inc.				121,744
	3,077	Thermo Fisher Scientific, Inc. (f)				1,673,888
	574	West Pharmaceutical Services, Inc.				222,184
	1,635	Zimmer Biomet Holdings, Inc.				207,956
						10,845,420
		Healthcare Services - 2.1%
	1,898	Anthem, Inc. (f)				857,611
	4,556	Centene Corp. (a)				376,417
	526	DaVita, Inc. (a)				59,317
	1,926	HCA Healthcare, Inc. (f)				482,097
	1,001	Humana, Inc. (f)				434,754
	1,491	IQVIA Holdings, Inc. (a)				343,109
	752	Laboratory Corp. of America Holdings (a)				203,988
	957	Quest Diagnostics, Inc.				125,625
	7,366	UnitedHealth Group, Inc.				3,505,258
	591	Universal Health Services, Inc., Class B				85,063
						6,473,239
		Home Builders - 0.2%
	2,556	DR Horton, Inc.				218,282
	2,150	Lennar Corp., Class A				193,242
	20	NVR, Inc. (a)				99,169
	2,029	PulteGroup, Inc.				100,760
						611,453
		Home Furnishings - 0.1%
	1,046	Leggett & Platt, Inc.				38,786
	486	Whirlpool Corp.				97,817
						136,603
		Household Products/Wares - 0.3%
	645	Avery Dennison Corp.				113,649
	1,923	Church & Dwight Co., Inc.				188,166
	961	Clorox Co.				140,104
	2,640	Kimberly-Clark Corp.				343,596
						785,515
		Housewares - 0.0% (b)
	2,972	Newell Brands, Inc.				70,585
		Information - 0.1%
	1,049	Ceridian HCM Holding, Inc. (a)				76,482
	17	Kyndryl Holdings, Inc. (a)				270
	7,746	Lumen Technologies, Inc.				80,248
	824	PTC, Inc. (a)				91,695
						248,695
		Insurance - 3.5%
	4,821	Aflac, Inc.				294,515
	2,314	Allstate Corp.				283,141
	6,705	American International Group, Inc.				410,614
	1,765	Aon PLC, Class A (f)				515,627
	1,614	Arthur J Gallagher & Co.				255,319
	456	Assurant, Inc.				77,388
	14,534	Berkshire Hathaway, Inc., Class B (a)				4,671,954
	3,429	Chubb, Ltd. (f)				698,282
	1,171	Cincinnati Financial Corp.				143,787
	310	Everest Re Group Ltd.				92,448
	732	Globe Life, Inc.				73,903
	2,721	Hartford Financial Services Group, Inc.				189,055
	1,375	Lincoln National Corp.				92,702
	1,596	Loews Corp.				97,899
	3,963	Marsh & McLennan Cos., Inc. (f)				615,890
	5,697	MetLife, Inc.				384,832
	1,947	Principal Financial Group, Inc.				137,536
	4,582	Progressive Corp. (f)				485,371
	3,023	Prudential Financial, Inc.				337,548
	1,953	Travelers Cos., Inc.				335,584
	1,009	Willis Towers Watson PLC				224,301
	1,093	WR Berkley Corp.				98,698
						10,516,394
		Internet - 8.0%
	2,360	Alphabet, Inc., Class A (a)(f)				6,374,690
	3,412	Amazon.com, Inc. (a)(f)				10,479,139
	316	Booking Holdings, Inc. (a)(f)				686,431
	1,073	CDW Corp.				185,050
	4,993	eBay, Inc.				272,568
	1,111	Expedia Group, Inc. (a)				217,878
	462	F5 Networks, Inc. (a)				92,793
	18,592	Meta Platforms, Inc., Class A (a)(f)				3,923,470
	3,461	Netflix, Inc. (a)(f)				1,365,434
	4,572	NortonLifeLock, Inc.				132,496
	6,217	Twitter, Inc. (a)(f)				221,014
	761	VeriSign, Inc. (a)				162,641
						24,113,604
		Iron/Steel - 0.1%
	2,287	Nucor Corp.				301,015
		Leisure Time - 0.1%
	6,183	Carnival Corp. (a)				125,700
	2,844	Norwegian Cruise Line Holdings, Ltd. (a)(d)				55,430
	1,715	Royal Caribbean Cruises, Ltd. (a)				138,435
						319,565
		Lodging - 0.3%
	2,179	Hilton Worldwide Holdings, Inc. (a)				324,366
	2,575	Las Vegas Sands Corp. (a)				110,365
	2,133	Marriott International, Inc., Class A (a)				362,909
	3,115	MGM Resorts International				137,963
	824	Wynn Resorts, Ltd. (a)				71,292
						1,006,895
		Machinery - Construction & Mining - 0.3%
	4,286	Caterpillar, Inc. (f)				803,968
		Machinery - Diversified - 0.7%
	2,230	Deere & Co. (f)				802,844
	1,125	Dover Corp.				176,467
	592	IDEX Corp. (f)				113,605
	3,161	Ingersoll Rand, Inc.				159,694
	3,342	Otis Worldwide Corp.				261,779
	903	Rockwell Automation, Inc.				240,722
	1,476	Wabtec Corp.				137,002
	1,408	Xylem, Inc.				125,242
						2,017,355
		Manufacturing - 5.1%
	2,208	Alphabet, Inc., Class C (a)(f)				5,956,787
	302	Bio-Techne Corp.				126,662
	1,330	Catalent, Inc. (a)				135,713
	1,040	Enphase Energy, Inc. (a)				173,368
	487	Generac Holdings, Inc. (a)				153,634
	8,592	General Electric Co. (f)				820,622
	2,743	Moderna, Inc. (a)(f)				421,325
	331	Monolithic Power Systems, Inc.				151,830
	2,058	NXP Semiconductors NV (f)				391,267
	1,998	Organon & Co.				74,585
	11,798	Raytheon Technologies Corp. (f)				1,211,655
	1,558	Seagate Technology Holdings PLC				160,723
	1,211	Teradyne, Inc.				142,801
	6,240	Tesla, Inc. (a)(f)				5,431,483
	1,970	Trimble, Inc. (a)				137,407
						15,489,862
		Media - 1.6%
	994	Charter Communications, Inc., Class A (a)				598,169
	35,926	Comcast Corp., Class A				1,679,900
	1,262	Discovery, Inc., Class A (a)				35,399
	2,263	Discovery, Inc., Class C (a)				63,296
	1,951	DISH Network Corp., Class A (a)				62,354
	2,515	Fox Corp., Class A				105,203
	1,151	Fox Corp., Class B				44,037
	3,071	News Corp., Class A				68,545
	962	News Corp., Class B				21,578
	4,712	Paramount Global, Class B				144,234
	14,177	Walt Disney Co. (a)				2,104,717
						4,927,432
		Mining - 0.3%
	11,417	Freeport-McMoRan, Inc.				536,028
	6,281	Newmont Goldcorp Corp.				415,802
						951,830
		Mining, Quarrying, and Oil and Gas Extraction - 0.0% (b)
	2,952	APA Corp.				105,180
		Miscellaneous Manufacturing - 0.8%
	4,532	3M Co. (f)				673,682
	1,039	AO Smith Corp.				71,255
	3,116	Eaton Corp PLC (f)				480,768
	2,244	Illinois Tool Works, Inc.				485,467
	1,011	Parker-Hannifin Corp.				299,650
	1,741	Textron, Inc.				127,319
	1,858	Trane Technologies PLC				286,002
						2,424,143
		Office/Business Equipment - 0.1%
	414	Zebra Technologies Corp., Class A (a)				171,123
		Oil & Gas - 3.0%
	6,317	Cabot Oil & Gas Corp.				147,376
	15,122	Chevron Corp.				2,177,568
	10,435	ConocoPhillips (f)				989,864
	4,916	Devon Energy Corp.				292,748
	1,327	Diamondback Energy, Inc.				183,259
	4,557	EOG Resources, Inc.				523,690
	33,084	Exxon Mobil Corp.				2,594,447
	2,142	Hess Corp.				216,471
	6,137	Marathon Oil Corp.				138,451
	4,976	Marathon Petroleum Corp.				387,481
	6,917	Occidental Petroleum Corp.				302,480
	3,420	Phillips 66				288,101
	1,772	Pioneer Natural Resources Co.				424,571
	3,190	Valero Energy Corp.				266,397
						8,932,904
		Oil & Gas Services - 0.3%
	6,461	Baker Hughes & GE Co.				189,824
	6,945	Halliburton Co.				232,866
	10,923	Schlumberger, Ltd.				428,619
						851,309
		Packaging & Containers - 0.2%
	12,101	Amcor PLC				140,735
	2,560	Ball Corp.				229,734
	743	Packaging Corp of America				109,362
	1,173	Sealed Air Corp.				78,743
	2,076	Westrock Co.				93,981
						652,555
		Pharmaceuticals - 5.3%
	13,857	AbbVie, Inc. (f)				2,047,649
	1,159	AmerisourceBergen Corp.				165,192
	2,248	Becton Dickinson & Co. (f)				609,837
	17,421	Bristol-Myers Squibb Co. (f)				1,196,300
	2,257	Cardinal Health, Inc.				121,900
	2,657	Cigna Corp. (f)				631,781
	10,315	CVS Health Corp. (f)				1,069,150
	746	DexCom, Inc. (a)				308,777
	6,224	Eli Lilly & Co. (f)				1,555,689
	1,086	Henry Schein, Inc. (a)				93,809
	20,644	Johnson & Johnson				3,397,383
	1,210	McKesson Corp.				332,702
	19,808	Merck & Co., Inc.				1,516,897
	43,801	Pfizer, Inc.				2,056,019
	9,449	Viatris, Inc.				104,033
	3,715	Zoetis, Inc. (f)				719,410
						15,926,528
		Pipelines - 0.3%
	15,255	Kinder Morgan, Inc.				265,437
	3,487	ONEOK, Inc.				227,701
	9,509	Williams Cos., Inc.				297,442
						790,580
		Professional, Scientific, and Technical Services - 0.1%
	387	Charles River Laboratories International, Inc. (a)				112,679
	2,166	Match Group, Inc. (a)				241,487
						354,166
		Real Estate - 0.1%
	2,621	CBRE Group, Inc., Class A (a)				253,844
		Real Estate Investment Trusts - 2.4%
	1,078	Alexandria Real Estate Equities, Inc.				204,173
	3,567	American Tower Corp. (f)				809,245
	1,087	AvalonBay Communities, Inc.				259,347
	1,113	Boston Properties, Inc.				136,131
	3,391	Crown Castle International Corp. (f)				564,907
	2,211	Digital Realty Trust, Inc.				298,308
	2,944	Duke Realty Corp.				156,032
	699	Equinix, Inc. (f)				496,101
	2,661	Equity Residential				226,983
	506	Essex Property Trust, Inc.				160,488
	1,044	Extra Space Storage, Inc.				196,429
	544	Federal Realty Investment Trust				63,963
	4,219	Healthpeak Properties, Inc.				131,042
	5,535	Host Hotels & Resorts, Inc. (a)				101,125
	2,273	Iron Mountain, Inc.				111,786
	4,735	Kimco Realty Corp.				111,415
	896	Mid-America Apartment Communities, Inc.				183,331
	427	Orion Office REIT, Inc. (a)				7,272
	5,777	Prologis, Inc. (f)				842,576
	1,192	Public Storage				423,184
	4,302	Realty Income Corp.				284,319
	1,188	Regency Centers Corp.				78,277
	853	SBA Communications Corp.				258,792
	2,548	Simon Property Group, Inc.				350,503
	2,191	UDR, Inc.				120,220
	2,953	Ventas, Inc.				159,462
	1,230	Vornado Realty Trust				53,234
	3,286	Welltower, Inc.				273,691
	5,864	Weyerhaeuser Co.				227,992
						7,290,328
		Retail - 4.8%
	511	Advance Auto Parts, Inc.				104,489
	164	AutoZone, Inc. (a)				305,596
	1,753	Best Buy Co., Inc.				169,410
	1,276	CarMax, Inc. (a)				139,505
	215	Chipotle Mexican Grill, Inc. (a)				327,520
	3,466	Costco Wholesale Corp. (f)				1,799,721
	1,016	Darden Restaurants, Inc.				147,544
	1,856	Dollar General Corp. (f)				368,119
	1,816	Dollar Tree, Inc. (a)				258,017
	282	Domino's Pizza, Inc.				121,883
	1,612	Gap, Inc.				23,455
	1,116	Genuine Parts Co.				136,331
	8,329	Home Depot, Inc.				2,630,548
	5,539	Lowe's Cos., Inc. (f)				1,224,451
	5,864	McDonald's Corp.				1,435,331
	537	O'Reilly Automotive, Inc. (a)				348,642
	2,791	Ross Stores, Inc.				255,069
	9,243	Starbucks Corp. (f)				848,415
	3,863	Target Corp. (f)				771,712
	9,453	TJX Cos., Inc. (f)				624,843
	892	Tractor Supply Co.				181,781
	424	Ulta Beauty, Inc. (a)				158,788
	5,601	Walgreens Boots Alliance, Inc.				258,150
	11,223	Walmart, Inc.				1,516,901
	2,316	Yum! Brands, Inc.				283,895
						14,440,116
		Retail Trade - 0.1%
	2,062	Bath & Body Works, Inc.				110,049
	943	Etsy, Inc. (a)				146,061
						256,110
		Savings & Loans - 0.0% (b)
	3,340	People's United Financial, Inc.				70,407
		Semiconductors - 5.5%
	12,723	Advanced Micro Devices, Inc. (a)(f)				1,569,222
	4,197	Analog Devices, Inc. (f)				672,737
	7,131	Applied Materials, Inc. (f)				956,980
	3,208	Broadcom, Inc. (f)				1,884,508
	31,700	Intel Corp.				1,512,090
	278	IPG Photonics Corp. (a)				36,237
	1,190	KLA Corp. (f)				414,715
	1,107	Lam Research Corp. (f)				621,415
	4,285	Microchip Technology, Inc.				301,364
	8,763	Micron Technology, Inc. (f)				778,680
	19,519	NVIDIA Corp. (f)				4,759,708
	868	Qorvo, Inc. (a)				118,725
	8,760	QUALCOMM, Inc. (f)				1,506,633
	1,288	Skyworks Solutions, Inc.				177,963
	7,203	Texas Instruments, Inc. (f)				1,224,438
						16,535,415
		Shipbuilding - 0.0% (b)
	311	Huntington Ingalls Industries, Inc.				63,568
		Software - 9.4%
	6,085	Activision Blizzard, Inc. (f)				495,928
	3,726	Adobe, Inc. (a)				1,742,576
	1,272	Akamai Technologies, Inc. (a)				137,707
	680	ANSYS, Inc. (a)				220,449
	1,719	Autodesk, Inc. (a)(f)				378,575
	907	Broadridge Financial Solutions, Inc.				132,612
	2,155	Cadence Design Systems, Inc. (a)				326,332
	2,317	Cerner Corp.				216,060
	969	Citrix Systems, Inc.				99,323
	2,227	Electronic Arts, Inc.				289,710
	4,853	Fidelity National Information Services, Inc. (f)				462,151
	4,666	Fiserv, Inc. (a)				455,728
	2,134	Intuit, Inc. (f)				1,012,306
	586	Jack Henry & Associates, Inc.				103,605
	58,843	Microsoft Corp. (f)				17,581,700
	642	MSCI, Inc. (f)				322,085
	12,902	Oracle Corp.				980,165
	2,511	Paychex, Inc.				298,960
	372	Paycom Software, Inc. (a)				126,186
	7,597	salesforce.com, Inc. (a)				1,599,396
	1,546	ServiceNow, Inc. (a)(f)				896,556
	1,192	Synopsys, Inc. (a)(f)				372,369
	903	Take-Two Interactive Software, Inc. (a)				146,286
	319	Tyler Technologies, Inc. (a)				136,615
						28,533,380
		Telecommunications - 2.1%
	1,720	Arista Networks, Inc. (a)				211,096
	55,979	AT&T, Inc.				1,326,143
	33,003	Cisco Systems, Inc.				1,840,577
	5,990	Corning, Inc.				241,996
	2,541	Juniper Networks, Inc.				85,860
	1,316	Motorola Solutions, Inc.				290,086
	4,605	T-Mobile US, Inc. (a)(f)				567,382
	32,455	Verizon Communications, Inc.				1,741,860
						6,305,000
		Textiles - 0.0% (b)
	434	Mohawk Industries, Inc. (a)				61,098
		Toys/Games/Hobbies - 0.0% (b)
	1,004	Hasbro, Inc.				97,438
		Transportation - 1.5%
	1,025	CH Robinson Worldwide, Inc.				99,097
	17,674	CSX Corp. (f)				599,325
	1,327	Expeditors International of Washington, Inc.				137,159
	1,923	FedEx Corp. (f)				427,425
	651	JB Hunt Transport Services, Inc.				132,107
	1,933	Norfolk Southern Corp. (f)				495,853
	727	Old Dominion Freight Line, Inc.				228,300
	5,102	Union Pacific Corp. (f)				1,254,837
	5,695	United Parcel Service, Inc., Class B (f)				1,198,342
						4,572,445
		Utilities - 0.0% (b)
	2,560	Constellation Energy Corp.				117,709
		Water - 0.1%
	1,422	American Water Works Co., Inc.				214,850
		Wholesale Trade - 0.1%
	309	Pool Corp.				141,701
		TOTAL COMMON STOCKS (Cost - $233,657,433)				289,460,713
Contracts			Notional Amount
		PURCHASED OPTIONS - 3.6%(a)(c)(g)
		PURCHASED PUT OPTIONS - 3.6%
		S&P 500 Index
	195	Expiration: March 2022, Exercise Price: $4,515	$	85,291,830	$	3,453,450
	225	Expiration: April 2022, Exercise Price: $4,325		98,413,650		2,964,375
	200	Expiration: May 2022, Exercise Price: $4,440		87,478,800		4,456,000
		TOTAL PURCHASED PUT OPTIONS (Cost - $9,299,976)				10,873,825
		TOTAL PURCHASED OPTIONS (Cost - $9,299,976)				10,873,825
Shares
		SHORT TERM INVESTMENTS - 2.1%
		Money Market Funds - 2.1%
	6,376,501	First American Treasury Obligations Fund, Class X, 0.01% (e)				6,376,501
		TOTAL SHORT TERM INVESTMENTS (Cost - $6,376,501)				6,376,501
		INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING - 0.0% (b)
	73,654	Mount Vernon Liquid Assets Portfolio, LLC, 0.12% (e)				73,654
		TOTAL INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING (Cost - $73,654)				73,654
		TOTAL INVESTMENTS - 101.5% (Cost - $249,407,564)				306,784,693
		Liabilities in Excess of Other Assets - (1.5)%				(4,435,816	)
		NET ASSETS - 100.0%			$	302,348,877
Contracts			Notional Value		Value
		SCHEULE OF WRITTEN OPTIONS - (1.4%) (a)(c)
		SCHEDULE OF WRITTEN CALL OPTIONS - (0.3)%
		S&P 500 Index
	225	Expiration: April 2022, Exercise Price $4,665	$	98,413,650	$	524,250
	200	Expiration: May 2022, Exercise Price $4,780		87,478,800		510,000
		TOTAL WRITTEN CALL OPTIONS (Premiums Received $2,144,187)				1,034,250
		SCHEDULE OF WRITTEN PUT OPTIONS - (1.1)%
		S&P 500 Index
	195	Expiration: March 2022, Exercise Price $4,130		85,291,830		776,100
	200	Expiration: May 2022, Exercise Price $4,125		87,478,800		2,383,000
		TOTAL WRITTEN PUT OPTIONS (Premiums Received $3,465,591)				3,159,100
		TOTAL OPTIONS WRITTEN (Premiums Received $5,609,778)			$	4,193,350
Percentages are stated as a percent of net assets.
(a) Non-income producing security.
(b) Rounds to less than 0.1%.
(c) Each option is exercisable into 100 shares of the underlying security.
(d) All or a portion of this security is out on loan as of February 28, 2022.
(e) Interest rate reflects seven-day yield on February 28, 2022.
(f) All or a portion of the security is segregated as collateral for written options. The value of the securities segregated as collateral for written options is $74,816,068, which is 24.7% of total net assets.
(g) Held in connection with a written option, see Schedule of Written Options for more details.