LOWELL, Ind. (CBS) — Police in northwest Indiana were investigating a murder mystery on Wednesday, but the victim wasn’t a person, it was a racehorse.

That horse, Lady May Z, was supposed to appear at Balmoral Park Racetrack on Wednesday, until she was found shot in the head

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CBS 2’s Pamela Jones reports Lake County (Ind.) Sheriff’s police were investigating the shooting.

Horse owner Heidi Geib said when she saw her horse was down Tuesday afternoon, “I was in shock. And then, when we walked out there, and saw that there was a hole in her head, right between her eyes, that was even more unbelievable.”

Heidi and Carl Geib watched their other horses, fearing they, too, could fall prey to someone behind a trigger.

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Police said Lady May Z, an 8-year-old racehorse, was grazing in her pen on Tuesday on the Geib’s farm – in broad daylight – when a single shot took her down.

Lake County Sheriff’s Det. Michelle Weaver said the horse was found on the ground in her pen.

“Her head was facing east here. She was laying on her side, and she had a hole right between her eyes, almost directly right between her eyes,” she said. “It appeared to be from a small caliber weapon.”

Weaver said a precise shot like that might have come from someone aiming from the road next to the horse farm.

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Police said they have no leads, saying there have been no threats regarding the horse.

Lady May Z was supposed to run in a practice race at Balmoral on Wednesday.

Her owners are left with just photos and memories of their “Number one.”

“It hurts. It hurts. We’ve had this horse her whole life. She was one of the babies,” Carl Geib said.

The family said they hope police can find the killer before they strike again.

“Ihis is the farm I grew up on,” Heidi Geib said. “We live out in the country to feel safe, and secure, and be away from everything. Now I can’t even send my kids out to play.”

Police are looking for witnesses. A white two-door newer model pickup truck was seen nearby at the time of the shooting.

If caught, the killer could face a felony charge of killing a vertebrate animal.

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Officials at Balmoral Park said they have no comment.