HORIZON. Socially Responsible Strategies

HORIZON INVESTMENT SERVICES R Socially Responsible Strategies 3rd Quarter 2016 SRI Assets Under Management Rise 929% According to US SIF — The For...
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HORIZON INVESTMENT SERVICES R

Socially Responsible Strategies

3rd Quarter 2016

SRI Assets Under Management Rise 929% According to US SIF — The Forum for Sustainable and Responsible Investment’s 2014 SRI Trends Report, as investors become more socially aware, the Socially Responsible Inves ng (SRI) movement has grown from $639 billion in 1995 to $6.57 trillion at the start of 2014 — an increase in AUM of 929% and a compound annual growth rate of 13.1%. Nearly 18% of the $36.8 trillion in total assets under management tracked by Cerulli Associates is invested in assets engaged in sustainable, responsible, and impact inves ng prac ces. Addi onally, the Report states, “More than one out of every six dollars professionally managed in the U.S. is u lizing Socially Responsible Inves ng strategies.” During the 2-year period of 2012 to 2014, SRI assets increased 76%. Among separate account managers, strategies with $432.9 billion incorporated Environmental, Social, and Governance (ESG) factors into investment management.

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Introducing Horizon Investment Services, LLC Formed in 1997, Horizon Investment Services (“Horizon”) is registered as an investment advisor with the Securi es and Exchange Commission with offices in Hammond, Indiana and Chicago, Illinois. Horizon was established with the same high standards that are held by its sister company, Horizon Publishing Company, the publisher of Dow Theory Forecasts investment newsle er, which has been published every week since 1946.

Stability as Demonstrated by Longevity of Top Management Chief Execu ve Officer Chuck Carlson and Chief Investment Officer Rich Moroney have both been with Horizon Investment Services since its incep on. Our research staff includes five analysts who earned the Chartered Financial Analyst® (CFA®) designa on.

Charles Carlson, CFA, Chief Execu ve Officer and Por olio Manager Mr. Carlson has 34 years of investment experience with Horizon Investment Services and its affiliates. He holds an undergraduate degree from Northwestern University and an MBA from the University of Chicago with a concentra on in Finance. Mr. Carlson is the author of nine investment books — including The Li le Book of BIG DIVIDENDS (John Wiley & Sons), Eight Steps to Seven Figures (Doubleday), The Smart Investor’s Survival Guide (Random House), and Winning With The Dow’s Charles Carlson, CFA Losers (Harper/Collins). His comments have appeared in such newspapers and magazines as The Wall Street Journal, The New York Times, USA Today, Money, Forbes, and Barron’s. He frequently appears on television, including Bloomberg, CNBC, NBC’s Today Show, Nightly Business Report, and Chicago’s WBBM all-news radio.

Richard Moroney, CFA, Chief Investment Officer and Por olio Manager Mr. Moroney has 27 years of investment experience with Horizon Investment Services and its affiliates. He holds an undergraduate degree from Northwestern University and an MBA from the University of Chicago with concentra ons in Finance and Accoun ng. Mr. Moroney is the architect and creator of Quadrix® — the quan ta ve stock-ra ng system used in Horizon Investment Services por olio management. His comments have appeared in such publica ons as The Wall Street Richard Moroney, CFA Journal, Barron’s, The Washington Post, The New York Times, Business Week, and USA Today. Mr. Moroney also appears on television, including CNBC, CNN, and Bloomberg.

Our SRI/BRI Investment Philosophy We believe there is the ability to generate alpha (a return that cannot be a ributed to the market) by applying a strong investment overlay to a universe of stocks chosen primarily for their SRI or Biblically Responsible Inves ng (BRI) characteris cs. ■ Horizon leaves the “social screening” for Environmental, Social, and Governance (ESG), or faith-based characteris cs, to the experts in the field such as MSCI or IW Financial (who vet stocks for the indexes or universes Horizon uses in its socially responsible strategies). ■ Horizon performs the “investment screening” by taking an index or universe of SRI or BRI stocks and seeks to enhance it by applying a strong investment overlay to focus on what we believe are the best stocks in that index or universe from an investment perspec ve. 3

Horizon Investment Services Socially Responsible Strategies Horizon currently offers four investment strategies in the SRI/BRI space: ■ Enhanced Socially Responsible strategy — an enhanced index strategy that applies quan ta ve overlays to the MSCI KLD 400 Social Index. ■ Enhanced SRI Fossil Fuel Free strategy — an enhanced index strategy that applies quan ta ve overlays to the MSCI KLD 400 Social Index, with addi onal screens that are designed to eliminate companies with exposure to fossil fuels. ■ Enhanced Chris an Values strategy — an enhanced index strategy that applies quan ta ve overlays to the MSCI USA Catholic Values Index. ■ Enhanced BRI strategy — an all-equity strategy that applies quan ta ve overlays to a universe of stocks already screened and ve ed for Biblically Responsible Inves ng principles.

The Power of Quadrix® — The Cornerstone of Our Research We seek to enhance the SRI/BRI universes using Quadrix, our proprietary quan ta ve stock-ra ng system developed by Horizon Investment Services’ Chief Investment Officer, Rich Moroney. Quadrix ranks roughly 5,000 stocks based on more than 90 different variables for each stock. Quadrix allows us to explore any index or universe from which to find what we believe are a rac ve stocks. A stock’s Quadrix Overall score is determined by the individual scores of six categories — Financial Strength, Value, Quality, Momentum, Earnings Es mates, and Performance. Quadrix scores are percen le rankings (0-100). For example, a stock with an Overall score of 97 means that the stock scores be er than 97% of all stocks in the Quadrix universe of roughly 5,000 stocks. On average, stocks with Overall scores of 80 and above (top quin le — Group 1) have historically outperformed stocks with Overall scores of 60 to 80 (Group 2). Stocks in Group 2 have historically outperformed stocks in Group 3, and so on. The chart shown here depicts the real- me performance of Quadrix since 3rd Quarter 2000. We believe a numerical ranking system like Quadrix can provide a strong investment overlay that can be applied to an SRI or BRI universe to enhance performance. Because the system uses only quan fiable factors, it is designed to narrow the focus on companies achieving superior results. 4

QUADRIX TRACK RECORD* Performance of Quadrix® Overall Score (for all stocks, 2nd Qtr. 2000 through 3rd Qtr. 2016)

700%

600%

500%

Group 1 (scores of 80 to 100) Group 2 (scores of 60 to 80) Group 3 (scores of 40 to 60) Group 4 (scores of 20 to 40) Group 5 (scores of 0 to 20)

400%

300%

200%

100%

0%

Cumulative returns with quarterly rebalancing

2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 * The informa on above reflects the performance of our proprietary Quadrix stock-ra ng system and does not reflect the performance of any client account or composite. Please see addi onal detailed Quadrix disclosure on page 14.

-100%

Transparent, Rules-Based Methodology At Horizon, we believe in focusing our a en on on what we believe we do best — stock selec on and por olio management using our proprietary Quadrix® stock-ra ng system. Our rules-based “enhanced index” investment process is transparent. We start with an index or universe Hold for of stocks that an expert has ve ed for their 12 Environmental, Social, and Governance (ESG) or months faith-based characteris cs. We winnow down those stocks to 30 to 40 based on Overall Quadrix Apply Environmental Cash Plug scores. Then we apply certain constraints based (market-cap screen, sector constraint, equal on market weigh ng, and tac cal alloca on plug when appropriate) to create the final por olio. The Enhanced SRI Fossil Fuel Free strategy has addi onal screens that are designed to eliminate companies with exposure to fossil fuels. We typically maintain the por olio for 12 months, and then re-evaluate the por olio by running the methodology again.

Social

Quadrix (less bo om 2% Market Cap) Screen 30 to 40 highest Overall Quadrix scorers SRI/BRI

Screened Index or Universe

Apply 25% Sector Constraint

Equal Weight Por olio

Governance

Why Work With Horizon? ■ ■ ■ ■ ■

Outstanding performance record across a variety of strategies Stability of organiza on — Longevity of por olio management team Quadrix® — Consistent, disciplined approach to inves ng Experienced research team — Average tenure is more than 19 years Strong opera ons team — Seven professionals dedicated to service, trading, & compliance

Addi onal Informa on Member US SIF — The Forum for Sustainable and Responsible Investment Par cipant — SRI Conference on Sustainable, Responsible, Impact Inves ng Par cipant and Past Corporate Partner — Kingdom Advisors Recent Kingdom Sponsor — Na onal Associa on of Chris an Financial Consultants (NACFC) Exhibitor Par cipant — Resource Center for Religious Ins tutes (RCRI) Conference Subscriber and Recent Sponsor — GreenMoneyJournal.com For more informa on about the methodology used by MSCI for ve ng stocks visit: h ps://www.msci.com/eqb/methodology/meth_docs/MSCI_KLD_400_Social_Index_Methodology_May_2016.pdf h ps://www.msci.com/eqb/methodology/meth_docs/MSCI_USA_Catholic_Values_Index_Methodology_May_2016.pdf

Informa on on the U.S. Conference of Catholic Bishops “SRI Guidelines” is available at: h p://www.usccb.org/about/financial-repor ng/socially-responsible-investment-guidelines.cfm

For more informa on about the Carbon Underground 200 list for ve ng fossil fuel companies visit: h p://gofossilfree.org/top-200/

For addi onal Fact Sheets and Zephyr Analysis on all Horizon Investment Services strategies, please visit www.HorizonInvestment.com. 5

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See important disclosures on pages 12 through 15

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Zephyr StyleADVISOR – Supplemental Information

Zephyr StyleADVISOR: Horizon Investment Services, LLC

Risk / Return November 2008 - September 2016 (Single Computation) 18% 16% 14%

Return

12% 10% 8% 6% 4% 2% 0% 0%

2%

4%

6%

8%

10%

12%

14%

16%

18%

20%

Standard Deviation HIS Enhanced Socially Responsible Gross

HIS Enhanced Socially Responsible Net

Calvert Social Index Fund;A

Domini Social Equity Fund; Investor

Green Century Equity Fund

Neuberger Berman Soc.Resp.Investor Fund

Parnassus Core Equity Fund;Institutional

Parnassus Fund

Pinnacle Assoc.: All Cap Equity (Gross)

Russell 3000 Index

S&P 500 Index

Market Benchmark: MSCI KLD 400 Social Index

Cash Equivalent: Citigroup 3-month T-bill Created with Zephyr StyleADVISOR. Manager returns supplied by: Lipper, Informa Investment Solutions, Inc.(PSN)

Risk / Return Table Annualized Summary Statistics: November 2008 - September 2016

Annualized Return (%)

Standard Deviation (%)

Population Std Dev (%)

Downside Risk (%)

Beta vs. Market

Alpha vs. Market (%)

R-Squared vs. Market (%)

Sharpe Ratio

Tracking Error vs. Market (%)

HIS Enhanced Socially Responsible Gross

12.3

14.1

14.1

10.1

0.9

0.8

83.4

0.9

6.0

HIS Enhanced Socially Responsible Net

10.9

14.1

14.1

10.1

0.9

-0.5

83.4

0.8

6.0

Calvert Social Index Fund;A

13.2

15.2

15.1

11.1

1.0

-0.3

98.1

0.9

2.2

Domini Social Equity Fund; Investor

11.7

15.5

15.4

11.3

1.0

-1.6

94.8

0.7

3.6

Green Century Equity Fund

12.0

14.4

14.3

10.5

1.0

-0.8

99.8

0.8

0.6

Neuberger Berman Soc.Resp.Investor Fund

12.5

14.6

14.5

10.6

1.0

-0.1

92.5

0.8

4.0

Parnassus Core Equity Fund;Institutional

13.2

12.9

12.9

9.7

0.9

1.9

92.1

1.0

4.2

Parnassus Fund

15.5

19.2

19.1

13.6

1.2

0.1

84.8

0.8

8.1

Pinnacle Assoc.: All Cap Equity (Gross)

13.6

16.2

16.2

11.7

1.1

-0.1

91.4

0.8

4.9

Russell 3000 Index

13.4

14.9

14.8

11.0

1.0

0.1

98.3

0.9

2.0

S&P 500 Index

13.2

14.4

14.4

10.6

1.0

0.3

98.4

0.9

1.8

MSCI KLD 400 Social Index

13.0

14.5

14.4

10.5

1.0

0.0

100.0

0.9

0.0

Created with Zephyr StyleADVISOR. Manager returns supplied by: Lipper, Informa Investment Solutions, Inc.(PSN)

See important disclosures on pages 12 through 15

7

As of September 30, 2016

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;ƐƵƉƉůĞŵĞŶƚĂůŝŶĨŽƌŵĂƚŝŽŶͿ

ůƉŚĂ ĞƚĂ



hƉ ŽǁŶ /ŶĨŽ͘ ĂƉƚƵƌĞ ĂƉƚƵƌĞ ZĂƚŝŽ

ŶŚ͘&ŽƐƐ͘&ƵĞů&ƌĞĞ ;'ƌŽƐƐͿ Ͳϭ͘ϵй ϭ͘Ϭϳ ϴϰй ϭϭϭй ϭϮϵй ͲϬ͘Ϯϳ ŶŚ͘&ŽƐƐ͘&ƵĞů&ƌĞĞ ;EĞƚͿ Ͳϯ͘Ϯй ϭ͘Ϭϳ ϴϰй ϭϬϳй ϭϯϰй ͲϬ͘ϱϰ ^ΘWϱϬϬ Ϭ͘ϱй Ϭ͘ϵϳ ϵϴй ϵϴй ϵϰй Ϭ͘ϭϰ ĞŶĐŚŵĂƌŬ Ϭ͘Ϭй ϭ͘ϬϬ ϭϬϬй ϭϬϬй ϭϬϬй Ϭ͘ϬϬ

See important disclosures on pages 12 through 15

Zephyr StyleADVISOR – Supplemental Information

Zephyr StyleADVISOR: Horizon Investment Services, LLC

Risk / Return April 2013 - September 2016 (Single Computation) 18% 16% 14%

Return

12% 10% 8% 6% 4% 2% 0% 0%

2%

4%

6%

8%

10%

12%

14%

16%

18%

Standard Deviation HIS Enhanced SRI Fossil Fuel Free Gross

HIS Enhanced SRI Fossil Fuel Free Net

Calvert Social Index Fund;A

Gabelli SRI Fund Inc;AAA

Green Century Balanced Fund

Green Century Equity Fund

Parnassus Endeavor Fund

Pax World Global Environ Mkts Fund;R

Pax World Growth Fund;R

Portfolio 21 Global Equity Fund;Retail

Russell 3000 Index

S&P 500 Index

Shelton Green Alpha Fund

Market Benchmark: MSCI KLD 400 Social Index

Cash Equivalent: Citigroup 3-month T-bill

Risk / Return Table Annualized Summary Statistics: April 2013 - September 2016

Annualized Return (%)

HIS Enhanced SRI Fossil Fuel Free Gross

Standard Deviation (%)

Population Std Dev (%)

Downside Risk (%)

Beta vs. Market

Alpha vs. Market (%)

R-Squared vs. Market (%)

Sharpe Ratio

Tracking Error vs. Market (%)

10.4

12.7

12.5

8.8

1.1

-1.9

84.2

0.8

5.1

9.1

12.7

12.5

8.8

1.1

-3.2

84.2

0.7

5.1

12.0

11.1

11.0

7.8

1.0

0.0

96.7

1.1

2.0

Gabelli SRI Fund Inc;AAA

7.9

11.0

10.8

7.7

1.0

-3.0

88.9

0.7

3.7

Green Century Balanced Fund

7.5

8.9

8.7

6.3

0.8

-1.5

89.5

0.8

3.8

Green Century Equity Fund

11.1

10.8

10.7

7.4

1.0

-0.6

99.2

1.0

0.9

Parnassus Endeavor Fund

15.9

11.2

11.0

8.2

0.9

4.6

81.2

1.4

4.9

HIS Enhanced SRI Fossil Fuel Free Net Calvert Social Index Fund;A

Pax World Global Environ Mkts Fund;R Pax World Growth Fund;R

8.2

12.6

12.4

9.0

1.0

-3.4

78.6

0.6

5.8

10.2

11.4

11.3

7.7

1.0

-1.7

95.2

0.9

2.5

5.9

10.8

10.7

7.3

0.9

-4.6

86.9

0.5

4.0

Russell 3000 Index

11.7

10.8

10.7

7.6

1.0

-0.0

97.7

1.1

1.7

S&P 500 Index

12.0

10.6

10.5

7.4

1.0

0.5

98.1

1.1

1.5

Shelton Green Alpha Fund

10.9

17.6

17.4

12.0

1.3

-3.4

63.6

0.6

11.1

MSCI KLD 400 Social Index

11.8

10.8

10.7

7.4

1.0

0.0

100.0

1.1

0.0

Portfolio 21 Global Equity Fund;Retail

Created with Zephyr StyleADVISOR. Manager returns supplied by: Lipper, Informa Investment Solutions, Inc.(PSN)

See important disclosures on pages 12 through 15

9

As of September 30, 2016 /ŶĐĞƉƚŝŽŶĂƚĞ͗ ͘͘͘͘͘͘͘͘͘͘͘͘͘͘͘͘͘͘͘͘͘͘͘͘͘͘͘͘͘͘͘͘͘͘͘͘ ϭϭͬϯϬͬϮϬϬϴ EƵŵďĞƌŽĨƋƵŝƚLJ,ŽůĚŝŶŐƐ͗ ͘͘͘͘͘͘͘͘͘͘͘͘͘͘͘͘͘͘͘͘͘͘͘͘͘͘͘͘͘͘͘͘͘ ϰϬ

WĞƌĨŽƌŵĂŶĐĞ^ƵŵŵĂƌLJ 

ĞŶĐŚŵĂƌŬ͗ ͘͘͘͘͘͘͘͘͘͘͘ D^/h^ĂƚŚŽůŝĐsĂůƵĞƐ/ŶĚĞdž zd Ϭ͘ϰй ͲϬ͘ϲй ϳ͘ϵй ϳ͘ϳй



ŶŚ͘ŚƌƐƚ͘sĂů͘ ;WƵƌĞ'ƌŽƐƐͿ ŶŚ͘ŚƌŝƐƚŝĂŶsĂů͘ ;EĞƚͿ ^ΘWϱϬϬ ĞŶĐŚŵĂƌŬ

ͲͲͲͲͲͲͲͲͲͲͲŶŶƵĂůŝnjĞĚͲͲͲͲͲͲͲͲͲͲͲ Ƶŵ͘ ^ŝŶĐĞ ^ŝŶĐĞ ϭzƌ͘ ϯzƌ͘ ϱzƌ͘ /ŶĐĞƉƚ͘ /ŶĐĞƉƚŝŽŶ ϭ͘ϯй ϯ͘ϱй ϭϭ͘ϴй ϭϮ͘ϰй ϭϰϵ͘Ϯй ͲϬ͘Ϭй Ϯ͘Ϯй ϭϬ͘ϯй ϭϬ͘ϵй ϭϮϱ͘ϯй ϭϱ͘ϱй ϭϭ͘Ϯй ϭϲ͘ϰй ϭϰ͘ϰй ϭϴϲ͘ϴй ϭϱ͘Ϯй ϭϬ͘ϰй ϭϲ͘ϭй ϭϰ͘ϱй ϭϴϵ͘ϲй

ƵŵƵůĂƚŝǀĞZĞƚƵƌŶ,ŝƐƚŽƌLJ 

;ƐƵƉƉůĞŵĞŶƚĂůŝŶĨŽƌŵĂƚŝŽŶͿ ϯϬϬ ϮϱϬ

'ƌŽǁƚŚŽĨΨϭϬϬ ƐŝŶĐĞŝŶĐĞƉƚŝŽŶϭϭͬϯϬͬϬϴ

ϮϬϬ ϭϱϬ ϭϬϬ ϱϬ

ϮϬϬϵ

ŶŚ͘ŚƌŝƐƚŝĂŶ sĂůƵĞƐ;'ƌŽƐƐͿ ΨϮϰϵ͘ϭϵ

ϮϬϭϬ

ϮϬϭϭ

ϮϬϭϮ

ŶŚ͘ŚƌŝƐƚŝĂŶ sĂůƵĞƐ;EĞƚͿ ΨϮϮϱ͘Ϯϱ

ϮϬϭϯ

ϮϬϭϰ

^ΘWϱϬϬ/ŶĚĞdž ΨϮϴϲ͘ϳϱ

ϮϬϭϱ ϮϬϭϲ

ĞŶĐŚŵĂƌŬ ΨϮϴϵ͘ϱϲ

ŶŶƵĂůŝnjĞĚ^ƚĂƚŝƐƚŝĐƐ ;ƐŝŶĐĞŝŶĐĞƉƚŝŽŶͿ 

;ƐƵƉƉůĞŵĞŶƚĂůŝŶĨŽƌŵĂƚŝŽŶͿ

WŽƌƚĨŽůŝŽůůŽĐĂƚŝŽŶƐ ;ƐƵƉƉůĞŵĞŶƚĂůŝŶĨŽƌŵĂƚŝŽŶͿ 

йƋƵŝƚLJ ƐƐĞƚƐ

^ĞĐƚŽƌ 

ŽŶƐƵŵĞƌŝƐĐƌĞƚŝŽŶĂƌLJ ŽŶƐƵŵĞƌ^ƚĂƉůĞƐ &ŝŶĂŶĐŝĂůƐ ,ĞĂůƚŚĂƌĞ /ŶĚƵƐƚƌŝĂůƐ /ŶĨŽƌŵĂƚŝŽŶdĞĐŚŶŽůŽŐLJ DĂƚĞƌŝĂůƐ hƚŝůŝƚŝĞƐ 10

^ŚĂƌƉĞZĂƚŝŽ

ϭϰ͘ϰй ϭϰ͘ϰй ϭϰ͘Ϯй ϭϰ͘ϳй

Ϭ͘ϴϱ Ϭ͘ϳϱ ϭ͘Ϭϭ Ϭ͘ϵϴ

ZŝƐŬŶĂůLJƐŝƐ ;ǀƐ͘ĞŶĐŚŵĂƌŬƐŝŶĐĞŝŶĐĞƉƚŝŽŶͿ



ϯϵй Ϯй ϭϴй ϭϬй ϭϬй ϭϲй Ϯй ϯй

^ƚĂŶĚĂƌĚĞǀŝĂƚŝŽŶ

ŶŚ͘ŚƌŝƐƚŝĂŶsĂůƵĞƐ ;WƵƌĞ'ƌŽƐƐͿ ŶŚ͘ŚƌŝƐƚŝĂŶsĂůƵĞƐ ;EĞƚͿ ^ΘWϱϬϬ ĞŶĐŚŵĂƌŬ



DĂƌŬĞƚ йƋƵŝƚLJ ĂƉŝƚĂůŝnjĂƚŝŽŶ ƐƐĞƚƐ

>ĂƌŐĞĂƉ DŝĚĐĂƉ ^ŵĂůůĂƉ

ϯϬй ϰϭй Ϯϵй

;ƐƵƉƉůĞŵĞŶƚĂůŝŶĨŽƌŵĂƚŝŽŶͿ

ůƉŚĂ ĞƚĂ

ŶŚ͘ŚƌƐƚ͘sĂů͘ ;WƵƌĞ'ƌŽƐƐͿ ŶŚ͘ŚƌŝƐƚŝĂŶsĂů͘ ;EĞƚͿ ^ΘWϱϬϬ ĞŶĐŚŵĂƌŬ

See important disclosures on pages 12 through 15

ͲϬ͘ϰй Ͳϭ͘ϳй Ϭ͘ϰй Ϭ͘Ϭй

Ϭ͘ϴϵ Ϭ͘ϴϵ Ϭ͘ϵϲ ϭ͘ϬϬ



hƉ ŽǁŶ /ŶĨŽ͘ ĂƉƚƵƌĞ ĂƉƚƵƌĞ ZĂƚŝŽ

ϴϯй ϴϴй ϴϯй ϴϱй ϵϴй ϵϳй ϭϬϬй ϭϬϬй

ϵϲй ϵϵй ϵϳй ϭϬϬй

ͲϬ͘ϯϱ ͲϬ͘ϱϴ ͲϬ͘Ϭϳ Ϭ͘ϬϬ

Zephyr StyleADVISOR – Supplemental Information

Zephyr StyleADVISOR: Horizon Investment Services, LLC

Risk / Return December 2008 - September 2016 (Single Computation)

16% 14% 12%

Return

10% 8% 6% 4% 2% 0% 0%

2%

4%

6%

8%

10%

12%

14%

16%

18%

Standard Deviation HIS Enhanced Christian Values Pure Gross

HIS Enhanced Christian Values Net

Ave Maria Catholic Values Fund

LKCM Aquinas Value Fund

Praxis Growth Index Fund;A

Praxis Value Index Fund;A

Timothy Plan Conservative Growth Fund;A

Timothy Plan Large/Mid-Cap Growth Fund;A

Timothy Plan Large/Mid-Cap Value Fund;A

Timothy Plan Strategic Growth Fund;A

S&P 500 Index

Russell 3000 Index

Market Benchmark: MSCI USA Catholic Values Index

Cash Equivalent: Citigroup 3-month T-bill

Risk / Return Table Annualized Summary Statistics: December 2008 - September 2016

Annualized Return (%)

Standard Deviation (%)

Population Std Dev (%)

Downside Risk (%)

Beta vs. Market

Alpha vs. Market (%)

R-Squared vs. Market (%)

Sharpe Ratio

Tracking Error vs. Market (%)

HIS Enhanced Christian Values Pure Gross

12.4

14.4

14.3

10.1

0.9

-0.4

82.5

0.9

6.2

HIS Enhanced Christian Values Net

10.9

14.4

14.3

10.1

0.9

-1.7

82.5

0.8

6.2

Ave Maria Catholic Values Fund

11.3

16.9

16.8

11.9

1.1

-3.4

85.4

0.7

6.5

LKCM Aquinas Value Fund

12.3

15.9

15.8

11.3

1.0

-2.4

92.6

0.8

4.4

Praxis Growth Index Fund;A

15.3

13.5

13.5

9.6

0.9

2.0

94.8

1.1

3.4

Praxis Value Index Fund;A

11.8

15.6

15.5

11.5

1.0

-2.6

93.0

0.8

4.1

7.2

8.5

8.4

6.0

0.5

-0.4

83.0

0.8

7.8

Timothy Plan Large/Mid-Cap Growth Fund;A

13.0

14.6

14.5

10.5

0.9

-0.6

90.3

0.9

4.6

Timothy Plan Large/Mid-Cap Value Fund;A

13.0

13.7

13.6

9.9

0.9

0.3

89.2

0.9

4.8

Timothy Plan Conservative Growth Fund;A

8.5

12.7

12.6

9.0

0.8

-2.9

87.5

0.7

5.3

S&P 500 Index

14.4

14.2

14.1

10.4

1.0

0.4

98.0

1.0

2.1

Russell 3000 Index

14.8

14.6

14.6

10.7

1.0

0.4

98.2

1.0

2.0

MSCI USA Catholic Values Index

14.5

14.7

14.6

10.6

1.0

0.0

100.0

1.0

0.0

Timothy Plan Strategic Growth Fund;A

Created with Zephyr StyleADVISOR. Manager returns supplied by: Lipper

See important disclosures on pages 12 through 15

11

Horizon Investment Services, LLC Annual Disclosure Presenta ons Enhanced Socially Responsible Composite Year End 2015 2014 2013 2012 2011 2010 2009

Total Firm Assets (millions) 320.0 259.5 205.4 140.1 137.7 145.1 143.9

Composite Assets (USD) Number of % Bundled (millions) Accounts Fee Assets 13.8 30 8.2% 11.7 24 1.4% 12.0 16 0.0% 2.6 5 or fewer 0.0% 0.8 5 or fewer 0.0% 0.7 5 or fewer 0.0% 0.6 5 or fewer 0.0%

Annual Performance Results Gross Net Composite Benchmark Composite Composite Dispersion 1.0% -5.1% -6.3% 3.1% 12.7% 9.9% 8.5% 3.3% 36.2% 44.5% 42.7% 2.6% 13.2% 12.0% 10.6% N.A. 1.6% 1.5% 0.2% N.A. 11.9% 18.1% 16.7% N.A. 31.7% 25.3% 23.8% N.A.

3 Yr. Standard DeviaƟon Benchmark 10.7% 9.1% 11.5% 14.6% 18.5%

Composite 12.4% 11.7% 14.2% 14.9% 15.9%

N.A. - InformaƟon is not staƟsƟcally meaningful due to an insuĸcient number of porƞolios in the composite for the enƟre year.

Enhanced Socially Responsible Composite contains fully discre onary Enhanced Socially Responsible commission and bundled fee-paying accounts and, for comparison purposes, is measured against the MSCI KLD 400 Social Index. The Enhanced Socially Responsible strategy is an all-equity enhanced index strategy. Horizon believes its Enhanced Socially Responsible strategy can achieve outperformance by applying quan ta ve overlays to the MSCI KLD 400 Social Index, an index that is selected largely on qualita ve characteris cs. The 40 highest-scoring stocks in the index in terms of Quadrix Overall score (excluding the bo om 2% of index components based on market cap) typically make it into the por olio. Ini al individual posi ons are approximately equal-weighted and typically held for 12 months, at which me the equity por olio is rebalanced and recons tuted depending on the results of Horizon’s quan ta ve methodology. Changes to the equi es may occur more frequently than annually in the event of takeovers or other corporate ac ons. For the ini al investment selec on, no sector can account for more than 25% of the total por olio. While the por olio may be 100% invested in stocks, cash and fixed-income investments may be held depending on macro market condi ons. The MSCI KLD 400 Social Index is a free float-adjusted market capitaliza on-weighted total-return index designed to provide exposure to U.S. companies that have posi ve Environmental, Social and Governance (ESG) characteris cs. The MSCI KLD 400 Social Index consists of 400 companies selected from the MSCI USA Investable Market Index (IMI). The Enhanced Socially Responsible Composite was created October 31, 2008.

Enhanced SRI Fossil Fuel Free Composite

Year End 2015 2014 2013*

Total Firm Assets (millions) 320.0 259.5 205.4

Composite Assets (USD) Number of % Bundled (millions) Accounts Fee Assets 2.7 16 10.7% 2.4 11 4.8% 1.3 5 or fewer 0.0%

Annual Performance Results Gross Net Composite Benchmark Composite Composite Dispersion 1.0% -6.1% -7.3% 1.7% 12.7% 11.6% 10.2% 1.6% 20.4% 29.8% 28.6% N.A.

3 Yr. Standard DeviaƟon Benchmark

Composite

N.A. - InformaƟon is not staƟsƟcally meaningful due to an insuĸcient number of porƞolios in the composite for the enƟre year. *IncepƟon date 3/31/2013 Three-year annualized Standard DeviaƟon is not presented because since incepƟon 36-monthly returns are not available.

Enhanced SRI Fossil Fuel Free Composite contains fully discre onary Enhanced SRI Fossil Fuel Free commission and bundled fee-paying accounts and, for comparison purposes, is measured against the MSCI KLD 400 Social Index. The Enhanced SRI Fossil Fuel Free strategy is an all-equity enhanced index strategy. Horizon believes its Enhanced SRI Fossil Fuel Free strategy can achieve outperformance by applying quan ta ve overlays to the MSCI KLD 400 Social Index, an index that is selected largely on qualita ve characteris cs, with addi onal screens that are designed to eliminate companies with exposure to fossil fuels. The 40 highest-scoring stocks in the index in terms of Quadrix Overall score (excluding the bo om 2% of index components based on market cap) are then screened against the Carbon Underground 200 list — removing listed companies. Horizon applies an addi onal subjec ve screen removing companies that associate with, contribute to, or consume substan al by-products of the fossil fuel industry such as auto, trucking, airline, and steel industries. Ini al individual posi ons are approximately equal-weighted and typically held for 12 months, at which me the equity por olio is rebalanced and recons tuted depending on the results of Horizon’s quan ta ve methodology. Changes to the equi es may occur more frequently than annually in the event of takeovers or other corporate ac ons. For the ini al investment selec on, no sector can account for more than 25% of the total por olio. While the por olio may be 100% invested in stocks, cash and fixed-income investments may be held depending on macro market condi ons. The MSCI KLD 400 Social Index is a free float-adjusted market capitaliza onweighted total-return index designed to provide exposure to U.S. companies that have posi ve Environmental, Social and Governance (ESG) characteris cs. The MSCI KLD 400 Social Index consists of 400 companies selected from the MSCI USA Investable Market Index (IMI). The Enhanced SRI Fossil Fuel Free Composite was created March 31, 2013.

Enhanced Chris an Values Composite Year End 2015 2014 2013 2012 2011 2010 2009

Total Firm Assets (millions) 320.0 259.5 205.4 140.1 137.7 145.1 143.9

Composite Assets (USD) Number of % Bundled (millions) Accounts Fee Assets 1.4 6 68.3% 1.5 6 67.5% 1.4 6 66.1% 0.6 5 or fewer 75.6% 0.5 5 or fewer 100.0% 0.6 5 or fewer 100.0% 0.5 5 or fewer 100.0%

Annual Performance Results Pure Gross Net Composite Benchmark Composite Composite Dispersion 0.5% -7.0% -8.2% 3.3% 12.9% 7.2% 5.8% 2.3% 35.9% 39.9% 38.2% 1.6% 13.7% 12.7% 11.2% N.A. 1.4% 3.2% 1.9% N.A. 12.9% 17.7% 16.2% N.A. 33.2% 24.7% 23.1% N.A.

N.A. - InformaƟon is not staƟsƟcally meaningful due to an insuĸcient number of porƞolios in the composite for the enƟre year.

12

3 Yr. Standard DeviaƟon Benchmark 10.7% 9.2% 12.0% 15.4% 19.4%

Composite 12.1% 11.3% 14.1% 15.1% 17.1%

Enhanced Chris an Values Composite contains fully discre onary Enhanced Chris an Values commission and bundled fee-paying accounts and, for comparison purposes, is measured against the MSCI USA Catholic Values Index. The Enhanced Chris an Values strategy is an all-equity enhanced index strategy. Horizon believes its Enhanced Chris an Values strategy can achieve outperformance by applying quan ta ve overlays to the MSCI USA Catholic Values Index, an index that is selected largely on qualita ve characteris cs. The 40 highest-scoring stocks in the index in terms of Quadrix Overall score (excluding the bo om 2% of index components based on market cap) typically make it into the por olio. Ini al individual posi ons are approximately equal-weighted and typically held for 12 months, at which me the equity por olio is rebalanced and recons tuted depending on the results of Horizon’s quan ta ve methodology. Changes to the equi es may occur more frequently than annually in the event of takeovers or other corporate ac ons. For the ini al investment selec on, no sector can account for more than 25% of the total por olio. While the por olio may be 100% invested in stocks, cash and fixed-income investments may be held depending on macro market condi ons. The MSCI USA Catholic Values Index is a free float-adjusted, market capitaliza on-weighted total-return index designed to be used as a U.S. equity benchmark for Catholic investors who seek equity ownership in alignment with the moral and social teachings of the Church. The MSCI USA Catholic Values Index consists of 400 companies selected from the MSCI USA Investable Market Index (IMI). The Enhanced Chris an Values Composite was created November 30, 2008. Horizon Investment Services, LLC claims compliance with the Global Investment Performance Standards (GIPS®) and has prepared and presented this report in compliance with the GIPS standards. Horizon Investment Services, LLC has been independently verified for the periods September 1, 2000 through December 31, 2015. A copy of the verifica on report is available upon request. Verifica on assesses whether (1) the firm has complied with all the composite construc on requirements of the GIPS standards on a firm-wide basis and (2) the firm’s policies and procedures are designed to calculate and present performance in compliance with the GIPS standards. Verifica on does not ensure the accuracy of any specific composite presenta on. The Enhanced Socially Responsible composite has been examined for the periods October 31, 2008 through December 31, 2015. The performance examina on report is available upon request. The Enhanced Chris an Values Composite has been examined for the periods November 30, 2008 through December 31, 2015. The performance examina on report is available upon request. Horizon Investment Services, LLC is registered as an investment adviser with the Securi es and Exchange Commission. The firm maintains a complete list of composite descrip ons, which is available upon request. The composite performance returns include all fully discre onary ac ve and terminated commission and bundled fee-paying accounts for the strategy and exclude any accounts with significant client-imposed investment restric ons. Prior to January 1, 2010, composite policy required the temporary removal of any por olio incurring a client ini ated significant cash inflow or ou low of 30% or more of por olio assets. Beginning January 1, 2010, there has been no significant cash flow removal policy where accounts are re-valued in instances of a 30% or more large flow. The U.S. Dollar is the currency used to express performance. All composite performance returns include the reinvestment of all income. Gross composite performance returns for the Enhanced Socially Responsible and Enhanced SRI Fossil Fuel Free strategies are asset-weighted total-return figures reduced by brokerage commissions paid or the highest asset-based brokerage fee of 0.20%, applied monthly; which include brokerage commissions and custodial service fees, but do not reflect the payment of management fees. Pure gross composite performance returns for the Enhanced Chris an Values strategy are assetweighted total-return figures and are shown as supplemental informa on to net returns. Pure gross performance for the Enhanced Chris an Values strategy bundled accounts is gross of all fees and transac on costs and pure gross performance for non-bundled accounts is reduced by commissions. Net composite performance returns for the Enhanced Socially Responsible and Enhanced SRI Fossil Fuel Free strategies are further reduced by the highest applicable management fee of 1.25%, applied monthly. Net composite performance returns for the Enhanced Chris an Values strategy are further reduced by the highest applicable bundled fee of 1.30%, applied monthly. Bundled accounts pay a fee based on a percentage of assets under management which includes all charges for trading costs, por olio management, custody, and other administra ve fees. The annual composite dispersion presented for all strategies is equal-weighted standard devia on calculated for the accounts in the composite the en re year. Policies for valuing por olios, calcula ng performance, and preparing compliant presenta ons are available upon request. The investment management fee schedule for the Enhanced Socially Responsible composite, the Enhanced SRI Fossil Fuel Free composite, and the Enhanced Chris an Values commission accounts is 1.25% on the first $2 million, 1.10% on the next $2 million, 0.95% on the next $2 million and 0.80% on the remainder. The investment management fee schedule for the Enhanced Chris an Values bundled program is 1.30%. Actual investment advisory fees incurred by clients may vary depending on fee schedule and por olio size. Management fee schedules are available upon request or may be found in Part 2A of Horizon Investment Services’ Form ADV. Each me a new account is ini ated, the quan ta ve methodology of the Enhanced Socially Responsible, Enhanced SRI Fossil Fuel Free, and Enhanced Chris an Values strategies is applied to create a por olio of 40 stocks. Because of this, individual por olio performance may differ materially because different stocks may be selected from the universe. Past performance is no guarantee of future results. No formula or other device being offered can, in and of itself, be used to determine which securi es to buy or sell.

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An investment in these strategies involves the risk of loss. Investment return and principal value will fluctuate so that the investment, when redeemed, may be worth more or less than the original investment. *QUADRIX: The informa on and chart on page 4 reflects the performance of our proprietary Quadrix system and does not reflect the performance of any client account or composite. The informa on is calculated as follows: Quadrix ranks roughly 5,000 stocks based on over 90 different variables. Each stock in the Quadrix system is then assigned a percen le ranking from 0-100 – for example, a score of 90 means that the stock scored be er in our Quadrix system than 90% of the other stocks Quadrix analyzes. We then separate the stocks into deciles, and view the quarterly performance of each of the deciles. The decile scores are then averaged to arrive at quin le scores, which are reflected on the chart. We then track the performance of each stock contained in the quin le on a quarterly basis, star ng over again each quarter to reflect a quarterly rebalancing of the stocks contained in each quin le. The returns for each quarter are linked to the previous quarter. The Quadrix returns reflect the reinvestment of dividends and other earnings. There are no transac on costs or HIS management fees reflected in the calcula on of Quadrix performance, and the performance does not reflect HIS’ management of a client account or composite. Because Horizon client por olios hold a significantly smaller number of stocks, performance of HIS client accounts may be materially different than performance portrayed in the Quadrix chart. The Quadrix performance also does not reflect the impact that material economic and market factors might have had on HIS’ decision-making if HIS were actually managing client assets. From me to me HIS may change the weigh ngs of the various metrics that go into compu ng Quadrix scores. The Quadrix® stock-ra ng system is a proprietary product wholly-owned by Horizon Publishing Company, Horizon Investment Services’ sister company. Horizon Investment Services has contracted with Horizon Publishing Company to use the Quadrix stock-ra ng system for its stock-screening processes. The Carbon Underground 200 is an annually updated lis ng of the top 100 public coal companies globally and the top 100 public oil and gas companies globally, ranked by the poten al carbon emissions content of their reported reserves. For more informa on about the Carbon Underground 200 list for ve ng fossil fuel companies visit: h p://gofossilfree.org/top-200/. FACT SHEETS: “Number of Equity Holdings” and “Por olio Alloca ons” are based on the equity holdings of an actual representa ve client account invested in the strategy. The remainder of the account is comprised of fixed-income and money market funds. Other account holdings may differ as a result of market condi ons, client restric ons, and any number of other factors. Por olio Alloca ons (Sector and Market Capitaliza on) may not add up to 100% due to rounding. The S&P 500 Index is presented solely because it is a widely followed index. The S&P 500 Index is an unmanaged total-return index that measures the performance of 500 large company stocks weighted by market capitaliza on. Zephyr’s StyleADVISOR is a so ware program that uses returns-based style analysis to quickly seek to ascertain a manager’s style and creates a unique style benchmark that seeks to reflect that style. A lis ng of the sta s cal defini ons and calcula on methods can be found at www.styleadvisor.com. Zephyr annualized returns may differ immaterially from Horizon Fact Sheet returns, for the strategies managed by Horizon, due to rounding. Compe tor returns are supplied by Zephyr StyleADVISOR via Informa Investment Solu ons’ PSN SMA database, Lipper Mutual Fund database, and/or other databases supplied to Horizon by Zephyr via subscrip on. Zephyr returns for Separately Managed Account managers are gross returns. Lipper Funds are total return performance gross of tax but net of charges. Compe tors for a Horizon strategy are selected using a series of filters which seek to iden fy strategies most similar to the Horizon strategy. Filter criteria include but are not limited to: performance beginning and end dates, asset class of domes c equity, same market capitaliza on, and same investment style. Addi onal compe tors may be chosen on a discre onary basis at the request of prospects, clients, or Horizon marke ng personnel to be er represent common compe tors encountered for the strategy. CFA® and Chartered Financial Analyst® are registered trademarks owned by CFA Ins tute.

HORIZON INVESTMENT SERVICES 7412 Calumet Avenue Hammond, IN 46324-2692 1.800.711.7969 www.HorizonInvestment.com Copyright © 2016 by Horizon Investment Services, LLC. All rights reserved.

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Glossary of Statistics Alpha measures nonsystematic return, or the return that cannot be attributed to the market. Thus, it can be thought of as how the manager performed if the market has had no gain or loss. In contrast, beta measures the return that it attributable to the market and is a measure of the portfolio’s overall volatility. If the market’s return as measured by an index was equal to the risk-free rate, the manager’s expected excess return would be alpha. Annualized Return is the geometric mean of the returns with respect to one year. Beta measures the risk level of the manager. Beta measures the systematic risk, or the return that is attributable to market movements. In contrast, alpha measures the nonsystematic return of the portfolio, and standard deviation measures the volatility of a portfolio’s returns compared to the average return of the portfolio. A beta equal to one indicates a risk level equivalent to the market. Higher betas are associated with higher risk levels, while lower betas are associated with lower risk levels. Beta is estimated by the slope of the best fit line based on the ordinary least squares regression using the market’s quarterly return less the risk-free rate as the independent variable and the manager’s quarterly return less the risk-free rate as the dependent variable Cumulative Return is the compound return of the series. Down Capture is a measure of how badly the manager was affected by phases of negative benchmark returns. Downside Risk The downside standard deviation, also referred to as downside risk, differs from the ordinary standard deviation insofar as the sum is restricted to those returns that are less than the mean. To annualize the downside standard deviation, one multiplies by the square root of the number of periods in a year, just as in the case of the ordinary standard deviation. Information Ratio of a manager series vs. a benchmark series is the quotient of the annualized excess return and the annualized standard deviation of excess return. Market Benchmark is defined by the user — generally a common index chosen because its composition resembles that of the manager’s portfolio or strategy. Return series statistics are then calculated compared to the Market Benchmark or Style Benchmark. Population Standard Deviation of return measures the average deviations of a return series (the entire population) from its mean (the square root of the population variance), and is often used as a measure of risk. A large population standard deviation implies that there have been large swings in the return series of the manager. R-Squared is a statistic that measures the reliability of alpha and beta in explaining the return of a manager as a linear function of the market. It is produced by regression analysis. If you are searching for a manager with a particular style, for example a growth manager, you would expect that manager to have an R-Squared that is high relative to a growth index if the manager has a diversified portfolio. If the manager’s return is explained perfectly, the R-Squared would equal 100, while an R-Squared of 0 would indicate that no relationship exists between the manager and the linear function. Higher R-Squared values indicate more reliable alpha and beta statistics and are useful in assessing a manager’s investment style. Sharpe Ratio is one of two alternative, yet similar, methods of measuring excess return per unit of risk. In the case of the Sharpe Ratio, risk is measured using the standard deviation of the returns in the portfolio. The Sharpe Ratio relates the difference between the portfolio return and the risk-free rate to the standard deviation of that difference for a given time period. Standard Deviation of return measures the average deviations of a return series (a sample of the population) from its mean (the square root of the variance), and is often used as a measure of risk. A large standard deviation implies that there have been large swings in the return series of the manager. Tracking Error is a measure of the volatility of excess returns relative to a benchmark. Up Capture is a measure of how well a manager was able to replicate or improve on phases of positive benchmark returns. 15

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