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, 2021

Date of reporting period: December 1, 2020 through May 31, 2021

Item 1. Reports to Stockholders.

(a)

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 U.S. Defensive Equity Fund
Investor Class Advisor Class	Shares Shares	HNDRX HADRX	Investor Class Advisor Class	Shares Shares	USRAX USRTX

Horizon ESG Defensive Core Fund
Investor Class Advisor Class	Shares Shares	HESGX HESAX

May 31, 2021

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 U.S. DEFENSIVE EQUITY 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.

Horizon Funds

Table of Contents
Portfolio Review	1
Portfolio Composition	8
Portfolio of Investments	10
Statements of Assets and Liabilities	60
Statements of Operations	62
Statements of Changes in Net Assets	64
Financial Highlights	71
Notes to Financial Statements	88
Disclosure of Fund Expenses	106
Statement Regarding Liquidity Risk Management Program	107
Additional Information	108

Horizon Active Asset Allocation Fund

Portfolio Review (Unaudited)

May 31, 2021

The chart above assumes an initial gross investment of $10,000 made on January 31, 2012. The Fund’s performance figures are for the period ended ended May 31, 2021. 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	41.19%	12.49%	10.13%
Horizon Active Asset Allocation Fund - Advisor Class	41.12%	12.38%	11.57%
Horizon Active Asset Allocation Fund - Institutional Class	41.38%	N/A	13.10%
S&P 500 Total Return Index	40.32%	17.16%	15.62%(2)
S&P Global BMI ex-US Index	43.96%	11.07%	7.74%(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 16.89% and 10.30%, 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 17.74% and 10.52%, 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, 2021

The chart above assumes an initial gross investment of $10,000 made on August 29, 2014. The Fund’s performance figures are for the period ended May 31, 2021. 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	37.40%	8.49%	5.37%
Horizon Active Risk Assist® Fund - Advisor Class	37.15%	8.35%	7.22%
Horizon Active Risk Assist® Fund - Institutional Class	37.50%	N/A	8.63%
Bloomberg Barclays Aggregate Bond Index	-0.40%	3.25%	3.16%(2)
S&P 500 Total Return Index	40.32%	17.16%	13.83%(2)
S&P Global BMI ex-US Index	43.96%	11.07%	6.15%(2)

⁽¹⁾ Inception date is August 29, 2014 for Investor Class Shares, September 4, 2015 for Advisor Class Shares and September 9, 2016 for Institutional Class Shares.

⁽²⁾ The Since Commencement of Operations returns shown are from the commencement date of Horizon Active Risk Assist^® Fund - Investor Class. The returns for the Bloomberg Barclays Aggregate Bond Index, S&P 500 Total Return Index, and S&P Global BMI ex-US Index since the commencement date of the Horizon Active Risk Assist^® Fund - Advisor Class are 3.39%, 16.89%, and 10.30%, 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 3.06%, 17.74%, and 10.52%, 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, 2021

The chart above assumes an initial gross investment of $10,000 made on September 30, 2013. The Fund’s performance figures are for the period ended May 31, 2021. 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	3.90%	2.14%	1.71%
Horizon Active Income Fund - Advisor Class	3.74%	2.12%	2.15%
Horizon Active Income Fund - Institutional Class	4.00%	N/A	2.03%
Bloomberg Barclays Aggregate Bond Index	-0.40%	3.25%	3.39%(2)

⁽¹⁾ Inception date is September 30, 2013 for Investor Class Shares, February 8, 2016 for Advisor Class Shares and September 9, 2016 for Institutional Class Shares.

⁽²⁾ The Since Commencement of Operations returns shown are from the commencement date of Horizon Active Income Fund - Investor Class. The returns for the Bloomberg Barclays Aggregate Bond Index since the commencement date of the Horizon Active Income Fund - Advisor Class and the Horizon Active Income Fund - Institutional Class are 3.32% and 3.06%, 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, 2021

The chart above assumes an initial gross investment of $10,000 made on December 28, 2016. The Fund’s performance figures are for the period ended May 31, 2021. 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	33.54%	9.26%
Horizon Active Dividend Fund - Advisor Class	33.37%	7.83%
MSCI World High Dividend Yield Index(3)	30.40%(2)	10.77%
S&P Global 100 Index	39.03%	16.57%(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 returns for the MSCI World High Dividend Yield Index and S&P Global 100 Index - Advisor Class are 9.15% and 15.52%, respectively.

⁽³⁾ The MSCI World High Dividend Yield Index has replaced the S&P Global 100 Index as the Fund’s primary benchmark index. The Adviser believes that the new index is more appropriate given the Fund’s holdings.

The MSCI World High Dividend Yield Index is based on the MSCI World Index, its parent index, and includes large- and mid-cap stocks across 23 developed markets countries. The index is designed to reflect the performance of equities in the parent index (excluding REITs) with higher dividend income and quality characteristics than average dividend yields that are both sustainable and persistent. The index also applies quality screens and reviews 12-month past performance to omit stocks with potentially deteriorating fundamentals that could force them to cut or reduce dividends. Investors cannot directly invest in an index.

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, 2021

The chart above assumes an initial gross investment of $10,000 made on December 28, 2017. The Fund’s performance figures are for the period ended May 31, 2021. 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	16.77%	5.91%
Horizon Defined Risk Fund - Advisor Class	16.61%	5.59%
Bloomberg Barclays US Treasury 1-3 Years Index	0.26%	2.46%(2)
S&P 500 Total Return Index	40.32%	16.12%(2)

⁽¹⁾ Inception date is December 28, 2017 for Investor Class Shares and February 2, 2018 for Advisor Class Shares.

⁽²⁾ The Since Commencement of Operations returns shown are from the commencement date of Horizon Defined Risk Fund - Investor Class. The returns for the Bloomberg Barclays US Treasury 1-3 Years Index and the S&P 500 Total Return Index since the commencement date of the Horizon Defined Risk Fund - Advisor Class are 2.62%, and 15.64%, 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 U.S. Defensive Equity Fund
PORTFOLIO REVIEW (Unaudited)
May 31, 2021

The chart above assumes an initial gross investment of $10,000 made on June 26, 2019. The Fund’s performance figures are for the period ended May 31, 2021. 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 U.S. Defensive Equity Fund - Investor Class	35.19%	13.70%
Horizon U.S. Defensive Equity Fund - Advisor Class	35.03%	15.85%
S&P 500 Total Return Index	40.32%	23.08%(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 U.S. Defensive Equity Fund - Investor Class. The returns for the S&P 500 Total Return Index since the commencement date of the Horizon U.S. Defensive Equity Fund - Advisor Class are 24.16%.

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.

6

Horizon ESG Defensive Core Fund
PORTFOLIO REVIEW (Unaudited)
May 31, 2021

The chart above assumes an initial gross investment of $10,000 made on December 26, 2019. The Fund’s performance figures are for the period ended May 31, 2021. 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 ESG Defensive Core Fund - Investor Class	41.49%	24.42%
Horizon ESG Defensive Core Fund - Advisor Class	41.29%	24.62%
MSCI USA Index	41.81%	23.53%

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

⁽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 23.72%.

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

7

Horizon Funds

Portfolio Composition (Unaudited)

May 31, 2021

Horizon Active Asset Allocation Fund Portfolio Composition as of May 31, 2021:

	% of Total Investments
Investment Companies	75.0%
Short-Term Investments	0.8%
Investments Purchased With Proceeds From Securities Lending	24.2%
	100.0%

Horizon Active Risk Assist^® Fund Portfolio Composition as of May 31, 2021:

	% of Total Investments
Investment Companies	85.9%
Common Stocks	1.3%
Purchased Call Options	0.1%
Purchased Put Options	0.3%
Short-Term Investments	0.8%
Investments Purchased With Proceeds From Securities Lending	11.6%
	100.0%

Horizon Active Income Fund Portfolio Composition as of May 31, 2021:

	% of Total Investments
Investment Companies	78.8%
Short-Term Investments	0.6%
Investments Purchased With Proceeds From Securities Lending	20.6%
	100.0%

Horizon Active Dividend Fund Portfolio Composition as of May 31, 2021:

	% of Total Investments
Common Stocks	84.9%
Convertible Preferred Stocks	0.2%
Preferred Stocks	0.3%
Short-Term Investments	1.5%
Investments Purchased With Proceeds From Securities Lending	13.1%
	100.0%

8

Horizon Funds
PORTFOLIO COMPOSITION (Unaudited) (Continued)
May 31, 2021

Horizon Defined Risk Fund Portfolio Composition as of May 31, 2021:

	% of Total Investments
Common Stocks	93.7%
Purchased Call Options	0.0%(a)
Purchased Put Options	1.1%
Short-Term Investments	0.8%
Investments Purchased With Proceeds From Securities Lending	4.4%
	100.0%

Horizon U.S. Defensive Equity Fund Portfolio Composition as of May 31, 2021:

	% of Total Investments
Common Stocks	94.0%
Short-Term Investments	0.9%
Investments Purchased With Proceeds From Securities Lending	5.1%
	100.0%

Horizon ESG Defensive Core Fund Portfolio Composition as of May 31, 2021:

	% of Total Investments
Common Stocks	93.3%
Short-Term Investments	2.7%
Investments Purchased With Proceeds From Securities Lending	4.0%
	100.0%

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

^(a) Rounds to less than 0.1%

9

Horizon Active Asset Allocation Fund

Portfolio of Investments (Unaudited)

May 31, 2021

Shares			Value
		INVESTMENT COMPANIES - 98.9%
		Exchange Traded Funds - 98.9%
	229,248	Invesco QQQ Trust Series 1 (a)	$	76,552,785
	531,263	Invesco S&P 500 Equal Weight ETF (a)		80,284,465
	967,856	iShares Core MSCI International Developed Markets ETF		66,801,421
	284,686	iShares Core S&P Mid-Cap ETF		77,582,629
	349,284	iShares Core S&P Small-Cap ETF		39,416,699
	187,790	iShares MSCI USA Momentum Factor ETF (a)		31,997,538
	830,883	iShares Select Dividend ETF		100,570,078
	114,091	Janus Henderson Small/Mid Cap Growth Alpha ETF (a)		7,701,142
	269,454	Schwab U.S. Large-Cap Value ETF (a)		18,613,882
	855,033	SPDR Portfolio Developed World ex-US ETF (a)		32,234,744
	540,846	SPDR Portfolio S&P 500 Growth ETF (a)		32,304,732
	1,148,590	SPDR Portfolio S&P 500 Value ETF (a)		46,196,290
	98,238	SPDR S&P Kensho New Economies Composite ETF (a)		6,426,730
	850,428	Xtrackers MSCI USA ESG Leaders Equity ETF (a)		32,843,529
	213,266	Xtrackers S&P 500 ESG ETF (a)		7,865,250
		TOTAL INVESTMENT COMPANIES (Cost - $572,027,903)		657,391,914
		SHORT TERM INVESTMENTS - 1.1%
		Money Market Funds - 1.1%
	7,333,172	First American Treasury Obligations Fund, Class X, 0.02% (b)		7,333,172
		TOTAL SHORT TERM INVESTMENTS (Cost - $7,333,172)		7,333,172
		INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING - 31.8%
	211,546,416	Mount Vernon Liquid Assets Portfolio, LLC, 0.09% (b)		211,546,416
		TOTAL INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING (Cost - $211,546,416)		211,546,416
		TOTAL INVESTMENTS - 131.8% (Cost - $790,907,491)		876,271,502
		Liabilities in Excess of Other Assets - (31.8)%		(211,176,103	)
		NET ASSETS - 100.0%	$	665,095,399

Percentages are stated as a percent of net assets.

(a) All or a portion of this security is out on loan as of May 31, 2021.

(b) Interest rate reflects seven-day yield on May 31, 2021.

See accompanying notes to financial statements.

10

Horizon Active Risk Assist^® Fund
PORTFOLIO OF INVESTMENTS (Unaudited)
May 31, 2021

Shares			Value
		INVESTMENT COMPANIES - 97.5%
		Exchange Traded Funds - 97.5%
	183,372	Invesco QQQ Trust Series 1 (f)	$	61,233,412
	659,710	Invesco S&P 500 Equal Weight ETF		99,695,375
	704,312	iShares MSCI EAFE Minimum Volatility ETF (f)		53,837,609
	1,299,981	iShares MSCI USA Minimum Volatility ETF		94,352,621
	805,138	iShares Select Dividend ETF		97,453,903
	836,527	Principal US Mega-Cap ETF (f)		32,298,307
	3,427,780	SPDR Portfolio Developed World ex-US ETF (f)		129,227,307
	689,763	SPDR Portfolio Emerging Markets ETF (e)		31,273,854
	2,635,591	SPDR Portfolio S&P 400 Mid Cap ETF (f)		126,165,741
	1,402,420	SPDR Portfolio S&P 500 Growth ETF		83,766,547
	1,358,372	SPDR Portfolio S&P 500 Value ETF (e)		54,633,722
	1,222,202	SPDR Portfolio S&P 600 Small Cap ETF		53,740,222
	160,514	SPDR S&P Kensho New Economies Composite ETF		10,500,826
	1,116,541	Xtrackers MSCI USA ESG Leaders Equity ETF (f)		43,120,813
	253,308	Xtrackers Russell 1000 US QARP ETF (g)		9,906,015
	509,479	Xtrackers Russell US Multifactor ETF (f) (g)		22,605,176
	1,511,618	Xtrackers S&P 500 ESG ETF (g)		55,748,472
		TOTAL INVESTMENT COMPANIES (Cost - $928,175,531)		1,059,559,922
		COMMON STOCKS - 1.5%
		Accommodation and Food Services - 0.0% (b)
	262	Caesars Entertainment, Inc. (a) (f)		28,152
	167	Penn National Gaming, Inc. (a) (f)		13,689
				41,841
		Advertising - 0.0% (b)
	5,329	Interpublic Group of Cos., Inc.		179,534
	978	Omnicom Group, Inc.		80,431
				259,965
		Aerospace/Defense - 0.0% (b)
	36	General Dynamics Corp.		6,837
	2,200	Howmet Aerospace, Inc. (a)		78,056
	30	L3Harris Technologies, Inc.		6,542
	275	Teledyne Technologies, Inc. (a)		115,354
	16	TransDigm Group, Inc. (a)		10,381
				217,170
		Agriculture - 0.0% (b)
	804	Altria Group, Inc.		39,573
	477	Archer Daniels Midland Co. (f)		31,735
	551	Philip Morris International, Inc.		53,133
				124,441

See accompanying notes to financial statements.

11

Horizon Active Risk Assist^® Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2021

Shares			Value
		Airlines - 0.0% (b)
	1,375	Alaska Air Group, Inc. (a)	$	95,150
	3,290	American Airlines Group, Inc. (a)		79,750
	353	Delta Air Lines, Inc. (a)		16,831
	725	Southwest Airlines Co. (a) (f)		44,558
	601	United Airlines Holdings, Inc. (a) (f)		35,068
				271,357
		Apparel - 0.1%
	2,295	Hanesbrands, Inc. (f)		44,845
	699	PVH Corp. (a)		80,259
	503	Ralph Lauren Corp. (a) (f)		62,412
	3,017	Tapestry, Inc. (a)		135,433
	4,490	Under Armour, Inc., Class A (a) (f)		101,384
	105	VF Corp.		8,371
				432,704
		Auto Manufacturers - 0.0% (b)
	32	Cummins, Inc.		8,233
	4,336	Ford Motor Co. (a)		63,002
	1,490	General Motors Co. (a)		88,372
	85	PACCAR, Inc.		7,782
				167,389
		Auto Parts & Equipment - 0.0% (b)
	103	Aptiv PLC (a)		15,493
	678	BorgWarner, Inc.		34,775
				50,268
		Banks - 0.1%
	199	Bank of New York Mellon Corp. (f)		10,364
	1,180	Citizens Financial Group, Inc.		58,882
	1,032	Comerica, Inc.		81,002
	1,360	Fifth Third Bancorp		57,310
	108	First Republic Bank		20,675
	307	Goldman Sachs Group, Inc.		114,210
	2,458	Huntington Bancshares, Inc.		38,984
	1,465	KeyCorp		33,754
	180	M&T Bank Corp.		28,924
	1,585	Morgan Stanley		144,156
	159	Northern Trust Corp.		19,269
	314	PNC Financial Services Group, Inc.		61,129
	2,576	Regions Financial Corp. (f)		60,304
	163	State Street Corp.		14,178
	134	SVB Financial Group (a)		78,107
	111	Truist Financial Corp.		6,858

See accompanying notes to financial statements.

12

Horizon Active Risk Assist^® Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2021

Shares			Value
	1,454	Zions Bancorp NA	$	84,158
				912,264
		Beverages - 0.0% (b)
	85	Brown-Forman Corp., Class B (f)		6,831
	132	Constellation Brands, Inc., Class A		31,643
	1,123	Molson Coors Brewing Co., Class B (a) (f)		65,493
	312	Monster Beverage Corp. (a)		29,412
				133,379
		Biotechnology - 0.0% (b)
	92	Alexion Pharmaceuticals, Inc. (a)		16,243
	22	Biogen, Inc. (a)		5,885
	34	Bio-Rad Laboratories, Inc., Class A (a)		20,481
	1,019	Corteva, Inc.		46,364
	23	Illumina, Inc. (a) (f)		9,330
	164	Incyte Corp. (a)		13,740
	8	Regeneron Pharmaceuticals, Inc. (a)		4,019
	15	Vertex Pharmaceuticals, Inc. (a)		3,129
				119,191
		Building Materials - 0.0% (b)
	254	Carrier Global Corp.		11,666
	204	Fortune Brands Home & Security, Inc.		21,045
	888	Johnson Controls International PLC		59,087
	65	Martin Marietta Materials, Inc. (f)		23,637
	247	Masco Corp. (f)		14,897
	91	Vulcan Materials Co.		16,682
				147,014
		Chemicals - 0.0% (b)
	363	Albemarle Corp. (f)		60,650
	144	Celanese Corp.		23,825
	1,243	CF Industries Holdings, Inc.		66,090
	119	Dow, Inc. (f)		8,142
	367	Eastman Chemical Co.		46,022
	136	FMC Corp. (f)		15,870
	187	International Flavors & Fragrances, Inc.		26,492
	115	LyondellBasell Industries NV, Class A		12,951
	2,075	Mosaic Co.		74,991
	58	PPG Industries, Inc.		10,424
				345,457
		Commercial Services - 0.1%
	65	Automatic Data Processing, Inc.		12,741
	19	Cintas Corp.		6,717
	69	Equifax, Inc.		16,218

See accompanying notes to financial statements.

13

Horizon Active Risk Assist^® Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2021

Shares			Value
	107	FleetCor Technologies, Inc. (a)	$	29,365
	431	Gartner, Inc. (a)		99,923
	52	Global Payments, Inc.		10,073
	4,870	H&R Block, Inc.		120,873
	82	IHS Markit, Ltd.		8,635
	26	MarketAxess Holdings, Inc.		12,130
	14	Moody’s Corp.		4,695
	3,483	Nielsen Holdings PLC (f)		94,773
	514	PayPal Holdings, Inc. (a)		133,650
	738	Quanta Services, Inc. (f)		70,368
	794	Robert Half International, Inc.		70,499
	186	United Rentals, Inc. (a)		62,117
	38	Verisk Analytics, Inc.		6,568
				759,345
		Computers - 0.1%
	198	Cognizant Technology Solutions Corp., Class A		14,169
	7,007	DXC Technology Co. (a)		265,705
	374	Fortinet, Inc. (a) (f)		81,734
	5,630	Hewlett Packard Enterprise Co.		89,855
	2,415	HP, Inc.		70,591
	38	International Business Machines Corp. (f)		5,462
	424	Leidos Holdings, Inc.		43,566
	1,520	NetApp, Inc.		117,602
	1,172	Western Digital Corp. (a)		88,170
				776,854
		Cosmetics/Personal Care - 0.0% (b)
	18,481	Coty, Inc., Class A (a)		164,666
	223	Estee Lauder Cos., Inc., Class A (f)		68,354
				233,020
		Distribution/Wholesale - 0.0% (b)
	78	Copart, Inc. (a)		10,063
	171	Fastenal Co.		9,070
	819	LKQ Corp. (a)		41,736
	32	WW Grainger, Inc.		14,789
				75,658
		Diversified Financial Services - 0.1%
	183	Ameriprise Financial, Inc.		47,551
	527	Capital One Financial Corp.		84,731
	224	CBOE Global Markets, Inc. (f)		24,931
	1,580	Charles Schwab Corp.		116,683
	516	Discover Financial Services (f)		60,506
	1,029	Franklin Resources, Inc. (f)		35,202
	4,621	Invesco, Ltd.		131,837

See accompanying notes to financial statements.

14

Horizon Active Risk Assist^® Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2021

Shares			Value
	80	Nasdaq, Inc.	$	13,397
	455	Raymond James Financial, Inc.		60,329
	1,076	Synchrony Financial (f)		51,013
	56	T. Rowe Price Group, Inc.		10,716
	2,503	Western Union Co.		61,248
				698,144
		Electric - 0.1%
	1,541	AES Corp.		39,157
	314	Alliant Energy Corp.		17,945
	135	Ameren Corp.		11,367
	61	American Electric Power Co., Inc.		5,246
	1,437	CenterPoint Energy, Inc. (f)		36,356
	188	CMS Energy Corp.		11,795
	108	Consolidated Edison, Inc.		8,342
	180	DTE Energy Co.		24,838
	259	Duke Energy Corp.		25,957
	203	Edison International		11,342
	105	Entergy Corp.		11,052
	91	Eversource Energy		7,388
	547	Exelon Corp.		24,681
	448	FirstEnergy Corp.		16,984
	615	NextEra Energy, Inc.		45,030
	960	NRG Energy, Inc. (f)		30,864
	335	Pinnacle West Capital Corp.		28,334
	374	PPL Corp.		10,887
	139	Public Service Enterprise Group, Inc. (f)		8,635
	49	Sempra Energy		6,639
	363	Southern Co.		23,203
	70	WEC Energy Group, Inc.		6,574
	84	Xcel Energy, Inc. (f)		5,954
				418,570
		Electrical Components & Equipment - 0.0% (b)
	92	AMETEK, Inc.		12,429
	79	Emerson Electric Co.		7,560
				19,989
		Electronics - 0.0% (b)
	284	Agilent Technologies, Inc.		39,229
	229	Allegion PLC		32,170
	302	Amphenol Corp., Class A		20,312
	112	Fortive Corp.		8,122
	287	Garmin, Ltd.		40,823
	279	Keysight Technologies, Inc. (a)		39,724
	26	Mettler-Toledo International, Inc. (a)		33,825

See accompanying notes to financial statements.

15

Horizon Active Risk Assist^® Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2021

Shares			Value
	166	PerkinElmer, Inc. (f)	$	24,082
	13	Roper Technologies, Inc.		5,850
	367	TE Connectivity, Ltd.		49,795
	44	Vontier Corp. (a)		1,543
	162	Waters Corp. (a)		52,204
				347,679
		Engineering & Construction - 0.0% (b)
	185	Jacobs Engineering Group, Inc. (f)		26,285
		Entertainment - 0.0% (b)
	870	Live Nation Entertainment, Inc. (a) (f)		78,396
		Environmental Control - 0.0% (b)
	585	Pentair PLC		40,347
	71	Republic Services, Inc.		7,752
	37	Waste Management, Inc.		5,205
				53,304
		Food - 0.0% (b)
	352	Campbell Soup Co. (f)		17,132
	379	Conagra Brands, Inc. (f)		14,440
	107	General Mills, Inc. (f)		6,726
	57	Hershey Co. (f)		9,864
	177	Hormel Foods Corp. (f)		8,592
	162	J.M. Smucker Co. (f)		21,593
	169	Kellogg Co. (f)		11,068
	811	Kraft Heinz Co. (f)		35,351
	257	Kroger Co. (f)		9,504
	380	Lamb Weston Holdings, Inc.		31,346
	92	McCormick & Co., Inc.		8,193
	113	Sysco Corp.		9,153
	182	Tyson Foods, Inc., Class A		14,469
				197,431
		Forest Products & Paper - 0.0% (b)
	310	International Paper Co.		19,561
		Gas - 0.0% (b)
	181	Atmos Energy Corp.		17,950
	1,068	NiSource, Inc.		27,234
				45,184
		Hand/Machine Tools - 0.0% (b)
	245	Snap-on, Inc. (f)		62,382
	49	Stanley Black & Decker, Inc.		10,623
				73,005

See accompanying notes to financial statements.

16

Horizon Active Risk Assist^® Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2021

Shares			Value
		Healthcare Products - 0.0% (b)
	119	ABIOMED, Inc. (a)	$	33,865
	75	Align Technology, Inc. (a)		44,261
	82	Baxter International, Inc.		6,734
	127	Boston Scientific Corp. (a)		5,404
	44	Cooper Cos., Inc.		17,312
	805	Dentsply Sirona, Inc.		53,870
	72	Edwards Lifesciences Corp. (a)		6,905
	245	Hologic, Inc. (a) (f)		15,450
	69	IDEXX Laboratories, Inc. (a)		38,509
	62	ResMed, Inc.		12,763
	165	STERIS PLC (f)		31,492
	51	Teleflex, Inc.		20,512
	90	West Pharmaceutical Services, Inc.		31,276
	70	Zimmer Biomet Holdings, Inc.		11,783
				330,136
		Healthcare Services - 0.0% (b)
	17	Anthem, Inc.		6,770
	153	Centene Corp. (a)		11,261
	401	DaVita, Inc. (a)		48,148
	292	HCA Healthcare, Inc.		62,719
	14	Humana, Inc.		6,128
	166	IQVIA Holdings, Inc. (a)		39,866
	144	Laboratory Corp. of America Holdings (a)		39,525
	153	Quest Diagnostics, Inc. (f)		20,145
	282	Universal Health Services, Inc., Class B		45,016
				279,578
		Home Builders - 0.0% (b)
	100	DR Horton, Inc.		9,529
	103	Lennar Corp., Class A		10,198
	10	NVR, Inc. (a)		48,872
	358	PulteGroup, Inc.		20,689
				89,288
		Home Furnishings - 0.0% (b)
	861	Leggett & Platt, Inc. (f)		47,381
	100	Whirlpool Corp. (f)		23,709
				71,090
		Household Products/Wares - 0.0% (b)
	256	Avery Dennison Corp.		56,456
	107	Church & Dwight Co., Inc. (f)		9,173
	40	Clorox Co. (f)		7,069
	31	Kimberly-Clark Corp.		4,049
				76,747

See accompanying notes to financial statements.

17

Horizon Active Risk Assist^® Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2021

Shares			Value
		Housewares - 0.0% (b)
	2,166	Newell Brands, Inc. (f)	$	62,142
		Information - 0.0% (b)
	4,514	Lumen Technologies, Inc. (f)		62,474
	133	PTC, Inc. (a)		17,840
				80,314
		Insurance - 0.1%
	210	Aflac, Inc.		11,903
	76	Allstate Corp.		10,382
	312	American International Group, Inc.		16,486
	22	Aon PLC, Class A (f)		5,574
	266	Arthur J Gallagher & Co.		38,998
	230	Assurant, Inc.		37,065
	32	Chubb Ltd.		5,440
	208	Cincinnati Financial Corp. (f)		25,316
	123	Everest Re Group Ltd.		31,975
	297	Globe Life, Inc.		31,310
	431	Hartford Financial Services Group, Inc.		28,166
	1,060	Lincoln National Corp. (f)		73,977
	597	Loews Corp.		34,853
	794	MetLife, Inc.		51,896
	478	Principal Financial Group, Inc.		31,256
	126	Prudential Financial, Inc. (f)		13,478
	66	Travelers Cos., Inc.		10,540
	3,507	Unum Group		108,612
	299	WR Berkley Corp.		23,319
				590,546
		Internet - 0.1%
	100	Alphabet, Inc., Class A (a) (f)		235,685
	380	CDW Corp.		62,859
	107	eBay, Inc.		6,514
	322	Expedia Group, Inc. (a)		56,978
	562	F5 Networks, Inc. (a)		104,212
	1,924	NortonLifeLock, Inc.		53,218
	351	Twitter, Inc. (a)		20,358
	102	VeriSign, Inc. (a)		22,432
				562,256
		Iron/Steel - 0.0% (b)
	630	Nucor Corp. (f)		64,600
		Leisure Time - 0.0% (b)
	1,633	Carnival Corp. (a) (f)		48,271

See accompanying notes to financial statements.

18

Horizon Active Risk Assist^® Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2021

Shares			Value
	3,163	Norwegian Cruise Line Holdings Ltd. (a) (f)	$	100,900
	243	Royal Caribbean Cruises Ltd. (a) (f)		22,665
				171,836
		Lodging - 0.0% (b)
	101	Hilton Worldwide Holdings, Inc. (a)		12,652
	122	Las Vegas Sands Corp. (a)		7,046
	67	Marriott International, Inc., Class A (a)		9,620
	1,413	MGM Resorts International		60,575
	344	Wynn Resorts Ltd. (a)		45,363
				135,256
		Machinery - Construction & Mining - 0.0% (b)
	439	Caterpillar, Inc.		105,834
		Machinery - Diversified - 0.0% (b)
	303	Deere & Co.		109,413
	119	Dover Corp. (f)		17,909
	1,894	Flowserve Corp. (f)		80,287
	82	IDEX Corp.		18,258
	378	Ingersoll Rand, Inc. (a)		18,764
	120	Otis Worldwide Corp.		9,400
	37	Rockwell Automation, Inc.		9,758
	276	Wabtec Corp.		22,842
	159	Xylem, Inc.		18,781
				305,412
		Manufacturing - 0.1%
	112	Catalent, Inc. (a)		11,741
	62	Generac Holdings, Inc. (a)		20,381
	3,920	NOV, Inc. (a) (f)		63,190
	1,115	Seagate Technology Holdings PLC (f)		106,761
	345	Tesla, Inc. (a)		215,701
	310	Trimble, Inc. (a)		24,115
				441,889
		Media - 0.1%
	7	Charter Communications, Inc., Class A (a) (f)		4,862
	2,648	Discovery, Inc., Class A (a) (f)		85,027
	1,124	DISH Network Corp., Class A (a)		48,917
	1,204	Fox Corp., Class A (f)		44,969
	4,987	News Corp., Class A (f)		134,599
	1,431	ViacomCBS, Inc., Class B		60,703
	892	Walt Disney Co. (a)		159,356
				538,433

See accompanying notes to financial statements.

19

Horizon Active Risk Assist^® Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2021

Shares			Value
		Mining - 0.0% (b)
	2,089	Freeport-McMoRan, Inc.	$	89,242
	63	Newmont Goldcorp Corp.		4,629
				93,871
		Mining, Quarrying, and Oil and Gas Extraction - 0.0% (b)
	3,295	APA Corp.		68,536
		Miscellaneous Manufacturing - 0.0% (b)
	440	AO Smith Corp.		31,271
	50	Eaton Corp PLC		7,263
	7,124	General Electric Co.		100,163
	141	Parker-Hannifin Corp.		43,449
	1,005	Textron, Inc.		68,812
	224	Trane Technologies PLC		41,754
				292,712
		Office/Business Equipment - 0.0% (b)
	7,129	Xerox Holdings Corp.		167,175
	208	Zebra Technologies Corp., Class A (a)		103,386
				270,561
		Oil & Gas - 0.1%
	1,162	Cabot Oil & Gas Corp. (f)		19,057
	766	ConocoPhillips		42,697
	6,120	Devon Energy Corp. (f)		162,547
	1,315	Diamondback Energy, Inc.		105,292
	206	EOG Resources, Inc.		16,550
	343	Hess Corp. (f)		28,750
	2,487	HollyFrontier Corp.		80,753
	12,353	Marathon Oil Corp.		149,595
	697	Marathon Petroleum Corp.		43,075
	1,562	Occidental Petroleum Corp.		40,550
	133	Phillips 66		11,201
	268	Pioneer Natural Resources Co. (f)		40,787
	196	Valero Energy Corp.		15,758
				756,612
		Oil & Gas Services - 0.0% (b)
	1,339	Baker Hughes & GE Co.		32,671
	1,166	Halliburton Co.		26,177
	420	Schlumberger, Ltd. (f)		13,159
	8,886	TechnipFMC PLC (a)		76,331
				148,338
		Packaging & Containers - 0.0% (b)
	1,078	Amcor PLC		12,720

See accompanying notes to financial statements.

20

Horizon Active Risk Assist^® Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2021

Shares			Value
	91	Ball Corp.	$	7,477
	185	Packaging Corp of America		27,500
	897	Sealed Air Corp.		51,003
	668	Westrock Co.		38,958
				137,658
		Pharmaceuticals - 0.0% (b)
	645	AbbVie, Inc.		73,014
	142	AmerisourceBergen Corp.		16,293
	18	Becton Dickinson & Co.		4,354
	413	Cardinal Health, Inc.		23,157
	27	Cigna Corp.		6,989
	18	DexCom, Inc. (a) (f)		6,649
	534	Henry Schein, Inc. (a)		40,605
	73	McKesson Corp. (f)		14,045
	910	Perrigo Co. PLC		41,987
	2,395	Viatris, Inc.		36,500
				263,593
		Pipelines - 0.0% (b)
	478	Kinder Morgan, Inc.		8,766
	945	ONEOK, Inc.		49,839
	340	Williams Cos., Inc.		8,956
				67,561
		Professional, Scientific, and Technical Services - 0.0% (b)
	1,777	Technip Energies NV (a)		26,744
		Real Estate - 0.0% (b)
	606	CBRE Group, Inc., Class A (a) (f)		53,195
		Real Estate Investment Trusts - 0.1%
	63	Alexandria Real Estate Equities, Inc.		11,230
	1,156	Apartment Income REIT Corp.		53,847
	1,156	Apartment Investment and Management Co., Class A		8,150
	63	AvalonBay Communities, Inc.		13,037
	196	Boston Properties, Inc. (f)		23,042
	36	Digital Realty Trust, Inc. (f)		5,456
	399	Duke Realty Corp.		18,538
	197	Equity Residential		15,258
	71	Essex Property Trust, Inc.		20,966
	239	Extra Space Storage, Inc.		35,805
	486	Federal Realty Investment Trust (f)		55,569
	527	Healthpeak Properties, Inc. (f)		17,591
	2,609	Host Hotels & Resorts, Inc. (a)		44,797
	1,271	Iron Mountain, Inc. (f)		55,339

See accompanying notes to financial statements.

21

Horizon Active Risk Assist^® Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2021

Shares			Value
	4,262	Kimco Realty Corp. (f)	$	90,823
	216	Mid-America Apartment Communities, Inc.		34,711
	103	Public Storage		29,095
	160	Realty Income Corp. (f)		10,944
	834	Regency Centers Corp. (f)		53,876
	19	SBA Communications Corp.		5,664
	370	Simon Property Group, Inc. (f)		47,541
	1,301	SL Green Realty Corp. (f)		103,065
	631	UDR, Inc.		30,055
	309	Ventas, Inc.		17,134
	936	Vornado Realty Trust		44,254
	164	Welltower, Inc.		12,262
	752	Weyerhaeuser Co.		28,546
				886,595
		Retail - 0.1%
	130	Advance Auto Parts, Inc.		24,665
	7	AutoZone, Inc. (a)		9,846
	67	Best Buy Co., Inc.		7,788
	122	CarMax, Inc. (a) (f)		14,053
	5	Chipotle Mexican Grill, Inc. (a) (f)		6,860
	171	Darden Restaurants, Inc.		24,492
	19	Dollar General Corp.		3,856
	109	Dollar Tree, Inc. (a)		10,627
	28	Domino’s Pizza, Inc. (f)		11,952
	2,346	Gap, Inc.		78,474
	150	Genuine Parts Co.		19,668
	3,014	Kohl’s Corp.		167,247
	1,125	L Brands, Inc. (a) (f)		78,604
	14	O’Reilly Automotive, Inc. (a)		7,492
	69	Ross Stores, Inc.		8,721
	351	Target Corp. (f)		79,649
	193	Tractor Supply Co.		35,068
	71	Ulta Beauty, Inc. (a) (f)		24,521
	80	Yum! Brands, Inc.		9,598
				623,181
		Savings & Loans - 0.0% (b)
	4,537	People’s United Financial, Inc.		85,795
		Semiconductors - 0.1%
	71	Advanced Micro Devices, Inc. (a)		5,686
	102	Analog Devices, Inc. (f)		16,789
	1,078	Applied Materials, Inc.		148,904
	349	IPG Photonics Corp. (a)		73,032
	199	KLA Corp.		63,061

See accompanying notes to financial statements.

22

Horizon Active Risk Assist^® Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2021

Shares			Value
	166	Lam Research Corp.	$	107,875
	199	Microchip Technology, Inc.		31,233
	912	Micron Technology, Inc. (a)		76,736
	257	Qorvo, Inc. (a)		46,959
	35	QUALCOMM, Inc. (f)		4,709
	155	Skyworks Solutions, Inc.		26,350
	27	Texas Instruments, Inc.		5,125
	203	Xilinx, Inc.		25,781
				632,240
		Shipbuilding - 0.0% (b)
	242	Huntington Ingalls Industries, Inc.		52,323
		Software - 0.1%
	101	Activision Blizzard, Inc.		9,822
	242	Akamai Technologies, Inc. (a) (f)		27,639
	59	ANSYS, Inc. (a)		19,938
	43	Autodesk, Inc. (a)		12,292
	252	Broadridge Financial Solutions, Inc.		40,189
	168	Cadence Design Systems, Inc. (a)		21,334
	183	Cerner Corp.		14,320
	215	Citrix Systems, Inc.		24,716
	105	Electronic Arts, Inc.		15,008
	37	Fidelity National Information Services, Inc.		5,512
	73	Fiserv, Inc. (a)		8,410
	19	Intuit, Inc.		8,343
	247	Jack Henry & Associates, Inc. (f)		38,075
	20	MSCI, Inc.		9,363
	1,292	Oracle Corp.		101,732
	230	Paychex, Inc.		23,262
	109	Paycom Software, Inc. (a)		35,926
	12	ServiceNow, Inc. (a)		5,687
	79	Synopsys, Inc. (a)		20,093
	165	Take-Two Interactive Software, Inc. (a)		30,617
	106	Tyler Technologies, Inc. (a)		42,735
				515,013
		Telecommunications - 0.0% (b)
	162	Arista Networks, Inc. (a)		54,980
	1,196	Corning, Inc. (f)		52,181
	3,069	Juniper Networks, Inc. (f)		80,807
	121	Motorola Solutions, Inc.		24,842
				212,810
		Textiles - 0.0% (b)
	394	Mohawk Industries, Inc. (a)		83,008

See accompanying notes to financial statements.

23

Horizon Active Risk Assist^® Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2021

Shares			Value
		Toys/Games/Hobbies - 0.0% (b)
	248	Hasbro, Inc.	$	23,801
		Transportation - 0.0% (b)
	140	CH Robinson Worldwide, Inc. (f)		13,583
	148	Expeditors International of Washington, Inc.		18,602
	206	JB Hunt Transport Services, Inc.		35,337
	131	Old Dominion Freight Line, Inc.		34,774
				102,296
		Water - 0.0% (b)
	144	American Water Works Co., Inc.		22,323
		TOTAL COMMON STOCKS (Cost - $12,685,971)		16,368,988

Contracts			Notional Amount
		PURCHASED OPTIONS - 0.4% (a)(c)
		PURCHASED CALL OPTIONS - 0.2%
		Financial Select Sector SPDR Fund
	7,500	Expiration: September 2021, Exercise Price: $38	$	28,492,500	1,252,500
		iShares Russell 2000 ETF
	6,000	Expiration: June 2021, Exercise Price: $236		135,300,000	384,000
		S&P 500 Index
	300	Expiration: June 2021, Exercise Price: $4,250		126,123,300	15,750
		TOTAL PURCHASED CALL OPTIONS (Cost - $1,991,384)			1,652,250
		PURCHASED PUT OPTIONS - 0.2% (h)
		iPath Series B S&P 500 VIX Short-Term Futures ETN
	5,000	Expiration: July 2021, Exercise Price: $30		17,350,000	515,000
		iShares iBoxx $ Investment Grade Corporate Bond ETF
	6,000	Expiration: July 2021, Exercise Price: $128		79,026,000	240,000
		CBOE Volatility Index
	10,000	Expiration: June 2021, Exercise Price: $16		16,760,000	225,000
	10,000	Expiration: July 2021, Exercise Price: $20		16,760,000	2,475,000
		TOTAL PURCHASED PUT OPTIONS (Cost - $2,745,686)			3,455,000
		TOTAL PURCHASED OPTIONS (Cost - $4,737,070)			5,107,250
Shares
		SHORT TERM INVESTMENTS - 0.9%
		Money Market Funds - 0.9%
	9,416,937	First American Treasury Obligations Fund, Class X, 0.02% (d)			9,416,937
		TOTAL SHORT TERM INVESTMENTS (Cost - $9,416,937)			9,416,937

See accompanying notes to financial statements.

24

Horizon Active Risk Assist^® Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2021

Shares					Value
		INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING - 13.2%
	143,525,204	Mount Vernon Liquid Assets Portfolio, LLC, 0.09% (d)			$	143,525,204
		TOTAL INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING (Cost - $143,525,204)				143,525,204
		TOTAL INVESTMENTS - 113.5% (Cost - $1,098,540,713)				1,233,978,301
		Liabilities in Excess of Other Assets - (13.5)%				(146,992,329	)
		NET ASSETS - 100.0%			$	1,086,985,972
Contracts			Notional Amount
		SCHEDULE OF WRITTEN OPTIONS - (0.4)% (a)(c)
		SCHEDULE OF WRITTEN CALL OPTIONS - (0.1)%
		Financial Select Sector SPDR Fund
	7,500	Expiration: July 2021, Exercise Price $38	$	28,492,500		697,500
		TOTAL WRITTEN CALL OPTIONS (Premiums Received $283,598)				697,500
		SCHEDULE OF WRITTEN PUT OPTIONS - (0.3)%
		iPath Series B S&P 500 VIX Short-Term Futures ETN
	5,000	Expiration: June 2021, Exercise Price $31		17,350,000		310,000
		iShares iBoxx $ Investment Grade Corporate Bond ETF
	6,000	Expiration: July 2021, Exercise Price $123		79,026,000		69,000
		CBOE Volatility Index
	10,000	Expiration: June 2021, Exercise Price $15		16,760,000		75,000
	3,000	Expiration: July 2021, Exercise Price $17		5,028,000		240,000
	23,000	Expiration: July 2021, Exercise Price $18		38,548,000		2,875,000
		TOTAL WRITTEN PUT OPTIONS (Premiums Received $2,139,077)				3,569,000
		TOTAL OPTIONS WRITTEN (Premiums Received $2,422,675)			$	4,266,500

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) Interest rate reflects seven-day yield on May 31, 2021.

(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 $70,934,000, which is 6.5% of total net assets.

(f) All or a portion of this security is out on loan as of May 31, 2021.

(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.

25

Horizon Active Income Fund
PORTFOLIO OF INVESTMENTS (Unaudited)
May 31, 2021

Shares			Value
		INVESTMENT COMPANIES - 99.2%
		Exchange Traded Funds - 99.2%
	389,301	Columbia Diversified Fixed Income Allocation ETF	$	8,342,720
	926,674	First Trust TCW Opportunistic Fixed Income ETF		49,419,524
	1,896,675	Invesco Preferred ETF (b)		28,620,826
	670,540	iShares 5-10 Year Investment Grade Corporate Bond ETF (b)		40,205,578
	285,868	iShares 7-10 Year Treasury Bond ETF (b)		32,703,299
	513,673	iShares Core U.S. Aggregate Bond ETF		58,841,242
	110,289	iShares JP Morgan USD Emerging Markets Bond ETF		12,336,928
	266,993	Janus Henderson Mortgage-Backed Securities ETF		14,198,688
	95,328	Overlay Shares Core Bond ETF		2,467,184
	624,094	SPDR Blackstone / GSO Senior Loan ETF (b)		28,820,661
	286,318	SPDR Bloomberg Barclays Convertible Securities ETF (b)		24,128,018
	1,144,929	VanEck Vectors Fallen Angel High Yield Bond ETF (b)		36,878,163
	382,216	WisdomTree Yield Enhanced U.S. Aggregate Bond Fund		19,745,279
	162,321	Xtrackers Short Duration High Yield Bond ETF (b) (c)		7,780,987
	1,021,920	Xtrackers USD High Yield Corporate Bond ETF (b)		40,866,582
		TOTAL INVESTMENT COMPANIES (Cost - $403,929,492)		405,355,679
		SHORT TERM INVESTMENTS - 0.7%
		Money Market Funds - 0.7%
	3,037,683	First American Treasury Obligations Fund, Class X, 0.02% (a)		3,037,683
		TOTAL SHORT TERM INVESTMENTS (Cost - $3,037,683)		3,037,683
		INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING - 25.9%
	105,917,716	Mount Vernon Liquid Assets Portfolio, LLC, 0.09% (a)		105,917,716
		TOTAL INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING (Cost - $105,917,716)		105,917,716
		TOTAL INVESTMENTS - 125.8% (Cost - $512,884,891)		514,311,078
		Liabilities in Excess of Other Assets - (25.8)%		(105,575,241	)
		NET ASSETS - 100.0%	$	408,735,837

Percentages are stated as a percent of net assets.

(a) Interest rate reflects seven-day yield on May 31, 2021.

(b) All or a portion of this security is out on loan as of May 31, 2021.

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

See accompanying notes to financial statements.

26

Horizon Active Dividend Fund
PORTFOLIO OF INVESTMENTS (Unaudited)
May 31, 2021

Shares			Value
		COMMON STOCKS - 97.0%
		Aerospace/Defense - 2.9%
	10,418	General Dynamics Corp.	$	1,978,482
	5,177	Lockheed Martin Corp.		1,978,650
				3,957,132
		Banks - 4.1%
	42,418	Bank of New York Mellon Corp.		2,209,130
	5,738	JPMorgan Chase & Co.		942,409
	5,066	PNC Financial Services Group, Inc.		986,249
	21,503	Truist Financial Corp.		1,328,455
				5,466,243
		Beverages - 1.6%
	14,404	PepsiCo, Inc.		2,130,928
		Biotechnology - 2.0%
	11,356	Amgen, Inc.		2,702,047
		Chemicals - 1.9%
	4,418	Air Products & Chemicals, Inc.		1,323,898
	8,269	International Flavors & Fragrances, Inc.		1,171,469
				2,495,367
		Commercial Services - 1.2%
	8,305	Automatic Data Processing, Inc.		1,627,946
		Cosmetics/Personal Care - 4.0%
	21,251	Procter & Gamble Co.		2,865,697
	40,879	Unilever PLC, ADR		2,451,514
				5,317,211
		Diversified Financial Services - 3.5%
	8,240	American Express Co.		1,319,471
	6,232	CME Group, Inc.		1,363,312
	42,771	Lazard, Ltd. - Class A		2,017,936
				4,700,719
		Electric - 3.8%
	16,302	Ameren Corp.		1,372,629
	14,416	American Electric Power Co., Inc.		1,239,776
	77,801	NRG Energy, Inc.		2,501,302
				5,113,707
		Electrical Components & Equipment - 1.0%
	14,063	Emerson Electric Co.		1,345,689

See accompanying notes to financial statements.

27

Horizon Active Dividend Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2021

Shares			Value
		Environmental Control - 1.0%
	9,619	Waste Management, Inc.	$	1,353,201
		Finance and Insurance - 2.6%
	39,188	Sun Life Financial, Inc.		2,110,665
	81,956	UBS Group AG (b)		1,341,620
				3,452,285
		Food - 5.9%
	32,573	General Mills, Inc. (b)		2,047,539
	26,020	Hormel Foods Corp. (b)		1,263,011
	31,829	Kellogg Co. (b)		2,084,481
	32,895	Tyson Foods, Inc. - Class A		2,615,152
				8,010,183
		Gas - 1.5%
	20,156	Atmos Energy Corp.		1,998,871
		Health Care and Social Assistance - 1.0%
	91,348	Danone SA, ADR		1,306,276
		Healthcare Services - 3.2%
	5,491	Anthem, Inc.		2,186,626
	5,223	UnitedHealth Group, Inc.		2,151,458
				4,338,084
		Household Products - 1.6%
	116,317	Reckitt Benckiser Group PLC, ADR (b)		2,134,882
		Household Products/Wares - 2.6%
	13,516	Clorox Co. (b)		2,388,683
	8,955	Kimberly-Clark Corp.		1,169,791
				3,558,474
		Information - 1.8%
	132,400	Vodafone Group PLC, ADR (b)		2,445,428
		Insurance - 4.5%
	22,196	Allstate Corp.		3,032,195
	19,114	Travelers Cos., Inc.		3,052,506
				6,084,701
		Management of Companies and Enterprises - 1.3%
	32,199	Koninklijke Philips NV (b)		1,818,600
		Manufacturing - 7.1%
	22,164	AstraZeneca PLC, ADR (b)		1,258,250

See accompanying notes to financial statements.

28

Horizon Active Dividend Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2021

Shares			Value
	15,710	Bunge Ltd.	$	1,363,942
	14,539	Diageo PLC, ADR (b)		2,809,662
	20,940	Ingredion, Inc. (b)		1,987,834
	16,849	Nestle SA, ADR		2,083,716
				9,503,404
		Media - 1.5%
	34,487	Comcast Corp. - Class A		1,977,485
		Mining - 3.3%
	32,693	Newmont Goldcorp Corp.		2,402,281
	23,725	Rio Tinto PLC, ADR (b)		2,074,277
				4,476,558
		Mining, Quarrying, and Oil and Gas Extraction - 0.9%
	17,735	Agnico Eagle Mines Ltd.		1,272,486
		Miscellaneous Manufacturing - 2.5%
	16,693	3M Co.		3,389,347
		Packaging & Containers - 1.1%
	9,575	Packaging Corp of America		1,423,324
		Pharmaceuticals - 7.1%
	7,990	Eli Lilly & Co.		1,595,923
	46,255	GlaxoSmithKline PLC, ADR (b)		1,793,306
	19,285	Johnson & Johnson		3,263,986
	38,641	Merck & Co., Inc.		2,932,466
				9,585,681
		Pipelines - 1.0%
	51,775	Williams Cos., Inc.		1,363,754
		Professional, Scientific, and Technical Services - 1.0%
	46,275	Virtu Financial, Inc. - Class A		1,409,074
		Real Estate Investment Trusts - 4.5%
	12,050	Boston Properties, Inc. (b)		1,416,598
	5,469	Camden Property Trust		685,703
	19,165	Healthpeak Properties, Inc. (b)		639,728
	4,204	Mid-America Apartment Communities, Inc.		675,583
	13,888	National Retail Properties, Inc.		643,709
	3,976	PS Business Parks, Inc.		616,121
	9,496	Realty Income Corp. (b)		649,526
	10,842	Regency Centers Corp.		700,393
				6,027,361

See accompanying notes to financial statements.

29

Horizon Active Dividend Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2021

Shares			Value
		Retail - 1.7%
	15,979	Walmart, Inc.	$	2,269,497
		Semiconductors - 6.7%
	4,519	Broadcom, Inc.		2,134,459
	47,063	Intel Corp.		2,688,239
	6,641	KLA Corp.		2,104,467
	11,370	Texas Instruments, Inc.		2,158,253
				9,085,418
		Software - 1.0%
	9,325	Electronic Arts, Inc.		1,332,822
		Telecommunications - 1.1%
	29,386	Cisco Systems, Inc.		1,554,519
		Transportation and Warehousing - 2.0%
	33,416	Enbridge, Inc.		1,285,847
	26,162	TC Energy Corp.		1,335,832
				2,621,679
		Utilities - 1.5%
	57,126	OGE Energy Corp.		1,970,847
		TOTAL COMMON STOCKS (Cost - $117,832,219)		130,621,230
		PREFERRED STOCKS - 0.2%
		Manufacturing - 0.2%
	9,473	Pitney Bowes, Inc., 6.7%		234,741
		Real Estate Investment Trusts - 0.0% (d)
	21,147	CBL & Associates Properties, Inc. (a)		21,147
		TOTAL PREFERRED STOCKS (Cost - $339,203)		255,888
		CONVERTIBLE PREFERRED STOCKS - 0.4%
		Manufacturing - 0.4%
	2,600	Energizer Holdings, Inc., 7.5%		251,342
	5,150	International Flavors & Fragrances, Inc., 6.0%		257,706
				509,048
		TOTAL CONVERTIBLE PREFERRED STOCKS (Cost - $449,876)		509,048

See accompanying notes to financial statements.

30

Horizon Active Dividend Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2021

Shares			Value
		SHORT TERM INVESTMENTS - 1.7%
		Money Market Funds - 1.7%
	2,353,488	First American Treasury Obligations Fund, Class X, 0.02% (c)	$	2,353,488
		TOTAL SHORT TERM INVESTMENTS (Cost - $2,353,488)		2,353,488
		INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING - 14.9%
	20,115,034	Mount Vernon Liquid Assets Portfolio, LLC, 0.09% (c)		20,115,034
		TOTAL INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING (Cost - $20,115,034)		20,115,034
		TOTAL INVESTMENTS - 114.2% (Cost - $141,089,820)		153,854,688
		Liabilities in Excess of Other Assets - (14.2)%		(19,167,535	)
		NET ASSETS - 100.0%	$	134,687,153

Percentages are stated as a percent of net assets.

ADR - American Depositary Receipt

(a) Non-income producing security.

(b) All or a portion of this security is out on loan as of May 31, 2021.

(c) Interest rate reflects seven-day yield on May 31, 2021.

(d) Rounds to less than 0.1%.

See accompanying notes to financial statements.

31

Horizon Defined Risk Fund
PORTFOLIO OF INVESTMENTS (Unaudited)
May 31, 2021

Shares			Value
		COMMON STOCKS - 100.0%
		Advertising - 0.1%
	2,354	Interpublic Group of Cos., Inc.	$	79,306
	1,300	Omnicom Group, Inc.		106,912
				186,218
		Aerospace/Defense - 1.2%
	3,208	Boeing Co. (a) (f)		792,440
	1,400	General Dynamics Corp.		265,874
	2,347	Howmet Aerospace, Inc. (a)		83,272
	1,273	L3Harris Technologies, Inc.		277,590
	1,495	Lockheed Martin Corp.		571,389
	935	Northrop Grumman Corp.		342,088
	280	Teledyne Technologies, Inc. (a)		117,452
	328	TransDigm Group, Inc. (a)		212,820
				2,662,925
		Agriculture - 0.8%
	11,150	Altria Group, Inc.		548,803
	3,363	Archer Daniels Midland Co. (d)		223,740
	9,395	Philip Morris International, Inc. (f)		905,960
				1,678,503
		Airlines - 0.3%
	736	Alaska Air Group, Inc. (a)		50,931
	3,655	American Airlines Group, Inc. (a)		88,597
	3,817	Delta Air Lines, Inc. (a)		181,995
	3,509	Southwest Airlines Co. (a)		215,663
	1,742	United Airlines Holdings, Inc. (a)		101,646
				638,832
		Apparel - 0.7%
	2,060	Hanesbrands, Inc. (d)		40,252
	7,578	Nike, Inc., Class B (f)		1,034,094
	425	PVH Corp. (a)		48,799
	288	Ralph Lauren Corp. (a) (d)		35,735
	1,669	Tapestry, Inc. (a)		74,921
	1,128	Under Armour, Inc., Class A (a) (d)		25,470
	1,174	Under Armour, Inc., Class C (a) (d)		22,377
	1,921	VF Corp.		153,142
				1,434,790
		Auto Manufacturers - 0.6%
	886	Cummins, Inc.		227,950
	23,464	Ford Motor Co. (a)		340,932
	7,589	General Motors Co. (a)		450,103

See accompanying notes to financial statements.

32

Horizon Defined Risk Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2021

Shares			Value
	2,085	PACCAR, Inc.	$	190,903
				1,209,888
		Auto Parts & Equipment - 0.1%
	1,635	Aptiv PLC (a)		245,937
	1,470	BorgWarner, Inc.		75,396
				321,333
		Banks - 5.4%
	45,695	Bank of America Corp. (f)		1,937,011
	4,916	Bank of New York Mellon Corp.		256,025
	12,507	Citigroup, Inc.		984,426
	2,555	Citizens Financial Group, Inc.		127,495
	839	Comerica, Inc.		65,853
	4,272	Fifth Third Bancorp		180,022
	1,041	First Republic Bank		199,289
	2,067	Goldman Sachs Group, Inc.		768,965
	6,111	Huntington Bancshares, Inc.		96,921
	18,347	JPMorgan Chase & Co. (f)		3,013,311
	5,851	KeyCorp		134,807
	774	M&T Bank Corp.		124,374
	9,017	Morgan Stanley		820,096
	1,251	Northern Trust Corp.		151,609
	2,540	PNC Financial Services Group, Inc.		494,487
	5,748	Regions Financial Corp. (d)		134,561
	2,122	State Street Corp.		184,572
	312	SVB Financial Group (a)		181,862
	8,087	Truist Financial Corp.		499,615
	24,638	Wells Fargo & Co. (f)		1,151,087
	989	Zions Bancorp NA		57,243
				11,563,631
		Beverages - 1.5%
	1,107	Brown-Forman Corp., Class B (d)		88,959
	23,336	Coca-Cola Co. (f)		1,290,247
	1,022	Constellation Brands, Inc., Class A		244,994
	1,133	Molson Coors Brewing Co., Class B (a) (d)		66,077
	2,235	Monster Beverage Corp. (a)		210,693
	8,351	PepsiCo, Inc. (f)		1,235,447
				3,136,417
		Biotechnology - 1.5%
	1,320	Alexion Pharmaceuticals, Inc. (a)		233,046
	3,507	Amgen, Inc. (f)		834,456
	925	Biogen, Inc. (a)		247,419
	131	Bio-Rad Laboratories, Inc., Class A (a)		78,910
	4,497	Corteva, Inc.		204,614

See accompanying notes to financial statements.

33

Horizon Defined Risk Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2021

Shares			Value
	7,582	Gilead Sciences, Inc.	$	501,246
	878	Illumina, Inc. (a)		356,152
	1,123	Incyte Corp. (a)		94,085
	630	Regeneron Pharmaceuticals, Inc. (a)		316,531
	1,561	Vertex Pharmaceuticals, Inc. (a)		325,671
				3,192,130
		Building Materials - 0.5%
	4,895	Carrier Global Corp.		224,828
	836	Fortune Brands Home & Security, Inc.		86,242
	4,365	Johnson Controls International PLC		290,447
	371	Martin Marietta Materials, Inc.		134,914
	1,572	Masco Corp. (d)		94,807
	797	Vulcan Materials Co.		146,106
				977,344
		Chemicals - 1.7%
	1,338	Air Products & Chemicals, Inc.		400,945
	643	Albemarle Corp.		107,433
	703	Celanese Corp.		116,311
	1,286	CF Industries Holdings, Inc.		68,377
	4,478	Dow, Inc. (d)		306,385
	3,220	DuPont de Nemours, Inc.		272,380
	816	Eastman Chemical Co.		102,326
	785	FMC Corp.		91,602
	1,499	International Flavors & Fragrances, Inc.		212,363
	3,164	Linde PLC		951,098
	1,548	LyondellBasell Industries NV, Class A		174,336
	2,066	Mosaic Co.		74,665
	1,418	PPG Industries, Inc.		254,843
	1,459	Sherwin-Williams Co.		413,670
				3,546,734
		Commercial Services - 2.5%
	2,586	Automatic Data Processing, Inc.		506,908
	537	Cintas Corp.		189,851
	1,492	Ecolab, Inc.		320,899
	731	Equifax, Inc.		171,814
	505	FleetCor Technologies, Inc. (a)		138,592
	537	Gartner, Inc. (a)		124,498
	1,812	Global Payments, Inc.		351,002
	2,241	IHS Markit, Ltd.		236,000
	231	MarketAxess Holdings, Inc.		107,771
	972	Moody’s Corp.		325,960
	2,142	Nielsen Holdings PLC (d)		58,284
	7,064	PayPal Holdings, Inc. (a) (f)		1,836,781

See accompanying notes to financial statements.

34

Horizon Defined Risk Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2021

Shares			Value
	829	Quanta Services, Inc.	$	79,045
	696	Robert Half International, Inc.		61,798
	1,334	Rollins, Inc.		45,476
	1,438	S&P Global, Inc. (d)		545,678
	436	United Rentals, Inc. (a)		145,607
	983	Verisk Analytics, Inc.		169,892
				5,415,856
		Computers - 7.0%
	3,834	Accenture PLC, Class A		1,081,801
	96,641	Apple, Inc. (f)		12,042,435
	3,217	Cognizant Technology Solutions Corp., Class A		230,209
	1,534	DXC Technology Co. (a)		58,169
	813	Fortinet, Inc. (a)		177,673
	7,803	Hewlett Packard Enterprise Co.		124,536
	8,344	HP, Inc.		243,895
	5,347	International Business Machines Corp. (f)		768,578
	813	Leidos Holdings, Inc.		83,536
	1,356	NetApp, Inc.		104,914
	1,844	Western Digital Corp. (a)		138,724
				15,054,470
		Cosmetics/Personal Care - 1.3%
	5,192	Colgate-Palmolive Co.		434,986
	1,366	Estee Lauder Cos., Inc., Class A		418,706
	14,988	Procter & Gamble Co. (f)		2,021,132
				2,874,824
		Distribution/Wholesale - 0.3%
	1,248	Copart, Inc. (a)		161,004
	3,466	Fastenal Co.		183,837
	1,684	LKQ Corp. (a)		85,817
	272	WW Grainger, Inc.		125,707
				556,365
		Diversified Financial Services - 4.2%
	3,921	American Express Co.		627,870
	713	Ameriprise Financial, Inc.		185,266
	854	BlackRock, Inc. (f)		748,992
	2,743	Capital One Financial Corp.		441,020
	656	CBOE Global Markets, Inc. (d)		73,013
	8,968	Charles Schwab Corp.		662,287
	2,170	CME Group, Inc.		474,709
	1,847	Discover Financial Services (d)		216,579
	1,652	Franklin Resources, Inc. (d)		56,515
	3,397	Intercontinental Exchange, Inc.		383,453
	2,265	Invesco, Ltd.		64,620

See accompanying notes to financial statements.

35

Horizon Defined Risk Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2021

Shares			Value
	5,337	MasterCard, Inc., Class A (f)	$	1,924,415
	692	Nasdaq, Inc.		115,882
	739	Raymond James Financial, Inc.		97,984
	3,263	Synchrony Financial (d)		154,699
	1,362	T. Rowe Price Group, Inc.		260,619
	10,227	Visa, Inc. (d) (f)		2,324,597
	2,472	Western Union Co. (d)		60,490
				8,873,010
		Electric - 2.4%
	3,975	AES Corp.		101,005
	1,502	Alliant Energy Corp.		85,839
	1,491	Ameren Corp.		125,542
	2,979	American Electric Power Co., Inc.		256,194
	3,290	CenterPoint Energy, Inc. (d)		83,237
	1,728	CMS Energy Corp.		108,415
	2,061	Consolidated Edison, Inc.		159,192
	4,908	Dominion Energy, Inc.		373,695
	1,171	DTE Energy Co.		161,586
	4,420	Duke Energy Corp.		442,972
	2,280	Edison International		127,383
	1,207	Entergy Corp.		127,049
	1,368	Evergy, Inc.		84,802
	2,062	Eversource Energy		167,414
	5,840	Exelon Corp.		263,501
	3,282	FirstEnergy Corp.		124,421
	11,677	NextEra Energy, Inc.		854,990
	1,452	NRG Energy, Inc.		46,682
	677	Pinnacle West Capital Corp.		57,261
	4,635	PPL Corp.		134,925
	3,040	Public Service Enterprise Group, Inc. (d)		188,845
	1,731	Sempra Energy		234,533
	6,374	Southern Co.		407,426
	1,896	WEC Energy Group, Inc.		178,053
	3,153	Xcel Energy, Inc. (d)		223,485
				5,118,447
		Electrical Components & Equipment - 0.3%
	1,383	AMETEK, Inc.		186,843
	3,597	Emerson Electric Co.		344,197
				531,040
		Electronics - 1.4%
	1,846	Agilent Technologies, Inc.		254,988
	553	Allegion PLC		77,685
	3,608	Amphenol Corp., Class A		242,674

See accompanying notes to financial statements.

36

Horizon Defined Risk Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2021

Shares			Value
	2,034	Fortive Corp.	$	147,506
	907	Garmin, Ltd.		129,012
	4,220	Honeywell International, Inc.		974,440
	1,129	Keysight Technologies, Inc. (a)		160,747
	144	Mettler-Toledo International, Inc. (a)		187,337
	680	PerkinElmer, Inc.		98,647
	633	Roper Technologies, Inc.		284,856
	1,995	TE Connectivity, Ltd.		270,682
	810	Vontier Corp. (a)		28,415
	377	Waters Corp. (a)		121,488
				2,978,477
		Engineering & Construction - 0.1%
	782	Jacobs Engineering Group, Inc.		111,107
		Entertainment - 0.0% (b)
	871	Live Nation Entertainment, Inc. (a) (d)		78,486
		Environmental Control - 0.3%
	998	Pentair PLC		68,832
	1,265	Republic Services, Inc.		138,113
	2,343	Waste Management, Inc.		329,613
				536,558
		Food - 1.1%
	1,220	Campbell Soup Co. (d)		59,377
	2,947	Conagra Brands, Inc. (d)		112,281
	3,683	General Mills, Inc. (d)		231,513
	890	Hershey Co. (d)		154,015
	1,695	Hormel Foods Corp. (d)		82,275
	688	J.M. Smucker Co. (d)		91,704
	1,539	Kellogg Co. (d)		100,789
	3,901	Kraft Heinz Co. (d)		170,045
	4,633	Kroger Co. (d)		171,328
	880	Lamb Weston Holdings, Inc.		72,591
	1,505	McCormick & Co., Inc.		134,035
	8,626	Mondelez International, Inc., Class A		548,010
	3,059	Sysco Corp.		247,779
	1,772	Tyson Foods, Inc., Class A		140,874
				2,316,616
		Forest Products & Paper - 0.1%
	2,343	International Paper Co.		147,843
		Gas - 0.1%
	760	Atmos Energy Corp.		75,369

See accompanying notes to financial statements.

37

Horizon Defined Risk Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2021

Shares			Value
	2,311	NiSource, Inc.	$	58,931
				134,300
		Hand/Machine Tools - 0.1%
	329	Snap-on, Inc. (d)		83,770
	965	Stanley Black & Decker, Inc.		209,212
				292,982
		Healthcare Products - 3.8%
	10,741	Abbott Laboratories (f)		1,252,938
	275	ABIOMED, Inc. (a)		78,260
	433	Align Technology, Inc. (a)		255,535
	3,073	Baxter International, Inc.		252,355
	8,627	Boston Scientific Corp. (a)		367,079
	294	Cooper Cos., Inc.		115,674
	3,834	Danaher Corp.		982,041
	1,319	Dentsply Sirona, Inc.		88,267
	3,761	Edwards Lifesciences Corp. (a)		360,680
	1,562	Hologic, Inc. (a) (d)		98,500
	515	IDEXX Laboratories, Inc. (a)		287,427
	711	Intuitive Surgical, Inc. (a)		598,790
	8,173	Medtronic PLC		1,034,620
	874	ResMed, Inc.		179,913
	518	STERIS PLC		98,865
	1,979	Stryker Corp.		505,179
	284	Teleflex, Inc.		114,222
	2,392	Thermo Fisher Scientific, Inc.		1,123,044
	446	West Pharmaceutical Services, Inc.		154,989
	1,258	Zimmer Biomet Holdings, Inc.		211,759
				8,160,137
		Healthcare Services - 2.1%
	1,503	Anthem, Inc.		598,525
	3,510	Centene Corp. (a)		258,336
	445	DaVita, Inc. (a)		53,431
	1,584	HCA Healthcare, Inc.		340,227
	799	Humana, Inc.		349,722
	1,158	IQVIA Holdings, Inc. (a)		278,105
	584	Laboratory Corp. of America Holdings (a)		160,296
	801	Quest Diagnostics, Inc. (d)		105,468
	5,722	UnitedHealth Group, Inc. (f)		2,357,006
	469	Universal Health Services, Inc., Class B		74,867
				4,575,983
		Home Builders - 0.3%
	1,981	DR Horton, Inc.		188,769
	1,646	Lennar Corp., Class A		162,970

See accompanying notes to financial statements.

38

Horizon Defined Risk Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2021

Shares			Value
	20	NVR, Inc. (a)	$	97,745
	1,606	PulteGroup, Inc.		92,811
				542,295
		Home Furnishings - 0.1%
	799	Leggett & Platt, Inc. (d)		43,969
	379	Whirlpool Corp. (d)		89,857
				133,826
		Household Products/Wares - 0.3%
	498	Avery Dennison Corp.		109,824
	1,505	Church & Dwight Co., Inc. (d)		129,024
	761	Clorox Co. (d)		134,491
	2,054	Kimberly-Clark Corp.		268,314
				641,653
		Housewares - 0.0% (b)
	2,283	Newell Brands, Inc. (a)		65,499
		Information - 0.0% (b)
	5,867	Lumen Technologies, Inc. (d)		81,199
		Insurance - 3.6%
	3,919	Aflac, Inc.		222,129
	1,814	Allstate Corp.		247,811
	5,180	American International Group, Inc.		273,711
	1,375	Aon PLC, Class A (d)		348,384
	1,156	Arthur J Gallagher & Co.		169,481
	356	Assurant, Inc.		57,369
	11,694	Berkshire Hathaway, Inc., Class B (a) (f)		3,384,711
	2,710	Chubb Ltd.		460,673
	904	Cincinnati Financial Corp. (d)		110,026
	241	Everest Re Group Ltd.		62,650
	580	Globe Life, Inc.		61,144
	2,145	Hartford Financial Services Group, Inc.		140,176
	1,090	Lincoln National Corp.		76,071
	1,408	Loews Corp.		82,199
	3,046	Marsh & McLennan Cos., Inc.		421,414
	4,588	MetLife, Inc.		299,872
	1,541	Principal Financial Group, Inc.		100,766
	3,505	Progressive Corp.		347,275
	2,379	Prudential Financial, Inc. (d)		254,482
	1,520	Travelers Cos., Inc.		242,744
	1,222	Unum Group		37,845
	774	Willis Towers Watson PLC		202,293

See accompanying notes to financial statements.

39

Horizon Defined Risk Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2021

Shares			Value
	850	WR Berkley Corp.	$	66,291
				7,669,517
		Internet - 9.5%
	1,810	Alphabet, Inc., Class A (a) (f)		4,265,898
	2,565	Amazon.com, Inc. (a) (f)		8,267,175
	246	Booking Holdings, Inc. (a)		580,941
	861	CDW Corp.		142,427
	3,962	eBay, Inc.		241,207
	812	Expedia Group, Inc. (a)		143,683
	372	F5 Networks, Inc. (a)		68,980
	14,496	Facebook, Inc., Class A (a) (f)		4,765,270
	2,671	Netflix, Inc. (a) (f)		1,343,005
	3,545	NortonLifeLock, Inc.		98,055
	4,762	Twitter, Inc. (a)		276,196
	610	VeriSign, Inc. (a)		134,151
				20,326,988
		Iron/Steel - 0.1%
	1,799	Nucor Corp. (d)		184,469
		Leisure Time - 0.2%
	4,484	Carnival Corp. (a) (d)		132,547
	1,884	Norwegian Cruise Line Holdings Ltd. (a) (d)		60,100
	1,375	Royal Caribbean Cruises Ltd. (a) (d)		128,246
				320,893
		Lodging - 0.3%
	1,679	Hilton Worldwide Holdings, Inc. (a)		210,328
	1,996	Las Vegas Sands Corp. (a)		115,269
	1,607	Marriott International, Inc., Class A (a)		230,733
	2,482	MGM Resorts International		106,404
	583	Wynn Resorts Ltd. (a)		76,880
				739,614
		Machinery - Construction & Mining - 0.4%
	3,279	Caterpillar, Inc.		790,501
		Machinery - Diversified - 0.8%
	1,894	Deere & Co.		683,923
	868	Dover Corp.		130,634
	780	Flowserve Corp. (d)		33,064
	457	IDEX Corp.		101,756
	2,253	Ingersoll Rand, Inc. (a)		111,839
	2,444	Otis Worldwide Corp.		191,438
	698	Rockwell Automation, Inc.		184,077
	1,084	Wabtec Corp.		89,712

See accompanying notes to financial statements.

40

Horizon Defined Risk Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2021

Shares			Value
	1,086	Xylem, Inc.	$	128,278
				1,654,721
		Manufacturing - 4.0%
	1,750	Alphabet, Inc., Class C (a)		4,220,230
	997	Catalent, Inc. (a)		104,516
	757	Enphase Energy, Inc. (a)		108,289
	257	Monolithic Power Systems, Inc.		88,182
	2,348	NOV, Inc. (a)		37,850
	9,130	Raytheon Technologies Corp. (f)		809,922
	1,350	Seagate Technology Holdings PLC (d)		129,263
	1,001	Teradyne, Inc. (d)		132,482
	4,551	Tesla, Inc. (a) (d)		2,845,376
	1,504	Trimble, Inc. (a)		116,996
				8,593,106
		Media - 2.2%
	877	Charter Communications, Inc., Class A (a) (d)		609,103
	27,501	Comcast Corp., Class A (f)		1,576,907
	970	Discovery, Inc., Class A (a) (d)		31,147
	1,780	Discovery, Inc., Class C (a) (d)		53,489
	1,484	DISH Network Corp., Class A (a)		64,584
	2,040	Fox Corp., Class A (d)		76,194
	938	Fox Corp., Class B		34,031
	2,376	News Corp., Class A (d)		64,128
	741	News Corp., Class B		19,036
	3,417	ViacomCBS, Inc., Class B		144,949
	10,868	Walt Disney Co. (a) (f)		1,941,568
				4,615,136
		Mining - 0.3%
	8,673	Freeport-McMoRan, Inc.		370,511
	4,854	Newmont Goldcorp Corp.		356,672
				727,183
		Mining, Quarrying, and Oil and Gas Extraction - 0.0% (b)
	2,284	APA Corp.		47,507
		Miscellaneous Manufacturing - 1.3%
	3,464	3M Co. (f)		703,331
	817	AO Smith Corp.		58,064
	2,389	Eaton Corp PLC		347,002
	52,675	General Electric Co.		740,610
	1,742	Illinois Tool Works, Inc.		403,726
	777	Parker-Hannifin Corp.		239,433
	1,381	Textron, Inc.		94,557

See accompanying notes to financial statements.

41

Horizon Defined Risk Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2021

Shares			Value
	1,449	Trane Technologies PLC	$	270,094
				2,856,817
		Office/Business Equipment - 0.1%
	1,007	Xerox Holdings Corp.		23,614
	328	Zebra Technologies Corp., Class A (a)		163,033
				186,647
		Oil & Gas - 2.3%
	2,407	Cabot Oil & Gas Corp. (d)		39,475
	11,547	Chevron Corp. (f)		1,198,463
	8,097	ConocoPhillips		451,327
	3,583	Devon Energy Corp.		95,164
	950	Diamondback Energy, Inc.		76,067
	3,500	EOG Resources, Inc.		281,190
	25,444	Exxon Mobil Corp. (f)		1,485,166
	1,644	Hess Corp.		137,800
	905	HollyFrontier Corp.		29,385
	4,768	Marathon Oil Corp.		57,740
	3,881	Marathon Petroleum Corp.		239,846
	5,024	Occidental Petroleum Corp.		130,423
	2,623	Phillips 66		220,909
	1,219	Pioneer Natural Resources Co. (d)		185,520
	2,435	Valero Energy Corp.		195,774
				4,824,249
		Oil & Gas Services - 0.2%
	4,089	Baker Hughes & GE Co., Class A		99,772
	5,316	Halliburton Co.		119,344
	8,340	Schlumberger, Ltd.		261,292
				480,408
		Packaging & Containers - 0.2%
	9,489	Amcor PLC		111,970
	1,982	Ball Corp.		162,841
	566	Packaging Corp of America		84,136
	930	Sealed Air Corp.		52,880
	1,573	Westrock Co.		91,737
				503,564
		Pharmaceuticals - 5.2%
	10,705	AbbVie, Inc. (f)		1,211,806
	881	AmerisourceBergen Corp.		101,086
	1,755	Becton Dickinson & Co.		424,517
	13,633	Bristol-Myers Squibb Co.		895,961
	1,776	Cardinal Health, Inc.		99,580
	2,171	Cigna Corp.		561,963

See accompanying notes to financial statements.

42

Horizon Defined Risk Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2021

Shares			Value
	7,921	CVS Health Corp.	$	684,691
	583	DexCom, Inc. (a) (d)		215,354
	4,797	Eli Lilly & Co. (f)		958,153
	856	Henry Schein, Inc. (a)		65,090
	15,921	Johnson & Johnson (f)		2,694,629
	968	McKesson Corp.		186,234
	15,316	Merck & Co., Inc. (f)		1,162,331
	821	Perrigo Co. PLC		37,881
	33,522	Pfizer, Inc. (f)		1,298,307
	7,320	Viatris, Inc. (f)		111,557
	2,870	Zoetis, Inc., Class A		507,072
				11,216,212
		Pipelines - 0.2%
	11,610	Kinder Morgan, Inc.		212,927
	2,652	ONEOK, Inc.		139,867
	7,255	Williams Cos., Inc.		191,097
				543,891
		Real Estate - 0.1%
	2,031	CBRE Group, Inc., Class A (a) (d)		178,281
		Real Estate Investment Trusts - 2.5%
	735	Alexandria Real Estate Equities, Inc.		131,021
	2,688	American Tower Corp.		686,676
	843	AvalonBay Communities, Inc.		174,450
	856	Boston Properties, Inc.		100,631
	2,596	Crown Castle International Corp.		491,942
	1,698	Digital Realty Trust, Inc.		257,349
	2,250	Duke Realty Corp.		104,535
	540	Equinix, Inc.		397,829
	2,064	Equity Residential (d)		159,857
	395	Essex Property Trust, Inc.		116,639
	785	Extra Space Storage, Inc.		117,601
	417	Federal Realty Investment Trust		47,680
	3,251	Healthpeak Properties, Inc. (d)		108,518
	4,268	Host Hotels & Resorts, Inc. (a)		73,281
	1,730	Iron Mountain, Inc. (d)		75,324
	2,632	Kimco Realty Corp. (d)		56,088
	690	Mid-America Apartment Communities, Inc.		110,883
	4,446	Prologis, Inc.		523,917
	920	Public Storage		259,882
	2,113	Realty Income Corp. (d)		144,529
	959	Regency Centers Corp.		61,951
	673	SBA Communications Corp.		200,635
	1,984	Simon Property Group, Inc.		254,924

See accompanying notes to financial statements.

43

Horizon Defined Risk Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2021

Shares			Value
	439	SL Green Realty Corp. (d)	$	34,778
	1,778	UDR, Inc.		84,686
	2,257	Ventas, Inc.		125,151
	952	Vornado Realty Trust		45,011
	2,539	Welltower, Inc.		189,841
	4,484	Weyerhaeuser Co.		170,213
				5,305,822
		Retail - 5.1%
	409	Advance Auto Parts, Inc.		77,599
	139	AutoZone, Inc. (a)		195,517
	1,390	Best Buy Co., Inc.		161,574
	984	CarMax, Inc. (a) (d)		113,347
	171	Chipotle Mexican Grill, Inc. (a) (d)		234,609
	2,658	Costco Wholesale Corp.		1,005,442
	777	Darden Restaurants, Inc.		111,290
	1,473	Dollar General Corp.		298,960
	1,410	Dollar Tree, Inc. (a)		137,475
	239	Domino’s Pizza, Inc. (d)		102,022
	1,260	Gap, Inc.		42,147
	874	Genuine Parts Co.		114,599
	6,411	Home Depot, Inc. (f)		2,044,532
	1,418	L Brands, Inc. (a)		99,076
	4,379	Lowe’s Cos., Inc.		853,161
	4,481	McDonald’s Corp. (d) (f)		1,048,061
	437	O’Reilly Automotive, Inc. (a)		233,847
	2,128	Ross Stores, Inc.		268,958
	7,031	Starbucks Corp.		800,690
	3,019	Target Corp.		685,071
	7,205	TJX Cos., Inc.		486,626
	698	Tractor Supply Co.		126,827
	336	Ulta Beauty, Inc. (a) (d)		116,041
	4,328	Walgreens Boots Alliance, Inc.		227,912
	8,349	Walmart, Inc. (f)		1,185,808
	1,808	Yum! Brands, Inc.		216,906
				10,988,097
		Retail Trade - 0.1%
	746	Etsy, Inc. (a)		122,889
		Savings & Loans - 0.0% (b)
	2,566	People’s United Financial, Inc.		48,523
		Semiconductors - 5.2%
	7,288	Advanced Micro Devices, Inc. (a)		583,623
	2,235	Analog Devices, Inc. (d)		367,881

See accompanying notes to financial statements.

44

Horizon Defined Risk Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2021

Shares			Value
	5,501	Applied Materials, Inc.	$	759,853
	2,466	Broadcom, Inc. (f)		1,164,766
	24,679	Intel Corp. (f)		1,409,665
	219	IPG Photonics Corp. (a)		45,828
	935	KLA Corp.		296,292
	868	Lam Research Corp.		564,070
	1,620	Maxim Integrated Products, Inc.		165,256
	1,577	Microchip Technology, Inc.		247,510
	6,738	Micron Technology, Inc. (a)		566,935
	3,762	NVIDIA Corp. (f)		2,444,472
	687	Qorvo, Inc. (a)		125,529
	6,829	QUALCOMM, Inc.		918,774
	1,001	Skyworks Solutions, Inc.		170,170
	5,532	Texas Instruments, Inc.		1,050,084
	1,492	Xilinx, Inc.		189,484
				11,070,192
		Shipbuilding - 0.0% (b)
	243	Huntington Ingalls Industries, Inc.		52,539
		Software - 9.5%
	4,637	Activision Blizzard, Inc.		450,948
	2,897	Adobe, Inc. (a) (f)		1,461,768
	981	Akamai Technologies, Inc. (a) (d)		112,040
	515	ANSYS, Inc. (a)		174,039
	1,318	Autodesk, Inc. (a)		376,764
	701	Broadridge Financial Solutions, Inc.		111,796
	1,686	Cadence Design Systems, Inc. (a)		214,105
	1,833	Cerner Corp.		143,432
	744	Citrix Systems, Inc.		85,530
	1,749	Electronic Arts, Inc.		249,985
	3,788	Fidelity National Information Services, Inc.		564,336
	3,478	Fiserv, Inc. (a)		400,666
	1,580	Intuit, Inc.		693,762
	465	Jack Henry & Associates, Inc. (d)		71,680
	45,597	Microsoft Corp. (f)		11,384,659
	510	MSCI, Inc.		238,746
	11,469	Oracle Corp. (f)		903,069
	1,922	Paychex, Inc.		194,391
	300	Paycom Software, Inc. (a)		98,880
	5,514	salesforce.com, Inc. (a) (f)		1,312,884
	1,185	ServiceNow, Inc. (a)		561,548
	924	Synopsys, Inc. (a)		235,010
	691	Take-Two Interactive Software, Inc. (a)		128,222

See accompanying notes to financial statements.

45

Horizon Defined Risk Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2021

Shares			Value
	246	Tyler Technologies, Inc. (a)	$	99,177
				20,267,437
		Telecommunications - 2.4%
	328	Arista Networks, Inc. (a)		111,317
	42,786	AT&T, Inc. (f)		1,259,192
	25,356	Cisco Systems, Inc. (f)		1,341,333
	4,621	Corning, Inc. (d)		201,614
	1,998	Juniper Networks, Inc. (d)		52,607
	1,026	Motorola Solutions, Inc.		210,648
	3,495	T-Mobile US, Inc. (a)		494,368
	24,892	Verizon Communications, Inc. (f)		1,406,149
				5,077,228
		Textiles - 0.0% (b)
	359	Mohawk Industries, Inc. (a)		75,634
		Toys/Games/Hobbies - 0.0% (b)
	766	Hasbro, Inc.		73,513
		Transportation - 1.8%
	819	CH Robinson Worldwide, Inc. (d)		79,459
	4,601	CSX Corp.		460,652
	1,021	Expeditors International of Washington, Inc.		128,329
	1,455	FedEx Corp.		458,049
	500	JB Hunt Transport Services, Inc.		85,770
	564	Kansas City Southern		167,892
	1,530	Norfolk Southern Corp.		429,777
	580	Old Dominion Freight Line, Inc.		153,961
	4,035	Union Pacific Corp.		906,786
	4,307	United Parcel Service, Inc., Class B		924,282
				3,794,957
		Water - 0.1%
	1,092	American Water Works Co., Inc.		169,282
		Wholesale Trade - 0.1%
	242	Pool Corp.		105,644
		TOTAL COMMON STOCKS (Cost - $163,819,090)		213,381,179

See accompanying notes to financial statements.

46

Horizon Defined Risk Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2021

Contracts			Notional Amount		Value
		PURCHASED OPTIONS - 1.2% (a)(c)(g)
		PURCHASED CALL OPTIONS - 0.0% (b)
		S&P 500 Index
	225	Expiration: June 2021, Exercise Price: $4,250	$	94,592,475	$	11,813
	100	Expiration: June 2021, Exercise Price: $4,250		42,041,100		42,000
		TOTAL PURCHASED CALL OPTIONS (Cost - $89,749)				53,813
		PURCHASED PUT OPTIONS - 1.2%
		S&P 500 Index
	170	Expiration: June 2021, Exercise Price: $3,840		71,469,870		97,750
	165	Expiration: July 2021, Exercise Price: $4,100		69,367,815		860,475
	170	Expiration: August 2021, Exercise Price: $3,975		71,469,870		1,059,100
		CBOE Volatility Index
	4,000	Expiration: June 2021, Exercise Price: $16		6,704,000		90,000
	2,000	Expiration: June 2021, Exercise Price: $19		3,352,000		330,000
		TOTAL PURCHASED PUT OPTIONS (Cost - $6,301,953)				2,437,325
		TOTAL PURCHASED OPTIONS (Cost - $6,391,702)				2,491,138
Shares
		SHORT TERM INVESTMENTS - 0.9%
		Money Market Funds - 0.9%
	1,936,286	First American Treasury Obligations Fund, Class X, 0.02% (e)				1,936,286
		TOTAL SHORT TERM INVESTMENTS (Cost - $1,936,286)				1,936,286
		INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING - 4.7%
	10,034,075	Mount Vernon Liquid Assets Portfolio, LLC, 0.09% (e)				10,034,075
		TOTAL INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING (Cost - $10,034,075)				10,034,075
		TOTAL INVESTMENTS - 106.8% (Cost - $182,181,153)				227,842,678
		Liabilities in Excess of Other Assets - (6.8)%				(14,058,289	)
		NET ASSETS - 100.0%			$	213,454,389

See accompanying notes to financial statements.

47

Horizon Defined Risk Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2021

Contracts			Notional Amount		Value
		SCHEDULE OF WRITTEN OPTIONS - (2.3)% (a)(c)
		SCHEDULE OF WRITTEN CALL OPTIONS - (1.7)%
		S&P 500 Index
	170	Expiration: June 2021, Exercise Price $4,110	$	71,469,870	$	2,000,900
	85	Expiration: July 2021, Exercise Price $4,340		35,734,935		164,050
	170	Expiration: August 2021, Exercise Price $4,260		71,469,870		1,368,500
		TOTAL WRITTEN CALL OPTIONS (Premiums Received $2,400,464)				3,533,450
		SCHEDULE OF WRITTEN PUT OPTIONS - (0.6)%
		S&P 500 Index
	165	Expiration: July 2021, Exercise Price $3,830		69,367,815		340,725
	170	Expiration: August 2021, Exercise Price $3,725		71,469,870		582,250
		CBOE Volatility Index
	6,000	Expiration: June 2021, Exercise Price $17		10,056,000		315,000
		TOTAL WRITTEN PUT OPTIONS (Premiums Received $2,250,372)				1,237,975
		TOTAL OPTIONS WRITTEN (Premiums Received $4,650,836)			$	4,771,425

Percentages are stated as a percent of net assets.

(a) Non-income producing security.

(b) Rounds to less than 0.1%.

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

(d) All or a portion of this security is out on loan as of May 31, 2021.

(e) Interest rate reflects seven-day yield on May 31, 2021.

(f) All or a portion of the security is segregated as collateral for written options. The value of the securities segregated as collateral for written options is $91,804,108, which is 43.0% of total net assets.

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

See accompanying notes to financial statements.

48

Horizon U.S. Defensive Equity Fund
PORTFOLIO OF INVESTMENTS (Unaudited)
May 31, 2021

Shares			Value
		COMMON STOCKS - 98.8%
		Accommodation and Food Services - 0.3%
	1,917	Caesars Entertainment, Inc. (a)	$	205,982
	2,026	Penn National Gaming, Inc. (a)		166,071
				372,053
		Advertising - 0.6%
	8,112	Interpublic Group of Cos., Inc.		273,293
	4,205	Omnicom Group, Inc.		345,819
				619,112
		Aerospace/Defense - 1.3%
	3,138	General Dynamics Corp.		595,938
	2,266	Northrop Grumman Corp.		829,061
				1,424,999
		Agriculture - 1.6%
	24,477	Altria Group, Inc.		1,204,758
	7,649	Archer Daniels Midland Co. (b)		508,888
				1,713,646
		Auto Manufacturers - 0.6%
	45,753	Ford Motor Co. (a)		664,791
		Auto Parts & Equipment - 0.2%
	4,544	BorgWarner, Inc.		233,062
		Banks - 3.9%
	2,598	Comerica, Inc.		203,917
	3,622	Goldman Sachs Group, Inc.		1,347,456
	15,014	KeyCorp		345,923
	16,785	Regions Financial Corp. (b)		392,937
	928	SVB Financial Group (a)		540,922
	18,632	Truist Financial Corp.		1,151,085
	3,497	Zions Bancorp NA		202,406
				4,184,646
		Biotechnology - 1.4%
	4,430	Amgen, Inc.		1,054,074
	583	Biogen, Inc. (a)		155,941
	7,766	Corteva, Inc.		353,353
				1,563,368
		Building Materials - 1.0%
	2,785	Fortune Brands Home & Security, Inc.		287,301
	8,094	Johnson Controls International PLC		538,575
	819	Martin Marietta Materials, Inc.		297,829
				1,123,705

See accompanying notes to financial statements.

49

Horizon U.S. Defensive Equity Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2021

Shares			Value
		Chemicals - 0.4%
	4,093	CF Industries Holdings, Inc.	$	217,625
	6,963	Mosaic Co.		251,643
				469,268
		Commercial Services - 1.4%
	1,794	Gartner, Inc. (a)		415,921
	7,904	Nielsen Holdings PLC (b)		215,068
	2,823	Quanta Services, Inc.		269,173
	2,295	Robert Half International, Inc.		203,773
	1,327	United Rentals, Inc. (a)		443,165
				1,547,100
		Computers - 4.5%
	6,338	Accenture PLC, Class A		1,788,330
	5,319	Cognizant Technology Solutions Corp., Class A		380,627
	2,192	Fortinet, Inc. (a) (b)		479,040
	22,978	HP, Inc.		671,647
	10,901	International Business Machines Corp.		1,566,910
				4,886,554
		Cosmetics/Personal Care - 2.1%
	16,649	Procter & Gamble Co.		2,245,118
		Distribution/Wholesale - 0.6%
	6,529	LKQ Corp. (a)		332,718
	722	WW Grainger, Inc.		333,679
				666,397
		Diversified Financial Services - 2.6%
	4,072	Capital One Financial Corp.		654,696
	6,585	Franklin Resources, Inc. (b)		225,273
	10,416	Invesco, Ltd.		297,168
	2,871	Raymond James Financial, Inc.		380,666
	10,278	Synchrony Financial (b)		487,280
	3,651	T. Rowe Price Group, Inc.		698,619
				2,743,702
		Electric - 2.1%
	2,591	Ameren Corp.		218,162
	3,060	CMS Energy Corp.		191,985
	2,676	DTE Energy Co.		369,261
	2,991	Evergy, Inc.		185,412
	5,963	FirstEnergy Corp.		226,057
	1,842	Pinnacle West Capital Corp.		155,796
	7,846	PPL Corp.		228,397
	4,166	Public Service Enterprise Group, Inc. (b)		258,792

See accompanying notes to financial statements.

50

Horizon U.S. Defensive Equity Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2021

Shares			Value
	6,465	Southern Co.	$	413,243
				2,247,105
		Electrical Components & Equipment - 0.6%
	6,853	Emerson Electric Co.		655,764
		Electronics - 0.7%
	3,057	Garmin, Ltd.		434,828
	820	PerkinElmer, Inc. (b)		118,957
	520	Waters Corp. (a)		167,570
				721,355
		Engineering & Construction - 0.3%
	1,885	Jacobs Engineering Group, Inc. (b)		267,821
		Environmental Control - 0.6%
	3,637	Pentair PLC		250,844
	3,330	Republic Services, Inc.		363,569
				614,413
		Food - 2.5%
	8,515	Conagra Brands, Inc. (b)		324,421
	7,855	General Mills, Inc.		493,765
	2,975	Hershey Co.		514,824
	2,251	J.M. Smucker Co. (b)		300,036
	13,291	Kroger Co. (b)		491,501
	6,473	Tyson Foods, Inc., Class A		514,604
				2,639,151
		Hand/Machine Tools - 0.7%
	1,236	Snap-on, Inc.		314,710
	2,206	Stanley Black & Decker, Inc.		478,261
				792,971
		Healthcare Products - 2.9%
	5,870	Danaher Corp.		1,503,542
	398	IDEXX Laboratories, Inc. (a)		222,128
	2,630	Thermo Fisher Scientific, Inc.		1,234,785
	319	West Pharmaceutical Services, Inc.		110,855
				3,071,310
		Healthcare Services - 6.4%
	2,540	Anthem, Inc.		1,011,479
	4,604	HCA Healthcare, Inc.		988,893
	1,202	Laboratory Corp. of America Holdings (a)		329,925
	1,287	Quest Diagnostics, Inc. (b)		169,459
	10,458	UnitedHealth Group, Inc.		4,307,859

See accompanying notes to financial statements.

51

Horizon U.S. Defensive Equity Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2021

Shares			Value
	677	Universal Health Services, Inc., Class B	$	108,070
				6,915,685
		Home Builders - 0.8%
	5,371	DR Horton, Inc.		511,803
	5,246	PulteGroup, Inc.		303,166
				814,969
		Home Furnishings - 0.3%
	1,284	Whirlpool Corp.		304,424
		Household Products/Wares - 0.5%
	1,385	Avery Dennison Corp.		305,434
	1,470	Clorox Co. (b)		259,793
				565,227
		Housewares - 0.3%
	9,393	Newell Brands, Inc. (a)		269,485
		Information - 0.2%
	14,195	Lumen Technologies, Inc. (b)		196,459
		Insurance - 7.3%
	10,661	Aflac, Inc.		604,265
	5,022	Allstate Corp.		686,055
	3,541	Arthur J Gallagher & Co.		519,146
	14,895	Berkshire Hathaway, Inc., Class B (a)		4,311,209
	3,294	Cincinnati Financial Corp.		400,913
	10,603	MetLife, Inc.		693,012
	3,881	Travelers Cos., Inc.		619,796
				7,834,396
		Internet - 5.0%
	1,833	Alphabet, Inc., Class A (a)		4,320,106
	2,523	CDW Corp.		417,355
	1,559	F5 Networks, Inc. (a)		289,085
	12,079	NortonLifeLock, Inc.		334,105
				5,360,651
		Iron/Steel - 0.4%
	4,010	Nucor Corp. (b)		411,185
		Machinery - Diversified - 0.8%
	2,371	Dover Corp.		356,836
	6,019	Otis Worldwide Corp.		471,468
				828,304

See accompanying notes to financial statements.

52

Horizon U.S. Defensive Equity Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2021

Shares			Value
		Manufacturing - 0.3%
	2,787	Teradyne, Inc. (b)	$	368,859
		Media - 1.1%
	6,773	DISH Network Corp., Class A (a)		294,761
	10,335	Fox Corp., Class A (b)		386,012
	12,121	ViacomCBS, Inc., Class B		514,173
				1,194,946
		Mining - 1.1%
	14,793	Freeport-McMoRan, Inc.		631,957
	7,049	Newmont Goldcorp Corp.		517,960
				1,149,917
		Miscellaneous Manufacturing - 1.8%
	8,283	3M Co.		1,681,780
	3,012	AO Smith Corp.		214,063
				1,895,843
		Office/Business Equipment - 0.4%
	815	Zebra Technologies Corp., Class A (a)		405,096
		Oil & Gas - 0.6%
	7,499	Devon Energy Corp.		199,173
	13,620	Marathon Oil Corp.		164,938
	1,708	Pioneer Natural Resources Co. (b)		259,941
				624,052
		Oil & Gas Services - 0.2%
	7,828	Baker Hughes & GE Co.		191,003
		Packaging & Containers - 0.2%
	3,929	Sealed Air Corp.		223,403
		Pharmaceuticals - 6.5%
	17,424	AbbVie, Inc.		1,972,397
	2,444	Cigna Corp.		632,629
	13,416	CVS Health Corp.		1,159,679
	19,090	Johnson & Johnson		3,230,983
				6,995,688
		Pipelines - 0.7%
	27,554	Kinder Morgan, Inc.		505,341
	11,051	Williams Cos., Inc.		291,083
				796,424
		Real Estate - 0.4%
	4,992	CBRE Group, Inc., Class A (a) (b)		438,198

See accompanying notes to financial statements.

53

Horizon U.S. Defensive Equity Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2021

Shares			Value
		Real Estate Investment Trusts - 2.4%
	1,122	AvalonBay Communities, Inc.	$	232,187
	4,571	Duke Realty Corp.		212,369
	2,033	Extra Space Storage, Inc.		304,564
	8,097	Kimco Realty Corp.		172,547
	1,404	Mid-America Apartment Communities, Inc.		225,623
	1,784	Public Storage		503,944
	3,407	Simon Property Group, Inc. (b)		437,765
	11,568	Weyerhaeuser Co.		439,121
				2,528,120
		Retail - 10.6%
	3,821	Best Buy Co., Inc.		444,153
	1,292	Darden Restaurants, Inc.		185,053
	522	Domino’s Pizza, Inc. (b)		222,826
	13,100	Home Depot, Inc.		4,177,721
	5,704	L Brands, Inc.		398,539
	10,864	Lowe’s Cos., Inc.		2,116,633
	3,833	McDonald’s Corp.		896,500
	7,702	Target Corp.		1,747,738
	2,311	Tractor Supply Co.		419,909
	8,352	Walgreens Boots Alliance, Inc.		439,816
	2,808	Yum! Brands, Inc.		336,876
				11,385,764
		Semiconductors - 3.0%
	1,728	KLA Corp.		547,586
	8,818	Micron Technology, Inc. (a)		741,947
	1,979	Qorvo, Inc. (a)		361,603
	2,200	Skyworks Solutions, Inc.		374,000
	6,571	Texas Instruments, Inc.		1,247,307
				3,272,443
		Software - 8.2%
	2,729	Akamai Technologies, Inc. (a)		311,679
	2,163	Broadridge Financial Solutions, Inc.		344,955
	1,388	Cerner Corp.		108,611
	17,216	Microsoft Corp.		4,298,491
	42,242	Oracle Corp.		3,326,135
	1,479	Synopsys, Inc. (a)		376,169
				8,766,040
		Telecommunications - 4.2%
	40,079	Cisco Systems, Inc.		2,120,179
	12,469	Corning, Inc.		544,022
	32,932	Verizon Communications, Inc.		1,860,329
				4,524,530

See accompanying notes to financial statements.

54

Horizon U.S. Defensive Equity Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2021

Shares			Value
		Textiles - 0.3%
	1,460	Mohawk Industries, Inc. (a)	$	307,593
		Transportation - 1.9%
	3,165	Expeditors International of Washington, Inc.		397,809
	3,192	FedEx Corp.		1,004,874
	1,823	JB Hunt Transport Services, Inc.		312,717
	1,360	Old Dominion Freight Line, Inc.		361,013
				2,076,413
		TOTAL COMMON STOCKS (Cost - $95,661,885)		106,112,528
		SHORT TERM INVESTMENTS - 0.9%
		Money Market Funds - 0.9%
	1,032,733	First American Treasury Obligations Fund, Class X, 0.02% (c)		1,032,733
		TOTAL SHORT TERM INVESTMENTS (Cost - $1,032,733)		1,032,733
		INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING - 5.3%
	5,689,628	Mount Vernon Liquid Assets Portfolio, LLC, 0.09% (c)		5,689,628
		TOTAL INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING (Cost - $5,689,628)		5,689,628
		TOTAL INVESTMENTS - 105.0% (Cost - $102,384,246)		112,834,889
		Liabilities in Excess of Other Assets - (5.0)%		(5,384,764	)
		NET ASSETS - 100.0%	$	107,450,125

Percentages are stated as a percent of net assets.

(a) Non-income producing security.

(b) All or a portion of this security is out on loan as of May 31, 2021.

(c) Interest rate reflects seven-day yield on May 31, 2021.

See accompanying notes to financial statements.

55

Horizon ESG Defensive Core Fund
PORTFOLIO OF INVESTMENTS (Unaudited)
May 31, 2021

Shares			Value
		COMMON STOCKS - 97.1%
		Aerospace/Defense - 1.0%
	32,756	Howmet Aerospace, Inc. (a)	$	1,162,183
		Apparel - 1.4%
	11,184	Nike, Inc., Class B		1,526,169
		Auto Parts & Equipment - 0.7%
	5,236	Aptiv PLC (a)		787,599
		Banks - 4.6%
	45,736	Bank of America Corp.		1,938,749
	5,747	Goldman Sachs Group, Inc.		2,137,999
	6,339	JPMorgan Chase & Co.		1,041,117
				5,117,865
		Beverages - 2.8%
	13,974	Molson Coors Brewing Co., Class B (a)		814,964
	15,514	PepsiCo, Inc.		2,295,141
				3,110,105
		Biotechnology - 3.5%
	8,836	Amgen, Inc.		2,102,438
	4,839	Biogen, Inc. (a)		1,294,336
	996	Regeneron Pharmaceuticals, Inc. (a)		500,420
				3,897,194
		Chemicals - 2.2%
	8,174	DuPont de Nemours, Inc.		691,439
	5,003	International Flavors & Fragrances, Inc.		708,775
	3,661	Linde PLC		1,100,496
				2,500,710
		Commercial Services - 3.7%
	2,397	MarketAxess Holdings, Inc.		1,118,297
	4,643	Moody’s Corp.		1,557,030
	2,213	PayPal Holdings, Inc. (a)		575,424
	4,813	Verisk Analytics, Inc.		831,831
				4,082,582
		Computers - 7.2%
	64,882	Apple, Inc.		8,084,946
		Diversified Financial Services - 2.2%
	12,616	American Express Co.		2,020,200
	1,136	MasterCard, Inc., Class A		409,619
				2,429,819

See accompanying notes to financial statements.

56

Horizon ESG Defensive Core Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2021

Shares			Value
		Environmental Control - 1.8%
	17,867	Republic Services, Inc.	$	1,950,719
		Food - 0.8%
	7,509	Campbell Soup Co.		365,463
	7,185	Kellogg Co. (b)		470,546
				836,009
		Healthcare Products - 1.2%
	10,670	Medtronic PLC		1,350,715
		Healthcare Services - 2.1%
	1,570	Anthem, Inc.		625,205
	7,922	Centene Corp. (a)		583,059
	5,063	HCA Healthcare, Inc.		1,087,482
				2,295,746
		Household Products/Wares - 0.3%
	1,517	Avery Dennison Corp.		334,544
		Insurance - 2.3%
	18,398	Allstate Corp.		2,513,351
		Internet - 8.9%
	2,762	Alphabet, Inc., Class A (a)		6,509,620
	229	Booking Holdings, Inc. (a)		540,795
	29,974	eBay, Inc.		1,824,817
	3,430	Facebook, Inc., Class A (a)		1,127,544
				10,002,776
		Lodging - 1.0%
	8,616	Hilton Worldwide Holdings, Inc. (a)		1,079,326
		Machinery - Diversified - 0.7%
	2,327	Deere & Co.		840,280
		Manufacturing - 4.2%
	5,437	BioMarin Pharmaceutical, Inc. (a)		420,280
	5,301	Enphase Energy, Inc. (a)		758,308
	30,272	Keurig Dr Pepper, Inc.		1,118,853
	6,227	Owens Corning		664,110
	1,784	Tesla, Inc. (a)		1,115,392
	23,267	Vertiv Holdings Co.		577,487
				4,654,430
		Media - 2.5%
	5,980	Comcast Corp., Class A		342,893

See accompanying notes to financial statements.

57

Horizon ESG Defensive Core Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2021

Shares			Value
	13,932	Walt Disney Co. (a)	$	2,488,952
				2,831,845
		Miscellaneous Manufacturing - 1.4%
	110,632	General Electric Co.		1,555,486
		Oil & Gas - 1.9%
	4,705	Chevron Corp.		488,332
	28,522	Exxon Mobil Corp.		1,664,829
				2,153,161
		Pharmaceuticals - 5.3%
	25,852	Bristol-Myers Squibb Co.		1,698,994
	10,512	Cigna Corp.		2,721,031
	1,289	DexCom, Inc. (a) (b)		476,144
	8,664	Merck & Co., Inc.		657,511
	27,735	Viatris, Inc.		422,681
				5,976,361
		Professional, Scientific, and Technical Services - 0.5%
	3,414	VMware, Inc., Class A (a) (b)		539,036
		Real Estate Investment Trusts - 2.9%
	1,429	Alexandria Real Estate Equities, Inc.		254,733
	8,801	Digital Realty Trust, Inc. (b)		1,333,880
	38,545	Iron Mountain, Inc. (b)		1,678,249
				3,266,862
		Retail - 4.1%
	13,131	Lowe’s Cos., Inc.		2,558,313
	15,155	Starbucks Corp.		1,725,851
	1,488	Target Corp.		337,657
				4,621,821
		Retail Trade - 1.7%
	43,811	Albertsons Cos, Inc., Class A		840,733
	2,983	Five Below, Inc. (a)		549,230
	9,883	KKR & Co, Inc. (b)		550,384
				1,940,347
		Semiconductors - 4.4%
	3,719	Broadcom, Inc.		1,756,595
	26,951	Intel Corp.		1,539,441
	6,739	Micron Technology, Inc. (a)		567,020
	909	NVIDIA Corp.		590,650
	3,328	QUALCOMM, Inc.		447,749
				4,901,455

See accompanying notes to financial statements.

58

Horizon ESG Defensive Core Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2021

Shares			Value
		Software - 13.2%
	3,430	Cadence Design Systems, Inc. (a)	$	435,576
	3,844	Citrix Systems, Inc.		441,906
	36,107	Microsoft Corp.		9,015,196
	1,192	MSCI, Inc.		558,011
	27,735	Oracle Corp.		2,183,854
	7,221	salesforce.com, Inc. (a)		1,719,320
	1,674	Synopsys, Inc. (a)		425,765
				14,779,628
		Telecommunications - 2.0%
	18,507	AT&T, Inc.		544,661
	23,822	Cisco Systems, Inc.		1,260,184
	6,742	Verizon Communications, Inc.		380,855
				2,185,700
		Transportation - 2.9%
	4,166	Union Pacific Corp.		936,225
	10,793	United Parcel Service, Inc., Class B		2,316,178
				3,252,403
		Water - 1.7%
	12,294	American Water Works Co., Inc.		1,905,816
		TOTAL COMMON STOCKS (Cost - $105,450,180)		108,466,989
		SHORT TERM INVESTMENTS - 2.7%
		Money Market Funds - 2.7%
	3,079,058	First American Treasury Obligations Fund, Class X, 0.02% (c)		3,079,058
		TOTAL SHORT TERM INVESTMENTS (Cost - $3,079,058)		3,079,058
		INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING - 4.2%
	4,644,286	Mount Vernon Liquid Assets Portfolio, LLC, 0.09% (c)		4,644,286
		TOTAL INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING (Cost - $4,644,286)		4,644,286
		TOTAL INVESTMENTS - 104.0% (Cost - $113,173,524)		116,190,333
		Liabilities in Excess of Other Assets - (4.0)%		(4,482,124	)
		NET ASSETS - 100.0%	$	111,708,209

Percentages are stated as a percent of net assets.

(a) Non-income producing security.

(b) All or a portion of this security is out on loan as of May 31, 2021.

(c) Interest rate reflects seven-day yield on May 31, 2021.

See accompanying notes to financial statements.

59

Horizon Funds

Statements of Assets and Liabilities (Unaudited)

May 31, 2021

	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	$	790,907,491	$	1,025,861,533	$	505,252,778		$	141,089,820
Investments in Affiliated Securities, at Cost		—		72,679,180		7,632,113			—
Investments in Unaffiliated Securities, at Value (a)	$	876,271,502	$	1,145,718,638	$	506,530,091		$	153,854,688
Investments in Affiliated Securities, at Value		—		88,259,663		7,780,987			—
Cash		—		38		—			250,000
Receivable for Investment Securities Sold		—		391,109		—			—
Receivable for Fund Shares Sold		1,272,724		2,517,369		871,227			346,963
Dividends and Interest Receivable		86		17,021		39			400,940
Dividend Reclaims		—		—		—			98,232
Prepaid Expenses and Other Assets		92,997		87,234		54,525			55,756
Total Assets		877,637,309		1,236,991,072		515,236,869			155,006,579
Liabilities:
Options written, at value (Premiums received $0, $2,422,675, $0 and $0)		—		4,266,500		—			—
Collateral received for securities loaned (Note 5)		211,546,416		143,525,204		105,917,716			20,115,034
Payable for Investment Securities Purchased		—		583,639		—			—
Payable for Fund Shares Redeemed		130,467		374,788		193,647			29,062
Accrued Administration Fees		34,075		51,734		18,110			18,852
Accrued Advisory Fees		553,225		913,097		265,717			86,396
Accrued Custodian Fees		6,560		9,037		3,351			2,953
Accrued Legal Fees		20,865		26,842		8,731			5,428
Accrued Distribution Fees (12b-1) - Advisor Class		12,299		4,236		125			22,240
Accrued Registration Fees		11,352		6,325		9,658			13,863
Accrued Shareholder Servicing Fees - Investor Class		187,748		158,712		53,081			—
Accrued Trustees Fees		2,740		2,743		1,259			3,150
Accrued Expenses and Other Liabilities		36,163		82,153		29,637			22,448
Total Liabilities		212,541,910		150,005,100		106,501,032			20,319,426
Net Assets	$	665,095,399	$	1,086,985,972	$	408,735,837		$	134,687,153
Composition of Net Assets:
Net assets consisted of:
Paid in Capital	$	530,716,536	$	921,299,917	$	414,658,850		$	126,784,305
Distributable Earnings/(Accumulated Deficit)		134,378,863		165,686,055		(5,923,013	)		7,902,848
Net Assets	$	665,095,399	$	1,086,985,972	$	408,735,837		$	134,687,153
Investor Class Shares:
Net Asset Value Per Share:
Net Assets	$	658,923,983	$	1,052,856,310	$	404,832,487		$	123,940,325
Shares of Beneficial Interest Outstanding		42,225,885		41,592,765		41,737,833			1,930,938
Net Asset Value, (Net Assets / Shares Outstanding) Offering and Redemption Price Per Share	$	15.60	$	25.31	$	9.70		$	64.19
Advisor Class Shares:
Net Assets	$	3,882,275	$	7,175,309	$	3,766,681		$	10,746,828
Shares of Beneficial Interest Outstanding		249,720		283,694		385,987			167,308
Net Asset Value, (Net Assets / Shares Outstanding) Offering and Redemption Price Per Share	$	15.55	$	25.29	$	9.76		$	64.23
Institutional Class Shares:
Net Assets	$	2,289,141	$	26,954,353	$	136,669		$	—
Shares of Beneficial Interest Outstanding		146,299		1,062,852		14,145			—
Net Asset Value, (Net Assets / Shares Outstanding) Offering and Redemption Price Per Share	$	15.65	$	25.36	$	9.66		$	—
(a) Includes loaned securities with a value of (see Portfolio of Investments for those affiliated securities that are loaned):	$	207,544,944	$	140,814,269	$	103,342,668		$	19,675,138

See accompanying notes to financial statements.

60

Horizon Funds
STATEMENTS OF ASSETS AND LIABILITIES (Unaudited) (Continued)
May 31, 2021

	Horizon Defined Risk Fund		Horizon U.S. Defensive Equity Fund		Horizon ESG Defensive Core Fund
Assets:
Investments in Unaffiliated Securities, at Cost	$	182,181,153	$	102,384,246	$	113,173,524
Investments in Unaffiliated Securities, at Value (a)	$	227,842,678	$	112,834,889	$	116,190,333
Cash		7,859		—		—
Receivable for Investment Securities Sold		59,466		—		—
Receivable for Fund Shares Sold		489,043		254,732		125,831
Dividends and Interest Receivable		277,322		141,819		127,949
Dividend Reclaims		—		588		—
Prepaid Expenses and Other Assets		29,213		62,776		42,723
Total Assets		228,705,581		113,294,804		116,486,836
Liabilities:
Options written, at value (Premiums received $4,650,836, $0 and $0)		4,771,425		—		—
Collateral received for securities loaned (Note 5)		10,034,075		5,689,628		4,644,286
Payable for Investment Securities Purchased		103,691		—		—
Payable for Fund Shares Redeemed		131,085		56,621		6,576
Accrued Administration Fees		14,754		10,990		2,655
Accrued Advisory Fees		129,359		57,652		76,645
Accrued Audit Fees		—		9,273		—
Accrued Custodian Fees		7,369		4,774		1,559
Accrued Legal Fees		4,815		812		14,396
Accrued Registration Fees		13,893		5,243		198
Accrued Distribution Fees (12b-1) - Investor Class		—		—		7,227
Accrued Distribution Fees (12b-1) - Advisor Class		16,136		5		5,640
Accrued Trustees Fees		2,386		—		616
Accrued Expenses and Other Liabilities		22,204		9,681		18,829
Total Liabilities		15,251,192		5,844,679		4,778,627
Net Assets	$	213,454,389	$	107,450,125	$	111,708,209
Composition of Net Assets:
Net assets consisted of:
Paid in Capital	$	182,177,065	$	63,857,295	$	107,773,187
Distributable Earnings		31,277,324		43,592,830		3,935,022
Net Assets	$	213,454,389	$	107,450,125	$	111,708,209
Investor Class Shares:
Net Asset Value Per Share:
Net Assets	$	194,271,083	$	107,040,695	$	84,977,971
Shares of Beneficial Interest Outstanding		3,246,750		3,359,694		2,556,533
Net Asset Value, (Net Assets / Shares Outstanding) Offering and Redemption Price Per Share	$	59.84	$	31.86	$	33.24
Advisor Class Shares:
Net Assets	$	19,183,306	$	409,430	$	26,730,238
Shares of Beneficial Interest Outstanding		320,565		12,868		806,683
Net Asset Value, (Net Assets / Shares Outstanding) Offering and Redemption Price Per Share	$	59.84	$	31.82		33.14
(a) Includes loaned securities with a value of:	$	9,836,154	$	5,582,360	$	4,575,029

See accompanying notes to financial statements.

61

Horizon Funds

Statements of Operations (Unaudited)

For the Six Months Ended May 31, 2021

	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 $0, $30, $0 and $35,118)	$	4,524,719		$	6,261,551		$	6,167,834		$	1,701,694
Dividend Income from affiliated Securities		—			386,716			233,828			—
Interest Income		846			663			378			329
Total Investment Income		4,525,565			6,648,930			6,402,040			1,702,023
Expenses:
Investment Advisory Fees		2,945,741			4,750,944			1,587,057			460,190
Shareholder Servicing Fees - Investor Class		294,640			458,467			204,173			—
Administrative & Accounting Service Fees		128,484			197,040			99,778			43,102
Transfer Agent Fees		71,546			73,859			40,666			20,216
Registration Fees		41,090			57,762			42,847			28,222
Legal Fees		35,375			56,587			24,921			8,294
Trustees’ Fees and Expenses		37,513			58,676			26,566			9,312
Miscellaneous Expenses		25,529			62,044			24,874			8,790
Chief Compliance Officer & Compliance Fees		18,299			34,429			13,670			5,857
Custodian Fees		16,313			25,774			11,336			4,856
Printing and Postage Expenses		13,746			19,191			9,566			9,718
Audit Fees		10,017			10,420			9,329			9,741
Distribution Fees (12b-1) - Advisor Class		4,819			7,935			4,634			11,802
Insurance Fees		5,791			10,137			10,189			6,938
Distribution Fees (12b-1) - Investor Class		—			—			—			56,638
Interest Expense		1,640			4,849			2,757			65
Total Expenses		3,650,543			5,828,114			2,112,363			683,741
Securities Lending Expense Offset		(332,637	)		(343,977	)		(151,056	)		(11,412	)
Fees Recouped by the Adviser		4,388			—			—			17,853
Fees Waived by the Adviser		—			—			—			(14,218	)
Net Expenses		3,322,294			5,484,137			1,961,307			675,964
Net Investment Income		1,203,271			1,164,793			4,440,733			1,026,059
Net Realized and Unrealized Gain (Loss) on Investments:
Net Realized Gain (Loss) on:
Unaffiliated Investments		55,746,285			81,107,764			3,434,732			16,970,318
Net Long-Term Capital Gain Distributions		—			—			183,698			—
Affiliated Investments		—			2,449,038			(15,404	)		—
Purchased Options		41,775			(5,654,349	)		—			(788,017	)
Written Options		208,502			3,449,702			—			229,371
Foreign Currency		—			—			—			56
Net Change in Unrealized Appreciation (Depreciation) on:
Unaffiliated Investments		39,618,385			57,391,169			(10,129,065	)		2,722,916
Affiliated Investments		—			10,046,920			141,963			—
Purchased Options		211,697			48,802			—			105,292
Written Options		—			(1,490,312	)		—			—
Foreign Currency		—			—			—			(76	)
Net Realized and Unrealized Gain (Loss) on Investments		95,826,644			147,348,734			(6,384,076	)		19,239,860
Net Increase (Decrease) in Net Assets Resulting From Operations	$	97,029,915		$	148,513,527		$	(1,943,343	)	$	20,265,919

See accompanying notes to financial statements.

62

Horizon Funds
STATEMENTS OF OPERATIONS (Unaudited) (Continued)
For the Six Months Ended May 31, 2021

	Horizon Defined Risk Fund			Horizon U.S. Defensive Equity Fund			Horizon ESG Defensive Core Fund
Investment Income:
Dividend Income from unaffiliated securities (net of foreign withholdings tax of $54, $0 and $0)	$	1,622,935		$	1,564,496		$	235,203
Interest Income		355			119			262
Total Investment Income		1,623,290			1,564,615			235,465
Expenses:
Investment Advisory Fees		886,182			715,965			114,985
Administrative & Accounting Service Fees		64,969			51,696			14,090
Transfer Agent Fees		24,806			28,055			15,899
Registration Fees		30,870			32,923			11,758
Legal Fees		13,326			7,352			3,144
Trustees’ Fees and Expenses		15,376			11,766			1,260
Miscellaneous Expenses		8,176			6,982			1,243
Chief Compliance Officer & Compliance Fees		9,645			8,088			1,093
Custodian Fees		32,189			15,352			10,121
Printing and Postage Expenses		10,281			6,959			1,977
Audit Fees		9,271			9,274			5,390
Distribution Fees (12b-1) - Advisor Class		26,923			885			10,279
Insurance Fees		6,399			2,785			10
Distribution Fees (12b-1) - Investor Class		100,003			89,142			11,220
Interest Expense		9,481			—			—
Total Expenses		1,247,897			987,224			202,469
Securities Lending Expense Offset		(3,545	)		(3,389	)		(1,438	)
Fees Recouped by the Adviser		—			11,653			8,836
Fees Waived by the Adviser		(66,680	)		(19,451	)		(44,253	)
Net Expenses		1,177,672			976,037			165,614
Net Investment Income		445,618			588,578			69,851
Net Realized and Unrealized Gain (Loss) on Investments:
Net Realized Gain (Loss) on:
Unaffiliated Investments		25,187,973			37,431,269			921,009
Purchased Options		(16,319,229	)		—			—
Written Options		(3,199,296	)		—			—
Net Change in Unrealized Appreciation (Depreciation) on:
Unaffiliated Investments		5,409,246			(9,543,588	)		2,094,802
Purchased Options		1,214,312			—			—
Written Options		(856,422	)		—			—
Net Realized and Unrealized Gain on Investments		11,436,584			27,887,681			3,015,811
Net Increase in Net Assets Resulting From Operations	$	11,882,202		$	28,476,259		$	3,085,662

See accompanying notes to financial statements.

63

Horizon Active Asset Allocation Fund

Statements of Changes in Net Assets

	For the Six Months Ended May 31, 2021			For the Year Ended November 30, 2020
	(Unaudited)
Operations:
Net Investment Income	$	1,203,271		$	3,887,329
Net Realized Gain on Investments		55,996,562			36,530,127
Net Change in Unrealized Appreciation on Investments		39,830,082			15,435,457
Net Increase in Net Assets Resulting From Operations		97,029,915			55,852,913
Distributions to Shareholders From:
Distributable earnings
Investor Class		(34,106,308	)		(3,464,791	)
Advisor Class		(242,577	)		(43,024	)
Institutional Class		(102,761	)		(239,551	)
Total Distributions to Shareholders		(34,451,646	)		(3,747,366	)
Capital Share Transactions:
Proceeds from Shares Issued
Investor Class		127,326,934			202,412,573
Advisor Class		2,113,219			6,045,953
Institutional Class		833,150			8,099,523
Distributions Reinvested
Investor Class		32,878,445			3,314,346
Advisor Class		175,788			38,374
Institutional Class		102,761			239,551
Cost of Shares Redeemed
Investor Class		(84,538,246	)		(240,665,906	)
Advisor Class		(9,043,337	)		(5,566,352	)
Institutional Class		(592,277	)		(38,111,521	)
Net Increase (Decrease) in Net Assets Resulting From Beneficial Interest Transactions		69,256,437			(64,193,459	)
Increase (Decrease) in Net Assets		131,834,706			(12,087,912	)
Net Assets:
Beginning of Period/Year		533,260,693			545,348,605
End of Period/Year	$	665,095,399		$	533,260,693
Share Activity:
Investor Class:
Shares Issued		8,525,626			16,763,649
Shares Reinvested		2,412,212			257,525
Shares Redeemed		(5,763,896	)		(20,313,409	)
Net Increase (Decrease)		5,173,942			(3,292,235	)
Advisor Class:
Shares Issued		141,792			517,248
Shares Reinvested		12,935			2,993
Shares Redeemed		(622,370	)		(430,875	)
Net Increase (Decrease)		(467,643	)		89,366
Institutional Class:
Shares Issued		56,314			693,989
Shares Reinvested		7,523			18,584
Shares Redeemed		(40,225	)		(2,855,260	)
Net Increase (Decrease)		23,612			(2,142,687	)

See accompanying notes to financial statements.

64

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

	For the Six Months Ended May 31, 2021			For the Year Ended November 30, 2020
	(Unaudited)
Operations:
Net Investment Income	$	1,164,793		$	6,547,918
Net Realized Gain (Loss) on Investments		81,352,155			(26,854,842	)
Net Change in Unrealized Appreciation on Investments		65,996,579			38,536,926
Net Increase in Net Assets Resulting From Operations		148,513,527			18,230,002
Distributions to Shareholders From:
Distributable earnings
Investor Class		(2,892,896	)		(7,582,927	)
Advisor Class		(21,213	)		(1,359	)
Institutional Class		(191,051	)		(674,574	)
Total Distributions to Shareholders		(3,105,160	)		(8,258,860	)
Capital Share Transactions:
Proceeds from Shares Issued
Investor Class		312,526,064			480,907,603
Advisor Class		3,420,970			7,267,563
Institutional Class		4,071,144			7,956,644
Distributions Reinvested
Investor Class		2,802,160			7,203,726
Advisor Class		11,470			1,359
Institutional Class		191,051			673,553
Cost of Shares Redeemed
Investor Class		(166,334,030	)		(472,054,516	)
Advisor Class		(3,593,725	)		(2,102,852	)
Institutional Class		(23,253,407	)		(30,083,423	)
Net Increase (Decrease) in Net Assets Resulting From Beneficial Interest Transactions		129,841,697			(230,343	)
Increase in Net Assets		275,250,064			9,740,799
Net Assets:
Beginning of Period/Year		811,735,908			801,995,109
End of Period/Year	$	1,086,985,972		$	811,735,908
Share Activity:
Investor Class:
Shares Issued		13,336,127			24,770,984
Shares Reinvested		126,053			332,429
Shares Redeemed		(7,044,149	)		(24,485,116	)
Net Increase		6,418,031			618,297
Advisor Class:
Shares Issued		139,977			390,519
Shares Reinvested		516			63
Shares Redeemed		(151,262	)		(104,411	)
Net Increase (Decrease)		(10,769	)		286,171
Institutional Class:
Shares Issued		169,881			409,210
Shares Reinvested		8,583			31,039
Shares Redeemed		(976,766	)		(1,517,636	)
Net Decrease		(798,302	)		(1,077,387	)

See accompanying notes to financial statements.

65

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

	For the Six Months Ended May 31, 2021			For the Year Ended November 30, 2020
	(Unaudited)
Operations:
Net Investment Income	$	4,440,733		$	6,293,778
Net Realized Gain on Investments		3,603,026			8,652,290
Net Change in Unrealized Appreciation (Depreciation) on Investments		(9,987,102	)		7,435,730
Net Increase (Decrease) in Net Assets Resulting From Operations		(1,943,343	)		22,381,798
Distributions to Shareholders From:
Distributable Earnings
Investor Class		(6,162,163	)		(6,597,800	)
Advisor Class		(49,657	)		(35,254	)
Institutional Class		(2,630	)		(4,791	)
Total Distributions to Shareholders		(6,214,450	)		(6,637,845	)
Capital Share Transactions:
Proceeds from Shares Issued
Investor Class		78,918,835			308,522,229
Advisor Class		732,274			3,877,638
Institutional Class		15,114			302,989
Distributions Reinvested
Investor Class		5,819,853			6,233,403
Advisor Class		45,145			34,438
Institutional Class		2,630			4,791
Cost of Shares Redeemed
Investor Class		(102,782,284	)		(171,700,477	)
Advisor Class		(834,839	)		(2,523,258	)
Institutional Class		(61,097	)		(8,225,534	)
Net Increase (Decrease) in Net Assets Resulting From Beneficial Interest Transactions		(18,144,369	)		136,526,219
Increase (Decrease) in Net Assets		(26,302,162	)		152,270,172
Net Assets:
Beginning of Period/Year		435,037,999			282,767,827
End of Period/Year	$	408,735,837		$	435,037,999
Share Activity:
Investor Class:
Shares Issued		8,060,907			32,423,819
Shares Reinvested		592,256			656,510
Shares Redeemed		(10,456,878	)		(18,400,287	)
Net Increase (Decrease)		(1,803,715	)		14,680,042
Advisor Class:
Shares Issued		74,408			404,105
Shares Reinvested		4,568			3,616
Shares Redeemed		(84,402	)		(262,134	)
Net Increase (Decrease)		(5,426	)		145,587
Institutional Class:
Shares Issued		1,556			32,889
Shares Reinvested		269			508
Shares Redeemed		(6,330	)		(867,783	)
Net Decrease		(4,505	)		(834,386	)

See accompanying notes to financial statements.

66

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

	For the Six Months Ended May 31, 2021			For the Year Ended November 30, 2020
	(Unaudited)
Operations:
Net Investment Income	$	1,026,059		$	3,174,629
Net Realized Gain (Loss) on Investments		16,411,728			(21,185,814	)
Net Change in Unrealized Appreciation on Investments		2,828,132			4,709,053
Net Increase (Decrease) in Net Assets Resulting From Operations		20,265,919			(13,302,132	)
Distributions to Shareholders From:
Distributable earnings
Investor Class		(1,308,154	)		(3,727,018	)
Advisor Class		(96,026	)		(602,435	)
Total Distributions to Shareholders		(1,404,180	)		(4,329,453	)
Capital Share Transactions:
Proceeds from Shares Issued
Investor Class		18,548,456			75,905,073
Advisor Class		3,465,476			10,196,716
Distributions Reinvested
Investor Class		1,307,696			3,726,574
Advisor Class		74,577			475,886
Cost of Shares Redeemed
Investor Class		(18,091,309	)		(116,808,266	)
Advisor Class		(3,034,911	)		(26,213,335	)
Net Increase (Decrease) in Net Assets Resulting From Beneficial Interest Transactions		2,269,985			(52,717,352	)
Increase (Decrease) in Net Assets		21,131,724			(70,348,937	)
Net Assets:
Beginning of Period/Year		113,555,429			183,904,366
End of Period/Year	$	134,687,153		$	113,555,429
Share Activity:
Investor Class:
Shares Issued		310,008			1,513,537
Shares Reinvested		22,116			69,115
Shares Redeemed		(305,819	)		(2,348,799	)
Net Increase (Decrease)		26,305			(766,147	)
Advisor Class:
Shares Issued		57,148			194,692
Shares Reinvested		1,251			8,821
Shares Redeemed		(50,775	)		(512,641	)
Net Increase (Decrease)		7,624			(309,128	)

See accompanying notes to financial statements.

67

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

	For the Six Months Ended May 31, 2021			For the Year Ended November 30, 2020
	(Unaudited)
Operations:
Net Investment Income	$	445,618		$	1,300,271
Net Realized Gain (Loss) on Investments		5,669,448			(11,999,746	)
Net Change in Unrealized Appreciation on Investments		5,767,136			20,776,875
Net Increase in Net Assets Resulting From Operations		11,882,202			10,077,400
Distributions to Shareholders From:
Distributable earnings
Investor Class		(1,227,816	)		(910,223	)
Advisor Class		(96,990	)		(102,844	)
Total Distributions to Shareholders		(1,324,806	)		(1,013,067	)
Capital Share Transactions:
Proceeds from Shares Issued
Investor Class		57,237,725			122,098,676
Advisor Class		3,413,257			15,317,797
Distributions Reinvested
Investor Class		1,227,606			910,154
Advisor Class		79,341			75,200
Cost of Shares Redeemed
Investor Class		(84,690,661	)		(83,224,179	)
Advisor Class		(10,166,982	)		(14,574,578	)
Net Increase (Decrease) in Net Assets Resulting From Beneficial Interest Transactions		(32,899,714	)		40,603,070
Increase (Decrease) in Net Assets		(22,342,318	)		49,667,403
Net Assets:
Beginning of Period/Year		235,796,707			186,129,304
End of Period/Year	$	213,454,389		$	235,796,707
Share Activity:
Investor Class:
Shares Issued		976,971			2,272,168
Shares Reinvested		21,402			16,792
Shares Redeemed		(1,454,563	)		(1,605,672	)
Net Increase (Decrease)		(456,190	)		683,288
Advisor Class:
Shares Issued		58,291			284,181
Shares Reinvested		1,382			1,387
Shares Redeemed		(174,796	)		(271,764	)
Net Increase (Decrease)		(115,123	)		13,804

See accompanying notes to financial statements.

68

Horizon U.S. Defensive Equity Fund
STATEMENTS OF CHANGES IN NET ASSETS (Continued)

	For the Six Months Ended May 31, 2021			For the Year Ended November 30, 2020(1)
	(Unaudited)
Operations:
Net Investment Income	$	588,578		$	620,918
Net Realized Gain (Loss) on Investments		37,431,269			(4,740,343	)
Net Change in Unrealized Appreciation (Depreciation) on Investments		(9,543,588	)		18,824,128
Net Increase in Net Assets Resulting From Operations		28,476,259			14,704,703
Distributions to Shareholders From:
Distributable earnings
Investor Class		(630,763	)		(220,775	)
Advisor Class		(2,114	)		—
Total Distributions to Shareholders		(632,877	)		(220,775	)
Capital Share Transactions:
Proceeds from Shares Issued
Investor Class		43,479,941			142,608,371
Advisor Class		344,390			728,483
Distributions Reinvested
Investor Class		630,699			220,732
Advisor Class		1,793			—
Cost of Shares Redeemed
Investor Class		(170,686,206	)		(37,126,755	)
Advisor Class		(779,756	)		(74,803	)
Net Increase (Decrease) in Net Assets Resulting From Beneficial Interest Transactions		(127,009,139	)		106,356,028
Increase (Decrease) in Net Assets		(99,165,757	)		120,839,956
Net Assets:
Beginning of Period/Year		206,615,882			85,775,926
End of Period/Year	$	107,450,125		$	206,615,882
Share Activity:
Investor Class:
Shares Issued		1,448,320			5,783,053
Shares Reinvested		23,010			8,348
Shares Redeemed		(5,683,612	)		(1,491,204	)
Net Increase (Decrease)		(4,212,282	)		4,300,197
Advisor Class:
Shares Issued		11,237			29,766
Shares Reinvested		65			—
Shares Redeemed		(25,313	)		(2,887	)
Net Increase (Decrease)		(14,011	)		26,879

⁽¹⁾ Horizon U.S. Defensive Equity Fund, Advisor Class, commenced operations on January 31, 2020.

See accompanying notes to financial statements.

69

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

	For the Six Months Ended May 31, 2021			For the Period Ended November 30, 2020(1)
	(Unaudited)
Operations:
Net Investment Income	$	69,851		$	19,048
Net Realized Gain on Investments		921,009			154,474
Net Change in Unrealized Appreciation on Investments		2,094,802			922,007
Net Increase in Net Assets Resulting From Operations		3,085,662			1,095,529
Distributions to Shareholders From:
Distributable earnings
Investor Class		(129,856	)		—
Advisor Class		(116,569	)		—
Total Distributions to Shareholders		(246,425	)		—
Capital Share Transactions:
Proceeds from Shares Issued
Investor Class		80,583,459			3,674,103
Advisor Class		22,470,922			3,715,169
Distributions Reinvested
Investor Class		129,856			—
Advisor Class		116,569			—
Cost of Shares Redeemed
Investor Class		(1,694,539	)		(52,237	)
Advisor Class		(1,004,846	)		(165,013	)
Net Increase in Net Assets Resulting From Beneficial Interest Transactions		100,601,421			7,172,022
Increase in Net Assets		103,440,658			8,267,551
Net Assets:
Beginning of Period		8,267,551			—
End of Period	$	111,708,209		$	8,267,551
Share Activity:
Investor Class:
Shares Issued		2,466,017			140,527
Shares Reinvested		4,474			—
Shares Redeemed		(52,408	)		(2,077	)
Net Increase		2,418,083			138,450
Advisor Class:
Shares Issued		685,483			155,294
Shares Reinvested		4,025			—
Shares Redeemed		(32,081	)		(6,038	)
Net Increase		657,427			149,256

⁽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.

70

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 Six Months Ended May 31, 2021			For the Year Ended November 30, 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
	(Unaudited)
Net Asset Value, Beginning of Period/Year	$	14.07		$	12.61		$	12.68		$	14.20		$	11.56		$	11.99
Income From Investment Operations:
Net investment income (c,f)		0.03			0.09			0.08			0.07	(h)		0.08			0.12
Net gain (loss) from investments (both realized and unrealized)		2.42			1.46			0.65			(0.02	)(h)		2.66			(0.20	)
Total from investment operations		2.45			1.55			0.73			0.05			2.74			(0.08	)
Less Distributions:
From net investment income		(0.07	)		(0.09	)		(0.08	)		(0.07	)		(0.10	)		(0.20	)
From net realized gains		(0.85	)		—			(0.72	)		(1.50	)		—			(0.15	)
Total Distributions		(0.92	)		(0.09	)		(0.80	)		(1.57	)		(0.10	)		(0.35	)
Net Asset Value, End of Period/Year	$	15.60		$	14.07		$	12.61		$	12.68		$	14.20		$	11.56
Total Return		18.31	%(j)		12.32	%		7.23	%		0.46	%		23.76	%		(0.59	)%
Ratios/Supplemental Data
Net assets, end of period/year (in 000’s)	$	658,924		$	521,477		$	508,839		$	477,097		$	393,833		$	354,279
Ratio to average net assets:
Gross expenses (d,e)		1.23	%(i)		1.25	%		1.21	%		1.28	%(g)		1.48	%		1.54	%
Net expenses (a,d)		1.11	%(i)		1.20	%		1.24	%		1.27	%(g)		1.36	%(b)		1.43	%
Net investment income net of reimbursement (recapture) and securities lending expense offset (d,f)		0.41	%(i)		0.75	%		0.66	%		0.56	%		0.61	%		1.09	%
Portfolio turnover rate		77	%(j)		208	%		279	%		256	%		168	%		406	%

Portfolio turnover is calculated for the Fund as a whole.

(a) The ratio of expenses to average net assets includes interest expense which was 0.00%, 0.00%, 0.01%, 0.00%, 0.00%, and 0.01%, 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.

71

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 Six Months Ended May 31, 2021			For the Year Ended November 30, 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
	(Unaudited)
Net Asset Value, Beginning of Period/Year	$	14.01		$	12.55		$	12.62		$	14.16		$	11.56		$	11.99
Income From Investment Operations:
Net investment income (b,f)		0.02			0.08			0.07			0.05	(e)		0.05			0.12
Net gain (loss) from investments (both realized and unrealized)		2.41			1.45			0.65			(0.02	)(e)		2.68			(0.20	)
Total from investment operations		2.43			1.53			0.72			0.03			2.73			(0.08	)
Less Distributions:
From net investment income		(0.04	)		(0.07	)		(0.07	)		(0.07	)		(0.13	)		(0.20	)
From net realized gains		(0.85	)		—			(0.72	)		(1.50	)		—			(0.15	)
Total Distributions		(0.89	)		(0.07	)		(0.79	)		(1.57	)		(0.13	)		(0.35	)
Net Asset Value, End of Period/Year	$	15.55		$	14.01		$	12.55		$	12.62		$	14.16		$	11.56
Total Return		18.25	%(i)		12.24	%		7.12	%		0.29	%		23.64	%		(0.59	)%
Ratios/Supplemental Data
Net assets, end of period/year (in 000’s)	$	3,882		$	10,052		$	7,879		$	7,187		$	5,084		$	2,249
Ratio to average net assets:
Gross expenses (c,d)		1.38	%(h)		1.41	%		1.39	%		1.43	%(g)		1.55	%		1.55	%
Net expenses (a,c)		1.26	%(h)		1.25	%		1.39	%		1.42	%(g)		1.42	%		1.44	%
Net investment income net of reimbursement (recapture) and securities lending expense offset (c,f)		0.27	%(h)		0.63	%		0.57	%		0.38	%		0.35	%		1.06	%
Portfolio turnover rate		77	%(i)		208	%		279	%		256	%		168	%		406	%

Portfolio turnover is calculated for the Fund as a whole.

(a) The ratio of expenses to average net assets includes interest expense which was 0.00%, 0.00%, 0.00%, 0.00%, 0.00%, and 0.02% respectively.

(b) Per share amounts are calculated using the average shares method.

(c) Does not reflect the expenses of the underlying funds in which the Fund invests.

(d) Represents the ratio of expenses to average net assets absent securities lending expense offset, fee waivers and/or expense reimbursements by the Adviser.

(e) 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.

(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 1.42% to 1.17% and now excludes 0.25% of Distribution Fees (12b-1) (See Note 3).

(h) Annualized.

(i) Not annualized.

See accompanying notes to financial statements.

72

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 Six Months Ended May 31, 2021			For the Year Ended November 30, 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	$	14.11		$	12.64		$	12.71		$	14.22		$	11.59		$	11.54
Income From Investment Operations:
Net investment income (c,h)		0.03			0.12			0.10			0.09	(g)		0.05			0.03
Net gain (loss) from investments (both realized and unrealized)		2.44			1.44			0.65			(0.03	)(g)		2.71			0.02	(f)
Total from investment operations		2.47			1.56			0.75			0.06			2.76			0.05
Less Distributions:
From net investment income		(0.08	)		(0.09	)		(0.10	)		(0.07	)		(0.13	)		—
From net realized gains		(0.85	)		—			(0.72	)		(1.50	)		—			—
Total Distributions		(0.93	)		(0.09	)		(0.82	)		(1.57	)		(0.13	)		—
Net Asset Value, End of Period/Year	$	15.65		$	14.11		$	12.64		$	12.71		$	14.22		$	11.59
Total Return		18.43	%(j)		12.44	%		7.33	%		0.55	%		23.92	%		0.43	%(j)
Ratios/Supplemental Data
Net assets, end of period/year (in 000’s)	$	2,289		$	1,732		$	28,631		$	30,230		$	29,010		$	8,809
Ratio to average net assets:
Gross expenses (d,e)		1.13	%(i)		1.16	%		1.14	%		1.18	%		1.30	%		1.30	%(i)
Net expenses (b,d)		1.01	%(i)		1.01	%		1.16	%		1.17	%		1.17	%		1.19	%(i)
Net investment income net of reimbursement (recapture) and securities lending expense offset (d,h)		0.44	%(i)		1.01	%		0.80	%		0.68	%		0.38	%		1.28	%(i)
Portfolio turnover rate		77	%(j)		208	%		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%, 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.

73

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 Six Months Ended May 31, 2021			For the Year Ended November 30, 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)
	(Unaudited)
Net Asset Value, Beginning of Period/Year	$	21.74		$	21.38		$	21.69		$	22.80		$	19.31		$	19.62
Income From Investment Operations:
Net investment income (d,g)		0.02			0.16	(i)		0.12			0.13			0.12			0.18
Net gain (loss) from investments (both realized and unrealized)		3.63			0.42	(i)		0.33			(0.21	)		3.54			(0.29	)
Total from investment operations		3.65			0.58			0.45			(0.08	)		3.66			(0.11	)
Less Distributions:
From net investment income		(0.08	)		(0.22	)		(0.12	)		(0.12	)		(0.17	)		(0.20	)
From net realized gains		—			—			(0.64	)		(0.91	)		—			—
Total Distributions		(0.08	)		(0.22	)		(0.76	)		(1.03	)		(0.17	)		(0.20	)
Net Asset Value, End of Period/Year	$	25.31		$	21.74		$	21.38		$	21.69		$	22.80		$	19.31
Total Return		16.86	%(k)		2.71	%		2.52	%		(0.31	)%		19.05	%		(0.54	)%
Ratios/Supplemental Data
Net assets, end of period/year (in 000’s)	$	1,052,856		$	764,775		$	738,854		$	682,077		$	418,227		$	319,385
Ratio to average net assets:
Gross expenses (e,f)		1.22	%(j)		1.25	%		1.20	%		1.28	%(h)		1.49	%		1.55	%
Net expenses (b,e)		1.15	%(j)		1.20	%		1.24	%		1.27	%(h)		1.35	%(c)		1.42	%
Net investment income net of reimbursement (recapture) and securities lending expense offset (e,g)		0.23	%(j)		0.81	%		0.60	%		0.58	%		0.58	%		0.92	%
Portfolio turnover rate		65	%(k)		462	%		368	%		275	%		143	%		563	%

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%, 0.00%, and 0.01%, 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) 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 Investor Class decreased from 1.27% to 1.17%. This excludes 0.10% of Shareholder Servicing Fees (See Note 3).

(i) 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 Statement of Operations.

(j) Annualized.

(k) Not annualized.

See accompanying notes to financial statements.

74

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 Six Months Ended May 31, 2021			For the Year Ended November 30, 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)
	(Unaudited)
Net Asset Value, Beginning of Period/Year	$	21.73		$	21.36		$	21.66		$	22.78		$	19.30		$	19.62
Income From Investment Operations:
Net investment income (loss) (c,f)		0.02			(0.04	)(h)		0.10			0.11			0.11			0.17
Net gain (loss) from investments (both realized and unrealized)		3.61			0.57	(h)		0.32			(0.23	)		3.54			(0.29	)
Total from investment operations		3.63			0.53			0.42			(0.12	)		3.65			(0.12	)
Less Distributions:
From net investment income		(0.07	)		(0.16	)		(0.08	)		(0.09	)		(0.17	)		(0.20	)
From net realized gains		—			—			(0.64	)		(0.91	)		—			—
Total Distributions		(0.07	)		(0.16	)		(0.72	)		(1.00	)		(0.17	)		(0.20	)
Net Asset Value, End of Period/Year	$	25.29		$	21.73		$	21.36		$	21.66		$	22.78		$	19.30
Total Return		16.77	%(j)		2.50	%		2.37	%		(0.46	)%		19.03	%		(0.59	)%
Ratios/Supplemental Data
Net assets, end of period/year (in 000’s)	$	7,175		$	6,399		$	177		$	388		$	347		$	313
Ratio to average net assets:
Gross expenses (d,e)		1.37	%(i)		1.43	%		1.38	%		1.43	%(g)		1.56	%		1.51	%
Net expenses (b,d)		1.30	%(i)		1.37	%		1.42	%		1.42	%(g)		1.42	%		1.42	%
Net investment income (loss) net of reimbursement (recapture) and securities lending expense offset (d,f)		0.15	%(i)		(0.18	)%		0.49	%		0.48	%		0.53	%		0.92	%
Portfolio turnover rate		65	%(j)		462	%		368	%		275	%		143	%		563	%

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) The ratio of expenses to average net assets includes interest expense which was 0.00%, 0.00%, 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 (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.

(g) 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).

(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 Statement of Operations.

(i) Annualized.

(j) Not annualized.

See accompanying notes to financial statements.

75

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 Six Months Ended May 31, 2021			For the Year Ended November 30, 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	$	21.79		$	21.43		$	21.72		$	22.84		$	19.33		$	19.21
Income From Investment Operations:
Net investment income (loss) (c,g)		0.06			0.23	(j)		0.10			0.14			(0.14	)		0.05
Net gain (loss) from investments (both realized and unrealized)		3.61			0.36	(j)		0.39			(0.20	)		3.86			0.07	(f)
Total from investment operations		3.67			0.59			0.49			(0.06	)		3.72			0.12
Less Distributions:
From net investment income		(0.10	)		(0.23	)		(0.14	)		(0.15	)		(0.21	)		—
From net realized gains		—			—			(0.64	)		(0.91	)		—			—
Total Distributions		(0.10	)		(0.23	)		(0.78	)		(1.06	)		(0.21	)		—
Net Asset Value, End of Period/Year	$	25.36		$	21.79		$	21.43		$	21.72		$	22.84		$	19.33
Total Return		16.93	%(i)		2.78	%		2.70	%		(0.21	)%		19.31	%		0.62	%(i)
Ratios/Supplemental Data
Net assets, end of period/year (in 000’s)	$	26,955		$	40,562		$	62,964		$	22,714		$	6,633		$	7
Ratio to average net assets:
Gross expenses (d,e)		1.12	%(h)		1.15	%		1.13	%		1.19	%		1.35	%		1.31	%(h)
Net expenses (b,d)		1.05	%(h)		1.09	%		1.08	%		1.14	%		1.17	%		1.17	%(h)
Net investment income (loss) net of reimbursement (recapture) and securities lending expense offset (d,g)		0.54	%(h)		1.14	%		0.47	%		0.61	%		(0.62	)%		1.09	%(h)
Portfolio turnover rate		65	%(i)		462	%		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%, 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 (loss) by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests. The ratio does not include net investment income of the investment companies in which the Fund invests.

(h) Annualized.

(i) Not annualized.

(j) Due to timing of shareholder transactions, and allocations of expenses among share classes, the per unit amounts presented may not coincide with the aggregate presentation on the Statements of Operations.

See accompanying notes to financial statements.

76

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 Six Months Ended May 31, 2021			For the Year Ended November 30, 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
	(Unaudited)
Net Asset Value, Beginning of Period/Year	$	9.90		$	9.44		$	9.13		$	9.73		$	9.56		$	9.86
Income From Investment Operations:
Net investment income (c,f)		0.11			0.18			0.29			0.30			0.25			0.16
Net gain (loss) from investments (both realized and unrealized)		(0.16	)		0.50			0.31			(0.64	)		0.17			(0.36	)
Total from investment operations		(0.05	)		0.68			0.60			(0.34	)		0.42			(0.20	)
Less Distributions:
From net investment income		(0.15	)		(0.22	)		(0.29	)		(0.26	)		(0.25	)		(0.10	)
Total Distributions		(0.15	)		(0.22	)		(0.29	)		(0.26	)		(0.25	)		(0.10	)
Net Asset Value, End of Period/Year	$	9.70		$	9.90		$	9.44		$	9.13		$	9.73		$	9.56
Total Return		(0.56	)%(i)		7.29	%		6.78	%		(3.58	)%		4.39	%		(2.03	)%
Ratios/Supplemental Data
Net assets, end of period/year (in 000’s)	$	404,832		$	430,958		$	272,400		$	275,992		$	200,521		$	187,698
Ratio to average net assets:
Gross expenses (d,e)		1.02	%(h)		1.05	%		1.03	%		1.09	%(g)		1.21	%		1.28	%
Net expenses (a,d)		0.95	%(h)		0.90	%		0.88	%		0.98	%(g)		1.18	%(b)		1.24	%
Net investment income net of reimbursement (recapture) and securities lending expense offset (d,f)		2.16	%(h)		1.87	%		3.13	%		3.16	%		2.54	%		1.58	%
Portfolio turnover rate		37	%(i)		225	%		167	%		155	%		175	%		205	%

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 0.00%, 0.01%, 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.

See accompanying notes to financial statements.

77

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 Six Months Ended May 31, 2021			For the Year Ended November 30, 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	$	9.95		$	9.47		$	9.16		$	9.76		$	9.60		$	9.84
Income From Investment Operations:
Net investment income (c,f)		0.10			0.18			0.26			0.29			0.13			0.13
Net gain (loss) from investments (both realized and unrealized)		(0.15	)		0.47			0.32			(0.63	)		0.28			(0.30	)
Total from investment operations		(0.05	)		0.65			0.58			(0.34	)		0.41			(0.17	)
Less Distributions:
From net investment income		(0.14	)		(0.17	)		(0.27	)		(0.26	)		(0.25	)		(0.07	)
Total Distributions		(0.14	)		(0.17	)		(0.27	)		(0.26	)		(0.25	)		(0.07	)
Net Asset Value, End of Period/Year	$	9.76		$	9.95		$	9.47		$	9.16		$	9.76		$	9.60
Total Return		(0.57	)%(i)		6.96	%		6.53	%		(3.58	)%		4.31	%		(1.74	)%(i)
Ratios/Supplemental Data
Net assets, end of period/year (in 000’s)	$	3,767		$	3,896		$	2,328		$	1,587		$	661		$	6
Ratio to average net assets:
Gross expenses (d,e)		1.17	%(h)		1.17	%		1.20	%		1.24	%(g)		1.32	%		1.35	%(h)
Net expenses (b,d)		1.10	%(h)		1.06	%		1.05	%		1.04	%(g)		1.24	%		1.25	%(h)
Net investment income net of reimbursement (recapture) and securities lending expense offset (d,f)		1.99	%(h)		1.90	%		2.79	%		3.07	%		1.37	%		1.70	%(h)
Portfolio turnover rate		37	%(i)		225	%		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%, 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.

78

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 Six Months Ended May 31, 2021			For the Year Ended November 30, 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	$	9.86		$	9.43		$	9.13		$	9.72		$	9.57		$	10.00
Income From Investment Operations:
Net investment income (c,f)		0.11			0.49	(i)		0.29			0.31			0.25			0.04
Net gain (loss) from investments (both realized and unrealized)		(0.16	)		0.17	(i)		0.31			(0.63	)		0.17			(0.47	)
Total from investment operations		(0.05	)		0.66			0.60			(0.32	)		0.42			(0.43	)
Less Distributions:
From net investment income		(0.15	)		(0.23	)		(0.30	)		(0.27	)		(0.27	)		—
Total Distributions		(0.15	)		(0.23	)		(0.30	)		(0.27	)		(0.27	)		—
Net Asset Value, End of Period/Year	$	9.66		$	9.86		$	9.43		$	9.13		$	9.72		$	9.57
Total Return		(0.50	)%(h)		7.07	%		6.83	%		(3.33	)%		4.41	%		(4.30	)%(h)
Ratios/Supplemental Data
Net assets, end of period/year (in 000’s)	$	137		$	184		$	8,040		$	7,488		$	8,084		$	2,572
Ratio to average net assets:
Gross expenses (d,e)		0.92	%(g)		0.93	%		0.95	%		0.99	%		1.03	%		1.09	%(g)
Net expenses (b,d)		0.85	%(g)		0.82	%		0.80	%		0.86	%		0.99	%		0.99	%(g)
Net investment income net of reimbursement (recapture) and securities lending expense offset (d,f)		2.31	%(g)		5.13	%		3.15	%		3.28	%		2.53	%		1.84	%(g)
Portfolio turnover rate		37	%(h)		225	%		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%, 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.

(i) Due to timing of shareholder transactions, and allocations of expenses among share classes, the per unit amounts presented may not coincide with the aggregate presentation on the Statements of Operations.

See accompanying notes to financial statements.

79

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 Six Months Ended May 31, 2021			For the Year Ended November 30, 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	$	55.01		$	58.58		$	60.03		$	59.15		$	50.00
Income From Investment Operations:
Net investment income (c)		0.50			1.19			1.47			1.18	(e)		0.66
Net gain (loss) from investments (both realized and unrealized)		9.37			(3.25	)		0.27	(h)		1.61	(e)		9.01
Total from investment operations		9.87			(2.06	)		1.74			2.79			9.67
Less Distributions:
From net investment income		(0.69	)		(1.29	)		(1.14	)		(1.13	)		(0.52	)
From net realized gains		—			(0.22	)		(2.05	)		(0.78	)		—
Total Distributions		(0.69	)		(1.51	)		(3.19	)		(1.91	)		(0.52	)
Net Asset Value, End of Period/Year	$	64.19		$	55.01		$	58.58		$	60.03		$	59.15
Total Return		18.09	%(g)		(3.41	)%		3.67	%		4.72	%		19.45	%(g)
Ratios/Supplemental Data
Net assets, end of period/year (in 000’s)	$	123,940		$	104,774		$	156,452		$	39,909		$	24,509
Ratio to average net assets:
Gross expenses (d)		1.10	%(f)		1.11	%		1.09	%		1.32	%		2.33	%(f)
Net expenses (i)		1.09	%(f)		1.09	%		1.09	%		1.09	%		1.09	%(b,f)
Net investment income net of reimbursement (recapture) and securities lending expense offset		1.68	%(f)		2.28	%		2.59	%		1.93	%		1.24	%(f)
Portfolio turnover rate		82	%(g)		376	%		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.

(i) 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.

See accompanying notes to financial statements.

80

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 Six Months Ended May 31, 2021			For the Year Ended November 30, 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	$	54.99		$	58.56		$	60.00		$	59.13		$	54.31
Income From Investment Operations:
Net investment income (b)		0.46			1.13			1.37			1.04	(d)		0.25
Net gain (loss) from investments (both realized and unrealized)		9.39			(3.28	)		0.29	(g)		1.66	(d)		4.78
Total from investment operations		9.85			(2.15	)		1.66			2.70			5.03
Less Distributions:
From net investment income		(0.61	)		(1.21	)		(1.05	)		(1.05	)		(0.21	)
From net realized gains		—			(0.21	)		(2.05	)		(0.78	)		—
Total Distributions		(0.61	)		(1.42	)		(3.10	)		(1.83	)		(0.21	)
Net Asset Value, End of Period/Year	$	64.23		$	54.99		$	58.56		$	60.00		$	59.13
Total Return		18.04	%(f)		(3.55	)%		3.50	%		4.57	%		9.28	%(f)
Ratios/Supplemental Data
Net assets, end of period/year (in 000’s)	$	10,747		$	8,781		$	27,452		$	10,892		$	3,353
Ratio to average net assets:
Gross expenses (c)		1.25	%(e)		1.25	%		1.24	%		1.48	%		2.12	%(e)
Net expenses (h)		1.24	%(e)		1.24	%		1.24	%		1.24	%		1.24	%(e)
Net investment income net of reimbursement (recapture) and securities lending expense offset		1.54	%(e)		2.17	%		2.42	%		1.71	%		1.01	%(e)
Portfolio turnover rate		82	%(f)		376	%		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.

(h) 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.

See accompanying notes to financial statements.

81

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 Six Months Ended May 31, 2021			For the Year Ended November 30, 2020			For the Year Ended November 30, 2019			For the Period Ended November 30, 2018 (a)
	(Unaudited)
Net Asset Value, Beginning of Period/Year	$	56.98		$	54.09		$	51.00		$	50.00
Income From Investment Operations:
Net investment income (b)		0.12			0.37			0.51			0.44
Net gain from investments (both realized and unrealized)		3.06			2.82			2.86			0.56
Total from investment operations		3.18			3.19			3.37			1.00
Less Distributions:
From net investment income		(0.32	)		(0.30	)		(0.17	)		—
From net realized gains		—			—			(0.11	)		—
Total Distributions		(0.32	)		(0.30	)		(0.28	)		—
Net Asset Value, End of Period/Year	$	59.84		$	56.98		$	54.09		$	51.00
Total Return		5.60	%(e)		5.93	%(e)		6.69	%		2.00	%(e)
Ratios/Supplemental Data
Net assets, end of period/year (in 000’s)	$	194,271		$	210,993		$	163,322		$	5,915
Ratio to average net assets:
Gross expenses (c)		1.10	%(d)		1.12	%(d)		1.20	%		2.28	%(d)
Net expenses (f)		1.04	%(d)		1.04	%(d)		1.04	%		1.04	%(d)
Net investment income net of reimbursement and securities lending expense offset		0.42	%(d)		0.70	%(d)		0.99	%		0.94	%(d)
Portfolio turnover rate		23	%(e)		28	%(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.

(f) The ratio of expenses to average net assets includes interest expense which was 0.01%, 0.00%, 0.00% and 0.00%, respectively.

See accompanying notes to financial statements.

82

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 Six Months Ended May 31, 2021			For the Year Ended November 30, 2020			For the Year Ended November 30, 2019			For the Period Ended November 30, 2018 (a)
	(Unaudited)
Net Asset Value, Beginning of Period/Year	$	56.93		$	54.06		$	50.98		$	50.58
Income From Investment Operations:
Net investment income (b)		0.08			0.29			0.42			0.31	(d)
Net gain from investments (both realized and unrealized)		3.06			2.82			2.87			0.09	(d)
Total from investment operations		3.14			3.11			3.29			0.40
Less Distributions:
From net investment income		(0.23	)		(0.24	)		(0.10	)		—
From net realized gains		—			—			(0.11	)		—
Total Distributions		(0.23	)		(0.24	)		(0.21	)		—
Net Asset Value, End of Period/Year	$	59.84		$	56.93		$	54.06		$	50.98
Total Return		5.53	%(f)		5.78	%		6.51	%		0.77	%(f)
Ratios/Supplemental Data
Net assets, end of period/year (in 000’s)	$	19,183		$	24,804		$	22,807		$	9,173
Ratio to average net assets:
Gross expenses (c)		1.26	%(e)		1.28	%		1.37	%		2.10	%(e)
Net expenses (g)		1.19	%(e)		1.19	%		1.19	%		1.19	%(e)
Net investment income net of reimbursement and securities lending expense offset		0.26	%(e)		0.56	%		0.80	%		0.75	%(e)
Portfolio turnover rate		23	%(f)		28	%		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.

(g) The ratio of expenses to average net assets includes interest expense which was 0.01%, 0.00%, 0.00% and 0.00%, respectively.

See accompanying notes to financial statements.

83

Horizon U.S. Defensive Equity 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 Six Months Ended May 31, 2021			For the Year Ended November 30, 2020			For the Period Ended November 30, 2019 (a)
	(Unaudited)
Net Asset Value, Beginning of Period/Year	$	27.19		$	26.22		$	25.00
Income From Investment Operations:
Net investment income (b)		0.10			0.12			0.12
Net gain from investments (both realized and unrealized)		4.66			0.91			1.10
Total from investment operations		4.76			1.03			1.22
Less Distributions:
From net investment income		(0.09	)		(0.06	)		—
Total Distributions		(0.09	)		(0.06	)		—
Net Asset Value, End of Period/Year	$	31.86		$	27.19		$	26.22
Total Return		17.53	%(e)		3.96	%		4.88	%(e)
Ratios/Supplemental Data
Net assets, end of period/year (in 000’s)	$	107,041		$	205,886		$	85,776
Ratio to average net assets:
Gross expenses (c)		1.10	%(d)		1.14	%		1.93	%(d)
Net expenses		1.09	%(d)		1.09	%		1.09	%(d)
Net investment income net of reimbursement and securities lending expense offset		0.66	%(d)		0.49	%		1.10	%(d)
Portfolio turnover rate		117	%(e)		325	%		0.11	%(e)

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.

84

Horizon U.S. Defensive Equity Fund
FINANCIAL HIGHLIGHTS

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

	Advisor Class
	For the Six Months Ended May 31, 2021			For the Period Ended November 30, 2020 (a)
	(Unaudited)
Net Asset Value, Beginning of Period	$	27.16		$	26.23
Income From Investment Operations:
Net investment income (b)		0.10			0.04
Net gain from investments (both realized and unrealized)		4.64			0.89
Total from investment operations		4.79			0.93
Less Distributions:
From net investment income		(0.09	)		—
From net realized gains		—			—
Total Distributions		(0.09	)		—
Net Asset Value, End of Period	$	31.82		$	27.16
Total Return		17.48	%(e)		3.55	%(e)
Ratios/Supplemental Data
Net assets, end of period (in 000’s)	$	409		$	730
Ratio to average net assets:
Gross expenses (c)		1.25	%(d)		1.30	%(d)
Net expenses		1.24	%(d)		1.24	%(d)
Net investment income net of reimbursement and securities lending expense offset		0.49	%(d)		0.17	%(d)
Portfolio turnover rate		117	%(e)		325	%(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.

85

Horizon ESG Defensive Core Fund
FINANCIAL HIGHLIGHTS

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

	Investor Class
	For the Six Months Ended May 31, 2021			For the Period Ended November 30, 2020 (a)
	(Unaudited)
Net Asset Value, Beginning of Period	$	28.78		$	25.00
Income From Investment Operations:
Net investment income (b)		0.08			0.19	(f)
Net gain from investments (both realized and unrealized)		5.19			3.59	(f)
Total from investment operations		5.27			3.78
Less Distributions:
From net investment income		(0.10	)		—
From net realized gains		(0.71	)		—
Total Distributions		(0.81	)		—
Net Asset Value, End of Period	$	33.24		$	28.78
Total Return		18.73	%(e)		15.12	%(e)
Ratios/Supplemental Data
Net assets, end of period (in 000’s)	$	84,978		$	3,985
Ratio to average net assets:
Gross expenses (c)		1.24	%(d)		6.24	%(d)
Net expenses		1.04	%(d)		1.04	%(d)
Net investment income net of reimbursement and securities lending expense offset		0.49	%(d)		0.73	%(d)
Portfolio turnover rate		16	%(e)		87	%(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) 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.

See accompanying notes to financial statements.

86

Horizon ESG Defensive Core Fund
FINANCIAL HIGHLIGHTS

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

	Advisor Class
	For the Six Months Ended May 31, 2021			For the Period Ended November 30, 2020 (a)
	(Unaudited)
Net Asset Value, Beginning of Period	$	28.69		$	25.04
Income From Investment Operations:
Net investment income (b)		0.05			0.13	(f)
Net gain from investments (both realized and unrealized)		5.21			3.52	(f)
Total from investment operations		5.26			3.65
Less Distributions:
From net investment income		(0.10	)		—
From net realized gains		(0.71	)		—
Total Distributions		(0.81	)		—
Net Asset Value, End of Period	$	33.14		$	28.69
Total Return		18.63	%(e)		14.58	%(e)
Ratios/Supplemental Data
Net assets, end of period (in 000’s)	$	26,730		$	4,283
Ratio to average net assets:
Gross expenses (c)		1.55	%(d)		4.56	%(d)
Net expenses		1.19	%(d)		1.19	%(d)
Net investment income net of reimbursement and securities lending expense offset		0.35	%(d)		0.52	%(d)
Portfolio turnover rate		16	%(e)		87	%(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) 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.

See accompanying notes to financial statements.

87

Horizon Funds

Notes to Financial Statements (Unaudited)

May 31, 2021

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 U.S. Defensive Equity Fund (formerly known as the 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 Active Dividend Fund, Horizon Defined Risk Fund, Horizon U.S. Defensive Equity 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 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 29, 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 U.S. Defensive Equity 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 period. Actual results could differ from those estimates.

In determining a Fund’s net asset value (“NAV”) per share, equity securities, including common stocks, preferred stocks, and exchange traded funds, for which market quotations are readily available are valued at current market value using the last reported sales price. NASDAQ traded securities are valued using the NASDAQ official closing price (“NOCP”). If the NOCP is not available, such securities shall be valued at the mean between the current bid and ask prices on the day of valuation, or if there has been no sale on such day, at the mean between the current bid and

88

Horizon Funds
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
May 31, 2021

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.

89

Horizon Funds
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
May 31, 2021

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, 2021, for the Funds’ investments measured at value:

Horizon Active Asset Allocation Fund
Assets *	Level 1			Level 2		Level 3		Total
Investment Companies	$	657,391,914		$	—	$	—	$	657,391,914
Short-Term Investments		7,333,172			—		—		7,333,172
Investments Purchased With Proceeds From Securities Lending		—	**		—		—		211,546,416
Total	$	664,725,086		$	—	$	—	$	876,271,502

Horizon Active Risk Assist® Fund
Assets *	Level 1			Level 2		Level 3		Total
Investment Companies	$	1,059,559,922		$	—	$	—	$	1,059,559,922
Common Stocks		16,368,988			—		—		16,368,988
Purchased Call Options		—			1,652,250		—		1,652,250
Purchased Put Options		—			3,455,000		—		3,455,000
Short-Term Investments		9,416,937			—		—		9,416,937
Investments Purchased With Proceeds From Securities Lending		—	**		—		—		143,525,204
Total	$	1,085,345,847		$	5,107,250	$	—	$	1,233,978,301

Liabilities *	Level 1		Level 2		Level 3		Total
Written Call Options	$	—	$	697,500	$	—	$	697,500
Written Put Options		—		3,569,000	$	—		3,569,000
Total	$	—	$	4,266,500	$	—	$	4,266,500

Horizon Active Income Fund
Assets *	Level 1			Level 2		Level 3		Total
Investment Companies	$	405,355,679		$	—	$	—	$	405,355,679
Short-Term Investments		3,037,683			—		—		3,037,683
Investments Purchased With Proceeds From Securities Lending		—	**		—		—		105,917,716
Total	$	408,393,362		$	—	$	—	$	514,311,078

90

Horizon Funds
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
May 31, 2021

Horizon Active Dividend Fund
Assets *	Level 1			Level 2		Level 3		Total
Common Stocks	$	130,621,230		$	—	$	—	$	130,621,230
Convertible Preferred Stocks		509,048			—		—		509,048
Preferred Stocks		255,888			—		—		255,888
Short-Term Investments		2,353,488			—		—		2,353,488
Investments Purchased With Proceeds From Securities Lending		—	**		—		—		20,115,034
Total	$	133,739,654		$	—	$	—	$	153,854,688

Horizon Defined Risk Fund
Assets *	Level 1			Level 2		Level 3		Total
Common Stocks	$	213,381,179		$	—	$	—	$	213,381,179
Purchased Call Options		—			53,813		—		53,813
Purchased Put Options		—			2,437,325		—		2,437,325
Short-Term Investments		1,936,286			—		—		1,936,286
Investments Purchased With Proceeds From Securities Lending		—	**		—		—		10,034,075
Total	$	215,317,465		$	2,491,138	$	—	$	227,842,678

Liabilities *	Level 1		Level 2		Level 3		Total
Written Call Options	$	—	$	3,533,450	$	—	$	3,533,450
Written Put Options		—		1,237,975		—		1,237,975
Total	$	—	$	4,771,425	$	—	$	4,771,425

Horizon U.S. Defensive Equity Fund
Assets *	Level 1			Level 2		Level 3		Total
Common Stocks	$	106,112,528		$	—	$	—	$	106,112,528
Short-Term Investments		1,032,733			—		—		1,032,733
Investments Purchased With Proceeds From Securities Lending		—	**		—		—		5,689,628
Total	$	107,145,261		$	—	$	—	$	112,834,889

91

Horizon Funds
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
May 31, 2021

Horizon ESG Defensive Core Fund
Assets *	Level 1			Level 2		Level 3		Total
Common Stocks	$	108,466,989		$	—	$	—	$	108,466,989
Short-Term Investments		3,079,058			—		—		3,079,058
Investments Purchased With Proceeds From Securities Lending		—	**		—		—		4,644,286
Total	$	111,546,047		$	—	$	—	$	116,190,333

* Refer to the Portfolios of Investments for security classifications.

** Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statement of Assets and Liabilities.

Exchange Traded Funds – The Funds may invest in exchange traded funds (“ETFs”). ETFs are a type of registered investment company that is typically purchased and redeemed at net asset value (“NAV”) in large blocks of shares called “Creation Units”, and bought and sold in secondary markets on a securities exchange, where its shares trade like common stock. An index-based ETF represents a fixed portfolio of securities designed to track the performance and dividend yield of a particular domestic or foreign market index. Alternatively, ETFs may be actively managed in accordance with a particular investment strategy. The risks of owning an ETF generally reflect the risks of owning the underlying securities they hold, although the lack of liquidity on an ETF could result in it being more volatile.

Option Transactions – Options are derivative financial instruments that give the buyer, in exchange for a premium payment, the right, but not the obligation, to either purchase from (call option) or sell to (put option) the writer a specified underlying instrument at a specified price on or before a specified date. The Funds enter into option contracts to meet the requirements of their trading activities. The risk in writing a call option is that the Funds may incur a loss if the market price of the security increases and the option is exercised. The risk in writing a put option is that the Funds may incur a loss if the market price of the security decreases and the option is exercised. The risk in buying an option is that the Fund pays a premium whether or not the option is exercised. The Funds also have the additional risk of not being able to enter into a closing transaction if a liquid secondary market does not exist.

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.

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The average quarterly value outstanding of purchased and written options during the period ended May 31, 2021, 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 U.S. Defensive Equity Fund
Purchased Options	$	—	$	1,540,656	$	—	$	—	$	2,129,353	$	—
Written Options	$	—	$	1,125,375	$	—	$	—	$	2,151,306	$	—

The following is a summary of the location of derivative investments on the Funds’ Statements of Assets and Liabilities as of May 31, 2021:

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	N/A
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	N/A
Horizon Defined Risk Fund	Equity Risk Contracts	Investments in Unaffiliated Securities, at Value	Options Written, at Value

Horizon Active Risk Assist® Fund
Derivatives Investment Value
Purchased Options	$	5,107,250
Written Options	$	4,266,500

Horizon Defined Risk Fund
Derivatives Investment Value
Purchased Options	$	2,491,138
Written Options	$	4,771,425

The following is a summary of the location of derivative investments on the Funds’ Statements of Operations for the period ended May 31, 2021:

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

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Horizon Active Asset Allocation Fund
Realized gain on derivatives recognized in the Statements of Operations
Derivative Investment Type
Purchased Options	$	41,775
Written Options		208,502
	$	250,277

Changes in unrealized appreciation on derivatives recognized in the Statements of Operations
Purchased Options	$	211,697
Written Options		—
	$	211,697

Horizon Active Risk Assist® Fund
Realized gain/(loss) on derivatives recognized in the Statements of Operations
Derivative Investment Type
Purchased Options	$	(5,654,349	)
Written Options		3,449,702
	$	(2,204,647	)

Changes in unrealized appreciation/(depreciation) on derivatives recognized in the Statements of Operations
Purchased Options	$	48,802
Written Options		(1,490,312	)
	$	(1,441,510	)

Horizon Active Dividend Fund
Realized gain/(loss) on derivatives recognized in the Statements of Operations
Derivative Investment Type
Purchased Options	$	(788,017	)
Written Options		229,371
	$	(558,646	)

Changes in unrealized appreciation on derivatives recognized in the Statements of Operations
Purchased Options	$	105,292
Written Options		—
	$	105,292

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Horizon Defined Risk Fund
Realized loss on derivatives recognized in the Statements of Operations
Derivative Investment Type
Purchased Options	$	(16,319,229	)
Written Options		(3,199,296	)
	$	(19,518,525	)

Changes in unrealized appreciation/(depreciation) on derivatives recognized in the Statements of Operations
Purchased Options	$	1,214,312
Written Options		(856,422	)
	$	357,890

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, 2021.

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	$	4,266,500	(1)	$	—	$	4,266,500	$	(4,266,500	)(2)	$	—	$	—
Total	$	4,266,500		$	—	$	4,266,500	$	(4,266,500	)	$	—	$	—

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	$	4,771,425	(1)	$	—	$	4,771,425	$	(4,771,425	)(2)	$	—	$	—
Total	$	4,771,425		$	—	$	4,771,425	$	(4,771,425	)	$	—	$	—

(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.

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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 if any, are recorded separately from dividend income. Purchase discounts and premiums on securities are accreted and amortized over the life of the respective securities.

Investment in Other Investment Companies– To the extent that a Fund invests in other investment companies, shareholders may obtain a copy of the underlying investment companies’ financial statements on the EDGAR Database on the SEC’s internet site at http://www.sec.gov. Copies of information on the SEC’s internet site may also be obtained, upon payment of a duplicating fee, by electronic request at the following e-mail address: publicinfo@sec.gov.

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

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

The Funds recognize the tax benefits of uncertain tax positions only where the position is “more likely than not” to be sustained assuming examination by tax authorities. Management has analyzed the Funds’ tax positions, and has concluded that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions taken on returns filed for open tax years or expected to be taken on the Funds’ 2021 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.

The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the Statement of Operations.

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, Horizon U.S. Defensive Equity Fund, and Horizon ESG Defensive Core Fund and quarterly for the Horizon Active Income Fund and Horizon Active Dividend Fund and are recorded on the ex-dividend date. The Funds will declare and pay net realized capital gains, if any, annually. The character of income and gains to be distributed is determined in accordance with income tax regulations, which may differ from GAAP.

Shareholder Services Plan – The Board has adopted a shareholder serving plan (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 are currently 0.10% of average daily net assets. For these services, the Funds pay a fee up to 0.10% of average net assets attributable to Investor Class shares of the Funds on an annualized basis. Payments under the Plan are made for the provision of support services to shareholders, including administrative or other shareholder support services such as responding to customer inquiries or assisting the Funds in establishing or maintaining shareholder accounts and records. The

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May 31, 2021

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, the Horizon U.S. Defensive Equity 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, 2021 the distribution fees accrued for the Investor Class shares of the Horizon Active Dividend Fund, Horizon Defined Risk Fund, Horizon U.S. Defensive Equity 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 period ended May 31, 2021, the Horizon Active Asset Allocation Fund, Horizon Active Risk Assist^® Fund, Horizon Active Income Fund, Horizon Active Dividend Fund, Horizon Defined Risk Fund, Horizon U.S. Defensive Equity Fund and Horizon ESG Defensive Core Fund Advisor Class shares incurred $4,819, $7,935, $4,634, $11,802, $26,923, $885, and $10,279, respectively, pursuant to the plan. During the period ended May 31, 2021, the Horizon Active Dividend Fund, Horizon Defined Risk Fund, Horizon U.S. Defensive Equity Fund and Horizon ESG Defensive Core Fund Investor Class shares incurred $56,638, $100,003, $89,142 and $11,220, respectively, pursuant to the plan. Investor Class shares of the Horizon Active Asset Allocation Fund, Horizon Active Risk Assist^® Fund and Horizon Active Income Fund and Institutional Class shares of all Funds do not pay any 12b-1 distribution fees.

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

LIBOR Discontinuation Risk – Many financial instruments use or may use a floating rate based on the London Interbank Offered Rate, or “LIBOR,” which is the offered rate for short-term Eurodollar deposits between major international banks. On July 27, 2017, the Financial Conduct Authority announced a desire to phase out the use of LIBOR by the end of 2021. There remains uncertainty regarding the future utilization of LIBOR and the nature of any replacement rate. As such, the potential impact of a transition away from LIBOR on the Fund or the financial instruments in which the Funds invest cannot yet be determined. The elimination of LIBOR or changes to other reference rates or any other changes or reforms to the determination or supervision of reference rates could have an adverse impact on the market for, or value of, any securities or payments linked to those reference rates, which may adversely affect the Fund’s performance and/or net asset value. Furthermore, the risks associated with the expected discontinuation of LIBOR and transition may be exacerbated if the work necessary to effect an orderly transition to an alternative reference rate is not completed in a timely manner. Because the usefulness of LIBOR as a benchmark could deteriorate during the transition period, these effects could occur prior to the end of 2021.

General Risk – 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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May 31, 2021

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, 0.80% of the average daily net assets of the Horizon U.S. Defensive Equity Fund and 0.75% of the average daily net assets up to $150,000,000 and 0.70% thereafter of the Horizon ESG Defensive Core Fund.

Pursuant to the Expense Limitation Agreement (the “Waiver Agreement”), the Adviser has agreed, until March 31, 2022 for the Horizon Active Asset Allocation Fund, Horizon Active Risk Assist^® Fund, Horizon Active Income Fund, Horizon Active Dividend Fund and Horizon Defined Risk Fund, and June 26, 2022 for the Horizon U.S. Defensive Equity 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 U.S. Defensive Equity 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.

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May 31, 2021

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. During the period ended May 31 2021, the Adviser recouped from Horizon Active Asset Allocation Fund, Horizon Active Risk Assist^® Fund, Horizon Active Income Fund, Horizon Active Dividend Fund, Horizon Defined Risk Fund, Horizon U.S. Defensive Equity Fund, and the Horizon ESG Defensive Core Fund $4,388, $0, $0, $17,853, $0, $11,653, and $8,836 respectively.

Fund	2021		2022		2023		2024		Total
Horizon Active Asset Allocation Fund	$	—	$	—	$	—	$	—	$	—
Horizon Active Risk Assist® Fund		—		—		—		—		—
Horizon Active Income Fund		—		—		—		—		—
Horizon Active Dividend Fund		5,957		3,050		25,480		14,218		48,705
Horizon Defined Risk Fund		77,231		153,545		159,403		66,680		456,869
Horizon U.S. Defensive Equity Fund		—		49,775		69,227		19,451		138,453
Horizon ESG Defensive Core Fund		—		—		119,631		44,253		163,884

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 at an in-person 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.

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, 2021, were as follows:

Fund	Purchases		Sales
Horizon Active Asset Allocation Fund	$	483,623,811	$	450,308,128
Horizon Active Risk Assist® Fund		730,320,962		607,681,731
Horizon Active Income Fund		150,698,098		170,984,459
Horizon Active Dividend Fund		98,929,222		98,246,311
Horizon Defined Risk Fund		50,309,046		88,635,527
Horizon U.S. Defensive Equity Fund		202,630,449		330,332,669
Horizon ESG Defensive Core Fund		103,425,900		5,950,280

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

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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. Amounts earned from security lending is disclosed in each Fund’s Statement of Operations as a securities lending credit. The Funds continue to receive interest payments or dividends on the securities loaned during the borrowing year. Gain or loss on the fair value of securities loaned that may occur during the term of the loan will be for the account of the Funds. The Funds have the right under the terms of the securities lending agreement to recall the securities from the borrower on demand. During the period ended May 31, 2021, the Funds had loaned securities and received cash collateral for the loans. The cash collateral is invested by the Custodian in accordance with approved investment guidelines. Those guidelines allow the cash collateral to be invested in readily marketable, high quality, short-term obligations issued or guaranteed by the United States Government; however, such investments are subject to risk of payment delays, declines in the value of collateral provided, default on the part of the issuer or counterparty, or otherwise may not generate sufficient interest to support the costs associated with securities lending. The Funds could also experience delays in recovering their securities and possible loss of income or value if the borrower fails to return the borrowed securities, although the Funds are indemnified from this risk by contract with the securities lending agent.

As of the period ended May 31, 2021, 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	$	207,544,944	$	211,546,416
Horizon Active Risk Assist® Fund		140,814,269		143,525,204
Horizon Active Income Fund		103,342,668		105,917,716
Horizon Active Dividend Fund		19,675,138		20,115,034
Horizon Defined Risk Fund		9,836,154		10,034,075
Horizon U.S. Defensive Equity Fund		5,582,360		5,689,628
Horizon ESG Defensive Core Fund		4,575,029		4,644,286

* The cash collateral received was invested in the Mount Vernon Liquid Assets Portfolio, LLC, 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, 2021, and renewed effective February 25, 2021, the Funds are party to an unsecured line of credit arrangement with the Custodian. The Loan Agreement has an expiration date of February 24, 2022, 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 $75,000,000 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

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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, 2021, if they borrow. For the period ended May 31, 2021, the Horizon Active Asset Allocation Fund, Horizon Active Risk Assist^® Fund, Horizon Active Income Fund, Horizon Active Dividend Fund, Horizon Defined Risk Fund and Horizon U.S. Defensive Equity Fund had average borrowings of $97,654, $361,709, $152,341, $4,945, $583,236 and $816,462 and the weighted average interest rate on the line of credit borrowings was 3.25%, 3.25%, 3.25%, 3.25%, 3.25% and 3.25%, respectively. The Horizon ESG Defensive Core Fund did not borrow on the line of credit during the period. On February 2, 2021, the Horizon Active Asset Allocation Fund had borrowings of $7,353,000, on March 24, 2021, the Horizon Active Risk Assist^® Fund had borrowings of $16,002,000, on February 1, 2021, the Horizon Active Income Fund had borrowings of $23,618,000, on January 13, 2021, the Horizon Active Dividend Fund had borrowings of $524,000, between February 26, 2021 and February 28, 2021, the Horizon Defined Risk Fund had borrowings of $18,280,000, and on February 1, 2021, the Horizon U.S. Defensive Equity Fund had borrowings of $25,692,000, which represent the largest borrowing amounts, respectively, during the period ended May 31, 2021.

7. DISTRIBUTIONS TO SHAREHOLDERS AND TAX COMPONENTS OF CAPITAL

The tax character of fund distributions paid for the years ended November 30, 2020 and November 30, 2019 was as follows:

	For the year or period ended November 30, 2020
Fund	Ordinary Income		Long-Term Capital Gains		Return of Capital		Total
Horizon Active Asset Allocation Fund	$	3,747,366	$	—	$	—	$	3,747,366
Horizon Active Risk Assist® Fund		8,258,860		—		—		8,258,860
Horizon Active Income Fund		6,637,845		—		—		6,637,845
Horizon Active Dividend Fund		4,329,453		—		—		4,329,453
Horizon Defined Risk Fund		1,013,067		—		—		1,013,067
Horizon U.S. Defensive Equity Fund		218,854		1,921		—		220,775
Horizon ESG Defensive Core Fund		—		—		—		—

	For the year or period 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 U.S. Defensive Equity Fund		—		—		—		—

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May 31, 2021

On December 21, 2020, the Funds paid the following per share income distributions:

Fund	Investor Class		Advisor Class		Institutional Class
Horizon Active Asset Allocation Fund	$	0.06825205	$	0.04324425	$	0.08032212
Horizon Active Risk Assist® Fund		0.08341779		0.07327484		0.10396551
Horizon Active Income Fund		0.07900094		0.07078763		0.08236843
Horizon Active Dividend Fund		0.33049457		0.28351334		—
Horizon Defined Risk Fund		0.32740337		0.22931066		—
Horizon U.S. Defensive Equity Fund		0.08409453		0.07485484		—
Horizon ESG Defensive Core Fund		0.09905555		0.06923699		—

On December 21, 2020, the Funds paid the following capital gains distributions from each class:

Fund	Short-Term*		Long-Term
Horizon Active Asset Allocation Fund	$	0.23754	$	0.60808
Horizon Active Risk Assist® Fund		—		—
Horizon Active Income Fund		—		—
Horizon Active Dividend Fund		—		—
Horizon Defined Risk Fund		—		—
Horizon U.S. Defensive Equity Fund		—		—
Horizon ESG Defensive Core Fund		0.71101		0.00241

* 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, 2020, 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	$	660,565,303	$	45,745,627	$	(6,648,856	)	$	39,096,771
Horizon Active Risk Assist® Fund		956,091,454		68,696,793		(5,429,977	)		63,266,816
Horizon Active Income Fund		522,003,251		11,693,451		(926,867	)		10,766,584
Horizon Active Dividend Fund		126,121,554		11,613,204		(1,740,172	)		9,873,032
Horizon Defined Risk Fund		207,497,085		49,309,792		(6,134,025	)		43,175,767
Horizon U.S. Defensive Equity Fund		192,342,369		21,372,033		(2,982,003	)		18,390,030
Horizon ESG Defensive Core Fund		7,445,576		1,005,982		(149,781	)		856,201

102

Horizon Funds
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
May 31, 2021

As of November 30, 2020, 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	$	9,776,576	$	22,927,247	$	—	$	—		$	—	$	39,096,771	$	71,800,594
Horizon Active Risk Assist® Fund		299,411		—		—		(43,288,539	)		—		63,266,816		20,277,688
Horizon Active Income Fund		1,857,021		—		—		(10,388,825	)		—		10,766,584		2,234,780
Horizon Active Dividend Fund		516,471		—		—		(21,348,394	)		—		9,873,032		(10,958,891	)
Horizon Defined Risk Fund		1,199,090		—		—		(23,654,929	)		—		43,175,767		20,719,928
Horizon U.S. Defensive Equity Fund		494,350		—		—		(3,134,932	)		—		18,390,030		15,749,448
Horizon ESG Defensive Core Fund		238,840		744		—		—			—		856,201		1,095,785

The difference between book and tax basis unrealized appreciation/depreciation is attributable to mark to market and/or the tax deferral of losses on various investments.

At November 30, 2020, the Funds had capital loss carry forwards for federal income tax purposes available to offset future capital gains as follows:

	Non-Expiring
Fund	Short-Term		Long-Term		Total
Horizon Active Asset Allocation Fund	$	—	$	—	$	—
Horizon Active Risk Assist® Fund		32,795,561		9,975,718		42,771,279
Horizon Active Income Fund		9,722,261		666,564		10,388,825
Horizon Active Dividend Fund		21,348,394		—		21,348,394
Horizon Defined Risk Fund		12,093,287		11,561,643		23,654,930
Horizon U.S. Defensive Equity Fund		3,130,769		4,163		3,134,932
Horizon ESG Defensive Core Fund		—		—		—

The Horizon Active Asset Allocation Fund utilized $7,398,690 of capital loss carryforward during the fiscal year.

103

Horizon Funds
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
May 31, 2021

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, 2020, the following table shows the reclassifications made:

Fund	Distributable Earnings/ (Accumulated Deficit)			Paid In Capital
Horizon Active Asset Allocation Fund	$	(2,370,711	)	$	2,370,711
Horizon Active Risk Assist® Fund		64,089			(64,089	)
Horizon Active Income Fund		20,041			(20,041	)
Horizon Active Dividend Fund		1,102			(1,102	)
Horizon Defined Risk Fund		—			—
Horizon U.S. Defensive Equity Fund		—			—
Horizon ESG Defensive Core Fund		256			(256	)

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, 2021, 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 was one individual shareholder of record who owned more than 5% of the outstanding shares of beneficial interest of the Horizon ESG Defensive Core Fund Investor Class. This shareholder did not own more than 5% of the outstanding shares of beneficial interest of the Fund. No other individual shareholders of record 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.

104

Horizon Funds
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
May 31, 2021

9. INVESTMENTS IN AFFILIATES

An affiliated person of the Horizon Active Risk Assist^® Fund, as defined by the 1940 Act, may include any company in which the Fund owns five percent or more of its outstanding voting shares. Holdings and transactions in these affiliated companies for the period ended May 31, 2021 are as follows:

Security Name	Value at November 30, 2020		Value of Purchases		Value of Sales			Net Change in Unrealized Appreciation (Depreciation)			Net Realized Gain (Loss)		Dividend Income		Value at May 31, 2021			Shares Balance May 31, 2021
XTrackers Russell 1000 US QARP ETF	$	16,347,369	$	—	$	(8,815,883	)	$	(74,509	)	$	2,449,038	$	117,152	$	9,906,015			253,308
XTrackers S&P 500 ESG ETF		8,153,908		42,674,708		—			4,919,856			—		151,923		55,748,472			1,511,618
Xtrackers Russell US Multifactor ETF		16,316,752		2,811,134		—			3,477,289			—		117,641		22,605,176			509,479
	$	40,818,029	$	45,485,843	$	(8,815,883	)	$	8,322,636		$	2,449,038	$	386,716	$	88,259,663	**		2,274,405

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 this affiliated company for the period ended May 31, 2021 are as follows:

Security Name	Value at November 30, 2020		Value of Purchases		Value of Sales			Net Change in Unrealized Appreciation (Depreciation)		Net Realized Gain (Loss)			Dividend Income		Value at May 31, 2021			Shares Balance May 31, 2021
XTrackers Short Duration High Yield Bond ETF	$	7,939,615	$	86,474	$	(371,661	)	$	141,963	$	(15,404	)	$	233,828	$	7,780,987	**		162,321
	$	7,939,615	$	86,474	$	(371,661	)	$	141,963	$	(15,404	)	$	233,828	$	7,780,987			162,321

** 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 was the following subsequent event:

The Adviser has entered into an agreement pursuant to which ACP Horizon Holdings, L.P. will acquire a majority ownership interest in the Adviser (the “Transaction”). The Transaction, which is expected to close in the fourth quarter of 2021, will be deemed to result in a change of control of the Adviser. As a result, it is anticipated that a shareholder meeting will be held in the coming months to seek approval for new investment advisory agreements between the Trust, on behalf of the Funds, and the Adviser.

105

Horizon Funds

Disclosure of Fund Expenses (Unaudited)

May 31, 2021

As a shareholder of the Funds you incur ongoing costs, including management fees, sales charges, and other Fund operating expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds. Please note, the expenses shown in the tables are meant to highlight ongoing costs only and do not reflect any transactional costs.

This example is based on an investment of $1,000 invested for the period of time as indicated in the table below.

Actual Expenses: The column labeled “Actual” of the table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during the period.

Hypothetical Examples for Comparison Purposes: The column labeled “Hypothetical” of the table below provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual expense ratios and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs which may be applicable to your account. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

			Actual		Hypothetical (5% return before expenses)
	Fund’s Annualized Expense Ratio	Beginning Account Value 12/1/2020	Ending Account Value 5/31/2021	Expenses Paid During Period	Ending Account Value 5/31/2020	Expenses Paid During Period 1
Horizon Active Asset Allocation - Investor Class	1.23%	$ 1,000.00	$ 1,183.08	$ 6.69	$ 1,018.80	$ 6.19
Horizon Active Asset Allocation - Advisor Class	1.38%	$ 1,000.00	$ 1,182.52	$ 7.52	$ 1,018.04	$ 6.95
Horizon Active Asset Allocation - Institutional Class	1.13%	$ 1,000.00	$ 1,184.33	$ 6.15	$ 1,019.30	$ 5.68
Horizon Active Risk Assist® - Investor Class	1.22%	$ 1,000.00	$ 1,168.58	$ 6.60	$ 1,018.85	$ 6.14
Horizon Active Risk Assist® - Advisor Class	1.40%	$ 1,000.00	$ 1,167.67	$ 7.56	$ 1,017.96	$ 7.03
Horizon Active Risk Assist® - Institutional Class	1.13%	$ 1,000.00	$ 1,169.27	$ 6.09	$ 1,019.32	$ 5.67
Horizon Active Income - Investor Class	1.03%	$ 1,000.00	$ 994.43	$ 5.11	$ 1,019.81	$ 5.18
Horizon Active Income - Advisor Class	1.18%	$ 1,000.00	$ 994.26	$ 5.86	$ 1,019.05	$ 5.93
Horizon Active Income - Institutional Class	0.93%	$ 1,000.00	$ 994.99	$ 4.61	$ 1,020.31	$ 4.67
Horizon Active Dividend - Investor Class	1.11%	$ 1,000.00	$ 1,180.88	$ 6.05	$ 1,019.39	$ 5.60
Horizon Active Dividend - Advisor Class	1.26%	$ 1,000.00	$ 1,180.36	$ 6.86	$ 1,018.64	$ 6.35
Horizon Defined Risk - Investor Class	1.06%	$ 1,000.00	$ 1,056.01	$ 5.41	$ 1,019.67	$ 5.31
Horizon Defined Risk - Advisor Class	1.21%	$ 1,000.00	$ 1,055.31	$ 6.17	$ 1,018.92	$ 6.07
Horizon U.S. Defensive Equity - Investor Class	1.10%	$ 1,000.00	$ 1,175.35	$ 5.95	$ 1,019.46	$ 5.52
Horizon U.S. Defensive Equity - Advisor Class	1.25%	$ 1,000.00	$ 1,174.78	$ 6.76	$ 1,018.71	$ 6.28
Horizon ESG Defensive Core - Investor Class	1.05%	$ 1,000.00	$ 1,187.30	$ 5.74	$ 1,019.69	$ 5.30
Horizon ESG Defensive Core - Advisor Class	1.20%	$ 1,000.00	$ 1,186.33	$ 6.56	$ 1,018.93	$ 6.06

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 182 days, and divided by 365 (to reflect the number of days in the period).

106

Horizon Funds

Statement Regarding Liquidity Risk Management Program (Unaudited)

May 31, 2021

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.

107

Horizon Funds

Additional Information (Unaudited)

May 31, 2021

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)	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.

108

Horizon Funds

ADDITIONAL INFORMATION (Unaudited)(Continued)

May 31, 2021

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)	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. Trustee, Barings Private Investment Corporation and Trustee, Barings Capital Investment Corporation.

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

109

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

Distributor
Quasar Distributors, LLC
111 E. Kilbourn Ave, 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.
342 North Water Street, Suite 830Milwaukee, WI 53202

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 schedules of portfolio holdings with the SEC for their first and third fiscal quarters on Part F of Form N-PORT. Once filed, the Funds’ Part F of Form N-PORT is available without charge, upon request on the SEC’s website (http://www.sec.gov) and is available by calling 1-855-754-7932.

(b) Not applicable for this Registrant

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:	August 6, 2021

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:	August 6, 2021
By (Signature and Title)*		/s/ Stephen Terry
		Stephen Terry, Treasurer and Principal Financial Officer
Date:	August 6, 2021

* 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:	August 6, 2021	/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:	August 6, 2021	/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, 2021 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:	August 6, 2021

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.