N-CSRS

 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 number 811-23063

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, 2020

Date of reporting period: December 1, 2019 through May 31, 2020

Item 1. Reports to Stockholders.

HORIZON FUNDS Semi-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 Advisor Class	Shares Shares	HMANX HMAAX

Horizon Defensive Multi-Factor Fund			Horizon ESG Defensive Core Fund
Investor Class Advisor Class	Shares Shares	USRAX USRTX	Investor Class Advisor Class	Shares Shares	HESGX HESAX

May 31, 2020

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, HORIZON DEFENSIVE MULTI-FACTOR FUND and HORIZON ESG DEFENSIVE CORE 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
Portfolio Review	1
Portfolio Composition	9
Portfolio of Investments	11
Statements of Assets and Liabilities	77
Statements of Operations	79
Statements of Changes in Net Assets	81
Financial Highlights	89
Notes to Financial Statements	108
Disclosure of Fund Expenses	131
Statement Regarding Liquidity Risk Management Program	133
Additional Information	135

Horizon Active Asset Allocation Fund

Portfolio Review (Unaudited)
May 31, 2020

The chart above assumes an initial gross investment of $10,000 made on January 31, 2012. The Fund’s performance figures are for the periods ended May 31, 2020. 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 Commencement of Operations (1)
Horizon Active Asset Allocation Fund - Investor Class	4.02%	3.82%	6.89%
Horizon Active Asset Allocation Fund - Advisor Class	3.90%	N/A	6.18%
Horizon Active Asset Allocation Fund - Institutional Class	4.17%	N/A	6.52%
S&P 500 Total Return Index	12.84%	9.86%	12.96%(2)
S&P Global BMI ex-US Index	-3.12%	1.06%	4.05%(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 12.47% and 4.28%, 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 12.33% and 2.94%, 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.

1

Horizon Active Risk Assist^® Fund
PORTFOLIO REVIEW (Unaudited)
May 31, 2020

The chart above assumes an initial gross investment of $10,000 made on August 28, 2014. The Fund’s performance figures are for the periods ended May 31, 2020. 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 Commencement of Operations (1)
Horizon Active Risk Assist® Fund - Investor Class	-5.29%	0.02%	0.62%
Horizon Active Risk Assist® Fund - Advisor Class	-5.43%	N/A	1.79%
Horizon Active Risk Assist® Fund - Institutional Class	-5.16%	N/A	1.97%
Bloomberg Barclays Aggregate Bond Index	9.42%	3.94%	3.80%(2)
S&P 500 Total Return Index	12.84%	9.86%	9.77%(2)
S&P Global BMI ex-US Index	-3.12%	1.06%	0.67%(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 4.21%, 12.47%, and 4.28%, 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 4.01%, 12.33%, and 2.94%, 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.

2

Horizon Active Income Fund
PORTFOLIO REVIEW (Unaudited)
May 31, 2020

The chart above assumes an initial gross investment of $10,000 made on September 30, 2013. The Fund’s performance figures are for the periods ended May 31, 2020. 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 Commencement of Operations (1)
Horizon Active Income Fund - Investor Class	5.34%	1.27%	1.39%
Horizon Active Income Fund - Advisor Class	5.11%	N/A	1.78%
Horizon Active Income Fund - Institutional Class	5.22%	N/A	1.50%
Bloomberg Barclays Aggregate Bond Index	9.42%	3.94%	3.98%(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 4.21% and 4.01%, 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.

3

Horizon Active Dividend Fund
PORTFOLIO REVIEW (Unaudited)
May 31, 2020

The chart above assumes an initial gross investment of $10,000 made on December 28, 2016. The Fund’s performance figures are for the periods ended May 31, 2020. 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 Commencement of Operations (1)
Horizon Active Dividend Fund - Investor Class	-7.27%	3.03%
Horizon Active Dividend Fund - Advisor Class	-7.41%	0.33%
S&P Global 100 Index	12.41%	10.72%(2)

⁽¹⁾ Inception date is December 28, 2016 for Investor Class Shares and June 20, 2017 for Advisor Class Shares.

⁽²⁾ The Since Commencement of Operations returns shown are from the commencement date of Horizon Active Dividend Fund - Investor Class. The return for the S&P Global 100 Index since the commencement date of the Horizon Active Dividend Fund - Advisor Class is 8.47%.

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.

4

Horizon Defined Risk Fund
PORTFOLIO REVIEW (Unaudited)
May 31, 2020

The chart above assumes an initial gross investment of $10,000 made on December 28, 2017. The Fund’s performance figures are for the periods ended May 31, 2020. 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 Commencement of Operations (1)
Horizon Defined Risk Fund - Investor Class	3.01%	1.73%
Horizon Defined Risk Fund - Advisor Class	2.87%	1.18%
Bloomberg Barclays US Treasury 1-3 Years Index	4.64%	3.38%(2)
S&P 500 Total Return Index	12.84%	7.39%(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 3.66%, and 6.40%, respectively.

The Bloomberg Barclays U S Treasury 1-3 Years Index measures the performance of the US government bond market and includes public obligations of the U S Treasury with a maturity between 1 and up to (but not including) 3 years. Index returns do not reflect the effects of fees or expenses. Investors cannot invest directly in an index or benchmark.

The S&P 500 Total Return Index is an unmanaged market capitalization-weighted index which is comprised of the largest U.S. domiciled companies and includes the reinvestment of all dividends. Index returns do not reflect the effects of fees or expenses. Investors cannot invest directly in an index or benchmark.

5

Horizon Multi-Asset Income Fund
PORTFOLIO REVIEW (Unaudited)
May 31, 2020

The chart above assumes an initial gross investment of $10,000 made on June 26, 2019. The Fund’s performance figures are for the periods ended May 31, 2020. 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	Since Commencement of Operations (1)
Horizon Multi-Asset Income Fund - Investor Class	-13.78%
Horizon Multi-Asset Income Fund - Advisor Class	-20.12%
Bloomberg Barclays Aggregate Bond Index	8.41%(2)
S&P Global BMI ex-US Index	-7.58%(2)

⁽¹⁾ Inception date is June 26, 2019 for Investor Class Shares and January 31, 2020 for Advisor Class Shares.

⁽²⁾ The Since Commencement of Operations returns shown are from the commencement date of Horizon Multi-Asset Income Fund - Investor Class. The returns for the Bloomberg Barclays US Aggregate Bond Index and the S&P Global BMI ex-US Index since the commencement date of the Horizon Multi-Asset Income Fund - Advisor Class are 3.48%, and -12.24%, 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 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 Defensive Multi-Factor Fund
PORTFOLIO REVIEW (Unaudited)
May 31, 2020

The chart above assumes an initial gross investment of $10,000 made on June 26, 2019. The Fund’s performance figures are for the periods ended May 31, 2020. 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	Since Commencement of Operations (1)
Horizon Defensive Multi-Factor Fund - Investor Class	-5.20%
Horizon Defensive Multi-Factor Fund - Advisor Class	-9.91%
S&P 500 Total Return Index	6.44%(2)

⁽¹⁾ Inception date is June 26, 2019 for Investor Class Shares and January 31, 2020 for Advisor Class Shares.

⁽²⁾ The Since Commencement of Operations returns shown are from the commencement date of Horizon Defensive Multi-Factor Fund - Investor Class. The returns for the S&P 500 Total Return Index since the commencement date of the Horizon Defensive Multi-Factor Fund - Advisor Class are -4.93%.

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.

7

Horizon ESG Defensive Core Fund
PORTFOLIO REVIEW (Unaudited)
May 31, 2020

The chart above assumes an initial gross investment of $10,000 made on December 26, 2019. The Fund’s performance figures are for the periods ended May 31, 2020. 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	Since Commencement of Operations (1)
Horizon ESG Defensive Core Fund - Investor Class	-3.40%
Horizon ESG Defensive Core Fund - Advisor Class	-3.79%
MSCI USA Index	-4.60%(2)

⁽¹⁾ Inception date for Investor and Advisor Class is December 26, 2019 and January 8, 2020, respectively.

⁽²⁾ The Since Commencement of Operations returns shown are from the commencement date of Horizon ESG Defensive Core Fund - Investor Class. The return for the MSCI USA Index since the commencement date of the Horizon ESG Defensive Core Fund - Advisor Class is -5.11%.

The MSCI USA Index is designed to measure the performance of the large and mid cap segments of the US market. With 616 consituents, the index covers approximately 85% of the free float-adjusted market capitalization in the U S. Index returns do not reflect the effects of fees or expenses. Investors cannot invest directly in an index or benchmark.

8

Horizon Funds

Portfolio Composition (Unaudited)
May 31, 2020

Horizon Active Asset Allocation Fund Portfolio Composition as of May 31, 2020:

	% of Total Investments
Investment Companies	72.9%
Common Stocks	1.6%
Purchased Call Options	0.0%(a)
Purchased Put Options	0.0%(a)
Short-Term Investments	0.9%
Investments Purchased With Proceeds From Securities Lending	24.6%
	100.0%

Horizon Active Risk Assist^® Fund Portfolio Composition as of May 31, 2020:

	% of Total Investments
Investment Companies	83.8%
Common Stocks	1.2%
Purchased Put Options	0.2%
Short-Term Investments	0.8%
Investments Purchased With Proceeds From Securities Lending	14.0%
	100.0%

Horizon Active Income Fund Portfolio Composition as of May 31, 2020:

	% of Total Investments
Investment Companies	96.6%
Short-Term Investments	0.8%
Investments Purchased With Proceeds From Securities Lending	2.6%
	100.0%

Horizon Active Dividend Fund Portfolio Composition as of May 31, 2020:

	% of Total Investments
Common Stocks	93.0%
Preferred Stocks	0.2%
Convertible Preferred Stocks	0.4%
Purchased Put Options	0.1%
Short-Term Investments	3.2%
Investments Purchased With Proceeds From Securities Lending	3.1%
	100.0%

9

Horizon Funds
PORTFOLIO COMPOSITION (Unaudited) (Continued)
May 31, 2020

Horizon Defined Risk Fund Portfolio Composition as of May 31, 2020:

	% of Total Investments
Common Stocks	98.4%
Purchased Call Options	0.2%
Purchased Put Options	1.0%
Short-Term Investments	0.1%
Investments Purchased With Proceeds From Securities Lending	0.3%
	100.0%

Horizon Multi-Asset Income Fund Portfolio Composition as of May 31, 2020:

	% of Total Investments
Investment Companies	70.8%
Common Stocks	19.5%
Convertible Preferred Stocks	0.0%(a)
Preferred Stocks	5.6%
Purchased Put Options	0.0%(a)
Short-Term Investments	2.0%
Investments Purchased With Proceeds From Securities Lending	2.1%
	100.0%

Horizon Defensive Multi-Factor Fund Portfolio Composition as of May 31, 2020:

	% of Total Investments
Investment Companies	9.2%
Common Stocks	90.0%
Short-Term Investments	0.5%
Investments Purchased With Proceeds From Securities Lending	0.3%
	100.0%

Horizon ESG Defensive Core Fund Portfolio Composition as of May 31, 2020:

	% of Total Investments
Common Stocks	96.8%
Rights	0.1%
Short-Term Investments	3.1%
	100.0%

Data expressed excludes written options. Please refer to the Portfolios of Investments in this report for a detailed analysis of the Funds’ holdings.

^(a) Rounds to less than 0.1%

10

Horizon Active Asset Allocation Fund

Portfolio of Investments (Unaudited)
May 31, 2020

Shares			Value
		EXCHANGE TRADED FUNDS - 96.5%
	363,470	Invesco QQQ Trust Series 1 (f)	$	84,819,359
	233,341	Invesco S&P 500 Equal Weight ETF (f)		23,499,772
	439,894	iShares Edge MSCI USA Momentum Factor ETF (f)		55,391,452
	714,624	iShares Edge MSCI USA Quality Factor ETF		68,675,366
	350,529	iShares MSCI All Country Asia ex Japan ETF (f)		22,668,710
	110,209	Janus Henderson Small/Mid Cap Growth Alpha ETF (f)(g)		5,044,696
	281,378	Schwab U.S. Large-Cap Value ETF		14,223,658
	2,668,840	SPDR Portfolio Developed World ex-US ETF (f)		71,978,615
	1,477,666	SPDR Portfolio S&P 500 Growth ETF (e)		63,909,055
	1,045,103	SPDR Portfolio S&P 500 Value ETF (e)		30,851,441
	502,646	Xtrackers MSCI USA ESG Leaders Equity ETF		14,109,273
	203,545	Xtrackers S&P 500 ESG ETF (f)		5,426,510
		TOTAL EXCHANGE TRADED FUNDS (Cost - $441,686,414)		460,597,907
		COMMON STOCKS - 2.1%
		Aerospace-Defense - 0.0% (b)
	279	Lockheed Martin Corp.		108,375
	194	Northrop Grumman Corp.		65,029
				173,404
		Apparel - 0.0% (b)
	1,036	Nike, Inc. - Class B		102,129
		Auto Manufacturers - 0.0% (b)
	520	PACCAR, Inc.		38,407
		Banks - 0.0% (b)
	583	State Street Corp.		35,540
		Biotechnology - 0.1%
	693	Amgen, Inc.		159,182
	1,740	Gilead Sciences, Inc.		135,424
	462	Incyte Corp. (a)		47,082
	176	Regeneron Pharmaceuticals, Inc. (a)		107,855
	404	Vertex Pharmaceuticals, Inc. (a)		116,336
				565,879
		Chemicals - 0.1%
	273	Air Products & Chemicals, Inc.		65,970
	365	FMC Corp.		35,920
	261	International Flavors & Fragrances, Inc.		34,763
	472	Linde PLC		95,504
	95	Sherwin-Williams Co.		56,416
				288,573

See accompanying notes to financial statements.

11

Horizon Active Asset Allocation Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2020

Shares			Value
		Commercial Services - 0.1%
	623	IHS Markit, Ltd.	$	43,274
	277	Moody’s Corp.		74,072
	786	Rollins, Inc.		32,855
	300	S&P Global, Inc.		97,506
	276	Verisk Analytics, Inc.		47,660
				295,367
		Computers - 0.0% (b)
	422	Fortinet, Inc. (a)		58,742
		Distribution/Wholesale - 0.0% (b)
	962	Fastenal Co.		39,692
		Diversified Financial Services - 0.1%
	162	BlackRock, Inc.		85,640
	308	CME Group, Inc.		56,241
	577	Intercontinental Exchange, Inc.		56,113
	364	Nasdaq, Inc.		43,119
	381	T. Rowe Price Group, Inc.		46,063
				287,176
		Electric - 0.1%
	500	Ameren Corp.		37,365
	540	Eversource Energy		45,198
	525	NextEra Energy, Inc.		134,169
	1,122	Southern Co.		64,032
	509	WEC Energy Group, Inc.		46,691
	752	Xcel Energy, Inc.		48,903
				376,358
		Electrical Components & Equipment - 0.0% (b)
	277	L3Harris Technologies, Inc.		55,248
		Electronics - 0.0% (b)
	378	Garmin, Ltd.		34,084
		Engineering & Construction - 0.0% (b)
	363	Jacobs Engineering Group, Inc.		30,499
		Finance and Insurance - 0.0% (b)
	285	Aon Plc, - Class A		56,131
	99	MarketAxess Holdings, Inc.		50,350
				106,481

See accompanying notes to financial statements.

12

Horizon Active Asset Allocation Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2020

Shares			Value
		Food - 0.1%
	739	Campbell Soup Co.	$	37,674
	1,114	Conagra Brands, Inc.		38,756
	950	General Mills, Inc.		59,888
	1,092	Hormel Foods Corp.		53,322
	641	Kellogg Co.		41,864
	1,658	Kroger Co.		54,084
				285,588
		Healthcare Products - 0.0% (b)
	325	ResMed, Inc.		52,266
	456	Thermo Fisher Scientific, Inc.		159,231
				211,497
		Healthcare Services - 0.1%
	986	Centene Corp. (a)		65,323
	485	DaVita, Inc. (a)		39,266
	213	Humana, Inc.		87,468
	884	UnitedHealth Group, Inc.		269,487
				461,544
		Household Products/Wares - 0.0% (b)
	259	Clorox Co.		53,419
		Information - 0.1%
	1,641	Microsoft Corp.		300,713
		Insurance - 0.0% (b)
	427	Allstate Corp.		41,765
	421	Arthur J Gallagher & Co.		39,692
	271	Assurant, Inc.		27,799
	770	Progressive Corp.		59,814
				169,070
		Internet - 0.1%
	118	Amazon.com, Inc. (a)		288,200
	928	eBay, Inc.		42,261
	436	Netflix, Inc. (a)		183,002
				513,463
		Machinery - Diversified - 0.0% (b)
	205	Rockwell Automation, Inc.		44,313
		Manufacturing - 0.1%
	1,010	Apple, Inc.		321,119
	204	IDEX Corp.		32,512
	1,043	Ingersoll Rand, Inc. (a)		29,413

See accompanying notes to financial statements.

13

Horizon Active Asset Allocation Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2020

Shares			Value
	1,133	Raytheon Technologies Corp.	$	73,101
				456,145
		Media - 0.0% (b)
	257	Charter Communications, Inc. - Class A (a)		139,808
		Mining - 0.0% (b)
	1,328	Newmont Goldcorp Corp.		77,648
		Miscellaneous Manufacturing - 0.0% (b)
	527	Eaton Corp PLC		44,742
	352	Illinois Tool Works, Inc.		60,706
				105,448
		Oil & Gas - 0.0% (b)
	2,275	Apache Corp.		24,547
	1,348	Cabot Oil & Gas Corp.		26,744
	850	Chevron Corp.		77,945
	512	Concho Resources, Inc.		27,914
	359	Pioneer Natural Resources Co.		32,885
				190,035
		Packaging & Containers - 0.0% (b)
	581	Ball Corp.		41,402
		Pharmaceuticals - 0.1%
	2,824	Bristol-Myers Squibb Co.		168,649
	481	Cigna Corp.		94,911
	1,210	Eli Lilly & Co.		185,070
				448,630
		Pipelines - 0.0% (b)
	2,479	Kinder Morgan, Inc.		39,168
	1,797	Williams Cos., Inc.		36,713
				75,881
		Professional, Scientific, and Technical Services - 0.0% (b)
	302	Biogen, Inc. (a)		92,741
	256	ServiceNow, Inc. (a)		99,310
				192,051
		Real Estate Investment Trusts - 0.1%
	236	Alexandria Real Estate Equities, Inc.		36,278
	491	American Tower Corp.		126,761
	577	Crown Castle International Corp.		99,336
	404	Digital Realty Trust, Inc.		57,998
	984	Duke Realty Corp.		33,928
	132	Equinix, Inc.		92,087

See accompanying notes to financial statements.

14

Horizon Active Asset Allocation Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2020

Shares			Value
	831	Prologis, Inc.	$	76,037
	212	SBA Communications Corp.		66,596
				589,021
		Retail - 0.2%
	31	AutoZone, Inc. (a)		35,584
	477	Best Buy Co., Inc.		37,249
	45	Chipotle Mexican Grill, Inc. (a)		45,176
	459	Costco Wholesale Corp.		141,588
	401	Dollar General Corp.		76,795
	552	Home Depot, Inc.		137,161
	515	Lowe’s Cos., Inc.		67,130
	419	McDonald’s Corp.		78,068
	90	O’Reilly Automotive, Inc. (a)		37,551
	805	Starbucks Corp.		62,782
	569	Target Corp.		69,606
	304	Tractor Supply Co.		37,094
	2,184	Walmart, Inc.		270,947
				1,096,731
		Semiconductors - 0.2%
	1,870	Advanced Micro Devices, Inc. (a)		100,606
	1,202	Applied Materials, Inc.		67,528
	3,849	Intel Corp.		242,218
	247	Lam Research Corp.		67,596
	804	NVIDIA Corp.		285,436
	371	Qorvo, Inc. (a)		38,859
				802,243
		Software - 0.2%
	1,225	Activision Blizzard, Inc.		88,175
	544	Adobe, Inc. (a)		210,310
	408	Akamai Technologies, Inc. (a)		43,166
	186	ANSYS, Inc. (a)		52,638
	524	Cadence Design Systems, Inc. (a)		47,836
	323	Citrix Systems, Inc.		47,843
	492	Electronic Arts, Inc. (a)		60,457
	224	Jack Henry & Associates, Inc.		40,513
	411	Leidos Holdings, Inc.		43,274
	174	MSCI, Inc.		57,220
	281	Synopsys, Inc. (a)		50,836
	293	Take-Two Interactive Software, Inc. (a)		39,898
				782,166
		Telecommunications - 0.0% (b)
	1,452	T-Mobile US, Inc. (a)		145,258

See accompanying notes to financial statements.

15

Horizon Active Asset Allocation Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2020

Shares					Value
		Transportation - 0.0% (b)
	288	JB Hunt Transport Services, Inc.			$	34,465
	255	Kansas City Southern				38,383
						72,848
		Transportation and Warehousing - 0.0% (b)
	290	Old Dominion Freight Line, Inc.				49,616
		Water - 0.0% (b)
	336	American Water Works Co., Inc.				42,672
		TOTAL COMMON STOCKS (Cost - $9,323,990)				9,834,789
Contracts			Notional Amount
		PURCHASED OPTIONS - 0.0% (a)(b)(c)
		PURCHASED PUT OPTIONS - 0.0%
		CBOE Volatility Index
	2,500	Expiration: August 2020, Exercise Price: $16.00 (h)	$	6,877,500		18,750
		iShares U.S. Real Estate ETF
	600	Expiration: June 2020, Exercise Price: $60.00 (h)		4,645,200		6,000
		CBOE Volatility Index
	5,000	Expiration: June 2020, Exercise Price: $17.00 (h)		13,755,000		12,500
		TOTAL PURCHASED PUT OPTIONS (Cost - $571,969)				37,250
		PURCHASED CALL OPTIONS - 0.0%
		SPDR S&P 500 ETF Trust
	1,000	Expiration: July 2020, Exercise Price: $337		30,432,000		51,000
		TOTAL PURCHASED CALL OPTIONS (Cost - $1,151,404)				51,000
		TOTAL PURCHASED OPTIONS (Cost - $1,723,373)				88,250

See accompanying notes to financial statements.

16

Horizon Active Asset Allocation Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2020

Shares					Value
		SHORT TERM INVESTMENTS - 1.2%
		Money Market Funds - 1.2%
	5,534,918	First American Treasury Obligations Fund, Class X, 0.10% (d)			$	5,534,918
		TOTAL SHORT TERM INVESTMENTS (Cost - $5,534,918)				5,534,918
		INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING - 32.6%
	155,572,046	First American Government Obligations Fund, Class Z, 0.04% (d)				155,572,046
		TOTAL INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING (Cost - $155,572,046)				155,572,046
		TOTAL INVESTMENTS - 132.4% (Cost - $613,840,741)				631,627,910
		Liabilities in Excess of Other Assets - (32.4)%				(154,393,731	)
		NET ASSETS - 100.0%			$	477,234,179
Contracts			Notional Value
		SCHEDULE OF WRITTEN OPTIONS - (0.0)% (a)(b)(c)
		SCHEDULE OF WRITTEN PUT OPTIONS - (0.0)% (b)
	5,000	CBOE Volatility Index
		Expiration: August 2020, Exercise Price $14	$	13,755,000		12,500
	600	iShares U.S. Real Estate ETF
		Expiration: June 2020, Exercise Price $50		4,645,200		1,200
	10,000	CBOE Volatility Index
		Expiration: June 2020, Exercise Price $15		27,510,000		25,000
		TOTAL WRITTEN PUT OPTIONS (Premiums Received $466,339)				38,700
		TOTAL OPTIONS WRITTEN (Premiums Received $466,339)			$	38,700

Percentages are stated as a percent of net assets.

(a) Non-income producing security.

(b) Rounds to less than 0.1%.

(c) Each Option is exercisable into 100 shares of the underlying security.

(d) Money Market Fund; interest rate reflects seven-day yield on May 31, 2020.

(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 $37,758,000.

(f) All or a portion of this security is out on loan as of May 31, 2020.

(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.

17

Horizon Active Risk Assist^® Fund
PORTFOLIO OF INVESTMENTS (Unaudited)
May 31, 2020

Shares			Value
		INVESTMENT COMPANIES - 97.7%
		Exchange Traded Funds - 97.7%
	128,356	Invesco QQQ Trust Series 1 (f)	$	29,953,156
	264,475	Invesco S&P 500 Equal Weight ETF (f)		26,635,277
	219,068	iShares Edge MSCI USA Quality Factor ETF		21,052,435
	4,552,971	SPDR Bloomberg Barclays 1-3 Month T-Bill ETF (e)(i)		416,733,436
	2,805,389	SPDR Portfolio Developed World ex-US ETF (f)		75,661,341
	1,339,621	SPDR Portfolio Emerging Markets ETF (f)		42,318,627
	1,868,850	SPDR Portfolio S&P 500 Growth ETF		80,827,763
	2,777,829	SPDR Portfolio S&P 500 Value ETF (f)		82,001,512
	451,849	Xtrackers MSCI USA ESG Leaders Equity ETF (f)		12,683,401
	276,556	XTrackers Russell 1000 Comprehensive Factor ETF (f)(g)		8,802,777
	453,789	XTrackers Russell 1000 US QARP ETF (g)		12,674,327
	340,069	Xtrackers S&P 500 ESG ETF (f)(g)		9,066,240
		TOTAL EXCHANGE TRADED FUNDS (Cost - $805,041,419)		818,410,292
		COMMON STOCKS - 1.3%
		Advertising - 0.0% (b)
	2,851	Interpublic Group of Cos., Inc.		48,781
	509	Omnicom Group, Inc.		27,888
				76,669
		Aerospace/Defense - 0.0% (b)
	33	General Dynamics Corp.		4,845
	117	Lockheed Martin Corp.		45,448
	96	Northrop Grumman Corp.		32,179
	17	TransDigm Group, Inc.		7,222
				89,694
		Agriculture - 0.0% (b)
	311	Archer-Daniels-Midland Co.		12,225
		Agriculture, Forestry, Fishing and Hunting - 0.0% (b)
	452	Corteva, Inc.		12,344
		Airlines - 0.0% (b)
	664	Alaska Air Group, Inc.		22,702
	1,221	American Airlines Group, Inc. (f)		12,821
	172	Delta Air Lines, Inc.		4,336
	232	United Airlines Holdings, Inc. (a)(f)		6,505
				46,364
		Apparel - 0.0% (b)
	2,756	Capri Holdings, Ltd. (a)		41,450
	4,051	Hanesbrands, Inc.		39,943
	432	Nike, Inc.		42,587

See accompanying notes to financial statements.

18

Horizon Active Risk Assist^® Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2020

Shares			Value
	615	PVH Corp.	$	27,964
	329	Ralph Lauren Corp., Class A		24,843
	2,782	Under Armour, Inc., Class A (a)		24,342
	110	VF Corp.		6,171
				207,300
		Arts, Entertainment, and Recreation - 0.0% (b)
	688	Live Nation Entertainment, Inc. (a)		33,822
		Auto Manufacturers - 0.0% (b)
	1,242	Ford Motor Co.		7,092
	181	General Motors Co.		4,684
	388	PACCAR, Inc.		28,658
				40,434
		Auto Parts & Equipment - 0.0% (b)
	156	Aptiv PLC		11,755
	1,330	BorgWarner, Inc.		42,759
				54,514
		Banks - 0.0% (b)
	188	Bank of New York Mellon Corp.		6,988
	72	Capital One Financial Corp.		4,899
	567	Citizens Financial Group, Inc.		13,665
	633	Comerica, Inc.		23,009
	561	Fifth Third Bancorp		10,878
	1,712	Huntington Bancshares, Inc.		15,220
	909	KeyCorp		10,772
	91	M&T Bank Corp.		9,615
	165	Northern Trust Corp.		13,037
	1,355	Regions Financial Corp.		15,325
	407	State Street Corp.		24,811
	106	SVB Financial Group (a)		22,763
	997	Zions Bancorp NA		32,806
				203,788
		Beverages - 0.0% (b)
	40	Constellation Brands, Inc., Class A		6,908
	489	Molson Coors Brewing Co.		18,562
	124	Monster Beverage Corp. (a)		8,917
				34,387
		Biotechnology - 0.1%
	289	Amgen, Inc.		66,383
	144	Biogen, Inc. (a)		44,221
	723	Gilead Sciences, Inc.		56,271
	28	Illumina, Inc. (a)		10,166

See accompanying notes to financial statements.

19

Horizon Active Risk Assist^® Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2020

Shares			Value
	432	Incyte Corp. (a)		44,025
	88	Regeneron Pharmaceuticals, Inc. (a)	$	53,927
	192	Vertex Pharmaceuticals, Inc. (a)		55,289
				330,282
		Building Materials - 0.0% (b)
	467	Fortune Brands Home & Security, Inc.		28,468
	238	Johnson Controls International PLC		7,476
	82	Martin Marietta Materials, Inc.		15,751
	541	Masco Corp.		25,238
	143	Vulcan Materials Co.		15,490
				92,423
		Chemicals - 0.1%
	138	Air Products & Chemicals, Inc.		33,348
	366	Albemarle Corp.		28,006
	245	Celanese Corp.		22,028
	945	CF Industries Holdings, Inc.		27,755
	199	Dow, Inc.		7,681
	466	Eastman Chemical Co.		31,725
	383	FMC Corp.		37,691
	274	International Flavors & Fragrances, Inc.		36,494
	197	Linde PLC		39,861
	150	LyondellBasell Industries NV, Class A		9,564
	2,269	Mosaic Co.		27,432
	101	PPG Industries, Inc.		10,269
	50	Sherwin-Williams Co.		29,693
				341,547
		Commercial Services - 0.1%
	40	Automatic Data Processing, Inc.		5,860
	36	Cintas Corp.		8,927
	27	Ecolab, Inc. (f)		5,740
	105	Equifax, Inc.		16,124
	68	FleetCor Technologies, Inc. (a)		16,578
	269	Gartner, Inc. (a)		32,737
	44	Global Payments, Inc.		7,898
	2,792	H&R Block, Inc.		47,464
	390	IHS Markit, Ltd.		27,089
	139	Moody’s Corp.		37,170
	1,927	Nielsen Holdings PLC		26,766
	1,424	Quanta Services, Inc.		52,588
	869	Robert Half International, Inc.		44,093
	924	Rollins, Inc.		38,623
	125	S&P Global, Inc.		40,627
	211	United Rentals, Inc. (a)		29,306

See accompanying notes to financial statements.

20

Horizon Active Risk Assist^® Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2020

Shares			Value
	183	Verisk Analytics, Inc.		31,600
	1,986	Western Union Co.	$	39,760
				508,950
		Computers - 0.1%
	421	Apple, Inc.		133,852
	211	Cognizant Technology Solutions Corp., Class A		11,183
	2,695	DXC Technology Co.		38,296
	430	Fortinet, Inc. (a)		59,856
	2,120	Hewlett Packard Enterprise Co.		20,585
	920	NetApp, Inc.		40,977
	722	Seagate Technology PLC		38,295
	440	Western Digital Corp.		19,523
				362,567
		Construction - 0.0% (b)
	96	Las Vegas Sands Corp.		4,602
	10	NVR, Inc. (a)		32,216
				36,818
		Cosmetics/Personal Care - 0.0% (b)
	3,772	Coty, Inc., Class A		13,692
		Distribution/Wholesale - 0.0% (b)
	157	Copart, Inc. (a)		14,034
	785	Fastenal Co.		32,389
	887	LKQ Corp. (a)		24,357
	66	WW Grainger, Inc.		20,435
				91,215
		Diversified Financial Services - 0.1%
	1,191	Alliance Data Systems Corp.		55,179
	92	Ameriprise Financial, Inc.		12,886
	68	BlackRock, Inc.		35,948
	183	CBOE Global Markets, Inc.		19,482
	129	Charles Schwab Corp.		4,632
	128	CME Group, Inc.		23,373
	191	Discover Financial Services		9,074
	1,066	Franklin Resources, Inc.		20,115
	302	Intercontinental Exchange, Inc.		29,370
	2,494	Invesco, Ltd.		19,877
	293	Nasdaq, Inc.		34,709
	253	Raymond James Financial, Inc.		17,528
	493	Synchrony Financial		10,042
	235	T. Rowe Price Group, Inc.		28,412
				320,627

See accompanying notes to financial statements.

21

Horizon Active Risk Assist^® Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2020

Shares			Value
		Electric - 0.1%
	1,163	AES Corp.	$	14,526
	360	Alliant Energy Corp.		17,770
	378	Ameren Corp.		28,248
	62	American Electric Power Co., Inc.		5,285
	972	CenterPoint Energy, Inc.		17,282
	232	CMS Energy Corp.		13,591
	115	Consolidated Edison, Inc.		8,632
	88	DTE Energy Co.		9,466
	147	Edison International		8,542
	93	Entergy Corp.		9,469
	262	Evergy, Inc.		16,163
	329	Eversource Energy		27,537
	134	Exelon Corp.		5,133
	225	FirstEnergy Corp.		9,508
	219	NextEra Energy, Inc.		55,968
	873	NRG Energy, Inc.		31,472
	270	Pinnacle West Capital Corp.		21,033
	328	PPL Corp.		9,164
	177	Public Service Enterprise Group, Inc.		9,034
	47	Sempra Energy		5,937
	465	Southern Co.		26,538
	304	WEC Energy Group, Inc.		27,886
	431	Xcel Energy, Inc.		28,028
				406,212
		Electrical Components & Equipment - 0.0% (b)
	150	AMETEK, Inc.		13,756
	105	Emerson Electric Co.		6,407
	145	L3Harris Technologies, Inc.		28,920
	1,862	Xerox Holdings Corp.		29,569
				78,652
		Electronics - 0.0% (b)
	160	Agilent Technologies, Inc.		14,102
	208	Allegion PLC		20,738
	178	Amphenol Corp., Class A		17,188
	937	Corning, Inc.		21,354
	1,198	FLIR Systems, Inc.		55,348
	174	Fortive Corp.		10,610
	322	Garmin, Ltd.		29,035
	304	Keysight Technologies, Inc. (a)		32,872
	26	Mettler-Toledo International, Inc. (a)		20,670
	372	PerkinElmer, Inc.		37,375
	194	TE Connectivity, Ltd.		15,762

See accompanying notes to financial statements.

22

Horizon Active Risk Assist^® Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2020

Shares			Value
	114	Waters Corp. (a)	$	22,783
				297,837
		Engineering & Construction - 0.0% (b)
	373	Jacobs Engineering Group, Inc.		31,339
		Environmental Control - 0.0% (b)
	969	Pentair PLC		37,927
	99	Republic Services, Inc.		8,460
	47	Waste Management, Inc.		5,017
				51,404
		Finance and Insurance - 0.0% (b)
	145	Aon Plc		28,558
	142	First Republic Bank		15,360
	110	MarketAxess Holdings, Inc.		55,945
	286	WR Berkley Corp.		16,574
				116,437
		Food - 0.0% (b)
	748	Campbell Soup Co.		38,133
	1,224	Conagra Brands, Inc.		42,583
	571	General Mills, Inc.		35,996
	57	Hershey Co.		7,734
	737	Hormel Foods Corp.		35,988
	219	J.M. Smucker Co.		24,951
	483	Kellogg Co.		31,545
	363	Kraft Heinz Co.		11,060
	1,116	Kroger Co.		36,404
	231	Lamb Weston Holdings, Inc.		13,874
	107	Sysco Corp.		5,902
	151	Tyson Foods, Inc., Class A		9,277
				293,447
		Forest Products & Paper - 0.0% (b)
	468	International Paper Co.		15,935
		Gas - 0.0% (b)
	186	Atmos Energy Corp.		19,117
	977	NiSource, Inc.		23,282
				42,399
		Hand/Machine Tools - 0.0% (b)
	228	Snap-on, Inc.		29,569
	88	Stanley Black & Decker, Inc.		11,040
				40,609

See accompanying notes to financial statements.

23

Horizon Active Risk Assist^® Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2020

Shares			Value
		Healthcare Products - 0.1%
	270	ABIOMED, Inc. (a)	$	60,453
	73	Align Technology, Inc. (a)		17,930
	80	Baxter International, Inc.		7,201
	55	Cooper Cos., Inc.		17,434
	509	Dentsply Sirona, Inc.		23,679
	31	Edwards Lifesciences Corp. (a)		6,966
	535	Henry Schein, Inc. (a)		32,485
	480	Hologic, Inc. (a)		25,440
	53	IDEXX Laboratories, Inc. (a)		16,371
	213	ResMed, Inc.		34,255
	55	Teleflex, Inc.		19,957
	190	Thermo Fisher Scientific, Inc.		66,346
	198	Varian Medical Systems, Inc. (a)		24,035
	67	Zimmer Biomet Holdings, Inc.		8,465
				361,017
		Healthcare Services - 0.0% (b)
	578	Centene Corp. (a)		38,292
	577	DaVita, Inc. (a)		46,714
	51	HCA Healthcare, Inc.		5,452
	111	Humana, Inc.		45,582
	69	IQVIA Holdings, Inc. (a)		10,317
	94	Laboratory Corp. of America Holdings (a)		16,480
	192	Quest Diagnostics, Inc.		22,710
	370	UnitedHealth Group, Inc.		112,794
	188	Universal Health Services, Inc.		19,825
				318,166
		Healthcare-Products - 0.0% (b)
	139	Boston Scientific Corp. (a)		5,281
		Home Builders - 0.0% (b)
	218	DR Horton, Inc.		12,056
	196	Lennar Corp., Class A		11,850
	522	PulteGroup, Inc.		17,732
				41,638
		Home Furnishings - 0.0% (b)
	1,160	Leggett & Platt, Inc.		35,484
	223	Whirlpool Corp.		27,166
				62,650
		Household Products/Wares - 0.0% (b)
	230	Avery Dennison Corp.		25,454
	218	Church & Dwight Co., Inc.		16,365
	194	Clorox Co.		40,013

See accompanying notes to financial statements.

24

Horizon Active Risk Assist^® Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2020

Shares			Value
	46	Kimberly-Clark Corp.	$	6,506
				88,338
		Housewares - 0.0% (b)
	2,101	Newell Brands, Inc.		27,628
		Information - 0.0% (b)
	97	Paycom Software, Inc. (a)		28,831
		Insurance - 0.0% (b)
	177	Aflac, Inc.		6,455
	245	Allstate Corp.		23,963
	167	American International Group, Inc.		5,020
	320	Arthur J Gallagher & Co.		30,170
	387	Assurant, Inc.		39,699
	165	Cincinnati Financial Corp.		9,727
	95	Everest Re Group Ltd.		18,849
	255	Globe Life, Inc.		19,640
	269	Hartford Financial Services Group, Inc.		10,300
	544	Lincoln National Corp.		20,634
	400	Loews Corp.		13,296
	48	Marsh & McLennan Cos., Inc.		5,084
	141	MetLife, Inc.		5,077
	432	Principal Financial Group, Inc.		16,684
	399	Progressive Corp.		30,994
	104	Prudential Financial, Inc.		6,340
	69	Travelers Cos., Inc.		7,382
	2,121	Unum Group		32,133
				301,447
		Internet - 0.1%
	49	Amazon.com, Inc. (a)		119,676
	642	eBay, Inc.		29,237
	167	Expedia Group, Inc.		13,273
	497	F5 Networks, Inc. (a)		72,025
	182	Netflix, Inc. (a)		76,391
	631	Twitter, Inc. (a)		19,542
	109	VeriSign, Inc. (a)		23,872
				354,016
		Iron/Steel - 0.0% (b)
	469	Nucor Corp.		19,820
		Leisure Time - 0.0% (b)
	200	Carnival Corp. (f)		3,148
	1,626	Harley-Davidson, Inc.		34,699

See accompanying notes to financial statements.

25

Horizon Active Risk Assist^® Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2020

Shares			Value
	801	Norwegian Cruise Line Holdings, Ltd. (a)	$	12,543
	156	Royal Caribbean Cruises, Ltd.		8,092
				58,482
		Lodging - 0.0% (b)
	96	Hilton Worldwide Holdings, Inc.		7,614
	51	Marriott International, Inc.		4,513
	682	MGM Resorts International		11,717
	185	Wynn Resorts, Ltd.		15,407
				39,251
		Machinery - Diversified - 0.0% (b)
	77	Cummins, Inc.		13,059
	34	Deere & Co.		5,172
	165	Dover Corp.		16,046
	1,249	Flowserve Corp.		32,599
	150	Rockwell Automation, Inc.		32,424
	22	Roper Technologies, Inc.		8,664
	291	Wabtec Corp.		17,771
	229	Xylem, Inc.		15,192
				140,927
		Manufacturing - 0.0% (b)
	1,895	Amcor Plc		19,348
	163	Arconic Corp. (a)		2,359
	655	Howmet Aerospace, Inc.		8,567
	230	IDEX Corp.		36,655
	493	Ingersoll Rand, Inc. (a)		13,903
	472	Raytheon Technologies Corp.		30,453
	135	STERIS Plc		22,395
	65	Trane Technologies Plc		5,864
	185	Zebra Technologies Corp. (a)		48,344
				187,888
		Media - 0.0% (b)
	118	Charter Communications, Inc., Class A (a)		64,192
	1,582	Discovery, Inc., Class A (a)(f)		34,408
	841	DISH Network Corp., Class A (a)		26,618
				125,218
		Mining - 0.0% (b)
	1,733	Freeport-McMoRan, Inc.		15,718
	705	Newmont Goldcorp Corp.		41,222
				56,940
		Miscellaneous Manufacturing - 0.0% (b)
	1,060	AO Smith Corp.		50,350
	293	Eaton Corp PLC		24,876

See accompanying notes to financial statements.

26

Horizon Active Risk Assist^® Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2020

Shares			Value
	177	Illinois Tool Works, Inc.	$	30,525
	60	Parker-Hannifin Corp.		10,798
	674	Textron, Inc.		20,874
				137,423
		Oil & Gas - 0.1%
	2,143	Apache Corp.		23,123
	3,875	Cabot Oil & Gas Corp.		76,880
	354	Chevron Corp.		32,462
	2,124	Cimarex Energy Co.		55,819
	504	Concho Resources, Inc.		27,478
	94	ConocoPhillips		3,965
	2,372	Devon Energy Corp.		25,641
	408	Diamondback Energy, Inc.		17,373
	113	EOG Resources, Inc.		5,760
	1,680	Helmerich & Payne, Inc.		33,818
	287	Hess Corp.		13,624
	1,248	HollyFrontier Corp.		39,249
	4,585	Marathon Oil Corp.		24,484
	156	Marathon Petroleum Corp.		5,482
	2,504	Noble Energy, Inc.		21,860
	240	Occidental Petroleum Corp. (a)		3,108
	97	Phillips 66		7,591
	254	Pioneer Natural Resources Co.		23,266
	128	Valero Energy Corp.		8,530
				449,513
		Oil & Gas Services - 0.0% (b)
	1,302	Baker Hughes & GE Co., Class A		21,496
	922	Halliburton Co.		10,833
	1,816	National Oilwell Varco, Inc.		22,646
	243	Schlumberger, Ltd.		4,488
	2,714	TechnipFMC PLC		20,084
				79,547
		Packaging & Containers - 0.0% (b)
	401	Ball Corp.		28,575
	335	Packaging Corp of America		33,972
	1,707	Sealed Air Corp.		54,795
	877	Westrock Co.		24,609
				141,951
		Pharmaceuticals - 0.0% (b)
	174	AmerisourceBergen Corp.		16,589
	1,173	Bristol-Myers Squibb Co.		70,051
	333	Cardinal Health, Inc.		18,212
	200	Cigna Corp.		39,464

See accompanying notes to financial statements.

27

Horizon Active Risk Assist^® Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2020

Shares			Value
	504	Eli Lilly & Co.	$	77,087
	68	McKesson Corp.		10,789
	1,537	Mylan NV (a)		26,237
	644	Perrigo Co. PLC		35,272
	36	Zoetis, Inc., Class A		5,018
				298,719
		Pipelines - 0.0% (b)
	1,330	Kinder Morgan, Inc.		21,014
	132	ONEOK, Inc.		4,843
	1,372	Williams Cos., Inc.		28,030
				53,887
		Professional, Scientific, and Technical Services - 0.0% (b)
	213	CDW Corp/DE		23,624
	130	ServiceNow, Inc. (a)		50,431
				74,055
		Real Estate - 0.0% (b)
	260	CBRE Group, Inc., Class A (a)		11,435
		Real Estate Investment Trusts - 0.1%
	189	Alexandria Real Estate Equities, Inc.		29,053
	691	Apartment Investment & Management Co.		25,477
	99	Boston Properties, Inc.		8,512
	241	Crown Castle International Corp.		41,491
	249	Digital Realty Trust, Inc.		35,747
	997	Duke Realty Corp.		34,377
	65	Equinix, Inc.		45,346
	251	Federal Realty Investment Trust		20,057
	449	Healthpeak Properties, Inc.		11,063
	1,665	Host Hotels & Resorts, Inc.		19,880
	941	Iron Mountain, Inc.		24,240
	1,978	Kimco Realty Corp.		21,976
	346	Prologis, Inc.		31,659
	136	Realty Income Corp.		7,522
	461	Regency Centers Corp.		19,726
	52	Simon Property Group, Inc.		3,000
	486	SL Green Realty Corp.		20,470
	407	UDR, Inc.		15,051
	431	Vornado Realty Trust		15,607
	204	American Tower Corp.		52,667
	44	AvalonBay Communities, Inc.		6,865
	113	Equity Residential		6,843
	44	Essex Property Trust, Inc.		10,682
	197	Extra Space Storage, Inc.		19,060

See accompanying notes to financial statements.

28

Horizon Active Risk Assist^® Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2020

Shares			Value
	126	Mid-America Apartment Communities, Inc.	$	14,661
	34	Public Storage		6,893
	120	SBA Communications Corp.		37,696
	212	Ventas, Inc.		7,409
	103	Welltower, Inc.		5,219
	480	Weyerhaeuser Co.		9,691
				607,940
		Retail - 0.1%
	208	Advance Auto Parts, Inc.		28,979
	24	AutoZone, Inc. (a)		27,549
	346	Best Buy Co., Inc.		27,019
	185	CarMax, Inc. (a)		16,289
	33	Chipotle Mexican Grill, Inc. (a)		33,129
	191	Costco Wholesale Corp.		58,918
	172	Darden Restaurants, Inc.		13,220
	208	Dollar General Corp.		39,834
	144	Dollar Tree, Inc. (a)		14,093
	2,963	Gap, Inc.		26,371
	212	Genuine Parts Co.		17,683
	230	Home Depot, Inc.		57,150
	991	Kohl’s Corp.		19,047
	1,797	L Brands, Inc.		29,093
	214	Lowe’s Cos., Inc.		27,895
	4,017	Macy’s, Inc. (f)		25,548
	175	McDonald’s Corp.		32,606
	1,219	Nordstrom, Inc. (f)		19,662
	62	O’Reilly Automotive, Inc. (a)		25,869
	53	Ross Stores, Inc.		5,139
	334	Starbucks Corp.		26,049
	1,605	Tapestry, Inc.		21,828
	280	Target Corp.		34,252
	387	Tractor Supply Co.		47,222
	61	Ulta Beauty, Inc. (a)		14,885
	907	Walmart, Inc.		112,522
	93	Yum! Brands, Inc.		8,345
				810,196
		Savings & Loans - 0.0% (b)
	2,789	People’s United Financial, Inc.		31,934
		Semiconductors - 0.1%
	963	Advanced Micro Devices, Inc. (a)		51,809
	101	Analog Devices, Inc.		11,408
	648	Applied Materials, Inc.		36,405
	1,593	Intel Corp.		100,248

See accompanying notes to financial statements.

29

Horizon Active Risk Assist^® Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2020

Shares			Value
	552	IPG Photonics Corp. (a)	$	85,781
	141	KLA Corp.		24,810
	142	Lam Research Corp.		38,861
	550	Maxim Integrated Products, Inc.		31,724
	219	Microchip Technology, Inc.		21,028
	156	Micron Technology, Inc. (a)		7,474
	335	NVIDIA Corp.		118,932
	622	Qorvo, Inc. (a)		65,148
	66	QUALCOMM, Inc.		5,338
	253	Skyworks Solutions, Inc.		29,991
	285	Xilinx, Inc.		26,206
				655,163
		Shipbuilding - 0.0% (b)
	141	Huntington Ingalls Industries, Inc.		28,185
		Software - 0.1%
	733	Activision Blizzard, Inc.		52,761
	227	Adobe, Inc. (a)		87,758
	512	Akamai Technologies, Inc. (a)		54,170
	156	ANSYS, Inc. (a)		44,148
	62	Autodesk, Inc. (a)		13,044
	328	Broadridge Financial Solutions, Inc.		39,721
	584	Cadence Design Systems, Inc. (a)		53,313
	191	Cerner Corp.		13,924
	477	Citrix Systems, Inc.		70,653
	396	Electronic Arts, Inc. (a)		48,661
	37	Fidelity National Information Services, Inc.		5,137
	56	Fiserv, Inc. (a)		5,979
	24	Intuit, Inc.		6,968
	333	Jack Henry & Associates, Inc.		60,226
	452	Leidos Holdings, Inc.		47,591
	685	Microsoft Corp.		125,526
	112	MSCI, Inc.		36,831
	192	Paychex, Inc.		13,878
	278	Synopsys, Inc. (a)		50,293
	564	Take-Two Interactive Software, Inc. (a)		76,800
				907,382
		Telecommunications - 0.0% (b)
	149	Arista Networks, Inc. (a)		34,785
	3,426	CenturyLink, Inc.		33,678
	2,926	Juniper Networks, Inc.		70,985
	91	Motorola Solutions, Inc.		12,315

See accompanying notes to financial statements.

30

Horizon Active Risk Assist^® Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2020

Shares					Value
	684	T-Mobile US, Inc. (a)			$	68,427
						220,190
		Textiles - 0.0% (b)
	234	Mohawk Industries, Inc. (a)				21,809
		Toys/Games/Hobbies - 0.0% (b)
	278	Hasbro, Inc.				20,436
		Transportation - 0.0% (b)
	435	CH Robinson Worldwide, Inc.				35,291
	67	CSX Corp.				4,796
	334	Expeditors International of Washington, Inc.				25,508
	51	FedEx Corp.				6,659
	387	JB Hunt Transport Services, Inc.				46,312
	222	Kansas City Southern				33,415
	30	Norfolk Southern Corp.				5,349
						157,330
		Transportation and Warehousing - 0.0% (b)
	246	Old Dominion Freight Line, Inc.				42,088
		Water - 0.0% (b)
	232	American Water Works Co., Inc.				29,464
		Wholesale Trade - 0.0% (b)
	170	DuPont de Nemours, Inc.				8,624
		TOTAL COMMON STOCKS (Cost - $12,352,400)				11,288,742
Contracts			Notional Amount
		PURCHASED OPTIONS - 0.3%
		PURCHASED PUT OPTIONS - 0.3% (a)(c)
		CBOE Volatility Index
	15,000	Expiration: August 2020, Exercise Price: $15	$	41,265,000		37,500
	5,000	Expiration: August 2020, Exercise Price: $16		13,755,000		37,500
		iPath Series B S&P 500 VIX Short-Term Futures ETN (h)
	10,000	Expiration: November 2020, Exercise Price: $20		33,130,000		1,840,000
		iShares U.S. Real Estate ETF (h)
	1,400	Expiration: June 2020, Exercise Price: $60		10,838,800		14,000
		CBOE Volatility Index (h)
	10,000	Expiration: July 2020, Exercise Price: $16		27,510,000		25,000

See accompanying notes to financial statements.

31

Horizon Active Risk Assist^® Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2020

Contracts			Notional Amount		Value
		CBOE Volatility Index
	15,000	Expiration: June 2020, Exercise Price: $14	$	41,265,000	$	37,500
	15,000	Expiration: June 2020, Exercise Price: $17		41,265,000		37,500
		SPDR S&P 500 ETF Trust
	4,000	Expiration: June 2020, Exercise Price: $295		121,728,000		42,000
		TOTAL PURCHASED OPTIONS (Cost - $6,426,258)				2,071,000
Shares
		SHORT TERM INVESTMENTS - 0.9%
		Money Market Funds - 0.9%
	7,422,154	First American Treasury Obligations Fund, Class X, 0.10% (d)				7,422,154
		TOTAL SHORT TERM INVESTMENTS (Cost - $7,422,154)				7,422,154
		INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING - 16.3%
	136,288,995	First American Government Obligations Fund, Class Z, 0.04% (d)				136,288,995
		TOTAL INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING (Cost - $136,288,995)				136,288,995
		TOTAL INVESTMENTS - 116.5% (Cost - $967,531,226)				975,481,183
		Liabilities in Excess of Other Assets - (16.5)%				(137,867,964	)
		NET ASSETS - 100.0%			$	837,613,219

See accompanying notes to financial statements.

32

Horizon Active Risk Assist^® Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2020

Contracts			Notional Value		Value
		SCHEDULE OF WRITTEN PUT OPTIONS - (0.2)% (a)(c)
	40,000	CBOE Volatility Index
		Expiration: August 2020, Exercise Price $13	$	82,530,000	$	75,000
		Expiration: August 2020, Exercise Price $14		27,510,000		25,000
	11,348	iPath Series B S&P 500 VIX Short-Term Futures ETN
		Expiration: October 2020, Exercise Price $21		33,130,000		1,475,000
		Expiration: November 2020, Exercise Price $13		4,465,924		35,048
	1,400	iShares U.S. Real Estate ETF
		Expiration: June 2020, Exercise Price $50		10,838,800		2,800
	20,000	CBOE Volatility Index
		Expiration: July 2020, Exercise Price $14		55,020,000		50,000
	30,000	CBOE Volatility Index
		Expiration: June 2020, Exercise Price $15		82,530,000		75,000
		TOTAL WRITTEN PUT OPTIONS (Premiums Received $3,989,795)				1,737,848
		TOTAL OPTIONS WRITTEN (Premiums Received $3,989,795)			$	1,737,848

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) Money Market Fund; interest rate reflects seven-day yield on May 31, 2020.

(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 $48,510,900.

(f) All or a portion of this security is out on loan as of May 31, 2020.

(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.

(i) Fair Value of this security exceeds 25% of the Fund’s net assets. Additional information for this security, including financial statements, is available from the SEC’s EDGAR database at www.sec.gov.

See accompanying notes to financial statements.

33

Horizon Active Income Fund
PORTFOLIO OF INVESTMENTS (Unaudited)
May 31, 2020

Shares			Value
		INVESTMENT COMPANIES - 99.3%
		Exchange Traded Funds - 99.3%
	249,803	Columbia Diversified Fixed Income Allocation ETF	$	5,225,879
	539,479	First Trust TCW Opportunistic Fixed Income ETF		29,331,473
	1,239,890	Invesco Preferred ETF		17,829,618
	146,992	iShares 7-10 Year Treasury Bond ETF		17,924,204
	170,967	iShares 20+ Year Treasury Bond ETF		27,968,492
	262,963	iShares Core U.S. Aggregate Bond ETF		30,937,597
	135,692	iShares iBoxx Investment Grade Corporate Bond ETF		17,914,058
	169,399	Janus Henderson Mortgage-Backed Securities ETF		9,095,879
	136,150	SPDR Bloomberg Barclays Convertible Securities ETF		7,736,043
	1,006,050	SPDR Portfolio Aggregate Bond ETF		30,885,735
	359,330	SPDR Portfolio Intermediate Term Corporate Bond ETF		12,935,880
	121,600	Vanguard Total International Bond ETF (b)		6,988,352
	711,422	WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (b)		38,046,849
	78,296	X-Trackers Short Duration High Yield Bond ETF (c)		3,518,098
		TOTAL EXCHANGE TRADED FUNDS (Cost - $247,634,907)		256,338,157
		SHORT TERM INVESTMENTS - 0.8%
		Money Market Funds - 0.8%
	2,154,349	First American Treasury Obligations Fund, Class X, 0.10% (a)		2,154,349
		TOTAL SHORT TERM INVESTMENTS (Cost - $2,154,349)		2,154,349
		INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING - 2.6%
	6,766,500	First American Government Obligations Fund, Class Z, 0.04% (a)		6,766,500
		TOTAL INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING (Cost - $6,766,500)		6,766,500
		TOTAL INVESTMENTS - 102.7% (Cost - $256,555,756)		265,259,006
		Liabilities in Excess of Other Assets - (2.7)%		(6,998,489	)
		NET ASSETS - 100.0%	$	258,260,517

Percentages are stated as a percent of net assets.

(a) Money Market Fund; interest rate reflects seven-day yield on May 31, 2020.

(b) All or a portion of this security is out on loan as of May 31, 2020.

(c) Affiliated Security. Please refer to Note 9 of the Notes to Financial Statements.

See accompanying notes to financial statements.

34

Horizon Active Dividend Fund
PORTFOLIO OF INVESTMENTS (Unaudited)
May 31, 2020

Shares			Value
		COMMON STOCKS - 91.5%
		Aerospace/Defense - 3.1%
	19,668	General Dynamics Corp.	$	2,887,852
	3,995	Northrop Grumman Corp.		1,339,124
				4,226,976
		Agriculture - 1.9%
	35,372	Philip Morris International, Inc.		2,594,890
		Banks - 1.6%
	80,409	Wells Fargo & Co.		2,128,426
		Beverages - 3.6%
	63,016	Coca-Cola Co.		2,941,587
	11,978	Constellation Brands, Inc., Class A		2,068,601
				5,010,188
		Biotechnology - 1.0%
	5,695	Amgen, Inc.		1,308,142
		Chemicals - 1.5%
	70,268	CF Industries Holdings, Inc.		2,063,771
		Computers - 3.1%
	13,598	Accenture PLC, Class A		2,741,629
	28,837	Cognizant Technology Solutions Corp., Class A		1,528,361
				4,269,990
		Cosmetics/Personal Care - 2.5%
	62,305	Unilever PLC, ADR (e)		3,367,585
		Diversified Financial Services - 1.8%
	13,683	CME Group, Inc.		2,498,516
		Electric - 5.8%
	28,559	American Electric Power Co., Inc.		2,434,655
	16,701	Dominion Energy, Inc.		1,419,752
	15,839	Duke Energy Corp.		1,356,293
	64,131	FirstEnergy Corp.		2,710,176
				7,920,876
		Electrical Components & Equipment - 1.4%
	9,313	L3Harris Technologies, Inc.		1,857,478
		Electronics - 2.2%
	20,277	Honeywell International, Inc.		2,957,400

See accompanying notes to financial statements.

35

Horizon Active Dividend Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2020

Shares			Value
		Finance and Insurance - 1.5%
	32,439	Royal Bank of Canada (e)	$	2,103,669
		Healthcare Products - 1.1%
	16,426	Abbott Laboratories		1,559,156
		Healthcare Services - 1.8%
	7,097	Anthem, Inc.		2,087,299
	1,203	UnitedHealth Group, Inc.		366,734
				2,454,033
		Household Products/Wares - 1.5%
	14,267	Kimberly-Clark Corp.		2,017,925
		Information - 1.0%
	59,211	RELX Plc, ADR		1,379,024
		Insurance - 4.0%
	22,775	Chubb, Ltd. (g)		2,777,183
	25,331	Marsh & McLennan Cos., Inc.		2,683,060
				5,460,243
		Manufacturing - 11.0%
	16,577	AstraZeneca Plc, ADR		905,104
	103,425	BAE Systems Plc, ADR		2,542,187
	52,054	British American Tobacco Plc, ADR		2,086,324
	76,654	Bunge, Ltd.		2,991,039
	24,335	Nestle SA, ADR		2,628,910
	49,303	Smith & Nephew Plc, ADR		2,012,056
	29,386	Toro Co/The		2,088,463
				15,254,083
		Media - 2.1%
	72,572	Comcast Corp., Class A		2,873,851
		Miscellaneous Manufacturing - 2.1%
	18,633	3M Co.		2,914,947
		Oil & Gas - 1.5%
	55,272	Total SA, ADR		2,077,122
		Pharmaceuticals - 18.7%
	38,119	AbbVie, Inc.		3,532,488
	207,825	Bayer AG, ADR		3,553,787
	64,512	Cardinal Health, Inc.		3,528,161
	27,013	CVS Health Corp.		1,771,243

See accompanying notes to financial statements.

36

Horizon Active Dividend Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2020

Shares			Value
	21,104	Johnson & Johnson	$	3,139,220
	45,724	Merck & Co., Inc.		3,690,841
	30,570	Novartis AG, ADR		2,672,735
	70,006	Pfizer, Inc.		2,673,529
	29,772	Roche Holding AG, ADR		1,290,616
				25,852,620
		Retail - 1.6%
	8,647	Home Depot, Inc.		2,148,607
		Semiconductors - 2.6%
	14,085	Intel Corp.		886,369
	32,768	QUALCOMM, Inc.		2,650,276
				3,536,645
		Software - 1.9%
	49,142	Oracle Corp.		2,642,365
		Telecommunications - 6.1%
	95,079	AT&T, Inc.		2,934,138
	70,001	Cisco Systems, Inc.		3,347,448
	35,880	Verizon Communications, Inc.		2,058,794
				8,340,380
		Transportation - 1.5%
	11,884	Union Pacific Corp.		2,018,616
		Transportation and Warehousing - 2.0%
	31,635	Canadian National Railway Co.		2,721,875
		TOTAL COMMON STOCKS (Cost - $124,579,899)		125,559,399
		CONVERTIBLE PREFERRED STOCKS - 0.4%
		Manufacturing - 0.4%
	2,600	Energizer Holdings, Inc. Series A, 7.5%		243,334
	5,150	International Flavors & Fragrances, Inc., 6.0%		247,406
		TOTAL CONVERTIBLE PREFERRED STOCKS (Cost - $449,876)		490,740
		PREFERRED STOCKS - 0.2%
		Manufacturing - 0.1%
	9,473	Pitney Bowes, Inc., 6.7%		160,946

See accompanying notes to financial statements.

37

Horizon Active Dividend Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2020

Shares					Value
		Mining, Quarrying, and Oil and Gas Extraction - 0.1%
	8,735	Chesapeake Energy Corp., 4.5% (e)			$	27,253
	12,483	Nabors Industries, Ltd. Series A, 6.0% (e)				80,141
						107,394
		Real Estate Investment Trusts - 0.0% (b)
	21,147	CBL & Associates Properties, Inc., Series E, 6.6% (e)				14,864
		TOTAL PREFERRED STOCKS (Cost - $635,371)				283,204
Contracts			Notional Amount
		PURCHASED OPTIONS - 0.1%
		PURCHASED PUT OPTIONS - 0.1% (a)(c)
		INVESCO QQQ TR UNIT SER 1
	200	Expiration: June 2020, Exercise Price: $223	$	4,667,200		46,000
		CBOE Volatility Index
	2,500	Expiration: June 2020, Exercise Price: $17 (f)		6,877,500		6,250
		SPDR S&P 500 ETF Trust
	120	Expiration: June 2020, Exercise Price: $288		3,651,840		31,200
		TOTAL PURCHASED OPTIONS (Cost - $317,407)				83,450
Shares
		SHORT TERM INVESTMENTS - 3.1%
		Money Market Funds - 3.1%
	4,315,142	First American Treasury Obligations Fund, Class X, 0.10% (d)				4,315,142
		TOTAL SHORT TERM INVESTMENTS (Cost - $4,315,142)				4,315,142
		INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING - 3.0%
	4,177,185	First American Government Obligations Fund, Class Z, 0.04% (d)				4,177,185
		TOTAL INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING (Cost - $4,177,185)				4,177,185
		TOTAL INVESTMENTS - 98.3% (Cost - $134,474,880)				134,909,120
		Other Assets in Excess of Liabilities - 1.7%				2,384,767
		NET ASSETS - 100.0%			$	137,293,887

See accompanying notes to financial statements.

38

Horizon Active Dividend Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2020

Contracts			Notional Value		Value
		SCHEDULE OF WRITTEN OPTIONS - (0.0)% (a)(b)(c)
		SCHEDULE OF WRITTEN PUT OPTIONS - (0.0)% (b)
	5,000	CBOE Volatility Index
		Expiration: June 2020, Exercise Price $15	$	13,755,000	$	12,500
		TOTAL WRITTEN PUT OPTIONS (Premiums Received $170,941)				12,500
		TOTAL OPTIONS WRITTEN (Premiums Received $170,941)			$	12,500

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) Money Market Fund; rate reflects seven-day yield on May 31, 2020.

(e) All or a portion of this security is out on loan as of May 31, 2020.

(f) Held in connection with a written option, see Schedule of Written Options for more details.

(g) 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 $859,700.

ADR - American Depositary Receipt

See accompanying notes to financial statements.

39

Horizon Defined Risk Fund
PORTFOLIO OF INVESTMENTS (Unaudited)
May 31, 2020

Shares			Value
		COMMON STOCKS - 101.3%
		Aerospace/Defense - 1.3%
	4,246	Boeing Co. (e)	$	619,279
	2,197	General Dynamics Corp.		322,586
	2,146	Lockheed Martin Corp.		833,592
	1,271	Northrop Grumman Corp.		426,039
	402	TransDigm Group, Inc.		170,778
				2,372,274
		Agriculture - 0.8%
	14,150	Altria Group, Inc.		552,558
	4,216	Archer-Daniels-Midland Co.		165,731
	11,859	Philip Morris International, Inc. (e)		869,976
				1,588,265
		Agriculture, Forestry, Fishing and Hunting - 0.1%
	5,629	Corteva, Inc.		153,728
		Airlines - 0.1%
	4,830	Delta Air Lines, Inc.		121,764
	3,871	Southwest Airlines Co.		124,259
				246,023
		Apparel - 0.7%
	11,625	Nike, Inc., Class B (e)		1,145,993
	3,012	VF Corp.		168,973
				1,314,966
		Auto Manufacturers - 0.3%
	30,196	Ford Motor Co.		172,419
	10,936	General Motors Co.		283,024
	2,614	PACCAR, Inc.		193,070
				648,513
		Auto Parts & Equipment - 0.1%
	1,889	Aptiv PLC		142,336
		Banks - 4.2%
	65,988	Bank of America Corp. (e)		1,591,631
	6,774	Bank of New York Mellon Corp.		251,790
	3,526	Capital One Financial Corp.		239,909
	15,796	Citigroup, Inc. (e)		756,786
	5,366	Fifth Third Bancorp		104,047
	2,703	Goldman Sachs Group, Inc.		531,112
	22,895	JPMorgan Chase & Co. (e)		2,227,912
	8,258	KeyCorp		97,857
	991	M&T Bank Corp.		104,709

See accompanying notes to financial statements.

40

Horizon Defined Risk Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2020

Shares			Value
	12,044	Morgan Stanley	$	532,345
	1,597	Northern Trust Corp.		126,179
	3,176	PNC Financial Services Group, Inc.		362,191
	2,711	State Street Corp.		165,263
	30,838	Wells Fargo & Co. (e)		816,282
				7,908,013
		Beverages - 2.0%
	3,496	Brown-Forman Corp., Class B		230,491
	32,840	Coca-Cola Co. (e)		1,532,971
	1,423	Constellation Brands, Inc., Class A		245,752
	4,043	Monster Beverage Corp. (a)		290,732
	10,432	PepsiCo, Inc. (e)		1,372,330
				3,672,276
		Biotechnology - 2.0%
	4,434	Amgen, Inc. (e)		1,018,490
	1,247	Biogen, Inc. (a)		382,941
	9,504	Gilead Sciences, Inc.		739,696
	1,102	Illumina, Inc.(a)		400,081
	1,617	Incyte Corp. (a)		164,789
	814	Regeneron Pharmaceuticals, Inc. (a)		498,827
	1,930	Vertex Pharmaceuticals, Inc. (a)		555,763
				3,760,587
		Building Materials - 0.3%
	5,795	Johnson Controls International PLC		182,021
	471	Martin Marietta Materials, Inc.		90,474
	2,202	Masco Corp.		102,723
	990	Vulcan Materials Co.		107,237
				482,455
		Chemicals - 1.3%
	1,662	Air Products & Chemicals, Inc.		401,622
	5,498	Dow, Inc.		212,223
	1,013	FMC Corp.		99,689
	798	International Flavors & Fragrances, Inc.		106,286
	3,998	Linde PLC		808,955
	2,489	LyondellBasell Industries NV, Class A		158,699
	1,776	PPG Industries, Inc.		180,566
	684	Sherwin-Williams Co.		406,193
				2,374,233
		Commercial Services - 2.4%
	3,233	Automatic Data Processing, Inc.		473,602
	778	Cintas Corp.		192,913
	2,172	Ecolab, Inc. (f)		461,724

See accompanying notes to financial statements.

41

Horizon Defined Risk Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2020

Shares			Value
	928	Equifax, Inc.	$	142,504
	2,222	Global Payments, Inc.		398,827
	3,012	IHS Markit, Ltd.		209,213
	1,408	Moody’s Corp.		376,513
	8,835	PayPal Holdings, Inc. (a)		1,369,513
	2,427	Rollins, Inc.		101,449
	1,814	S&P Global, Inc.		589,586
	1,215	Verisk Analytics, Inc.		209,806
				4,525,650
		Computers - 6.8%
	4,789	Accenture PLC, Class A		965,558
	32,695	Apple, Inc. (e)		10,395,048
	4,134	Cognizant Technology Solutions Corp., Class A		219,102
	1,285	Fortinet, Inc. (a)		178,872
	10,956	HP, Inc.		165,874
	6,513	International Business Machines Corp. (e)		813,474
				12,737,928
		Construction - 0.2%
	5,758	Las Vegas Sands Corp.		276,039
	30	NVR, Inc. (a)		96,648
				372,687
		Cosmetics/Personal Care - 1.7%
	6,431	Colgate-Palmolive Co.		465,154
	2,717	Estee Lauder Cos., Inc., Class A		536,526
	18,493	Procter & Gamble Co. (e)		2,143,709
				3,145,389
		Distribution/Wholesale - 0.2%
	1,742	Copart, Inc. (a)		155,717
	4,328	Fastenal Co.		178,573
	404	WW Grainger, Inc. (f)		125,087
				459,377
		Diversified Financial Services - 4.4%
	6,046	American Express Co.		574,793
	951	Ameriprise Financial, Inc.		133,207
	1,162	BlackRock, Inc. (e)		614,280
	848	CBOE Global Markets, Inc.		90,278
	9,568	Charles Schwab Corp.		343,587
	2,689	CME Group, Inc.		491,011
	2,509	Discover Financial Services		119,203
	4,107	Intercontinental Exchange, Inc.		399,406
	7,541	MasterCard, Inc., Class A (e)		2,269,011
	1,244	Nasdaq, Inc.		147,364

See accompanying notes to financial statements.

42

Horizon Defined Risk Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2020

Shares			Value
	1,760	T. Rowe Price Group, Inc.	$	212,784
	14,737	Visa, Inc., Class A (e)		2,877,252
				8,272,176
		Electric - 3.0%
	1,840	Alliant Energy Corp.		90,822
	1,842	Ameren Corp.		137,653
	3,726	American Electric Power Co., Inc.		317,641
	2,148	CMS Energy Corp.		125,830
	2,523	Consolidated Edison, Inc.		189,376
	6,362	Dominion Energy, Inc.		540,834
	1,453	DTE Energy Co.		156,299
	5,554	Duke Energy Corp.		475,589
	2,732	Edison International		158,757
	1,526	Entergy Corp.		155,377
	2,499	Eversource Energy		209,166
	7,413	Exelon Corp.		283,992
	4,087	FirstEnergy Corp.		172,717
	3,684	NextEra Energy, Inc.		941,483
	5,831	PPL Corp.		162,918
	3,818	Public Service Enterprise Group, Inc.		194,871
	2,209	Sempra Energy		279,019
	7,940	Southern Co.		453,136
	2,383	WEC Energy Group, Inc.		218,593
	3,973	Xcel Energy, Inc.		258,364
				5,522,437
		Electrical Components & Equipment - 0.4%
	1,723	AMETEK, Inc.		158,016
	4,602	Emerson Electric Co.		280,814
	1,644	L3Harris Technologies, Inc.		327,896
				766,726
		Electronics - 1.0%
	2,328	Agilent Technologies, Inc.		205,190
	2,235	Amphenol Corp., Class A		215,811
	2,531	Fortive Corp.		154,340
	1,433	Garmin, Ltd.		129,214
	5,322	Honeywell International, Inc.		776,214
	181	Mettler-Toledo International, Inc. (a)		143,895
	2,521	TE Connectivity, Ltd.		204,831
				1,829,495
		Engineering & Construction - 0.1%
	1,082	Jacobs Engineering Group, Inc.		90,910

See accompanying notes to financial statements.

43

Horizon Defined Risk Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2020

Shares			Value
		Environmental Control - 0.3%
	2,411	Republic Services, Inc.	$	206,044
	3,185	Waste Management, Inc.		339,999
				546,043
		Finance and Insurance - 0.6%
	1,755	Aon PLC, Class A		345,647
	1,296	First Republic Bank		140,189
	286	MarketAxess Holdings, Inc.		145,457
	10,259	Truist Financial Corp.		377,326
	1,596	WR Berkley Corp.		92,488
				1,101,107
		Food - 1.3%
	4,558	General Mills, Inc.		287,336
	1,578	Hershey Co.		214,103
	4,043	Hormel Foods Corp.		197,420
	2,558	Kellogg Co.		167,063
	9,194	Kraft Heinz Co.		280,141
	5,809	Kroger Co.		189,490
	1,009	McCormick & Co., Inc., Non-voting shares		176,736
	10,714	Mondelez International, Inc., Class A		558,414
	3,754	Sysco Corp.		207,071
	2,750	Tyson Foods, Inc., Class A		168,960
				2,446,734
		Forest Products & Paper - 0.1%
	2,989	International Paper Co.		101,775
		Gas - 0.1%
	929	Atmos Energy Corp.		95,483
	3,373	NiSource, Inc.		80,378
				175,861
		Hand/Machine Tools - 0.1%
	1,150	Stanley Black & Decker, Inc.		144,267
		Healthcare Products - 4.1%
	13,169	Abbott Laboratories (e)		1,250,001
	3,811	Baxter International, Inc.		343,028
	2,033	Becton Dickinson & Co.		502,009
	10,625	Boston Scientific Corp. (a)		403,644
	402	Cooper Cos., Inc.		127,426
	5,205	Danaher Corp.		867,205
	1,549	Edwards Lifesciences Corp. (a)		348,091
	638	IDEXX Laboratories, Inc. (a)		197,065
	870	Intuitive Surgical, Inc. (a)		504,626

See accompanying notes to financial statements.

44

Horizon Defined Risk Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2020

Shares			Value
	10,194	Medtronic PLC (e)	$	1,004,925
	1,085	ResMed, Inc.		174,490
	2,827	Stryker Corp.		553,329
	348	Teleflex, Inc.		126,275
	2,970	Thermo Fisher Scientific, Inc.		1,037,094
	1,552	Zimmer Biomet Holdings, Inc.		196,080
				7,635,288
		Healthcare Services - 2.1%
	1,919	Anthem, Inc.		564,397
	4,425	Centene Corp. (a)		293,156
	2,568	HCA Healthcare, Inc.		274,519
	995	Humana, Inc.		408,597
	1,455	IQVIA Holdings, Inc. (a)		217,552
	7,108	UnitedHealth Group, Inc. (e)		2,166,874
				3,925,095
		Home Builders - 0.2%
	2,751	DR Horton, Inc.		152,130
	2,263	Lennar Corp., Class A		136,821
				288,951
		Household Products/Wares - 0.3%
	937	Clorox Co.		193,256
	2,548	Kimberly-Clark Corp.		360,389
				553,645
		Insurance - 3.3%
	5,486	Aflac, Inc.		200,074
	2,370	Allstate Corp.		231,810
	6,581	American International Group, Inc.		197,825
	1,436	Arthur J Gallagher & Co.		135,386
	18,358	Berkshire Hathaway, Inc., Class B (a) (e)		3,406,877
	3,438	Chubb Ltd.		419,230
	1,221	Cincinnati Financial Corp.		71,978
	2,727	Hartford Financial Services Group, Inc.		104,417
	2,536	Loews Corp.		84,297
	3,803	Marsh & McLennan Cos., Inc.		402,814
	6,914	MetLife, Inc.		248,973
	4,428	Progressive Corp.		343,967
	3,011	Prudential Financial, Inc.		183,550
	1,949	Travelers Cos., Inc.		208,504
				6,239,702
		Internet - 12.6%
	5,140	Alphabet, Inc., Class A (a) (e)		7,368,293
	3,666	Amazon.com, Inc. (a) (e)		8,953,729

See accompanying notes to financial statements.

45

Horizon Defined Risk Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2020

Shares			Value
	308	Booking Holdings, Inc. (a)	$	504,941
	5,998	eBay, Inc.		273,149
	21,138	Facebook, Inc., Class A (a) (e)		4,757,952
	3,210	Netflix, Inc. (a) (e)		1,347,333
	856	VeriSign, Inc. (a)		187,473
				23,392,870
		Iron/Steel - 0.1%
	2,373	Nucor Corp.		100,283
		Lodging - 0.2%
	2,065	Hilton Worldwide Holdings, Inc.		163,775
	2,426	Marriott International, Inc., Class A		214,701
				378,476
		Machinery - Construction & Mining - 0.3%
	4,143	Caterpillar, Inc.		497,699
		Machinery - Diversified - 0.7%
	1,117	Cummins, Inc.		189,443
	2,367	Deere & Co.		360,068
	1,083	Dover Corp.		105,322
	874	Rockwell Automation, Inc.		188,924
	794	Roper Technologies, Inc.		312,677
	1,333	Xylem, Inc.		88,431
				1,244,865
		Manufacturing - 0.6%
	12,140	Amcor PLC		123,950
	571	IDEX Corp.		91,000
	3,251	Ingersoll Rand, Inc. (a)		91,678
	11,318	Raytheon Technologies Corp. (e)		730,237
	1,800	Trane Technologies PLC		162,378
				1,199,243
		Media - 2.2%
	1,988	Charter Communications, Inc., Class A (a)		1,081,472
	34,201	Comcast Corp., Class A (e)		1,354,360
	13,491	Walt Disney Co. (e)		1,582,494
				4,018,326
		Mining - 0.2%
	11,474	Freeport-McMoRan, Inc.		104,069
	6,022	Newmont Goldcorp Corp.		352,107
				456,176

See accompanying notes to financial statements.

46

Horizon Defined Risk Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2020

Shares			Value
		Miscellaneous Manufacturing - 1.0%
	4,328	3M Co. (e)	$	677,072
	3,081	Eaton Corp PLC		261,577
	65,555	General Electric Co.		430,697
	2,374	Illinois Tool Works, Inc.		409,420
	965	Parker-Hannifin Corp.		173,671
				1,952,437
		Oil & Gas - 2.3%
	13,975	Chevron Corp. (e)		1,281,507
	1,700	Concho Resources, Inc.		92,684
	8,176	ConocoPhillips		344,864
	4,382	EOG Resources, Inc.		223,351
	31,797	Exxon Mobil Corp. (e)		1,445,810
	2,359	Hess Corp.		111,982
	4,979	Marathon Petroleum Corp.		174,962
	7,038	Occidental Petroleum Corp.		91,142
	3,300	Phillips 66		258,258
	1,190	Pioneer Natural Resources Co.		109,004
	3,093	Valero Energy Corp.		206,117
				4,339,681
		Oil & Gas Services - 0.2%
	7,655	Baker Hughes & GE Co., Class A		126,384
	10,329	Schlumberger, Ltd.		190,777
				317,161
		Packaging & Containers - 0.1%
	2,433	Ball Corp.		173,376
		Pharmaceuticals - 6.1%
	11,153	AbbVie, Inc. (e)		1,033,548
	1,578	AmerisourceBergen Corp.		150,447
	17,060	Bristol-Myers Squibb Co.		1,018,823
	2,832	Cigna Corp.		558,810
	9,866	CVS Health Corp.		646,914
	7,282	Eli Lilly & Co. (e)		1,113,782
	19,729	Johnson & Johnson (e)		2,934,689
	1,233	McKesson Corp.		195,640
	18,998	Merck & Co., Inc. (e)		1,533,519
	41,859	Pfizer, Inc. (e)		1,598,595
	3,549	Zoetis, Inc., Class A		494,695
				11,279,462
		Pipelines - 0.3%
	17,056	Kinder Morgan, Inc.		269,485
	3,208	ONEOK, Inc.		117,702

See accompanying notes to financial statements.

47

Horizon Defined Risk Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2020

Shares			Value
	9,101	Williams Cos., Inc.	$	185,933
				573,120
		Professional, Scientific, and Technical Services - 0.3%
	1,374	ServiceNow, Inc. (a)		533,016
		Real Estate - 0.1%
	2,533	CBRE Group, Inc., Class A (a)		111,401
		Real Estate Investment Trusts - 2.7%
	944	Alexandria Real Estate Equities, Inc.		145,112
	3,300	American Tower Corp.		851,961
	1,057	AvalonBay Communities, Inc.		164,903
	1,165	Boston Properties, Inc.		100,167
	3,109	Crown Castle International Corp.		535,245
	1,962	Digital Realty Trust, Inc.		281,665
	2,768	Duke Realty Corp.		95,441
	625	Equinix, Inc.		436,019
	2,779	Equity Residential		168,296
	494	Essex Property Trust, Inc.		119,929
	971	Extra Space Storage, Inc.		93,944
	3,801	Healthpeak Properties, Inc.		93,656
	848	Mid-America Apartment Communities, Inc.		98,673
	5,407	Prologis, Inc.		494,740
	1,311	Public Storage		265,792
	2,559	Realty Income Corp.		141,538
	840	SBA Communications Corp.		263,869
	2,247	Simon Property Group, Inc.		129,652
	2,390	UDR, Inc.		88,382
	3,080	Ventas, Inc.		107,646
	3,021	Welltower, Inc.		153,074
	5,616	Weyerhaeuser Co.		113,387
				4,943,091
		Retail - 6.0%
	178	AutoZone, Inc. (a)		204,319
	1,927	Best Buy Co., Inc.		150,480
	1,358	CarMax, Inc. (a)		119,572
	207	Chipotle Mexican Grill, Inc. (a)		207,809
	3,282	Costco Wholesale Corp.		1,012,399
	1,882	Dollar General Corp.		360,422
	1,753	Dollar Tree, Inc. (a)		171,566
	1,196	Genuine Parts Co.		99,758
	8,060	Home Depot, Inc. (e)		2,002,749
	5,652	Lowe’s Cos., Inc.		736,738

See accompanying notes to financial statements.

48

Horizon Defined Risk Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2020

Shares			Value
	5,549	McDonald’s Corp. (e)	$	1,033,890
	563	O’Reilly Automotive, Inc. (a)		234,906
	2,648	Ross Stores, Inc.		256,750
	8,721	Starbucks Corp.		680,151
	3,749	Target Corp.		458,615
	8,952	TJX Cos., Inc.		472,308
	912	Tractor Supply Co.		111,282
	422	Ulta Beauty, Inc. (a)		102,972
	21,035	Walmart, Inc. (e)		2,609,602
	2,254	Yum! Brands, Inc.		202,251
				11,228,539
		Semiconductors - 4.5%
	8,469	Advanced Micro Devices, Inc. (a)		455,632
	2,726	Analog Devices, Inc.		307,902
	6,806	Applied Materials, Inc.		382,361
	2,983	Broadcom, Inc. (e)		868,858
	31,600	Intel Corp. (e)		1,988,588
	1,166	KLA Corp.		205,169
	1,087	Lam Research Corp.		297,479
	1,781	Microchip Technology, Inc.		171,012
	8,198	Micron Technology, Inc. (a)		392,766
	4,510	NVIDIA Corp.		1,601,140
	8,528	QUALCOMM, Inc.		689,745
	6,986	Texas Instruments, Inc.		829,518
	1,856	Xilinx, Inc.		170,659
				8,360,829
		Software - 9.7%
	5,665	Activision Blizzard, Inc.		407,767
	3,552	Adobe, Inc. (a) (e)		1,373,203
	641	ANSYS, Inc. (a)		181,403
	1,602	Autodesk, Inc. (a)		337,029
	2,078	Cadence Design Systems, Inc. (a)		189,700
	2,260	Cerner Corp.		164,754
	917	Citrix Systems, Inc.		135,826
	2,150	Electronic Arts, Inc. (a)		264,192
	4,606	Fidelity National Information Services, Inc.		639,451
	5,075	Fiserv, Inc. (a)		541,858
	1,952	Intuit, Inc.		566,705
	56,169	Microsoft Corp. (e)		10,292,969
	632	MSCI, Inc.		207,833
	23,797	Oracle Corp. (e)		1,279,565
	2,678	Paychex, Inc.		193,566
	6,557	salesforce.com, Inc. (a)		1,146,098

See accompanying notes to financial statements.

49

Horizon Defined Risk Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2020

Shares			Value
	1,116	Synopsys, Inc. (a)	$	201,895
				18,123,814
		Telecommunications - 3.2%
	53,540	AT&T, Inc. (e)		1,652,245
	31,640	Cisco Systems, Inc. (e)		1,513,025
	1,319	Motorola Solutions, Inc.		178,500
	9,150	T-Mobile US, Inc. (a)		915,366
	31,074	Verizon Communications, Inc. (e)		1,783,026
				6,042,162
		Toys/Games/Hobbies - 0.1%
	1,163	Hasbro, Inc.		85,492
		Transportation - 1.6%
	1,205	CH Robinson Worldwide, Inc.		97,762
	5,752	CSX Corp.		411,728
	1,266	Expeditors International of Washington, Inc.		96,684
	1,945	FedEx Corp.		253,939
	856	JB Hunt Transport Services, Inc.		102,438
	713	Kansas City Southern		107,321
	1,921	Norfolk Southern Corp.		342,495
	5,079	Union Pacific Corp.		862,719
	6,451	United Parcel Service, Inc., Class B		643,229
				2,918,315
		Transportation and Warehousing - 0.1%
	913	Old Dominion Freight Line, Inc.		156,205
		Water - 0.1%
	1,367	American Water Works Co., Inc.		173,609
		Wholesale Trade - 0.1%
	5,495	DuPont de Nemours, Inc. (e)		278,762
		TOTAL COMMON STOCKS (Cost - $168,863,937)		188,423,322

See accompanying notes to financial statements.

50

Horizon Defined Risk Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2020

Contracts			Notional Amount		Value
		PURCHASED OPTIONS - 1.3% (a) (c)
		PURCHASED CALL OPTIONS - 0.3%
		SPDR S&P 500 ETF Trust
	1,000	Expiration: July 17, 2020, Exercise Price: $315.00	$	30,432,000	$	476,000
		TOTAL PURCHASED CALL OPTIONS (Cost - $229,266)				476,000
		PURCHASED PUT OPTIONS - 1.0%
		S&P 500 Index (b)
	100	Expiration: June 19, 2020, Exercise Price: $2,300.00		23,000,000		15,000
	100	Expiration: June 19, 2020, Exercise Price: $2,340.00		23,400,000		17,500
	215	Expiration: July 17, 2020, Exercise Price: $2,680.00		57,620,000		589,100
	210	Expiration: August 21, 2020, Exercise Price: $2,730.00		57,330,000		1,269,450
		CBOE Volatility Index
	2,500	Expiration: June 17, 2020, Exercise Price: $17.00		4,250,000		6,250
		TOTAL PURCHASED PUT OPTIONS (Cost - $10,700,930)				1,897,300
		TOTAL PURCHASED OPTIONS (Cost - $10,930,196)				2,373,300
Shares
		SHORT TERM INVESTMENTS - 0.1%
		Money Market Funds - 0.1%
	258,305	First American Treasury Obligations Fund, Class X, 0.10%, (d)				258,305
		TOTAL SHORT TERM INVESTMENTS (Cost - $258,305)				258,305
		INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING - 0.3%
	511,895	First American Government Obligations Fund, Class Z, 0.04%, (d)				511,895
		TOTAL INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING (Cost - $511,895)				511,895
		TOTAL INVESTMENTS - 103.0% (Cost - $180,564,333)				191,566,822
		Liabilities in Excess of Other Assets - (3.0)%				(5,552,151	)
		NET ASSETS - 100.0%			$	186,014,671

See accompanying notes to financial statements.

51

Horizon Defined Risk Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2020

Contracts			Notional Value		Value
		SCHEDULE OF WRITTEN OPTIONS - (2.0)% (a) (c)
		SCHEDULE OF WRITTEN CALL OPTIONS - (1.7)%
		S&P 500 Index
	210	Expiration: June 19, 2020, Exercise Price $2,940.00	$	61,740,000	$	3,090,150
		TOTAL WRITTEN CALL OPTIONS (Premiums Received $856,284)				3,090,150
		SCHEDULE OF WRITTEN PUT OPTIONS - (0.3)%
		S&P 500 Index
	210	Expiration: August 21, 2020, Exercise Price $2,440.00		51,240,000		571,200
		TOTAL WRITTEN PUT OPTIONS (Premiums Received $1,738,283)				571,200
		TOTAL OPTIONS WRITTEN (Premiums Received $2,594,567)			$	3,661,350

Percentages are stated as a percent of net assets.

(a) Non-income producing security.

(b) Held in connection with a written option, see Schedule of Written Options for more details.

(c) Each Option is exercisable into 100 shares of the underlying security.

(d) Money Market Fund; interest rate reflects seven-day yield on May 31, 2020.

(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 $93,954,045.

(f) All or a portion of this security is out on loan as of May 31, 2020.

See accompanying notes to financial statements.

52

Horizon Multi-Asset Income Fund
PORTFOLIO OF INVESTMENTS (Unaudited)
May 31, 2020

Shares			Value
		INVESTMENT COMPANIES - 72.9%
		Exchange Traded Funds - 72.9%
	79,001	iShares 20+ Year Treasury Bond ETF (e)	$	12,923,774
	87,673	iShares Global Infrastructure ETF		3,423,631
	51,669	iShares iBoxx Investment Grade Corporate Bond ETF		6,821,341
	151,453	iShares International Select Dividend ETF		3,737,860
	19,231	iShares JP Morgan USD Emerging Markets Bond ETF		2,046,178
	66,139	SPDR Bloomberg Barclays Convertible Securities ETF		3,758,018
	45,944	SPDR S&P 500 ETF (e)		13,981,678
	86,842	X-Trackers USD High Yield Corporate Bond ETF		4,088,521
		TOTAL EXCHANGE TRADED FUNDS (Cost - $49,293,253)		50,781,001
		COMMON STOCKS - 20.0%
		Advertising - 0.2%
	7,603	Interpublic Group of Cos., Inc.		130,087
		Aerospace/Defense - 0.1%
	118	Lockheed Martin Corp.		45,836
		Agriculture - 0.3%
	3,529	Altria Group, Inc.		137,808
	1,434	Philip Morris International, Inc.		105,198
				243,006
		Auto Manufacturers - 0.2%
	5,453	General Motors Co.		141,124
		Banks - 1.0%
	16,771	Huntington Bancshares, Inc.		149,094
	19,996	PacWest Bancorp		346,131
	14,754	Umpqua Holdings Corp.		168,048
				663,273
		Beverages - 0.1%
	1,268	Coca-Cola Co.		59,190
		Chemicals - 0.1%
	2,540	CF Industries Holdings, Inc.		74,600
		Commercial Services - 0.3%
	8,947	H&R Block, Inc.		152,099
	4,083	Western Union Co.		81,742
				233,841
		Computers - 0.3%
	794	International Business Machines Corp.		99,171

See accompanying notes to financial statements.

53

Horizon Multi-Asset Income Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2020

Shares			Value
	1,773	Seagate Technology PLC	$	94,040
				193,211
		Diversified Financial Services - 0.9%
	21,988	Invesco, Ltd.		175,244
	10,651	Lazard, Ltd.		286,086
	12,851	Waddell & Reed Financial, Inc.		167,577
				628,907
		Electric - 1.7%
	994	Alliant Energy Corp.		49,064
	693	American Electric Power Co., Inc.		59,078
	7,481	CenterPoint Energy, Inc.		133,012
	767	CMS Energy Corp.		44,931
	1,053	Dominion Energy, Inc.		89,516
	654	DTE Energy Co.		70,351
	1,270	Edison International		73,800
	681	Entergy Corp.		69,339
	501	Eversource Energy		41,934
	1,868	Exelon Corp.		71,563
	1,371	FirstEnergy Corp.		57,938
	175	NextEra Energy, Inc.		44,723
	862	Pinnacle West Capital Corp.		67,150
	4,348	PPL Corp.		121,483
	1,259	Public Service Enterprise Group, Inc.		64,259
	495	Sempra Energy		62,523
	467	WEC Energy Group, Inc.		42,838
	716	Xcel Energy, Inc.		46,562
				1,210,064
		Electrical Components & Equipment - 0.1%
	1,457	Emerson Electric Co.		88,906
		Electronics - 0.1%
	671	Garmin, Ltd.		60,504
		Finance and Insurance - 1.1%
	1,705	Apollo Global Management, Inc.		81,158
	1,463	Bank of Hawaii Corp.		94,115
	7,026	Bank of NT Butterfield & Son, Ltd.		171,645
	5,469	Old Republic International Corp.		85,262
	3,097	Truist Financial Corp.		113,908
	2,747	Trustmark Corp.		65,351
	4,153	United Bankshares Inc/WV		120,769
				732,208

See accompanying notes to financial statements.

54

Horizon Multi-Asset Income Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2020

Shares			Value
		Food - 0.1%
	1,022	General Mills, Inc.	$	64,427
		Forest Products & Paper - 0.2%
	3,525	International Paper Co.		120,026
		Gas - 0.1%
	2,188	NiSource, Inc.		52,140
		Home Furnishings - 0.2%
	3,484	Leggett & Platt, Inc.		106,576
		Household Products/Wares - 0.1%
	401	Kimberly-Clark Corp.		56,717
		Housewares - 0.2%
	9,110	Newell Brands, Inc.		119,796
		Insurance - 2.2%
	6,503	Artisan Partners Asset Management, Inc.		188,392
	12,990	BGC Partners, Inc.		33,449
	589	Cincinnati Financial Corp.		34,722
	12,260	Hanmi Financial Corp.		110,708
	17,392	Janus Henderson Group PLC		374,972
	3,565	Mercury General Corp.		143,420
	2,220	Moelis & Co.		74,659
	7,529	Principal Financial Group, Inc.		290,770
	2,712	Prudential Financial, Inc.		165,323
	14,527	Valley National Bancorp		115,925
				1,532,340
		Machinery - Construction & Mining - 0.1%
	558	Caterpillar, Inc.		67,033
		Manufacturing - 0.4%
	6,945	Domtar Corp.		141,678
	4,587	Huntsman Corp.		83,254
	1,261	Sonoco Products Co.		65,332
				290,264
		Miscellaneous Manufacturing - 0.1%
	845	Eaton Corp PLC		71,740

See accompanying notes to financial statements.

55

Horizon Multi-Asset Income Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2020

Shares			Value
		Oil & Gas - 0.4%
	1,343	Chevron Corp.	$	123,153
	3,693	Exxon Mobil Corp.		167,921
				291,074
		Packaging & Containers - 0.3%
	737	Packaging Corp of America		74,739
	3,518	Westrock Co.		98,715
				173,454
		Pharmaceuticals - 0.2%
	646	Merck & Co., Inc.		52,145
	2,105	Pfizer, Inc.		80,390
				132,535
		Professional, Scientific, and Technical Services - 0.1%
	4,336	Virtu Financial, Inc.		103,414
		Real Estate - 0.2%
	5,062	Triton International, Ltd.		154,391
		Real Estate and Rental and Leasing - 0.0% (b)
	206	Jones Lang LaSalle, Inc.		21,094
		Real Estate Investment Trusts - 6.6%
	398	Acadia Realty Trust		4,669
	21,824	AGNC Investment Corp.		282,403
	516	Alexandria Real Estate Equities, Inc.		79,320
	587	American Campus Communities, Inc.		18,960
	1,275	American Homes 4 Rent		32,181
	951	American Tower Corp.		245,520
	848	Americold Realty Trust		30,282
	64,464	Annaly Capital Management, Inc.		397,098
	634	Apartment Investment & Management Co.		23,376
	573	AvalonBay Communities, Inc.		89,394
	592	Blackstone Mortgage Trust, Inc.		13,965
	695	Boston Properties, Inc.		59,756
	746	Brandywine Realty Trust		7,199
	1,384	Brixmor Property Group, Inc.		15,445
	405	Camden Property Trust		37,086
	470	Columbia Property Trust, Inc.		5,983
	517	CoreCivic, Inc.		6,220
	154	CoreSite Realty Corp.		19,222
	463	Corporate Office Properties Trust		11,561
	610	Cousins Properties, Inc.		18,983
	1,720	Crown Castle International Corp.		296,115

See accompanying notes to financial statements.

56

Horizon Multi-Asset Income Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2020

Shares			Value
	831	CubeSmart	$	23,650
	448	CyrusOne, Inc.		33,304
	1,066	Digital Realty Trust, Inc.		153,035
	760	Douglas Emmett, Inc.		22,314
	1,550	Duke Realty Corp.		53,444
	24,549	Dynex Capital, Inc.		315,700
	165	EastGroup Properties, Inc.		19,181
	354	Equinix, Inc.		246,961
	746	Equity LifeStyle Properties, Inc.		46,476
	1,542	Equity Residential		93,384
	270	Essex Property Trust, Inc.		65,548
	544	Extra Space Storage, Inc.		52,632
	341	Federal Realty Investment Trust		27,249
	527	First Industrial Realty Trust, Inc.		19,963
	563	GEO Group, Inc.		6,745
	566	Healthcare Realty Trust, Inc.		17,376
	920	Healthcare Trust of America, Inc.		24,352
	2,181	Healthpeak Properties, Inc.		53,740
	440	Highwoods Properties, Inc.		16,839
	2,876	Host Hotels & Resorts, Inc.		34,339
	665	Hudson Pacific Properties, Inc.		16,073
	2,293	Invitation Homes, Inc.		60,306
	1,249	Iron Mountain, Inc.		32,174
	545	JBG SMITH Properties		16,203
	444	Kilroy Realty Corp.		25,361
	2,071	Kimco Realty Corp.		23,009
	1,066	Lexington Realty Trust		10,362
	192	Life Storage, Inc.		18,716
	376	Mack-Cali Realty Corp.		5,719
	2,204	Medical Properties Trust, Inc.		39,848
	476	Mid-America Apartment Communities, Inc.		55,387
	758	National Retail Properties, Inc.		23,794
	945	Paramount Group, Inc.		7,286
	871	Physicians Realty Trust		15,042
	538	Piedmont Office Realty Trust, Inc.		8,974
	263	PotlatchDeltic Corp.		8,939
	3,029	Prologis, Inc.		277,154
	116	PS Business Parks, Inc.		15,502
	742	Public Storage		150,433
	535	Rayonier, Inc.		12,706
	1,518	Realty Income Corp.		83,961
	785	Regency Centers Corp.		33,590
	480	Rexford Industrial Realty, Inc.		19,104
	448	SBA Communications Corp.		140,730
	873	SITE Centers Corp.		4,950

See accompanying notes to financial statements.

57

Horizon Multi-Asset Income Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2020

Shares			Value
	333	SL Green Realty Corp.	$	14,026
	462	Spirit Realty Capital, Inc.		13,135
	1,271	Starwood Property Trust, Inc.		16,853
	1,028	STORE Capital Corp.		19,882
	384	Sun Communities, Inc.		52,681
	919	Sunstone Hotel Investors, Inc.		8,133
	267	Taubman Centers, Inc.		11,038
	1,246	UDR, Inc.		46,077
	530	Urban Edge Properties		5,167
	4,818	VEREIT, Inc.		26,403
	1,981	VICI Properties, Inc.		38,867
	828	Vornado Realty Trust		29,982
	360	Washington Real Estate Investment Trust		7,895
	595	Weingarten Realty Investors		10,639
	1,839	Welltower, Inc.		93,182
	3,102	Weyerhaeuser Co.		62,629
	741	WP Carey, Inc.		44,393
				4,627,275
		Retail - 0.3%
	1,007	Genuine Parts Co.		83,994
	273	McDonald’s Corp.		50,865
	402	Target Corp.		49,177
				184,036
		Savings & Loans - 0.6%
	27,538	New York Community Bancorp, Inc.		276,757
	10,019	People’s United Financial, Inc.		114,717
				391,474
		Semiconductors - 0.2%
	644	Intel Corp.		40,527
	791	QUALCOMM, Inc.		63,976
				104,503
		Telecommunications - 0.5%
	3,954	AT&T, Inc.		122,021
	17,429	CenturyLink, Inc.		171,327
	1,332	Verizon Communications, Inc.		76,430
				369,778
		Utilities - 0.4%
	1,481	Avista Corp.		58,011
	841	Black Hills Corp.		51,898
	532	IDACORP, Inc.		49,598
	1,099	NorthWestern Corp.		66,072

See accompanying notes to financial statements.

58

Horizon Multi-Asset Income Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2020

Shares			Value
	2,717	OGE Energy Corp.	$	85,097
				310,676
		Wholesale Trade - 0.1%
	534	Watsco, Inc.		95,004
		TOTAL COMMON STOCKS (Cost - $15,432,422)		13,944,524
		CONVERTIBLE PREFERRED STOCKS - 0.1%
		Finance and Insurance - 0.1%
	1,300	Prudential Plc, 6.5%		34,736
		TOTAL CONVERTIBLE PREFERRED STOCKS (Cost - $35,222)		34,736
		PREFERRED STOCKS - 4.8%
		Banks - 0.6%
	1,275	Bank of America Corp., Series CC, 6.2%		32,946
	1,200	Bank of America Corp., Series EE, 6.0%		31,224
	1,150	Capital One Financial Corp., Series G, 5.2%		28,347
	1,375	Citigroup, Inc., Series J, 7.1%		37,620
	1,350	Citigroup, Inc., Series K, 6.9%		36,544
	1,300	Citigroup, Inc., Series S, 6.3%		33,735
	1,125	Goldman Sachs Group, Inc., Series J, 5.5%		29,093
	1,275	JPMorgan Chase & Co., Series AA, 6.1%		32,334
	1,275	JPMorgan Chase & Co., Series BB, 6.2%		32,411
	1,200	PNC Financial Services Group, Inc., Series P, 6.1%		31,680
	1,200	State Street Corp., Class D, 5.9%		30,912
	1,075	Webster Financial Corp., Series F, 5.3%		27,671
	1,150	Wells Fargo & Co., Series X, 5.5%		29,049
				413,566
		Finance and Insurance - 2.9%
	1,225	American Financial Group, Inc., 6.0%		31,164
	1,175	American International Group, Inc., Series A, 5.9%		30,985
	1,275	Apollo Global Management, Inc., Series B, 6.4%		33,724
	1,150	Arch Capital Group, Ltd., Series E, 5.3%		28,014
	1,225	Axis Capital Holdings, Ltd., Series E, 5.5%		28,983
	1,150	Bank of America Corp., Series GG, 6.0%		31,372
	1,125	BOK Financial Corp., 5.4%		28,440
	1,300	Brighthouse Financial, Inc., 6.3%		33,800
	1,275	Capital One Financial Corp., Series H, 6.0%		33,430
	1,300	Capital One Financial Corp., Series F, 6.2%		33,462
	1,175	Charles Schwab Corp., Series D, 6.0%		30,903
	1,225	Charles Schwab Corp., Series C, 6.0%		31,152
	1,300	Citizens Financial Group, Inc., Series D, 6.4%		32,851

See accompanying notes to financial statements.

59

Horizon Multi-Asset Income Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2020

Shares			Value
	1,175	Fifth Third Bancorp, Series A, 6.0%	$	31,572
	1,300	Fifth Third Bancorp, Series I, 6.6%		35,425
	1,075	First Republic Bank, Series I, 5.5%		28,649
	1,125	First Republic Bank, Series G, 5.5%		29,610
	1,200	Globe Life, Inc., 6.1%		31,920
	1,275	Goldman Sachs Group, Inc., Series K, 6.4%		34,348
	1,275	Goldman Sachs Group, Inc., Series N, 6.3%		33,341
	1,525	Hartford Financial Services Group, Inc., 7.9%		41,358
	1,175	Hartford Financial Services Group, Inc., Series G, 6.0%		32,324
	1,300	Huntington Bancshares, Inc., Series D, 6.3%		33,371
	1,200	Huntington Bancshares, Inc., Series C, 5.9%		30,660
	1,150	KeyCorp, Series E, 6.1%		32,292
	1,150	KeyCorp, Series F, 5.7%		29,957
	1,150	KeyCorp, Series G, 5.6%		29,716
	1,300	Legg Mason, Inc., 6.4%		34,580
	1,150	Legg Mason, Inc., 5.5%		29,359
	1,375	Morgan Stanley, Series E, 7.1%		38,074
	1,325	Morgan Stanley, Series F, 6.9%		35,974
	1,275	Morgan Stanley, Series I, 6.4%		34,795
	1,175	Morgan Stanley, Series K, 5.9%		31,361
	1,325	Oaktree Capital Group, LLC., Series A, 6.6%		34,715
	1,325	Oaktree Capital Group, LLC., Series B, 6.6%		34,357
	1,275	PartnerRe, Ltd., Series I, 5.9%		32,181
	1,150	People’s United Financial, Inc., Series A, 5.6%		29,808
	1,125	Prudential Financial, Inc., 5.6%		30,139
	1,175	Prudential Financial, Inc., 5.8%		29,904
	1,150	Prudential Financial, Inc., 5.7%		29,325
	1,300	Regions Financial Corp., Series A, 6.4%		33,267
	1,300	Reinsurance Group of America, Inc., 6.2%		32,006
	1,200	Reinsurance Group of America, Inc., 5.8%		29,340
	1,125	RenaissanceRe Holdings, Ltd., Series E, 5.4%		28,361
	1,175	RenaissanceRe Holdings, Ltd., Series F, 5.8%		30,538
	1,175	SCE Trust VI, 5.0%		25,686
	1,300	Stifel Financial Corp., Series A, 6.3%		33,059
	1,275	Stifel Financial Corp., Series B, 6.3%		32,640
	1,150	Truist Financial Corp., Series H, 5.6%		29,601
	1,325	Unum Group, 6.3%		32,039
	1,300	Valley National Bancorp, Series B, 5.5%		29,354
	1,300	Wells Fargo & Co., Series R, 6.6%		34,632
	1,200	Wells Fargo & Co., Series V, 6.0%		30,828
	1,200	Wells Fargo & Co., Series T, 6.0%		30,780
	1,200	Wells Fargo & Co., Series Q, 5.9%		30,120
	1,175	Wells Fargo & Co., Series W, 5.7%		30,068
	1,150	Wells Fargo & Co., Series Y, 5.6%		29,762
	1,375	Wintrust Financial Corp., Series D, 6.5%		33,564

See accompanying notes to financial statements.

60

Horizon Multi-Asset Income Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2020

Shares			Value
	1,200	WR Berkley Corp., 5.9%	$	31,692
	1,175	WR Berkley Corp., 5.6%		30,667
	1,175	WR Berkley Corp., 5.8%		30,115
	1,175	Zions Bancorp NA, Series H, 5.8%		29,493
	1,275	Zions Bancorp NA, Series G, 6.3%		33,571
				1,998,578
		Health Care and Social Assistance - 0.1%
	1,150	JPMorgan Chase & Co., Series EE, 6.0%		31,774
	1,125	JPMorgan Chase & Co., Series DD, 5.8%		30,308
				62,082
		Information - 0.1%
	1,475	Qwest Corp., 6.6%		35,326
	1,450	United States Cellular Corp., 7.0%		37,338
				72,664
		Insurance - 0.1%
	1,150	Arch Capital Group, Ltd., Series F, 5.5%		29,152
	1,125	MetLife, Inc., Series E, 5.6%		29,790
				58,942
		Manufacturing - 0.2%
	1,350	Brunswick Corp., 6.6%		35,937
	1,325	Brunswick Corp., 6.5%		35,378
	1,325	Brunswick Corp., 6.4%		34,516
				105,831
		Professional, Scientific, and Technical Services - 0.0% (b)
	1,200	eBay, Inc., 6.0%		31,272
		Real Estate and Rental and Leasing - 0.1%
	1,300	Assured Guaranty Municipal Holdings, Inc., 6.3%		34,710
	1,150	Bank of America Corp., Series HH, 5.9%		30,854
				65,564
		Real Estate Investment Trusts - 0.9%
	1,325	American Homes 4 Rent, Series D, 6.5%		34,450
	1,300	American Homes 4 Rent, Series H, 6.3%		34,385
	1,300	American Homes 4 Rent, Series E, 6.4%		34,112
	1,275	American Homes 4 Rent, Series F, 5.9%		32,474
	1,275	American Homes 4 Rent, Series G, 5.9%		32,232
	1,125	Boston Properties, Inc., Series B, 5.3%		28,339
	1,325	Digital Realty Trust, Inc., Series C, 6.6%		34,755
	1,300	Digital Realty Trust, Inc., Series I, 6.4%		33,319
	1,150	Digital Realty Trust, Inc., Series K, 5.9%		31,050
	1,200	Digital Realty Trust, Inc., Series G, 5.9%		30,996
	1,150	Kimco Realty Corp., Series L, 5.1%		28,071

See accompanying notes to financial statements.

61

Horizon Multi-Asset Income Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2020

Shares			Value
	1,175	Kimco Realty Corp., Series M, 5.3%	$	28,388
	1,150	National Retail Properties, Inc., Series F, 5.2%		27,128
	1,300	Office Properties Income Trust, 5.9%		31,655
	1,075	Public Storage, Series B, 5.4%		27,681
	1,350	SL Green Realty Corp., Series I, 6.5%		35,046
	1,388	VEREIT, Inc., Series F, 6.7%		35,019
	1,350	Vornado Realty Trust, Series K, 5.7%		33,143
	1,350	Vornado Realty Trust, Series L, 5.4%		31,266
	1,350	Vornado Realty Trust, Series M, 5.3%		31,077
				634,586
		Retail Trade - 0.1%
	1,350	KKR & Co, Inc., Series A, 6.8%		35,208
	1,300	KKR & Co, Inc., Series B, 6.5%		33,696
				68,904
		Transportation and Warehousing - 0.0% (b)
	1,350	Enbridge, Inc., Series B, 6.4%		32,738
		Utilities - 0.7%
	1,325	Algonquin Power & Utilities Corp., 6.9%		36,106
	1,150	CMS Energy Corp., 5.9%		31,073
	1,150	CMS Energy Corp., 5.9%		30,601
	1,125	CMS Energy Corp., 5.6%		29,711
	1,175	DTE Energy Co., Series F, 6.0%		31,384
	1,125	DTE Energy Co., Series B, 5.4%		29,126
	1,125	Duke Energy Corp., Series A, 5.8%		31,151
	1,300	NiSource, Inc., Series B, 6.5%		34,255
	1,200	PPL Capital Funding, Inc., Series B, 5.9%		30,240
	1,150	SCE Trust II, 5.1%		27,727
	1,300	SCE Trust III, Series H, 5.8%		30,095
	1,300	SCE Trust IV, Series J, 5.4%		28,782
	1,275	SCE Trust V, Series K, 5.5%		28,968
	1,175	Sempra Energy, 5.8%		29,974
	1,275	Southern Co., 6.3%		32,615
	1,175	Spire, Inc., Series A, 5.9%		31,608
				493,416
		TOTAL PREFERRED STOCKS (Cost - $4,056,471)		4,038,143

See accompanying notes to financial statements.

62

Horizon Multi-Asset Income Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2020

Contracts			Notional Amount		Value
		PURCHASED OPTIONS - 0.0% (a)(b)
		PURCHASED PUT OPTIONS - 0.0%
		iShares U.S. Real Estate ETF
	400	Expiration: June 2020, Exercise Price: $60 (f)	$	3,096,800	$	4,000
		TOTAL PURCHASED OPTIONS (Cost - $66,571)				4,000
Shares
		SHORT TERM INVESTMENTS - 2.0%
		Money Market Funds - 2.0%
	1,399,314	First American Treasury Obligations Fund, Class X, 0.10% (d)				1,399,314
		TOTAL SHORT TERM INVESTMENTS (Cost - $1,399,314)				1,399,314
		INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING - 2.1%
	1,484,025	First American Government Obligations Fund, Class Z, 0.04% (d)				1,484,025
		TOTAL INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING (Cost - $1,484,025)				1,484,025
		TOTAL INVESTMENTS - 102.9% (Cost - $71,767,278)				71,685,743
		Liabilities in Excess of Other Assets - (2.9)%				(2,035,429	)
		NET ASSETS - 100.0%			$	69,650,314
Contracts			Notional Value
		SCHEDULE OF WRITTEN OPTIONS - (0.5)% (a)(c)
		SCHEDULE OF WRITTEN CALL OPTIONS - (0.5)%
	150	AGNC Investment Corp.
		Expiration: June 2020, Exercise Price $13		194,100		6,675
	300	Annaly Capital Management, Inc.
		Expiration: June 2020, Exercise Price $6		184,800		11,100
	20	Host Hotels & Resorts, Inc.
		Expiration: June 2020, Exercise Price $10		23,880		4,300
	150	Invesco, Ltd.
		Expiration: June 2020, Exercise Price $7		119,550		16,875
	300	iShares U.S. Real Estate ETF
		Expiration: June 2020, Exercise Price $70		2,322,600		231,000
	16	Medical Properties Trust, Inc.
		Expiration: June 2020, Exercise Price $16		28,928		3,640
	300	New Residential Investment Corp.
		Expiration: June 2020, Exercise Price $6		215,100		40,500
	100	New York Community Bancorp, Inc.
		Expiration: June 2020, Exercise Price $9		100,500		12,250
	25	Prudential Financial, Inc.
		Expiration: June 2020, Exercise Price $55		152,400		16,813

See accompanying notes to financial statements.

63

Horizon Multi-Asset Income Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2020

Contracts			Notional Value		Value
	10	Realty Income Corp.
		Expiration: June 2020, Exercise Price $50	$	55,310	$	5,900
	13	Welltower, Inc.
		Expiration: June 2020, Exercise Price $43		65,871		11,895
	22	Weyerhaeuser Co.
		Expiration: June 2020, Exercise Price $18		44,418		5,390
		TOTAL WRITTEN CALL OPTIONS (Premiums Received $106,596)				366,338
		SCHEDULE OF WRITTEN PUT OPTIONS - 0.0% (a)(b)(c)
	400	iShares U.S. Real Estate ETF
		Expiration: June 2020, Exercise Price $50		3,096,800		800
		TOTAL WRITTEN PUT OPTIONS (Premiums Received $17,429)				800
		TOTAL OPTIONS WRITTEN (Premiums Received $124,025)			$	367,138

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) Money Market Fund; interest rate reflects seven-day yield on May 31, 2020.

(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 $7,722,300.

(f) Held in connection with a written option, see Schedule of Written Options for more details.

See accompanying notes to financial statements.

64

Horizon Defensive Multi-Factor Fund
PORTFOLIO OF INVESTMENTS (Unaudited)
May 31, 2020

Shares			Value
		INVESTMENT COMPANIES - 9.2%
		Exchange Traded Funds - 9.2%
	87,773	SPDR Bloomberg Barclays 1-3 Month T-Bill ETF	$	8,033,863
		TOTAL EXCHANGE TRADED FUNDS (Cost - $8,041,397)		8,033,863
		COMMON STOCKS - 90.0%
		Aerospace/Defense - 1.6%
	2,467	Lockheed Martin Corp.		958,281
	1,330	Northrop Grumman Corp.		445,816
				1,404,097
		Apparel - 1.1%
	16,644	Hanesbrands, Inc.		164,110
	6,368	Nike, Inc., Class B		627,757
	2,096	Ralph Lauren Corp., Class A		158,269
				950,136
		Auto Manufacturers - 0.4%
	4,595	PACCAR, Inc.		339,387
		Auto Parts & Equipment - 0.4%
	2,699	Aptiv PLC		203,370
	5,523	BorgWarner, Inc.		177,564
				380,934
		Banks - 1.8%
	30,002	Bank of America Corp.		723,648
	18,698	Huntington Bancshares, Inc.		166,225
	1,552	M&T Bank Corp.		163,984
	2,330	PNC Financial Services Group, Inc.		265,713
	1,014	SVB Financial Group (a)		217,757
				1,537,327
		Beverages - 0.5%
	5,879	Monster Beverage Corp. (a)		422,759
		Biotechnology - 2.2%
	1,963	Biogen, Inc. (a)		602,817
	9,852	Gilead Sciences, Inc.		766,781
	907	Regeneron Pharmaceuticals, Inc. (a)		555,819
				1,925,417
		Building Materials - 0.4%
	3,444	Fortune Brands Home & Security, Inc.		209,946
	891	Martin Marietta Materials, Inc.		171,152
				381,098

See accompanying notes to financial statements.

65

Horizon Defensive Multi-Factor Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2020

Shares			Value
		Chemicals - 1.8%
	1,155	Air Products & Chemicals, Inc.	$	279,106
	1,459	International Flavors & Fragrances, Inc.		194,324
	3,563	Linde PLC		720,937
	648	Sherwin-Williams Co.		384,815
				1,579,182
		Commercial Services - 2.2%
	3,178	IHS Markit, Ltd.		220,744
	1,318	Moody’s Corp.		352,447
	5,331	Rollins, Inc.		222,836
	1,741	S&P Global, Inc.		565,860
	1,652	United Rentals, Inc. (a)		229,446
	1,702	Verisk Analytics, Inc.		293,901
				1,885,234
		Computers - 5.0%
	5,107	Accenture PLC, Class A		1,029,673
	8,074	Apple, Inc.		2,567,048
	3,006	Fortinet, Inc. (a)		418,435
	5,779	Seagate Technology PLC		306,518
				4,321,674
		Construction - 0.5%
	5,247	Las Vegas Sands Corp.		251,541
	60	NVR, Inc. (a)		193,297
				444,838
		Distribution/Wholesale - 0.8%
	2,614	Copart, Inc. (a)		233,666
	6,535	Fastenal Co.		269,634
	715	WW Grainger, Inc.		221,378
				724,678
		Diversified Financial Services - 0.8%
	1,699	CBOE Global Markets, Inc.		180,875
	1,820	Nasdaq, Inc.		215,597
	2,393	T. Rowe Price Group, Inc.		289,314
				685,786
		Electric - 2.4%
	3,401	Alliant Energy Corp.		167,873
	2,265	Ameren Corp.		169,263
	2,877	CMS Energy Corp.		168,535
	2,801	Consolidated Edison, Inc.		210,243
	2,921	Evergy, Inc.		180,197
	1,897	NextEra Energy, Inc.		484,797
	4,077	Public Service Enterprise Group, Inc.		208,090

See accompanying notes to financial statements.

66

Horizon Defensive Multi-Factor Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2020

Shares			Value
	2,224	WEC Energy Group, Inc.	$	204,008
	4,074	Xcel Energy, Inc.		264,932
				2,057,938
		Electrical Components & Equipment - 0.3%
	2,466	AMETEK, Inc.		226,157
		Electronics - 0.7%
	2,487	Garmin, Ltd.		224,253
	3,327	Keysight Technologies, Inc. (a)		359,748
				584,001
		Engineering & Construction - 0.2%
	2,020	Jacobs Engineering Group, Inc.		169,720
		Environmental Control - 0.7%
	2,992	Republic Services, Inc.		255,696
	3,384	Waste Management, Inc.		361,242
				616,938
		Finance and Insurance - 1.0%
	1,712	Aon PLC, Class A		337,179
	2,084	First Republic Bank		225,426
	558	MarketAxess Holdings, Inc.		283,793
				846,398
		Food - 2.3%
	4,441	Campbell Soup Co.		226,402
	7,364	Conagra Brands, Inc.		256,193
	6,925	General Mills, Inc.		436,552
	2,316	Hershey Co.		314,235
	5,226	Hormel Foods Corp.		255,186
	1,829	J.M. Smucker Co.		208,378
	9,943	Kroger Co.		324,341
				2,021,287
		Forest Products & Paper - 0.2%
	5,824	International Paper Co.		198,307
		Hand/Machine Tools - 0.2%
	1,291	Snap-on, Inc.		167,430
		Healthcare Products - 3.7%
	9,296	Abbott Laboratories		882,376
	3,968	Baxter International, Inc.		357,160
	4,320	Danaher Corp.		719,755
	3,178	Henry Schein, Inc. (a)		192,968

See accompanying notes to financial statements.

67

Horizon Defensive Multi-Factor Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2020

Shares			Value
	3,040	Thermo Fisher Scientific, Inc.	$	1,061,538
				3,213,797
		Healthcare Services - 2.8%
	2,806	DaVita, Inc. (a)		227,174
	1,184	Humana, Inc.		486,210
	5,571	UnitedHealth Group, Inc.		1,698,319
				2,411,703
		Home Builders - 0.3%
	4,541	DR Horton, Inc.		251,117
		Household Products/Wares - 1.2%
	3,462	Church & Dwight Co., Inc.		259,893
	1,556	Clorox Co.		320,925
	3,062	Kimberly-Clark Corp.		433,089
				1,013,907
		Insurance - 4.5%
	3,270	Allstate Corp.		319,839
	2,774	Arthur J Gallagher & Co.		261,533
	11,891	Berkshire Hathaway, Inc., Class B (a)		2,206,732
	1,042	Everest Re Group Ltd.		206,743
	4,422	Marsh & McLennan Cos., Inc.		468,378
	5,725	Progressive Corp.		444,718
				3,907,943
		Internet - 9.5%
	1,746	Alphabet, Inc., Class A (a)		2,502,926
	934	Amazon.com, Inc., Class A (a)		2,281,173
	9,129	eBay, Inc.		415,735
	2,214	F5 Networks, Inc. (a)		320,853
	12,055	Facebook, Inc. (a)		2,713,460
				8,234,147
		Lodging - 0.3%
	2,847	Hilton Worldwide Holdings, Inc.		225,796
		Machinery - Diversified - 0.7%
	1,716	Cummins, Inc.		291,034
	828	Roper Technologies, Inc.		326,066
				617,100
		Manufacturing - 1.6%
	1,269	IDEX Corp.		202,241
	10,389	Raytheon Technologies Corp.		670,298
	1,246	STERIS PLC		206,699

See accompanying notes to financial statements.

68

Horizon Defensive Multi-Factor Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2020

Shares			Value
	3,261	Trane Technologies PLC	$	294,175
				1,373,413
		Media - 1.4%
	1,854	Charter Communications, Inc., Class A (a)		1,008,576
	9,982	Discovery, Inc., Class A (a) (d)		217,108
				1,225,684
		Mining - 0.5%
	7,959	Newmont Goldcorp Corp.		465,363
		Oil & Gas - 1.9%
	8,497	Cabot Oil & Gas Corp.		168,580
	5,430	Chevron Corp.		497,931
	2,812	Concho Resources, Inc.		153,310
	6,016	ConocoPhillips		253,755
	4,311	EOG Resources, Inc.		219,732
	5,127	HollyFrontier Corp.		161,244
	3,354	Valero Energy Corp.		223,511
				1,678,063
		Oil & Gas Services - 0.2%
	11,490	Baker Hughes & GE Co., Class A		189,700
		Packaging & Containers - 0.5%
	3,373	Ball Corp.		240,360
	2,121	Packaging Corp of America		215,091
				455,451
		Pharmaceuticals - 4.8%
	18,872	Bristol-Myers Squibb Co.		1,127,036
	2,948	Cigna Corp.		581,699
	12,522	CVS Health Corp.		821,068
	20,538	Merck & Co., Inc.		1,657,827
				4,187,630
		Pipelines - 0.2%
	13,500	Kinder Morgan, Inc.		213,300
		Real Estate - 0.2%
	4,475	CBRE Group, Inc., Class A (a)		196,810
		Real Estate Investment Trusts - 2.7%
	608	Equinix, Inc.		424,159
	2,949	Equity Residential		178,591
	705	Essex Property Trust, Inc.		171,153
	2,082	Extra Space Storage, Inc.		201,433

See accompanying notes to financial statements.

69

Horizon Defensive Multi-Factor Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2020

Shares			Value
	14,244	Host Hotels & Resorts, Inc.	$	170,073
	1,535	Mid-America Apartment Communities, Inc.		178,613
	4,091	Prologis, Inc.		374,327
	1,449	Public Storage		293,770
	1,037	SBA Communications Corp.		325,753
				2,317,872
		Retail - 6.9%
	3,537	Best Buy Co., Inc.		276,204
	266	Chipotle Mexican Grill, Inc. (a)		267,040
	3,668	Costco Wholesale Corp.		1,131,468
	2,609	Dollar General Corp.		499,649
	3,551	McDonald’s Corp.		661,622
	5,160	Target Corp.		631,223
	2,230	Tractor Supply Co.		272,105
	817	Ulta Beauty, Inc. (a)		199,356
	16,877	Walmart, Inc.		2,093,761
				6,032,428
		Semiconductors - 4.1%
	20,819	Intel Corp.		1,310,140
	5,107	Maxim Integrated Products, Inc.		294,572
	2,346	NVIDIA Corp.		832,877
	3,093	Qorvo, Inc. (a)		323,961
	9,530	QUALCOMM, Inc.		770,786
				3,532,336
		Software - 7.8%
	3,204	Adobe, Inc. (a)		1,238,666
	3,360	Akamai Technologies, Inc. (a)		355,488
	3,895	Cadence Design Systems, Inc. (a)		355,575
	3,471	Cerner Corp.		253,036
	2,363	Citrix Systems, Inc.		350,008
	3,188	Electronic Arts, Inc. (a)		391,741
	1,819	Jack Henry & Associates, Inc.		328,984
	3,326	Leidos Holdings, Inc.		350,195
	12,854	Microsoft Corp.		2,355,496
	779	MSCI, Inc.		256,174
	1,985	Synopsys, Inc. (a)		359,106
	1,687	Take-Two Interactive Software, Inc. (a)		229,719
				6,824,188

See accompanying notes to financial statements.

70

Horizon Defensive Multi-Factor Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2020

Shares			Value
		Telecommunications - 5.4%
	24,699	Cisco Systems, Inc.	$	1,181,106
	10,738	Juniper Networks, Inc.		260,504
	2,459	Motorola Solutions, Inc.		332,776
	9,975	T-Mobile US, Inc. (a)		997,899
	33,570	Verizon Communications, Inc.		1,926,247
				4,698,532
		Transportation - 1.0%
	2,627	CH Robinson Worldwide, Inc.		213,129
	2,937	Expeditors International of Washington, Inc.		224,299
	1,876	JB Hunt Transport Services, Inc.		224,501
	1,320	Kansas City Southern		198,686
				860,615
		Transportation and Warehousing - 0.3%
	1,744	Old Dominion Freight Line, Inc.		298,381
		TOTAL COMMON STOCKS (Cost - $72,206,015)		78,295,999
		SHORT TERM INVESTMENTS - 0.5%
		Money Market Funds - 0.5%
	459,510	First American Treasury Obligations Fund, Class X, 0.10%, (c)		459,510
		TOTAL SHORT TERM INVESTMENTS (Cost - $459,510)		459,510
		INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING - 0.3%
	222,345	First American Government Obligations Fund, Class Z, 0.04%, (c)		222,345
		TOTAL INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING (Cost - $222,345)		222,345
		TOTAL INVESTMENTS - 100.0% (Cost - $80,929,267)		87,011,717
		Other Assets in Excess of Liabilities - 0.0% (b)		4,037
		NET ASSETS - 100.0%	$	87,015,754

Percentages are stated as a percent of net assets.

(a) Non-income producing security.

(b) Rounds to less than 0.1%.

(c) Money Market Fund; interest rate reflects seven-day yield on May 31, 2020.

(d) All or a portion of this security is out on loan as of May 31, 2020.

See accompanying notes to financial statements.

71

Horizon ESG Defensive Core Fund
PORTFOLIO OF INVESTMENTS (Unaudited)
May 31, 2020

Shares			Value
		COMMON STOCKS - 96.8%
		Advertising - 1.0%
	1,904	Interpublic Group of Cos., Inc.	$	32,577
		Apparel - 0.8%
	280	Nike, Inc., Class B		27,602
		Auto Parts & Equipment - 0.5%
	218	Aptiv PLC		16,426
		Banks - 5.1%
	1,842	Bank of America Corp.		44,429
	1,149	Fifth Third Bancorp		22,279
	668	JPMorgan Chase & Co.		65,003
	366	PNC Financial Services Group, Inc.		41,739
				173,450
		Beverages - 3.0%
	586	Molson Coors Brewing Co., Class B		22,245
	609	PepsiCo, Inc.		80,114
				102,359
		Biotechnology - 4.7%
	403	Amgen, Inc.		92,569
	218	Biogen, Inc. (a)		66,946
				159,515
		Chemicals - 0.9%
	218	International Flavors & Fragrances, Inc.		29,035
		Commercial Services - 3.2%
	218	Moody’s Corp.		58,295
	1,320	Quanta Services, Inc.		48,748
				107,043
		Computers - 8.1%
	859	Apple, Inc.		273,111
		Diversified Financial Services - 2.4%
	730	American Express Co.		69,401
	37	MasterCard, Inc., Class A		11,133
				80,534
		Environmental Control - 2.0%
	792	Republic Services, Inc.		67,684

See accompanying notes to financial statements.

72

Horizon ESG Defensive Core Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2020

Shares			Value
		Food - 1.4%
	305	Campbell Soup Co.	$	15,549
	305	Kellogg Co.		19,919
	218	Tyson Foods, Inc., Class A		13,394
				48,862
		Health Care and Social Assistance - 0.6%
	668	MEDNAX, Inc. (a)		10,374
	305	Premier, Inc., Class A (a)		10,611
				20,985
		Healthcare Products - 1.3%
	429	Medtronic PLC		42,291
		Healthcare Services - 3.9%
	917	DaVita, Inc. (a)		74,240
	524	HCA Healthcare, Inc.		56,016
				130,256
		Household Products/Wares - 0.7%
	218	Avery Dennison Corp.		24,126
		Information - 0.3%
	37	Paycom Software, Inc. (a)		10,998
		Insurance - 2.4%
	730	Allstate Corp.		71,402
	218	Principal Financial Group, Inc.		8,419
				79,821
		Internet - 5.8%
	97	Alphabet, Inc., Class A (a)		139,052
	1,223	eBay, Inc.		55,695
				194,747
		Lodging - 0.9%
	366	Hilton Worldwide Holdings, Inc.		29,027
		Manufacturing - 2.3%
	1,223	Keurig Dr Pepper, Inc.		34,146
	218	Owens Corning		11,445
	37	Tesla, Inc. (a)		30,895
				76,486

See accompanying notes to financial statements.

73

Horizon ESG Defensive Core Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2020

Shares			Value
		Media - 3.4%
	218	Comcast Corp., Class A	$	8,633
	3,098	News Corp., Class A		37,950
	586	Walt Disney Co.		68,738
				115,321
		Miscellaneous Manufacturing - 0.8%
	4,209	General Electric Co.		27,653
		Oil & Gas - 2.0%
	1,320	Exxon Mobil Corp.		60,020
	649	Noble Energy, Inc.		5,666
				65,686
		Oil & Gas Services - 0.0% (b)
	62	National Oilwell Varco, Inc.		773
		Pharmaceuticals - 4.0%
	768	Bristol-Myers Squibb Co.		45,865
	403	Cigna Corp.		79,520
	62	McKesson Corp.		9,838
				135,223
		Real Estate Investment Trusts - 3.8%
	62	Alexandria Real Estate Equities, Inc.		9,530
	486	Digital Realty Trust, Inc.		69,770
	1,842	Iron Mountain, Inc.		47,450
				126,750
		Retail - 4.7%
	730	Lowe’s Cos., Inc.		95,156
	609	Starbucks Corp.		47,496
	122	Target Corp.		14,924
				157,576
		Retail Trade - 1.0%
	159	Burlington Stores, Inc. (a)		33,338
		Semiconductors - 5.5%
	218	Broadcom, Inc.		63,497
	1,842	Intel Corp.		115,917
	122	Micron Technology, Inc. (a)		5,845
				185,259

See accompanying notes to financial statements.

74

Horizon ESG Defensive Core Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2020

Shares			Value
		Software - 10.4%
	159	Cadence Design Systems, Inc. (a)	$	14,515
	1,379	Microsoft Corp.		252,702
	1,379	Oracle Corp.		74,149
	55	Synopsys, Inc. (a)		9,950
				351,316
		Telecommunications - 4.1%
	1,506	AT&T, Inc.		46,475
	951	Cisco Systems, Inc.		45,477
	827	Verizon Communications, Inc.		47,453
				139,405
		Transportation - 2.4%
	183	Union Pacific Corp.		31,084
	486	United Parcel Service, Inc., Class B		48,459
				79,543
		Utilities - 0.7%
	249	IDACORP, Inc.		23,214
		Water - 2.3%
	609	American Water Works Co., Inc.		77,343
		Wholesale Trade - 0.4%
	37	Pool Corp.		9,954
	218	US Foods Holding Corp. (a)		4,172
				14,126
		TOTAL COMMON STOCKS (Cost - $2,981,668)		3,259,461
		RIGHTS - 0.1%
		Manufacturing - 0.1%
	768	Bristol-Myers Squibb Co. (a)		2,527
		TOTAL RIGHTS (Cost - $2,592)		2,527

See accompanying notes to financial statements.

75

Horizon ESG Defensive Core Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2020

Shares			Value
		SHORT TERM INVESTMENTS - 3.1%
		Money Market Funds - 3.1%
	103,148	First American Treasury Obligations Fund, Class X, 0.10% (c)	$	103,148
		TOTAL SHORT TERM INVESTMENTS (Cost - $103,148)		103,148
		TOTAL INVESTMENTS - 100.0% (Cost - $3,087,408)		3,365,136
		Other Assets in Excess of Liabilities - 0.0% (b)		649
		NET ASSETS - 100.0%	$	3,365,785

Percentages are stated as a percent of net assets.

(a) Non-income producing security.

(b) Rounds to less than 0.1%.

(c) Money Market Fund; interest rate reflects seven-day yield on May 31, 2020.

See accompanying notes to financial statements.

76

Horizon Funds

Statements of Assets and Liabilities (Unaudited)
May 31, 2020

	Horizon Active Asset Allocation Fund			Horizon Active Risk Assist® Fund			Horizon Active Income Fund			Horizon Active Dividend Fund
Assets:
Investments in Unaffiliated Securities, at Cost	$	608,975,472		$	938,815,920		$	252,726,023		$	134,474,880
Investments in Affiliated Securities, at Cost		4,865,269			28,715,306			3,829,733			—
Investments in Unaffiliated Securities, at Value (a)	$	626,583,214		$	944,937,839		$	261,740,908		$	134,909,120
Investments in Affiliated Securities, at Value		5,044,696			30,543,344			3,518,098			—
Cash		—			—			26,000			250,000
Receivable for Investment Securities Sold		—			—			17,222,657			4,926,062
Receivable for Fund Shares Sold		1,976,105			2,170,462			615,648			1,104,656
Dividends and Interest Receivable		15,013			22,032			208			471,626
Dividend Reclaims		—			55			—			108,518
Prepaid Expenses and Other Assets		202,411			231,058			108,504			79,608
Total Assets		633,821,439			977,904,790			283,232,023			141,849,590
Liabilities:
Options written, at value (Premiums received $466,339, $3,989,795, $0 and $170,941)		38,700			1,737,848			—			12,500
Collateral received for securities loaned (Note 5)		155,572,046			136,288,995			6,766,500			4,177,185
Payable for Investment Securities Purchased		—			—			17,791,429			—
Payable for Fund Shares Redeemed		262,624			1,173,295			71,607			163,458
Accrued Advisory Fees		449,536			697,764			167,010			79,812
Accrued Custodian Fees		2,571			—			—			—
Accrued Distribution Fees (12b-1) - Advisor Class		7,938			3,908			—			60,513
Accrued Shareholder Servicing Fees - Investor Class		149,667			238,223			68,389			21,917
Accrued Expenses and Other Liabilities		104,178			151,538			106,571			40,318
Total Liabilities		156,587,260			140,291,571			24,971,506			4,555,703
Net Assets	$	477,234,179		$	837,613,219		$	258,260,517		$	137,293,887
Composition of Net Assets:
Net assets consisted of:
Paid in Capital	$	494,952,836		$	939,714,168		$	273,022,654		$	162,428,991
Distributable Earnings/(Accumulated Deficit)		(17,718,657	)		(102,100,949	)		(14,762,137	)		(25,135,104	)
Net Assets	$	477,234,179		$	837,613,219		$	258,260,517		$	137,293,887
Investor Class Shares:
Net Asset Value Per Share:
Net Assets	$	437,467,335		$	787,067,432		$	258,054,316		$	117,145,289
Shares of Beneficial Interest Outstanding		37,118,029			42,564,485			27,171,174			2,397,408
Net Asset Value, (Net Assets / Shares Outstanding)Offering and Redemption Price Per Share	$	11.79		$	18.49		$	9.50		$	48.86
Advisor Class Shares:
Net Assets	$	7,555,206		$	4,725,145		$	13,383		$	20,148,598
Shares of Beneficial Interest Outstanding		643,665			255,458			1,400			412,348
Net Asset Value, (Net Assets / Shares Outstanding)Offering and Redemption Price Per Share	$	11.74		$	18.50		$	9.56		$	48.86
Institutional Class Shares:
Net Assets	$	32,211,638		$	45,820,642		$	192,818		$	—
Shares of Beneficial Interest Outstanding		2,726,202			2,473,178			20,385			—
Net Asset Value, (Net Assets / Shares Outstanding)Offering and Redemption Price Per Share	$	11.82		$	18.53		$	9.46		$	—
(a) Includes loaned securities with a value of:	$	152,629,958		$	133,632,487		$	6,616,211		$	4,080,828

See accompanying notes to financial statements.

77

Horizon Funds
STATEMENTS OF ASSETS AND LIABILITIES (Unaudited) (Continued)
May 31, 2020

	Horizon Defined Risk Fund		Horizon Multi-Asset Income Fund			Horizon Defensive Multi-Factor Fund			Horizon ESG Defensive Core Fund
Assets:
Investments in Unaffiliated Securities, at Cost	$	180,564,333	$	71,767,278		$	80,929,267		$	3,087,408
Investments in Unaffiliated Securities, at Value (a)	$	191,566,822	$	71,685,743		$	87,011,717		$	3,365,136
Receivable for Investment Securities Sold		351,918		6,643,518			—			—
Receivable for Fund Shares Sold		667,541		189,805			171,434			1,394
Receivable from Adviser		—		—			—			16,010
Dividends and Interest Receivable		334,100		59,485			109,439			5,069
Dividend Reclaims		779		—			680			—
Prepaid Expenses and Other Assets		52,962		83,927			58,173			6,624
Total Assets		192,974,122		78,662,478			87,351,443			3,394,233
Liabilities:
Options written, at value (Premiums received $2,594,567, $124,025, $0 and $0)		3,661,350		367,138			—			—
Collateral received for securities loaned (Note 5)		511,895		1,484,025			222,345			—
Payable for Investment Securities Purchased		2,424,654		7,054,505			—			—
Payable for Fund Shares Redeemed		122,839		15,109			28,986			—
Accrued Advisory Fees		112,076		30,655			50,713			—
Accrued Custodian Fees		7,745		7,061			518			—
Accrued Trustees’ Fees and Expenses		237		263			212			514
Accrued Distribution Fees (12b-1) - Investor Class		32,155		10,610			8,680			116
Accrued Distribution Fees (12b-1) - Advisor Class		48,247		7			7			738
Accrued Expenses and Other Liabilities		38,253		42,791			24,228			27,080
Total Liabilities		6,959,451		9,012,164			335,689			28,448
Net Assets	$	186,014,671	$	69,650,314		$	87,015,754		$	3,365,785
Composition of Net Assets:
Net assets consisted of:
Paid in Capital	$	185,077,174	$	84,244,281		$	94,969,248		$	3,178,395
Distributable Earnings/(Accumulated Deficit)		937,497		(14,593,967	)		(7,953,494	)		187,390
Net Assets	$	186,014,671	$	69,650,314		$	87,015,754		$	3,365,785
Investor Class Shares:
Net Asset Value Per Share:
Net Assets	$	161,855,241	$	69,642,325		$	87,006,747		$	929,191
Shares of Beneficial Interest Outstanding		3,144,292		3,287,823			3,681,040			38,473
Net Asset Value, (Net Assets / Shares Outstanding)Offering and Redemption Price Per Share	$	51.48	$	21.18		$	23.64		$	24.15
Advisor Class Shares:
Net Assets	$	24,159,430	$	7,989		$	9,007		$	2,436,594
Shares of Beneficial Interest Outstanding		469,424		377			381			101,131
Net Asset Value, (Net Assets / Shares Outstanding)Offering and Redemption Price Per Share	$	51.47	$	21.18	(b)	$	23.63	(b)		24.09
(a) Includes loaned securities with a value of:	$	504,109	$	1,451,819		$	214,934		$	—

^(b) Differences in actual and calculated net asset value shown are due to rounding.

See accompanying notes to financial statements.

78

Horizon Funds

Statements of Operations (Unaudited)
For the Period Ended May 31, 2020

	Horizon Active Asset Allocation Fund			Horizon Active Risk Assist® Fund			Horizon Active Income Fund			Horizon Active Dividend Fund
Investment Income:
Dividend Income from unaffiliated securities (net of foreign withholdings tax of $105, $167, $0 and $105,546)	$	5,940,070		$	9,157,295		$	4,420,636		$	3,058,654
Dividend Income from affiliated Securities		70,280			1,164,584			123,657			—
Interest Income		20,751			51,075			19,875			21,712
Total Investment Income		6,031,101			10,372,954			4,564,168			3,080,366
Expenses:
Investment Advisory Fees		2,497,648			4,095,854			1,055,287			599,505
Shareholder Servicing Fees - Investor Class		196,049			338,893			124,599			—
Administrative & Accounting Service Fees		137,805			217,958			75,211			48,003
Transfer Agent Fees		74,713			78,636			48,318			21,660
Trustees’ Fees and Expenses		40,528			59,682			21,360			13,934
Registration Fees		35,693			51,354			34,026			28,771
Legal Fees		31,741			49,763			23,984			7,232
Chief Compliance Officer & Compliance Fees		25,835			40,788			14,182			7,699
Custodian Fees		17,717			30,236			7,583			6,182
Printing and Postage Expenses		14,482			19,011			11,940			11,772
Miscellaneous Expenses		11,867			15,862			8,411			3,617
Interest Expense		—			—			24,235			—
Distribution Fees (12b-1) - Advisor Class		—			521			1,226			30,472
Audit Fees		8,983			8,983			8,983			9,370
Distribution Fees (12b-1) - Investor Class		8,245			—			—			67,745
Insurance Fees		6,138			9,866			3,211			1,747
Total Expenses		3,107,444			5,017,407			1,462,556			857,709
Securities Lending Expense Offset		(261,525	)		(228,157	)		(311,461	)		(28,798	)
Fees Recouped by the Adviser		275,571			82,194			—			60,347
Net Expenses		3,121,490			4,871,444			1,151,095			889,258
Net Investment Income		2,909,611			5,501,510			3,413,073			2,191,108
Net Realized and Unrealized Gain (Loss) on Investments:
Net Realized Gain (Loss) on:
Unaffiliated Investments		(17,617,848	)		(80,582,690	)		(935,056	)		(25,590,076	)
Net Long-Term Capital Gain Distributions		—			—			22,168			—
Affiliated Investments		(33,941	)		(1,998,699	)		(116,406	)		—
Purchased Options		3,133,582			(9,141,893	)		(43,487	)		(82,587	)
Written Options		(12,544,789	)		995,237			(2,740,059	)		58,615
Foreign Currency		—			343			—			114
Net Change in Unrealized Appreciation (Depreciation) on:
Unaffiliated Investments		(10,677,224	)		(11,686,161	)		4,952,239			(4,730,964	)
Affiliated Investments		(354,956	)		(6,396,406	)		(219,333	)		—
Purchased Options		(1,150,449	)		(3,831,121	)		—			(26,703	)
Written Options		298,965			2,737,637			(7,215	)		122,561
Foreign Currency		—			—			—			(39	)
Net Realized and Unrealized Gain (Loss) on Investments		(38,946,660	)		(109,586,056	)		912,851			(30,249,079	)
Net Increase (Decrease) in Net Assets Resulting From Operations	$	(36,037,049	)	$	(104,084,546	)	$	4,325,924		$	(28,057,971	)

See accompanying notes to financial statements.

79

Horizon Funds
STATEMENTS OF OPERATIONS (Unaudited) (Continued)
For the Period Ended May 31, 2020

	Horizon Defined Risk Fund			Horizon Multi-Asset Income Fund (1)			Horizon Defensive Multi-Factor Fund			Horizon ESG Defensive Core Fund (1)
Investment Income:
Dividend Income from unaffiliated securities (net of foreign withholdings tax of $903, $195, $1,067 and $0)	$	1,765,562		$	1,618,405		$	827,135		$	10,654
Dividend Income from affiliated Securities		—			1,161			—			—
Interest Income		15,244			7,276			8,245			219
Total Investment Income		1,780,806			1,626,842			835,380			10,873
Expenses:
Investment Advisory Fees		752,680			271,147			345,041			4,128
Distribution Fees (12b-1) - Investor Class		82,049			36,150			43,127			251
Administrative & Accounting Service Fees		46,739			19,875			20,291			10,479
Transfer Agent Fees		21,066			14,348			14,554			8,882
Trustees’ Fees and Expenses		14,216			5,247			6,118			567
Registration Fees		32,099			17,027			17,243			5,729
Legal Fees		6,306			5,360			2,790			5,992
Chief Compliance Officer & Compliance Fees		7,391			3,092			3,332			2,097
Custodian Fees		25,164			9,779			8,985			2,623
Printing and Postage Expenses		10,128			4,018			4,434			1,963
Miscellaneous Expenses		3,017			1,773			3,039			624
Distribution Fees (12b-1) - Advisor Class		30,090			7			7			748
Audit Fees		9,013			7,197			7,197			5,761
Dividend Expenses		—			51,967			—			—
Insurance Fees		1,544			430			492			3
Offering Costs		—			2,683			4,955			8,654
Organizational Costs		—			—			—			1,495
Total Expenses		1,041,502			450,100			481,605			59,996
Securities Lending Expense Offset		(1,972	)		(38,143	)		(3,707	)		—
Fees Recouped/(Waived) by the Adviser		(43,005	)		33,673			(7,780	)		(53,822	)
Net Expenses		996,525			445,630			470,118			6,174
Net Investment Income		784,281			1,181,212			365,262			4,699
Net Realized and Unrealized Gain (Loss) on Investments:
Net Realized Gain (Loss) on:
Unaffiliated Investments		(981,874	)		(13,658,310	)		(14,224,740	)		(95,037	)
Affiliated Investments		—			(14,353	)		—			—
Purchased Options		13,552,079			197,075			(78,841	)		—
Written Options		(13,998,298	)		(528,277	)		27,733			—
Net Change in Unrealized Appreciation (Depreciation) on:
Unaffiliated Investments		(2,871,725	)		(786,695	)		4,912,347			277,728
Affiliated Investments		—			1,911			—			—
Purchased Options		(6,308,413	)		(62,571	)		—			—
Written Options		118,919			(224,512	)		—			—
Net Realized and Unrealized Gain (Loss) on Investments		(10,489,312	)		(15,079,554	)		(9,363,501	)		182,691
Net Increase (Decrease) in Net Assets Resulting From Operations	$	(9,705,031	)	$	(13,898,342	)	$	(8,998,239	)	$	187,390

⁽¹⁾ The Horizon ESG Defensive Core Fund commenced operations on December 26, 2019.

See accompanying notes to financial statements.

80

Horizon Active Asset Allocation Fund

Statements of Changes in Net Assets

	For the Period Ended May 31, 2020			For the Year Ended November 30, 2019
	(Unaudited)
Operations:
Net Investment Income	$	2,909,611		$	3,492,518
Net Realized Loss on Investments, Purchased Options and Written Options		(27,062,996	)		(6,716,609	)
Net Change in Unrealized Appreciation (Depreciation) on Investments, Purchased Options and Written Options		(11,883,664	)		38,866,298
Net Increase (Decrease) in Net Assets Resulting From Operations		(36,037,049	)		35,642,207
Distributions to Shareholders From:
Distributable earnings
Investor Class		(3,464,791	)		(28,080,978	)
Advisor Class		(43,024	)		(449,545	)
Institutional Class		(239,551	)		(1,921,746	)
Total Distributions to Shareholders		(3,747,366	)		(30,452,269	)
Capital Share Transactions:
Proceeds from Shares Issued
Investor Class		97,478,739			183,834,240
Advisor Class		3,610,023			2,532,615
Institutional Class		7,422,512			5,217,874
Distributions Reinvested
Investor Class		3,314,346			26,696,715
Advisor Class		38,374			388,591
Institutional Class		239,551			1,921,746
Cost of Shares Redeemed
Investor Class		(134,203,286	)		(183,821,134	)
Advisor Class		(3,962,529	)		(2,277,638	)
Institutional Class		(2,267,741	)		(8,847,909	)
Net Increase (Decrease) in Net Assets Resulting From Beneficial Interest Transactions		(28,330,011	)		25,645,100
Increase (Decrease) in Net Assets		(68,114,426	)		30,835,038
Net Assets:
Beginning of Period/Year		545,348,605			514,513,567
End of Period/Year	$	477,234,179		$	545,348,605
Share Activity:
Investor Class:
Shares Issued		8,465,900			15,494,502
Shares Reinvested		257,525			2,602,019
Shares Redeemed		(11,949,574	)		(15,372,021	)
Net Increase (Decrease)		(3,226,149	)		2,724,500
Advisor Class:
Shares Issued		318,494			212,299
Shares Reinvested		2,993			38,023
Shares Redeemed		(305,819	)		(191,777	)
Net Increase		15,668			58,545
Institutional Class:
Shares Issued		639,985			434,457
Shares Reinvested		18,584			187,122
Shares Redeemed		(197,741	)		(734,146	)
Net Increase (Decrease)		460,828			(112,567	)

See accompanying notes to financial statements.

81

Horizon Active Risk Assist^® Fund
STATEMENTS OF CHANGES IN NET ASSETS (Continued)

	For the Period Ended May 31, 2020			For the Year Ended November 30, 2019
	(Unaudited)
Operations:
Net Investment Income	$	5,501,510		$	5,035,556
Net Realized Loss on Investments, Purchased Options and Written Options		(90,727,702	)		(16,237,956	)
Net Change in Unrealized Appreciation (Depreciation) on Investments, Purchased Options and Written Options		(18,858,354	)		39,942,606
Net Increase (Decrease) in Net Assets Resulting From Operations		(104,084,546	)		28,740,206
Distributions to Shareholders From:
Distributable earnings
Investor Class		(7,582,927	)		(25,020,041	)
Advisor Class		(1,359	)		(12,752	)
Institutional Class		(674,574	)		(822,520	)
Total Distributions to Shareholders		(8,258,860	)		(25,855,313	)
Capital Share Transactions:
Proceeds from Shares Issued
Investor Class		324,427,681			448,098,022
Advisor Class		4,573,668			95,384
Institutional Class		5,489,974			70,890,542
Distributions Reinvested
Investor Class		7,203,726			23,214,578
Advisor Class		1,359			12,752
Institutional Class		673,553			810,861
Cost of Shares Redeemed
Investor Class		(178,783,209	)		(412,903,377	)
Advisor Class		(47,458	)		(305,953	)
Institutional Class		(15,577,778	)		(35,981,934	)
Net Increase in Net Assets Resulting From Beneficial Interest Transactions		147,961,516			93,930,875
Increase in Net Assets		35,618,110			96,815,768
Net Assets:
Beginning of Period/Year		801,995,109			705,179,341
End of Period/Year	$	837,613,219		$	801,995,109
Share Activity:
Investor Class:
Shares Issued		16,949,894			21,888,834
Shares Reinvested		332,429			1,220,535
Shares Redeemed		(9,274,275	)		(19,995,435	)
Net Increase		8,008,048			3,113,934
Advisor Class:
Shares Issued		249,653			4,663
Shares Reinvested		63			670
Shares Redeemed		(2,550	)		(14,982	)
Net Increase (Decrease)		247,166			(9,649	)
Institutional Class:
Shares Issued		285,503			3,598,112
Shares Reinvested		31,039			42,610
Shares Redeemed		(781,905	)		(1,747,770	)
Net Increase (Decrease)		(465,363	)		1,892,952

See accompanying notes to financial statements.

82

Horizon Active Income Fund
STATEMENTS OF CHANGES IN NET ASSETS (Continued)

	For the Period Ended May 31, 2020			For the Year Ended November 30, 2019
	(Unaudited)
Operations:
Net Investment Income	$	3,413,073		$	8,533,606
Net Realized Loss on Unaffiliated Investments, Affiliated Investments, Purchased Options and Written Options		(3,812,840	)		(611,103	)
Net Change in Unrealized Appreciation on Unaffiliated Investments, Affiliated Investments and Written Options		4,725,691			9,019,054
Net Increase in Net Assets Resulting From Operations		4,325,924			16,941,557
Distributions to Shareholders From:
Distributable Earnings
Investor Class		(5,528,750	)		(8,476,291	)
Advisor Class		(25,865	)		(54,060	)
Institutional Class		(4,232	)		(255,598	)
Total Distributions to Shareholders		(5,558,847	)		(8,785,949	)
Capital Share Transactions:
Proceeds from Shares Issued
Investor Class		92,713,751			122,032,458
Advisor Class		2,500			777,825
Institutional Class		296,585			1,265,958
Distributions Reinvested
Investor Class		5,233,925			7,926,823
Advisor Class		25,865			54,060
Institutional Class		4,231			255,598
Cost of Shares Redeemed
Investor Class		(110,970,136	)		(141,376,516	)
Advisor Class		(2,379,327	)		(163,128	)
Institutional Class		(8,201,781	)		(1,227,529	)
Net Decrease in Net Assets Resulting From Beneficial Interest Transactions		(23,274,387	)		(10,454,451	)
Decrease in Net Assets		(24,507,310	)		(2,298,843	)
Net Assets:
Beginning of Period/Year		282,767,827			285,066,670
End of Period/Year	$	258,260,517		$	282,767,827
Share Activity:
Investor Class:
Shares Issued		9,910,046			13,160,061
Shares Reinvested		554,104			875,624
Shares Redeemed		(12,154,482	)		(15,394,987	)
Net Decrease		(1,690,332	)		(1,359,302	)
Advisor Class:
Shares Issued		262			84,117
Shares Reinvested		2,743			5,923
Shares Redeemed		(247,431	)		(17,470	)
Net Increase (Decrease)		(244,426	)		72,570
Institutional Class:
Shares Issued		32,227			137,045
Shares Reinvested		450			28,265
Shares Redeemed		(865,328	)		(132,790	)
Net Increase (Decrease)		(832,651	)		32,520

See accompanying notes to financial statements.

83

Horizon Active Dividend Fund
STATEMENTS OF CHANGES IN NET ASSETS (Continued)

	For the Period Ended May 31, 2020			For the Year Ended November 30, 2019
	(Unaudited)
Operations:
Net Investment Income	$	2,191,108		$	3,018,869
Net Realized Gain (Loss) on Investments, Purchased Options, Written Options and Foreign Currencies		(25,613,934	)		726,242
Net Change in Unrealized Appreciation (Depreciation) on Investments, Purchased Options, Written Options and Foreign Currencies		(4,635,145	)		6,535,490
Net Increase (Decrease) in Net Assets Resulting From Operations		(28,057,971	)		10,280,601
Distributions to Shareholders From:
Distributable earnings
Investor Class		(3,212,776	)		(3,410,482	)
Advisor Class		(535,949	)		(1,015,651	)
Total Distributions to Shareholders		(3,748,725	)		(4,426,133	)
Capital Share Transactions:
Proceeds from Shares Issued
Investor Class		34,165,195			134,693,504
Advisor Class		7,530,918			22,386,170
Distributions Reinvested
Investor Class		3,212,407			3,410,116
Advisor Class		419,487			798,268
Cost of Shares Redeemed
Investor Class		(49,757,900	)		(26,621,049	)
Advisor Class		(10,373,890	)		(7,418,282	)
Net Increase (Decrease) in Net Assets Resulting From Beneficial Interest Transactions		(14,803,783	)		127,248,727
Increase (Decrease) in Net Assets		(46,610,479	)		133,103,195
Net Assets:
Beginning of Period/Year		183,904,366			50,801,171
End of Period/Year	$	137,293,887		$	183,904,366
Share Activity:
Investor Class:
Shares Issued		678,632			2,408,615
Shares Reinvested		59,031			65,074
Shares Redeemed		(1,011,035	)		(467,780	)
Net Increase (Decrease)		(273,372	)		2,005,909
Advisor Class:
Shares Issued		141,656			401,444
Shares Reinvested		7,715			15,523
Shares Redeemed		(205,835	)		(129,693	)
Net Increase (Decrease)		(56,464	)		287,274

See accompanying notes to financial statements.

84

Horizon Defined Risk Fund
STATEMENTS OF CHANGES IN NET ASSETS (Continued)

	For the Period Ended May 31, 2020			For the Year Ended November 30, 2019
	(Unaudited)
Operations:
Net Investment Income	$	784,281		$	921,713
Net Realized Loss on Unaffiliated Investments, Purchased Options and Written Options		(1,428,093	)		(8,081,431	)
Net Change in Unrealized Appreciation (Depreciation) on Unaffiliated Investments, Purchased Options and Written Options		(9,061,219	)		18,780,689
Net Increase (Decrease) in Net Assets Resulting From Operations		(9,705,031	)		11,620,971
Distributions to Shareholders From:
Distributable earnings
Investor Class		(910,223	)		(93,805	)
Advisor Class		(102,844	)		(46,441	)
Total Distributions to Shareholders		(1,013,067	)		(140,246	)
Capital Share Transactions:
Proceeds from Shares Issued
Investor Class		41,767,763			171,559,084
Advisor Class		6,837,378			17,349,164
Distributions Reinvested
Investor Class		910,154			93,805
Advisor Class		75,200			28,456
Cost of Shares Redeemed
Investor Class		(34,755,066	)		(24,572,765	)
Advisor Class		(4,231,964	)		(4,897,060	)
Net Increase in Net Assets Resulting From Beneficial Interest Transactions		10,603,465			159,560,684
Increase (Decrease) in Net Assets		(114,633	)		171,041,409
Net Assets:
Beginning of Period/Year		186,129,304			15,087,895
End of Period/Year	$	186,014,671		$	186,129,304
Share Activity:
Investor Class:
Shares Issued		806,009			3,376,396
Shares Reinvested		16,792			1,995
Shares Redeemed		(698,161	)		(474,710	)
Net Increase		124,640			2,903,681
Advisor Class:
Shares Issued		129,281			335,380
Shares Reinvested		1,387			605
Shares Redeemed		(83,128	)		(94,023	)
Net Increase		47,540			241,962

See accompanying notes to financial statements.

85

Horizon Multi-Asset Income Fund
STATEMENT OF CHANGES IN NET ASSETS (Continued)

	For the Period Ended May 31, 2020 (2)			For the Period Ended November 30, 2019 (1)
	(Unaudited)
Operations:
Net Investment Income	$	1,181,212		$	109,666
Net Realized Loss on Investments and Written Options		(14,003,865	)		(255,205	)
Net Change in Unrealized Appreciation (Depreciation) on Investments and Written Options		(1,075,689	)		757,871
Net Increase (Decrease) in Net Assets Resulting From Operations		(13,898,342	)		612,332
Distributions to Shareholders From:
Distributable earnings
Investor Class		(1,310,145	)		—
Advisor Class		(84	)		—
Total Distributions to Shareholders		(1,310,229	)		—
Capital Share Transactions:
Proceeds from Shares Issued
Investor Class		18,033,865			75,544,120
Advisor Class		10,000			—
Distributions Reinvested
Investor Class		1,309,937			—
Advisor Class		84			—
Cost of Shares Redeemed
Investor Class		(9,120,542	)		(1,530,911	)
Advisor Class		—
Net Increase in Net Assets Resulting From Beneficial Interest Transactions		10,233,344			74,013,209
Increase (Decrease) in Net Assets		(4,975,227	)		74,625,541
Net Assets:
Beginning of Period		74,625,541			—
End of Period	$	69,650,314		$	74,625,541
Share Activity:
Investor Class:
Shares Issued		776,690			2,906,083
Shares Reinvested		53,381			—
Shares Redeemed		(389,609	)		(58,722	)
Net Increase		440,462			2,847,361
Advisor Class:
Shares Issued		373			—
Shares Reinvested		4			—
Shares Redeemed		—			—
Net Increase		377			—

⁽¹⁾ Horizon Multi-Asset Income Fund, Investor Class, commenced operations on June 26, 2019.

⁽²⁾ Horizon Multi-Asset Income Fund, Advisor Class, commenced operations on January 31, 2020.

See accompanying notes to financial statements.

86

Horizon Defensive Multi-Factor Fund
STATEMENT OF CHANGES IN NET ASSETS (Continued)

	For the Period Ended May 31, 2020 (1)			For the Period Ended November 30, 2019 (2)
	(Unaudited)
Operations:
Net Investment Income	$	365,262		$	89,728
Net Realized Gain (Loss) on Unaffiliated Investments, Purchased Options and Written Options		(14,275,848	)		3,417
Net Change in Unrealized Appreciation on Unaffiliated Investments		4,912,347			1,170,103
Net Increase (Decrease) in Net Assets Resulting From Operations		(8,998,239	)		1,263,248
Distributions to Shareholders From:
Distributable earnings
Investor Class		(220,775	)		—
Advisor Class		—			—
Total Distributions to Shareholders		(220,775	)		—
Capital Share Transactions:
Proceeds from Shares Issued
Investor Class		21,850,554			86,203,772
Advisor Class		10,000			—
Distributions Reinvested
Investor Class		220,732			—
Advisor Class		—			—
Cost of Shares Redeemed
Investor Class		(11,622,444	)		(1,691,094	)
Advisor Class		—			—
Net Increase in Net Assets Resulting From Beneficial Interest Transactions		10,458,842			84,512,678
Increase in Net Assets		1,239,828			85,775,926
Net Assets:
Beginning of Period		85,775,926			—
End of Period	$	87,015,754		$	85,775,926
Share Activity:
Investor Class:
Shares Issued		896,319			3,337,028
Shares Reinvested		8,348			—
Shares Redeemed		(495,406	)		(65,249	)
Net Increase		409,261			3,271,779
Advisor Class:
Shares Issued		381			—
Shares Reinvested		—			—
Shares Redeemed		—			—
Net Increase		381			—

⁽¹⁾ Horizon Defensive Multi-Factor Fund, Advisor Class, commenced operations on January 31, 2020.

⁽²⁾ Horizon Defensive Multi-Factor Fund, Investor Class, commenced operations on June 26, 2019.

See accompanying notes to financial statements.

87

Horizon ESG Defensive Core Fund
STATEMENT OF CHANGES IN NET ASSETS (Continued)

	For the Period Ended May 31, 2020 (1)
	(Unaudited)
Operations:
Net Investment Income	$	4,699
Net Realized Loss on Unaffiliated Investments		(95,037	)
Net Change in Unrealized Appreciation on Unaffiliated Investments		277,728
Net Increase in Net Assets Resulting From Operations		187,390
Capital Share Transactions:
Proceeds from Shares Issued
Investor Class		988,544
Advisor Class		2,245,695
Cost of Shares Redeemed
Investor Class		(50,000	)
Advisor Class		(5,844	)
Net Increase in Net Assets Resulting From Beneficial Interest Transactions		3,178,395
Increase in Net Assets		3,365,785
Net Assets:
Beginning of Period		—
End of Period	$	3,365,785
Share Activity:
Investor Class:
Shares Issued		40,470
Shares Redeemed		(1,997	)
Net Increase		38,473
Advisor Class:
Shares Issued		101,395
Shares Redeemed		(264	)
Net Increase		101,131

⁽¹⁾ Horizon ESG Defensive Core Fund, Investor and Advisor Class, commenced operations on December 26, 2019 and January 8, 2020, respectively.

See accompanying notes to financial statements.

88

Horizon Active Asset Allocation Fund

Financial Highlights

The table below sets forth financial data for one share of beneficial interest outstanding throughout each period/year.

	Investor Class
	For the Period Ended May 31, 2020			For the Year Ended November 30, 2019			For the Year Ended November 30, 2018			For the Year Ended November 30, 2017			For the Year Ended November 30, 2016			For the Year Ended November 30, 2015
	(Unaudited)
Net Asset Value, Beginning of Period/Year	$	12.61		$	12.68		$	14.20		$	11.56		$	11.99		$	12.67
Income From Investment Operations:
Net investment income (c,f)		0.07			0.08			0.07	(h)		0.08			0.12			0.13
Net gain (loss) from investments (both realized and unrealized)		(0.80	)		0.65			(0.02	)(h)		2.66			(0.20	)		(0.37	)
Total from investment operations		(0.73	)		0.73			0.05			2.74			(0.08	)		(0.24	)
Less Distributions:
From net investment income		(0.09	)		(0.08	)		(0.07	)		(0.10	)		(0.20	)		(0.02	)
From net realized gains		—			(0.72	)		(1.50	)		—			(0.15	)		(0.42	)
Total Distributions		(0.09	)		(0.80	)		(1.57	)		(0.10	)		(0.35	)		(0.44	)
Net Asset Value, End of Period/Year	$	11.79		$	12.61		$	12.68		$	14.20		$	11.56		$	11.99
Total Return		(5.88	)%(j)		7.23	%		0.46	%		23.76	%		(0.59	)%		(2.01	)%
Ratios/Supplemental Data
Net assets, end of period/year (in 000’s)	$	437,468		$	508,839		$	477,097		$	393,833		$	354,279		$	366,368
Ratio to average net assets:
Gross expenses (d,e)		1.23	%(i)		1.21	%		1.28	%(g)		1.48	%		1.54	%		1.54	%
Net expenses (a,d)		1.25	%(i)		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)		1.14	%(i)		0.66	%		0.56	%		0.61	%		1.09	%		1.06	%
Portfolio turnover rate		96	%(j)		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 0.00%, 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.

(i) Annualized.

(j) Not annualized.

See accompanying notes to financial statements.

89

Horizon Active Asset Allocation Fund
FINANCIAL HIGHLIGHTS

The table below sets forth financial data for one share of beneficial interest outstanding throughout each period/year.

	Advisor Class
	For the Period Ended May 31, 2020			For the Year Ended November 30, 2019			For the Year Ended November 30, 2018			For the Year Ended November 30, 2017			For the Year Ended November 30, 2016			For the Period Ended November 30, 2015 (a)
	(Unaudited)
Net Asset Value, Beginning of Period/Year	$	12.55		$	12.62		$	14.16		$	11.56		$	11.99		$	11.21
Income From Investment Operations:
Net investment income (loss) (c,g)		0.07			0.07			0.05	(f)		0.05			0.12			(0.03	)(f)
Net gain (loss) from investments (both realized and unrealized)		(0.81	)		0.65			(0.02	)(f)		2.68			(0.20	)		0.81	(f)
Total from investment operations		(0.74	)		0.72			0.03			2.73			(0.08	)		0.78
Less Distributions:
From net investment income		(0.07	)		(0.07	)		(0.07	)		(0.13	)		(0.20	)		—
From net realized gains		—			(0.72	)		(1.50	)		—			(0.15	)		—
Total Distributions		(0.07	)		(0.79	)		(1.57	)		(0.13	)		(0.35	)		—
Net Asset Value, End of Period/Year	$	11.74		$	12.55		$	12.62		$	14.16		$	11.56		$	11.99
Total Return		(5.95	)%(j)		7.12	%		0.29	%		23.64	%		(0.59	)%		6.96	%(j)
Ratios/Supplemental Data
Net assets, end of period/year (in 000’s)	$	7,555		$	7,879		$	7,187		$	5,084		$	2,249		$	29
Ratio to average net assets:
Gross expenses (d,e)		1.40	%(i)		1.39	%		1.43	%(h)		1.55	%		1.55	%		1.54	%(i)
Net expenses (b,d)		1.29	%(i)		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)		1.23	%(i)		0.57	%		0.38	%		0.35	%		1.06	%		(0.88	)%(f)(i)
Portfolio turnover rate		96	%(j)		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%, 0.00%, 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% and now excludes 0.25% of Distribution Fees (12b-1) (See Note 3).

(i) Annualized.

(j) Not annualized.

See accompanying notes to financial statements.

90

Horizon Active Asset Allocation Fund
FINANCIAL HIGHLIGHTS

The table below sets forth financial data for one share of beneficial interest outstanding throughout each period/year.

	Institutional Class
	For the Period Ended May 31, 2020			For the Year Ended November 30, 2019			For the Year Ended November 30, 2018			For the Year Ended November 30, 2017			For the Period Ended November 30, 2016 (a)
	(Unaudited)
Net Asset Value, Beginning of Period/Year	$	12.64		$	12.71		$	14.22		$	11.59		$	11.54
Income From Investment Operations:
Net investment income (c,h)		0.07			0.10			0.09	(g)		0.05			0.03
Net gain (loss) from investments (both realized and unrealized)		(0.80	)		0.65			(0.03	)(g)		2.71			0.02	(f)
Total from investment operations		(0.73	)		0.75			0.06			2.76			0.05
Less Distributions:
From net investment income		(0.09	)		(0.10	)		(0.07	)		(0.13	)		—
From net realized gains		—			(0.72	)		(1.50	)		—			—
Total Distributions		(0.09	)		(0.82	)		(1.57	)		(0.13	)		—
Net Asset Value, End of Period/Year	$	11.82		$	12.64		$	12.71		$	14.22		$	11.59
Total Return		(5.81	)%(j)		7.33	%		0.55	%		23.92	%		0.43	%(j)
Ratios/Supplemental Data
Net assets, end of period/year (in 000’s)	$	32,211		$	28,631		$	30,230		$	29,010		$	8,809
Ratio to average net assets:
Gross expenses (d,e)		1.15	%(i)		1.14	%		1.18	%		1.30	%		1.30	%(i)
Net expenses (b,d)		1.04	%(i)		1.16	%		1.17	%		1.17	%		1.19	%(i)
Net investment income net of reimbursement (recapture) and securities lending expense offset (d,h)		1.31	%(i)		0.80	%		0.68	%		0.38	%		1.28	%(i)
Portfolio turnover rate		96	%(j)		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%, 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.

91

Horizon Active Risk Assist^® Fund
FINANCIAL HIGHLIGHTS

The table below sets forth financial data for one share of beneficial interest outstanding throughout each period/year.

	Investor Class
	For the Period Ended May 31, 2020			For the Year Ended November 30, 2019			For the Year Ended November 30, 2018			For the Year Ended November 30, 2017			For the Year Ended November 30, 2016 (a)			For the Year Ended November 30, 2015
	(Unaudited)
Net Asset Value, Beginning of Period/Year	$	21.38		$	21.69		$	22.80		$	19.31		$	19.62		$	20.50
Income From Investment Operations:
Net investment income (loss) (d,h)		0.13			0.12			0.13			0.12			0.18			0.12
Net gain (loss) from investments (both realized and unrealized)		(2.80	)		0.33			(0.21	)		3.54			(0.29	)		(1.00	)
Total from investment operations		(2.67	)		0.45			(0.08	)		3.66			(0.11	)		(0.88	)
Less Distributions:
From net investment income		(0.22	)		(0.12	)		(0.12	)		(0.17	)		(0.20	)		—
From net realized gains		—			(0.64	)		(0.91	)		—			—			(0.00	)(g)
Total Distributions		(0.22	)		(0.76	)		(1.03	)		(0.17	)		(0.20	)		—
Net Asset Value, End of Period/Year	$	18.49		$	21.38		$	21.69		$	22.80		$	19.31		$	19.62
Total Return		(12.65	)%(k)		2.52	%		(0.31	)%		19.05	%		(0.54	)%		(4.29	)%
Ratios/Supplemental Data
Net assets, end of period/year (in 000’s)	$	787,067		$	738,854		$	682,077		$	418,227		$	319,385		$	222,421
Ratio to average net assets:
Gross expenses (e,f)		1.22	%(j)		1.20	%		1.28	%(i)		1.49	%		1.55	%		1.54	%
Net expenses (b,e)		1.18	%(j)		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)		1.30	%(j)		0.60	%		0.58	%		0.58	%		0.92	%		0.57	%
Portfolio turnover rate		247	%(k)		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%, 0.00%, 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).

(j) Annualized.

(k) Not annualized.

See accompanying notes to financial statements.

92

Horizon Active Risk Assist^® Fund
FINANCIAL HIGHLIGHTS

The table below sets forth financial data for one share of beneficial interest outstanding throughout each period/year.

	Advisor Class
	For the Period Ended May 31, 2020			For the Year Ended November 30, 2019			For the Year Ended November 30, 2018			For the Year Ended November 30, 2017			For the Year Ended November 30, 2016 (a)			For the Period Ended November 30, 2015 (b)
	(Unaudited)
Net Asset Value, Beginning of Period/Year	$	21.36		$	21.66		$	22.78		$	19.30		$	19.62		$	18.97
Income From Investment Operations:
Net investment income (d,h)		(0.03	)		0.10			0.11			0.11			0.17			0.07
Net gain (loss) from investments (both realized and unrealized)		(2.67	)		0.32			(0.23	)		3.54			(0.29	)		0.58	(g)
Total from investment operations		(2.70	)		0.42			(0.12	)		3.65			(0.12	)		0.65
Less Distributions:
From net investment income		(0.16	)		(0.08	)		(0.09	)		(0.17	)		(0.20	)		—
From net realized gains		—			(0.64	)		(0.91	)		—			—			—
Total Distributions		(0.16	)		(0.72	)		(1.00	)		(0.17	)		(0.20	)		—
Net Asset Value, End of Period/Year	$	18.50		$	21.36		$	21.66		$	22.78		$	19.30		$	19.62
Total Return		(12.74	)%(k)		2.37	%		(0.46	)%		19.03	%		(0.59	)%		3.43	%(k)
Ratios/Supplemental Data
Net assets, end of period/year (in 000’s)	$	4,725		$	177		$	388		$	347		$	313		$	19
Ratio to average net assets:
Gross expenses (e,f)		1.39	%(j)		1.38	%		1.43	%(i)		1.56	%		1.51	%		1.54	%(j)
Net expenses (c,e)		1.39	%(j)		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)		(0.28	)%(j)		0.49	%		0.48	%		0.53	%		0.92	%		1.52	%(j)
Portfolio turnover rate		247	%(k)		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%, 0.00%, 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.

93

Horizon Active Risk Assist^® Fund
FINANCIAL HIGHLIGHTS

The table below sets forth financial data for one share of beneficial interest outstanding throughout each period/year.

	Institutional Class
	For the Period Ended May 31, 2020			For the Year Ended November 30, 2019			For the Year Ended November 30, 2018			For the Year Ended November 30, 2017			For the Period Ended November 30, 2016 (a)
	(Unaudited)
Net Asset Value, Beginning of Period/Year	$	21.43		$	21.72		$	22.84		$	19.33		$	19.21
Income From Investment Operations:
Net investment income (loss) (c,g)		0.17			0.10			0.14			(0.14	)		0.05
Net gain from investments (both realized and unrealized)		(2.84	)		0.39			(0.20	)		3.86			0.07	(f)
Total from investment operations		(2.67	)		0.49			(0.06	)		3.72			0.12
Less Distributions:
From net investment income		(0.23	)		(0.14	)		(0.15	)		(0.21	)		—
From net realized gains		—			(0.64	)		(0.91	)		—			—
Total Distributions		(0.23	)		(0.78	)		(1.06	)		(0.21	)		—
Net Asset Value, End of Period/Year	$	18.53		$	21.43		$	21.72		$	22.84		$	19.33
Total Return		(12.60	)%(i)		2.70	%		(0.21	)%		19.31	%		0.62	%(i)
Ratios/Supplemental Data
Net assets, end of period/year (in 000’s)	$	45,821		$	62,964		$	22,714		$	6,633		$	7
Ratio to average net assets:
Gross expenses (d,e)		1.13	%(h)		1.13	%		1.19	%		1.35	%		1.31	%(h)
Net expenses (b,d)		1.08	%(h)		1.08	%		1.14	%		1.17	%		1.17	%(h)
Net investment income (loss) net of reimbursement (recapture) and securities lending expense offset (d,g)		1.77	%(h)		0.47	%		0.61	%		(0.62	)%		1.09	%(h)
Portfolio turnover rate		247	%(i)		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%, 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.

94

Horizon Active Income Fund
FINANCIAL HIGHLIGHTS

The table below sets forth financial data for one share of beneficial interest outstanding throughout each period/year.

	Investor Class
	For the Period Ended May 31, 2020			For the Year Ended November 30, 2019			For the Year Ended November 30, 2018			For the Year Ended November 30, 2017			For the Year Ended November 30, 2016			For the Year Ended November 30, 2015
	(Unaudited)
Net Asset Value, Beginning of Period/Year	$	9.44		$	9.13		$	9.73		$	9.56		$	9.86		$	10.11
Income From Investment Operations:
Net investment income (c,f)		0.12			0.29			0.30			0.25			0.16			0.13
Net gain (loss) from investments (both realized and unrealized)		0.13	(j)		0.31			(0.64	)		0.17			(0.36	)		(0.25	)
Total from investment operations		0.25			0.60			(0.34	)		0.42			(0.20	)		(0.12	)
Less Distributions:
From net investment income		(0.19	)		(0.29	)		(0.26	)		(0.25	)		(0.10	)		(0.13	)
Total Distributions		(0.19	)		(0.29	)		(0.26	)		(0.25	)		(0.10	)		(0.13	)
Net Asset Value, End of Period/Year	$	9.50		$	9.44		$	9.13		$	9.73		$	9.56		$	9.86
Total Return		2.68	%(i)		6.78	%		(3.58	)%		4.39	%		(2.03	)%		(1.18	)%
Ratios/Supplemental Data
Net assets, end of period/year (in 000’s)	$	258,055		$	272,400		$	275,992		$	200,521		$	187,698		$	169,725
Ratio to average net assets:
Gross expenses (d,e)		1.07	%(h)		1.03	%		1.09	%(g)		1.21	%		1.28	%		1.28	%
Net expenses (a,d)		0.84	%(h)		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)		2.48	%(h)		3.13	%		3.16	%		2.54	%		1.58	%		1.25	%
Portfolio turnover rate		127	%(i)		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 and dividend expense which was 0.02%, 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).

(h) Annualized.

(i) Not annualized.

(j) 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 Income Fund
FINANCIAL HIGHLIGHTS

The table below sets forth financial data for one share of beneficial interest outstanding throughout each period/year.

	Advisor Class
	For the Period Ended May 31, 2020			For the Year Ended November 30, 2019			For the Year Ended November 30, 2018			For the Year Ended November 30, 2017			For the Period Ended November 30, 2016 (a)
	(Unaudited)
Net Asset Value, Beginning of Period/Year	$	9.47		$	9.16		$	9.76		$	9.60		$	9.84
Income From Investment Operations:
Net investment income (c,f)		0.17			0.26			0.29			0.13			0.13
Net gain (loss) from investments (both realized and unrealized)		0.07			0.32			(0.63	)		0.28			(0.30	)
Total from investment operations		0.24			0.58			(0.34	)		0.41			(0.17	)
Less Distributions:
From net investment income		(0.15	)		(0.27	)		(0.26	)		(0.25	)		(0.07	)
Total Distributions		(0.15	)		(0.27	)		(0.26	)		(0.25	)		(0.07	)
Net Asset Value, End of Period/Year	$	9.56		$	9.47		$	9.16		$	9.76		$	9.60
Total Return		2.51	%(i)		6.53	%		(3.58	)%		4.31	%		(1.74	)%(i)
Ratios/Supplemental Data
Net assets, end of period/year (in 000’s)	$	13		$	2,328		$	1,587		$	661		$	6
Ratio to average net assets:
Gross expenses (d,e)		1.16	%(h)		1.20	%		1.24	%(g)		1.32	%		1.35	%(h)
Net expenses (b,d)		0.97	%(h)		1.05	%		1.04	%(g)		1.24	%		1.25	%(h)
Net investment income net of reimbursement (recapture) and securities lending expense offset (d,f)		3.53	%(h)		2.79	%		3.07	%		1.37	%		1.70	%(h)
Portfolio turnover rate		127	%(i)		167	%		155	%		175	%		205	%(i)

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%, 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.

96

Horizon Active Income Fund
FINANCIAL HIGHLIGHTS

The table below sets forth financial data for one share of beneficial interest outstanding throughout each period/year.

	Institutional Class
	For the Period Ended May 31, 2020			For the Year Ended November 30, 2019			For the Year Ended November 30, 2018			For the Year Ended November 30, 2017			For the Period Ended November 30, 2016 (a)
	(Unaudited)
Net Asset Value, Beginning of Period/Year	$	9.43		$	9.13		$	9.72		$	9.57		$	10.00
Income From Investment Operations:
Net investment income (c,f)		0.28			0.29			0.31			0.25			0.04
Net gain (loss) from investments (both realized and unrealized)		(0.05	)(j)		0.31			(0.63	)		0.17			(0.47	)
Total from investment operations		0.23			0.60			(0.32	)		0.42			(0.43	)
Less Distributions:
From net investment income		(0.20	)		(0.30	)		(0.27	)		(0.27	)		—
Total Distributions		(0.20	)		(0.30	)		(0.27	)		(0.27	)		—
Net Asset Value, End of Period/Year	$	9.46		$	9.43		$	9.13		$	9.72		$	9.57
Total Return		2.44	%(h)		6.83	%		(3.33	)%		4.41	%		(4.30	)%(h)
Ratios/Supplemental Data
Net assets, end of period/year (in 000’s)	$	193		$	8,040		$	7,488		$	8,084		$	2,572
Ratio to average net assets:
Gross expenses (d,e)		0.93	%(g)		0.95	%		0.99	%		1.03	%		1.09	%(g)
Net expenses (b,d)		0.82	%(g)		0.80	%		0.86	%		0.99	%		0.99	%(g)
Net investment income net of reimbursement (recapture) and securities lending expense offset (d,f)		5.89	%(g)		3.15	%		3.28	%		2.53	%		1.84	%(g)
Portfolio turnover rate		127	%(h)		167	%		155	%		175	%		205	%(h)

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%, 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.

(j) 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.

97

Horizon Active Dividend Fund
FINANCIAL HIGHLIGHTS

The table below sets forth financial data for one share of beneficial interest outstanding throughout each period/year.

	Investor Class
	For the Period Ended May 31, 2020			For the Year Ended November 30, 2019			For the Year Ended November 30, 2018			For the Period Ended November 30, 2017 (a)
	(Unaudited)
Net Asset Value, Beginning of Period/Year	$	58.58		$	60.03		$	59.15		$	50.00
Income From Investment Operations:
Net investment income (c)		0.73			1.47			1.18	(e)		0.66
Net gain (loss) from investments (both realized and unrealized)		(9.20	)		0.27	(h)		1.61	(e)		9.01
Total from investment operations		(8.47	)		1.74			2.79			9.67
Less Distributions:
From net investment income		(1.04	)		(1.14	)		(1.13	)		(0.52	)
From net realized gains		(0.21	)		(2.05	)		(0.78	)		—
Total Distributions		(1.25	)		(3.19	)		(1.91	)		(0.52	)
Net Asset Value, End of Period/Year	$	48.86		$	58.58		$	60.03		$	59.15
Total Return		(14.58	)%(g)		3.67	%		4.72	%		19.45	%(g)
Ratios/Supplemental Data
Net assets, end of period/year (in 000’s)	$	117,145		$	156,452		$	39,909		$	24,509
Ratio to average net assets:
Gross expenses (d)		1.05	%(f)		1.09	%		1.32	%		2.33	%(f)
Net expenses		1.09	%(f)		1.09	%		1.09	%		1.09	%(b,f)
Net investment income net of reimbursement (recapture) and securities lending expense offset		2.76	%(f)		2.59	%		1.93	%		1.24	%(f)
Portfolio turnover rate		253	%(g)		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 the 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.

98

Horizon Active Dividend Fund
FINANCIAL HIGHLIGHTS

The table below sets forth financial data for one share of beneficial interest outstanding throughout each period/year.

	Advisor Class
	For the Period Ended May 31, 2020			For the Year Ended November 30, 2019			For the Year Ended November 30, 2018			For the Period Ended November 30, 2017 (a)
	(Unaudited)
Net Asset Value, Beginning of Period/Year	$	58.56		$	60.00		$	59.13		$	54.31
Income From Investment Operations:
Net investment income (b)		0.69			1.37			1.04	(d)		0.25
Net gain (loss) from investments (both realized and unrealized)		(9.20	)		0.29	(g)		1.66	(d)		4.78
Total from investment operations		(8.51	)		1.66			2.70			5.03
Less Distributions:
From net investment income		(0.98	)		(1.05	)		(1.05	)		(0.21	)
From net realized gains		(0.21	)		(2.05	)		(0.78	)		—
Total Distributions		(1.19	)		(3.10	)		(1.83	)		(0.21	)
Net Asset Value, End of Period/Year	$	48.86		$	58.56		$	60.00		$	59.13
Total Return		(14.64	)%(f)		3.50	%		4.57	%		9.28	%(f)
Ratios/Supplemental Data
Net assets, end of period/year (in 000’s)	$	20,149		$	27,452		$	10,892		$	3,353
Ratio to average net assets:
Gross expenses (c)		1.20	%(e)		1.24	%		1.48	%		2.12	%(e)
Net expenses		1.24	%(e)		1.24	%		1.24	%		1.24	%(e)
Net investment income net of reimbursement (recapture) and securities lending expense offset		2.62	%(e)		2.42	%		1.71	%		1.01	%(e)
Portfolio turnover rate		253	%(f)		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 the 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.

99

Horizon Defined Risk Fund
FINANCIAL HIGHLIGHTS

The table below sets forth financial data for one share of beneficial interest outstanding throughout each period/year.

	Investor Class
	For the Period Ended May 31, 2020			For the Year Ended November 30, 2019			For the Period Ended November 30, 2018 (a)
	(Unaudited)
Net Asset Value, Beginning of Period/Year	$	54.09		$	51.00		$	50.00
Income From Investment Operations:
Net investment income (b)		0.22			0.51			0.44
Net gain (loss) from investments (both realized and unrealized)		(2.53	)		2.86			0.56
Total from investment operations		(2.31	)		3.37			1.00
Less Distributions:
From net investment income		(0.30	)		(0.17	)		—
From net realized gains		—			(0.11	)		—
Total Distributions		(0.30	)		(0.28	)		—
Net Asset Value, End of Period/Year	$	51.48		$	54.09		$	51.00
Total Return		(4.20	)%(e)		6.69	%		2.00	%(e)
Ratios/Supplemental Data
Net assets, end of period/year (in 000’s)	$	161,856		$	163,322		$	5,915
Ratio to average net assets:
Gross expenses (c)		1.09	%(d)		1.20	%		2.28	%(d)
Net expenses		1.04	%(d)		1.04	%		1.04	%(d)
Net investment income net of reimbursement and securities lending expense offset		0.85	%(d)		0.99	%		0.94	%(d)
Portfolio turnover rate		7	%(e)		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.

100

Horizon Defined Risk Fund
FINANCIAL HIGHLIGHTS

The table below sets forth financial data for one share of beneficial interest outstanding throughout each period/year.

	Advisor Class
	For the Period Ended May 31, 2020			For the Year Ended November 30, 2019			For the Period Ended November 30, 2018 (a)
	(Unaudited)
Net Asset Value, Beginning of Period/Year	$	54.06		$	50.98		$	50.58
Income From Investment Operations:
Net investment income (b)		0.18			0.42			0.31	(d)
Net gain (loss) from investments (both realized and unrealized)		(2.53	)		2.87			0.09	(d)
Total from investment operations		(2.35	)		3.29			0.40
Less Distributions:
From net investment income		(0.24	)		(0.10	)		—
From net realized gains		—			(0.11	)		—
Total Distributions		(0.24	)		(0.21	)		—
Net Asset Value, End of Period/Year	$	51.47		$	54.06		$	50.98
Total Return		(4.27	)%(f)		6.51	%		0.77	%(f)
Ratios/Supplemental Data
Net assets, end of period/year (in 000’s)	$	24,159		$	22,807		$	9,173
Ratio to average net assets:
Gross expenses (c)		1.24	%(e)		1.37	%		2.10	%(e)
Net expenses		1.19	%(e)		1.19	%		1.19	%(e)
Net investment income net of reimbursement and securities lending expense offset		0.70	%(e)		0.80	%		0.75	%(e)
Portfolio turnover rate		7	%(f)		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.

101

Horizon Multi-Asset Income Fund
FINANCIAL HIGHLIGHTS

The table below sets forth financial data for one share of beneficial interest outstanding throughout each period.

	Investor Class
	For the Period Ended May 31, 2020			For the Period Ended November 30, 2019 (a)
	(Unaudited)
Net Asset Value, Beginning of Period	$	26.21		$	25.00
Income From Investment Operations:
Net investment income (b,g)		0.38			0.17
Net gain (loss) from investments (both realized and unrealized)		(4.98	)		1.04
Total from investment operations		(4.60	)		1.21
Less Distributions:
From net investment income		(0.43	)		—
From net realized gains		—			—
Total Distributions		(0.43	)		—
Net Asset Value, End of Period	$	21.18		$	26.21
Total Return (e)		(17.76	)%		4.84	%
Ratios/Supplemental Data
Net assets, end of period (in 000’s)	$	69,642		$	74,626
Ratio to average net assets:
Gross expenses (c,d,f)		1.25	%		2.03	%
Net expenses (d,f)		1.23	%		1.09	%
Net investment income net of reimbursement and securities lending expense offset (d,f,g)		3.27	%		1.50	%
Portfolio turnover rate (e)		123	%		89	%

Portfolio turnover is calculated for the Fund as a whole.

(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.

102

Horizon Multi-Asset Income Fund
FINANCIAL HIGHLIGHTS

The table below sets forth financial data for one share of beneficial interest outstanding throughout the period.

	Advisor Class
	For the Period Ended May 31, 2020 (a)
	(Unaudited)
Net Asset Value, Beginning of Period	$	26.77
Income From Investment Operations:
Net investment income (b,g)		0.17
Net gain (loss) from investments (both realized and unrealized)		(5.54	)
Total from investment operations		(5.37	)
Less Distributions:
From net investment income		(0.22	)
From net realized gains		—
Total Distributions		(0.22	)
Net Asset Value, End of Period	$	21.18
Total Return (e)		(20.12	)%
Ratios/Supplemental Data
Net assets, end of period (in 000’s)	$	8
Ratio to average net assets:
Gross expenses (c,d,f)		1.26	%
Net expenses (d,f)		1.12	%
Net investment income net of reimbursement and securities lending expense offset (d,f,g)		2.43	%
Portfolio turnover rate (e)		123	%

Portfolio turnover is calculated for the Fund as a whole.

(a) Since January 31, 2020 (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.

103

Horizon Defensive Multi-Factor Fund
FINANCIAL HIGHLIGHTS

The table below sets forth financial data for one share of beneficial interest outstanding throughout each period.

	Investor Class
	For the Period Ended May 31, 2020			For the Period Ended November 30, 2019 (a)
	(Unaudited)
Net Asset Value, Beginning of Period	$	26.22		$	25.00
Income From Investment Operations:
Net investment income (b)		0.10			0.12
Net gain (loss) from investments (both realized and unrealized)		(2.62	)		1.10
Total from investment operations		(2.52	)		1.22
Less Distributions:
From net investment income		(0.06	)		—
Total Distributions		(0.06	)		—
Net Asset Value, End of Period	$	23.64		$	26.22
Total Return (e)		(9.61	)%		4.88	%
Ratios/Supplemental Data
Net assets, end of period (in 000’s)	$	87,007		$	85,776
Ratio to average net assets:
Gross expenses (c,d)		1.12	%		1.93	%
Net expenses (d)		1.09	%		1.09	%
Net investment income net of reimbursement and securities lending expense offset (d)		0.85	%		1.10	%
Portfolio turnover rate (e)		315	%		0.11	%

Portfolio turnover is calculated for the Fund as a whole.

(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.

104

Horizon Defensive Multi-Factor Fund
FINANCIAL HIGHLIGHTS

The table below sets forth financial data for one share of beneficial interest outstanding throughout the period.

	Advisor Class
	For the Period Ended May 31, 2020 (a)
	(Unaudited)
Net Asset Value, Beginning of Period	$	26.23
Income From Investment Operations:
Net investment income (b)		0.04
Net gain (loss) from investments (both realized and unrealized)		(2.64	)
Total from investment operations		(2.60	)
Net Asset Value, End of Period	$	23.63
Total Return		(9.91	)%(e)
Ratios/Supplemental Data
Net assets, end of period (in 000’s)	$	9
Ratio to average net assets:
Gross expenses (c)		1.26	%(d)
Net expenses		1.19	%(d)
Net investment income net of reimbursement and securities lending expense offset		0.51	%(d)
Portfolio turnover rate		315	%(e)

Portfolio turnover is calculated for the Fund as a whole.

(a) Since January 31, 2020 (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.

105

Horizon ESG Defensive Core Fund
FINANCIAL HIGHLIGHTS

The table below sets forth financial data for one share of beneficial interest outstanding throughout the period.

	Investor Class
	For the Period Ended May 31, 2020 (a)
	(Unaudited)
Net Asset Value, Beginning of Period	$	25.00
Income From Investment Operations:
Net investment income (b)		0.09
Net gain (loss) from investments (both realized and unrealized)		(0.94	)(f)
Total from investment operations		(0.85	)
Net Asset Value, End of Period	$	24.15
Total Return		(3.40	)%(e)
Ratios/Supplemental Data
Net assets, end of period (in 000’s)	$	929
Ratio to average net assets:
Gross expenses (c)		15.39	%(d)
Net expenses		1.04	%(d)
Net investment income net of reimbursement and securities lending expense offset		0.88	%(d)
Portfolio turnover rate		150	%(e)

Portfolio turnover is calculated for the Fund as a whole.

(a) Since December 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) 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.

106

Horizon ESG Defensive Core Fund
FINANCIAL HIGHLIGHTS

The table below sets forth financial data for one share of beneficial interest outstanding throughout the period.

	Advisor Class
	For the Period Ended May 31, 2020 (a)
	(Unaudited)
Net Asset Value, Beginning of Period	$	25.04
Income From Investment Operations:
Net investment income (b)		0.07
Net gain (loss) from investments (both realized and unrealized)		(1.02	)(f)
Total from investment operations		(0.95	)
Net Asset Value, End of Period	$	24.09
Total Return		(3.79	)%(e)
Ratios/Supplemental Data
Net assets, end of period (in 000’s)	$	2,437
Ratio to average net assets:
Gross expenses (c)		7.14	%(d)
Net expenses		1.19	%(d)
Net investment income net of reimbursement and securities lending expense offset		0.83	%(d)
Portfolio turnover rate		150	%(e)

Portfolio turnover is calculated for the Fund as a whole.

(a) Since January 8, 2020 (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) 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.

107

Horizon Funds

Notes to Financial Statements (Unaudited)
May 31, 2020

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, Horizon Defensive Multi-Factor Fund and Horizon ESG Defensive Core 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, Horizon Defensive Multi-Factor Fund and Horizon ESG Defensive Core 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 and Advisor Class shares which commenced operations on June 26, 2019 and January 31, 2020, respectively. 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 and Advisor Class shares which commenced operations on June 26, 2019 and January 31, 2020, respectively. The investment objective of the Horizon ESG Defensive Core Fund is to seek long-term growth of capital, current income and growth of income, while mitigating downside risk through use of a risk overlay strategy (the “Risk Assist^® strategy”). The Fund presently offers Investor Class shares and Advisor Class shares, which commenced operations on December 26, 2019 and January 8, 2020, respectively.

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.

108

Horizon Funds
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
May 31, 2020

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 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.

109

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NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
May 31, 2020

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 May 31, 2020, for the Funds’ investments measured at value:

Horizon Active Asset Allocation Fund
Assets *	Level 1		Level 2		Level 3		Total
Exchange Traded Funds	$	460,597,907	$	—	$	—	$	460,597,907
Common Stocks		9,834,789		—		—		9,834,789
Purchased Put Options		—		37,250		—		37,250
Purchased Call Options		—		51,000		—		51,000
Short-Term Investments		5,534,918		—		—		5,534,918
Investments Purchased With Proceeds From Securities Lending		155,572,046		—		—		155,572,046
Total	$	631,539,660	$	88,250	$	—	$	631,627,910

Liabilities *	Level 1		Level 2		Level 3		Total
Written Put Options	$	—	$	38,700	$	—	$	38,700
Total	$	—	$	38,700	$	—	$	38,700

Horizon Active Risk Assist® Fund
Assets *	Level 1		Level 2		Level 3		Total
Exchange Traded Funds	$	818,410,292	$	—	$	—	$	818,410,292
Common Stocks		11,288,742		—		—		11,288,742
Purchased Put Options		—		2,071,000		—		2,071,000
Short-Term Investments		7,422,154		—		—		7,422,154
Investments Purchased With Proceeds From Securities Lending		136,288,995		—		—		136,288,995
Total	$	973,410,183	$	2,071,000	$	—	$	975,481,183

Liabilities *	Level 1		Level 2		Level 3		Total
Written Put Options	$	—	$	1,737,848	$	—	$	1,737,848
Total	$	—	$	1,737,848	$	—	$	1,737,848

Horizon Active Income Fund
Assets *	Level 1		Level 2		Level 3		Total
Exchange Traded Funds	$	256,338,157	$	—	$	—	$	256,338,157
Short-Term Investments		2,154,349		—		—		2,154,349
Investments Purchased With Proceeds From Securities Lending		6,766,500		—		—		6,766,500
Total	$	265,259,006	$	—	$	—	$	265,259,006

110

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NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
May 31, 2020

Horizon Active Dividend Fund
Assets *	Level 1		Level 2		Level 3		Total
Common Stocks	$	125,559,399	$	—	$	—	$	125,559,399
Convertible Preferred Stocks		490,740		—		—		490,740
Preferred Stocks		283,204		—		—		283,204
Purchased Put Options		—		83,450		—		83,450
Short-Term Investments		4,315,142		—		—		4,315,142
Investments Purchased With Proceeds From Securities Lending		4,177,185		—		—		4,177,185
Total	$	134,825,670	$	83,450	$	—	$	134,909,120

Liabilities *	Level 1		Level 2		Level 3		Total
Written Put Options	$	—	$	12,500	$	—	$	12,500
Total	$	—	$	12,500	$	—	$	12,500

Horizon Defined Risk Fund
Assets *	Level 1		Level 2		Level 3		Total
Common Stocks	$	188,423,322	$	—	$	—	$	188,423,322
Purchased Call Options		—		476,000		—		476,000
Purchased Put Options		—		1,897,300		—		1,897,300
Short-Term Investments		258,305		—		—		258,305
Investments Purchased With Proceeds From Securities Lending		511,895		—		—		511,895
Total	$	189,193,522	$	2,373,300	$	—	$	191,566,822

Liabilities *	Level 1		Level 2		Level 3		Total
Written Call Options	$	—	$	3,090,150	$	—	$	3,090,150
Written Put Options		—		571,200		—		571,200
Total	$	—	$	3,661,350	$	—	$	3,661,350

111

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NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
May 31, 2020

Horizon Multi-Asset Income Fund
Assets *	Level 1		Level 2		Level 3		Total
Exchange Traded Funds	$	50,781,001	$	—	$	—	$	50,781,001
Common Stock		13,944,524		—		—		13,944,524
Convertible Preferred Stock		34,736		—		—		34,736
Preferred Stock		4,038,143		—		—		4,038,143
Purchased Put Options		—		4,000		—		4,000
Short-Term Investments		1,399,314		—		—		1,399,314
Investments Purchased With Proceeds From Securities Lending		1,484,025		—		—		1,484,025
Total	$	71,681,743	$	4,000	$	—	$	71,685,743

Liabilities *	Level 1		Level 2		Level 3		Total
Written Call Options	$	—	$	366,338	$	—	$	366,338
Written Put Options		—		800		—		800
Total	$	—	$	367,138	$	—	$	367,138

Horizon Defensive Multi-Factor Fund
Assets *	Level 1		Level 2		Level 3		Total
Exchange Traded Funds	$	8,033,863	$	—	$	—	$	8,033,863
Common Stocks		78,295,999		—		—		78,295,999
Short-Term Investments		459,510		—		—		459,510
Investments Purchased With Proceeds From Securities Lending		222,345		—		—		222,345
Total	$	87,011,717	$	—	$	—	$	87,011,717

Horizon ESG Defensive Core Fund
Assets *	Level 1		Level 2		Level 3		Total
Common Stocks	$	3,259,461	$	—	$	—	$	3,259,461
Rights		2,527		—		—		2,527
Short-Term Investments		103,148		—		—		103,148
Total	$	3,365,136	$	—	$	—	$	3,365,136

* 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 of an ETF could result in it being more volatile.

112

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NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
May 31, 2020

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.

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 period ended May 31, 2020, were as follows:

	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
Purchased Options	$	1,307,875	$	1,628,275	$	—	$	212,339	$	3,936,275	$	2,000
Written Options	$	3,362,225	$	1,093,924	$	489,825	$	58,650	$	1,830,675	$	255,241

113

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NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
May 31, 2020

The following is a summary of the location of derivative investments on the Funds’ Statements of Assets and Liabilities as of May 31, 2020:

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 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	Investments in Unaffiliated Securities, at Value	Options Written, at Value

Horizon Active Asset Allocation Fund
Derivatives Investment Value
Purchased Options	$	88,250
Written Options	$	38,700

Horizon Active Risk Assist® Fund
Derivatives Investment Value
Purchased Options	$	2,071,000
Written Options	$	1,737,848

Horizon Active Dividend Fund
Derivatives Investment Value
Purchased Options	$	83,450
Written Options	$	12,500

Horizon Defined Risk Fund
Derivatives Investment Value
Purchased Options	$	2,373,300
Written Options	$	3,661,350

Horizon Multi-Asset Income Fund
Derivatives Investment Value
Purchased Options	$	4,000
Written Options	$	367,138

114

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NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
May 31, 2020

The following is a summary of the location of derivative investments on the Funds’ Statements of Operations for the period ended May 31:

Derivative Investment Type	Location of Gain (Loss) on Derivatives in the Statements of Operations
Equity Risk contracts	Net realized gain (loss) from purchased options
	Net realized gain (loss) from written options
	Net change in unrealized appreciation (depreciation) on purchased options
	Net change in unrealized appreciation (depreciation) on written options

Horizon Active Asset Allocation Fund
Realized gain/(loss) on derivatives recognized in the Statements of Operations
Derivative Investment Type
Purchased Options	$	(23,776,417	)
Written Options		(12,544,789	)
	$	(36,321,206	)

Changes in unrealized appreciation/(depreciation) on derivatives recognized in the Statements of Operations
Purchased Options	$	(1,150,449	)
Written Options		298,965
	$	(851,484	)

Horizon Active Risk Assist® Fund
Realized gain/(loss) on derivatives recognized in the Statements of Operations
Derivative Investment Type
Purchased Options	$	(9,141,893	)
Written Options		995,237
	$	(8,146,656	)

Changes in unrealized appreciation/(depreciation) on derivatives recognized in the Statements of Operations
Purchased Options	$	(3,831,121	)
Written Options		2,737,637
	$	(1,093,484	)

115

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NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
May 31, 2020

Horizon Active Income Fund
Realized gain/(loss) on derivatives recognized in the Statements of Operations
Derivative Investment Type
Purchased Options	$	(43,487	)
Written Options		(2,740,059	)
	$	(2,783,546	)

Changes in unrealized appreciation/(depreciation) on derivatives recognized in the Statements of Operations
Purchased Options	$	—
Written Options		(7,215	)
	$	(7,215	)

Horizon Active Dividend Fund
Realized gain/(loss) on derivatives recognized in the Statements of Operations
Derivative Investment Type
Purchased Options	$	(82,587	)
Written Options		58,615
	$	(23,972	)

Changes in unrealized appreciation/(depreciation) on derivatives recognized in the Statements of Operations
Purchased Options	$	(26,704	)
Written Options		122,561
	$	95,587

Horizon Defined Risk Fund
Realized gain/(loss) on derivatives recognized in the Statements of Operations
Derivative Investment Type
Purchased Options	$	13,552,079
Written Options		(13,998,298	)
	$	(446,219	)

Changes in unrealized appreciation/(depreciation) on derivatives recognized in the Statements of Operations
Purchased Options	$	(6,308,413	)
Written Options		118,919
	$	(6,189,494	)

116

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NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
May 31, 2020

Horizon Multi-Asset Income Fund
Realized gain/(loss) on derivatives recognized in the Statements of Operations
Derivative Investment Type
Purchased Options	$	197,075
Written Options		(528,277	)
	$	(331,202	)

Changes in unrealized appreciation/(depreciation) on derivatives recognized in the Statements of Operations
Purchased Options	$	82,894
Written Options		(369,975	)
	$	(287,081	)

Defensive Multi-Factor Fund
Realized gain/(loss) on derivatives recognized in the Statements of Operations
Derivative Investment Type
Purchased Options	$	(78,841	)
Written Options		27,733
	$	(51,108	)

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 May 31, 2020.

Horizon Active Asset Allocation Fund
Liabilities:								Gross Amounts Not Offset in the Statement of Assets & Liabilities
Description	Gross Amounts of Recognized Liabilities			Gross Amounts Offset in the Statement of Assets & Liabilities		Net Amounts Presented in the Statement of Assets & Liabilities		Financial Instruments		Collateral Pledged/ Received			Net Amount
Written Options	$	38,700	(1)	$	—	$	38,700	$	—	$	(38,700	)(2)	$	—
Total	$	38,700		$	—	$	38,700	$	—	$	(38,700	)	$	—

117

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NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
May 31, 2020

Horizon Active Risk Assist® Fund
Liabilities:								Gross Amounts Not Offset in the Statement of Assets & Liabilities
Description	Gross Amounts of Recognized Liabilities			Gross Amounts Offset in the Statement of Assets & Liabilities		Net Amounts Presented in the Statement of Assets & Liabilities		Financial Instruments		Collateral Pledged/ Received			Net Amount
Written Options	$	1,737,848	(1)	$	—	$	1,737,848	$	—	$	(1,737,848	)(2)	$	—
Total	$	1,737,848		$	—	$	1,737,848	$	—	$	(1,737,848	)	$	—

Horizon Active Dividend Fund
Liabilities:								Gross Amounts Not Offset in the Statement of Assets & Liabilities
Description	Gross Amounts of Recognized Liabilities			Gross Amounts Offset in the Statement of Assets & Liabilities		Net Amounts Presented in the Statement of Assets & Liabilities		Financial Instruments		Collateral Pledged/ Received			Net Amount
Written Options	$	12,500	(1)	$	—	$	12,500	$	—	$	(12,500	)(2)	$	—
Total	$	12,500		$	—	$	12,500	$	—	$	(12,500	)	$	—

Horizon Defined Risk Fund
Liabilities:								Gross Amounts Not Offset in the Statement of Assets & Liabilities
Description	Gross Amounts of Recognized Liabilities			Gross Amounts Offset in the Statement of Assets & Liabilities		Net Amounts Presented in the Statement of Assets & Liabilities		Financial Instruments		Collateral Pledged/ Received			Net Amount
Written Options	$	3,661,350	(1)	$	—	$	3,661,350	$	—	$	(3,661,350	)(2)	$	—
Total	$	3,661,350		$	—	$	3,661,350	$	—	$	(3,661,350	)	$	—

118

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NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
May 31, 2020

Horizon Multi-Asset Income Fund
Liabilities:								Gross Amounts Not Offset in the Statement of Assets & Liabilities
Description	Gross Amounts of Recognized Liabilities			Gross Amounts Offset in the Statement of Assets & Liabilities		Net Amounts Presented in the Statement of Assets & Liabilities		Financial Instruments		Collateral Pledged/ Received			Net Amount
Written Options	$	367,138	(1)	$	—	$	367,138	$	—	$	(367,138	)(2)	$	—
Total	$	367,138		$	—	$	367,138	$	—	$	(367,138	)	$	—

(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 interest income is recorded on the accrual basis. Long-term capital gain distributions from investment companies are recorded separately from dividend income. Purchase discounts and premiums on securities are accreted and amortized over the life of the respective securities.

Expenses – Expenses of the Trust that are directly identifiable to a specific Fund are charged to that Fund. Expenses, which are not readily identifiable to a specific Fund, are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense and the relative sizes of the Funds in the Trust. Income, other non-class-specific expenses, and realized and unrealized gains and losses on investments are allocated to each class of shares based on its relative net assets.

Federal Income Taxes – It is each Fund’s policy to comply with all sections of the Internal Revenue Code applicable to regulated investment companies and to distribute all of its taxable income and gains to its shareholders and therefore, no provision for federal income tax has been made. Each Fund is treated as a separate taxpayer for federal income tax purposes.

The Funds recognize the tax benefits of uncertain tax positions only where the position is “more likely than not” to be sustained assuming examination by tax authorities. Management has analyzed the Funds’ tax positions, and has concluded that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions taken on returns filed for open tax years or expected to be taken in the Funds’ 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, the Horizon Defensive Multi-Factor Fund, and Horizon ESG Defensive Core Fund and quarterly for the Horizon Active Income Fund, Horizon Active Dividend Fund and Horizon Multi-Asset Income Fund and are recorded on the ex-dividend date. The Funds will declare and pay net realized capital gains, if any, annually. The character of income and gains to be distributed is determined in accordance with income tax regulations, which may differ from GAAP.

119

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NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
May 31, 2020

Shareholder Services Plan – The Board has adopted a shareholder servicing 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 Fund is 0.10% of average daily net assets. For these services, the Funds pay a fee up to 0.10% of average net assets attributable to Investor Class shares of the Funds on an annualized basis. Payments under the Plan are made for the provision of support services to shareholders, including administrative or other shareholder support services such as responding to customer inquiries or assisting the Funds in establishing or maintaining shareholder accounts and records. The entities providing shareholder services may provide such services directly, or may arrange for such services to be provided by another entity that has a servicing relationship with one or more shareholders. However, payments under the Plan are an operating expense of each Fund that is not subject to the expense limitation provided by the Adviser. Payments under the Plan may vary and are determined by the respective Fund in its sole discretion, in amounts up to 0.10% of the Fund’s average daily net assets attributable to Investor Class shares of the Fund on an annualized basis.

Rule 12b-1 – The Trust, with respect to all Funds, has adopted a Distribution Plan for Advisor Class shares of each Fund, and also for Investor Class shares of the Horizon Active Dividend Fund, Horizon Defined Risk Fund, Horizon Multi-Asset Income Fund, Horizon Defensive Multi-Factor Fund, and the Horizon ESG Defensive Core Fund pursuant to Rule 12b-1 under the 1940 Act (the “12b-1 Plan”). However, payments under the 12b-1 Plan are an operating expense of each Fund that is not subject to the expense limitation provided by the Adviser. The 12b-1 Plan provides for the payment of a distribution fee to Quasar Distributors, LLC (the “Distributor”) at an annualized rate of up to 0.25% of the average daily net assets attributable to the applicable classes. During the period ended May 31, 2020 the distribution fees accrued for the Investor Class shares of the Horizon Active Dividend Fund, Horizon Defined Risk Fund, Horizon Multi-Asset Income Fund, Horizon Defensive Multi-Factor Fund, Horizon ESG Defensive Core Fund and for the Advisor Class shares of all Funds were 0.10% and 0.25% of average daily net assets, respectively. During the six months ended May 31, 2020, 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, Horizon Defensive Multi-Factor Fund and Horizon ESG Defensive Core Fund Advisor Class shares incurred $8,245, $521, $1,226, $30,472, $30,090, $7, $7 and $748, respectively, pursuant to the 12b-1 plan. During the six months ended May 31, 2020, the Horizon Active Dividend Fund, Horizon Defined Risk Fund, Horizon Multi-Asset Income Fund, Horizon Defensive Multi-Factor Fund and the Horizon ESG Defensive Core Fund Investor Class shares incurred $67,746, $82,049, $36,150, $43,127, and $251, respectively, pursuant to the 12b-1 plan. Investor Class shares of the Horizon Active Asset Allocation Fund, Horizon Active Risk Assist Fund and Horizon Active Income Fund and Institutional Class shares of Horizon Active Asset Allocation Fund, Horizon Active Risk Assist^® Fund and Horizon Active Income Fund do not pay any 12b-1 distribution fees.

Indemnification – The Trust indemnifies its officers and trustees for certain liabilities that may arise from the performance of their duties to the Trust. Additionally, in the normal course of business, the Funds enter into contracts that contain a variety of representations and warranties and which provide general indemnities. A Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred. However, based on experience, the Trust expects the risk of loss due to these warranties and indemnities to be remote.

120

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NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
May 31, 2020

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, 0.80% of the average daily net assets of the Horizon Defensive Multi-Factor Fund and 0.75% of the average daily net assets of the Horizon ESG Defensive Core Fund. Effective January 23, 2018, the Advisory fee rate decreased from 1.10% to 0.99% of the average daily net assets of the Horizon Active Asset Allocation Fund and the Horizon Active Risk Assist Fund.

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 December 31, 2022 for the Horizon Multi-Asset Income Fund, Horizon Defensive Multi-Factor Fund and Horizon ESG Defensive Core Fund, to waive a portion of the Fund’s advisory fee and has agreed to reimburse the Fund for other expenses to the extent that the aggregate expenses of every character, including but not limited to investment advisory fees of the Adviser (but excluding front-end or contingent sales loads; brokerage fees and commissions; acquired fund fees and expenses; borrowing costs, such as interest and dividend expense on securities sold short; payments by the Fund, if any, under the Trust’s Rule 12b-1 Distribution Plan; payments by the Fund, if any, under the Trust’s Shareholder Services Plan; expenses paid with securities lending expense offset credits; taxes; and extraordinary expenses, such as litigation) incurred by a class of shares of the Fund in any fiscal year do not exceed the percentage of average daily net assets in the below table.

Fund	Investor			Advisor			Institutional
Horizon Active Asset Allocation Fund		1.17	%		1.17	%		1.17	%
Horizon Active Risk Assist® Fund		1.17	%		1.17	%		1.17	%
Horizon Active Income Fund		0.99	%		0.99	%		0.99	%
Horizon Active Dividend Fund		0.99	%		0.99	%		0.99	%
Horizon Defined Risk Fund		0.94	%		0.94	%		0.94	%
Horizon Multi-Asset Income Fund		0.99	%		0.99	%		0.99	%
Horizon Defensive Multi-Factor Fund		0.99	%		0.99	%		0.99	%
Horizon ESG Defensive Core Fund		0.94	%		0.94	%		0.94	%

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 May 31 of the period indicated. The fee waivers and expense reimbursements incurred by the Predecessor funds are subject to recapture. During the period ended May 31, 2020, the Adviser recouped from Horizon Active

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NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
May 31, 2020

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, Horizon Defensive Multi-Factor Fund, and the Horizon ESG Defensive Risk Fund $281,650, $82,194, $0, $60,347, $0, $35,340, $7,220, and $0, respectively.

Fund	2020		2021		2022		2023		Total
Horizon Active Asset Allocation Fund	$	102,119	$	60,749	$	—	$	6,078	$	168,946
Horizon Active Risk Assist® Fund		49		80		—		—		129
Horizon Active Income Fund		—		24,405		—		—		24,405
Horizon Active Dividend Fund		—		40,920		3,050		—		43,970
Horizon Defined Risk Fund		—		87,874		153,550		43,005		284,429
Horizon Multi-Asset Income Fund		—		—		33,328		1,537		34,865
Horizon Defensive Multi-Factor Fund		—		—		61,386		15,000		76,386
Horizon ESG Defensive Core Fund		—		—		—		53,822		53,822

For the period ended May 31, 2017, fees waived by the Adviser for the Horizon Active Asset Allocation Fund totaled $209,474, of which $205,085 was Recouped by the Adviser, while the remaining $4,389 expired on May 31, 2020 and are no longer eligible for recovered by the Adviser.

For the period ended May 31, 2017, fees waived by the Adviser for the Horizon Active Risk Assist^® Fund totaled $186,497, all of which was Recouped by the Adviser.

For the period ended May 31, 2017, fees waived by the Adviser for the Horizon Active Income Fund totaled $37,356, all of which was Recouped by the Adviser.

For the period ended May 31, 2017, fees waived by the Adviser for the Horizon Active Dividend Fund totaled $31,229, all of which was Recouped by the Adviser.

Trustees – The Trust pays each Trustee of the Trust who is not an interested person an annual retainer of $60,000 for each fiscal year plus $10,000 for attendance of a regular board meeting or $1,000 for attendance of a special meeting. In every instance, the cost of the fees are to be allocated among the participating Funds in accordance with a formula that takes into account the overall asset size of each affected Fund. The Trust also reimburses the Trustees for travel and other expenses incurred in attending meetings of the Board. Officers of the Trust and Trustees who are interested persons of the Trust do not receive any direct compensation from the Trust.

Chief Compliance Officer Compensation – The Board of Trustees renewed the approval of a compensation policy with respect to the Trust’s Chief Compliance Officer pursuant to which the Horizon Funds and the Adviser each pay 50% of the Chief Compliance Officer’s salary, with the portion paid by the Horizon Funds allocated among the Funds in accordance with their relative net assets.

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NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
May 31, 2020

4. INVESTMENT TRANSACTIONS

The cost of purchases and proceeds from the sale of securities, other than short-term securities, for the period ended May 31, 2020 were as follows:

Fund	Purchases		Sales
Horizon Active Asset Allocation Fund	$	477,585,045	$	522,340,160
Horizon Active Risk Assist® Fund		2,164,447,692		1,999,953,443
Horizon Active Income Fund		344,279,760		368,837,349
Horizon Active Dividend Fund		386,074,692		398,623,049
Horizon Defined Risk Fund		19,342,481		12,985,017
Horizon Multi-Asset Income Fund		97,320,607		86,982,074
Horizon Defensive Multi-Factor Fund		276,435,175		263,892,819
Horizon ESG Defensive Core Fund		4,780,953		1,701,655

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 on the Statements 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 six months ended May 31, 2020, Funds had loaned securities and received cash collateral for the loans. The cash collateral is invested by the Custodian in accordance with approved investment guidelines. Those guidelines allow the cash collateral to be invested in readily marketable, high quality, short-term obligations issued or guaranteed by the United States Government; however, such investments are subject to risk of payment delays, declines in the value of collateral provided, default on the part of the issuer or counterparty, or otherwise may not generate sufficient interest to support the costs associated with securities lending. The Funds could also experience delays in recovering their securities and possible loss of income or value if the borrower fails to return the borrowed securities, although the Funds are indemnified from this risk by contract with the securities lending agent.

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NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
May 31, 2020

As of the six months ended May 31, 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 Securities on Loan		Fund Collateral Received*
Horizon Active Asset Allocation Fund	$	152,629,958	$	155,572,046
Horizon Active Risk Assist® Fund		133,632,487		136,288,995
Horizon Active Income Fund		6,616,211		6,766,500
Horizon Active Dividend Fund		4,080,828		4,177,185
Horizon Defined Risk Fund		504,109		511,895
Horizon Multi-Asset Income Fund		1,451,819		1,484,025
Horizon Defensive Multi-Factor Fund		214,934		222,345
Horizon ESG Defensive Core Fund		—		—

* 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 period ended May 31, 2020, and renewed effective March 1, 2020, the Funds, excluding the Horizon ESG Defensive Core Fund, are party to an unsecured line of credit arrangement with the Custodian. The Loan Agreement has an expiration date of February 28, 2021, 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 3.25% as of May 31, 2020, if they borrow. For the period ended May 31, 2020, the Horizon Active Asset Allocation Fund, Horizon Active Income Fund, Horizon Active Dividend Fund, Horizon Defined Risk Fund and Horizon Defensive Multi-Factor Fund had average borrowings of $333,137, $651,153, $446,563, $59,361 and $1,650 and the weighted average interest rate on the line of credit borrowings was 3.53%, 3.89%, 4.21%, 3.25% and 3.25%, respectively. On April 21, 2020, the Horizon Active Asset Allocation Fund had borrowings of $14,246,000, on March 16, 2020 the Horizon Active Income Fund had borrowings of $39,056,000, on March 12, 2020 the Horizon Active Dividend Fund had borrowings of $20,495,000, on April 13, 2020 the Horizon Defined Risk Fund had borrowings of $1,843,000, and on March 16, 2020, the Horizon Defensive Multi-Factor Fund had borrowings of $302,000, which represent the largest borrowing amounts, respectively, during the six months ended May 31, 2020. For the Horizon Active Risk Assist^® Fund and Horizon Multi-Asset Income Fund, there were no borrowings on the line of credit during the six months ended May 31, 2020. None of the Funds had outstanding borrowings on the line of credit as of May 31, 2020.

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NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
May 31, 2020

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 Income		Long-Term Capital Gains		Return of Capital		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		—		—		—		—
Horizon ESG Defensive Core Fund		—		—		—		—

	For the year ended November 30, 2018
Fund	Ordinary Income		Long-Term Capital Gains		Return of Capital		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. The Horizon ESG Defensive Core Fund launched on December 26, 2019.

On December 20, 2019, the Funds paid the following income distributions:

Fund	Investor Class		Advisor Class		Institutional Class
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		—		—

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NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
May 31, 2020

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 Investments, Purchased Options and Written Options		Gross Tax Unrealized Appreciation		Gross Tax Unrealized Depreciation			Net Tax Unrealized Appreciation (Depreciation)
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

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NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
May 31, 2020

As of November 30, 2019, the components of accumulated earnings/(deficit) on a tax basis were as follows:

Fund	Undistributed Ordinary Income		Undistributed Long-Term Capital Gains		Capital Loss Carry Forwards		Other Book/Tax Differences			Post October Loss and Late Year Loss		Unrealized Appreciation/ (Depreciation)		Total Accumulated Earnings/ (Deficits)
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		11,655,596
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, and accumulated net realized gain/(loss) from investments 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 year.

127

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NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
May 31, 2020

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 Earnings/ (Accumulated Deficit)			Paid In Capital
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 May 31, 2020, 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.

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 six months ended May 31, 2020 are as follows:

Security Name	Value at November 30, 2019		Value of Purchases		Value of Sales			Net Change in Unrealized Appreciation (Depreciation)			Net Realized Gain (Loss)			Dividend Income		Value at May 31, 2020			Shares Balance May 31, 2020
Janus Henderson Small/Mid Cap Growth Alpha ETF	$	4,163,542	$	1,364,985	$	(237,337	)	$	(218,695	)	$	(27,799	)	$	9,399	$	5,044,696	**		110,209
Xtrackers S&P 500 ESG ETF*		5,848,000		—		(279,087	)		(136,261	)		(6,142	)		60,881		5,426,510			203,545
	$	10,011,542	$	1,364,985	$	(516,424	)	$	(354,956	)	$	(33,941	)	$	70,280	$	10,471,206			313,754

128

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NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
May 31, 2020

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 six months ended May 31, 2020 are as follows:

Security Name	Value at November 30, 2019		Value of Purchases		Value of Sales			Net Change in Unrealized Appreciation (Depreciation)			Net Realized Gain (Loss)			Dividend Income		Value at May 31, 2020			Shares Balance May 31, 2020
X-Trackers Russell 1000 Comprehensive Factor ETF	$	43,984,409	$	4,598,884	$	(33,743,769	)	$	(4,329,388	)	$	(1,707,359	)	$	232,219	$	8,802,777	**		276,556
X-Trackers Russell 1000 US QARP ETF		23,194,429		6,287,460		(15,221,152	)		(1,615,954	)		29,544			182,167		12,674,327	**		453,789
X-Trackers S&P 500 ESG ETF		9,329,600		1,808,148		(1,952,109	)		(133,367	)		13,968			85,500		9,066,240	**		340,069
SPDR Bloomberg Barclays 1-3 Month T-Bill ETF*		—		981,981,430		(564,595,445	)		(317,697	)		(334,852	)		664,698		416,733,436			4,552,971
	$	76,508,438	$	994,675,922	$	(615,512,475	)	$	(6,396,406	)	$	(1,998,699	)	$	1,164,584	$	447,276,780			5,623,385

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 six months ended May 31, 2020 are as follows:

Security Name	Value at November 30, 2019		Value of Purchases		Value of Sales			Net Change in Unrealized Appreciation (Depreciation)			Net Realized Gain (Loss)			Dividend Income		Value at May 31, 2020			Shares Balance May 31, 2020
X-Trackers Short Duration High Yield Bond ETF	$	4,365,499	$	375,631	$	(887,293	)	$	(219,333	)	$	(116,406	)	$	123,657	$	3,518,098	**		78,296
	$	4,365,499	$	375,631	$	(887,293	)	$	(219,333	)	$	(116,406	)	$	123,657	$	3,518,098			78,296

An affiliated person of the Horizon Multi-Asset 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 six months ended May 31, 2020 are as follows:

Security Name	Value at November 30, 2019		Value of Purchases		Value of Sales			Net Change in Unrealized Appreciation (Depreciation)			Net Realized Gain (Loss)			Dividend Income		Value at May 31, 2020		Shares Balance May 31, 2020
Morgan Stanley, Series K, 5.9%*	$	123,369	$	24,145	$	(99,889	)	$	(1,911	)	$	(14,353	)	$	1,161	$	31,361		1,175
	$	123,369	$	24,145	$	(99,889	)	$	(1,911	)	$	(14,353	)	$	1,161	$	31,361		1,175

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NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
May 31, 2020

* Issuer was no longer an affiliate as of May 31, 2020.

** 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 that noted below.

The global outbreak of COVID-19 (commonly referred to as “coronavirus”) has disrupted economic markets and the prolonged economic impact is uncertain. The ultimate economic fallout from the pandemic, and the long-term impact on economies, markets, industries and individual issuers, are not known. The operational and financial performance of the issuers of securities in which the Funds invest depends on future developments, including the duration and spread of the outbreak, and such uncertainty may in turn adversely affect the value and liquidity of the Funds’ investments, impair the Funds’ ability to satisfy redemption requests, and negatively impact the Funds’ performance.

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Disclosure of Fund Expenses (Unaudited)
May 31, 2020

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.

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Disclosure of Fund Expenses (Unaudited) (Continued)
May 31, 2020

			Actual		Hypothetical (5% return before expenses)
	Fund’s Annualized Expense Ratio	Beginning Account Value 12/1/2019	Ending Account Value 5/31/2020	Expenses Paid During Period	Ending Account Value 5/31/2020	Expenses Paid During Period
Horizon Active Asset Allocation - Investor Class 1	1.35%	$ 1,000.00	$ 941.20	$ 6.55	$ 1,018.25	$ 6.81
Horizon Active Asset Allocation - Advisor Class 1	1.40%	$ 1,000.00	$ 940.50	$ 6.78	$ 1,018.01	$ 7.05
Horizon Active Asset Allocation - Institutional Class 1	1.15%	$ 1,000.00	$ 941.90	$ 5.58	$ 1,019.25	$ 5.81
Horizon Active Risk Assist® - Investor Class 1	1.24%	$ 1,000.00	$ 873.50	$ 5.81	$ 1,018.80	$ 6.26
Horizon Active Risk Assist® - Advisor Class 1	1.46%	$ 1,000.00	$ 872.60	$ 6.83	$ 1,017.71	$ 7.35
Horizon Active Risk Assist® - Institutional Class 1	1.13%	$ 1,000.00	$ 874.00	$ 5.30	$ 1,019.35	$ 5.71
Horizon Active Income - Investor Class 1	1.07%	$ 1,000.00	$ 1,026.80	$ 5.41	$ 1,019.67	$ 5.39
Horizon Active Income - Advisor Class 1	1.16%	$ 1,000.00	$ 1,025.10	$ 5.88	$ 1,019.19	$ 5.87
Horizon Active Income - Institutional Class 1	0.93%	$ 1,000.00	$ 1,024.40	$ 4.72	$ 1,020.34	$ 4.71
Horizon Active Dividend - Investor Class 1	1.13%	$ 1,000.00	$ 854.20	$ 5.22	$ 1,019.37	$ 5.68
Horizon Active Dividend - Advisor Class 1	1.28%	$ 1,000.00	$ 853.60	$ 5.91	$ 1,018.62	$ 6.44
Horizon Defined Risk - Investor Class 1	1.04%	$ 1,000.00	$ 958.00	$ 5.10	$ 1,019.79	$ 5.26
Horizon Defined Risk - Advisor Class 1	1.19%	$ 1,000.00	$ 957.30	$ 5.83	$ 1,019.04	$ 6.02
Horizon Multi-Asset Income - Investor Class 1	1.34%	$ 1,000.00	$ 822.40	$ 6.10	$ 1,018.31	$ 6.75
Horizon Multi-Asset Income - Advisor Class 2	1.26%	$ 1,000.00	$ 798.80	$ 3.71	$ 1,018.71	$ 6.35
Horizon Defensive Multi-Factor - Investor Class 1	1.10%	$ 1,000.00	$ 903.90	$ 5.23	$ 1,019.51	$ 5.55
Horizon Defensive Multi-Factor - Advisor Class 2	1.20%	$ 1,000.00	$ 900.90	$ 3.74	$ 1,019.00	$ 6.06
Horizon ESG Defensive Core - Investor Class 3	1.04%	$ 1,000.00	$ 966.00	$ 4.39	$ 1,019.80	$ 5.25
Horizon ESG Defensive Core - Advisor Class 4	1.19%	$ 1,000.00	$ 962.10	$ 4.59	$ 1,019.05	$ 6.01

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 366 (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 120 days, and divided by 366 (to reflect the number of days in the period). Hypothetical Expenses are multiplied by 183 days, and divided by 366 (to reflect the number of days in the period).

³ 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 366 (to reflect the number of days in the period). Hypothetical Expenses are multiplied by 183 days, and divided by 366 (to reflect the number of days in the period).

⁴ Expenses Paid During the Period are equal to the Funds’ annualized expense ratio, multiplied by the average account value over the period, multiplied by 144 days, and divided by 366 (to reflect the number of days in the period). Hypothetical Expenses are multiplied by 183 days, and divided by 366 (to reflect the number of days in the period).

132

Horizon Funds
Statement Regarding Liquidity Risk Management Program (Unaudited)
May 31, 2020

The Funds have adopted and implemented a written liquidity risk management program (the “Program”) and related procedures to manage its liquidity in accordance with Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Liquidity Rule”). The Liquidity Rule requires that each Fund establish a liquidity risk management program in order to effectively manage the Fund’s liquidity and shareholder redemptions. The Liquidity Rule is designed to mitigate the risk that a Fund could not meet redemption requests without significantly diluting the interests of its remaining investors.

The Liquidity Rule requires the Funds to assess, manage and review their liquidity risk at least annually, considering applicable factors such as investment strategy and liquidity during normal and foreseeable stressed conditions, including whether the strategy is appropriate for an open-end fund and whether the fund has a relatively concentrated portfolio or large positions in particular issuers. Each Fund must also assess its use of borrowings and derivatives, short-term and long-term cash flow projections in normal and stressed conditions, holdings of cash and cash equivalents, and borrowing arrangements and other funding sources.

In accordance with the Program, each of the Fund’s portfolio investments is classified into one of four liquidity categories described below based on a determination of a reasonable expectation for how long it would take to convert the investment to cash (or sell or dispose of the investment) without significantly changing its market value.

● Highly liquid investments – cash or convertible to cash within three business days or less

● Moderately liquid investments – convertible to cash in three to seven calendar days

● Less liquid investments – can be sold or disposed of, but not settled, within seven calendar days

● Illiquid investments – cannot be sold or disposed of within seven calendar days

Liquidity classification determinations take into account a variety of factors, including various market, trading and investment-specific considerations, as well as market depth, and generally utilize analysis from a third-party liquidity metrics service.

The Liquidity Rule places a 15% limit on a Fund’s illiquid investments. Specifically, the Liquidity Rule prohibits acquisition of illiquid investments if doing so would result in the Fund holding more than 15% of its net assets in illiquid investments and requires certain reporting anytime a Fund’s holdings of illiquid investments exceed 15% of net assets. The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments. During the review period, no Fund exceeded the 15% limit on illiquid investments.

The Liquidity Rule also requires funds that do not primarily hold assets that are highly liquid investments to determine and maintain a minimum percentage of the fund’s net assets to be invested in highly liquid investments (highly liquid investment minimum or “HLIM”). The Program includes provisions for determining, periodically reviewing and complying with the HLIM requirement as applicable. During the review period, each Fund primarily held highly liquid investments and therefore was exempt from the requirement to adopt an HLIM and to comply with the related requirements under the Liquidity Rule.

Pursuant to the Liquidity Rule’s requirements, the Program has been reviewed and approved by the Funds’ Board of Trustees. At a recent meeting of the Fund’s Board of Trustees, the Board received a written report prepared by the Program’s Administrator that addressed the operation of the Program, assesses its adequacy and effectiveness and describes any material changes made to the Program.

The report included that, during the reporting period, the were no changes made to the Program, there were no material liquidity events that impacted any Fund, and each Fund held sufficient highly liquid assets to meet Fund redemptions.

The report concluded that the Program is reasonably designed to assess and manage each Fund’s liquidity risk, taking into account the Fund’s particular risks and circumstances, and includes policies and procedures reasonably designed to implement each required component of the Liquidity Rule.

The report also concluded that the Program, including the HLIM where applicable, was implemented and operated effectively to achieve the goal of assessing and managing each Fund’s liquidity risk.

133

Horizon Funds
ADDITIONAL INFORMATION (Unaudited) (Continued)
May 31, 2020

Interested Trustees and Officers
Name, Address* and Year of Birth	Position/Term of Office	Principal Occupation During the Past Five Years	Number of Portfolios in Fund Complex Overseen by Trustee	Other Directorships held by Trustee During the Past Five Years
Robert J. Cannon** Year of Birth: 1972	Interested Trustee Indefinite Term of Office (since 2015) and President; One Year Term of Office (since 2015)	President and CEO of Horizon Investments, LLC	7	None
Matthew Chambers Year of Birth: 1976	Vice President, Chief Compliance Officer and Secretary; One Year Term of Office (since 2015)	General Counsel and Chief Compliance Officer of Horizon Investments, LLC, December 2014-present; Attorney, Kilpatrick Townsend & Stockton, September 2008- November 2014	Not Applicable	Not Applicable
Steve Terry Year of Birth: 1980	Treasurer; One Year Term of Office (since October 2018)	Head of Finance and Business Systems of Horizon Investments, LLC, August 2016-present; Co-Founder, Catamaran Investment Partners, 2015-August 2016; Principal Intersection Partners, 2011-2015.	Not Applicable	Not Applicable

* The address for each Trustee and officer is 6210 Ardrey Kell Road, Suite 300, Charlotte, North Carolina 28277.

** Mr. Cannon is considered an “interested person” of the Trust, as defined in the 1940 Act, because of his current position with the Adviser.

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.

134

Horizon Funds
Additional Information (Unaudited)
May 31, 2020

Independent Trustees
Name, Address* and Year of Birth	Position/Term of Office	Principal Occupation During the Past Five Years	Number of Portfolios in Fund Complex Overseen by Trustee	Other Directorships held by Trustee During the Past Five Years
John W. Davidson Year of Birth: 1946	Trustee; Indefinite Term of Office (since 2015)	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 (7 portfolios).
Todd W. Gaylord Year of Birth: 1975	Trustee; Indefinite Term of Office (since 2015)	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 (since 2015)	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.

135

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Investment Adviser
Horizon Investments, LLC
6210 Ardrey Kell Road, Suite 300
Charlotte, NC 28277

Distributor
Quasar Distributors, LLC
111 East Kilbourn Avenue, Suite 2200
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.

Not applicable for semi-annual reports.

Item 3. Audit Committee Financial Expert.

Not applicable for semi-annual reports.

Item 4. Principal Accountant Fees and Services.

Not applicable for semi-annual reports.

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:	8/6/2020
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:	8/6/2020
By (Signature and Title)*		/s/ Stephen Terry
		Stephen Terry, Treasurer and Principal Financial Officer
Date:	8/6/2020

* Print the name and title of each signing officer under his or her signature.

EX-99.CERT

EX.99.CERT

CERTIFICATIONS

I, Robert Cannon, certify that:

1. I have reviewed this report on Form N-CSR of Horizon Funds;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

(c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date:	8/6/2020	/s/ Robert Cannon
		Robert Cannon
		President and Principal Executive Officer

EX.99.CERT

CERTIFICATIONS

I, Stephen Terry, certify that:

1. I have reviewed this report on Form N-CSR of Horizon Funds;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date:	8/6/2020	/s/ Stephen Terry
		Stephen Terry
		Treasurer and Principal Financial Officer

EX-99.906 CERT

EX.99.906CERT

Certification Pursuant to Section 906 of the Sarbanes-Oxley Act

Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, each of the undersigned officers of the Horizon Funds, does hereby certify, to such officer’s knowledge, that the report on Form N-CSR of the Horizon Funds for the period ended May 31, 2020 fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as applicable, and that the information contained in the Form N-CSR fairly presents, in all material respects, the financial condition and results of operations of the Horizon Funds for the stated period.

/s/ Robert Cannon		/s/ Stephen Terry
Robert Cannon		Stephen Terry
President and Principal Executive Officer, Horizon Funds		Treasurer and Principal Financial Officer, Horizon Funds
Dated:	8/6/2020

This statement accompanies this report on Form N-CSR pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 and shall not be deemed as filed by Horizon Funds for purposes of Section 18 of the Securities Exchange Act of 1934.