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 811-04417
Shelton Funds |
(Exact name of registrant as specified in charter) |
1875 Lawrence Street, Suite 300, Denver, CO 80202 |
(Address of principal executive offices) (Zip code) |
(Name and address of agent for service) |
Registrant’s telephone number, including area code: (800) 955-9988
Date of fiscal year end: August 31
Date of reporting period: August 31, 2022
ITEM 1. REPORTS TO STOCKHOLDERS
ANNUAL REPORT
August 31, 2022
Green California Tax-Free Income Fund
U.S. Government Securities Fund
The United States Treasury Trust
S&P 500 Index Fund
S&P MidCap Index Fund
S&P SmallCap Index Fund
Shelton Equity Income Fund
Nasdaq-100 Index Fund
Shelton Green Alpha Fund
This report is intended only for the information of shareholders or those who have received the offering prospectus covering shares of beneficial interest of the Shelton Funds (referred to collectively as the “Funds” or individually the “Fund”) which contains information about the management fee and other costs. Investments in shares of the funds of the Shelton Funds are neither insured nor guaranteed by the U.S. Government, and there is no assurance that any Fund, which is designated a Money Market Fund, will be able to maintain a stable net asset value of $1.00 per share.
1
Table of Contents |
| August 31, 2022 |
1 | |
7 | |
9 | |
12 | |
31 | |
33 | |
35 | |
40 | |
48 | |
56 | |
57 | |
58 | |
Board Considerations Regarding Approval of Investment Advisory Agreements | 59 |
Bond Funds (Written by Portfolio Manager Bill Mock)
The past fiscal year we’ve experienced the highest inflation since the early 1980s, which has resulted in aggressive monetary tightening by the Federal Reserve and an upward shift in rates across the entire yield curve. The domestic economy re-opened and put the direct effects of Covid pandemic lockdowns in the rearview mirror, but lingering effects to both the domestic and global supply chains remain, especially in China where major cities are still being locked down due to China’s zero-Covid policy. The constraints on supply, combined with unprecedented 43% growth of the M2 money supply (a measure of money supply that includes currency, checking and savings accounts, and other liquid accounts that are easily convertible to cash) between February 2020 and March 2022 as a result of Covid stimulus has resulted in rapid price inflation, with CPI YoY rising as much as 9.1% in June 2022 and PPI YoY rising 11.7% in March 2022. The Federal Reserve and Treasury officials both described the inflation as “transitory” at the beginning of the fiscal year, and the Federal Reserve was hesitant to raise rates in an economy still recovering from the pandemic. Over the course of the fiscal year the Federal Reserve began to acknowledge that the inflation wasn’t transitory and tightened the Federal Funds Target Rate by 25 bps in March 2022 and 50 bps in May 2022. In June 2022 they tightened by 75 bps, the largest increase since November 1994, and then tightened by another 75 bps in July 2022. Recent commentary by Federal Reserve Board members, including Chairman Powell, have focused on the Federal Reserve’s commitment to continuing to raise and/or maintain rates until inflation has moderated, even if that means pushing the economy into recession. The US GDP did contract in both the 1st and 2nd quarter of 2022, at annualized rates of -1.6% and -0.6% respectively, leading to a highly politicized debate about the definition of and whether or not we are already in an economic recession.
The inflation and fears of rising rates slowing the economy negatively impacted both equity and fixed income returns. The S&P 500 and Nasdaq-100 indices returned -11.25% and -20.63% respectively over the course of the fiscal year. US Treasury and municipal bonds, traditional safe-haven investments struggled with rising rates over the period, with most fixed income benchmarks showing negative returns for the period.
3 month T-bill rates traded in a narrow range over the first four months of the fiscal year, ranging from 0.02% to 0.07% from September through December 2021. As the market began to anticipate the Federal Reserve tightening rates, the 3 month T-bill steadily rose for the remainder of the year, with the high yield being on the last fiscal day of the year at 2.93%.
Intermediate and long dated US Treasuries yields began rising in the first month of the fiscal year and trended to higher yields until peaking in June 2022, falling through the end of July and then rising again in August but closing the year below the June high yields. The 5 year note yield rose from 0.78% at the end of the prior fiscal year to a high of 3.59% in June 2022, ending the year at 3.36%. The 10 year bond yield rose from 1.31% at the end of the prior fiscal year to a high of 3.48% in June 2022, ending the year at 3.20%. The 30 year bond ended the prior fiscal year at 1.93%, rose to a high of 3.43% in June 2022, and ended the period at 3.29%.
U.S. Government Securities Fund
As referenced earlier, the rapidly rising rates negatively impacted returns on even traditional “safe-haven” investments. The U.S. Government Securities Fund ended the fiscal year on August 31, 2022 with a total return to the Direct Shares for the period of -7.72%. The benchmark Bloomberg US Treasury Total Return Index and Bloomberg GNMA Total Return Index returned -10.80% and -8.48% respectively for the period. Returns were hurt by the rising rates, with the relative outperformance of the fund compared to the benchmarks being due to the shorter duration of the fund. The value of shorter duration securities is less sensitive to changes in interest rates, and since bond values fall as rates rise, it is beneficial to hold short duration securities in a rising rate environment. The duration of the fund started the fiscal year at 3.84 years and ended the period at 3.56 years. The Treasury Index began the period at 7.03 years and ended the period at 6.24 years. The GNMA Index began the period at 3.42 years and ended the period at 5.48 years as higher rates slow prepayments by mortgage holders and extend the average maturity of mortgage backed securities. All securities in the Fund are backed by the full faith and credit of the United States.
Green California Tax-Free Income Fund
California municipal market bond yields do not necessarily move in lock step with US Treasury yields, but are subject to the level and shape of the benchmark U.S. Treasury curve, as well as the specific economic circumstances of both the State of California and each specific issuer. The relative value of municipal bonds to US Treasuries, as measured by the Bloomberg AAA Muni Yield % of Treasury ratio, which started the fiscal year at expensive historical levels, didn’t change significantly for long dated bonds over the first four months of the fiscal year. The two and five year municipals became more expensive relative to US Treasuries, with the ratio going as low as 33% and 45% respectively near calendar year end 2021. Municipal bonds at all maturities suffered in relative value to US Treasuries over the first five months of 2022 with the ratios ranging from 90% for 2 year to 111% for 30 year bonds. For the final 3 months of the fiscal year, municipal bonds became relatively more
2
expensive with shorter dated maturities moving more than longer dated maturities . The fiscal year end ratios for 2, 5, 10, and 30 year maturities were 66%, 69%, 82% and 102% respectively. In yield terms, the Bloomberg 5 year AAA muni yields began the fiscal period at 0.42%, rose to a high of 2.69% in May 2022 and trended lower for the remainder of the period ending at 2.33%. The Bloomberg 10 year AAA muni yields followed a very similar pattern, starting the period at 0.94%, rising to 2.97% in May and ending the period at 2.61%. The State of California’s General Obligation credit ratings were unchanged during the year as Standard & Poor’s maintained their rating on CA GO bonds at AA-, Moody’s maintained their rating at Aa2, and Fitch maintained their AA rating.
The Green California Tax-Free Income Fund’s total return for the fiscal year ended August 31, 2022 was -6.68%, beating the benchmark Bloomberg Municipal Bond Index return of -8.63% for the period. The fund outperformance relative to the benchmark is attributable to the shorter duration of the fund. As stated earlier, the value of shorter duration securities is less sensitive to changes in interest rates, and since bond values fall as rates rise, it is beneficial to hold short duration securities in a rising rate environment. This is particularly important in municipal bonds where a substantial portion of the market is callable bonds that are less likely to be called as rates rise, extending their duration. The Municipal Bond Index began the period with a duration of 5.02 years and ended the period at 6.73 years, while the fund duration began the period at 3.94 years and ended at 4.79 years. The portfolio average credit rating was maintained at AA.
Historical Performance and Manager’s Discussion (Unaudited) (Continued) | August 31, 2022 |
3
Green California Tax Free Income Fund - Direct Shares | | |||||||||
Direct | | One Year | | Five Year | | Ten Year | | Since | | |
California Tax-Free | | -6.68 | | 0.30 | | 1.37 | | 5.03 | | |
Bloomberg Municipal | | -8.63 | | 1.28 | | 2.25 | | 5.66 | | |
| | | | | | | | | |
U.S. Government Securities Fund - Direct Shares | | |||||||||
Direct | | One | | Five Year | | Ten Year | | Since | | |
Shelton US | | -7.72 | | -0.04 | | 0.20 | | 4.77 | | |
Bloomberg GNMA TR Index Value Unhedged | | -8.48 | | 0.12 | | 0.90 | | 5.82 | | |
Bloomberg US Treasury Index | | -10.80 | | 0.30 | | 0.83 | | 5.50 | |
| U.S. Government Securities Fund - K Shares | |||||||||
| K Shares | | One | | Five Year | | Ten Year | | Since | |
| Shelton US Government Securities | | -8.14 | | -0.54 | | -0.30 | | 1.51 | |
| Bloomberg GNMA TR Index Value Unhedged | | -8.48 | | 0.12 | | 0.90 | | 3.36 | |
| Bloomberg US Treasury Index | | -10.80 | | 0.30 | | 0.83 | | 5.50 |
S&P 500 Index Fund - Direct Shares | | |||||||||
Direct | | One | | Five Year | | Ten Year | | Since | | |
Shelton S&P 500 Index | | -11.54 | | 11.42 | | 12.72 | | 9.87 | | |
S&P 500 Composite | | -11.23 | | 11.83 | | 13.08 | | 10.09 | | |
| | | | | | | | | |
| S&P 500 Index Fund - K Shares | |||||||||
| K Shares | | One | | Five Year | | Ten Year | | Since | |
| Shelton S&P 500 Index | | -11.99 | | 10.86 | | 12.15 | | 8.92 | |
| S&P 500 Composite | | -11.23 | | 11.83 | | 13.08 | | 9.72 | |
| | | | | | | | | |
Historical Performance and Manager’s Discussion (Unaudited) (Continued) | August 31, 2022 |
*Past performance does not predict future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
4
Stock Funds
By definition, the goal for managing index funds is to match the performance of the funds to their index benchmarks. Each of our index funds tracked their respective benchmarks tightly during this last fiscal year. We measure the index funds’ performance by using a correlation coefficient. This is a statistical measure that compares the daily performance of a fund against its benchmark index. A measure of 1.000 indicates that the performance is perfectly correlated and a measure of -1.000 implies they are perfectly negatively correlated. According to Bloomberg, LLC, The S&P 500 Index Fund, Nasdaq-100 Index Fund, S&P SmallCap Index Fund and S&P MidCap Index Fund each had a correlation of 1.000 as of the fiscal year ended August 31, 2022.
During the fiscal year, the Direct shares of the S&P MidCap Index Fund underperformed the S&P MidCap Index by 0.37%, the Direct shares of the S&P SmallCap Index Fund underperformed the S&P SmallCap Index by 0.04%, and the Direct shares of the S&P 500 Index Fund underperformed the S&P 500 Index by 0.29%. It’s important to note, however, that during the year the relative performance of the indices varied substantially. The S&P 500 Index outperformed the S&P MidCap Index and S&P SmallCap Index through the end of June with the S&P MidCap subsequently outperforming the other two indices by fiscal year end.
The Nasdaq-100 Index Fund (Direct Shares) finished down -20.95%, versus a benchmark performance of -20.63%. It is important to note that while this index is a popular and widely tracked investment benchmark, it is constructed in a different way than the S&P indices that we track. For example, the Nasdaq-100 Index excludes companies in the financial sector and historically has had a larger allocation to the technology sector, which in the past has resulted in higher volatility relative to the S&P 500 index, another popular and widely tracked index. Additionally, the Nasdaq-100 Index has approximately one-fifth the index constituents compared to the S&P 500 Index, which results in the top holdings being more heavily weighted in the Nasdaq-100 Index compared to the S&P 500 Index. In fact, as of August 31, 2022, Apple alone made up 13.56% of the Nasdaq-100 Index and the top ten holdings accounted for over 50% of the index.
The Shelton Equity Income Fund focuses on income as well as the potential for capital appreciation. The Direct Shares (EQTIX) returned -8.72% for the year, which underperformed its primary benchmark, the CBOE S&P 500 BuyWrite Monthly Index by 2.12%. We employed a covered call strategy with the goal of generating dividend yield for shareholders to supplement the current income objective of the Fund. In fact, as of fiscal year end, investors in EQTIX received a trailing 12-month dividend yield of 10.24%.
Unemployment continued to fall during the fiscal year from 5.2% to a level more consistent with pre-pandemic levels of 3.5% in July, before ending the fiscal year slightly higher at 3.7%. Coinciding with the Federal Reserve increasing the Target Interest Rate by 2.25% over the last half of the fiscal year to combat rates of inflation not seen in decades, and an inversion of the 10-year and 2-year treasury yields (a generally accepted leading indicator of recessions), US economic growth as measured by GDP slowed in the 1st and 2nd quarters of 2022, as previously mentioned. These factors may indicate headwinds as higher interest rates have historically led to risk in the equity markets due to factors such as higher cost of borrowing for capital investments or a decreased consumer demand for certain goods and services in times of recession.
United States equity markets generally declined during the year, eroding much of the gains investors saw who had invested near the nadir of the covid crash in Q1 2020. However, it should be noted that for long term investors, the S&P 1500, a US broad market index, is still up more than 20% from the pre-covid highs as of the end of the fiscal year. Though the US equity markets are not immune to near term geo-political and economic risks, this adds to the evidence that buy-and-hold investors are generally rewarded in the long term. We encourage you to maintain a diversified portfolio using both stock and bond funds, in a balance that is appropriate for your particular investment objectives.
Green Alpha Fund (Written by Portfolio Managers Jeremy Deems and Garvin Jabusch)
The Shelton Green Alpha Fund (the “Fund”) invests primarily in common stocks of companies that Green Alpha Advisors, LLC, the investment sub-adviser to the Fund, believes are leaders in managing environmental risks and opportunities, have above average growth potential and are reasonably valued. For the year ending August 31, 2022, the Fund’s return was -25.52%, underperforming the -16.24% return of the MSCI ACWI IMI (Investable Market Index), the Fund’s primary benchmark, and underperforming the -11.25% return of the S&P 500 Index, the Fund’s secondary benchmark.
The 9.28% underperformance vs the Fund’s benchmark for the fiscal year was the result of the Fund’s exposure to the biotechnology and related healthcare services industry groups, and to the technology sector. Biotechnology and healthcare were the primary source of underperformance, as interest rate increases, geopolitical instability and fears of inflation resulted in market participants engaging in a rotation away from the perceived relatively high riskiness of growth and innovation, and toward traditional value and perceived safety over the fiscal year. The Fund’s investments in the technology sector were primarily in the semiconductors and technology hardware industry groups, which had mixed results over the trailing year, but in aggregate underperformed the benchmark. Losses within these sectors and industries were partially offset by gains in renewable energies, zero emissions transportation, and consumer staples. In renewable energies, the solar value chain, from upstream materials providers to smart inverter manufacturers to solar module makers and installers, all contributed; within this industry, these solar gains were partially offset by overall declines from wind-energy related businesses.
In transportation, pure-play electric vehicle manufacturers contributed to returns. Within the consumer staples sector, natural and organic foods retailers were the primary contributors. In line with the Fund’s environmental and solutions focus, we believe the Fund’s investments throughout the fiscal year reflected the Sub-Advisor’s view of a diversified portfolio of companies who are leaders in a number of industries including wind energy, solar PV, energy storage, advanced biotech and health technology, artificial intelligence and machine learning, waste-to-value building materials, efficient indusial machinery and automation, electric transportation, mobile communications, Internet of Things, data infrastructure, energy efficiency and lighting, and natural foods, among others.
In sum, multiple factors, including persistently high inflation, made worse by energy supply shocks from Russia’s invasion of Ukraine, the prospect of sharply higher interest rates, geopolitical unrest, and rising recession fears, all weighed on stocks in general, and on the fund during FY 2022. High inflation spurred the Federal Reserve to hike interest rates more aggressively than anticipated, tighter financial conditions weighed on both consumer and business confidence, and economic slowdown fears sent many broad indices into bear territory for part of the fiscal year. Growth stocks, such as the Fund’s biotech exposure, were particularly affected. The investment sub-adviser believes markets will remain volatile until investors get relief from these headwinds.
Historical Performance and Manager’s Discussion (Unaudited) (Continued) | August 31, 2022 |
5
Historical Performance and Manager’s Discussion (Unaudited) (Continued) | August 31, 2022 |
S&P MidCap Index Fund - Direct Shares | | |||||||||
Direct | | One Year | | Five Year (Annualized) | | Ten Year (Annualized) | | Since | | |
Shelton S&P Midcap Index | | -10.78 | | 8.32 | | 11.00 | | 11.29 | | |
S&P MidCap 400 Index | | -10.37 | | 8.71 | | 11.32 | | 11.61 | | |
| | | | | | | | | |
| S&P MidCap Index Fund - K Shares | |||||||||
| K Shares | | One Year | | Five Year (Annualized) | | Ten Year (Annualized) | | Since | |
| Shelton S&P Midcap Index | | -11.18 | | 7.51 | | 10.31 | | 9.04 | |
| S&P MidCap 400 Index | | -10.37 | | 8.71 | | 11.32 | | 10.09 | |
| | | | | | | | | |
S&P SmallCap Index Fund - Direct Shares | | |||||||||
Direct | | One Year | | Five Year (Annualized) | | Ten Year (Annualized) | | Since | | |
Shelton S&P Smallcap Index | | -12.15 | | 8.13 | | 11.06 | | 9.46 | | |
S&P SmallCap 600 Index | | -12.12 | | 8.65 | | 11.50 | | 10.08 | | |
| | | | | | | | | |
| S&P SmallCap Index Fund - K Shares | |||||||||
| K Shares | | One Year | | Five Year (Annualized) | | Ten Year (Annualized) | | Since | |
| Shelton S&P Smallcap Index | | -12.60 | | 7.58 | | 10.49 | | 9.15 | |
| S&P SmallCap 600 Index | | -12.12 | | 8.65 | | 11.50 | | 10.22 | |
| | | | | | | | | |
Shelton Equity Income Fund - Direct Shares | | |||||||||
Direct | | One Year | | Five Year (Annualized) | | Ten Year (Annualized) | | Since | | |
Shelton Equity Income | | -8.72 | | 7.51 | | 9.68 | | 8.08 | | |
CBOE S&P 500 BuyWrite Index | | -6.60 | | 3.53 | | 5.56 | | 6.76 | | |
S&P 500 Composite Stock Index | | -11.23 | | 11.83 | | 13.08 | | 9.72 | | |
| | | | | | | | | |
*Past performance does not predict future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
6
| Shelton Equity Income Fund - K Shares | |||||||||
| K Shares | | One Year | | Five Year (Annualized) | | Ten Year (Annualized) | | Since | |
| Shelton Equity Income Class | | -9.17 | | 6.97 | | 9.13 | | 7.82 | |
| CBOE S&P 500 BuyWrite Index | | -6.60 | | 3.53 | | 5.56 | | 5.49 | |
| S&P 500 Composite Stock Index | | -11.23 | | 11.83 | | 13.08 | | 9.72 | |
| | | | | | | | | |
Nasdaq-100 Index Fund - Direct Shares | | |||||||||
Direct | | One Year | | Five Year (Annualized) | | Ten Year (Annualized) | | Since | | |
Shelton Nasdaq-100 Index | | -20.95 | | 15.75 | | 16.74 | | 5.89 | | |
Nasdaq-100 Index | | -20.63 | | 16.50 | | 17.34 | | 6.43 | | |
| | | | | | | | | |
| Nasdaq-100 Index Fund - K Shares | |||||||||
| K Shares | | One Year | | Five Year (Annualized) | | Ten Year (Annualized) | | Since | |
| Shelton Nasdaq-100 Index | | -21.36 | | 15.16 | | 16.17 | | 12.39 | |
| Nasdaq-100 Index | | -20.63 | | 16.50 | | 17.34 | | 13.44 | |
| | | | | | | | | |
Nasdaq-100 Index Fund - Institutional Shares | | |||||||||
Institutional Shares | | One Year | | Five Year (Annualized) | | Ten Year (Annualized) | | Since | | |
Shelton Nasdaq-100 | | — | | — | | — | | -7.80 | | |
Nasdaq-100 Index | | -20.63 | | 16.50 | | 17.34 | | -6.11 | | |
| | | | | | | | | |
| Shelton Green Alpha Fund - Direct Shares | |||||||||
| Direct | | One Year | | Five Year (Annualized) | | Ten Year (Annualized) | | Since | |
| Shelton Green Alpha | | -25.52 | | 17.42 | | — | | 15.35 | |
| MSCI ACWI IMI | | -16.24 | | 6.75 | | 8.69 | | 8.23 | |
| | | | | | | | | |
Historical Performance and Manager’s Discussion (Unaudited) (Continued) | August 31, 2022 |
*Past performance does not predict future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
7
Example
As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, or other distributions, redemption fees, and exchange fees; and (2) ongoing costs, including management fees, distribution fees and other Fund expenses. This example is intended to help you understand your ongoing cost (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds. The examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period from March 1, 2022 to August 31, 2022.
Actual Expenses
The first line of the tables below 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 you have 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 this period.
Hypothetical Example for Comparison Purposes
The second line of the table provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual expense ratio 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. The Funds do not charge any sales charges. Please note that the expenses shown in the tables are meant to highlight your ongoing costs only and do not reflect any transactional cost, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the second line of the tables are 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.
| | Beginning | | Ending | | Expenses Paid | | Net Annual |
California Tax-Free Income Fund | | | | | | | | |
Direct Shares | | | | | | | | |
Based on Actual Fund Return | | $1,000 | | $ 961 | | $3.76 | | 0.76% |
Based on Hypothetical 5% Return before expenses | | $1,000 | | $1,046 | | $3.92 | | 0.76% |
U.S. Government Securities Fund | | | | | | | | |
Direct Shares | | | | | | | | |
Based on Actual Fund Return | | $1,000 | | $ 950 | | $3.69 | | 0.75% |
Based on Hypothetical 5% Return before expenses | | $1,000 | | $1,046 | | $3.87 | | 0.75% |
K Shares | | | | | | | | |
Based on Actual Fund Return | | $1,000 | | $ 949 | | $6.14 | | 1.25% |
Based on Hypothetical 5% Return before expenses | | $1,000 | | $1,044 | | $6.44 | | 1.25% |
The United States Treasury Trust | | | | | | | | |
Direct Shares | | | | | | | | |
Based on Actual Fund Return | | $1,000 | | $1,002 | | $1.21 | | 0.24% |
Based on Hypothetical 5% Return before expenses | | $1,000 | | $1,049 | | $1.24 | | 0.24% |
S&P 500 Index Fund | | | | | | | | |
Direct Shares | | | | | | | | |
Based on Actual Fund Return | | $1,000 | | $ 910 | | $2.07 | | 0.43% |
Based on Hypothetical 5% Return before expenses | | $1,000 | | $1,048 | | $2.22 | | 0.43% |
K Shares | | | | | | | | |
Based on Actual Fund Return | | $1,000 | | $ 907 | | $4.47 | | 0.93% |
Based on Hypothetical 5% Return before expenses | | $1,000 | | $1,045 | | $4.79 | | 0.93% |
S&P MidCap Index Fund | | | | | | | | |
Direct Shares | | | | | | | | |
Based on Actual Fund Return | | $1,000 | | $ 918 | | $3.00 | | 0.62% |
Based on Hypothetical 5% Return before expenses | | $1,000 | | $1,047 | | $3.20 | | 0.62% |
K Shares | | | | | | | | |
Based on Actual Fund Return | | $1,000 | | $ 916 | | $5.41 | | 1.12% |
Based on Hypothetical 5% Return before expenses | | $1,000 | | $1,044 | | $5.77 | | 1.12% |
8
| | Beginning | | Ending | | Expenses Paid | | Net Annual |
S&P SmallCap Index Fund | | | | | | | | |
Direct Shares | | | | | | | | |
Based on Actual Fund Return | | $1,000 | | $ 905 | | $3.84 | | 0.80% |
Based on Hypothetical 5% Return before expenses | | $1,000 | | $1,046 | | $4.13 | | 0.80% |
K Shares | | | | | | | | |
Based on Actual Fund Return | | $1,000 | | $ 902 | | $6.28 | | 1.31% |
Based on Hypothetical 5% Return before expenses | | $1,000 | | $1,043 | | $6.75 | | 1.31% |
Shelton Equity Income Fund | | | | | | | | |
Direct Shares | | | | | | | | |
Based on Actual Fund Return | | $1,000 | | $ 934 | | $3.51 | | 0.72% |
Based on Hypothetical 5% Return before expenses | | $1,000 | | $1,046 | | $3.71 | | 0.72% |
K Shares | | | | | | | | |
Based on Actual Fund Return | | $1,000 | | $ 932 | | $5.99 | | 1.23% |
Based on Hypothetical 5% Return before expenses | | $1,000 | | $1,044 | | $6.34 | | 1.23% |
Nasdaq-100 Index Fund | | | | | | | | |
Direct Shares | | | | | | | | |
Based on Actual Fund Return | | $1,000 | | $ 932 | | $2.35 | | 0.50% |
Based on Hypothetical 5% Return before expenses | | $1,000 | | $1,047 | | $2.58 | | 0.50% |
K Shares | | | | | | | | |
Based on Actual Fund Return | | $1,000 | | $ 861 | | $4.69 | | 1.00% |
Based on Hypothetical 5% Return before expenses | | $1,000 | | $1,045 | | $5.15 | | 1.00% |
Institutional# | | | | | | | | |
Based on Actual Fund Return | | $1,000 | | $ 922 | | $1.89 | | 0.39% |
Based on Hypothetical 5% Return before expenses | | $1,000 | | $1,048 | | $2.01 | | 0.39% |
Shelton Green Alpha Fund | | | | | | | | |
Direct Shares | | | | | | | | |
Based on Actual Fund Return | | $1,000 | | $ 933 | | $5.65 | | 1.16% |
Based on Hypothetical 5% Return before expenses | | $1,000 | | $1,044 | | $5.98 | | 1.16% |
*Expenses are equal to the Fund’s Net Annual Expense Ratio, as noted in the above table, multiplied by the average account value over the period, multiplied by 184 days in most recent fiscal half-year/365.
#Class commenced operations on March 7, 2022.
About Your Fund’s Expenses (Unaudited) |
9
California Tax-Free Income Fund
Security | | Description |
| Market |
| Percentage | | ||
1 | William S Hart Union High School District | | General Obligation Bonds; 2001 2005 Election, Series B | | $2,927,930 | | 6.3% | ||
2 | Los Rios Community College District | | General Obligation Bonds; 2008 Election, Series B | | 2,558,128 | | 5.5% | ||
3 | San Francisco Bay Area Rapid Transit District | | San Francisco BART District GO Bonds (Election of 2004) 2017 Refunding Series E (Green Bonds) | | 2,506,949 | | 5.4% | ||
4 | East Bay Municipal Utility District Water System Revenue | | Water System Revenue Bonds; 2015 Series B | | 2,197,969 | | 4.8% | ||
5 | Santa Maria Joint Union High School District | | General Obligation Bonds; Election of 2004, Series 2005 | | 2,019,679 | | 4.4% | ||
6 | San Mateo Foster City Public Financing Authority | | City of San Mateo Wastewater Revenue Bonds 2019 | | 1,941,082 | | 4.2% | ||
7 | California Health Facilities Financing Authority | | City of San Mateo Wastewater Revenue Bonds 2019 | | 1,911,294 | | 4.1% | ||
8 | Milpitas Unified School District | | General Obligation Bonds; 2018 Election, Series B | | 1,878,605 | | 4.1% | ||
9 | California Educational Facilities Authority | | California Educational Facilities Authority Revenue Bonds, Series V-2 | | 1,781,898 | | 3.9% | ||
10 | Foothill-De Anza Community College District | | General Obligation Bonds; Election of 1999, Series C | | 1,739,923 | | 3.8% |
U.S. Government Securities Fund
Security | Maturity |
| Market |
| Percentage | | ||
1 | United States Treasury Note/Bond | 8/15/2027 | | $3,615,195 | | 23.2% | ||
2 | United States Treasury Note/Bond | 5/15/2025 | | 2,124,203 | | 13.7% | ||
3 | United States Treasury Note/Bond | 8/15/2023 | | 1,783,630 | | 11.5% | ||
4 | United States Treasury Note/Bond | 2/29/2024 | | 1,275,320 | | 8.2% | ||
5 | United States Treasury Note/Bond | 11/15/2028 | | 1,187,672 | | 7.6% | ||
6 | United States Treasury Note/Bond | 2/15/2026 | | 865,875 | | 5.6% | ||
7 | United States Treasury Note/Bond | 7/31/2026 | | 808,699 | | 5.2% | ||
8 | United States Treasury Note/Bond | 2/15/2025 | | 772,875 | | 5.0% | ||
9 | United States Treasury Note/Bond | 4/30/2026 | | 772,156 | | 5.0% | ||
10 | United States Treasury Note/Bond | 5/15/2037 | | 608,477 | | 3.9% |
The United States Treasury Trust
Security | Maturity |
| Market |
| Percentage | | ||
1 | United States Treasury Bill | 9/29/2022 | | $3,695,908 | | 12.0% | ||
2 | United States Treasury Bill | 11/10/2022 | | 3,087,663 | | 10.0% | ||
3 | United States Treasury Bill | 9/13/2022 | | 2,997,876 | | 9.7% | ||
4 | United States Treasury Bill | 10/13/2022 | | 2,696,171 | | 8.7% | ||
5 | United States Treasury Bill | 9/06/2022 | | 2,599,236 | | 8.4% | ||
6 | United States Treasury Bill | 9/08/2022 | | 2,199,145 | | 7.1% | ||
7 | United States Treasury Bill | 9/01/2022 | | 2,000,000 | | 6.5% | ||
8 | United States Treasury Bill | 10/11/2022 | | 1,994,699 | | 6.5% | ||
9 | United States Treasury Bill | 9/20/2022 | | 1,797,983 | | 5.8% | ||
10 | United States Cash Management Bill | 12/13/2022 | | 1,785,696 | | 5.8% |
10
Top Holdings and Sector Breakdowns (Unaudited) (Continued)August 31, 2022 |
S&P 500 Index Fund
Security | Market |
| Percentage | | ||
1 | Apple Inc | $15,201,759 | | 7.2% | | |
2 | Microsoft Corp | 12,297,196 | | 5.9% | | |
3 | Amazon.com Inc | 6,975,392 | | 3.3% | | |
4 | Tesla Inc | 4,363,182 | | 2.1% | | |
5 | Alphabet Inc - Class A | 4,093,638 | | 1.9% | | |
6 | Alphabet Inc - Class C | 3,785,649 | | 1.8% | | |
7 | Berkshire Hathaway Inc | 3,194,662 | | 1.5% | | |
8 | UnitedHealth Group Inc | 3,063,528 | | 1.5% | | |
9 | Johnson & Johnson | 2,669,693 | | 1.3% | | |
10 | Exxon Mobil Corp | 2,542,216 | | 1.2% | | |
| | | | | |
S&P MidCap Index Fund
Security | Market |
| Percentage | | ||
1 | Targa Resources Corp | $826,811 | | 0.8% | | |
2 | Carlisle Cos Inc | 802,126 | | 0.7% | | |
3 | Steel Dynamics Inc | 760,947 | | 0.7% | | |
4 | Wolfspeed Inc | 745,271 | | 0.7% | | |
5 | EQT Corp | 741,617 | | 0.7% | | |
6 | First Solar Inc | 668,362 | | 0.6% | | |
7 | Darling Ingredients Inc | 653,279 | | 0.6% | | |
8 | RPM International Inc | 640,754 | | 0.6% | | |
9 | First Horizon Corp | 635,532 | | 0.6% | | |
10 | Fair Isaac Corp | 621,071 | | 0.6% | | |
| | | | | |
S&P SmallCap Index Fund
Security | Market |
| Percentage | | ||
1 | ExlService Holdings Inc | $351,688 | | 0.6% | | |
2 | Agree Realty Corp | 337,810 | | 0.6% | | |
3 | Lantheus Holdings Inc | 336,003 | | 0.6% | | |
4 | SM Energy Co | 334,976 | | 0.6% | | |
5 | Livent Corp | 314,785 | | 0.6% | | |
6 | UFP Industries Inc | 314,226 | | 0.6% | | |
7 | Exponent Inc | 310,489 | | 0.6% | | |
8 | Civitas Resources Inc | 303,027 | | 0.5% | | |
9 | United States Treasury Bill | 299,505 | | 0.5% | | |
10 | Rogers Corp | 298,119 | | 0.5% | | |
| | | | | |
11
Top Holdings and Sector Breakdowns (Unaudited) (Continued)August 31, 2022 |
Shelton Equity Income Fund
Security | Market |
| Percentage | | ||
1 | United States Treasury Bill | $33,644,441 | | 9.3% | | |
2 | Amazon.com Inc | 9,228,856 | | 2.6% | | |
3 | Microsoft Corp | 8,340,893 | | 2.3% | | |
4 | UnitedHealth Group Inc | 8,049,615 | | 2.2% | | |
5 | Apple Inc | 8,033,942 | | 2.2% | | |
6 | The Charles Schwab Corp | 6,882,150 | | 1.9% | | |
7 | Berkshire Hathaway Inc | 6,795,360 | | 1.9% | | |
8 | AmerisourceBergen Corp | 6,302,080 | | 1.7% | | |
9 | Johnson & Johnson | 5,905,044 | | 1.6% | | |
10 | NVIDIA Corp | 5,886,660 | | 1.6% | | |
| | | | | |
Nasdaq-100 Index Fund
Security | Market |
| Percentage | | ||
1 | Apple Inc | $133,770,008 | | 13.4% | | |
2 | Microsoft Corp | 102,801,637 | | 10.3% | | |
3 | Amazon.com Inc | 67,804,583 | | 6.8% | | |
4 | Tesla Inc | 45,030,815 | | 4.5% | | |
5 | Alphabet Inc - Class C | 35,962,742 | | 3.6% | | |
6 | Alphabet Inc - Class A | 34,130,424 | | 3.4% | | |
7 | Meta Platforms Inc | 29,415,219 | | 2.9% | | |
8 | NVIDIA Corp | 27,838,921 | | 2.8% | | |
9 | PepsiCo Inc | 20,715,812 | | 2.1% | | |
10 | Costco Wholesale Corp | 20,182,298 | | 2.0% | | |
| | | | | |
Shelton Green Alpha Fund
Security | Market |
| Percentage | | ||
1 | JinkoSolar Holding Co Ltd | $18,200,130 | | 6.8% | | |
2 | Brookfield Renewable Corp | 13,244,550 | | 5.0% | | |
3 | Tesla Inc | 12,402,450 | | 4.6% | | |
4 | Switch Inc | 11,882,500 | | 4.4% | | |
5 | Vestas Wind Systems A/S | 10,113,800 | | 3.8% | | |
6 | Taiwan Semiconductor Manufacturing Co Ltd | 10,085,350 | | 3.8% | | |
7 | CRISPR Therapeutics AG | 9,763,500 | | 3.7% | | |
8 | Canadian Solar Inc | 9,034,000 | | 3.4% | | |
9 | International Business Machines Corp | 8,734,600 | | 3.3% | | |
10 | Enphase Energy Inc | 8,306,760 | | 3.1% | | |
| | | | | |
12
See accompanying notes to financial statements.
Security Description |
| Par Value |
| Value |
| | | | |
Municipal Bonds (95.03%) | | | | |
| | | | |
CALIFORNIA EDUCATIONAL FACILITIES AUTHORITY REVENUE BONDS | | | | |
California Educational Facilities Authority, 5.000%, 04/01/2051 | | $1,500,000 | | $1,781,898 |
CALIFORNIA HEALTH FACILITIES FINANCING AUTHORITY | | | | |
California Health Facilities Financing Authority, 5.000%, 11/01/2027 | | 1,700,000 | | 1,911,294 |
CALIFORNIA HOUSING FINANCE | | | | |
California Housing Finance Agency, 4.000%, 03/20/2033 | | 359,257 | | 356,111 |
CALIFORNIA INFRASTRUCTURE & ECONOMIC DEVELOPMENT BANK | | | | |
California Infrastructure & Economic Development Bank, 5.000%, 10/01/2033 | | 1,200,000 | | 1,297,057 |
CALIFORNIA MUNICIPAL FINANCE AUTHORITY | | | | |
California Municipal Finance Authority, 5.000%, 05/15/2038 | | 800,000 | | 827,953 |
California Municipal Finance Authority, 5.000%, 10/01/2044 | | 480,000 | | 518,350 |
CALIFORNIA STATE UNIVERSITY | | | | |
California State University, 4.000%, 11/01/2030 | | 1,100,000 | | 1,103,190 |
CITY OF LOS ANGELES CA WASTEWATER SYSTEM REVENUE | | | | |
City of Los Angeles CA Wastewater System Revenue, 5.250%, 06/01/2047 | | 1,500,000 | | 1,635,558 |
City of Los Angeles CA Wastewater System Revenue, 5.000%, 06/01/2044 | | 500,000 | | 526,076 |
CITY OF ROSEVILLE CA ELECTRIC SYSTEM REVENUE | | | | |
City of Roseville CA Electric System Revenue, 5.000%, 02/01/2025 | | 750,000 | | 768,194 |
CITY OF SAN FRANCISCO CA PUBLIC UTILITIES COMMISSION WATER REVENUE | | | | |
City of San Francisco CA Public Utilities Commission Water Revenue, 5.000%, 11/01/2034 | | 1,000,000 | | 1,108,341 |
EAST BAY MUNICIPAL UTILITY DISTRICT WATER SYSTEM REVENUE | | | | |
East Bay Municipal Utility District Water System Revenue, 5.000%, 06/01/2026 | | 2,050,000 | | 2,197,969 |
East Bay Municipal Utility District Water System Revenue, 5.000%, 06/01/2032 | | 150,000 | | 167,115 |
EAST SIDE UNION HIGH SCHOOL DISTRICT | | | | |
East Side Union High School District, 5.250%, 09/01/2023 | | 975,000 | | 1,003,292 |
FOOTHILL-DE ANZA COMMUNITY COLLEGE DISTRICT | | | | |
Foothill-De Anza Community College District, 0.000%, 08/01/2027 | | 2,000,000 | | 1,739,923 |
LA MIRADA REDEVELOPMENT AGENCY SUCCESSOR AGENCY | | | | |
La Mirada Redevelopment Agency Successor Agency, 5.000%, 08/15/2023 | | 1,000,000 | | 1,023,715 |
LOS ANGELES COMMUNITY COLLEGE DISTRICT | | | | |
Los Angeles Community College District, 5.000%, 08/01/2028 | | 865,000 | | 909,086 |
LOS ANGELES COUNTY METROPOLITAN TRANSPORTATION AUTHORITY | | | | |
Los Angeles County Metropolitan Transportation Authority Sales Tax Revenue, 4.000%, 07/01/2028 | | 500,000 | | 520,276 |
Los Angeles County Metropolitan Transportation Authority Sales Tax Revenue, 5.000%, 07/01/2023 | | 1,500,000 | | 1,533,456 |
LOS RIOS COMMUNITY COLLEGE DISTRICT | | | | |
Los Rios Community College District, 5.000%, 08/01/2032 | | 2,500,000 | | 2,558,127 |
MILPITAS UNIFIED SCHOOL DISTRICT | | | | |
Milpitas Unified School District, 3.000%, 08/01/2034 | | 2,000,000 | | 1,878,605 |
MOUNT SAN ANTONIO COMMUNITY COLLEGE DISTRICT | | | | |
Mount San Antonio Community College District, 5.000%, 08/01/2034 | | 345,000 | | 353,528 |
PENINSULA CORRIDOR JOINT POWERS TAX REVENUE BONDS | | | | |
Peninsula Corridor Joint Powers Board, 5.000%, 06/01/2036 | | 200,000 | | 228,740 |
PORT OF LOS ANGELES | | | | |
Port of Los Angeles, 4.000%, 08/01/2023 | | 290,000 | | 294,244 |
SACRAMENTO MUNICIPAL UTILITY DISTRICT | | | | |
Sacramento Municipal Utility District, 5.250%, 07/01/2024 | | 525,000 | | 545,166 |
SAN DIEGO COMMUNITY COLLEGE DISTRICT | | | | |
San Diego Community College District, 5.000%, 08/01/2027 | | 1,175,000 | | 1,204,044 |
SAN FRANCISCO BAY AREA RAPID TRANSIT DISTRICT | | | | |
San Francisco Bay Area Rapid Transit District, 5.000%, 08/01/2036 | | 2,300,000 | | 2,506,949 |
San Francisco Bay Area Rapid Transit District, 4.000%, 08/01/2034 | | 645,000 | | 671,451 |
SAN FRANCISCO CITY & COUNTY PUBLIC UTILITIES COMMISSION POWER REVENUE | | | | |
San Francisco City & County Public Utilities Commission Power Revenue, 5.000%, 11/01/2030 | | 680,000 | | 725,809 |
San Francisco City & County Public Utilities Commission Power Revenue, 5.000%, 11/01/2036 | | 1,170,000 | | 1,235,125 |
See accompanying notes to financial statements.
13
Green California Tax-Free Income FundPortfolio of Investments (Continued)8/31/22 |
Security Description |
| Par Value |
| Value |
SAN MATEO FOSTER CITY PUBLIC FINANCING AUTHORITY | | | | |
San Mateo Foster City Public Financing Authority, 4.000%, 08/01/2044 | | $2,000,000 | | $1,941,082 |
SANTA CLARA VALLEY TRANSPORTATION AUTHORITY | | | | |
Santa Clara Valley Transportation Authority, 5.000%, 04/01/2034 | | 1,000,000 | | 1,067,185 |
SANTA MARIA JOINT UNION HIGH SCHOOL DISTRICT | | | | |
Santa Maria Joint Union High School District, 0.000%, 08/01/2029 | | 2,500,000 | | 2,019,679 |
STATE OF CALIFORNIA | | | | |
State of California, 3.000%, 10/01/2028 | | 900,000 | | 907,169 |
TURLOCK IRRIGATION DISTRICT | | | | |
Turlock Irrigation District, 5.000%, 01/01/2036 | | 300,000 | | 335,084 |
UNIVERSITY OF CALIFORNIA | | | | |
University of California, 5.000%, 05/15/2029 | | 925,000 | | 966,075 |
WALNUT VALLEY UNIFIED SCHOOL DISTRICT | | | | |
Walnut Valley Unified School District, 5.000%, 08/01/2036 | | 835,000 | | 969,844 |
WILLIAM S HART UNION HIGH SCHOOL DISTRICT | | | | |
William S Hart Union High School District, 0.000%, 09/01/2029 | | 3,595,000 | | 2,927,930 |
| | | |
|
Total Municipal Bonds (Cost $44,664,776) | | | | 44,264,690 |
| | | |
|
Variable Rate Demand Notes* (4.29%) | | | | |
Eastern Municipal Water District, 0.900%, 07/01/2046*,**,*** | | 100,000 | | 100,000 |
Los Angeles Department of Water & Power Water System Revenue, 0.850%, 07/01/2045*,**,*** | | 1,200,000 | | 1,200,000 |
Santa Clara Valley Transportation Authority, 0.940%, 04/01/2036*,**,*** | | 700,000 | | 700,000 |
Total Variable Rate Demand Notes (Cost $2,000,000) | | | | 2,000,000 |
| | | | |
Total Investments (Cost $46,664,776) (99.32%) | | | | $46,264,690 |
Other Net Assets (0.68%) | | | | 314,958 |
Net Assets (100.00%) | | | | $46,579,648 |
*Stated maturity reflects next reset date.
**In accordance with the offering documents, daily interest rates are determined by the Remarketing Agents.
***Rate Effective as of August 31, 2022
U.S. Government Securities FundPortfolio of Investments8/31/22 |
Security Description |
| Par Value |
| Value |
| | | | |
Government National Mortgage Association (2.15%) | | | | |
3.500%, 11/20/2044 | | $110,049 | | $108,040 |
5.000%, 03/15/2038 | | 82,886 | | 85,780 |
5.500%, 01/15/2025 | | 8,631 | | 8,940 |
5.500%, 04/15/2036 | | 58,040 | | 60,334 |
6.000%, 01/15/2026 | | 43,426 | | 46,289 |
6.000%, 06/15/2038 | | 27,470 | | 29,884 |
Total Government National Mortgage Association (Cost $333,845) | | | | 339,267 |
| | | | |
United States Treasury Bonds (12.22%) | | | | |
5.000%, 05/15/2037 | | 500,000 | | 608,477 |
6.000%, 02/15/2026 | | 800,000 | | 865,875 |
6.375%, 08/15/2027 | | 400,000 | | 454,797 |
Total United States Treasury Bonds (Cost $1,977,765) | | | | 1,929,149 |
| | | | |
United States Treasury Notes (76.01%) | | | | |
2.000%, 02/15/2025 | | 800,000 | | 772,875 |
2.125%, 02/29/2024 | | 1,300,000 | | 1,275,320 |
2.125%, 05/15/2025 | | 2,200,000 | | 2,124,203 |
2.250%, 08/15/2027 | | 3,800,000 | | 3,615,195 |
14
See accompanying notes to financial statements.
U.S. Government Securities FundPortfolio of Investments (Continued)8/31/22 |
Security Description |
| Par Value |
| Value |
2.375%, 04/30/2026 | | $800,000 | | $772,156 |
2.375%, 05/15/2029 | | 500,000 | | 472,715 |
2.500%, 08/15/2023 | | 1,800,000 | | 1,783,630 |
3.125%, 11/15/2028 | | 1,200,000 | | 1,187,672 |
Total United States Treasury Notes (Cost $12,641,237) | | | | 12,003,766 |
| | | | |
United States Treasury Bills (8.10%) | | | | |
0.375%, 08/15/2024 | | 500,000 | | 471,250 |
0.625%, 07/31/2026 | | 900,000 | | 808,699 |
Total United States Treasury Bills (Cost $1,395,796) | | | | 1,279,949 |
| | | | |
Total Investments (Cost $16,348,643) (98.48%) | | | | $15,552,131 |
Other Net Assets (1.52%) | | | | 240,819 |
Net Assets (100.00%) | | | | $15,792,950 |
The United States Treasury TrustPortfolio of Investments8/31/22 |
Security Description |
| Par Value |
| Value |
| | | | |
United States Treasury Bills, DN(a) (98.34%) | | | | |
09/01/2022 | | $2,000,000 | | $2,000,000 |
09/06/2022 | | 2,600,000 | | 2,599,236 |
09/08/2022 | | 2,200,000 | | 2,199,145 |
09/13/2022 | | 3,000,000 | | 2,997,876 |
09/15/2022 | | 1,200,000 | | 1,199,582 |
09/20/2022 | | 1,800,000 | | 1,797,983 |
09/29/2022 | | 3,700,000 | | 3,695,908 |
10/11/2022 | | 2,000,000 | | 1,994,699 |
10/13/2022 | | 2,700,000 | | 2,696,171 |
10/18/2022 | | 1,000,000 | | 996,901 |
11/10/2022 | | 3,100,000 | | 3,087,663 |
12/13/2022 | | 1,800,000 | | 1,785,696 |
12/20/2022 | | 1,300,000 | | 1,288,193 |
12/22/2022 | | 1,100,000 | | 1,091,738 |
01/19/2023 | | 1,400,000 | | 1,384,892 |
Total United States Treasury Bills, DN (Cost $30,815,683) | | | | 30,815,683 |
| | | | |
Total Investments (Cost $30,815,683) (98.34%) | | | | $30,815,683 |
Other Net Assets (1.66%) | | | | 518,624 |
Net Assets (100.00%) | | | | $31,334,307 |
(a) Discount Note. Yield to maturity is between 2.01% - 3.10%.
15
S&P 500 Index FundPortfolio of Investments (Continued)8/31/22 |
See accompanying notes to financial statements.
Security Description |
| Shares |
| Value | |
Common Stock (99.65%) | | | | | |
| | | | | |
Basic Materials (2.05%) | | | | | |
Air Products and Chemicals Inc | | 1,404 | | $354,440 | |
Albemarle Corp | | 729 | | 195,343 | |
Celanese Corp | | 763 | | 84,586 | |
CF Industries Holdings Inc | | 1,316 | | 136,153 | |
Dow Inc | | 4,596 | | 234,396 | |
DuPont de Nemours Inc | | 3,319 | | 184,669 | |
Eastman Chemical Co | | 893 | | 81,263 | |
Ecolab Inc | | 1,622 | | 265,732 | |
FMC Corp | | 795 | | 85,924 | |
Freeport-McMoRan Inc | | 9,035 | | 267,436 | |
International Flavors & Fragrances Inc | | 1,613 | | 178,204 | |
International Paper Co | | 2,339 | | 97,349 | |
Linde PLC | | 3,177 | | 898,646 | |
LyondellBasell Industries NV | | 1,667 | | 138,361 | |
The Mosaic Co# | | 2,068 | | 111,403 | |
Newmont Corp | | 5,010 | | 207,214 | |
Nucor Corp | | 1,728 | | 229,720 | |
PPG Industries Inc | | 1,558 | | 197,835 | |
The Sherwin-Williams Co | | 1,539 | | 357,202 | |
Total Basic Materials | | | | 4,305,876 | |
| | | | | |
Communications (12.81%) | | | | ||
Alphabet Inc - Class A* | | 37,827 | | 4,093,638 | |
Alphabet Inc - Class C* | | 34,683 | | 3,785,649 | |
Amazon.com Inc*,(a) | | 55,024 | | 6,975,392 | |
Arista Networks Inc* | | 1,464 | | 175,504 | |
AT&T Inc | | 45,311 | | 794,755 | |
Booking Holdings Inc* | | 255 | | 478,332 | |
CDW Corp | | 853 | | 145,607 | |
Charter Communications Inc*,# | | 731 | | 301,633 | |
Cisco Systems Inc | | 26,226 | | 1,172,827 | |
Comcast Corp | | 28,224 | | 1,021,427 | |
Corning Inc | | 4,990 | | 171,257 | |
DISH Network Corp* | | 1,784 | | 30,952 | |
eBay Inc# | | 3,534 | | 155,955 | |
Etsy Inc*,# | | 797 | | 84,171 | |
Expedia Group Inc* | | 887 | | 91,051 | |
F5 Inc*,# | | 424 | | 66,593 | |
FactSet Research Systems Inc | | 239 | | 103,568 | |
Fox Corp | | 913 | | 28,869 | |
The Interpublic Group of Cos Inc | | 2,667 | | 73,716 | |
Juniper Networks Inc | | 2,302 | | 65,423 | |
Lumen Technologies Inc# | | 6,449 | | 64,232 | |
Match Group Inc* | | 1,756 | | 99,267 | |
Meta Platforms Inc*,(a) | | 14,479 | | 2,359,063 | |
Motorola Solutions Inc# | | 1,074 | | 261,422 | |
Netflix Inc* | | 2,808 | | 627,756 | |
News Corp - Class A | | 2,672 | | 45,210 | |
News Corp - Class B | | 910 | | 15,688 | |
NortonLifeLock Inc | | 4,015 | | 90,699 | |
Omnicom Group Inc | | 1,397 | | 93,459 | |
Security Description |
| Shares |
| Value | |
Paramount Global | | 3,816 | | $89,256 | |
T-Mobile US Inc* | | 3,719 | | 535,387 | |
Twitter Inc* | | 4,815 | | 186,581 | |
VeriSign Inc* | | 617 | | 112,430 | |
Verizon Communications Inc | | 26,273 | | 1,098,474 | |
The Walt Disney Co* | | 11,531 | | 1,292,394 | |
Warner Bros Discovery Inc* | | 13,955 | | 184,764 | |
Total Communications | | | | 26,972,401 | |
| | | | | |
Consumer, Cyclical (9.60%) | | | | ||
Advance Auto Parts Inc | | 415 | | 69,986 | |
Alaska Air Group Inc* | | 808 | | 35,196 | |
American Airlines Group Inc*,# | | 3,057 | | 39,710 | |
Aptiv PLC*,# | | 1,715 | | 160,232 | |
AutoZone Inc* | | 125 | | 264,901 | |
Bath & Body Works Inc | | 1,525 | | 56,928 | |
Best Buy Co Inc | | 1,278 | | 90,342 | |
BorgWarner Inc | | 1,412 | | 53,232 | |
Caesars Entertainment Inc* | | 945 | | 40,748 | |
CarMax Inc* | | 1,034 | | 91,447 | |
Carnival Corp*,# | | 5,174 | | 48,946 | |
Chipotle Mexican Grill Inc* | | 175 | | 279,440 | |
Copart Inc* | | 1,407 | | 168,348 | |
Costco Wholesale Corp | | 2,805 | | 1,464,491 | |
Cummins Inc | | 904 | | 194,694 | |
Darden Restaurants Inc | | 850 | | 105,154 | |
Delta Air Lines Inc* | | 4,086 | | 126,952 | |
Dollar General Corp | | 1,444 | | 342,834 | |
Dollar Tree Inc* | | 1,421 | | 192,801 | |
Domino’s Pizza Inc | | 233 | | 86,643 | |
DR Horton Inc | | 2,022 | | 143,865 | |
Fastenal Co | | 3,749 | | 188,687 | |
Ford Motor Co | | 24,832 | | 378,440 | |
General Motors Co | | 8,316 | | 317,754 | |
Genuine Parts Co | | 908 | | 141,657 | |
Hasbro Inc | | 832 | | 65,578 | |
Hilton Worldwide Holdings Inc | | 1,779 | | 226,573 | |
The Home Depot Inc | | 6,523 | | 1,881,364 | |
Las Vegas Sands Corp* | | 2,145 | | 80,716 | |
Lennar Corp | | 1,632 | | 126,398 | |
Live Nation Entertainment Inc*,# | | 836 | | 75,541 | |
LKQ Corp | | 1,642 | | 87,387 | |
Lowe’s Cos Inc | | 4,173 | | 810,146 | |
Marriott International Inc# | | 1,737 | | 267,046 | |
McDonald’s Corp | | 4,668 | | 1,177,643 | |
MGM Resorts International | | 2,232 | | 72,852 | |
Newell Brands Inc | | 2,691 | | 48,034 | |
NIKE Inc | | 8,010 | | 852,665 | |
Norwegian Cruise Line Holdings Ltd* | | 1,599 | | 20,915 | |
NVR Inc* | | 21 | | 86,941 | |
O’Reilly Automotive Inc* | | 414 | | 288,608 | |
PACCAR Inc | | 2,262 | | 197,948 | |
Penn Entertainment Inc* | | 674 | | 21,049 | |
Pool Corp | | 269 | | 91,242 | |
PulteGroup Inc | | 1,500 | | 60,990 | |
Security Description |
| Shares |
| Value | |
PVH Corp | | 464 | | $26,100 | |
Ralph Lauren Corp# | | 314 | | 28,678 | |
Ross Stores Inc | | 2,209 | | 190,570 | |
Royal Caribbean Cruises Ltd* | | 1,236 | | 50,491 | |
Southwest Airlines Co* | | 3,416 | | 125,367 | |
Starbucks Corp | | 7,240 | | 608,667 | |
Tapestry Inc | | 1,811 | | 62,896 | |
Target Corp# | | 2,919 | | 468,032 | |
Tesla Inc* | | 15,831 | | 4,363,182 | |
The TJX Cos Inc | | 7,414 | | 462,263 | |
Tractor Supply Co | | 706 | | 130,716 | |
Ulta Beauty Inc* | | 329 | | 138,137 | |
United Airlines Holdings Inc* | | 1,732 | | 60,637 | |
VF Corp | | 2,109 | | 87,418 | |
Walgreens Boots Alliance Inc# | | 4,694 | | 164,572 | |
Walmart Inc | | 8,832 | | 1,170,682 | |
Whirlpool Corp | | 354 | | 55,436 | |
WW Grainger Inc | | 277 | | 153,718 | |
Wynn Resorts Ltd* | | 526 | | 31,870 | |
Yum! Brands Inc | | 1,876 | | 208,686 | |
Total Consumer, Cyclical | | 20,211,182 | | ||
| | | | | |
Consumer, Non-Cyclical (21.24%) | | | | ||
Abbott Laboratories | | 11,054 | | 1,134,693 | |
AbbVie Inc# | | 11,112 | | 1,494,120 | |
ABIOMED Inc* | | 310 | | 80,377 | |
Align Technology Inc* | | 473 | | 115,270 | |
Altria Group Inc | | 11,430 | | 515,722 | |
AmerisourceBergen Corp | | 952 | | 139,525 | |
Amgen Inc | | 3,372 | | 810,292 | |
Archer-Daniels-Midland Co | | 3,634 | | 319,392 | |
Automatic Data Processing Inc | | 2,637 | | 644,509 | |
Avery Dennison Corp | | 567 | | 104,113 | |
Baxter International Inc | | 3,172 | | 182,263 | |
Becton Dickinson and Co | | 1,799 | | 454,104 | |
Biogen Inc* | | 924 | | 180,531 | |
Bio-Rad Laboratories Inc* | | 147 | | 71,301 | |
Bio-Techne Corp | | 246 | | 81,625 | |
Boston Scientific Corp* | | 9,036 | | 364,241 | |
Bristol-Myers Squibb Co | | 13,441 | | 906,058 | |
Brown-Forman Corp | | 1,153 | | 83,823 | |
Campbell Soup Co | | 1,162 | | 58,542 | |
Catalent Inc* | | 1,096 | | 96,448 | |
Centene Corp* | | 3,700 | | 332,038 | |
Charles River Laboratories International Inc* | | 322 | | 66,091 | |
Church & Dwight Co Inc | | 1,558 | | 130,420 | |
Cigna Corp | | 2,003 | | 567,750 | |
Cintas Corp | | 549 | | 223,355 | |
The Clorox Co | | 779 | | 112,441 | |
The Coca-Cola Co | | 24,654 | | 1,521,398 | |
Colgate-Palmolive Co | | 5,290 | | 413,731 | |
Conagra Brands Inc | | 3,029 | | 104,137 | |
Constellation Brands Inc | | 1,027 | | 252,693 | |
Corteva Inc | | 4,568 | | 280,612 | |
CVS Health Corp | | 8,246 | | 809,345 | |
Danaher Corp | | 4,032 | | 1,088,277 | |
16
S&P 500 Index FundPortfolio of Investments (Continued)8/31/22 |
See accompanying notes to financial statements.
Security Description |
| Shares |
| Value | |
American Tower Corp | | 2,901 | | $736,999 | |
Ameriprise Financial Inc | | 721 | | 193,235 | |
Aon PLC | | 1,340 | | 374,208 | |
Arthur J Gallagher & Co | | 1,256 | | 228,052 | |
Assurant Inc | | 341 | | 54,045 | |
AvalonBay Communities Inc | | 882 | | 177,203 | |
Bank of America Corp | | 44,761 | | 1,504,417 | |
The Bank of New York Mellon Corp | | 4,700 | | 195,191 | |
Berkshire Hathaway Inc*,(a) | | 11,377 | | 3,194,662 | |
BlackRock Inc | | 908 | | 605,082 | |
Boston Properties Inc | | 925 | | 73,473 | |
Brown & Brown Inc | | 1,483 | | 93,488 | |
Camden Property Trust | | 649 | | 83,403 | |
Capital One Financial Corp | | 2,481 | | 262,539 | |
Cboe Global Markets Inc# | | 706 | | 83,287 | |
CBRE Group Inc* | | 2,058 | | 162,500 | |
The Charles Schwab Corp | | 9,527 | | 675,941 | |
Chubb Ltd | | 2,675 | | 505,709 | |
Cincinnati Financial Corp | | 941 | | 91,239 | |
Citigroup Inc | | 12,259 | | 598,362 | |
Citizens Financial Group Inc | | 2,789 | | 102,301 | |
CME Group Inc | | 2,279 | | 445,795 | |
Comerica Inc | | 908 | | 72,912 | |
Crown Castle Inc | | 2,780 | | 474,907 | |
Digital Realty Trust Inc# | | 1,797 | | 222,163 | |
Discover Financial Services | | 1,773 | | 178,169 | |
Duke Realty Corp | | 2,510 | | 147,714 | |
Equinix Inc | | 581 | | 381,932 | |
Equity Residential | | 2,236 | | 163,630 | |
Essex Property Trust Inc | | 425 | | 112,651 | |
Everest Re Group Ltd | | 280 | | 75,334 | |
Extra Space Storage Inc | | 844 | | 167,728 | |
Federal Realty Investment Trust | | 449 | | 45,470 | |
Fifth Third Bancorp | | 4,528 | | 154,631 | |
First Republic Bank | | 1,159 | | 175,971 | |
Franklin Resources Inc | | 1,991 | | 51,905 | |
Globe Life Inc | | 628 | | 61,035 | |
The Goldman Sachs Group Inc | | 2,139 | | 711,581 | |
The Hartford Financial Services Group Inc | | 2,076 | | 133,508 | |
Healthpeak Properties Inc | | 3,020 | | 79,275 | |
Host Hotels & Resorts Inc# | | 4,539 | | 80,658 | |
Huntington Bancshares Inc | | 7,104 | | 95,194 | |
Intercontinental Exchange Inc | | 3,524 | | 355,395 | |
Invesco Ltd | | 2,486 | | 40,944 | |
Iron Mountain Inc# | | 1,369 | | 72,023 | |
JPMorgan Chase & Co | | 18,542 | | 2,108,782 | |
KeyCorp | | 6,069 | | 107,361 | |
Kimco Realty Corp | | 2,994 | | 63,114 | |
Lincoln National Corp | | 1,186 | | 54,627 | |
M&T Bank Corp | | 1,177 | | 213,955 | |
Marsh & McLennan Cos Inc | | 3,215 | | 518,805 | |
Mastercard Inc | | 5,421 | | 1,758,410 | |
MetLife Inc | | 4,363 | | 280,672 | |
Mid-America Apartment Communities Inc | | 732 | | 121,270 | |
Morgan Stanley | | 8,835 | | 752,919 | |
Security Description |
| Shares |
| Value | |
ResMed Inc | | 946 | | $208,044 | |
Robert Half International Inc | | 808 | | 62,192 | |
Rollins Inc | | 693 | | 23,396 | |
S&P Global Inc | | 2,191 | | 771,626 | |
STERIS PLC | | 603 | | 121,432 | |
Stryker Corp | | 2,135 | | 438,102 | |
Sysco Corp | | 3,216 | | 264,420 | |
Teleflex Inc | | 318 | | 71,951 | |
Thermo Fisher Scientific Inc | | 2,471 | | 1,347,486 | |
Tyson Foods Inc | | 1,921 | | 144,805 | |
United Rentals Inc* | | 459 | | 134,046 | |
UnitedHealth Group Inc | | 5,899 | | 3,063,537 | |
Universal Health Services Inc | | 423 | | 41,386 | |
Verisk Analytics Inc | | 996 | | 186,411 | |
Vertex Pharmaceuticals Inc* | | 1,614 | | 454,761 | |
Viatris Inc | | 4,634 | | 44,255 | |
Waters Corp* | | 405 | | 120,933 | |
West Pharmaceutical Services Inc | | 474 | | 140,631 | |
Zimmer Biomet Holdings Inc | | 1,338 | | 142,256 | |
Zoetis Inc | | 3,007 | | 470,686 | |
Total Consumer, Non-Cyclical | | 44,703,226 | | ||
| | | | | |
Energy (4.82%) | | | | | |
APA Corp | | 2,135 | | 83,500 | |
Baker Hughes Co | | 5,905 | | 149,160 | |
Chevron Corp | | 12,272 | | 1,939,712 | |
ConocoPhillips | | 8,165 | | 893,659 | |
Coterra Energy Inc | | 5,087 | | 157,239 | |
Devon Energy Corp | | 3,875 | | 273,653 | |
Diamondback Energy Inc | | 1,031 | | 137,412 | |
Enphase Energy Inc* | | 825 | | 236,313 | |
EOG Resources Inc# | | 3,697 | | 448,446 | |
Exxon Mobil Corp | | 26,595 | | 2,542,216 | |
Halliburton Co | | 5,694 | | 171,560 | |
Hess Corp | | 1,823 | | 220,182 | |
Kinder Morgan Inc | | 12,716 | | 232,957 | |
Marathon Oil Corp | | 4,467 | | 114,311 | |
Marathon Petroleum Corp | | 3,415 | | 344,061 | |
Occidental Petroleum Corp# | | 5,528 | | 392,488 | |
ONEOK Inc | | 2,916 | | 178,547 | |
Phillips 66 | | 2,852 | | 255,140 | |
Pioneer Natural Resources Co# | | 1,420 | | 359,572 | |
Schlumberger NV | | 9,092 | | 346,860 | |
SolarEdge Technologies Inc* | | 334 | | 92,174 | |
Valero Energy Corp | | 2,566 | | 300,530 | |
The Williams Cos Inc# | | 7,926 | | 269,722 | |
Total Energy | | | | 10,139,414 | |
| | | | | |
Financial (14.81%) | | | | | |
Aflac Inc | | 3,741 | | 222,290 | |
Alexandria Real Estate Equities Inc | | 937 | | 143,736 | |
The Allstate Corp | | 1,736 | | 209,188 | |
American Express Co | | 3,835 | | 582,920 | |
American International Group Inc | | 5,001 | | 258,802 | |
Security Description |
| Shares |
| Value | |
DaVita Inc* | | 482 | | $41,110 | |
DENTSPLY SIRONA Inc | | 1,160 | | 38,013 | |
Dexcom Inc* | | 2,508 | | 206,183 | |
Edwards Lifesciences Corp* | | 3,955 | | 356,346 | |
Elevance Health Inc | | 1,522 | | 738,337 | |
Eli Lilly & Co# | | 4,978 | | 1,499,523 | |
Equifax Inc | | 794 | | 149,868 | |
The Estee Lauder Cos Inc | | 1,489 | | 378,772 | |
FleetCor Technologies Inc* | | 488 | | 103,715 | |
Gartner Inc* | | 508 | | 144,943 | |
General Mills Inc | | 3,801 | | 291,917 | |
Gilead Sciences Inc | | 7,918 | | 502,555 | |
Global Payments Inc | | 1,777 | | 220,757 | |
HCA Healthcare Inc | | 1,436 | | 284,141 | |
Henry Schein Inc* | | 871 | | 63,940 | |
The Hershey Co# | | 941 | | 211,414 | |
Hologic Inc* | | 1,678 | | 113,366 | |
Hormel Foods Corp | | 1,912 | | 96,135 | |
Humana Inc | | 798 | | 384,460 | |
IDEXX Laboratories Inc* | | 539 | | 187,367 | |
Illumina Inc* | | 953 | | 192,163 | |
Incyte Corp* | | 1,229 | | 86,558 | |
Intuitive Surgical Inc* | | 2,274 | | 467,853 | |
IQVIA Holdings Inc* | | 1,146 | | 243,708 | |
The J M Smucker Co | | 745 | | 104,293 | |
Johnson & Johnson | | 16,547 | | 2,669,693 | |
Kellogg Co | | 1,661 | | 120,821 | |
Keurig Dr Pepper Inc | | 4,656 | | 177,487 | |
Kimberly-Clark Corp# | | 2,137 | | 272,510 | |
The Kraft Heinz Co | | 4,282 | | 160,147 | |
The Kroger Co# | | 4,315 | | 206,861 | |
Laboratory Corp of America Holdings | | 585 | | 131,783 | |
Lamb Weston Holdings Inc | | 955 | | 75,951 | |
MarketAxess Holdings Inc | | 260 | | 64,633 | |
McCormick & Co Inc | | 1,581 | | 132,915 | |
McKesson Corp | | 917 | | 336,539 | |
Medtronic PLC | | 8,528 | | 749,782 | |
Merck & Co Inc# | | 15,965 | | 1,362,772 | |
Moderna Inc* | | 2,228 | | 294,698 | |
Molina Healthcare Inc* | | 371 | | 125,164 | |
Molson Coors Beverage Co | | 1,200 | | 62,004 | |
Mondelez International Inc | | 8,737 | | 540,471 | |
Monster Beverage Corp* | | 2,413 | | 214,347 | |
Moody’s Corp | | 1,013 | | 288,219 | |
Nielsen Holdings PLC | | 1,879 | | 52,311 | |
Organon & Co | | 1,633 | | 46,589 | |
PayPal Holdings Inc* | | 7,282 | | 680,430 | |
PepsiCo Inc | | 8,695 | | 1,497,888 | |
PerkinElmer Inc# | | 796 | | 107,508 | |
Pfizer Inc | | 35,284 | | 1,595,895 | |
Philip Morris International Inc | | 9,786 | | 934,465 | |
The Procter & Gamble Co | | 15,147 | | 2,089,377 | |
Quanta Services Inc | | 883 | | 124,768 | |
Quest Diagnostics Inc | | 775 | | 97,115 | |
Regeneron Pharmaceuticals Inc* | | 673 | | 391,053 | |
17
S&P 500 Index FundPortfolio of Investments (Continued)8/31/22 |
See accompanying notes to financial statements.
Security Description |
| Shares |
| Value | |
Advanced Micro Devices Inc* | | 10,230 | | $868,220 | |
Analog Devices Inc | | 3,303 | | 500,504 | |
ANSYS Inc* | | 560 | | 139,048 | |
Apple Inc#,(a) | | 96,691 | | 15,201,777 | |
Applied Materials Inc | | 5,577 | | 524,628 | |
Autodesk Inc* | | 1,396 | | 281,629 | |
Broadcom Inc | | 2,577 | | 1,286,206 | |
Broadridge Financial Solutions Inc | | 788 | | 134,882 | |
Cadence Design Systems Inc* | | 1,756 | | 305,140 | |
Ceridian HCM Holding Inc* | | 855 | | 50,992 | |
Citrix Systems Inc# | | 791 | | 81,291 | |
Cognizant Technology Solutions Corp | | 3,335 | | 210,672 | |
DXC Technology Co* | | 1,730 | | 42,869 | |
Electronic Arts Inc | | 1,768 | | 224,306 | |
EPAM Systems Inc* | | 359 | | 153,114 | |
Fidelity National Information Services Inc | | 3,855 | | 352,231 | |
Fiserv Inc* | | 3,670 | | 371,367 | |
Fortinet Inc* | | 4,205 | | 204,741 | |
Hewlett Packard Enterprise Co | | 8,406 | | 114,322 | |
HP Inc | | 6,878 | | 197,467 | |
Intel Corp | | 25,746 | | 821,812 | |
International Business Machines Corp# | | 5,688 | | 730,624 | |
Intuit Inc | | 1,757 | | 758,637 | |
Jack Henry & Associates Inc | | 460 | | 88,412 | |
KLA Corp | | 942 | | 324,170 | |
Lam Research Corp# | | 875 | | 383,171 | |
Leidos Holdings Inc | | 915 | | 86,971 | |
Microchip Technology Inc | | 3,286 | | 214,412 | |
Micron Technology Inc | | 7,124 | | 402,720 | |
Microsoft Corp(a) | | 47,031 | | 12,297,196 | |
Monolithic Power Systems Inc | | 267 | | 120,999 | |
MSCI Inc | | 530 | | 238,097 | |
NetApp Inc | | 1,421 | | 102,497 | |
NVIDIA Corp# | | 15,746 | | 2,376,701 | |
NXP Semiconductors NV# | | 1,526 | | 251,149 | |
ON Semiconductor Corp* | | 2,743 | | 188,636 | |
Oracle Corp | | 10,009 | | 742,167 | |
Paychex Inc | | 2,089 | | 257,657 | |
Paycom Software Inc* | | 305 | | 107,116 | |
PTC Inc* | | 681 | | 78,240 | |
Qorvo Inc* | | 744 | | 66,796 | |
QUALCOMM Inc | | 7,070 | | 935,149 | |
Roper Technologies Inc | | 684 | | 275,365 | |
Salesforce Inc*,# | | 6,236 | | 973,564 | |
Seagate Technology Holdings PLC | | 1,368 | | 91,601 | |
ServiceNow Inc* | | 1,243 | | 540,233 | |
Skyworks Solutions Inc | | 1,059 | | 104,364 | |
Synopsys Inc* | | 962 | | 332,871 | |
Take-Two Interactive Software Inc* | | 778 | | 95,352 | |
Teradyne Inc | | 1,007 | | 85,232 | |
Texas Instruments Inc | | 5,821 | | 961,687 | |
Tyler Technologies Inc* | | 246 | | 91,391 | |
Western Digital Corp* | | 1,916 | | 80,970 | |
Security Description |
| Shares |
| Value | |
Fortune Brands Home & Security Inc | | 957 | | $58,789 | |
Generac Holdings Inc* | | 285 | | 62,817 | |
General Dynamics Corp | | 1,455 | | 333,093 | |
General Electric Co | | 7,059 | | 518,413 | |
Honeywell International Inc | | 4,297 | | 813,637 | |
Howmet Aerospace Inc | | 2,478 | | 87,796 | |
Huntington Ingalls Industries Inc | | 281 | | 64,703 | |
IDEX Corp | | 523 | | 105,233 | |
Illinois Tool Works Inc | | 1,818 | | 354,201 | |
Ingersoll Rand Inc | | 2,562 | | 121,362 | |
Jacobs Solutions Inc | | 846 | | 105,395 | |
JB Hunt Transport Services Inc | | 529 | | 92,057 | |
Johnson Controls International plc | | 4,519 | | 244,659 | |
Keysight Technologies Inc* | | 1,144 | | 187,490 | |
L3Harris Technologies Inc | | 1,217 | | 277,707 | |
Lockheed Martin Corp | | 1,495 | | 628,064 | |
Martin Marietta Materials Inc | | 396 | | 137,693 | |
Mettler-Toledo International Inc* | | 143 | | 173,382 | |
Mohawk Industries Inc*,# | | 390 | | 43,040 | |
Nordson Corp | | 343 | | 77,919 | |
Norfolk Southern Corp | | 1,504 | | 365,668 | |
Northrop Grumman Corp | | 922 | | 440,707 | |
Old Dominion Freight Line Inc# | | 595 | | 161,489 | |
Otis Worldwide Corp | | 2,659 | | 192,033 | |
Packaging Corp of America | | 651 | | 89,135 | |
Parker-Hannifin Corp | | 810 | | 214,650 | |
Pentair PLC# | | 1,156 | | 51,442 | |
Raytheon Technologies Corp | | 9,389 | | 842,663 | |
Republic Services Inc | | 1,333 | | 190,246 | |
Rockwell Automation Inc | | 758 | | 179,601 | |
Sealed Air Corp | | 922 | | 49,613 | |
Snap-on Inc | | 354 | | 77,122 | |
Stanley Black & Decker Inc | | 953 | | 83,959 | |
TE Connectivity Ltd | | 2,081 | | 262,643 | |
Teledyne Technologies Inc* | | 318 | | 117,138 | |
Textron Inc | | 1,451 | | 90,513 | |
Trane Technologies PLC | | 1,507 | | 232,183 | |
TransDigm Group Inc | | 342 | | 205,333 | |
Trimble Inc* | | 1,634 | | 103,351 | |
Union Pacific Corp | | 3,964 | | 889,958 | |
United Parcel Service Inc# | | 4,621 | | 898,831 | |
Vulcan Materials Co | | 865 | | 144,014 | |
Waste Management Inc | | 2,458 | | 415,476 | |
Westinghouse Air Brake Technologies Corp# | | 1,153 | | 101,060 | |
Westrock Co | | 1,715 | | 69,612 | |
Xylem Inc | | 1,143 | | 104,127 | |
Total Industrial | | | | 16,451,763 | |
| | | | | |
Technology (23.37%) | | | | | |
Accenture PLC | | 3,983 | | 1,148,936 | |
Activision Blizzard Inc | | 4,949 | | 388,447 | |
Adobe Inc*,# | | 2,983 | | 1,113,972 | |
Security Description |
| Shares |
| Value | |
Nasdaq Inc | | 2,247 | | $133,764 | |
Northern Trust Corp | | 1,359 | | 129,227 | |
The PNC Financial Services Group Inc | | 2,611 | | 412,538 | |
Principal Financial Group Inc# | | 1,584 | | 118,420 | |
The Progressive Corp | | 3,713 | | 455,399 | |
Prologis Inc | | 4,691 | | 584,076 | |
Prudential Financial Inc | | 2,454 | | 234,971 | |
Public Storage | | 964 | | 318,920 | |
Raymond James Financial Inc | | 1,273 | | 132,863 | |
Realty Income Corp | | 3,496 | | 238,707 | |
Regency Centers Corp | | 1,109 | | 67,472 | |
Regions Financial Corp | | 6,273 | | 135,936 | |
SBA Communications Corp | | 680 | | 221,170 | |
Signature Bank | | 386 | | 67,303 | |
Simon Property Group Inc | | 2,085 | | 212,628 | |
State Street Corp | | 2,304 | | 157,478 | |
SVB Financial Group* | | 354 | | 143,908 | |
Synchrony Financial# | | 3,166 | | 103,687 | |
T Rowe Price Group Inc | | 1,478 | | 177,360 | |
The Travelers Cos Inc | | 1,514 | | 244,723 | |
Truist Financial Corp | | 8,471 | | 396,782 | |
UDR Inc | | 1,770 | | 79,420 | |
US Bancorp | | 8,502 | | 387,776 | |
Ventas Inc | | 2,564 | | 122,713 | |
VICI Properties Inc | | 6,079 | | 200,546 | |
Visa Inc | | 10,389 | | 2,064,398 | |
Vornado Realty Trust | | 1,028 | | 26,954 | |
W R Berkley Corp | | 1,335 | | 86,508 | |
Wells Fargo & Co | | 23,929 | | 1,045,937 | |
Welltower Inc# | | 2,792 | | 214,007 | |
Weyerhaeuser Co | | 4,832 | | 165,061 | |
Willis Towers Watson PLC | | 703 | | 145,401 | |
Zions Bancorp NA | | 1,054 | | 58,002 | |
Total Financial | | | | 31,176,767 | |
| | | |
| |
Industrial (7.82%) | | | | | |
3M Co# | | 3,592 | | 446,665 | |
A O Smith Corp | | 942 | | 53,176 | |
Agilent Technologies Inc# | | 1,952 | | 250,344 | |
Allegion plc | | 601 | | 57,155 | |
Amcor PLC | | 9,487 | | 113,939 | |
AMETEK Inc | | 1,502 | | 180,480 | |
Amphenol Corp | | 3,796 | | 279,120 | |
Ball Corp | | 2,136 | | 119,210 | |
The Boeing Co* | | 3,466 | | 555,427 | |
Carrier Global Corp | | 5,321 | | 208,158 | |
Caterpillar Inc | | 3,367 | | 621,919 | |
CH Robinson Worldwide Inc# | | 835 | | 95,315 | |
CSX Corp | | 13,726 | | 434,428 | |
Deere & Co# | | 1,762 | | 643,571 | |
Dover Corp | | 941 | | 117,587 | |
Eaton Corp PLC | | 2,529 | | 345,563 | |
Emerson Electric Co | | 3,793 | | 310,040 | |
Expeditors International of Washington Inc | | 1,105 | | 113,693 | |
FedEx Corp | | 1,505 | | 317,269 | |
Fortive Corp | | 2,032 | | 128,687 | |
18
S&P 500 Index FundPortfolio of Investments (Continued)8/31/22 |
See accompanying notes to financial statements.
S&P MidCap Index FundPortfolio of Investments 8/31/22 |
Security Description |
| Shares |
| Value | |
| |||||
Common Stock (99.53%) | | | | | |
| | | | | |
Basic Materials (5.61%) | | | | | |
Alcoa Corp(a) | | 9,686 | | $479,263 | |
Ashland Inc | | 2,785 | | 283,402 | |
Avient Corp | | 4,838 | | 212,050 | |
Cabot Corp | | 3,138 | | 225,842 | |
The Chemours Co | | 8,419 | | 283,973 | |
Cleveland-Cliffs Inc*,(a) | | 25,413 | | 438,883 | |
Commercial Metals Co | | 6,656 | | 269,635 | |
Ingevity Corp* | | 2,033 | | 142,595 | |
Minerals Technologies Inc | | 1,876 | | 109,296 | |
MP Materials Corp* | | 1,957 | | 68,475 | |
NewMarket Corp | | 355 | | 101,960 | |
Olin Corp | | 7,299 | | 398,963 | |
Reliance Steel & Aluminum Co | | 3,258 | | 612,439 | |
Royal Gold Inc | | 3,477 | | 319,536 | |
RPM International Inc | | 6,878 | | 640,754 | |
Sensient Technologies Corp | | 2,347 | | 186,985 | |
Steel Dynamics Inc(a) | | 9,427 | | 760,947 | |
United States Steel Corp | | 13,728 | | 313,959 | |
Valvoline Inc | | 9,580 | | 278,491 | |
Total Basic Materials | | | | 6,127,448 | |
| | | | | |
Communications (1.92%) | | | | | |
Cable One Inc | | 262 | | 297,370 | |
Calix Inc* | | 2,919 | | 171,783 | |
Ciena Corp* | | 8,202 | | 416,169 | |
Security Description |
| Shares |
| Value | |
| |||||
Iridium Communications Inc* | | 6,514 | | $289,156 | |
The New York Times Co | | 8,025 | | 244,682 | |
TEGNA Inc | | 11,717 | | 250,744 | |
TripAdvisor Inc* | | 5,427 | | 129,163 | |
Viasat Inc* | | 3,475 | | 131,981 | |
World Wrestling Entertainment Inc | | 2,392 | | 162,680 | |
Total Communications | | | | 2,093,728 | |
| | | | | |
Consumer, Cyclical (14.72%) | | | | ||
Adient PLC* | | 5,245 | | 174,134 | |
American Eagle Outfitters Inc | | 8,412 | | 94,719 | |
AutoNation Inc* | | 1,871 | | 233,127 | |
BJ’s Wholesale Club Holdings Inc* | | 7,095 | | 528,507 | |
Boyd Gaming Corp | | 4,450 | | 242,214 | |
Brunswick Corp | | 4,107 | | 306,834 | |
Callaway Golf Co* | | 6,451 | | 142,761 | |
Capri Holdings Ltd* | | 7,747 | | 365,503 | |
Carter’s Inc | | 2,119 | | 156,488 | |
Casey’s General Stores Inc | | 1,962 | | 419,417 | |
Choice Hotels International Inc | | 1,626 | | 186,518 | |
Churchill Downs Inc | | 1,837 | | 362,054 | |
Columbia Sportswear Co | | 1,749 | | 124,599 | |
Cracker Barrel Old Country Store Inc | | 1,323 | | 142,805 | |
Crocs Inc* | | 3,306 | | 243,652 | |
Security Description |
| Shares |
| Value | |
| |||||
Dana Inc | | 7,697 | | $119,073 | |
Deckers Outdoor Corp* | | 1,466 | | 471,422 | |
Dick’s Sporting Goods Inc | | 3,053 | | 324,748 | |
FirstCash Holdings Inc | | 2,071 | | 161,455 | |
Five Below Inc* | | 2,967 | | 379,420 | |
Foot Locker Inc | | 4,774 | | 175,874 | |
Fox Factory Holding Corp* | | 2,181 | | 203,291 | |
GameStop Corp*,# | | 12,308 | | 352,501 | |
The Gap Inc | | 11,312 | | 103,392 | |
Gentex Corp | | 12,664 | | 345,601 | |
The Goodyear Tire & Rubber Co* | | 13,550 | | 190,107 | |
Hanesbrands Inc | | 18,591 | | 161,928 | |
Harley-Davidson Inc | | 7,734 | | 298,300 | |
IAA Inc* | | 7,144 | | 266,185 | |
JetBlue Airways Corp* | | 16,855 | | 131,300 | |
KB Home | | 4,767 | | 136,575 | |
Kohl’s Corp | | 6,763 | | 192,204 | |
Lear Corp | | 3,046 | | 422,297 | |
Leggett & Platt Inc | | 7,100 | | 271,362 | |
Light & Wonder Inc* | | 5,107 | | 251,418 | |
Lithia Motors Inc | | 1,500 | | 398,160 | |
Macy’s Inc | | 14,982 | | 259,488 | |
Marriott Vacations Worldwide Corp | | 2,090 | | 297,658 | |
Mattel Inc* | | 18,495 | | 409,109 | |
MillerKnoll Inc | | 3,558 | | 98,485 | |
MSC Industrial Direct Co Inc | | 2,536 | | 200,877 | |
Security Description |
| Shares |
| Value | |
Total Investments | | $220,991,998 | | ||
Liabilities in Excess of Other Assets (-4.99%) | | (10,494,791 | ) | ||
Net Assets (100.00%) | | $210,497,207 | |
*Non-income producing security.
#Loaned security; a portion of the security is on loan at August 31, 2022.
(a)A portion of these securities, a total of $12,302,336, have been pledged or segregated in connection with obligations for futures contracts.
Futures contracts at August 31, 2022: | | ||||||
Contracts - $50 times premium / delivery month / commitment / exchange | | ||||||
S&P 500 E-MINI |
| Notional Amount |
| Value |
| Unrealized Loss | |
3 / SEP 2022 / Long / CME | | $636,588 | | $593,475 | | $(43,113 | ) |
Security Description |
| Shares |
| Value | |
NextEra Energy Inc | | 12,449 | | $1,058,903 | |
NiSource Inc | | 2,050 | | 60,496 | |
NRG Energy Inc# | | 1,663 | | 68,649 | |
Pinnacle West Capital Corp | | 806 | | 60,732 | |
PPL Corp | | 4,645 | | 135,077 | |
Public Service Enterprise Group Inc | | 3,151 | | 202,798 | |
Sempra Energy | | 1,939 | | 319,877 | |
The Southern Co | | 6,719 | | 517,833 | |
WEC Energy Group Inc | | 2,060 | | 212,468 | |
Xcel Energy Inc# | | 3,432 | | 254,826 | |
Total Utilities | | | | 6,598,104 | |
| | | | | |
Total Common Stock | | | | 209,766,415 | |
| | | |
| |
United States Treasury Bills (0.19%) | | ||||
2.258%, 09/27/2022 | | 400,000 | | 399,341 | |
| | | |
| |
Collateral Received for Securities on Loan (5.14%) | | ||||
Mount Vernon Liquid Assets Portfolio, 7-Day Yield: 2.47% (Cost $10,826,242) | | | | 10,826,242 | |
Security Description |
| Shares |
| Value | |
Zebra Technologies Corp* | | 348 | | $104,971 | |
Total Technology | | | | 49,207,682 | |
| | | | | |
Utilities (3.13%) | | | | | |
The AES Corp | | 4,344 | | 110,555 | |
Alliant Energy Corp | | 1,583 | | 96,626 | |
Ameren Corp | | 1,682 | | 155,787 | |
American Electric Power Co Inc | | 3,242 | | 324,848 | |
American Water Works Co Inc | | 1,183 | | 175,616 | |
Atmos Energy Corp | | 820 | | 92,972 | |
CenterPoint Energy Inc | | 2,979 | | 93,928 | |
CMS Energy Corp | | 1,870 | | 126,300 | |
Consolidated Edison Inc | | 2,227 | | 217,667 | |
Constellation Energy Corp | | 2,068 | | 168,728 | |
Dominion Energy Inc | | 5,130 | | 419,634 | |
DTE Energy Co | | 1,258 | | 163,968 | |
Duke Energy Corp | | 4,806 | | 513,809 | |
Edison International | | 2,433 | | 164,884 | |
Entergy Corp | | 1,304 | | 150,351 | |
Evergy Inc | | 1,567 | | 107,387 | |
Eversource Energy | | 2,274 | | 203,955 | |
Exelon Corp | | 6,205 | | 272,462 | |
FirstEnergy Corp | | 3,716 | | 146,968 | |
19
See accompanying notes to financial statements.
S&P MidCap Index FundPortfolio of Investments (Continued) 8/31/22 |
Security Description |
| Shares |
| Value | |
| |||||
Murphy USA Inc | | 1,171 | | $339,789 | |
Nordstrom Inc | | 6,132 | | 104,919 | |
Nu Skin Enterprises Inc | | 2,657 | | 108,778 | |
Ollie’s Bargain Outlet Holdings Inc* | | 3,186 | | 176,218 | |
Papa John’s International Inc | | 1,724 | | 139,351 | |
Polaris Inc | | 3,018 | | 341,849 | |
RH* | | 865 | | 221,362 | |
The Scotts Miracle-Gro Co | | 2,158 | | 144,478 | |
Skechers USA Inc* | | 7,149 | | 270,232 | |
Taylor Morrison Home Corp* | | 6,640 | | 166,730 | |
Tempur Sealy International Inc | | 9,212 | | 230,392 | |
Texas Roadhouse Inc | | 3,628 | | 322,021 | |
Thor Industries Inc | | 2,934 | | 237,683 | |
Toll Brothers Inc | | 5,799 | | 253,938 | |
Travel + Leisure Co | | 4,573 | | 193,895 | |
Under Armour Inc - Class A* | | 4,953 | | 41,704 | |
Under Armour Inc - Class C* | | 5,322 | | 40,394 | |
Univar Solutions Inc* | | 9,058 | | 228,443 | |
Victoria’s Secret & Co* | | 3,564 | | 119,180 | |
Visteon Corp* | | 1,554 | | 186,216 | |
Watsco Inc | | 1,747 | | 475,236 | |
The Wendy’s Co | | 9,014 | | 172,889 | |
Williams-Sonoma Inc | | 3,683 | | 547,846 | |
Wingstop Inc | | 1,645 | | 187,300 | |
Wyndham Hotels & Resorts Inc | | 4,956 | | 323,825 | |
YETI Holdings Inc* | | 4,150 | | 153,094 | |
Total Consumer, Cyclical | | 16,073,324 | | ||
| | | | | |
Consumer, Non-Cyclical (16.87%) | | | | ||
Acadia Healthcare Co Inc* | | 4,932 | | 404,079 | |
Amedisys Inc* | | 1,813 | | 214,750 | |
Arrowhead Pharmaceuticals Inc* | | 5,525 | | 219,398 | |
ASGN Inc* | | 2,803 | | 271,050 | |
Avis Budget Group Inc* | | 1,803 | | 301,786 | |
Azenta Inc | | 3,937 | | 207,519 | |
BellRing Brands Inc* | | 5,935 | | 140,600 | |
The Boston Beer Co Inc* | | 514 | | 173,259 | |
The Brink’s Co | | 2,467 | | 136,376 | |
Bruker Corp | | 5,362 | | 300,272 | |
Celsius Holdings Inc* | | 1,513 | | 156,580 | |
Chemed Corp | | 787 | | 374,762 | |
Coca-Cola Consolidated Inc | | 121 | | 57,394 | |
Coty Inc* | | 17,865 | | 134,166 | |
Darling Ingredients Inc*,(a) | | 8,589 | | 653,279 | |
Encompass Health Corp | | 5,273 | | 256,110 | |
Envista Holdings Corp* | | 8,546 | | 316,971 | |
Euronet Worldwide Inc* | | 2,652 | | 235,126 | |
Exelixis Inc* | | 16,697 | | 296,205 | |
Flowers Foods Inc | | 10,549 | | 287,988 | |
FTI Consulting Inc* | | 1,812 | | 291,007 | |
Globus Medical Inc* | | 4,207 | | 249,012 | |
Graham Holdings Co | | 224 | | 126,656 | |
Grand Canyon Education Inc* | | 1,699 | | 138,265 | |
Grocery Outlet Holding Corp* | | 4,882 | | 195,866 | |
GXO Logistics Inc* | | 5,224 | | 231,841 | |
H&R Block Inc | | 8,393 | | 377,685 | |
Security Description |
| Shares |
| Value | |
| |||||
Haemonetics Corp* | | 2,814 | | $211,134 | |
The Hain Celestial Group Inc* | | 4,840 | | 98,058 | |
Halozyme Therapeutics Inc* | | 7,274 | | 296,270 | |
HealthEquity Inc* | | 4,363 | | 288,307 | |
Helen of Troy Ltd* | | 1,277 | | 157,876 | |
ICU Medical Inc* | | 1,078 | | 171,402 | |
Inari Medical Inc* | | 1,706 | | 118,311 | |
Ingredion Inc | | 3,551 | | 309,186 | |
Insperity Inc | | 1,902 | | 207,356 | |
Integra LifeSciences Holdings Corp* | | 3,953 | | 188,598 | |
Jazz Pharmaceuticals PLC* | | 3,129 | | 485,683 | |
John Wiley & Sons Inc | | 2,306 | | 106,145 | |
Lancaster Colony Corp | | 1,051 | | 177,146 | |
LHC Group Inc* | | 1,631 | | 263,358 | |
LivaNova PLC* | | 2,820 | | 158,625 | |
ManpowerGroup Inc | | 2,874 | | 210,722 | |
Masimo Corp* | | 2,684 | | 394,253 | |
Medpace Holdings Inc* | | 1,415 | | 208,868 | |
Neogen Corp*,# | | 5,208 | | 108,847 | |
Neurocrine Biosciences Inc* | | 5,016 | | 524,824 | |
NuVasive Inc* | | 2,872 | | 122,089 | |
Omnicell Inc* | | 2,324 | | 237,722 | |
Option Care Health Inc* | | 7,340 | | 227,246 | |
Patterson Cos Inc | | 4,569 | | 127,429 | |
Paylocity Holding Corp* | | 2,089 | | 503,449 | |
Penumbra Inc* | | 1,871 | | 307,162 | |
Performance Food Group Co* | | 8,145 | | 407,087 | |
Perrigo Co PLC | | 7,087 | | 265,196 | |
Pilgrim’s Pride Corp* | | 2,700 | | 76,869 | |
Post Holdings Inc* | | 2,932 | | 260,244 | |
Progyny Inc* | | 3,648 | | 146,686 | |
QuidelOrtho Corp* | | 2,295 | | 181,902 | |
R1 RCM Inc* | | 7,094 | | 155,004 | |
Repligen Corp* | | 2,730 | | 598,880 | |
Sabre Corp* | | 16,503 | | 118,657 | |
Service Corp International | | 8,348 | | 515,155 | |
Shockwave Medical Inc* | | 1,882 | | 558,691 | |
Sotera Health Co* | | 2,599 | | 43,949 | |
Sprouts Farmers Market Inc* | | 6,052 | | 174,903 | |
STAAR Surgical Co* | | 2,560 | | 242,150 | |
Syneos Health Inc* | | 5,484 | | 329,643 | |
Tandem Diabetes Care Inc* | | 3,340 | | 152,772 | |
Tenet Healthcare Corp* | | 5,708 | | 322,502 | |
United Therapeutics Corp* | | 2,379 | | 539,129 | |
WEX Inc* | | 2,445 | | 377,141 | |
Total Consumer, Non-Cyclical | | 18,424,628 | | ||
| | | | | |
Energy (5.88%) | | | | | |
Antero Midstream Corp | | 17,306 | | 174,271 | |
ChampionX Corp | | 10,834 | | 236,290 | |
CNX Resources Corp*,# | | 10,236 | | 180,870 | |
DT Midstream Inc | | 5,076 | | 280,246 | |
EQT Corp | | 15,515 | | 741,617 | |
Equitrans Midstream Corp | | 20,127 | | 186,577 | |
First Solar Inc* | | 5,240 | | 668,362 | |
HF Sinclair Corp | | 7,866 | | 413,988 | |
Matador Resources Co | | 5,862 | | 349,375 | |
Murphy Oil Corp | | 8,004 | | 311,916 | |
Security Description |
| Shares |
| Value | |
| |||||
NOV Inc | | 20,707 | | $365,893 | |
PDC Energy Inc | | 5,123 | | 347,903 | |
Range Resources Corp* | | 13,142 | | 431,846 | |
Southwestern Energy Co* | | 58,705 | | 439,700 | |
SunPower Corp* | | 4,397 | | 105,528 | |
Sunrun Inc* | | 10,914 | | 360,489 | |
Targa Resources Corp(a) | | 12,118 | | 826,811 | |
Total Energy | | | | 6,421,682 | |
| | | | | |
Financial (23.29%) | | | | | |
Banks (6.99%) | | | | | |
Associated Banc-Corp | | 7,874 | | 157,795 | |
Bank of Hawaii Corp | | 2,220 | | 173,204 | |
Bank OZK | | 5,938 | | 240,667 | |
Cadence Bank | | 9,650 | | 245,882 | |
Cathay General Bancorp | | 4,150 | | 174,051 | |
Commerce Bancshares Inc | | 5,915 | | 406,775 | |
Cullen/Frost Bankers Inc | | 3,002 | | 390,140 | |
East West Bancorp Inc | | 7,519 | | 542,646 | |
First Financial Bankshares Inc | | 6,790 | | 288,643 | |
First Horizon Corp(a) | | 28,096 | | 635,532 | |
FNB Corp | | 17,881 | | 213,142 | |
Fulton Financial Corp | | 8,643 | | 140,276 | |
Glacier Bancorp Inc | | 5,299 | | 268,553 | |
Hancock Whitney Corp | | 4,789 | | 230,973 | |
Home BancShares Inc | | 8,489 | | 199,746 | |
International Bancshares Corp | | 3,086 | | 128,779 | |
Old National Bancorp | | 15,533 | | 259,246 | |
PacWest Bancorp | | 6,472 | | 170,408 | |
Pinnacle Financial Partners Inc | | 4,033 | | 325,503 | |
Prosperity Bancshares Inc | | 4,925 | | 349,084 | |
Synovus Financial Corp | | 7,761 | | 311,682 | |
Texas Capital Bancshares Inc* | | 2,817 | | 166,288 | |
UMB Financial Corp | | 2,395 | | 214,281 | |
Umpqua Holdings Corp | | 11,390 | | 202,059 | |
United Bankshares Inc | | 6,634 | | 246,121 | |
Valley National Bancorp | | 21,550 | | 250,411 | |
Webster Financial Corp | | 9,529 | | 448,339 | |
Wintrust Financial Corp | | 3,023 | | 254,960 | |
| | | | 7,635,186 | |
Diversified Financial Service (2.58%) | | | | ||
Affiliated Managers Group Inc | | 2,034 | | 259,050 | |
Bread Financial Holdings Inc | | 2,799 | | 107,566 | |
Evercore Inc | | 2,101 | | 196,843 | |
Federated Hermes Inc | | 4,810 | | 163,829 | |
Interactive Brokers Group Inc | | 4,471 | | 275,369 | |
Janus Henderson Group PLC | | 8,514 | | 199,228 | |
Jefferies Financial Group Inc | | 10,474 | | 336,111 | |
Navient Corp | | 7,778 | | 119,703 | |
SEI Investments Co | | 5,682 | | 310,805 | |
SLM Corp | | 14,674 | | 224,219 | |
Stifel Financial Corp | | 5,553 | | 329,348 | |
The Western Union Co | | 20,303 | | 300,890 | |
| | | | 2,822,961 | |
Insurance (5.02%) | | | | | |
Alleghany Corp* | | 707 | | 594,714 | |
American Financial Group Inc | | 3,503 | | 447,263 | |
Brighthouse Financial Inc* | | 3,939 | | 187,299 | |
20
See accompanying notes to financial statements.
S&P MidCap Index FundPortfolio of Investments (Continued) 8/31/22 |
Security Description |
| Shares |
| Value | |
| |||||
Oshkosh Corp | | 3,453 | | $275,411 | |
Owens Corning | | 5,105 | | 417,232 | |
Regal Rexnord Corp | | 3,588 | | 493,673 | |
Ryder System Inc | | 2,850 | | 217,854 | |
Saia Inc* | | 1,395 | | 288,528 | |
Silgan Holdings Inc | | 4,332 | | 197,323 | |
Simpson Manufacturing Co Inc | | 2,135 | | 197,786 | |
Sonoco Products Co | | 5,211 | | 328,397 | |
Stericycle Inc* | | 5,074 | | 254,157 | |
TD SYNNEX Corp | | 2,202 | | 212,009 | |
Terex Corp | | 3,952 | | 131,285 | |
Tetra Tech Inc | | 2,865 | | 389,096 | |
The Timken Co | | 3,540 | | 222,985 | |
TopBuild Corp* | | 1,687 | | 310,003 | |
The Toro Co | | 5,486 | | 454,954 | |
Trex Co Inc* | | 6,113 | | 286,027 | |
Universal Display Corp | | 2,297 | | 256,644 | |
Valmont Industries Inc | | 1,124 | | 311,146 | |
Vicor Corp* | | 1,141 | | 81,171 | |
Vishay Intertechnology Inc | | 7,033 | | 138,339 | |
Vontier Corp | | 8,953 | | 196,250 | |
Watts Water Technologies Inc | | 1,449 | | 200,715 | |
Werner Enterprises Inc | | 2,668 | | 106,160 | |
Woodward Inc | | 3,285 | | 305,735 | |
Worthington Industries Inc | | 755 | | 38,497 | |
XPO Logistics Inc* | | 5,224 | | 273,842 | |
Total Industrial | | | | 21,626,602 | |
| | | | | |
Technology (7.43%) | | | | | |
ACI Worldwide Inc* | | 6,501 | | 154,074 | |
Amkor Technology Inc | | 5,309 | | 106,870 | |
Aspen Technology Inc* | | 1,511 | | 318,217 | |
Blackbaud Inc* | | 2,228 | | 116,524 | |
CACI International Inc* | | 1,248 | | 350,526 | |
Cirrus Logic Inc* | | 3,052 | | 234,058 | |
CommVault Systems Inc* | | 2,533 | | 137,517 | |
Concentrix Corp | | 2,269 | | 285,395 | |
Envestnet Inc* | | 3,017 | | 158,000 | |
Fair Isaac Corp* | | 1,382 | | 621,071 | |
Genpact Ltd | | 9,154 | | 430,055 | |
IPG Photonics Corp* | | 1,370 | | 124,108 | |
KBR Inc | | 7,461 | | 360,366 | |
Kyndryl Holdings Inc* | | 9,501 | | 99,000 | |
Lattice Semiconductor Corp* | | 7,228 | | 389,589 | |
Lumentum Holdings Inc* | | 3,621 | | 302,535 | |
MACOM Technology Solutions Holdings Inc* | | 1,284 | | 70,813 | |
Manhattan Associates Inc* | | 3,360 | | 474,634 | |
Maximus Inc | | 3,258 | | 197,402 | |
MKS Instruments Inc | | 2,939 | | 292,754 | |
NCR Corp* | | 7,171 | | 222,660 | |
Power Integrations Inc | | 3,211 | | 229,683 | |
Qualys Inc* | | 1,539 | | 233,774 | |
Science Applications International Corp | | 2,858 | | 260,278 | |
Semtech Corp* | | 3,441 | | 158,940 | |
Silicon Laboratories Inc* | | 2,009 | | 251,788 | |
SiTime Corp* | | 786 | | 83,638 | |
Synaptics Inc* | | 2,090 | | 241,625 | |
Security Description |
| Shares |
| Value | |
| |||||
Savings&Loans (0.33%) | | | | | |
New York Community Bancorp Inc | | 24,647 | | $241,294 | |
Washington Federal Inc | | 3,601 | | 115,268 | |
| | | | 356,562 | |
| | | |
| |
Total Financial | | | | 25,439,386 | |
| | | | | |
Industrial (19.79%) | | | | | |
Acuity Brands Inc | | 1,892 | | 310,156 | |
AECOM | | 7,417 | | 542,554 | |
AGCO Corp | | 3,276 | | 356,134 | |
AptarGroup Inc | | 3,441 | | 353,769 | |
Arrow Electronics Inc* | | 3,581 | | 375,325 | |
Avnet Inc | | 5,137 | | 225,463 | |
Axon Enterprise Inc* | | 3,457 | | 403,363 | |
Belden Inc | | 2,251 | | 147,395 | |
Builders FirstSource Inc* | | 9,086 | | 532,530 | |
Carlisle Cos Inc(a) | | 2,713 | | 802,126 | |
Chart Industries Inc* | | 1,893 | | 366,977 | |
Clean Harbors Inc* | | 2,652 | | 311,398 | |
Cognex Corp(a) | | 9,365 | | 394,360 | |
Crane Holdings Co | | 2,500 | | 235,900 | |
Curtiss-Wright Corp | | 2,022 | | 297,618 | |
Donaldson Co Inc | | 6,656 | | 341,786 | |
Dycom Industries Inc* | | 1,554 | | 174,234 | |
Eagle Materials Inc | | 2,077 | | 248,451 | |
EMCOR Group Inc | | 2,689 | | 319,776 | |
Energizer Holdings Inc | | 3,289 | | 92,421 | |
EnerSys | | 2,359 | | 147,131 | |
Enovis Corp* | | 2,165 | | 109,657 | |
Esab Corp | | 2,165 | | 88,960 | |
Flowserve Corp | | 6,904 | | 210,365 | |
Fluor Corp* | | 7,046 | | 186,296 | |
GATX Corp | | 1,939 | | 187,327 | |
Graco Inc | | 8,996 | | 574,305 | |
Greif Inc | | 1,407 | | 94,339 | |
Hexcel Corp | | 4,444 | | 260,729 | |
Hubbell Inc | | 2,882 | | 594,557 | |
II-VI Inc* | | 6,619 | | 312,615 | |
ITT Inc | | 4,382 | | 317,826 | |
Jabil Inc | | 7,569 | | 456,411 | |
Kennametal Inc | | 4,431 | | 103,863 | |
Kirby Corp* | | 3,327 | | 223,109 | |
Knight-Swift Transportation Holdings Inc | | 8,796 | | 444,286 | |
Landstar System Inc | | 2,028 | | 297,366 | |
Lennox International Inc | | 1,737 | | 417,088 | |
Lincoln Electric Holdings Inc | | 3,147 | | 430,163 | |
Littelfuse Inc | | 1,304 | | 309,335 | |
Louisiana-Pacific Corp | | 4,319 | | 234,219 | |
MasTec Inc* | | 3,168 | | 255,024 | |
MDU Resources Group Inc | | 11,113 | | 335,057 | |
Mercury Systems Inc* | | 3,236 | | 155,749 | |
The Middleby Corp* | | 2,900 | | 417,078 | |
MSA Safety Inc | | 1,931 | | 229,519 | |
National Instruments Corp | | 6,872 | | 273,231 | |
Novanta Inc* | | 1,873 | | 250,401 | |
nVent Electric PLC | | 8,909 | | 293,641 | |
Security Description |
| Shares |
| Value | |
| |||||
CNO Financial Group Inc | | 6,772 | | $124,673 | |
Essent Group Ltd | | 5,929 | | 237,101 | |
First American Financial Corp | | 5,825 | | 311,638 | |
The Hanover Insurance Group Inc | | 1,892 | | 244,806 | |
Kemper Corp | | 3,169 | | 145,774 | |
Kinsale Capital Group Inc | | 1,181 | | 299,478 | |
Mercury General Corp | | 1,634 | | 52,125 | |
MGIC Investment Corp | | 16,627 | | 237,600 | |
Old Republic International Corp | | 15,070 | | 329,129 | |
Primerica Inc | | 2,091 | | 265,034 | |
Reinsurance Group of America Inc | | 3,603 | | 451,672 | |
RenaissanceRe Holdings Ltd | | 2,314 | | 312,992 | |
RLI Corp | | 2,209 | | 242,460 | |
Selective Insurance Group Inc | | 3,316 | | 263,357 | |
Unum Group | | 10,833 | | 410,029 | |
Voya Financial Inc | | 5,373 | | 330,601 | |
| | | | 5,487,745 | |
Real Estate (8.37%) | | | | | |
Apartment Income REIT Corp | | 8,250 | | 337,013 | |
Brixmor Property Group Inc | | 15,740 | | 338,095 | |
Corporate Office Properties Trust | | 5,953 | | 153,826 | |
Cousins Properties Inc | | 7,880 | | 211,578 | |
Douglas Emmett Inc | | 9,604 | | 187,470 | |
EastGroup Properties Inc | | 2,141 | | 353,329 | |
EPR Properties | | 4,167 | | 181,223 | |
First Industrial Realty Trust Inc | | 6,844 | | 346,854 | |
Healthcare Realty Trust Inc | | 19,987 | | 486,084 | |
Highwoods Properties Inc | | 5,523 | | 167,954 | |
Hudson Pacific Properties Inc | | 8,369 | | 110,554 | |
Independence Realty Trust Inc | | 11,696 | | 227,487 | |
JBG SMITH Properties | | 5,705 | | 125,339 | |
Jones Lang LaSalle Inc* | | 2,569 | | 444,437 | |
Kilroy Realty Corp | | 5,682 | | 277,111 | |
Kite Realty Group Trust | | 11,573 | | 224,053 | |
Lamar Advertising Co | | 4,619 | | 433,678 | |
Life Storage Inc(a) | | 4,366 | | 555,574 | |
The Macerich Co | | 9,276 | | 88,771 | |
Medical Properties Trust Inc(a) | | 31,572 | | 461,267 | |
National Retail Properties Inc | | 9,304 | | 417,750 | |
National Storage Affiliates Trust | | 3,823 | | 193,138 | |
Omega Healthcare Investors Inc | | 12,731 | | 415,794 | |
Park Hotels & Resorts Inc | | 13,160 | | 184,240 | |
Pebblebrook Hotel Trust | | 6,963 | | 122,688 | |
Physicians Realty Trust | | 11,481 | | 191,273 | |
PotlatchDeltic Corp | | 3,706 | | 172,033 | |
Rayonier Inc | | 7,791 | | 276,736 | |
Rexford Industrial Realty Inc | | 8,064 | | 501,661 | |
Sabra Health Care REIT Inc | | 11,960 | | 179,041 | |
SL Green Realty Corp | | 3,571 | | 157,731 | |
Spirit Realty Capital Inc | | 6,787 | | 277,249 | |
STORE Capital Corp | | 12,450 | | 335,901 | |
| | | | 9,136,932 | |
21
See accompanying notes to financial statements.
S&P MidCap Index FundPortfolio of Investments (Continued) 8/31/22 |
Security Description |
| Shares |
| Value | |
| |||||
Portland General Electric Co | | 4,692 | | $242,436 | |
Southwest Gas Holdings Inc | | 3,218 | | 250,521 | |
Spire Inc | | 2,739 | | 191,429 | |
UGI Corp | | 11,082 | | 437,739 | |
Total Utilities | | | | 4,391,194 | |
| | | | | |
Total Common Stock (Cost $78,794,273) | | | | 108,717,845 | |
| | | |
| |
United States Treasury Bills (0.46%) | | ||||
2.258%, 09/27/2022 | | 500,000 | | 499,176 | |
| | | |
| |
Collateral Received for Securities on Loan (0.48%) | | | | ||
Mount Vernon Liquid Assets Portfolio, 7-Day Yield: 2.47% (Cost $528,218) | | | | 528,218 | |
| | | |
| |
Security Description |
| Shares |
| Value | |
| |||||
Total Investments | | $109,745,239 | | ||
Liabilities in Excess of Other Assets (-0.47%) | | (518,402 | ) | ||
Net Assets (100.00%) | | | | $109,226,837 | |
*Non-income producing security.
#Loaned security; a portion of the security is on loan at August 31, 2022.
(a)A portion of these securities, a total of $6,753,312, have been pledged or segregated in connection with obligations for futures contracts.
Futures contracts at August 31, 2022: | | ||||||
Contracts - $100 times premium / delivery month / commitment / exchange | | ||||||
S&P MidCap | | Notional | | Value | | Unrealized | |
2 / SEP 2022 / | | $511,550 | | $486,060 | | $(25,490 | ) |
Security Description |
| Shares |
| Value | |
| |||||
Teradata Corp* | | 5,506 | | $181,140 | |
Wolfspeed Inc*,(a) | | 6,568 | | 745,271 | |
Xerox Holdings Corp | | 6,258 | | 104,008 | |
Ziff Davis Inc* | | 2,375 | | 183,540 | |
Total Technology | | | | 8,119,853 | |
| | | | | |
Utilities (4.02%) | | | | | |
ALLETE Inc | | 2,880 | | 170,438 | |
Black Hills Corp | | 3,364 | | 253,915 | |
Essential Utilities Inc | | 11,853 | | 582,575 | |
Hawaiian Electric Industries Inc | | 5,793 | | 226,622 | |
IDACORP Inc | | 2,677 | | 292,435 | |
National Fuel Gas Co | | 4,832 | | 344,377 | |
New Jersey Resources Corp | | 5,111 | | 225,600 | |
NorthWestern Corp | | 2,732 | | 144,741 | |
OGE Energy Corp | | 10,609 | | 430,089 | |
ONE Gas Inc | | 2,835 | | 221,895 | |
Ormat Technologies Inc | �� | 1,769 | | 165,366 | |
PNM Resources Inc | | 4,449 | | 211,016 | |
Security Description |
| Shares |
| Value | |
| |||||
Communications (3.87%) | | | | | |
A10 Networks Inc | | 3,745 | | $52,056 | |
ADTRAN Holdings Inc | | 3,950 | | 91,798 | |
AMC Networks Inc* | | 1,982 | | 53,098 | |
ATN International Inc | | 779 | | 36,496 | |
CalAmp Corp* | | 2,444 | | 15,104 | |
Cars.com Inc* | | 4,119 | | 52,517 | |
Cogent Communications Holdings Inc | | 2,695 | | 143,509 | |
Consolidated Communications | | 5,162 | | 29,630 | |
ePlus Inc* | | 1,798 | | 84,722 | |
The EW Scripps Co* | | 3,903 | | 58,350 | |
Extreme Networks Inc* | | 7,992 | | 114,525 | |
Gannett Co Inc* | | 9,383 | | 21,769 | |
Gogo Inc* | | 4,207 | | 62,516 | |
Harmonic Inc* | | 6,868 | | 77,334 | |
HealthStream Inc* | | 1,832 | | 40,542 | |
InterDigital Inc | | 1,985 | | 99,568 | |
Liquidity Services Inc* | | 1,928 | | 33,721 | |
NETGEAR Inc* | | 1,998 | | 47,133 | |
OptimizeRx Corp* | | 1,119 | | 17,759 | |
Perficient Inc* | | 2,092 | | 163,385 | |
QuinStreet Inc* | | 3,238 | | 38,888 | |
Scholastic Corp | | 1,976 | | 90,718 | |
Shenandoah Telecommunications Co | | 3,229 | | 71,974 | |
Shutterstock Inc | | 1,461 | | 80,954 | |
TechTarget Inc* | | 1,557 | | 101,049 | |
Telephone and Data Systems Inc | | 6,350 | | 103,315 | |
Thryv Holdings Inc* | | 1,075 | | 27,499 | |
Viavi Solutions Inc* | | 14,793 | | 208,285 | |
Security Description |
| Shares |
| Value | |
| |||||
Yelp Inc* | | 4,191 | | $143,206 | |
Total Communications | | | | 2,161,420 | |
| | | | | |
Consumer, Cyclical (14.21%) | | | | ||
Abercrombie & Fitch Co* | | 3,721 | | 53,545 | |
Academy Sports & Outdoors Inc | | 5,484 | | 236,251 | |
Allegiant Travel Co* | | 873 | | 84,245 | |
American Axle & Manufacturing Holdings Inc* | | 7,476 | | 77,377 | |
America’s Car-Mart Inc* | | 397 | | 32,002 | |
Asbury Automotive Group Inc* | | 1,392 | | 242,876 | |
Bed Bath & Beyond Inc*,# | | 6,028 | | 57,447 | |
Big Lots Inc | | 1,911 | | 39,309 | |
BJ’s Restaurants Inc* | | 1,372 | | 34,410 | |
Bloomin’ Brands Inc | | 5,356 | | 108,298 | |
Boot Barn Holdings Inc* | | 1,856 | | 123,647 | |
Brinker International Inc* | | 2,790 | | 68,383 | |
The Buckle Inc | | 1,891 | | 61,041 | |
Caleres Inc | | 2,523 | | 64,387 | |
The Cato Corp | | 1,556 | | 16,820 | |
Cavco Industries Inc* | | 542 | | 126,833 | |
Century Communities Inc | | 1,701 | | 79,420 | |
The Cheesecake Factory Inc | | 3,118 | | 95,473 | |
Chico’s FAS Inc* | | 8,496 | | 48,257 | |
The Children’s Place Inc* | | 943 | | 39,776 | |
Chuy’s Holdings Inc* | | 1,345 | | 30,034 | |
Cinemark Holdings Inc* | | 6,765 | | 95,251 | |
Conn’s Inc* | | 1,366 | | 13,127 | |
Dave & Buster’s Entertainment Inc* | | 2,448 | | 101,200 | |
Security Description |
| Shares |
| Value | |
| |||||
Common Stock (99.28%) | | | | | |
| | | | | |
Basic Materials (5.17%) | | | | | |
AdvanSix Inc | | 1,786 | | $64,760 | |
American Vanguard Corp | | 1,902 | | 37,907 | |
Arconic Corp* | | 6,331 | | 159,605 | |
ATI Inc* | | 8,015 | | 239,889 | |
Balchem Corp(a) | | 2,039 | | 268,781 | |
Carpenter Technology Corp | | 2,804 | | 95,252 | |
Century Aluminum Co* | | 3,179 | | 24,542 | |
Clearwater Paper Corp* | | 1,183 | | 50,325 | |
Compass Minerals International Inc | | 2,139 | | 86,608 | |
GCP Applied Technologies Inc* | | 3,238 | | 101,738 | |
Glatfelter Corp | | 3,163 | | 15,404 | |
Hawkins Inc | | 1,183 | | 45,333 | |
HB Fuller Co | | 3,369 | | 218,513 | |
Innospec Inc | | 1,552 | | 145,050 | |
Kaiser Aluminum Corp | | 1,057 | | 75,850 | |
Koppers Holdings Inc | | 1,482 | | 33,834 | |
Livent Corp*,(a) | | 9,782 | | 314,785 | |
Mativ Holdings Inc | | 3,544 | | 83,709 | |
Mercer International Inc | | 2,867 | | 46,503 | |
Quaker Chemical Corp | | 854 | | 148,869 | |
Rayonier Advanced Materials Inc* | | 3,576 | | 16,164 | |
Rogers Corp*,(a) | | 1,190 | | 298,119 | |
Stepan Co | | 1,381 | | 143,942 | |
Sylvamo Corp | | 2,257 | | 100,301 | |
Trinseo PLC | | 2,275 | | 60,356 | |
Unifi Inc* | | 1,046 | | 11,883 | |
Total Basic Materials | | | | 2,888,022 | |
| | | | | |
S&P SmallCap Index FundPortfolio of Investments 8/31/22 |
22
See accompanying notes to financial statements.
Security Description |
| Shares |
| Value | |
| |||||
Designer Brands Inc | | 3,952 | | $67,421 | |
Dine Brands Global Inc | | 1,098 | | 73,127 | |
Dorman Products Inc* | | 1,852 | | 167,884 | |
El Pollo Loco Holdings Inc* | | 1,399 | | 12,661 | |
Ethan Allen Interiors Inc | | 1,450 | | 34,467 | |
Fossil Group Inc* | | 3,328 | | 14,077 | |
Genesco Inc* | | 894 | | 50,583 | |
Gentherm Inc* | | 2,093 | | 125,371 | |
G-III Apparel Group Ltd* | | 2,872 | | 60,513 | |
GMS Inc* | | 2,817 | | 135,779 | |
Golden Entertainment Inc* | | 1,277 | | 48,858 | |
Green Brick Partners Inc* | | 1,442 | | 35,127 | |
Group 1 Automotive Inc | | 1,100 | | 196,449 | |
Guess? Inc# | | 2,510 | | 43,850 | |
Haverty Furniture Cos Inc | | 1,111 | | 29,797 | |
Hawaiian Holdings Inc* | | 3,036 | | 45,510 | |
Healthcare Services Group Inc | | 4,744 | | 66,748 | |
Hibbett Inc | | 956 | | 56,022 | |
HNI Corp | | 2,445 | | 78,240 | |
Installed Building Products Inc | | 1,478 | | 133,848 | |
Interface Inc | | 4,184 | | 46,735 | |
iRobot Corp* | | 1,698 | | 99,978 | |
Jack in the Box Inc | | 1,024 | | 81,777 | |
KAR Auction Services Inc* | | 7,573 | | 110,566 | |
Kontoor Brands Inc | | 3,132 | | 116,604 | |
La-Z-Boy Inc | | 2,792 | | 73,681 | |
LCI Industries | | 1,627 | | 188,520 | |
LGI Homes Inc* | | 1,345 | | 127,654 | |
LL Flooring Holdings Inc* | | 1,940 | | 15,792 | |
M/I Homes Inc* | | 1,897 | | 82,026 | |
The Marcus Corp | | 1,646 | | 26,484 | |
MarineMax Inc* | | 1,369 | | 49,749 | |
MDC Holdings Inc | | 3,636 | | 113,007 | |
Meritage Homes Corp* | | 2,392 | | 187,413 | |
Methode Electronics Inc | | 2,332 | | 94,353 | |
Monarch Casino & Resort Inc* | | 854 | | 51,573 | |
Motorcar Parts of America Inc* | | 1,357 | | 20,165 | |
Movado Group Inc | | 1,175 | | 37,471 | |
National Vision Holdings Inc*,# | | 5,124 | | 170,271 | |
The ODP Corp* | | 3,016 | | 107,822 | |
Oxford Industries Inc | | 1,009 | | 107,691 | |
Patrick Industries Inc | | 1,482 | | 78,502 | |
PC Connection Inc | | 791 | | 39,297 | |
PetMed Express Inc | | 1,445 | | 29,724 | |
PriceSmart Inc | | 1,558 | | 98,575 | |
Resideo Technologies Inc* | | 8,667 | | 180,447 | |
Ruth’s Hospitality Group Inc | | 1,944 | | 35,420 | |
Sally Beauty Holdings Inc* | | 6,888 | | 102,493 | |
ScanSource Inc* | | 1,608 | | 46,584 | |
Shake Shack Inc* | | 2,372 | | 113,050 | |
Shoe Carnival Inc | | 1,280 | | 30,451 | |
Signet Jewelers Ltd | | 2,982 | | 194,933 | |
SkyWest Inc* | | 3,356 | | 71,449 | |
Sleep Number Corp* | | 1,501 | | 62,186 | |
Sonic Automotive Inc | | 1,339 | | 71,221 | |
Sonos Inc* | | 8,012 | | 120,500 | |
Standard Motor Products Inc | | 1,301 | | 47,747 | |
Security Description |
| Shares |
| Value | |
| |||||
Steven Madden Ltd | | 4,819 | | $140,281 | |
Sun Country Airlines Holdings Inc* | | 981 | | 19,542 | |
Titan International Inc* | | 3,341 | | 46,874 | |
Tri Pointe Homes Inc* | | 6,971 | | 120,807 | |
Tupperware Brands Corp* | | 3,285 | | 36,923 | |
UniFirst Corp | | 959 | | 172,869 | |
Universal Electronics Inc* | | 997 | | 22,163 | |
Urban Outfitters Inc* | | 2,009 | | 40,441 | |
Veritiv Corp* | | 911 | | 108,582 | |
Vista Outdoor Inc* | | 3,609 | | 101,485 | |
Wabash National Corp | | 3,495 | | 57,493 | |
Winnebago Industries Inc | | 2,107 | | 121,321 | |
Wolverine World Wide Inc | | 5,154 | | 100,709 | |
World Fuel Services Corp | | 4,080 | | 105,264 | |
XPEL Inc* | | 1,041 | | 71,340 | |
Zumiez Inc* | | 1,394 | | 36,188 | |
Total Consumer, Cyclical | | 7,939,934 | | ||
| | | | | |
Consumer, Non-Cyclical (19.18%) | | | | ||
The Aaron’s Co Inc | | 2,245 | | 26,716 | |
ABM Industries Inc | | 4,338 | | 201,283 | |
Addus HomeCare Corp* | | 991 | | 88,417 | |
Adtalem Global Education Inc*,# | | 2,841 | | 107,077 | |
Alarm.com Holdings Inc* | | 2,918 | | 194,339 | |
American Public Education Inc* | | 1,102 | | 11,384 | |
AMN Healthcare Services Inc*,(a) | | 2,814 | | 288,829 | |
Amphastar Pharmaceuticals Inc* | | 2,454 | | 72,638 | |
The Andersons Inc | | 2,041 | | 75,578 | |
AngioDynamics Inc* | | 2,694 | | 59,645 | |
ANI Pharmaceuticals Inc* | | 753 | | 27,778 | |
Anika Therapeutics Inc* | | 1,022 | | 23,097 | |
Arcus Biosciences Inc* | | 2,864 | | 68,965 | |
Arlo Technologies Inc* | | 5,260 | | 32,033 | |
Artivion Inc* | | 2,686 | | 59,522 | |
Avanos Medical Inc* | | 3,101 | | 76,378 | |
Avid Bioservices Inc* | | 3,882 | | 66,848 | |
B&G Foods Inc# | | 4,291 | | 92,943 | |
BioLife Solutions Inc* | | 1,847 | | 43,608 | |
Calavo Growers Inc | | 1,095 | | 46,034 | |
Cal-Maine Foods Inc | | 2,229 | | 119,497 | |
Cara Therapeutics Inc* | | 1,387 | | 14,314 | |
Cardiovascular Systems Inc* | | 2,591 | | 34,227 | |
Central Garden & Pet Co* | | 702 | | 28,024 | |
Central Garden & Pet Co - Class A* | | 2,610 | | 98,554 | |
The Chefs’ Warehouse Inc* | | 1,825 | | 60,846 | |
Coherus Biosciences Inc* | | 4,320 | | 48,298 | |
Collegium Pharmaceutical Inc* | | 1,483 | | 26,071 | |
Community Health Systems Inc* | | 7,521 | | 20,006 | |
CONMED Corp | | 1,871 | | 165,714 | |
Corcept Therapeutics Inc* | | 5,978 | | 154,352 | |
CoreCivic Inc* | | 7,761 | | 73,962 | |
CorVel Corp* | | 591 | | 91,830 | |
Security Description |
| Shares |
| Value | |
| |||||
Covetrus Inc* | | 6,600 | | $137,742 | |
Cross Country Healthcare Inc* | | 2,325 | | 59,009 | |
Cutera Inc* | | 1,019 | | 48,657 | |
Cytokinetics Inc* | | 5,392 | | 285,560 | |
Deluxe Corp | | 2,788 | | 53,641 | |
Dynavax Technologies Corp* | | 7,524 | | 86,300 | |
Eagle Pharmaceuticals Inc* | | 724 | | 23,725 | |
Edgewell Personal Care Co | | 3,507 | | 136,633 | |
elf Beauty Inc* | | 2,547 | | 97,117 | |
Embecta Corp | | 3,576 | | 114,146 | |
Emergent BioSolutions Inc* | | 3,037 | | 72,949 | |
Enanta Pharmaceuticals Inc* | | 1,144 | | 69,647 | |
Enhabit Inc* | | 1,564 | | 25,962 | |
The Ensign Group Inc | | 3,306 | | 282,002 | |
EVERTEC Inc | | 3,795 | | 127,512 | |
Forrester Research Inc* | | 760 | | 31,608 | |
Fresh Del Monte Produce Inc | | 1,961 | | 53,614 | |
Fulgent Genetics Inc* | | 1,246 | | 54,164 | |
The GEO Group Inc* | | 6,097 | | 49,873 | |
Glaukos Corp* | | 2,792 | | 135,552 | |
Green Dot Corp* | | 3,393 | | 68,844 | |
Hanger Inc* | | 2,316 | | 43,147 | |
Harmony Biosciences Holdings Inc* | | 1,410 | | 61,913 | |
Heidrick & Struggles International Inc | | 1,373 | | 39,076 | |
Heska Corp* | | 688 | | 62,656 | |
Hostess Brands Inc* | | 8,716 | | 202,037 | |
Innoviva Inc* | | 4,184 | | 55,061 | |
Inogen Inc* | | 1,194 | | 34,184 | |
Integer Holdings Corp* | | 2,079 | | 131,123 | |
Inter Parfums Inc | | 1,165 | | 91,476 | |
Ironwood Pharmaceuticals Inc* | | 9,681 | | 104,168 | |
iTeos Therapeutics Inc* | | 1,290 | | 28,612 | |
J & J Snack Foods Corp | | 935 | | 139,343 | |
John B Sanfilippo & Son Inc | | 629 | | 50,779 | |
The Joint Corp* | | 851 | | 15,522 | |
Kelly Services Inc | | 2,377 | | 38,293 | |
Korn Ferry | | 3,492 | | 212,733 | |
Lantheus Holdings Inc*,(a) | | 4,264 | | 336,003 | |
LeMaitre Vascular Inc | | 1,174 | | 57,972 | |
Ligand Pharmaceuticals Inc* | | 1,059 | | 97,841 | |
LiveRamp Holdings Inc* | | 4,290 | | 85,157 | |
Medifast Inc | | 695 | | 87,209 | |
Meridian Bioscience Inc* | | 2,867 | | 93,436 | |
Merit Medical Systems Inc* | | 3,169 | | 187,700 | |
MGP Ingredients Inc | | 853 | | 93,369 | |
ModivCare Inc* | | 822 | | 89,039 | |
Monro Inc | | 2,226 | | 103,086 | |
Myriad Genetics Inc* | | 4,997 | | 111,633 | |
National Beverage Corp | | 1,539 | | 85,353 | |
Nektar Therapeutics* | | 11,864 | | 46,744 | |
NeoGenomics Inc* | | 7,328 | | 73,646 | |
OraSure Technologies Inc* | | 4,421 | | 18,082 | |
Organogenesis Holdings Inc* | | 3,226 | | 11,581 | |
Orthofix Medical Inc* | | 1,364 | | 27,144 | |
Owens & Minor Inc | | 4,502 | | 132,854 | |
Pacira BioSciences Inc* | | 2,858 | | 149,988 | |
Pediatrix Medical Group Inc* | | 5,538 | | 98,687 | |
S&P SmallCap Index FundPortfolio of Investments (Continued) 8/31/22 |
23
See accompanying notes to financial statements.
S&P SmallCap Index FundPortfolio of Investments (Continued) 8/31/22 |
Security Description |
| Shares |
| Value | |
| |||||
The Bancorp Inc* | | 3,287 | | $77,968 | |
Tompkins Financial Corp | | 798 | | 57,169 | |
Triumph Bancorp Inc* | | 1,485 | | 91,936 | |
TrustCo Bank Corp NY | | 1,388 | | 46,276 | |
Trustmark Corp | | 3,968 | | 125,151 | |
United Community Banks Inc | | 6,727 | | 225,556 | |
Veritex Holdings Inc | | 3,196 | | 96,232 | |
Walker & Dunlop Inc | | 1,860 | | 186,856 | |
Westamerica BanCorp | | 1,692 | | 94,667 | |
| | | | 5,666,520 | |
Diversified Financial Service (1.83%) | | | | ||
B Riley Financial Inc | | 1,016 | | 50,566 | |
Blucora Inc* | | 3,171 | | 63,674 | |
Brightsphere Investment Group Inc | | 2,258 | | 38,589 | |
Encore Capital Group Inc* | | 1,562 | | 85,410 | |
Enova International Inc* | | 2,136 | | 74,632 | |
EZCORP Inc* | | 4,257 | | 37,249 | |
LendingTree Inc* | | 727 | | 22,166 | |
Mr Cooper Group Inc* | | 4,570 | | 193,311 | |
Piper Sandler Cos | | 918 | | 105,175 | |
PRA Group Inc* | | 2,747 | | 101,474 | |
StoneX Group Inc* | | 1,067 | | 99,060 | |
Virtus Investment Partners Inc | | 449 | | 85,871 | |
WisdomTree Investments Inc | | 7,365 | | 36,899 | |
World Acceptance Corp* | | 265 | | 30,804 | |
| | | | 1,024,880 | |
Insurance (2.87%) | | | | | |
Ambac Financial Group Inc* | | 3,262 | | 49,224 | |
American Equity Investment Life Holding Co | | 4,861 | | 184,718 | |
AMERISAFE Inc | | 1,293 | | 61,831 | |
Assured Guaranty Ltd | | 4,033 | | 205,965 | |
eHealth Inc* | | 1,677 | | 10,733 | |
Employers Holdings Inc | | 1,761 | | 68,961 | |
Genworth Financial Inc* | | 32,702 | | 138,002 | |
HCI Group Inc | | 459 | | 21,936 | |
Horace Mann Educators Corp | | 2,613 | | 93,467 | |
James River Group Holdings Ltd | | 2,043 | | 48,542 | |
NMI Holdings Inc* | | 5,506 | | 113,038 | |
Palomar Holdings Inc* | | 1,266 | | 100,381 | |
ProAssurance Corp | | 3,557 | | 76,084 | |
Safety Insurance Group Inc | | 941 | | 84,737 | |
Selectquote Inc* | | 7,890 | | 8,758 | |
SiriusPoint Ltd* | | 5,736 | | 25,640 | |
Stewart Information Services Corp | | 1,698 | | 85,987 | |
Trupanion Inc* | | 2,205 | | 155,629 | |
United Fire Group Inc | | 1,524 | | 44,851 | |
Universal Insurance Holdings Inc | | 2,188 | | 26,125 | |
| | | | 1,604,609 | |
Real Estate (8.76%) | | | | | |
Acadia Realty Trust | | 5,770 | | 91,916 | |
Agree Realty Corp(a) | | 4,485 | | 337,810 | |
Alexander & Baldwin Inc | | 4,568 | | 85,559 | |
American Assets Trust Inc | | 3,246 | | 90,109 | |
Anywhere Real Estate Inc* | | 7,684 | | 75,073 | |
Security Description |
| Shares |
| Value | |
| |||||
Par Pacific Holdings Inc* | | 2,639 | | $49,613 | |
Patterson-UTI Energy Inc# | | 12,535 | | 186,772 | |
PBF Energy Inc* | | 5,984 | | 204,413 | |
ProPetro Holding Corp* | | 5,328 | | 48,804 | |
Ranger Oil Corp | | 964 | | 37,586 | |
REX American Resources Corp* | | 990 | | 29,997 | |
RPC Inc | | 3,687 | | 29,312 | |
SM Energy Co(a) | | 7,601 | | 334,976 | |
SunCoke Energy Inc | | 5,463 | | 36,001 | |
Talos Energy Inc* | | 1,436 | | 29,768 | |
US Silica Holdings Inc* | | 4,697 | | 65,899 | |
Warrior Met Coal Inc | | 3,238 | | 105,397 | |
Total Energy | | | | 2,670,329 | |
| | | | | |
Financial (25.51%) | | | | | |
Banks (10.14%) | | | | | |
Allegiance Bancshares Inc | | 1,202 | | 50,917 | |
Ameris Bancorp | | 4,211 | | 196,569 | |
BancFirst Corp | | 1,006 | | 108,507 | |
BankUnited Inc | | 5,147 | | 190,696 | |
Banner Corp | | 2,195 | | 133,368 | |
Central Pacific Financial Corp | | 1,761 | | 38,372 | |
City Holding Co | | 952 | | 80,930 | |
Columbia Banking System Inc | | 4,632 | | 138,728 | |
Community Bank System Inc(a) | | 3,471 | | 226,934 | |
Customers Bancorp Inc* | | 1,891 | | 65,599 | |
CVB Financial Corp | | 8,024 | | 210,550 | |
Dime Community Bancshares Inc | | 1,639 | | 51,235 | |
Eagle Bancorp Inc | | 2,012 | | 97,642 | |
FB Financial Corp | | 2,073 | | 82,132 | |
First Bancorp | | 2,219 | | 80,794 | |
First BanCorp/Puerto Rico | | 12,629 | | 180,595 | |
First Commonwealth Financial Corp | | 5,896 | | 79,478 | |
First Financial Bancorp | | 5,905 | | 127,430 | |
First Hawaiian Inc | | 7,746 | | 199,150 | |
Flagstar Bancorp Inc | | 3,398 | | 130,925 | |
Hanmi Financial Corp | | 1,915 | | 47,339 | |
Heritage Financial Corp | | 2,370 | | 61,596 | |
Hilltop Holdings Inc | | 3,128 | | 82,579 | |
HomeStreet Inc | | 1,321 | | 45,984 | |
Hope Bancorp Inc | | 7,571 | | 109,552 | |
Independent Bank Corp | | 3,019 | | 236,176 | |
Independent Bank Group Inc | | 2,326 | | 156,679 | |
Lakeland Financial Corp | | 1,632 | | 122,955 | |
National Bank Holdings Corp | | 2,037 | | 81,745 | |
NBT Bancorp Inc | | 2,730 | | 105,869 | |
OFG Bancorp | | 3,140 | | 85,408 | |
Park National Corp | | 928 | | 122,338 | |
Pathward Financial Inc | | 1,867 | | 61,536 | |
Preferred Bank | | 877 | | 59,496 | |
Renasant Corp | | 3,511 | | 117,057 | |
S&T Bancorp Inc | | 2,541 | | 75,315 | |
Seacoast Banking Corp of Florida | | 3,573 | | 115,479 | |
ServisFirst Bancshares Inc | | 3,122 | | 263,372 | |
Simmons First National Corp | | 6,990 | | 164,894 | |
Southside Bancshares Inc | | 2,091 | | 78,789 | |
Security Description |
| Shares |
| Value | |
| |||||
The Pennant Group Inc* | | 1,684 | | $26,388 | |
Perdoceo Education Corp* | | 4,611 | | 53,395 | |
Phibro Animal Health Corp | | 1,453 | | 21,519 | |
Prestige Consumer Healthcare Inc* | | 3,220 | | 162,868 | |
PROG Holdings Inc* | | 3,561 | | 66,021 | |
Quanex Building Products Corp | | 2,375 | | 52,963 | |
RadNet Inc* | | 2,988 | | 60,029 | |
REGENXBIO Inc* | | 1,997 | | 58,912 | |
Rent-A-Center Inc | | 3,850 | | 99,484 | |
Resources Connection Inc | | 2,156 | | 42,128 | |
Select Medical Holdings Corp | | 6,675 | | 171,147 | |
Seneca Foods Corp* | | 442 | | 23,351 | |
The Simply Good Foods Co* | | 5,356 | | 163,626 | |
SpartanNash Co | | 2,264 | | 68,894 | |
Strategic Education Inc | | 1,425 | | 92,198 | |
Stride Inc* | | 2,690 | | 102,597 | |
Supernus Pharmaceuticals Inc* | | 3,522 | | 120,558 | |
Surmodics Inc* | | 970 | | 32,679 | |
Tootsie Roll Industries Inc | | 1,145 | | 41,025 | |
TreeHouse Foods Inc* | | 3,542 | | 165,057 | |
TrueBlue Inc* | | 2,412 | | 49,542 | |
uniQure NV* | | 2,283 | | 44,610 | |
United Natural Foods Inc* | | 3,630 | | 160,010 | |
Universal Corp | | 1,631 | | 83,246 | |
US Physical Therapy Inc | | 855 | | 70,632 | |
USANA Health Sciences Inc* | | 735 | | 47,422 | |
Vanda Pharmaceuticals Inc* | | 3,820 | | 40,416 | |
Varex Imaging Corp* | | 2,748 | | 57,955 | |
Vector Group Ltd | | 8,486 | | 83,163 | |
Vericel Corp* | | 2,991 | | 74,625 | |
Viad Corp* | | 1,455 | | 55,552 | |
Vir Biotechnology Inc* | | 4,602 | | 109,298 | |
WD-40 Co | | 885 | | 167,407 | |
WW International Inc* | | 3,363 | | 17,555 | |
Xencor Inc* | | 3,700 | | 97,643 | |
Zimvie Inc* | | 1,311 | | 19,953 | |
Total Consumer, Non-Cyclical | | 10,713,579 | | ||
| | | | | |
Energy (4.78%) | | | | | |
Archrock Inc | | 8,479 | | 62,660 | |
Bristow Group Inc* | | 1,489 | | 43,196 | |
Callon Petroleum Co* | | 3,051 | | 129,851 | |
Civitas Resources Inc | | 4,510 | | 303,027 | |
CONSOL Energy Inc | | 1,985 | | 142,483 | |
Core Laboratories NV | | 2,961 | | 47,820 | |
DMC Global Inc* | | 786 | | 17,544 | |
Dril-Quip Inc* | | 2,345 | | 51,895 | |
FutureFuel Corp | | 1,848 | | 13,472 | |
Green Plains Inc* | | 3,445 | | 126,190 | |
Helix Energy Solutions Group Inc* | | 9,162 | | 39,580 | |
Helmerich & Payne Inc(a) | | 6,602 | | 282,236 | |
Laredo Petroleum Inc* | | 645 | | 50,058 | |
Nabors Industries Ltd* | | 420 | | 55,654 | |
NOW Inc* | | 5,519 | | 66,890 | |
Oceaneering International Inc* | | 6,554 | | 58,003 | |
Oil States International Inc* | | 4,333 | | 21,232 | |
24
See accompanying notes to financial statements.
S&P SmallCap Index FundPortfolio of Investments (Continued) 8/31/22 |
Security Description |
| Shares |
| Value | |
| |||||
Enerpac Tool Group Corp | | 3,859 | | $74,865 | |
EnPro Industries Inc | | 1,297 | | 117,456 | |
ESCO Technologies Inc | | 1,684 | | 137,128 | |
Exponent Inc(a) | | 3,308 | | 310,489 | |
Fabrinet* | | 2,343 | | 240,954 | |
FARO Technologies Inc* | | 1,177 | | 39,488 | |
Federal Signal Corp | | 3,821 | | 152,343 | |
Forward Air Corp | | 1,722 | | 167,103 | |
Franklin Electric Co Inc | | 2,481 | | 215,475 | |
Frontdoor Inc* | | 5,176 | | 121,532 | |
Gibraltar Industries Inc* | | 2,180 | | 91,233 | |
Granite Construction Inc | | 2,886 | | 86,522 | |
The Greenbrier Cos Inc | | 2,166 | | 61,753 | |
Griffon Corp | | 3,050 | | 95,618 | |
Harsco Corp* | | 5,252 | | 29,779 | |
Haynes International Inc | | 896 | | 35,562 | |
Heartland Express Inc | | 3,348 | | 50,722 | |
Hillenbrand Inc | | 4,641 | | 193,390 | |
Hub Group Inc* | | 2,139 | | 170,714 | |
Ichor Holdings Ltd* | | 1,611 | | 49,490 | |
Insteel Industries Inc | | 1,310 | | 37,859 | |
Itron Inc* | | 2,868 | | 136,459 | |
John Bean Technologies Corp | | 1,987 | | 205,178 | |
Kaman Corp | | 1,860 | | 58,999 | |
Knowles Corp* | | 6,051 | | 91,673 | |
Lindsay Corp | | 723 | | 115,940 | |
Marten Transport Ltd | | 3,797 | | 75,219 | |
Materion Corp | | 1,352 | | 116,691 | |
Matson Inc | | 2,647 | | 194,978 | |
Matthews International Corp | | 2,048 | | 51,220 | |
Mesa Laboratories Inc | | 287 | | 49,037 | |
Moog Inc | | 1,898 | | 142,312 | |
Mueller Industries Inc | | 3,631 | | 229,370 | |
Myers Industries Inc | | 2,544 | | 49,150 | |
MYR Group Inc* | | 1,085 | | 100,840 | |
National Presto Industries Inc | | 360 | | 24,559 | |
NV5 Global Inc* | | 742 | | 104,444 | |
O-I Glass Inc* | | 10,182 | | 132,468 | |
Olympic Steel Inc | | 587 | | 15,450 | |
OSI Systems Inc* | | 1,028 | | 85,653 | |
Park Aerospace Corp | | 1,578 | | 18,163 | |
PGT Innovations Inc* | | 3,924 | | 82,090 | |
Plexus Corp* | | 1,779 | | 166,746 | |
Powell Industries Inc | | 713 | | 17,583 | |
Proto Labs Inc* | | 1,786 | | 68,582 | |
Sanmina Corp* | | 4,055 | | 196,749 | |
SPX Technologies Inc* | | 2,841 | | 162,107 | |
Standex International Corp | | 817 | | 73,865 | |
Sturm Ruger & Co Inc | | 1,189 | | 62,125 | |
Tennant Co | | 1,234 | | 74,472 | |
TimkenSteel Corp* | | 2,857 | | 43,826 | |
Tredegar Corp | | 1,767 | | 18,041 | |
Trinity Industries Inc | | 4,405 | | 107,394 | |
Triumph Group Inc* | | 3,587 | | 46,595 | |
TTM Technologies Inc* | | 6,638 | | 104,416 | |
UFP Industries Inc(a) | | 3,958 | | 314,226 | |
Total Industrial | | | | 9,238,879 | |
| | | | | |
Security Description |
| Shares |
| Value | |
| |||||
Uniti Group Inc | | 14,870 | | $139,629 | |
Universal Health Realty Income Trust | | 828 | | 42,137 | |
Urban Edge Properties | | 6,914 | | 108,757 | |
Urstadt Biddle Properties Inc | | 2,141 | | 35,798 | |
Veris Residential Inc* | | 5,085 | | 68,342 | |
Washington Real Estate Investment Trust | | 5,482 | | 107,502 | |
Whitestone REIT | | 2,907 | | 28,605 | |
Xenia Hotels & Resorts Inc* | | 7,194 | | 114,097 | |
| | | | 4,892,919 | |
Savings & Loans (1.91%) | | | | | |
Axos Financial Inc* | | 3,322 | | 138,793 | |
Banc of California Inc | | 3,213 | | 54,235 | |
Berkshire Hills Bancorp Inc | | 3,076 | | 86,774 | |
Brookline Bancorp Inc | | 5,218 | | 65,068 | |
Capitol Federal Financial Inc | | 8,349 | | 75,642 | |
Northfield Bancorp Inc | | 3,099 | | 45,679 | |
Northwest Bancshares Inc | | 7,972 | | 112,166 | |
Pacific Premier Bancorp Inc | | 5,653 | | 185,192 | |
Provident Financial Services Inc | | 4,301 | | 99,912 | |
WSFS Financial Corp | | 4,209 | | 203,505 | |
| | | | 1,066,966 | |
| | | |
| |
Total Financial | | | | 14,255,894 | |
| | | |
| |
Industrial (16.54%) | | | | | |
AAON Inc | | 2,637 | | 151,575 | |
AAR Corp* | | 2,190 | | 93,907 | |
Advanced Energy Industries Inc | | 2,372 | | 212,982 | |
Aerojet Rocketdyne Holdings Inc* | | 4,783 | | 206,004 | |
AeroVironment Inc* | | 1,474 | | 130,670 | |
Alamo Group Inc | | 650 | | 84,994 | |
Albany International Corp | | 2,054 | | 181,142 | |
American Woodmark Corp* | | 1,115 | | 57,790 | |
Apogee Enterprises Inc | | 1,595 | | 65,140 | |
Applied Industrial Technologies Inc | | 2,422 | | 256,780 | |
ArcBest Corp | | 1,556 | | 125,305 | |
Arcosa Inc | | 3,115 | | 182,072 | |
Astec Industries Inc | | 1,504 | | 57,423 | |
Atlas Air Worldwide Holdings Inc* | | 1,275 | | 127,398 | |
AZZ Inc | | 1,564 | | 66,642 | |
Badger Meter Inc | | 1,884 | | 178,396 | |
Barnes Group Inc | | 2,934 | | 91,101 | |
Benchmark Electronics Inc | | 2,427 | | 66,621 | |
Boise Cascade Co | | 2,535 | | 158,007 | |
Brady Corp | | 3,056 | | 142,226 | |
CIRCOR International Inc* | | 1,426 | | 23,244 | |
Comfort Systems USA Inc | | 2,255 | | 226,267 | |
Comtech Telecommunications Corp | | 1,747 | | 19,724 | |
CTS Corp | | 2,147 | | 90,861 | |
Dorian LPG Ltd | | 2,072 | | 30,148 | |
DXP Enterprises Inc* | | 1,147 | | 30,487 | |
Encore Wire Corp | | 1,275 | | 165,878 | |
Security Description |
| Shares |
| Value | |
| |||||
Apollo Commercial Real Estate Finance Inc | | 8,591 | | $100,085 | |
Armada Hoffler Properties Inc | | 3,969 | | 52,113 | |
ARMOUR Residential REIT Inc | | 4,218 | | 29,948 | |
Brandywine Realty Trust | | 10,779 | | 86,555 | |
CareTrust REIT Inc | | 6,403 | | 137,921 | |
Centerspace | | 832 | | 62,716 | |
Chatham Lodging Trust* | | 3,361 | | 40,870 | |
Community Healthcare Trust Inc | | 1,456 | | 53,712 | |
DiamondRock Hospitality Co* | | 13,438 | | 117,314 | |
Diversified Healthcare Trust | | 15,727 | | 22,961 | |
Douglas Elliman Inc | | 4,243 | | 19,560 | |
Easterly Government Properties Inc | | 5,311 | | 95,332 | |
Ellington Financial Inc | | 3,507 | | 51,483 | |
Essential Properties Realty Trust Inc | | 7,581 | | 171,634 | |
Four Corners Property Trust Inc | | 4,936 | | 132,729 | |
Franklin BSP Realty Trust Inc | | 3,736 | | 48,194 | |
Franklin Street Properties Corp | | 6,376 | | 17,917 | |
Getty Realty Corp | | 2,449 | | 73,666 | |
Global Net Lease Inc | | 5,985 | | 82,413 | |
Granite Point Mortgage Trust Inc | | 3,929 | | 37,011 | |
Hersha Hospitality Trust* | | 2,572 | | 24,948 | |
Industrial Logistics Properties Trust | | 4,361 | | 32,664 | |
Innovative Industrial Properties Inc | | 1,708 | | 156,658 | |
Invesco Mortgage Capital Inc | | 2,004 | | 31,844 | |
iStar Inc | | 4,376 | | 60,258 | |
KKR Real Estate Finance Trust Inc | | 2,854 | | 54,968 | |
LTC Properties Inc | | 2,624 | | 117,791 | |
LXP Industrial Trust | | 17,951 | | 180,587 | |
Marcus & Millichap Inc | | 1,681 | | 62,836 | |
New York Mortgage Trust Inc | | 24,542 | | 68,718 | |
NexPoint Residential Trust Inc | | 1,473 | | 77,804 | |
Office Properties Income Trust | | 3,225 | | 56,663 | |
Orion Office REIT Inc | | 3,501 | | 34,555 | |
PennyMac Mortgage Investment Trust | | 6,332 | | 94,030 | |
RE/MAX Holdings Inc | | 1,277 | | 29,065 | |
Ready Capital Corp | | 2,655 | | 34,781 | |
Redwood Trust Inc | | 7,449 | | 57,730 | |
Retail Opportunity Investments Corp | | 7,888 | | 132,124 | |
RPT Realty | | 5,757 | | 55,440 | |
Safehold Inc | | 946 | | 35,976 | |
Saul Centers Inc | | 843 | | 37,336 | |
Service Properties Trust | | 10,635 | | 72,743 | |
SITE Centers Corp | | 11,541 | | 149,571 | |
The St Joe Co | | 2,077 | | 79,341 | |
Summit Hotel Properties Inc | | 6,976 | | 54,831 | |
Sunstone Hotel Investors Inc* | | 13,489 | | 146,895 | |
Tanger Factory Outlet Centers Inc | | 6,168 | | 95,111 | |
Two Harbors Investment Corp | | 20,244 | | 98,183 | |
25
See accompanying notes to financial statements.
S&P SmallCap Index FundPortfolio of Investments (Continued) 8/31/22 |
Security Description |
| Shares |
| Value | |
| |||||
OneSpan Inc* | | 2,332 | | $26,841 | |
Onto Innovation Inc* | | 3,158 | | 224,186 | |
PDF Solutions Inc* | | 1,992 | | 52,549 | |
Photronics Inc* | | 4,101 | | 68,897 | |
Pitney Bowes Inc | | 9,991 | | 28,874 | |
Progress Software Corp | | 2,859 | | 137,604 | |
Rambus Inc* | | 6,889 | | 177,667 | |
Simulations Plus Inc | | 871 | | 52,304 | |
SMART Global Holdings Inc* | | 2,976 | | 54,610 | |
SPS Commerce Inc* | | 2,276 | | 277,945 | |
TTEC Holdings Inc | | 1,178 | | 61,668 | |
Ultra Clean Holdings Inc* | | 2,695 | | 78,883 | |
Unisys Corp* | | 3,709 | | 34,531 | |
Veeco Instruments Inc* | | 3,181 | | 67,246 | |
Xperi Holding Corp | | 6,541 | | 104,067 | |
Total Technology | | | | 4,407,079 | |
| | | | | |
Utilities (2.13%) | | | | | |
American States Water Co | | 2,386 | | 197,966 | |
Avista Corp | | 4,542 | | 184,541 | |
California Water Service Group | | 3,304 | | 193,383 | |
Chesapeake Utilities Corp | | 1,108 | | 139,940 | |
Middlesex Water Co | | 1,127 | | 100,044 | |
Northwest Natural Holding Co | | 2,034 | | 96,839 | |
South Jersey Industries Inc | | 6,618 | | 224,018 | |
Unitil Corp | | 1,026 | | 53,444 | |
Total Utilities | | | | 1,190,175 | |
| | | | | |
Total Common Stock (Cost $42,597,034) | | | | 55,465,311 | |
| | | |
| |
United States Treasury Bills (0.54%) | | ||||
2.258%, 09/27/2022 | | 300,000 | | 299,505 | |
| | | |
| |
Security Description |
| Shares |
| Value | |
| |||||
Right (0.01%) | | | | | |
Lantheus Holdings Inc*,(b) (Cost $0) | | 6,190 | | $6,552 | |
| | | |
| |
Collateral Received for Securities on Loan (1.18%) | | | | ||
Mount Vernon Liquid Assets Portfolio, 7-Day Yield: 2.47% (Cost $659,361) | | | | 659,361 | |
| | | |
| |
Total Investments | | $56,430,729 | | ||
Liabilities in Excess of Other Assets (-1.01%) | | (564,893 | ) | ||
Net Assets (100.00%) | | | | $55,865,836 | |
*Non-income producing security.
#Loaned security; a portion of the security is on loan at August 31, 2022.
(a)A portion of these securities, a total of $3,015,114, have been pledged or segregated in connection with obligations for futures contracts.
(b)Level 3 security fair valued under procedures established by the Fund, represents 0.01% of net assets. The total value of the fair value of such securities is $6,552.
Futures contracts at August 31, 2022: | | ||||||
Contracts - $50 times premium / delivery month / commitment / exchange | | ||||||
Russell 2000 | | Notional | | Value | | Unrealized | |
4 / SEP 2022 / Long / CME | | $388,895 | | $368,920 | | $(19,975 | ) |
Security Description |
| Shares |
| Value | |
| |||||
Technology (7.89%) | | | | | |
3D Systems Corp* | | 8,262 | | $83,694 | |
8x8 Inc* | | 6,972 | | 36,324 | |
Agilysys Inc* | | 1,224 | | 63,366 | |
Allscripts Healthcare Solutions Inc* | | 7,943 | | 135,031 | |
Alpha & Omega Semiconductor Ltd* | | 1,334 | | 51,572 | |
Apollo Medical Holdings Inc* | | 2,391 | | 103,124 | |
Axcelis Technologies Inc* | | 2,091 | | 139,972 | |
Cerence Inc* | | 2,459 | | 49,205 | |
CEVA Inc* | | 1,480 | | 43,320 | |
Cohu Inc* | | 2,793 | | 74,936 | |
Computer Programs and Systems Inc* | | 894 | | 27,276 | |
Consensus Cloud Solutions Inc* | | 1,021 | | 51,407 | |
Corsair Gaming Inc*,# | | 2,073 | | 31,903 | |
CSG Systems International Inc | | 2,056 | | 118,940 | |
Diebold Nixdorf Inc* | | 5,500 | | 19,140 | |
Digi International Inc* | | 2,028 | | 67,147 | |
Digital Turbine Inc* | | 5,553 | | 102,564 | |
Diodes Inc* | | 2,808 | | 199,845 | |
Donnelley Financial Solutions Inc* | | 1,960 | | 83,202 | |
Ebix Inc | | 1,594 | | 41,476 | |
ExlService Holdings Inc*,(a) | | 2,097 | | 351,688 | |
FormFactor Inc* | | 4,926 | | 144,233 | |
Insight Enterprises Inc* | | 2,197 | | 200,191 | |
Kulicke & Soffa Industries Inc | | 3,721 | | 156,431 | |
LivePerson Inc* | | 4,137 | | 47,989 | |
ManTech International Corp | | 1,736 | | 166,500 | |
MaxLinear Inc* | | 4,450 | | 159,889 | |
NetScout Systems Inc* | | 4,707 | | 149,400 | |
NextGen Healthcare Inc* | | 3,468 | | 59,442 | |
Shelton Equity Income FundPortfolio of Investments 8/31/22 |
Security Description |
| Shares |
| Value | |
| |||||
Common Stock (90.58%) | | | | ||
| | | | | |
Basic Materials (1.12%) | | | | | |
Dow Inc(a) | | 17,600 | | $897,600 | |
Linde PLC(a) | | 3,700 | | 1,046,582 | |
Newmont Corp(a) | | 34,200 | | 1,414,512 | |
Sensient Technologies Corp(a) | | 8,500 | | 677,195 | |
Total Basic Materials | | | | 4,035,889 | |
| | | | | |
Communications (14.19%) | | | | ||
Alphabet Inc - Class A*,(a) | | 40,600 | | 4,393,732 | |
Alphabet Inc - Class C*,(a) | | 40,600 | | 4,431,490 | |
Amazon.com Inc*,(a) | | 72,800 | | 9,228,855 | |
AT&T Inc(a) | | 274,600 | | 4,816,484 | |
Booking Holdings Inc*,(a) | | 1,500 | | 2,813,715 | |
Cisco Systems Inc(a) | | 69,500 | | 3,108,040 | |
Comcast Corp(a) | | 120,000 | | 4,342,800 | |
eBay Inc(a) | | 29,000 | | 1,279,770 | |
Security Description |
| Shares |
| Value | |
| |||||
Meta Platforms Inc*,(a) | | 19,000 | | $3,095,670 | |
Motorola Solutions Inc(a) | | 6,100 | | 1,484,801 | |
T-Mobile US Inc*,(a) | | 23,800 | | 3,426,248 | |
Verizon Communications Inc(a) | | 110,300 | | 4,611,643 | |
The Walt Disney Co*,(a) | | 33,500 | | 3,754,680 | |
Warner Bros Discovery Inc*,(a) | | 30,191 | | 399,729 | |
Total Communications | | | | 51,187,657 | |
| | | | | |
Consumer, Cyclical (8.18%) | | | | ||
Amerityre Corp* | | 20,000,000 | | 740,000 | |
Costco Wholesale Corp(a) | | 10,000 | | 5,221,000 | |
DR Horton Inc(a) | | 35,300 | | 2,511,595 | |
Ford Motor Co(a) | | 64,000 | | 975,360 | |
Hilton Worldwide Holdings Inc(a) | | 14,000 | | 1,783,040 | |
LKQ Corp(a) | | 27,000 | | 1,436,940 | |
McDonald’s Corp(a) | | 6,700 | | 1,690,276 | |
Security Description |
| Shares |
| Value | |
| |||||
NIKE Inc(a) | | 26,600 | | $2,831,570 | |
PACCAR Inc(a) | | 21,000 | | 1,837,710 | |
Southwest Airlines Co*,(a) | | 41,400 | | 1,519,380 | |
Starbucks Corp(a) | | 33,000 | | 2,774,310 | |
Target Corp(a) | | 18,400 | | 2,950,256 | |
The TJX Cos Inc(a) | | 52,000 | | 3,242,200 | |
Total Consumer, Cyclical | | 29,513,637 | | ||
| | | | | |
Consumer, Non-Cyclical (22.45%) | | | | ||
Abbott Laboratories(a) | | 29,200 | | 2,997,380 | |
AbbVie Inc(a) | | 20,400 | | 2,742,984 | |
AmerisourceBergen Corp(a) | | 43,000 | | 6,302,080 | |
Archer-Daniels-Midland Co(a) | | 36,000 | | 3,164,040 | |
Biogen Inc*,(a) | | 9,800 | | 1,914,724 | |
Bristol-Myers Squibb Co(a) | | 79,800 | | 5,379,318 | |
Centene Corp*,(a) | | 21,000 | | 1,884,540 | |
The Coca-Cola Co(a) | | 82,200 | | 5,072,562 | |
Colgate-Palmolive Co(a) | | 3,400 | | 265,914 | |
26
See accompanying notes to financial statements.
Security Description |
| Shares |
| Value | |
| |||||
Fiserv Inc*,(a) | | 6,500 | | $ 657,735 | |
Intel Corp(a) | | 89,000 | | 2,840,880 | |
Intuit Inc(a) | | 4,400 | | 1,899,832 | |
Microsoft Corp(a) | | 31,900 | | 8,340,893 | |
NetApp Inc(a) | | 62,700 | | 4,522,551 | |
NVIDIA Corp(a) | | 39,000 | | 5,886,660 | |
Oracle Corp(a) | | 70,500 | | 5,227,575 | |
Salesforce Inc*,(a) | | 23,900 | | 3,731,268 | |
Seagate Technology Holdings PLC(a) | | 40,000 | | 2,678,400 | |
Texas Instruments Inc(a) | | 31,600 | | 5,220,636 | |
Total Technology | | | | 54,529,940 | |
| |||||
Utilities (3.42%) | | | | | |
American Water Works Co Inc(a) | | 34,000 | | 5,047,300 | |
Dominion Energy Inc(a) | | 10,400 | | 850,720 | |
Duke Energy Corp(a) | | 9,000 | | 962,190 | |
NextEra Energy Inc(a) | | 11,300 | | 961,178 | |
Public Service Enterprise Group Inc(a) | | 19,000 | | 1,222,840 | |
The Southern Co(a) | | 43,000 | | 3,314,010 | |
Total Utilities | | | | 12,358,238 | |
| |||||
Total Common Stock (Cost $349,937,862) | | | | 326,840,441 | |
| | | |
| |
United States Treasury Bills (9.32%) | | ||||
2.258%, 09/27/2022 | | 33,700,000 | | 33,644,441 | |
| |||||
Total Investments | | $360,484,882 | | ||
Other Net Assets (0.10%) | | 365,279 | | ||
Net Assets (100.00%) | | | | $360,850,161 | |
*Non-income producing security.
(a)A portion of these securities, a total of $300,620,237, have been pledged or segregated in connection with written options.
Security Description |
| Shares |
| Value | |
| |||||
Diversified Financial Service (5.57%) | | | | ||
American Express Co(a) | | 1,800 | | $273,600 | |
The Charles Schwab Corp(a) | | 97,000 | | 6,882,150 | |
Discover Financial Services(a) | | 8,000 | | 803,920 | |
Intercontinental Exchange Inc(a) | | 32,500 | | 3,277,625 | |
Mastercard Inc(a) | | 13,500 | | 4,378,995 | |
Visa Inc(a) | | 22,500 | | 4,470,975 | |
| | | | 20,087,265 | |
Insurance (2.76%) | | | | | |
Aflac Inc(a) | | 53,500 | | 3,178,970 | |
Berkshire Hathaway Inc*,(a) | | 24,200 | | 6,795,360 | |
| | | | 9,974,330 | |
Real Estate (2.20%) | | | | | |
American Tower Corp(a) | | 8,000 | | 2,032,400 | |
CBRE Group Inc*,(a) | | 27,500 | | 2,171,400 | |
Extra Space Storage Inc(a) | | 18,800 | | 3,736,124 | |
| | | | 7,939,924 | |
| |||||
Total Financial | | | | 52,887,100 | |
| |||||
Industrial (7.03%) | | | | | |
Atlas Corp(a) | | 25,000 | | 358,750 | |
The Boeing Co*,(a) | | 34,500 | | 5,528,625 | |
Caterpillar Inc(a) | | 10,200 | | 1,884,042 | |
Deere & Co(a) | | 2,200 | | 803,550 | |
General Dynamics Corp(a) | | 17,500 | | 4,006,275 | |
Lockheed Martin Corp(a) | | 2,800 | | 1,176,308 | |
Masco Corp(a) | | 24,000 | | 1,220,880 | |
Packaging Corp of America(a) | | 13,000 | | 1,779,960 | |
Raytheon Technologies Corp(a) | | 43,700 | | 3,922,075 | |
Union Pacific Corp(a) | | 15,700 | | 3,524,807 | |
Westrock Co(a) | | 28,200 | | 1,144,638 | |
Total Industrial | | | | 25,349,910 | |
| |||||
Technology (15.11%) | | | | | |
Adobe Inc*,(a) | | 14,700 | | 5,489,568 | |
Apple Inc(a) | | 51,100 | | 8,033,942 | |
Security Description |
| Shares |
| Value | |
| |||||
Conagra Brands Inc(a) | | 127,800 | | $4,393,764 | |
CVS Health Corp(a) | | 31,000 | | 3,042,650 | |
Eli Lilly & Co(a) | | 6,400 | | 1,927,872 | |
The Estee Lauder Cos Inc(a) | | 6,400 | | 1,628,032 | |
Gilead Sciences Inc(a) | | 7,000 | | 444,290 | |
HCA Healthcare Inc(a) | | 13,000 | | 2,572,310 | |
Johnson & Johnson(a) | | 36,600 | | 5,905,044 | |
McKesson Corp(a) | | 13,300 | | 4,881,100 | |
Merck & Co Inc(a) | | 36,800 | | 3,141,248 | |
Organon & Co(a) | | 1,000 | | 28,530 | |
PayPal Holdings Inc*,(a) | | 35,300 | | 3,298,432 | |
Pfizer Inc(a) | | 109,000 | | 4,930,070 | |
The Procter & Gamble Co(a) | | 38,500 | | 5,310,690 | |
Sprouts Farmers Market Inc*,(a) | | 60,000 | | 1,734,000 | |
UnitedHealth Group Inc(a) | | 15,500 | | 8,049,615 | |
Total Consumer, Non-Cyclical | | 81,011,189 | | ||
| | | | | |
Energy (4.42%) | | | | | |
BP PLC(a) | | 25,200 | | 777,168 | |
Chevron Corp(a) | | 30,000 | | 4,741,800 | |
ConocoPhillips(a) | | 35,000 | | 3,830,750 | |
Exxon Mobil Corp(a) | | 55,700 | | 5,324,363 | |
Schlumberger NV(a) | | 20,000 | | 763,000 | |
Shell PLC(a) | | 10,000 | | 529,800 | |
Total Energy | | | | 15,966,881 | |
| | | | | |
Financial (14.66%) | | | | | |
Banks (4.13%) | | | | | |
Bank of America Corp(a) | | 90,000 | | 3,024,900 | |
Citigroup Inc(a) | | 21,800 | | 1,064,058 | |
The Goldman Sachs Group Inc(a) | | 4,700 | | 1,563,549 | |
JPMorgan Chase & Co(a) | | 38,400 | | 4,367,232 | |
Morgan Stanley(a) | | 26,100 | | 2,224,242 | |
US Bancorp(a) | | 10,000 | | 456,100 | |
Wells Fargo & Co(a) | | 50,000 | | 2,185,500 | |
| | | | 14,885,581 | |
Shelton Equity Income FundPortfolio of Investments (Continued) 8/31/22 |
Written Call Options |
| Expiration |
| Contracts |
| Strike |
| Notional |
| Value | |
| |||||||||||
Abbott Laboratories | | 9/16/2022 | | (150 | ) | $115.00 | | $1,725,000 | | $(1,500 | ) |
Abbott Laboratories | | 10/21/2022 | | (120 | ) | 110.00 | | 1,320,000 | | (17,400 | ) |
AbbVie Inc | | 9/16/2022 | | (74 | ) | 140.00 | | 1,036,000 | | (5,550 | ) |
Adobe Inc | | 9/16/2022 | | (60 | ) | 410.00 | | 2,460,000 | | (23,400 | ) |
Aflac Inc | | 9/16/2022 | | (75 | ) | 60.00 | | 450,000 | | (8,250 | ) |
Alphabet Inc - Class A | | 9/16/2022 | | (60 | ) | 115.00 | | 690,000 | | (4,800 | ) |
Alphabet Inc - Class C | | 9/16/2022 | | (60 | ) | 115.00 | | 690,000 | | (6,300 | ) |
Amazon.com Inc | | 9/16/2022 | | (140 | ) | 140.00 | | 1,960,000 | | (7,420 | ) |
American Express Co | | 9/16/2022 | | (18 | ) | 170.00 | | 306,000 | | (396 | ) |
American Tower Corp | | 10/21/2022 | | (30 | ) | 280.00 | | 840,000 | | (5,670 | ) |
American Water Works Co Inc | | 9/16/2022 | | (100 | ) | 155.00 | | 1,550,000 | | (10,900 | ) |
AmerisourceBergen Corp | | 9/16/2022 | | (175 | ) | 155.00 | | 2,712,500 | | (11,375 | ) |
Apple Inc | | 9/16/2022 | | (140 | ) | 160.00 | | 2,240,000 | | (40,180 | ) |
Archer-Daniels-Midland Co | | 9/16/2022 | | (360 | ) | 92.50 | | 3,330,000 | | (24,120 | ) |
AT&T Inc | | 9/16/2022 | | (46 | ) | 18.00 | | 82,800 | | (736 | ) |
Bank of America Corp | | 9/16/2022 | | (300 | ) | 36.00 | | 1,080,000 | | (3,900 | ) |
Berkshire Hathaway Inc | | 9/16/2022 | | (142 | ) | 310.00 | | 4,402,000 | | (1,562 | ) |
27
See accompanying notes to financial statements.
Shelton Equity Income FundPortfolio of Investments (Continued) 8/31/22 |
Written Call Options |
| Expiration |
| Contracts |
| Strike |
| Notional |
| Value | |
| |||||||||||
Biogen Inc | | 9/16/2022 | | (20 | ) | $230.00 | | $460,000 | | $(2,520 | ) |
The Boeing Co | | 9/16/2022 | | (25 | ) | 165.00 | | 412,500 | | (10,400 | ) |
Booking Holdings Inc | | 9/16/2022 | | (3 | ) | 2,000.00 | | 600,000 | | (7,965 | ) |
BP PLC | | 9/16/2022 | | (100 | ) | 31.00 | | 310,000 | | (8,700 | ) |
Bristol-Myers Squibb Co | | 9/16/2022 | | (320 | ) | 70.00 | | 2,240,000 | | (18,880 | ) |
Caterpillar Inc | | 9/16/2022 | | (45 | ) | 200.00 | | 900,000 | | (3,150 | ) |
CBRE Group Inc | | 9/16/2022 | | (190 | ) | 85.00 | | 1,615,000 | | (4,750 | ) |
Centene Corp | | 10/21/2022 | | (70 | ) | 97.50 | | 682,500 | | (10,920 | ) |
The Charles Schwab Corp | | 9/16/2022 | | (300 | ) | 72.50 | | 2,175,000 | | (48,000 | ) |
Chevron Corp | | 9/16/2022 | | (90 | ) | 160.00 | | 1,440,000 | | (36,000 | ) |
Cisco Systems Inc | | 9/16/2022 | | (250 | ) | 47.50 | | 1,187,500 | | (3,000 | ) |
Citigroup Inc | | 9/16/2022 | | (75 | ) | 52.50 | | 393,750 | | (1,575 | ) |
The Coca-Cola Co | | 9/16/2022 | | (300 | ) | 65.00 | | 1,950,000 | | (3,000 | ) |
Colgate-Palmolive Co | | 9/16/2022 | | (10 | ) | 80.00 | | 80,000 | | (800 | ) |
Comcast Corp | | 10/21/2022 | | (400 | ) | 40.00 | | 1,600,000 | | (17,200 | ) |
Conagra Brands Inc | | 9/16/2022 | | (550 | ) | 36.00 | | 1,980,000 | | (5,500 | ) |
ConocoPhillips | | 9/16/2022 | | (140 | ) | 105.00 | | 1,470,000 | | (113,400 | ) |
CVS Health Corp | | 9/16/2022 | | (120 | ) | 103.00 | | 1,236,000 | | (5,040 | ) |
Deere & Co | | 9/16/2022 | | (7 | ) | 395.00 | | 276,500 | | (1,036 | ) |
Discover Financial Services | | 9/16/2022 | | (20 | ) | 105.00 | | 210,000 | | (3,400 | ) |
Dominion Energy Inc | | 9/16/2022 | | (55 | ) | 85.00 | | 467,500 | | (1,100 | ) |
Dow Inc | | 9/16/2022 | | (55 | ) | 53.50 | | 294,250 | | (2,805 | ) |
DR Horton Inc | | 9/16/2022 | | (70 | ) | 80.00 | | 560,000 | | (1,540 | ) |
Duke Energy Corp | | 9/16/2022 | | (25 | ) | 110.00 | | 275,000 | | (1,500 | ) |
eBay Inc | | 9/16/2022 | | (70 | ) | 50.00 | | 350,000 | | (490 | ) |
eBay Inc | | 10/21/2022 | | (55 | ) | 47.50 | | 261,250 | | (6,215 | ) |
Eli Lilly & Co | | 9/16/2022 | | (25 | ) | 325.00 | | 812,500 | | (3,625 | ) |
The Estee Lauder Cos Inc | | 9/16/2022 | | (35 | ) | 300.00 | | 1,050,000 | | (175 | ) |
Extra Space Storage Inc | | 9/16/2022 | | (55 | ) | 200.00 | | 1,100,000 | | (21,450 | ) |
Exxon Mobil Corp | | 9/16/2022 | | (110 | ) | 100.00 | | 1,100,000 | | (15,510 | ) |
Fiserv Inc | | 9/16/2022 | | (15 | ) | 105.00 | | 157,500 | | (1,200 | ) |
Ford Motor Co | | 9/16/2022 | | (100 | ) | 16.00 | | 160,000 | | (2,900 | ) |
General Dynamics Corp | | 9/16/2022 | | (40 | ) | 230.00 | | 920,000 | | (19,600 | ) |
Gilead Sciences Inc | | 9/16/2022 | | (60 | ) | 67.50 | | 405,000 | | (540 | ) |
The Goldman Sachs Group Inc | | 9/16/2022 | | (20 | ) | 345.00 | | 690,000 | | (6,100 | ) |
HCA Healthcare Inc | | 9/16/2022 | | (50 | ) | 210.00 | | 1,050,000 | | (6,250 | ) |
Hilton Worldwide Holdings Inc | | 9/16/2022 | | (65 | ) | 135.00 | | 877,500 | | (8,775 | ) |
Intercontinental Exchange Inc | | 9/16/2022 | | (105 | ) | 110.00 | | 1,155,000 | | (1,575 | ) |
Intuit Inc | | 9/16/2022 | | (15 | ) | 470.00 | | 705,000 | | (4,425 | ) |
Johnson & Johnson | | 9/16/2022 | | (120 | ) | 165.00 | | 1,980,000 | | (13,680 | ) |
JPMorgan Chase & Co | | 9/16/2022 | | (250 | ) | 125.00 | | 3,125,000 | | (4,000 | ) |
Linde PLC | | 9/16/2022 | | (37 | ) | 320.00 | | 1,184,000 | | (1,295 | ) |
LKQ Corp | | 9/16/2022 | | (270 | ) | 55.00 | | 1,485,000 | | (12,150 | ) |
Lockheed Martin Corp | | 9/16/2022 | | (10 | ) | 440.00 | | 440,000 | | (1,940 | ) |
Masco Corp | | 9/16/2022 | | (175 | ) | 55.00 | | 962,500 | | (3,500 | ) |
Mastercard Inc | | 9/16/2022 | | (30 | ) | 370.00 | | 1,110,000 | | (570 | ) |
Mastercard Inc | | 10/21/2022 | | (30 | ) | 340.00 | | 1,020,000 | | (28,050 | ) |
McDonald’s Corp | | 9/16/2022 | | (30 | ) | 260.00 | | 780,000 | | (3,870 | ) |
McKesson Corp | | 9/16/2022 | | (50 | ) | 375.00 | | 1,875,000 | | (24,500 | ) |
Merck & Co Inc | | 9/16/2022 | | (258 | ) | 90.00 | | 2,322,000 | | (5,676 | ) |
Meta Platforms Inc | | 9/16/2022 | | (30 | ) | 165.00 | | 495,000 | | (16,050 | ) |
Microsoft Corp | | 9/16/2022 | | (103 | ) | 300.00 | | 3,090,000 | | (1,545 | ) |
Morgan Stanley | | 9/16/2022 | | (50 | ) | 87.50 | | 437,500 | | (6,250 | ) |
Motorola Solutions Inc | | 9/16/2022 | | (15 | ) | 250.00 | | 375,000 | | (4,275 | ) |
NetApp Inc | | 9/16/2022 | | (150 | ) | 75.00 | | 1,125,000 | | (12,750 | ) |
Newmont Corp | | 9/16/2022 | | (72 | ) | 45.00 | | 324,000 | | (1,656 | ) |
NextEra Energy Inc | | 9/16/2022 | | (40 | ) | 90.00 | | 360,000 | | (1,120 | ) |
NIKE Inc | | 9/16/2022 | | (90 | ) | 120.00 | | 1,080,000 | | (1,440 | ) |
28
See accompanying notes to financial statements.
Written Call Options |
| Expiration |
| Contracts |
| Strike |
| Notional |
| Value | |
| |||||||||||
NVIDIA Corp | | 9/16/2022 | | (125 | ) | $175.00 | | $2,187,500 | | $(8,250 | ) |
Oracle Corp | | 9/16/2022 | | (130 | ) | 77.50 | | 1,007,500 | | (20,150 | ) |
Organon & Co | | 9/16/2022 | | (10 | ) | 30.00 | | 30,000 | | (250 | ) |
PACCAR Inc | | 9/16/2022 | | (100 | ) | 92.50 | | 925,000 | | (2,500 | ) |
Packaging Corp of America | | 9/16/2022 | | (70 | ) | 150.00 | | 1,050,000 | | (2,625 | ) |
PayPal Holdings Inc | | 9/16/2022 | | (100 | ) | 100.00 | | 1,000,000 | | (15,000 | ) |
Pfizer Inc | | 10/21/2022 | | (400 | ) | 50.00 | | 2,000,000 | | (17,200 | ) |
The Procter & Gamble Co | | 9/16/2022 | | (70 | ) | 155.00 | | 1,085,000 | | (70 | ) |
The Procter & Gamble Co | | 10/21/2022 | | (190 | ) | 160.00 | | 3,040,000 | | (3,230 | ) |
Public Service Enterprise Group Inc | | 9/16/2022 | | (25 | ) | 65.00 | | 162,500 | | (2,125 | ) |
Raytheon Technologies Corp | | 9/16/2022 | | (330 | ) | 95.00 | | 3,135,000 | | (14,850 | ) |
Salesforce Inc | | 9/16/2022 | | (57 | ) | 175.00 | | 997,500 | | (2,679 | ) |
Schlumberger NV | | 9/16/2022 | | (40 | ) | 41.00 | | 164,000 | | (2,160 | ) |
Seagate Technology Holdings PLC | | 9/16/2022 | | (130 | ) | 85.00 | | 1,105,000 | | (520 | ) |
Shell PLC | | 9/16/2022 | | (50 | ) | 55.00 | | 275,000 | | (3,450 | ) |
The Southern Co | | 9/16/2022 | | (135 | ) | 80.00 | | 1,080,000 | | (4,725 | ) |
Southwest Airlines Co | | 9/16/2022 | | (150 | ) | 40.00 | | 600,000 | | (3,450 | ) |
Sprouts Farmers Market Inc | | 9/16/2022 | | (100 | ) | 30.00 | | 300,000 | | (4,000 | ) |
Starbucks Corp | | 9/16/2022 | | (80 | ) | 90.00 | | 720,000 | | (5,200 | ) |
Target Corp | | 9/16/2022 | | (14 | ) | 170.00 | | 238,000 | | (1,750 | ) |
Texas Instruments Inc | | 9/16/2022 | | (90 | ) | 175.00 | | 1,575,000 | | (8,100 | ) |
The TJX Cos Inc | | 9/16/2022 | | (100 | ) | 65.00 | | 650,000 | | (6,000 | ) |
T-Mobile US Inc | | 9/16/2022 | | (75 | ) | 150.00 | | 1,125,000 | | (8,475 | ) |
Union Pacific Corp | | 9/16/2022 | | (83 | ) | 240.00 | | 1,992,000 | | (4,399 | ) |
UnitedHealth Group Inc | | 9/16/2022 | | (75 | ) | 530.00 | | 3,975,000 | | (43,725 | ) |
UnitedHealth Group Inc | | 9/16/2022 | | (42 | ) | 580.00 | | 2,436,000 | | (1,512 | ) |
US Bancorp | | 9/16/2022 | | (40 | ) | 50.00 | | 200,000 | | (300 | ) |
Verizon Communications Inc | | 9/16/2022 | | (300 | ) | 44.00 | | 1,320,000 | | (4,200 | ) |
Visa Inc | | 9/16/2022 | | (48 | ) | 215.00 | | 1,032,000 | | (1,968 | ) |
The Walt Disney Co | | 9/16/2022 | | (45 | ) | 120.00 | | 540,000 | | (2,970 | ) |
Wells Fargo & Co | | 9/16/2022 | | (350 | ) | 47.50 | | 1,662,500 | | (4,200 | ) |
Westrock Co | | 9/16/2022 | | (100 | ) | 45.00 | | 450,000 | | (1,000 | ) |
Total Written Call Options | | | | | | | | $122,113,050 | | $(929,820 | ) |
Shelton Equity Income FundPortfolio of Investments (Continued) 8/31/22 |
Security Description |
| Shares |
| Value | |
| |||||
Common Stock (98.60%) | | | | ||
| | | | | |
Communications (26.37%) | | | | ||
Internet (20.96%) | | | | | |
Airbnb Inc* | | 33,338 | | $3,771,195 | |
Alphabet Inc Class A* | | 315,380 | | 34,130,424 | |
Alphabet Inc - Class C* | | 329,480 | | 35,962,742 | |
Amazon.com Inc*,#,(a) | | 534,863 | | 67,804,583 | |
Baidu Inc*,# | | 18,849 | | 2,713,691 | |
Booking Holdings Inc* | | 3,571 | | 6,698,518 | |
eBay Inc | | 48,827 | | 2,154,736 | |
JD.com Inc | | 44,198 | | 2,806,131 | |
Match Group Inc* | | 24,310 | | 1,374,244 | |
MercadoLibre Inc* | | 4,333 | | 3,706,275 | |
Meta Platforms Inc*,(a) | | 180,539 | | 29,415,219 | |
Netflix Inc* | | 38,524 | | 8,612,425 | |
Security Description |
| Shares |
| Value | |
| |||||
Okta Inc* | | 12,676 | | $1,158,586 | |
Palo Alto Networks Inc*,# | | 8,689 | | 4,838,122 | |
Pinduoduo Inc* | | 38,481 | | 2,743,695 | |
VeriSign Inc* | | 9,260 | | 1,687,357 | |
| | | | 209,577,943 | |
Media (2.23%) | | | | | |
Charter Communications Inc*,# | | 14,640 | | 6,040,903 | |
Comcast Corp | | 389,907 | | 14,110,734 | |
Sirius XM Holdings Inc# | | 344,861 | | 2,100,203 | |
| | | | 22,251,840 | |
Telecommunications (3.18%) | | | | ||
Cisco Systems Inc | | 361,245 | | 16,154,876 | |
T-Mobile US Inc* | | 108,632 | | 15,638,663 | |
| | | | 31,793,539 | |
| | | | | |
Total Communications | | | | 263,623,322 | |
| | | |
| |
Security Description |
| Shares |
| Value | |
| |||||
Consumer, Cyclical (10.30%) | | | | ||
Copart Inc* | | 20,628 | | $2,468,140 | |
Costco Wholesale Corp | | 38,656 | | 20,182,298 | |
Dollar Tree Inc*,# | | 19,086 | | 2,589,588 | |
Fastenal Co | | 50,023 | | 2,517,658 | |
Lucid Group Inc*,# | | 141,385 | | 2,168,846 | |
Lululemon Athletica Inc* | | 10,837 | | 3,250,667 | |
Marriott International Inc# | | 27,968 | | 4,299,800 | |
O’Reilly Automotive Inc* | | 5,732 | | 3,995,892 | |
PACCAR Inc | | 30,194 | | 2,642,277 | |
Ross Stores Inc | | 30,906 | | 2,666,261 | |
Starbucks Corp | | 100,029 | | 8,409,438 | |
Tesla Inc* | | 163,386 | | 45,030,815 | |
Walgreens Boots Alliance Inc# | | 75,284 | | 2,639,457 | |
Total Consumer, Cyclical | | 102,861,137 | | ||
| | | | | |
Nasdaq 100 Index FundPortfolio of Investments 8/31/22 |
29
See accompanying notes to financial statements.
Security Description |
| Shares |
| Value | |
| |||||
Consumer, Non-Cyclical (12.42%) | | ||||
Align Technology Inc* | | 6,858 | | $1,671,295 | |
Amgen Inc | | 46,591 | | 11,195,817 | |
AstraZeneca PLC# | | 49,607 | | 3,094,485 | |
Automatic Data Processing Inc | | 36,648 | | 8,957,138 | |
Biogen Inc* | | 12,488 | | 2,439,905 | |
Cintas Corp | | 8,993 | | 3,658,712 | |
Dexcom Inc* | | 33,292 | | 2,736,935 | |
Gilead Sciences Inc | | 109,396 | | 6,943,364 | |
IDEXX Laboratories Inc* | | 7,374 | | 2,563,350 | |
Illumina Inc* | | 13,593 | | 2,740,893 | |
Intuitive Surgical Inc* | | 31,069 | | 6,392,136 | |
Keurig Dr Pepper Inc | | 121,770 | | 4,641,872 | |
The Kraft Heinz Co | | 106,457 | | 3,981,492 | |
Moderna Inc* | | 34,818 | | 4,605,377 | |
Mondelez International Inc | | 121,323 | | 7,505,041 | |
Monster Beverage Corp* | | 45,440 | | 4,036,435 | |
PayPal Holdings Inc* | | 101,308 | | 9,466,220 | |
PepsiCo Inc | | 120,252 | | 20,715,812 | |
Regeneron Pharmaceuticals Inc* | | 9,280 | | 5,392,237 | |
Seagen Inc* | | 15,903 | | 2,453,674 | |
Verisk Analytics Inc | | 14,016 | | 2,623,235 | |
Vertex Pharmaceuticals Inc* | | 22,112 | | 6,230,277 | |
Total Consumer, Non-Cyclical | | 124,045,702 | | ||
| | | | | |
Industrial (2.01%) | | | | | |
CSX Corp | | 189,631 | | 6,001,821 | |
Honeywell International Inc | | 59,873 | | 11,336,953 | |
Old Dominion Freight Line Inc# | | 9,988 | | 2,710,843 | |
Total Industrial | | | | 20,049,617 | |
| | | | | |
Technology (46.10%) | | | | | |
Computers (14.55%) | | | | | |
Apple Inc#,(a) | | 850,846 | | 133,770,007 | |
Cognizant Technology Solutions Corp | | 45,682 | | 2,885,732 | |
Crowdstrike Holdings Inc* | | 18,608 | | 3,398,007 | |
Fortinet Inc* | | 70,200 | | 3,418,038 | |
Zscaler Inc* | | 12,027 | | 1,915,179 | |
| | | | 145,386,963 | |
Security Description |
| Shares |
| Value | |
| |||||
Semiconductors (14.03%) | | | | | |
Advanced Micro Devices Inc* | | 142,181 | | $12,066,901 | |
Analog Devices Inc | | 45,507 | | 6,895,676 | |
Applied Materials Inc | | 76,819 | | 7,226,363 | |
ASML Holding NV | | 7,471 | | 3,660,342 | |
Broadcom Inc | | 35,619 | | 17,777,799 | |
Intel Corp | | 356,628 | | 11,383,566 | |
KLA Corp | | 13,186 | | 4,537,698 | |
Lam Research Corp# | | 12,245 | | 5,362,208 | |
Marvell Technology Inc# | | 73,376 | | 3,435,464 | |
Microchip Technology Inc | | 47,650 | | 3,109,163 | |
Micron Technology Inc | | 97,289 | | 5,499,747 | |
NVIDIA Corp | | 184,437 | | 27,838,921 | |
NXP Semiconductors NV# | | 22,837 | | 3,758,513 | |
QUALCOMM Inc | | 97,408 | | 12,884,156 | |
Skyworks Solutions Inc | | 14,384 | | 1,417,543 | |
Texas Instruments Inc# | | 80,321 | | 13,269,832 | |
| | | | 140,123,892 | |
Software (17.52%) | | | | | |
Activision Blizzard Inc | | 68,192 | | 5,352,390 | |
Adobe Inc*,# | | 41,381 | | 15,453,321 | |
ANSYS Inc* | | 7,588 | | 1,884,100 | |
Atlassian Corp PLC* | | 12,058 | | 2,986,284 | |
Autodesk Inc* | | 18,880 | | 3,808,851 | |
Cadence Design Systems Inc* | | 24,103 | | 4,188,378 | |
Datadog Inc*,# | | 24,691 | | 2,591,320 | |
DocuSign Inc* | | 17,109 | | 996,086 | |
Electronic Arts Inc | | 24,596 | | 3,120,495 | |
Fiserv Inc* | | 56,698 | | 5,737,271 | |
Intuit Inc | | 24,627 | | 10,633,446 | |
Microsoft Corp | | 393,168 | | 102,801,637 | |
NetEase Inc# | | 15,843 | | 1,402,264 | |
Paychex Inc | | 31,361 | | 3,868,066 | |
Splunk Inc* | | 13,549 | | 1,219,816 | |
Synopsys Inc* | | 13,096 | | 4,531,478 | |
Workday Inc*,# | | 17,044 | | 2,804,761 | |
Zoom Video Communications Inc* | | 21,068 | | 1,693,867 | |
| | | | 175,073,831 | |
| | | | | |
Total Technology | | | | 460,584,686 | |
| | | |
| |
Security Description |
| Shares |
| Value | |
| |||||
Utilities (1.40%) | | | | | |
American Electric Power Co Inc | | 44,789 | | $4,487,858 | |
Constellation Energy Corp | | 28,005 | | 2,284,928 | |
Exelon Corp | | 84,015 | | 3,689,099 | |
Xcel Energy Inc | | 46,849 | | 3,478,538 | |
Total Utilities | | | | 13,940,423 | |
| | | | | |
Total Common Stock (Cost $481,183,695) | | | | 985,104,887 | |
| | | |
| |
United States Treasury Bills (1.30%) | | ||||
2.258%, 09/27/2022 | | 13,000,000 | | 12,978,568 | |
| | | |
| |
Collateral Received for Securities on Loan (3.13%) | | | | ||
Mount Vernon Liquid | | | | 31,281,598 | |
| | | |
| |
Total Investments | | $1,029,365,053 | | ||
Liabilities in Excess of Other Assets (-3.03%) | | (30,280,356 | ) | ||
Net Assets (100.00%) | | | | $999,084,697 | |
*Non-income producing security.
#Loaned security; a portion of the security is on loan at August 31, 2022.
(a)A portion of these securities, a total of $56,709,344, have been pledged or segregated in connection with obligations for futures contracts.
Futures contracts at August 31, 2022: | | ||||||
Contracts - $20 times premium / delivery month / commitment / exchange | | ||||||
Nasdaq 100 | | Notional | | Value | | Unrealized | |
54 / SEP | | $14,100,649 | | $13,268,124 | | $(832,525 | ) |
Nasdaq 100 Index FundPortfolio of Investments (Continued) 8/31/22 |
Shelton Green Alpha FundPortfolio of Investments 8/31/22 |
Security Description |
| Shares |
| Value | |
| |||||
Common Stock (95.63%) | | | | ||
| | | | | |
Basic Materials (2.15%) | | | | ||
Daqo New Energy Corp* | | 90,000 | | $6,000,300 | |
| | | |
| |
Security Description |
| Shares |
| Value | |
| |||||
Communications (4.58%) | | | | ||
SK Telecom Co Ltd | | 42,910 | | $916,129 | |
Switch Inc | | 350,000 | | 11,882,500 | |
Total Communications | | | | 12,798,629 | |
| | | | | |
Security Description |
| Shares |
| Value | |
| |||||
Consumer, Cyclical (6.33%) | | | | ||
Interface Inc | | 99,000 | | $1,105,830 | |
QuantumScape Corp* | | 110,000 | | 1,213,300 | |
Rivian Automotive Inc* | | 40,000 | | 1,308,400 | |
Steelcase Inc | | 150,000 | | 1,677,000 | |
Tesla Inc* | | 45,000 | | 12,402,450 | |
Total Consumer, Cyclical | | 17,706,980 | | ||
| | | | | |
30
See accompanying notes to financial statements.
Shelton Green Alpha FundPortfolio of Investments (Continued) 8/31/22 |
Security Description |
| Shares |
| Value | |
| |||||
Consumer, Non-Cyclical (14.37%) | | | | ||
Arcturus Therapeutics Holdings Inc* | | 53,000 | | $744,120 | |
Block Inc* | | 19,000 | | 1,309,290 | |
Caribou Biosciences Inc* | | 202,000 | | 1,993,740 | |
CRISPR Therapeutics AG* | | 150,000 | | 9,763,500 | |
Danone SA | | 110,000 | | 1,150,600 | |
Editas Medicine Inc* | | 170,000 | | 2,499,000 | |
Illumina Inc* | | 6,900 | | 1,391,316 | |
Intellia Therapeutics Inc* | | 68,300 | | 4,102,098 | |
Invitae Corp* | | 190,000 | | 577,600 | |
Moderna Inc* | | 57,000 | | 7,539,390 | |
Natural Grocers by Vitamin Cottage Inc | | 285,000 | | 4,092,600 | |
Pacific Biosciences of California Inc* | | 330,000 | | 1,933,800 | |
Personalis Inc* | | 43,924 | | 145,388 | |
Pluri Inc* | | 50,000 | | 48,520 | |
Sprouts Farmers Market Inc* | | 100,000 | | 2,890,000 | |
Total Consumer, Non-Cyclical | | 40,180,962 | | ||
| | | | | |
Energy (26.40%) | | | | | |
Azure Power Global Ltd* | | 52,498 | | 188,468 | |
Canadian Solar Inc* | | 200,000 | | 9,034,000 | |
Enphase Energy Inc* | | 29,000 | | 8,306,760 | |
First Solar Inc* | | 62,000 | | 7,908,100 | |
JinkoSolar Holding Co Ltd* | | 299,000 | | 18,200,130 | |
Maxeon Solar Technologies Ltd* | | 200,000 | | 3,970,000 | |
Security Description |
| Shares |
| Value | |
| |||||
SolarEdge Technologies Inc* | | 8,500 | | $2,345,745 | |
SunPower Corp* | | 331,000 | | 7,944,000 | |
Sunrun Inc* | | 48,000 | | 1,585,440 | |
TPI Composites Inc* | | 230,000 | | 4,275,700 | |
Vestas Wind Systems A/S | | 1,220,000 | | 10,113,800 | |
Total Energy | | | | 73,872,143 | |
| | | | | |
Financial (13.48%) | | | | | |
Alexandria Real Estate Equities Inc | | 31,700 | | 4,862,780 | |
Digital Realty Trust Inc | | 30,000 | | 3,708,900 | |
Equinix Inc | | 5,900 | | 3,878,483 | |
Hannon Armstrong Sustainable Infrastructure Capital Inc | | 210,000 | | 8,299,200 | |
Horizon Technology Finance Corp | | 460,000 | | 5,773,000 | |
Hudson Pacific Properties Inc | | 342,000 | | 4,517,820 | |
Kilroy Realty Corp | | 72,000 | | 3,511,440 | |
Vornado Realty Trust | | 120,000 | | 3,146,400 | |
Total Financial | | | | 37,698,023 | |
| | | | | |
Industrial (2.25%) | | | | | |
ABB Ltd | | 110,000 | | 3,032,700 | |
Advanced Energy Industries Inc | | 19,000 | | 1,706,010 | |
Li-Cycle Holdings Corp* | | 100,000 | | 721,000 | |
Trex Co Inc* | | 18,000 | | 842,220 | |
Total Industrial | | | | 6,301,930 | |
| | | | | |
Security Description |
| Shares |
| Value | |
| |||||
Technology (21.33%) | | | | | |
Analog Devices Inc | | 12,000 | | $1,818,360 | |
Apple Inc | | 18,000 | | 2,829,960 | |
Applied Materials Inc | | 80,800 | | 7,600,856 | |
ASML Holding NV | | 9,900 | | 4,850,406 | |
Fortinet Inc* | | 52,500 | | 2,556,225 | |
Infineon Technologies AG | | 165,000 | | 4,047,450 | |
International Business Machines Corp | | 68,000 | | 8,734,600 | |
Lam Research Corp | | 15,000 | | 6,568,650 | |
QUALCOMM Inc | | 51,000 | | 6,745,770 | |
Rapid7 Inc* | | 19,000 | | 1,092,500 | |
Taiwan Semiconductor Manufacturing Co Ltd | | 121,000 | | 10,085,350 | |
Wolfspeed Inc* | | 24,000 | | 2,723,280 | |
Total Technology | | | | 59,653,407 | |
| | | | | |
Utilities (4.74%) | | | | | |
Brookfield Renewable Corp | | 345,000 | | 13,244,550 | |
| | | |
| |
Total Common Stock | | 267,456,924 | | ||
| | | |
| |
Total Investments | | $267,456,924 | | ||
Other Net Assets (4.37%) | | 12,212,419 | | ||
Net Assets (100.00%) | | | | $279,669,343 | |
*Non-income producing security.
See accompanying notes to financial statements.
31
| | Green | | U.S. | | The | | S&P 500 |
| S&P | |
Assets | | | | | | | | | | | |
Investments in securities | | | | | | | | | | | |
Cost of investments | | $46,664,776 | | $16,348,643 | | $30,815,683 | | $82,625,488 | | $79,821,710 | |
Market value of investments (Note 1) | | 46,264,690 | | 15,552,131 | | 30,815,683 | | 220,991,998 | (a) | 109,745,239 | (b) |
Cash | | 98,207 | | 181,794 | | 115,232 | | 71,560 | | 51,528 | |
Cash held at broker for options | | — | | — | | — | | — | | — | |
Interest receivable | | 380,578 | | 54,420 | | — | | — | | — | |
Dividend receivable | | — | | — | | — | | 344,839 | | 117,510 | |
Receivable from investment advisor | | — | | 173 | | 13,260 | | — | | — | |
Receivable for fund shares sold | | 1,176 | | 58,238 | | 479,365 | | 90,194 | | 2,760 | |
Receivable for investment securities sold | | — | | — | | — | | — | | — | |
Securities lending income receivable | | — | | — | | — | | 1,488 | | 5,106 | |
Prepaid expenses | | 1,369 | | 6,260 | | 8,201 | | 22,312 | | 4,595 | |
Total assets | | $46,746,020 | | $15,853,016 | | $31,431,741 | | $221,522,391 | | $109,926,738 |
|
| |||||||||||
Liabilities | | | | | | | | | | | |
Written options, at value (premiums) | | — | | — | | — | | — | | — | |
Variation margin payable | | — | | — | | — | | 4,650 | | 3,440 | |
Cash due to Broker | | | | | | | | — | | — | |
Collateral for securities loaned | | — | | — | | — | | 10,826,242 | | 528,218 | |
Payable to investment advisor | | 21,749 | | 8,459 | | 21,383 | | 50,129 | | 41,377 | |
Payable for investments purchased | | — | | — | | — | | — | | — | |
Payable for fund shares purchased | | 72,074 | | 299 | | 44,470 | | 22,975 | | 29,570 | |
Distributions payable | | 15,677 | | 672 | | 748 | | — | | — | |
Accrued 12b-1 fees | | — | | 182 | | — | | 506 | | 179 | |
Accrued shareholder service fees | | — | | — | | — | | 346 | | 107 | |
Accrued administration fees | | 3,200 | | 1,062 | | 2,013 | | 14,749 | | 7,609 | |
Accrued CCO fees | | 1,499 | | 68 | | 158 | | 10,000 | | 5,130 | |
Accrued custody fees | | 1,436 | | 930 | | 1,311 | | 5,993 | | 6,008 | |
Accrued fund accounting fees | | 13,649 | | 4,732 | | 4,324 | | 35,819 | | 24,968 | |
Accrued printing fees | | 4,149 | | 2,569 | | 1,207 | | 2,972 | | 3,522 | |
Accrued state registration fees | | 9,901 | | 32,360 | | 11,674 | | 19,396 | | 19,796 | |
Accrued transfer agent fees | | 5,866 | | 6,879 | | 6,283 | | 9,731 | | 6,346 | |
Accrued trustee fees | | 1,284 | | 260 | | 484 | | 2,994 | | 2,646 | |
Accrued expenses | | 15,888 | | 1,594 | | 3,379 | | 18,682 | | 20,985 | |
Total liabilities | | 166,372 | | 60,066 | | 97,434 | | 11,025,184 | | 699,901 |
|
| |||||||||||
Net assets | | $46,579,648 | | $15,792,950 | | $31,334,307 | | $210,497,207 | | $109,226,837 | |
| |||||||||||
Net assets at August 31, 2022 consist of | | | | | | | | | | | |
Paid-in capital | | $47,080,869 | | $16,702,140 | | $31,335,904 | | $65,028,954 | | $71,523,735 | |
Distributable earnings/(loss) | | (501,221 | ) | (909,190 | ) | (1,597 | ) | 145,468,253 | | 37,703,102 | |
Total net assets | | $46,579,648 | | $15,792,950 | | $31,334,307 | | $210,497,207 | | $109,226,837 | |
| |||||||||||
Net assets | | | | | | | | | | | |
Direct Shares | | $46,579,648 | | $15,006,129 | | $31,334,307 | | $208,366,776 | | $108,465,548 | |
K Shares | | — | | $786,821 | | — | | $2,130,431 | | $761,289 | |
Institutional Shares | | — | | — | | — | | — | | — | |
| |||||||||||
Shares outstanding | | | | | | | | | | | |
Direct Shares (no par value, unlimited shares authorized) | | 4,370,862 | | 1,555,069 | | 31,342,598 | | 3,339,197 | | 4,417,670 | |
K Shares (no par value, unlimited shares authorized) | | — | | 81,397 | | — | | 34,249 | | 32,304 | |
Institutional Shares | | — | | — | | — | | — | | — | |
| |||||||||||
Net asset value per share | | | | | | | | | | | |
Direct Shares | | $10.66 | | $9.65 | | $1.00 | | $62.40 | | $24.55 | |
K Shares | | — | | $9.67 | | — | | $62.20 | | $23.57 | |
Institutional Shares | | — | | — | | — | | — | | — | |
(a) Includes securities on loan of $10,486,181.
(b) Includes securities on loan of $501,606.
32
See accompanying notes to financial statements.
Statements of Assets & Liabilities |
| S&P |
| Shelton | | Nasdaq-100 | | Shelton |
Assets | | | | | | | |
Investments in securities | | | | | | | |
Cost of investments | $43,555,928 | | $383,585,109 | | $525,445,096 | | $244,096,070 |
Market value of investments (Note 1) | 56,430,729 | (c) | 360,484,882 | | 1,029,365,053 | (d) | 267,456,924 |
Cash | 163,640 | | 257,371 | | 77,750 | | 11,694,200 |
Cash held at broker for options | — | | 496,287 | | — | | — |
Interest receivable | — | | — | | — | | — |
Dividend receivable | 42,484 | | 547,984 | | 928,548 | | 435,734 |
Receivable from investment advisor | — | | — | | 267,441 | | — |
Receivable for fund shares sold | 7,249 | | 357,731 | | 705,023 | | 395,792 |
Receivable for investment securities sold | — | | — | | — | | 19,386 |
Securities lending income receivable | 790 | | 161 | | 36,739 | | — |
Prepaid expenses | 2,072 | | 49,481 | | 105,967 | | 42,317 |
Total assets | $56,646,964 | | $362,193,897 | | $1,031,486,521 | | $280,044,353 |
| |||||||
Liabilities | | | | | | | |
Written options, at value (premiums $2,233,516) | — | | 929,820 | | — | | — |
Variation margin payable | 2,340 | | — | | 76,798 | | — |
Cash due to Broker | — | | | | 8,051 | | |
Collateral for securities loaned | 659,361 | | — | | 31,281,598 | | — |
Payable to investment advisor | 26,771 | | 166,963 | | 362,737 | | 262,096 |
Payable for investments purchased | — | | — | | — | | — |
Payable for fund shares purchased | 1,323 | | 35,393 | | 107,711 | | 51,915 |
Distributions payable | — | | 126 | | 536 | | — |
Accrued 12b-1 fees | 468 | | 158 | | 6,615 | | — |
Accrued shareholder service fees | 130 | | 8 | | 239,595 | | — |
Accrued administration fees | 3,938 | | 24,563 | | 70,616 | | 19,279 |
Accrued CCO fees | 1,684 | | 13,284 | | 3,974 | | 1,574 |
Accrued custody fees | 4,829 | | 7,289 | | 23,134 | | 3,021 |
Accrued fund accounting fees | 24,141 | | 28,675 | | 81,416 | | 18,902 |
Accrued printing fees | 4,537 | | — | | — | | — |
Accrued state registration fees | 18,176 | | — | | — | | — |
Accrued transfer agent fees | 5,341 | | 104,931 | | 20,708 | | 2,770 |
Accrued trustee fees | 1,576 | | 3,127 | | 331 | | 821 |
Accrued expenses | 26,510 | | 29,399 | | 118,004 | | 14,632 |
Total liabilities | 781,125 | | 1,343,736 | | 32,401,824 | | 375,010 |
| |||||||
Net assets | $55,865,839 | | $360,850,161 | | $999,084,697 | | $279,669,343 |
| |||||||
Net assets at August 31, 2022 consist of | | | | | | | |
Paid-in capital | $38,598,657 | | $377,455,369 | | $475,345,199 | | $273,292,523 |
Distributable earnings/(loss) | 17,267,182 | | (16,605,208 | ) | 523,739,498 | | 6,376,820 |
Total net assets | $55,865,839 | | $360,850,161 | | $999,084,697 | | $279,669,343 |
| |||||||
Net assets | | | | | | | |
Direct Shares | $54,011,385 | | $360,196,389 | | $971,811,795 | | $279,669,343 |
K Shares | $1,854,450 | | $653,772 | | $27,272,875 | | — |
Institutional Shares | — | | — | | $27.31 | | — |
| |||||||
Shares outstanding | | | | | | | |
Direct Shares (no par value, unlimited shares authorized) | 2,435,248 | | 22,908,599 | | 35,626,200 | | 7,993,172 |
K Shares (no par value, unlimited shares authorized) | 86,773 | | 43,543 | | 1,039,654 | | — |
Institutional Shares | — | | — | | 1 | | — |
| |||||||
Net asset value per share | | | | | | | |
Direct Shares | $22.18 | | $15.72 | | $27.28 | | $34.99 |
K Shares | $21.37 | | $15.01 | | $26.23 | | — |
Institutional Shares | — | | — | | $27.28 | | — |
(c) Includes securities on loan of $624,846.
(d) Includes securities on loan of $30,523,401.
See accompanying notes to financial statements.
33
| | Green | | U.S. | | The | | S&P 500 | | S&P | |
Investment income | | | | | | | | | | | |
Interest income | | $1,364,639 | | $337,082 | | $152,793 | | $2,036 | | $2,126 | |
Dividend income (tax withheld: -, -, -, $988, $359, respectively) | | — | | — | | — | | 3,481,263 | | 1,800,637 | |
Securities Lending Income | | — | | — | | — | | 4,021 | | 25,661 | |
Total | | 1,364,639 | | 337,082 | | 152,793 | | 3,487,320 | | 1,828,424 | |
| | | | | | | | | | | |
Expenses | | | | | | | | | | | |
Management fees (Note 2) | | 261,292 | | 90,108 | | 175,631 | | 586,874 | | 486,334 | |
Administration fees (Note 2) | | 38,292 | | 13,204 | | 25,783 | | 171,963 | | 89,058 | |
Transfer agent fees | | 15,324 | | 12,045 | | 13,209 | | 33,460 | | 17,358 | |
Accounting services | | 26,305 | | 19,059 | | 20,676 | | 59,950 | | 42,043 | |
Custodian fees | | 941 | | 1,275 | | 2,397 | | 11,069 | | 10,322 | |
Broker Fees | | — | | — | | — | | 3 | | 3 | |
Legal and audit fees | | 23,080 | | 14,143 | | 15,528 | | 17,981 | | 28,188 | |
CCO fees (Note 2) | | 2,238 | | 1,861 | | 3,687 | | 25,153 | | 13,527 | |
Trustees fees | | 5,953 | | 5,226 | | 5,447 | | 7,724 | | 7,325 | |
Insurance | | 1,807 | | 676 | | 1,479 | | 10,138 | | 5,030 | |
Printing | | 13,811 | | 13,001 | | 8,736 | | 11,400 | | 10,534 | |
Registration and dues | | 6,620 | | 23,310 | | 11,639 | | 32,760 | | 21,490 | |
12b-1 fees Class K (Note 2) | | — | | 3,048 | | — | | 7,751 | | 2,505 | |
Shareholder service fees Class K (Note 2) | | — | | 3,048 | | — | | 7,751 | | 2,505 | |
Shareholder service fees Direct Class (Note 2) | | — | | — | | — | | — | | — | |
Licensing fee | | — | | — | | — | | 36,091 | | 23,687 | |
Total expenses | | 395,663 | | 200,004 | | 284,212 | | 1,020,068 | | 759,909 | |
Less reimbursement from manager (Note 2) | | — | | (58,785 | ) | (198,502 | ) | — | | — | |
Net expenses | | 395,663 | | 141,219 | | 85,710 | | 1,020,068 | | 759,909 | |
Net investment income | | 968,976 | | 195,863 | | 67,083 | | 2,467,252 | | 1,068,515 | |
| | | | | | | | | | | |
Realized and unrealized gain/(loss) on investments | | | | | | | | | | | |
Net realized gain/(loss) from security transactions and foreign currency | | 159,070 | | (14,536 | ) | 22 | | 7,185,092 | | 9,704,275 | |
Net realized gain/(loss) from futures contracts | | — | | — | | — | | (80,989 | ) | 112,513 | |
Net realized gain/(loss) from written options contracts | | — | | — | | — | | — | | — | |
Change in unrealized appreciation/(depreciation) on investments | | (4,723,190 | ) | (1,623,256 | ) | — | | (37,672,446 | ) | (24,491,679 | ) |
Change in unrealized appreciation/(depreciation) on futures | | — | | — | | — | | (58,713 | ) | (40,940 | ) |
Change in unrealized appreciation/(depreciation) on written options contracts | | — | | — | | — | | — | | — | |
Net realized and unrealized gain/(loss) on investments | | (4,564,120 | ) | (1,637,792 | ) | 22 | | (30,627,056 | ) | (14,715,831 | ) |
Net increase/(decrease) in net assets resulting from operations | | $(3,595,144 | ) | $(1,441,929 | ) | $67,105 | | $(28,159,804 | ) | $(13,647,316 | ) |
34
See accompanying notes to financial statements.
Statements of Operations |
| | S&P | | Shelton | | Nasdaq-100 | | Shelton | |
Investment income | | | | | | | | | |
Interest income | | $1,278 | | $174,644 | | $29,925 | | $— | |
Dividend income (tax withheld: $1,097, $3,453, $22,371, $226,883, respectively) | | 982,112 | | 4,628,098 | | 8,768,649 | | 6,348,103 | |
Securities Lending Income | | 6,261 | | 334 | | 215,249 | | — | |
Total | | 989,651 | | 4,803,076 | | 9,013,823 | | 6,348,103 | |
| | | | | | | | | |
Expenses | | | | | | | | | |
Management fees (Note 2) | | 316,713 | | 1,476,225 | | 4,186,970 | | 3,026,000 | |
Administration fees (Note 2) | | 46,395 | | 216,761 | | 834,925 | | 221,548 | |
Transfer agent fees | | 14,177 | | 213,427 | | 108,367 | | 45,519 | |
Accounting services | | 36,598 | | 65,986 | | 177,005 | | 54,658 | |
Custodian fees | | 11,424 | | 13,243 | | 47,077 | | 12,102 | |
Broker Fees | | 5 | | 2,376 | | 40 | | — | |
Legal and audit fees | | 22,044 | | 32,544 | | 66,844 | | 27,609 | |
CCO fees (Note 2) | | 5,111 | | 38,200 | | 118,790 | | 31,520 | |
Trustees fees | | 6,317 | | 7,836 | | 5,320 | | 5,283 | |
Insurance | | 1,982 | | 13,438 | | 44,507 | | 11,497 | |
Printing | | 11,861 | | 4,549 | | 22,210 | | 14,842 | |
Registration and dues | | 15,323 | | 44,438 | | 44,017 | | 45,912 | |
12b-1 fees Class K (Note 2) | | 7,103 | | 2,709 | | 84,139 | | — | |
Shareholder service fees Class K (Note 2) | | 7,103 | | 2,709 | | 84,139 | | — | |
Shareholder service fees Direct Class (Note 2) | | — | | — | | 1,231,346 | | — | |
Licensing fee | | 21,066 | | — | | 239,240 | | — | |
Total expenses | | 523,222 | | 2,134,441 | | 7,294,936 | | 3,496,490 | |
Less reimbursement from manager (Note 2) | | — | | — | | (1,423,929 | ) | — | |
Net expenses | | 523,222 | | 2,134,441 | | 5,871,007 | | 3,496,490 | |
Net investment income | | 466,429 | | 2,668,635 | | 3,142,816 | | 2,851,613 | |
| | | | | | | | | |
Realized and unrealized gain/(loss) on investments | | | | | | | | | |
Net realized gain/(loss) from security transactions and foreign currency | | 4,940,808 | | 19,058,968 | | 23,542,080 | | (16,978,842 | ) |
Net realized gain/(loss) from futures contracts | | 24,713 | | — | | (1,763,592 | ) | — | |
Net realized gain/(loss) from written options contracts | | — | | 4,399,068 | | — | | — | |
Change in unrealized appreciation/(depreciation) on investments | | (13,361,258 | ) | (57,530,314 | ) | (290,003,613 | ) | (80,735,219 | ) |
Change in unrealized appreciation/(depreciation) on futures | | (25,630 | ) | — | | (1,084,060 | ) | — | |
Change in unrealized appreciation/(depreciation) on written options contracts | | — | | 1,224,342 | | — | | — | |
Net realized and unrealized gain/(loss) on investments | | (8,421,367 | ) | (32,847,936 | ) | (269,309,185 | ) | (97,714,061 | ) |
Net increase/(decrease) in net assets resulting from operations | | $(7,954,938 | ) | $(30,179,302 | ) | $(266,166,369 | ) | $(94,862,448 | ) |
See accompanying notes to financial statements.
35
| | Green California Tax-Free | | U.S. Government | | The United States | | ||||||
| | Year | | Year | | Year | | Year | | Year | | Year | |
Operations | | | | | | | | | | | | | |
Net investment income/(loss) | | $968,976 | | $1,077,893 | | $195,863 | | $225,902 | | $67,083 | | $— | |
Net realized gain/(loss) from security transactions and foreign currency | | 159,070 | | (7,800 | ) | (14,536 | ) | (27,968 | ) | 22 | | 99 | |
Net realized gain/(loss) from futures contracts | | — | | — | | — | | — | | — | | — | |
Net realized gain/(loss) from written options contracts | | — | | — | | — | | — | | — | | — | |
Change in unrealized appreciation/(depreciation) on investments | | (4,723,191 | ) | (508,332 | ) | (1,623,256 | ) | (702,215 | ) | — | | — | |
Change in unrealized appreciation/(depreciation) on futures | | — | | — | | — | | — | | — | | — | |
Change in unrealized appreciation/(depreciation) on written options contracts | | — | | — | | — | | — | | — | | — | |
Net increase/(decrease) in net assets resulting from operations | | (3,595,145 | ) | 561,761 | | (1,441,929 | ) | (504,281 | ) | 67,105 | | 99 | |
| | | | | | | | | | | | | |
Distributions to shareholders | | | | | | | | | | | | | |
Distributions | | | | | | | | | | | | | |
Direct shares | | (1,016,587 | ) | (1,113,278 | ) | (209,630 | ) | (212,316 | ) | (67,021 | ) | — | |
K shares | | — | | — | | (9,061 | ) | (9,672 | ) | — | | — | (a) |
Institutional Shares | | — | | — | | — | | — | | — | | — | |
| | | | | | | | | | | | | |
Capital share transactions | | | | | | | | | | | | | |
Increase/(decrease) in net assets resulting from capital share transactions | | (5,710,456 | ) | (3,903,210 | ) | (2,776,600 | ) | (2,748,931 | ) | (5,941,616 | ) | 359,160 | |
Total increase/(decrease) | | (10,322,188 | ) | (4,454,727 | ) | (4,437,220 | ) | (3,475,200 | ) | (5,941,532 | ) | 359,259 | |
| | | | | | | | | | | | | |
Net assets | | | | | | | | | | | | | |
Beginning of year | | 56,901,836 | | 61,356,563 | | 20,230,170 | | 23,705,370 | | 37,275,839 | | 36,916,580 | |
End of year | | $46,579,648 | | $56,901,836 | | $15,792,950 | | $20,230,170 | | $31,334,307 | | $37,275,839 | |
36
See accompanying notes to financial statements.
Statements of Changes in Net Assets |
| | S&P 500 Index Fund | | S&P MidCap Index Fund | | S&P SmallCap Index Fund | | ||||||
| | Year | | Year | | Year | | Year | | Year | | Year | |
Operations | | | | | | | | | | | | | |
Net investment income/(loss) | | $2,467,252 | | $2,339,010 | | $1,068,515 | | $1,181,329 | | $466,429 | | $351,192 | |
Net realized gain/(loss) from security transactions and foreign currency | | 7,185,092 | | 12,090,164 | | 9,704,275 | | 11,058,274 | | 4,940,808 | | 6,278,368 | |
Net realized gain/(loss) from futures contracts | | (80,989 | ) | 239,328 | | 112,513 | | 257,356 | | 24,713 | | 145,088 | |
Net realized gain/(loss) from written options contracts | | — | | — | | — | | — | | — | | — | |
Change in unrealized appreciation/(depreciation) of investments | | (37,672,446 | ) | 43,881,882 | | (24,491,679 | ) | 29,519,269 | | (13,361,258 | ) | 17,942,160 | |
Change in unrealized appreciation/(depreciation) of futures | | (58,713 | ) | 675 | | (40,940 | ) | (4,090 | ) | (25,630 | ) | 5,955 | |
Change in unrealized appreciation/(depreciation) of written options contracts | | — | | — | | — | | — | | — | | — | |
Net increase/(decrease) in net assets resulting from operations | | (28,159,804 | ) | 58,551,059 | | (13,647,316 | ) | 42,012,138 | | (7,954,938 | ) | 24,722,763 | |
| | | | | | | | | | | | | |
Distributions to shareholders | | | | | | | | | | | | | |
Distributions | | | | | | | | | | | | | |
Direct shares | | (13,532,177 | ) | (16,261,973 | ) | (12,280,634 | ) | (9,209,366 | ) | (5,860,549 | ) | (2,389,079 | ) |
K shares | | (188,678 | ) | (247,914 | ) | (112,557 | ) | (96,641 | ) | (299,898 | ) | (110,067 | ) |
Institutional Shares | | — | | — | | — | | — | | — | | — | |
| | | | | | | | | | | | | |
Capital share transactions | | | | | | | | | | | | | |
Increase/(decrease) in net assets resulting from capital share transactions | | 4,898,712 | | 6,220,011 | | 1,801,629 | | 1,204,724 | | 1,950,529 | | (3,446,948 | ) |
Total increase/(decrease) | | (36,981,947 | ) | 48,261,183 | | (24,238,878 | ) | 33,910,855 | | (12,164,856 | ) | 18,776,669 | |
| | | | | | | | | | | | | |
Net assets | | | | | | | | | | | | | |
Beginning of year | | 247,479,154 | | 199,217,971 | | 133,465,715 | | 99,554,860 | | 68,030,695 | | 49,254,026 | |
End of year | | $210,497,207 | | $247,479,154 | | $109,226,837 | | $133,465,715 | | $55,865,839 | | $68,030,695 | |
See accompanying notes to financial statements.
37
Statements of Changes in Net Assets |
| | Shelton Equity | | Nasdaq-100 | | Shelton Green | | ||||||
| | Year | | Year | | Year | | Year | | Year | | Year | |
Operations | | | | | | | | | | | | | |
Net investment income/(loss) | | $2,668,635 | | $1,826,988 | | $3,142,816 | | $2,297,692 | | $2,851,613 | | $(784,405 | ) |
Net realized gain/(loss) from security transactions and foreign currency | | 19,058,967 | | 20,952,907 | | 23,542,080 | | 28,527,403 | | (16,978,842 | ) | 13,723,761 | |
Net realized gain/(loss) from futures contracts | | — | | — | | (1,763,592 | ) | 4,933,218 | | — | | — | |
Net realized gain/(loss) from written options contracts | | 4,399,068 | | 3,533,808 | | — | | — | | — | | — | |
Change in unrealized appreciation/(depreciation) of investments | | (57,530,314 | ) | 21,613,026 | | (290,003,613 | ) | 238,590,585 | | (80,735,219 | ) | 61,988,914 | |
Change in unrealized appreciation/(depreciation) of futures | | — | | — | | (1,084,060 | ) | (2,230,480 | ) | — | | — | |
Change in unrealized appreciation/(depreciation) of written options contracts | | 1,224,342 | | 862,250 | | — | | — | | — | | — | |
Net increase/(decrease) in net assets resulting from operations | | (30,179,302 | ) | 48,788,979 | | (266,166,369 | ) | 272,118,418 | | (94,862,448 | ) | 74,928,270 | |
| | | | | | | | | | | | | |
Distributions to shareholders | | | | | | | | | | | | | |
Distributions | | | | | | | | | | | | | |
Direct shares | | (30,776,683 | ) | (37,688,727 | ) | (32,597,372 | ) | (11,939,334 | ) | (15,166,305 | ) | (1,627,679 | ) |
K shares | | (144,139 | ) | (311,732 | ) | (996,505 | ) | (356,386 | ) | — | | — | |
Institutional Shares | | — | | — | | — | | — | | — | | — | |
| | | | | | | | | | | | | |
Capital share transactions | | | | | | | | | | | | | |
Increase/(decrease) in net assets resulting from capital share transactions | | 194,146,788 | | 65,595,167 | | 72,149,358 | | 46,645,486 | | 46,156,495 | | 178,633,704 | |
Total increase/(decrease) | | 133,046,664 | | 76,383,687 | | (227,610,888 | ) | 306,468,184 | | (63,872,258 | ) | 251,934,296 | |
| | | | | | | | | | | | | |
Net assets | | | | | | | | | | | | | |
Beginning of year | | 227,803,497 | | 151,419,810 | | 1,226,695,585 | | 920,227,401 | | 343,541,601 | | 91,607,305 | |
End of year | | $360,850,161 | | $227,803,497 | | $999,084,697 | | $1,226,695,585 | | $279,669,343 | | $343,541,601 | |
38
See accompanying notes to financial statements.
Statements of Changes in Net Assets |
Green California Tax-Free Income Fund | | Direct Shares | | ||||||
| | Year Ended | | Year Ended | | ||||
| | Shares | | Value | | Shares | | Value | |
Shares sold | | 122,728 | | $1,356,897 | | 224,330 | | $2,638,125 | |
Shares issued in reinvestment of distributions | | 74,353 | | 824,808 | | 75,527 | | 882,679 | |
Shares repurchased | | (711,296 | ) | (7,892,161 | ) | (633,962 | ) | (7,424,014 | ) |
Net increase/(decrease) | | (514,215 | ) | $(5,710,456 | ) | (334,105 | ) | $(3,903,210 | ) |
U.S. Government Securities Fund | Direct Shares | | K Shares | | |||||||||||||
| | Year Ended | | Year Ended | | Year Ended | | Year Ended | | ||||||||
| | Shares | | Value | | Shares | | Value | | Shares | | Value | | Shares | | Value | |
Shares sold | | 181,407 | | $1,840,596 | | 221,155 | | $2,375,410 | | 36,173 | | $372,544 | | 48,585 | | $527,892 | |
Shares issued in reinvestment of distributions | | 20,109 | | 202,639 | | 19,176 | | 205,040 | | 897 | | 9,061 | | 902 | | 9,672 | |
Shares repurchased | | (426,650 | ) | (4,334,767 | ) | (473,981 | ) | (5,101,816 | ) | (86,196 | ) | (866,673 | ) | (71,433 | ) | (765,129 | ) |
Net increase/(decrease) | | (225,134 | ) | $(2,291,532 | ) | (233,650 | ) | $(2,521,366 | ) | (49,126 | ) | $(485,068 | ) | (21,946 | ) | $(227,565 | ) |
The United States Treasury Trust | | Direct Shares | | ||
| | Year Ended | | Year Ended | |
| | Shares | | Shares | |
Shares sold | | $34,910,113 | | $29,917,415 | |
Shares issued in reinvestment of distributions | | 65,763 | | — | |
Shares repurchased | | (40,917,492 | ) | (29,558,255 | ) |
Net increase/(decrease) | | $(5,941,616 | ) | $359,160 | |
S&P 500 Index Fund | | Direct Shares | | K Shares | | ||||||||||||
| | Year Ended | | Year Ended | | Year Ended | | Year Ended | | ||||||||
| | Shares | | Value | | Shares | | Value | | Shares | | Value | | Shares | | Value | |
Shares sold | | 260,153 | | $18,097,904 | | 278,423 | | $17,953,823 | | 2,710 | | $180,742 | | 6,907 | | $448,791 | |
Shares issued in reinvestment of distributions | | 159,569 | | 11,384,922 | | 219,356 | | 13,267,106 | | 2,637 | | 188,510 | | 4,125 | | 247,775 | |
Shares repurchased | | (342,692 | ) | (23,354,207 | ) | (389,412 | ) | (25,146,813 | ) | (23,475 | ) | (1,599,159 | ) | (8,390 | ) | (550,671 | ) |
Net increase/(decrease) | | 77,030 | | $6,128,619 | | 108,367 | | $6,074,116 | | (18,128 | ) | $(1,229,907 | ) | 2,642 | | $145,895 | |
S&P MidCap Index Fund | | Direct Shares | | K Shares | | ||||||||||||
| | Year Ended | | Year Ended | | Year Ended | | Year Ended | | ||||||||
| | Shares | | Value | | Shares | | Value | | Shares | | Value | | Shares | | Value | |
Shares sold | | 96,248 | | $2,618,757 | | 196,007 | | $5,390,219 | | 2,481 | | $63,425 | | 7,210 | | $179,191 | |
Shares issued in reinvestment of distributions | | 429,839 | | 11,755,486 | | 361,383 | | 8,756,535 | | 4,272 | | 112,414 | | 4,157 | | 96,516 | |
Shares repurchased | | (447,959 | ) | (12,207,476 | ) | (486,413 | ) | (12,868,533 | ) | (20,062 | ) | (540,977 | ) | (13,245 | ) | (349,204 | ) |
Net increase/(decrease) | | 78,128 | | $2,166,767 | | 70,977 | | $1,278,221 | | (13,309 | ) | $(365,138 | ) | (1,878 | ) | $(73,497 | ) |
*Each Share of this fund is worth $1.00
See accompanying notes to financial statements.
39
Statements of Changes in Net Assets |
S&P SmallCap Index Fund | | Direct Shares | | K Shares | | ||||||||||||
| | Year Ended | | Year Ended | | Year Ended | | Year Ended | | ||||||||
| | Shares | | Value | | Shares | | Value | | Shares | | Value | | Shares | | Value | |
Shares sold | | 148,746 | | $3,703,635 | | 164,822 | | $4,011,563 | | 6,014 | | $137,146 | | 14,916 | | $347,286 | |
Shares issued in reinvestment of distributions | | 222,514 | | 5,604,347 | | 108,188 | | 2,298,648 | | 12,339 | | 299,898 | | 5,408 | | 110,067 | |
Shares repurchased | | (256,589 | ) | (6,275,378 | ) | (419,087 | ) | (9,932,361 | ) | (64,531 | ) | (1,519,119 | ) | (12,477 | ) | (282,151 | ) |
Net increase/(decrease) | | 114,671 | | $3,032,604 | | (146,077 | ) | $(3,622,150 | ) | (46,178 | ) | $(1,082,075 | ) | 7,847 | | $175,202 | |
Shelton Equity Income Fund | | Direct Shares | | K Shares | | ||||||||||||
| | Year Ended | | Year Ended | | Year Ended | | Year Ended | | ||||||||
| | Shares | | Value | | Shares | | Value | | Shares | | Value | | Shares | | Value | |
Shares sold | | 12,597,515 | | $218,021,826 | | 2,903,504 | | $53,322,694 | | 3,720 | | $60,370 | | 5,573 | | $97,092 | |
Shares issued in reinvestment of distributions | | 1,607,633 | | 27,963,653 | | 2,086,577 | | 35,806,151 | | 8,459 | | 144,139 | | 18,782 | | 311,732 | |
Shares repurchased | | (3,024,158 | ) | (51,335,337 | ) | (1,295,296 | ) | (23,488,008 | ) | (43,070 | ) | (707,864 | ) | (25,791 | ) | (454,494 | ) |
Net increase/(decrease) | | 11,180,990 | | $194,650,142 | | 3,694,785 | | $65,640,837 | | (30,889 | ) | $(503,355 | ) | (1,436 | ) | $(45,670 | ) |
Nasdaq-100 Index Fund | | Direct Shares | | K Shares | | ||||||||||||
| | Year Ended | | Year Ended | | Year Ended | | Year Ended | | ||||||||
| | Shares | | Value | | Shares | | Value | | Shares | | Value | | Shares | | Value | |
Shares sold | | 8,207,545 | | $262,085,536 | | 8,638,021 | | $254,632,638 | | 84,061 | | $2,558,195 | | 291,079 | | $8,382,408 | |
Shares issued in reinvestment of distributions | | 871,117 | | 30,760,111 | | 398,667 | | 11,271,223 | | 28,859 | | 996,505 | | 13,178 | | 356,386 | |
Shares repurchased | | (6,968,524 | ) | (218,271,979 | ) | (7,529,671 | ) | (218,241,936 | ) | (197,383 | ) | (5,979,036 | ) | (335,991 | ) | (9,755,233 | ) |
Net increase/(decrease) | | 2,110,138 | | $74,573,668 | | 1,507,017 | | $47,661,925 | | (84,463 | ) | $(2,424,336 | ) | (31,734 | ) | $(1,016,439 | ) |
Nasdaq-100 Index Fund | | Institutional Shares* | | ||||||
| | Period Ended | | Year Ended | | ||||
| | Shares | | Value | | Shares | | Value | |
Shares sold | | 1 | | $27 | | N/A | | N/A | |
Shares issued in reinvestment of distributions | | | | | | N/A | | N/A | |
Shares repurchased | |
| |
| | N/A | | N/A | |
Net increase/(decrease) | | 1 | | $27 | | N/A | | N/A | |
* Class commenced operations on March 7, 2022.
Shelton Green Alpha Fund | | Direct Shares | | ||||||
| | Year Ended | | Year Ended | | ||||
| | Shares | | Value | | Shares | | Value | |
Shares sold | | 3,834,712 | | $155,866,351 | | 6,825,503 | | $305,371,450 | |
Shares issued in reinvestment of distributions | | 325,413 | | 14,496,140 | | 39,298 | | 1,586,061 | |
Shares repurchased | | (3,168,001 | ) | (124,205,996 | ) | (2,953,863 | ) | (128,323,807 | ) |
Net increase/(decrease) | | 992,124 | | $46,156,495 | | 3,910,938 | | $178,633,704 | |
40
See accompanying notes to financial statements.
Green California Tax-Free Income Fund | Year | | Year | | Year | | Year | | Year | |||||
Net asset value, beginning of year | $11.65 | | | $11.76 | | | $11.72 | | | $11.29 | | | $11.65 | |
INCOME FROM INVESTMENT OPERATIONS | | | | | | | | | | | | | | |
Net investment income/(loss)(a) | 0.21 | | | 0.21 | | | 0.21 | | | 0.23 | | | 0.23 | |
Net gain/(loss) on securities (both realized and unrealized) | (0.98 | ) | | (0.10 | ) | | 0.06 | | | 0.45 | | | (0.31 | ) |
Total from investment operations | (0.77 | ) | | 0.11 | | | 0.27 | | | 0.68 | | | (0.08 | ) |
LESS DISTRIBUTIONS | | | | | | | | | | | | | | |
Dividends from net investment income | (0.22 | ) | | (0.22 | ) | | (0.21 | ) | | (0.23 | ) | | (0.24 | ) |
Distributions from capital gains | — | | | — | | | (0.02 | ) | | (0.02 | ) | | (0.04 | ) |
Total distributions | (0.22 | ) | | (0.22 | ) | | (0.23 | ) | | (0.25 | ) | | (0.28 | ) |
Net asset value, end of year or period | $10.66 | | | $11.65 | | | $11.76 | | | $11.72 | | | $11.29 | |
| | | | | | | | | | | | | | |
Total return | (6.68 | )% | | 0.96 | % | | 2.31 | % | | 6.10 | % | | (0.74 | )% |
| | | | | | | | | | | | | | |
RATIOS / SUPPLEMENTAL DATA | | | | | | | | | | | | | | |
Net assets, end of year or period (000s) | $46,580 | | | $56,902 | | | $61,357 | | | $66,144 | | | $68,253 | |
Ratio of expenses to average net assets | 0.76 | % | | 0.74 | % | | 0.75 | % | | 0.77 | % | | 0.76 | % |
Ratio of net investment income/(loss) to average net assets | 1.86 | % | | 1.82 | % | | 1.82 | % | | 2.01 | % | | 2.02 | % |
Portfolio turnover | 15 | % | | 7 | % | | 9 | % | | 4 | % | | 12 | % |
(a) Calculated based upon average shares outstanding.
U.S. Government Securities Fund | Year | | Year | | Year | | Year | | Year | |||||
Net asset value, beginning of year | $10.59 | | | $10.94 | | | $10.57 | | | $9.98 | | | $10.32 | |
INCOME FROM INVESTMENT OPERATIONS | | | | | | | | | | | | | | |
Net investment income/(loss)(a) | 0.11 | | | 0.12 | | | 0.13 | | | 0.15 | | | 0.14 | |
Net gain/(loss) on securities (both realized and unrealized) | (0.92 | ) | | (0.35 | ) | | 0.37 | | | 0.59 | | | (0.33 | ) |
Total from investment operations | (0.81 | ) | | (0.23 | ) | | 0.50 | | | 0.74 | | | (0.19 | ) |
LESS DISTRIBUTIONS | | | | | | | | | | | | | | |
Dividends from net investment income | (0.13 | ) | | (0.12 | ) | | (0.13 | ) | | (0.15 | ) | | (0.15 | ) |
Total distributions | (0.13 | ) | | (0.12 | ) | | (0.13 | ) | | (0.15 | ) | | (0.15 | ) |
Net asset value, end of year or period | $9.65 | | | $10.59 | | | $10.94 | | | $10.57 | | | $9.98 | |
| | | | | | | | | | | | | | |
Total return | (7.72 | )% | | (2.14 | )% | | 4.78 | % | | 7.48 | % | | (1.88 | )% |
| | | | | | | | | | | | | | |
RATIOS / SUPPLEMENTAL DATA | | | | | | | | | | | | | | |
Net assets, end of year or period (000s) | $15,006 | | | $18,846 | | | $22,034 | | | $17,263 | | | $15,668 | |
Ratio of expenses to average net assets: | | | | | | | | | | | | | | |
Before expense reimbursements | 1.08 | % | | 1.00 | % | | 0.93 | % | | 0.99 | % | | 0.89 | % |
After expense reimbursements | 0.75 | %(b) | | 0.75 | %(b) | | 0.75 | %(b) | | 0.76 | %(b) | | 0.75 | %(b) |
Ratio of net investment income/(loss) to average net assets | | | | | | | | | | | | | | |
Before expense reimbursements | 0.80 | % | | 0.84 | % | | 1.07 | % | | 1.23 | % | | 1.29 | % |
After expense reimbursements | 1.12 | % | | 1.10 | % | | 1.25 | % | | 1.47 | % | | 1.42 | % |
Portfolio turnover | 9 | % | | 15 | % | | 10 | % | | 8 | % | | 13 | % |
U.S. Government Securities Fund | Year Ended August 31, | | Year Ended August 31, | | Year Ended August 31, | | Year Ended | | Year Ended | |||||
Net asset value, beginning of year | $10.61 | | | $10.96 | | | $10.59 | | | $10.01 | | | $10.35 | |
INCOME FROM INVESTMENT OPERATIONS | | | | | | | | | | | | | | |
Net investment income/(loss)(a) | 0.06 | | | 0.06 | | | 0.08 | | | 0.10 | | | 0.09 | |
Net gain/(loss) on securities (both realized and unrealized) | (0.92 | ) | | (0.35 | ) | | 0.37 | | | 0.58 | | | (0.33 | ) |
See accompanying notes to financial statements.
41
Financial Highlights |
U.S. Government Securities Fund | Year Ended | | Year Ended August 31, | | Year Ended August 31, | | Year Ended | | Year Ended | |||||
Total from investment operations | $(0.86 | ) | | $(0.29 | ) | | $0.45 | | | $0.68 | | | $(0.24 | ) |
LESS DISTRIBUTIONS | | | | | | | | | | | | | | |
Dividends from net investment income | (0.08 | ) | | (0.06 | ) | | (0.08 | ) | | (0.10 | ) | | (0.10 | ) |
Total distributions | (0.08 | ) | | (0.06 | ) | | (0.08 | ) | | (0.10 | ) | | (0.10 | ) |
Net asset value, end of year or period | $9.67 | | | $10.61 | | | $10.96 | | | $10.59 | | | $10.01 | |
| | | | | | | | | | | | | | |
Total return | (8.14 | )% | | (2.61 | )% | | 4.28 | % | | 6.87 | % | | (2.37 | )% |
| | | | | | | | | | | | | | |
RATIOS / SUPPLEMENTAL DATA | | | | | | | | | | | | | | |
Net assets, end of year or period (000s) | $787 | | | $1,385 | | | $1,672 | | | $2,250 | | | $3,691 | |
Ratio of expenses to average net assets: | | | | | | | | | | | | | | |
Before expense reimbursements | 1.58 | % | | 1.51 | % | | 1.44 | % | | 1.49 | % | | 1.39 | % |
After expense reimbursements | 1.25 | %(b) | | 1.25 | %(b) | | 1.26 | %(b) | | 1.26 | %(b) | | 1.25 | % |
Ratio of net investment income/(loss) to average net assets | | | | | | | | | | | | | | |
Before expense reimbursements | 0.28 | % | | 0.33 | % | | 0.58 | % | | 0.75 | % | | 0.78 | % |
After expense reimbursements | 0.62 | % | | 0.60 | % | | 0.76 | % | | 0.98 | % | | 0.92 | % |
Portfolio turnover | 9 | % | | 15 | % | | 10 | % | | 8 | % | | 13 | % |
(a) Calculated based upon average shares outstanding.
(b) See Note 2 for reference to expenses excluded.
The United States Treasury Trust | Year | | Year | | Year | | Year | | Year | |||||
Net asset value, beginning of year | $1.00 | | | $1.00 | | | $1.00 | | | $1.00 | | | $1.00 | |
INCOME FROM INVESTMENT OPERATIONS | | | | | | | | | | | | | | |
Net investment income/(loss)(a) | — | (b) | | — | | | 0.01 | | | 0.02 | | | 0.01 | |
Net gain/(loss) on securities (both realized and unrealized) | — | | | — | | | — | | | — | | | — | |
Total from investment operations | — | | | — | | | 0.01 | | | 0.02 | | | 0.01 | |
LESS DISTRIBUTIONS | | | | | | | | | | | | | | |
Dividends from net investment income | — | (b) | | — | | | (0.01 | ) | | (0.02 | ) | | (0.01 | ) |
Distributions from capital gains | — | | | — | | | — | | | — | | | — | |
Total distributions | — | | | — | | | (0.01 | ) | | (0.02 | ) | | (0.01 | ) |
Net asset value, end of year or period | $1.00 | | | $1.00 | | | $1.00 | | | $1.00 | | | $1.00 | |
| | | | | | | | | | | | | | |
Total return | 0.20 | % | | 0.00 | % | | 0.67 | % | | 1.75 | % | | 0.98 | % |
| | | | | | | | | | | | | | |
RATIOS / SUPPLEMENTAL DATA | | | | | | | | | | | | | | |
Net assets, end of year or period (000s) | $31,334 | | | $37,276 | | | $36,917 | | | $37,479 | | | $53,079 | |
Ratio of expenses to average net assets: | | | | | | | | | | | | | | |
Before expense reimbursements | 0.81 | % | | 0.77 | % | | 0.78 | % | | 0.77 | % | | 0.77 | % |
After expense reimbursements | 0.24 | %(c) | | 0.07 | %(c) | | 0.45 | %(c) | | 0.55 | %(c) | | 0.46 | %(d) |
Ratio of net investment income/(loss) to average net assets | | | | | | | | | | | | | | |
Before expense reimbursements | (0.37 | )% | | (0.70 | )% | | 0.35 | % | | 1.51 | % | | 0.65 | % |
After expense reimbursements | 0.19 | % | | 0.00 | % | | 0.68 | % | | 1.73 | % | | 0.96 | %(d) |
(a) Calculated based upon average shares outstanding.
(b) Less than $0.05 per share.
(c) See Note 2 for reference to expenses excluded.
(d) Includes negative yield waiver adjustment.
42
See accompanying notes to financial statements.
Financial Highlights |
S&P 500 Index Fund | Year | | Year | | Year | | Year | | Year | |||||
Net asset value, beginning of year | $74.67 | | | $62.19 | | | $56.00 | | | $56.03 | | | $48.26 | |
INCOME FROM INVESTMENT OPERATIONS | | | | | | | | | | | | | | |
Net investment income/(loss)(a) | 0.73 | | | 0.73 | | | 0.81 | | | 0.82 | | | 0.82 | |
Net gain/(loss) on securities (both realized and unrealized) | (8.86 | ) | | 16.93 | | | 10.49 | | | 0.44 | | | 8.48 | |
Total from investment operations | (8.13 | ) | | 17.66 | | | 11.30 | | | 1.26 | | | 9.30 | |
LESS DISTRIBUTIONS | | | | | | | | | | | | | | |
Dividends from net investment income | (0.79 | ) | | (0.77 | ) | | (0.85 | ) | | (0.88 | ) | | (0.77 | ) |
Distributions from capital gains | (3.35 | ) | | (4.41 | ) | | (4.26 | ) | | (0.41 | ) | | (0.76 | ) |
Total distributions | (4.14 | ) | | (5.18 | ) | | (5.11 | ) | | (1.29 | ) | | (1.53 | ) |
Net asset value, end of year or period | $62.40 | | | $74.67 | | | $62.19 | | | $56.00 | | | $56.03 | |
| | | | | | | | | | | | | | |
Total return | (11.54 | )% | | 30.46 | % | | 21.44 | % | | 2.40 | % | | 19.64 | % |
| | | | | | | | | | | | | | |
RATIOS / SUPPLEMENTAL DATA | | | | | | | | | | | | | | |
Net assets, end of year or period (000s) | $208,367 | | | $243,580 | | | $196,133 | | | $185,170 | | | $182,362 | |
Ratio of expenses to average net assets: | | | | | | | | | | | | | | |
Before expense reimbursements | 0.43 | % | | 0.43 | % | | 0.48 | % | | 0.50 | % | | 0.50 | % |
After expense reimbursements | 0.43 | % | | 0.43 | % | | 0.48 | % | | 0.50 | % | | 0.45 | % |
Ratio of net investment income/(loss) to average net assets | | | | | | | | | | | | | | |
Before expense reimbursements | 1.06 | % | | 1.09 | % | | 1.46 | % | | 1.52 | % | | 1.53 | % |
After expense reimbursements | 1.06 | % | | 1.09 | % | | 1.46 | % | | 1.52 | % | | 1.58 | % |
Portfolio turnover | 3 | % | | 9 | % | | 8 | % | | 3 | % | | 3 | % |
S&P 500 Index Fund | Year | | Year | | Year | | Year | | Year | |||||
Net asset value, beginning of year | $74.45 | | | $62.02 | | | $55.92 | | | $55.96 | | | $48.24 | |
INCOME FROM INVESTMENT OPERATIONS | | | | | | | | | | | | | | |
Net investment income/(loss)(a) | 0.37 | | | 0.40 | | | 0.53 | | | 0.54 | | | 0.56 | |
Net gain/(loss) on securities (both realized and unrealized) | (8.83 | ) | | 16.89 | | | 10.47 | | | 0.45 | | | 8.48 | |
Total from investment operations | (8.46 | ) | | 17.29 | | | 11.00 | | | 0.99 | | | 9.04 | |
LESS DISTRIBUTIONS | | | | | | | | | | | | | | |
Dividends from net investment income | (0.44 | ) | | (0.45 | ) | | (0.64 | ) | | (0.62 | ) | | (0.56 | ) |
Distributions from capital gains | (3.35 | ) | | (4.41 | ) | | (4.26 | ) | | (0.41 | ) | | (0.76 | ) |
Total distributions | (3.79 | ) | | (4.86 | ) | | (4.90 | ) | | (1.03 | ) | | (1.32 | ) |
Net asset value, end of year or period | $62.20 | | | $74.45 | | | $62.02 | | | $55.92 | | | $55.96 | |
| | | | | | | | | | | | | | |
Total return | (11.99 | )% | | 29.82 | % | | 20.84 | % | | 1.88 | % | | 19.05 | % |
| | | | | | | | | | | | | | |
RATIOS / SUPPLEMENTAL DATA | | | | | | | | | | | | | | |
Net assets, end of year or period (000s) | $2,130 | | | $3,899 | | | $3,085 | | | $6,165 | | | $9,919 | |
Ratio of expenses to average net assets: | | | | | | | | | | | | | | |
Before expense reimbursements | 0.93 | % | | 0.93 | % | | 0.98 | % | | 0.99 | % | | 1.00 | % |
After expense reimbursements | 0.93 | % | | 0.93 | % | | 0.98 | % | | 0.99 | % | | 0.95 | % |
Ratio of net investment income/(loss) to average net assets | | | | | | | | | | | | | | |
Before expense reimbursements | 0.53 | % | | 0.59 | % | | 0.96 | % | | 1.02 | % | | 1.03 | % |
After expense reimbursements | 0.53 | % | | 0.59 | % | | 0.96 | % | | 1.02 | % | | 1.08 | % |
Portfolio turnover | 3 | % | | 9 | % | | 8 | % | | 3 | % | | 3 | % |
(a) Calculated based upon average shares outstanding.
See accompanying notes to financial statements.
43
Financial Highlights |
S&P MidCap Index Fund | Year | | Year | | Year | | Year | | Year | |||||
Net asset value, beginning of year | $30.45 | | | $23.07 | | | $23.85 | | | $28.77 | | | $25.75 | |
INCOME FROM INVESTMENT OPERATIONS | | | | | | | | | | | | | | |
Net investment income/(loss)(a) | 0.24 | | | 0.29 | | | 0.22 | | | 0.23 | | | 0.25 | |
Net gain/(loss) on securities (both realized and unrealized) | (3.26 | ) | | 9.30 | | | 0.80 | | | (2.23 | ) | | 4.61 | |
Total from investment operations | (3.02 | ) | | 9.59 | | | 1.02 | | | (2.00 | ) | | 4.86 | |
LESS DISTRIBUTIONS | | | | | | | | | | | | | | |
Dividends from net investment income | (0.37 | ) | | (0.22 | ) | | (0.24 | ) | | (0.24 | ) | | (0.22 | ) |
Distributions from capital gains | (2.51 | ) | | (1.99 | ) | | (1.56 | ) | | (2.68 | ) | | (1.62 | ) |
Total distributions | (2.88 | ) | | (2.21 | ) | | (1.80 | ) | | (2.92 | ) | | (1.84 | ) |
Net asset value, end of year or period | $24.55 | | | $30.45 | | | $23.07 | | | $23.85 | | | $28.77 | |
| | | | | | | | | | | | | | |
Total return | (10.66 | )% | | 44.10 | % | | 4.18 | % | | (6.85 | )% | | 19.48 | % |
| | | | | | | | | | | | | | |
RATIOS / SUPPLEMENTAL DATA | | | | | | | | | | | | | | |
Net assets, end of year or period (000s) | $108,466 | | | $132,128 | | | $98,496 | | | $107,054 | | | $124,728 | |
Ratio of expenses to average net assets: | | | | | | | | | | | | | | |
Before expense reimbursements | 0.62 | % | | 0.62 | % | | 0.66 | % | | 0.67 | % | | 0.66 | % |
After expense reimbursements | 0.62 | % | | 0.62 | % | | 0.66 | % | | 0.67 | % | | 0.63 | % |
Ratio of net investment income/(loss) to average net assets | | | | | | | | | | | | | | |
Before expense reimbursements | 0.88 | % | | 0.99 | % | | 0.97 | % | | 0.95 | % | | 0.89 | % |
After expense reimbursements | 0.88 | % | | 0.99 | % | | 0.97 | % | | 0.95 | % | | 0.92 | % |
Portfolio turnover | 12 | % | | 19 | % | | 13 | % | | 13 | % | | 12 | % |
S&P MidCap Index Fund | Year | | Year | | Year | | Year | | Year | |||||
Net asset value, beginning of year | $29.32 | | | $22.29 | | | $23.47 | | | $28.37 | | | $25.44 | |
INCOME FROM INVESTMENT OPERATIONS | | | | | | | | | | | | | | |
Net investment income/(loss)(a) | 0.10 | | | 0.14 | | | 0.11 | | | 0.11 | | | 0.11 | |
Net gain/(loss) on securities (both realized and unrealized) | (3.12 | ) | | 8.97 | | | 0.50 | | | (2.19 | ) | | 4.55 | |
Total from investment operations | (3.02 | ) | | 9.11 | | | 0.61 | | | (2.08 | ) | | 4.66 | |
LESS DISTRIBUTIONS | | | | | | | | | | | | | | |
Dividends from net investment income | (0.22 | ) | | (0.09 | ) | | (0.23 | ) | | (0.14 | ) | | (0.11 | ) |
Distributions from capital gains | (2.51 | ) | | (1.99 | ) | | (1.56 | ) | | (2.68 | ) | | (1.62 | ) |
Total distributions | (2.73 | ) | | (2.08 | ) | | (1.79 | ) | | (2.82 | ) | | (1.73 | ) |
Net asset value, end of year or period | $23.57 | | | $29.32 | | | $22.29 | | | $23.47 | | | $28.37 | |
| | | | | | | | | | | | | | |
Total return | (11.05 | )% | | 43.33 | % | | 2.37 | % | | (7.27 | )% | | 18.86 | % |
| | | | | | | | | | | | | | |
RATIOS / SUPPLEMENTAL DATA | | | | | | | | | | | | | | |
Net assets, end of year or period (000s) | $761 | | | $1,338 | | | $1,059 | | | $3,077 | | | $6,179 | |
Ratio of expenses to average net assets: | | | | | | | | | | | | | | |
Before expense reimbursements | 1.12 | % | | 1.12 | % | | 1.16 | % | | 1.17 | % | | 1.16 | % |
After expense reimbursements | 1.12 | % | | 1.12 | % | | 1.16 | % | | 1.17 | % | | 1.13 | % |
Ratio of net investment income/(loss) to average net assets | | | | | | | | | | | | | | |
Before expense reimbursements | 0.37 | % | | 0.48 | % | | 0.49 | % | | 0.45 | % | | 0.39 | % |
After expense reimbursements | 0.37 | % | | 0.48 | % | | 0.49 | % | | 0.45 | % | | 0.42 | % |
Portfolio turnover | 12 | % | | 19 | % | | 13 | % | | 13 | % | | 12 | % |
(a) Calculated based upon average shares outstanding.
44
See accompanying notes to financial statements.
Financial Highlights |
S&P SmallCap Index Fund | Year | | Year | | Year | | Year | | Year | |||||
Net asset value, beginning of year | $27.78 | | | $19.03 | | | $20.52 | | | $26.43 | | | $22.33 | |
INCOME FROM INVESTMENT OPERATIONS | | | | | | | | | | | | | | |
Net investment income/(loss)(a) | 0.19 | | | 0.15 | | | 0.12 | | | 0.15 | | | 0.13 | |
Net gain/(loss) on securities (both realized and unrealized) | (3.29 | ) | | 9.61 | | | (0.05 | ) | | (4.27 | ) | | 6.38 | |
Total from investment operations | (3.10 | ) | | 9.76 | | | 0.07 | | | (4.12 | ) | | 6.51 | |
LESS DISTRIBUTIONS | | | | | | | | | | | | | | |
Dividends from net investment income | (0.25 | ) | | (0.12 | ) | | (0.15 | ) | | (0.15 | ) | | (0.12 | ) |
Distributions from capital gains | (2.25 | ) | | (0.89 | ) | | (1.41 | ) | | (1.64 | ) | | (2.29 | ) |
Total distributions | (2.50 | ) | | (1.01 | ) | | (1.56 | ) | | (1.79 | ) | | (2.41 | ) |
Net asset value, end of year or period | $22.18 | | | $27.78 | | | $19.03 | | | $20.52 | | | $26.43 | |
| | | | | | | | | | | | | | |
Total return | (12.15 | )% | | 52.93 | % | | (0.18 | )% | | (15.82 | )% | | 30.95 | % |
| | | | | | | | | | | | | | |
RATIOS / SUPPLEMENTAL DATA | | | | | | | | | | | | | | |
Net assets, end of year or period (000s) | $54,011 | | | $64,461 | | | $46,948 | | | $61,412 | | | $78,902 | |
Ratio of expenses to average net assets: | | | | | | | | | | | | | | |
Before expense reimbursements | 0.80 | % | | 0.81 | % | | 0.83 | % | | 0.81 | % | | 0.80 | % |
After expense reimbursements | 0.80 | % | | 0.81 | % | | 0.83 | % | | 0.81 | % | | 0.77 | % |
Ratio of net investment income/(loss) to average net assets | | | | | | | | | | | | | | |
Before expense reimbursements | 0.76 | % | | 0.59 | % | | 0.60 | % | | 0.70 | % | | 0.53 | % |
After expense reimbursements | 0.76 | % | | 0.59 | % | | 0.60 | % | | 0.70 | % | | 0.56 | % |
Portfolio turnover | 14 | % | | 14 | % | | 20 | % | | 14 | % | | 18 | % |
S&P SmallCap Index Fund | Year | | Year | | Year | | Year | | Year | |||||
Net asset value, beginning of year | $26.85 | | | $18.43 | | | $19.96 | | | $25.77 | | | $21.85 | |
INCOME FROM INVESTMENT OPERATIONS | | | | | | | | | | | | | | |
Net investment income/(loss)(a) | 0.06 | | | 0.03 | | | 0.02 | | | 0.05 | | | 0.01 | |
Net gain/(loss) on securities (both realized and unrealized) | (3.17 | ) | | 9.30 | | | (0.05 | ) | | (4.16 | ) | | 6.23 | |
Total from investment operations | (3.11 | ) | | 9.33 | | | (0.03 | ) | | (4.11 | ) | | 6.24 | |
LESS DISTRIBUTIONS | | | | | | | | | | | | | | |
Dividends from net investment income | (0.12 | ) | | (0.02 | ) | | (0.09 | ) | | (0.06 | ) | | (0.03 | ) |
Distributions from capital gains | (2.25 | ) | | (0.89 | ) | | (1.41 | ) | | (1.64 | ) | | (2.29 | ) |
Total distributions | (2.37 | ) | | (0.91 | ) | | (1.50 | ) | | (1.70 | ) | | (2.32 | ) |
Net asset value, end of year or period | $21.37 | | | $26.85 | | | $18.43 | | | $19.96 | | | $25.77 | |
| | | | | | | | | | | | | | |
Total return | (12.60 | )% | | 52.18 | % | | (0.74 | )% | | (16.22 | )% | | 30.26 | % |
| | | | | | | | | | | | | | |
RATIOS / SUPPLEMENTAL DATA | | | | | | | | | | | | | | |
Net assets, end of year or period (000s) | $1,854 | | | $3,569 | | | $2,306 | | | $4,908 | | | $9,851 | |
Ratio of expenses to average net assets: | | | | | | | | | | | | | | |
Before expense reimbursements | 1.31 | % | | 1.31 | % | | 1.33 | % | | 1.31 | % | | 1.31 | % |
After expense reimbursements | 1.31 | % | | 1.31 | % | | 1.33 | % | | 1.31 | % | | 1.27 | % |
Ratio of net investment income/(loss) to average net assets | | | | | | | | | | | | | | |
Before expense reimbursements | 0.27 | % | | 0.10 | % | | 0.12 | % | | 0.21 | % | | 0.03 | % |
After expense reimbursements | 0.27 | % | | 0.10 | % | | 0.12 | % | | 0.21 | % | | 0.06 | % |
Portfolio turnover | 14 | % | | 14 | % | | 20 | % | | 14 | % | | 18 | % |
(a) Calculated based upon average shares outstanding.
See accompanying notes to financial statements.
45
Financial Highlights |
Shelton Equity Income Fund | Year | | Year | | Year | | Year | | Year | |||||
Net asset value, beginning of year | $19.31 | | | $18.68 | | | $20.05 | | | $24.53 | | | $25.00 | |
INCOME FROM INVESTMENT OPERATIONS | | | | | | | | | | | | | | |
Net investment income/(loss)(a) | 0.16 | | | 0.18 | | | 0.25 | | | 0.36 | | | 0.37 | |
Net gain/(loss) on securities (both realized and unrealized) | (1.71 | ) | | 4.62 | | | 1.22 | | | (0.51 | ) | | 2.33 | |
Total from investment operations | (1.55 | ) | | 4.80 | | | 1.47 | | | (0.15 | ) | | 2.70 | |
LESS DISTRIBUTIONS | | | | | | | | | | | | | | |
Dividends from net investment income | (1.61 | ) | | (1.64 | ) | | (1.50 | ) | | (0.68 | ) | | (0.38 | ) |
Distributions from capital gains | (0.43 | ) | | (2.53 | ) | | (1.34 | ) | | (3.65 | ) | | (2.79 | ) |
Total distributions | (2.04 | ) | | (4.17 | ) | | (2.84 | ) | | (4.33 | ) | | (3.17 | ) |
Net asset value, end of year or period | $15.72 | | | $19.31 | | | $18.68 | | | $20.05 | | | $24.53 | |
| | | | | | | | | | | | | | |
Total return | (8.72 | )% | | 30.38 | % | | 7.99 | % | | 0.41 | % | | 11.32 | % |
| | | | | | | | | | | | | | |
RATIOS / SUPPLEMENTAL DATA | | | | | | | | | | | | | | |
Net assets, end of year or period (000s) | $360,196 | | | $226,412 | | | $150,038 | | | $148,997 | | | $176,019 | |
Ratio of expenses to average net assets | 0.72 | % | | 0.74 | % | | 0.84 | % | | 0.82 | % | | 0.78 | % |
Ratio of net investment income/(loss) to average net assets | 0.91 | % | | 0.99 | % | | 1.33 | % | | 1.77 | % | | 1.52 | % |
Portfolio turnover | 49 | % | | 108 | % | | 113 | % | | 21 | % | | 35 | % |
Shelton Equity Income Fund | Year | | Year | | Year | | Year | | Year | |||||
Net asset value, beginning of year | $18.69 | | | $18.21 | | | $19.74 | | | $24.22 | | | $24.75 | |
INCOME FROM INVESTMENT OPERATIONS | | | | | | | | | | | | | | |
Net investment income/(loss)(a) | 0.05 | | | 0.09 | | | 0.16 | | | 0.26 | | | 0.25 | |
Net gain/(loss) on securities (both realized and unrealized) | (1.62 | ) | | 4.48 | | | 1.19 | | | (0.50 | ) | | 2.29 | |
Total from investment operations | (1.57 | ) | | 4.57 | | | 1.35 | | | (0.24 | ) | | 2.54 | |
LESS DISTRIBUTIONS | | | | | | | | | | | | | | |
Dividends from net investment income | (1.68 | ) | | (1.56 | ) | | (1.54 | ) | | (0.59 | ) | | (0.28 | ) |
Distributions from capital gains | (0.43 | ) | | (2.53 | ) | | (1.34 | ) | | (3.65 | ) | | (2.79 | ) |
Total distributions | (2.11 | ) | | (4.09 | ) | | (2.88 | ) | | (4.24 | ) | | (3.07 | ) |
Net asset value, end of year or period | $15.01 | | | $18.69 | | | $18.21 | | | $19.74 | | | $24.22 | |
| | | | | | | | | | | | | | |
Total return | (9.17 | )% | | 29.73 | % | | 7.40 | % | | (0.08 | )% | | 10.75 | % |
| | | | | | | | | | | | | | |
RATIOS / SUPPLEMENTAL DATA | | | | | | | | | | | | | | |
Net assets, end of year or period (000s) | $654 | | | $1,391 | | | $1,382 | | | $2,601 | | | $5,370 | |
Ratio of expenses to average net assets | 1.23 | % | | 1.24 | % | | 1.34 | % | | 1.32 | % | | 1.28 | % |
Ratio of net investment income/(loss) to average net assets | 0.30 | % | | 0.49 | % | | 0.85 | % | | 1.27 | % | | 1.02 | % |
Portfolio turnover | 49 | % | | 108 | % | | 113 | % | | 21 | % | | 35 | % |
(a) Calculated based upon average shares outstanding.
46
See accompanying notes to financial statements.
Financial Highlights |
Nasdaq-100 Index Fund | Year | | Year | | Year | | Year | | Year | |||||
Net asset value, beginning of year | $35.45 | | | $27.78 | | | $18.78 | | | $18.85 | | | $15.24 | |
INCOME FROM INVESTMENT OPERATIONS | | | | | | | | | | | | | | |
Net investment income/(loss)(a) | 0.09 | | | 0.07 | | | 0.10 | | | 0.11 | | | 0.10 | |
Net gain/(loss) on securities (both realized and unrealized) | (7.31 | ) | | 7.98 | | | 10.32 | | | 0.18 | | | 3.78 | |
Total from investment operations | (7.22 | ) | | 8.05 | | | 10.42 | | | 0.29 | | | 3.88 | |
LESS DISTRIBUTIONS | | | | | | | | | | | | | | |
Dividends from net investment income | (0.07 | ) | | (0.11 | ) | | (0.10 | ) | | (0.12 | ) | | (0.10 | ) |
Distributions from capital gains | (0.88 | ) | | (0.27 | ) | | (1.32 | ) | | (0.24 | ) | | (0.17 | ) |
Total distributions | (0.95 | ) | | (0.38 | ) | | (1.42 | ) | | (0.36 | ) | | (0.27 | ) |
Net asset value, end of year or period | $27.28 | | | $35.45 | | | $27.78 | | | $18.78 | | | $18.85 | |
| | | | | | | | | | | | | | |
Total return | (20.95 | )% | | 29.31 | % | | 58.98 | % | | 1.72 | % | | 25.73 | % |
| | | | | | | | | | | | | | |
RATIOS / SUPPLEMENTAL DATA | | | | | | | | | | | | | | |
Net assets, end of year (000s) | $971,812 | | | $1,188,238 | | | $889,163 | | | $607,521 | | | $630,845 | |
Ratio of expenses to average net assets: | | | | | | | | | | | | | | |
Before expense reimbursements | 0.63 | % | | 0.63 | % | | 0.70 | % | | 0.74 | % | | 0.74 | % |
After expense reimbursements | 0.50 | %(b) | | 0.50 | %(b) | | 0.50 | %(b) | | 0.50 | %(b) | | 0.51 | %(b) |
Ratio of net investment income/(loss) to average net assets | | | | | | | | | | | | | | |
Before expense reimbursements | 0.16 | % | | 0.11 | % | | 0.27 | % | | 0.40 | % | | 0.36 | % |
After expense reimbursements | 0.29 | % | | 0.24 | % | | 0.47 | % | | 0.64 | % | | 0.59 | % |
Portfolio turnover | 6 | % | | 7 | % | | 12 | % | | 18 | % | | 2 | % |
Nasdaq-100 Index Fund | Year | | Year | | Year | | Year | | Year | |||||
Net asset value, beginning of year | $34.21 | | | $26.88 | | | $18.23 | | | $18.31 | | | $14.83 | |
INCOME FROM INVESTMENT OPERATIONS | | | | | | | | | | | | | | |
Net investment income/(loss)(a) | (0.07 | ) | | (0.07 | ) | | (0.01 | ) | | 0.02 | | | 0.01 | |
Net gain/(loss) on securities (both realized and unrealized) | (7.03 | ) | | 7.70 | | | 10.01 | | | 0.18 | | | 3.67 | |
Total from investment operations | (7.10 | ) | | 7.63 | | | 10.00 | | | 0.20 | | | 3.68 | |
LESS DISTRIBUTIONS | | | | | | | | | | | | | | |
Dividends from net investment income | — | | | (0.03 | ) | | (0.03 | ) | | (0.04 | ) | | (0.03 | ) |
Distributions from capital gains | (0.88 | ) | | (0.27 | ) | | (1.32 | ) | | (0.24 | ) | | (0.17 | ) |
Total distributions | (0.88 | ) | | (0.30 | ) | | (1.35 | ) | | (0.28 | ) | | (0.20 | ) |
Net asset value, end of year or period | $26.23 | | | $34.21 | | | $26.88 | | | $18.23 | | | $18.31 | |
| | | | | | | | | | | | | | |
Total return | (21.36 | )% | | 28.66 | % | | 58.17 | % | | 1.24 | % | | 25.03 | % |
| | | | | | | | | | | | | | |
RATIOS / SUPPLEMENTAL DATA | | | | | | | | | | | | | | |
Net assets, end of year (000s) | $27,273 | | | $38,457 | | | $31,064 | | | $24,755 | | | $28,573 | |
Ratio of expenses to average net assets: | | | | | | | | | | | | | | |
Before expense reimbursements | 1.02 | % | | 1.13 | % | | 1.20 | % | | 1.24 | % | | 1.24 | % |
After expense reimbursements | 1.00 | %(b) | | 1.00 | %(b) | | 1.00 | %(b) | | 1.00 | %(b) | | 1.01 | % |
Ratio of net investment income/(loss) to average net assets | | | | | | | | | | | | | | |
Before expense reimbursements | (0.24 | )% | | (0.38 | )% | | (0.23 | )% | | (0.10 | )% | | (0.15 | )% |
After expense reimbursements | (0.22 | )% | | (0.25 | )% | | (0.03 | )% | | 0.14 | % | | 0.08 | % |
Portfolio turnover | 6 | % | | 7 | % | | 12 | % | | 18 | % | | 2 | % |
(a) Calculated based upon average shares outstanding.
(b) See Note 2 for reference to expenses excluded.
See accompanying notes to financial statements.
47
Financial Highlights |
Nasdaq-100 Index Fund | Period | |
Net asset value, beginning of period | $29.61 | |
INCOME FROM INVESTMENT OPERATIONS | | |
Net investment income/(loss)(b) | 0.07 | |
Net gain/(loss) on securities (both realized and unrealized) | (2.38 | ) |
Total from investment operations | (2.31 | ) |
LESS DISTRIBUTIONS | | |
Dividends from net investment income | (0.02 | ) |
Distributions from capital gains | — | |
Total distributions | (0.02 | ) |
Net asset value, end of year or period | $27.28 | |
| | |
Total return(c) | (7.80 | )% |
| | |
RATIOS / SUPPLEMENTAL DATA | | |
Net assets, end of period (000s) | $0 | |
Ratio of expenses to average net assets: | | |
Before expense reimbursements(d) | 0.39 | % |
After expense reimbursements(d) | 0.39 | %(e) |
Ratio of net investment income/(loss) to average net assets | | |
Before expense reimbursements(d) | 0.49 | % |
After expense reimbursements(d) | 0.49 | % |
Portfolio turnover | 6 | % |
(a) Class commenced operations on March 7, 2022.
(b) Calculated based upon average shares outstanding.
(c) Not Annualized
(d) Annualized.
(e) See Note 2 for reference to expenses excluded.
Shelton Green Alpha Fund | Year | | Year | | Year | | Year | | Year | |||||
Net asset value, beginning of year | $49.07 | | | $29.65 | | | $18.44 | | | $17.20 | | | $17.32 | |
INCOME FROM INVESTMENT OPERATIONS | | | | | | | | | | | | | | |
Net investment income/(loss)(a) | 0.37 | | | (0.08 | ) | | (0.01 | ) | | 0.03 | | | 0.05 | |
Net gain/(loss) on securities (both realized and unrealized) | (12.49 | ) | | 19.95 | | | 11.24 | | | 1.47 | | | 0.34 | |
Total from investment operations | (12.12 | ) | | 19.87 | | | 11.23 | | | 1.50 | | | 0.39 | |
LESS DISTRIBUTIONS | | | | | | | | | | | | | | |
Dividends from net investment income | (0.36 | ) | | — | | | (0.02 | ) | | (0.02 | ) | | (0.05 | ) |
Distributions from capital gains | (1.60 | ) | | (0.45 | ) | | — | | | (0.24 | ) | | (0.46 | ) |
Total distributions | (1.96 | ) | | (0.45 | ) | | (0.02 | ) | | (0.26 | ) | | (0.51 | ) |
Net asset value, end of year or period | $34.99 | | | $49.07 | | | $29.65 | | | $18.44 | | | $17.20 | |
| ||||||||||||||
Total return | (25.52 | )% | | 67.36 | % | | 60.93 | % | | 8.91 | % | | 2.19 | % |
| ||||||||||||||
RATIOS / SUPPLEMENTAL DATA | | | | | | | | | | | | | | |
Net assets, end of year (000s) | $279,669 | | | $343,542 | | | $91,607 | | | $56,567 | | | $49,366 | |
Ratio of expenses to average net assets: | | | | | | | | | | | | | | |
Before expense reimbursements | 1.16 | % | | 1.16 | % | | 1.28 | % | | 1.34 | % | | 1.30 | % |
After expense reimbursements | 1.16 | % | | 1.16 | % | | 1.28 | % | | 1.34 | % | | 1.30 | % |
Ratio of net investment income/(loss) to average net assets | | | | | | | | | | | | | | |
Before expense reimbursements | 0.94 | % | | (0.35 | )% | | (0.05 | )% | | 0.15 | % | | 0.30 | % |
After expense reimbursements | 0.94 | % | | (0.35 | )% | | (0.05 | )% | | 0.15 | % | | 0.30 | % |
Portfolio turnover | 5 | % | | 12 | % | | 27 | % | | 12 | % | | 13 | % |
(a) Calculated based upon average shares outstanding.
48
Note 1 - SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
Green California Tax-Free Income Fund, U.S. Government Securities Fund, The United States Treasury Trust, S&P 500 Index Fund, S&P MidCap Index Fund, S&P SmallCap Index Fund, Shelton Equity Income Fund, Nasdaq-100 Index Fund, and Shelton Green Alpha Fund (the “Funds”) are each a series of shares of beneficial interest of the Shelton Funds (the “Trust”). The Trust is registered under the Investment Company Act of 1940, as amended, as a diversified open-end management investment company. Each Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standard Codification Topic 946 “Financial Services – Investment Companies”. The Trust is organized as a Delaware statutory trust and is authorized to issue an unlimited number of no par value shares in one or more series. The Trust, originally organized as two separate Massachusetts business trusts formed by Declarations of Trust dated September 11, 1985, as subsequently amended, was reorganized into a single Delaware statutory trust after the close of trading on December 29, 2006. The investment objectives of the Funds are as follows: Green California Tax-Free Income Fund seeks high current tax-free income for California residents. U.S. Government Securities Fund seeks liquidity, safety from credit risk and as high a level of income as is consistent with these objectives. The United States Treasury Trust seeks high current income exempt from state income taxes while maintaining a stable net asset value of $1.00 per share. S&P 500 Index Fund’s objective is to attempt to replicate the total return of the U.S. stock market as measured by the S&P 500 Composite Stock Price Index. S&P MidCap Index Fund attempts to replicate the performance of medium-sized U.S. companies as measured by the S&P MidCap 400 Index. S&P SmallCap Index Fund attempts to replicate the performance of small-sized U.S. companies as measured by the S&P SmallCap 600 Stock Index. The Shelton Equity Income Fund’s objective is to achieve a high level of income and capital appreciation (when consistent with high income) by investing primarily in income-producing U.S. equity securities. The Shelton Equity Income Fund changed its name from the Shelton Core Value Fund effective May 19, 2021. Shelton Green Alpha Fund seeks to achieve long-term capital appreciation by investing in stocks in the Green Economy, as defined in the Fund’s Prospectus. Nasdaq-100 Index Fund attempts to replicate the performance of the largest non-financial companies as measured by the Nasdaq-100 Index®.
The U.S. Government Securities Fund, S&P 500 Index Fund, S&P MidCap Index Fund, S&P SmallCap Index Fund, Shelton Equity Income Fund, and Nasdaq-100 Index Fund each offer Direct Shares and Class K Shares. The Shelton Green Alpha Fund offers Direct Shares. Effective as of December 27, 2019, the United States Treasury Trust ceased offering Class K shares of the Fund. Effective March 7, 2022, Nasdaq-100 Index Fund also offers Institutional Shares. Shares of each Fund represent equal proportionate interest in the assets of that Fund only, and have identical voting, dividend, redemption, liquidation and other rights. Income, expenses (other than the expenses attributable to a specific class), and realized and unrealized gains or losses on investments of the Funds are allocated proportionately to each class of shares offered based on the daily net assets, except for Rule 12b-1 distribution fees and shareholder service fees, which are charged only to K Shares. The following is a summary of significant accounting policies followed by the Funds.
(a) Security Valuation – Equity securities listed on a national exchange are valued at the last reported sales price. Futures contracts are valued at the settle price, depending on the exchange the contract trades on, typically as of 4:15 p.m., Eastern Time. Municipal securities are valued by an independent pricing service at a price determined by a matrix pricing method. This technique generally considers such factors as yields or prices of bonds of comparable quality, type of issue, coupon, maturity, ratings and general market conditions. U.S. government securities for which market quotations are readily available are valued at the mean between the closing bid and asked prices provided by an independent pricing service. U.S. agency securities consisting of mortgage pass-through certificates are valued using dealer quotations provided by an independent pricing service. U.S. Treasury Bills are valued at amortized cost which approximates market value. Securities with remaining maturities of 60 days or less are valued on the amortized cost basis as reflecting fair value. The United States Treasury Trust securities are valued at amortized cost, in accordance with procedures adopted by the Board of Trustees (the “Board”) and which the Board of Trustees has determined in good faith reflects the market-based net asset value per share. The Fund receives options pricing data from the Trust’s third party pricing service who use the last traded price to quote options positions.
Securities for which market quotes are not readily available from the Trust’s third party pricing service are valued at fair value, determined in good faith and in accordance with procedures adopted by the Board of Trustees (the “Board”). The Board has delegated to the Advisor’s pricing committee the responsibility for determining the fair value, subject to the Board oversight and the review of the pricing decisions at its quarterly meetings.
(b) Futures Contracts – Initial margin deposits required upon entering into futures contracts are satisfied by the segregation of cash or U.S. treasury bills, as collateral, for the account of the broker (a Fund’s agent in acquiring the futures position). During the period the futures contract is open, changes in the value of the contract are recognized as unrealized gains or losses by “marking to market” on a daily basis to reflect the market value of the contract at the end of each day’s trading. Variation margin payments are made or received depending upon whether unrealized gains or losses are incurred. When the contract is closed, a Fund records a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Fund’s basis in the contract. The S&P 500 Index Fund, S&P MidCap Index Fund, S&P SmallCap Index Fund, Shelton Equity Income Fund, Shelton Green Alpha Fund and Nasdaq-100 Index Fund may purchase or sell stock index futures to maintain cash reserves while remaining fully invested, to facilitate trading, to reduce transaction costs, or to seek higher investment returns when a futures contract is priced more attractively than the underlying equity security or index. Risks include the possibility of an illiquid market and an imperfect correlation between the change in market value of the stocks held by a Fund and the prices of futures contracts.
(c) Options – The Shelton Equity Income Fund may write call options. When an option is written, the Fund receives a premium and becomes obligated to sell the underlying security at a fixed price, upon exercise of the option. Options can be traded through an exchange or through a privately negotiated arrangement with a dealer in an OTC transaction. Options traded through an exchange are generally cleared through a clearinghouse (such as the Options Clearing Corporation). The difference between the premium received or paid, and the market value of the option, is recorded as unrealized appreciation or depreciation. When an option is exercised, the proceeds of the security sold are adjusted by the amount of premium received. Upon the expiration of the option, a gain or loss is reported in the Statement of Operations. The risk in writing a call option is that the market price of the security increases and if the option is exercised, the Fund must either purchase the security at a higher price for delivery or give up the opportunity for profit.
(d) Federal Income Taxes – No provision is considered necessary for federal income taxes. The Funds intend to qualify for and elect the tax treatment applicable to regulated investment companies under the Internal Revenue Code and to distribute all of their taxable income to shareholders.
(e) Security Transactions, Investment Income and Distributions to Shareholders – Security transactions are recorded on the trade date. Interest income is recorded on the accrual basis. Dividend income is recorded on the ex-dividend date. Withholding taxes on foreign dividends have been provided for, in accordance with the Trust’s understanding of the applicable country’s tax rules and rates. Distributions to shareholders are recorded on the ex-dividend date for the Green California Tax-Free Income Fund, the U.S. Government Securities Fund, S&P 500 Index Fund, S&P MidCap Index Fund, S&P SmallCap Index Fund, Shelton Equity Income Fund, Shelton Green Alpha Fund and Nasdaq-100 Index Fund. Income distributions and capital gain distributions are determined in accordance with income tax regulations which may differ from accounting principles generally accepted in the United States of America. These differences are primarily due to differing treatments for futures contracts, redemptions-in-kind and post-October capital losses. For The United States Treasury Trust, dividends from net investment income are declared daily and reinvested or paid in cash monthly. The U.S. Treasury Trust intends to maintain a continuous net asset value per share of $1.00. If net asset value per share using available market information deviates from $1.00 by $.005 or more, the Board of Trustees would consider what steps, if any, should be taken to restore net asset value per share to $1.00. Discounted and premiums on securities purchased are amortized or accreted using the effective interest method.
(f) Concentration – The Green California Tax-Free Income Fund invests in debt instruments of municipal issuers. The issuers’ abilities to meet their obligations may be affected by economic developments in the state of California.
49
Shelton FundsNotes to Financial StatementsAugust 31, 2022 |
The S&P 500 Index Fund, S&P MidCap Index Fund, S&P SmallCap Index Fund, Shelton Equity Income Fund, and Nasdaq-100 Index Fund seek to replicate the performance of their respective index. From time to time this replication may lead a Fund to concentrate in stocks of a particular sector, category or group of companies, which could cause each Fund to underperform the overall stock market.
(g) Use of Estimates in Financial Statements – In preparing financial statements in conformity with accounting principles generally accepted in the United States of America, management makes 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, as well as the reported amounts of income and expense during the year. Actual results may differ from these estimates.
(h) Share Valuations – The net asset value (“NAV”) per share of each Fund is calculated by dividing the sum of the value of the securities held by the Fund, plus cash or other assets, minus all liabilities (including estimated accrued expenses) by the total number of shares outstanding of the Fund, rounded to the nearest cent. A Fund’s shares will not be priced on the days on which the NYSE is closed for trading. Bond and money market funds are closed on Columbus Day (observed) and Veteran’s Day (observed). The offering and redemption price per share of each Fund is equal to a Fund’s NAV per share.
(i) Accounting for Uncertainty in Income Taxes – 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 Fund’s 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 (2019-2021), or expected to be taken in the Fund’s 2022 tax returns. Each Fund identifies its major tax jurisdictions as U.S. Federal, 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.
(j) The Funds adopted ASU No. 2017-08 – Premium on amortization on purchased callable debt securities which shortens the premium allocation for non-contingently callable debt securities. Management has assessed these changes and concluded these changes did not have a material impact on the Funds’ financial statements.
(k) Fair Value Measurements – The Funds utilize various methods to measure the fair value of most of their investments on a recurring basis. U.S. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three levels of inputs are:
Level 1 – Unadjusted quoted prices in active markets for identical assets or liabilities that the Fund has 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 on 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 Fund’s own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available.
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.
The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety, is determined based on the lowest level input that is significant to the fair value measurement in its entirety.
The following table summarizes the valuation of the Trust’s securities at August 31, 2022 using a fair value hierarchy:
| | Level 1(a) | | Level 2(a) | | Level 3(a) | | | | Level 1(a) | | Level 1(a) | | Level 1(a) | |
Fund | | Investments | | Investments | | Investments | | Total | | Futures | | Futures | | Written | |
Green California Tax-Free Income Fund | | $— | | $46,264,690 | | $— | | $46,264,690 | | $— | | $— | | $— | |
U.S. Government Securities Fund | | — | | 15,552,131 | | — | | 15,552,131 | | — | | — | | — | |
The United States Treasury Trust Fund | | — | | 30,815,683 | | — | | 30,815,683 | | — | | — | | — | |
S&P 500 Index Fund(e) | | 209,766,406 | | 399,341 | | — | | 210,165,747 | | — | | 43,113 | | — | |
S&P MidCap Index Fund(e) | | 108,717,845 | | 499,176 | | — | | 109,217,021 | | — | | 25,490 | | — | |
S&P SmallCap Index Fund(e) | | 55,465,311 | | 299,505 | | 6,552 | | 55,771,368 | | — | | 19,975 | | — | |
Shelton Equity Income Fund | | 326,840,441 | | 33,644,441 | | — | | 360,484,882 | | — | | — | | 929,820 | |
Nasdaq-100 Index Fund(e) | | 985,104,887 | | 12,978,568 | | — | | 998,083,455 | | — | | 832,525 | | — | |
Shelton Green Alpha Fund | | 267,456,924 | | — | | — | | 267,456,924 | | — | | — | | — | |
(a)It is the Funds’ policy to recognize transfers between levels on the last day of the fiscal reporting period. There were no transfers in or out of Level 1, Level 2, and Level 3 as of period end for all Funds except Shelton S&P SmallCap Index Fund. See following table for Level 3 reconciliation for Shelton S&P SmallCap Index Fund.
(b)All publicly traded common stocks and preferred stocks held in the Funds are Level 1 securities. For a detailed break-out of equity securities by major industry classification, please refer to the Portfolio of Investments.
(c)All fixed income securities held in the Funds are Level 2 securities. For a detailed break-out of fixed income securities by type, please refer to the Portfolio of Investments.
(d)Represents unrealized appreciation/depreciation on the last day of the reporting period.
(e)As disclosed on each respective Fund’s Portfolio of Investments, certain Funds received collateral for securities on loan. The collateral received was invested in the Mount Vernon Liquid Assets Portfolio, LLC and valued at NAV as a practical expedient. Therefore, these holdings are excluded from the hierarchy tables above.
50
Shelton FundsNotes to Financial StatementsAugust 31, 2022 |
Level 3 Securities – S&P SmallCap Index Fund | ||
| Rights - Lantheus | |
Beginning Balance | $0 | |
Net Purchases | — | |
Net Sales | — | |
Total Realized Gain/(Loss) | — | |
Change in Unrealized Appreciation (Depreciation) | 6,552 | |
Accrued Interest | — | |
Transfers into Level 3 | — | |
Transfers out of Level 3 | — |
|
Ending Balance | $6,552 |
|
Disclosures surrounding Level 3 inputs have been omitted given that the overall fair value is immaterial to the financial statements.
Per Lantheus Holdings most recent 10-Q, at the time of fair valuation, the company fair valued a contingent liability of $91,700,000 for this contingent valued right. The CVR was valued at $1.0585 per share based on the 86,630,633 CVRs issued in the Progenics acquisition, as noted in the 10-Q.
(k) Disclosure about Derivative Instruments and Hedging Activities – The Funds have adopted enhanced disclosure regarding derivative and hedging activity intended to improve financial reporting of derivative instruments by enabling investors to understand how and why an entity uses derivatives, how derivatives are accounted for, and how derivative instruments affect an entity’s results of operations and financial position.
S&P 500 Index Fund, S&P MidCap Index Fund, S&P SmallCap Index Fund, Shelton Equity Income Fund, Nasdaq-100 Index Fund and Shelton Green Alpha Fund can use futures contracts and strategies for achieving the investment objectives.
Although the Funds’ primary risks are associated with changes in the stock market, there are other risks associated with the Funds. For the index funds, these risks generally apply to how well the Funds track the index. For example, the Funds invest in futures contracts to the extent that it holds cash in the portfolio. If these futures contracts do not track the index, the Fund’s performance relative to the respective index will change. For the non-indexed Funds, they may invest in futures contracts to the extent each Fund holds cash in the portfolio. If these futures contracts owned by each Fund do not perform well, the Funds’ performance will be impacted.
Under normal circumstances each Fund may follow a number of investment policies to achieve its objective. Losses involving futures can sometimes be substantial, in part because a relatively small price movement in a futures contract may result in an immediate and substantial loss for the Funds. In an effort to minimize this risk, the Funds will not use futures for speculative purposes or as leverage. It is the Funds’ policy to hold cash deposits equal or greater than the total market value of any futures position. The value of all futures and options contracts in which the Funds acquire an interest will not exceed 20% of current total assets.
At August 31, 2022, the number of open future contracts in the S&P 500 Index Fund, S&P MidCap Index Fund, S&P SmallCap Index Fund, and Nasdaq-100 Index Fund were 3, 2, 4, and 54, respectively. The Shelton Equity Income Fund and Shelton Green Alpha Fund held no futures contracts at August 31, 2022. Only current day’s variation margin is reported as an asset or liability within the statements of assets and liabilities. Shelton Capital Management utilizes Wells Fargo Securities as the counterparty for futures transactions.
The effect of derivative instruments on the Statements of Assets & Liabilities as of August 31, 2022:
Derivatives Not Accounted for as Hedging Instruments | | Variation Margin | | Variation Margin |
S&P 500 Index Fund - Equity contracts | | $4,650 | | $— |
S&P MidCap Index Fund - Equity contracts | | 3,440 | | — |
S&P SmallCap Index Fund - Equity contracts | | 2,340 | | — |
Nasdaq-100 Index Fund - Equity contracts | | 76,798 | | — |
The effect of derivative instruments on the Statements of Operations for the year ended August 31, 2022:
Derivatives Not Accounted for as Hedging Instruments | | Realized Gain/(Loss) | | Changes in Unrealized |
S&P 500 Index Fund - Equity contracts | | $(80,989) | | $(58,713) |
S&P MidCap Index Fund - Equity contracts | | 112,513 | | (40,940) |
S&P SmallCap Index Fund - Equity contracts | | 24,713 | | (25,630) |
Nasdaq-100 Index Fund - Equity contracts | | (1,763,592) | | (1,084,060) |
51
Shelton FundsNotes to Financial StatementsAugust 31, 2022 |
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 August 31, 2022.
Liabilities: | | | | | | | | Gross Amounts | | | | ||||||||
Description | | Gross Amounts | | Gross Amounts | | Net Amounts | | Financial | | Collateral | | | Net | ||||||
S&P 500 Index Fund | | $ | 4,650 | | $ | — | | $ | 4,650 | | $ | — | | $ | (4,650 | )(a) | | $ | — |
S&P MidCap Index Fund | | | 3,440 | | | — | | | 3,440 | | | — | | | (3,440 | )(a) | | | — |
S&P SmallCap Index Fund | | | 2,340 | | | — | | | 2,340 | | | | | | (2,340 | )(a) | | | — |
Nasdaq-100 Index Fund | |
| 76,798 | |
| — | |
| 76,798 | |
| — | |
| (76,798 | )(a) | |
| — |
Total | | $ | 87,228 | | $ | — | | $ | 87,228 | | $ | — | | $ | (87,228 | ) | | $ | — |
(a)The amount is limited to the derivative liability balance and, accordingly, does not include excess collateral pledged.
The previously disclosed derivative instruments outstanding as of August 31, 2022, and their effect on the Statement of Operations for the period ending August 31, 2022, serve as indicators of the volume of financial derivative activity for the company. The following table indicates the average volume for the period:
Derivatives Not Accounted for as Hedging Instruments | Average Notional Value |
S&P 500 Index Fund - Equity contracts | $863,204 |
S&P MidCap Index Fund - Equity contracts | 785,138 |
S&P SmallCap Index Fund - Equity contracts | 639,503 |
Nasdaq-100 Index Fund - Equity contracts | 11,992,481 |
Note 2 - INVESTMENT MANAGEMENT FEE AND OTHER RELATED PARTY TRANSACTIONS
Shelton Capital Management (“Shelton Capital” or the “Advisor”), a California limited partnership, provides each Fund with management and administrative services pursuant to investment management and administration servicing agreements.
In accordance with the terms of the management agreement, the Advisor receives compensation at the following annual rates:
| To $100 million | | $100 million to | | $500 million to | | In excess of |
Green California Tax-Free Income Fund | 0.50% | | 0.45% | | 0.40% | | 0.40% |
U.S. Government Securities Fund | 0.50% | | 0.45% | | 0.40% | | 0.40% |
U.S. Treasury Trust | 0.50% | | 0.45% | | 0.40% | | 0.40% |
S&P 500 Index Fund | 0.25% | | 0.25% | | 0.25% | | 0.25% |
S&P MidCap Index Fund | 0.40% | | 0.40% | | 0.40% | | 0.40% |
S&P SmallCap Index Fund | 0.50% | | 0.50% | | 0.45% | | 0.40% |
Shelton Equity Income Fund | 0.50% | | 0.50% | | 0.45% | | 0.40% |
Nasdaq-100 Index Fund | 0.50% | | 0.50% | | 0.45% | | 0.40% |
Shelton Green Alpha Fund(a) | 1.00% | | 1.00% | | 1.00% | | 1.00% |
(a)The Advisor pays Green Alpha Advisors a sub-advisor fee of 0.50%
The Fund’s Advisor, Shelton Capital Management (the “Advisor”), has contractually agreed to reimburse expenses incurred by certain Funds to the extent that total annual fund operating expenses (excluding acquired fund fees and expenses, certain compliance costs, interest, dividend, and broker expenses relating to investment strategies, taxes, extraordinary expenses such as litigation or merger and reorganization expenses, for example) exceed Contractual Expense Limitation noted in the table below. This additional contractual reimbursement is effective until January 2, 2023 for U.S Government Securities Fund and The United States Treasury Fund and March 4, 2023 for Nasdaq-100 Index Fund, unless renewed and is subject to recoupment within three fiscal years following reimbursement. Recoupment is limited to the extent the reimbursement does not exceed any applicable expense limit and the effect of the reimbursement is measured after all ordinary operating expenses are calculated; any such reimbursement is subject to the Board of Trustees’ review and approval.
| | Contractual Expense Limitation | ||||||
Fund | | Direct Shares | | K Shares | | Institutional | | Expiration |
U.S. Government Securities Fund | | 0.74% | | 1.24% | | N/A | | 1/2/23 |
The United States Treasury Trust | | 0.53% | | N/A | | N/A | | 1/2/23 |
Nasdaq-100 Index Fund | | 0.49% | | 0.99% | | 0.38% | | 3/4/23 |
52
Shelton FundsNotes to Financial StatementsAugust 31, 2022 |
At August 31, 2022, the remaining cumulative unreimbursed amount paid and/or waived by the Advisor on behalf of the Funds that may be reimbursed was $4,601,797. The Advisor may recapture a portion of the above amount no later than the dates as stated below. As of January 2, 2018, the S&P 500 Index Fund, S&P MidCap Index Fund and S&P SmallCap Index Fund were no longer subject to contractual expense limitations.
Fund | | Expires 8/31/23 | | Expires 8/31/24 | | Expires 8/31/25 | | Total |
U.S. Government Securities Fund | | $40,952 | | $54,782 | | $58,785 | | $154,519 |
The United States Treasury Trust Fund | | 126,233 | | 89,114 | | 94,360 | | 309,707 |
Nasdaq-100 Index Fund | | 1,405,450 | | 1,308,192 | | 1,423,929 | | 4,137,571 |
Total | | $1,572,635 | | $1,452,088 | | $1,577,074 | | $4,601,797 |
A Fund must pay its current ordinary operating expenses before the Advisor is entitled to any reimbursement of fees and/or expenses. Any such reimbursement is contingent upon the Board of Trustees’ review and approval prior to the time the reimbursement is initiated. In addition to the unreimbursed amount expiring 8/31/2025, The United States Treasury Trust Fund had an additional voluntary waiver amount of $104,142 not subject to recoupment.
As compensation for administrative duties not covered by the management agreement, Shelton Capital receives an administration fee, which was revised on January 1, 2011. The administration fee is based on assets held, in aggregate, by the Shelton Funds. The fee rates are 0.10% on the first $500 million, 0.08% on the next $500 million, and 0.06% on combined assets over $1 billion. This administration fee is adjusted annually for inflation using the Consumer Price Index (rounded to the nearest $10 million) with a base year of 2004. Administration fees are disclosed on the Statements of Operations.
Certain officers and trustees of the Trust are also partners of Shelton Capital. Stephen Rogers has served as a trustee and Chairman of the Board of Trustees of the Trust since 1998, and President of the Trust since 1999. Mr. Rogers is also Chief Executive Officer of the Advisor. Gregory T. Pusch has served as the Chief Compliance Officer (“CCO”) of the Trust since March 2017. Mr. Pusch is also employed by Shelton Capital, the Advisor and Administrator to the Trust. The Trust is responsible for the portion of his salary allocated to his duties as the CCO of the Trust during his employment, and Shelton Capital is reimbursed by the Trust for this portion of his salary. The level of reimbursement is reviewed and determined by the Board of Trustees at least annually.
Shelton Funds have adopted a Distribution Plan (the “Plan”), as amended August 1, 2012, pursuant to Rule 12b-1 under the Investment Company Act of 1940, whereby the Class K Shares of each Fund of the Shelton Funds pays the Distributor for expenses that relate to the promotion and distribution of shares. Under the Plan, the Class K Shares of the Funds will pay RFS Partners, an affiliate of the Advisor, the Funds’ distributor (the “Distributor”) a fee at an annual rate of 0.25%, payable monthly, of the daily net assets attributable to such Fund’s Class K Shares.
Shelton Funds adopted a Shareholder Services Plan (the “Services Plan”), whereby the K Shares of each Fund and the Direct Shares of the Nasdaq-100 Fund of the Shelton Funds pay RFS Partners, the Funds’ Distributor or other service providers, an annual rate of 0.25% of the average daily net assets of Class K Shares. Such amounts are compensation for providing certain services to clients owning K Shares, including processing purchase and redemption transactions, assisting in other administrative details and providing other information with respect to each Fund.
For the year ended August 31, 2022, the following were paid by the Class K Shares (and Direct Shares for the Nasdaq-100 Fund) of each Fund of the Trust:
Fund | | Class K | | Class K | | Class Direct | |
U.S. Government Securities Fund | | $3,048 | | $3,048 | | $— | |
S&P 500 Index Fund | | 7,751 | | 7,751 | | — | |
S&P MidCap Index Fund | | 2,505 | | 2,505 | | — | |
S&P SmallCap Index Fund | | 7,103 | | 7,103 | | — | |
Shelton Equity Income Fund | | 2,709 | | 2,709 | | — | |
Nasdaq-100 Index Fund | | 84,139 | | 84,139 | | 1,231,346 | |
Management fees, Administration fees, Expense reimbursement from the manager, CCO fees and Trustees fees incurred during the year are included in the Statements of Operations.
Note 3 - PURCHASES AND SALES OF SECURITIES
Purchases and sales of securities other than short-term instruments for the year ended August 31, 2022 were as follows:
Fund | | Purchases | | Sales | | Purchases | | Sales | |
Green California Tax-Free Income Fund | | $7,506,831 | | $12,895,481 | | $7,506,831 | | $12,895,481 | |
U.S. Government Securities Fund | | 1,617,875 | | 4,289,336 | | — | | — | |
S&P 500 Index Fund | | 6,737,518 | | 12,910,789 | | 6,737,518 | | 12,910,789 | |
S&P MidCap Index Fund | | 14,214,824 | | 23,435,390 | | 14,214,824 | | 23,435,390 | |
S&P SmallCap Index Fund | | 8,540,030 | | 12,081,274 | | 8,540,030 | | 12,081,274 | |
Equity Income Fund | | 276,439,123 | | 130,969,977 | | 276,439,123 | | 130,969,977 | |
Nasdaq-100 Index Fund | | 103,000,267 | | 69,543,888 | | 103,000,267 | | 69,543,888 | |
Green Alpha Fund | | 53,834,106 | | 14,762,780 | | 53,834,106 | | 14,762,780 | |
53
Shelton FundsNotes to Financial StatementsAugust 31, 2022 |
Note 4 - OPTIONS WRITTEN
Written Options Contracts – Certain Funds may write options to manage exposure to certain changes in the market. When a Fund writes an option, an amount equal to the premium received by the Fund is recorded as a liability, which is marked-to-market daily to reflect the current market value of the option written. If the option expires, the Fund realizes a gain from investments equal to the amount of the premium received. When a written call option is exercised, the difference between the premium and the amount for effecting a closing purchase transaction, including brokerage commission, is also treated as a realized gain or loss. When a written put option is exercised, the amount of the premium received reduces the cost of the security purchased by the Fund. A risk in writing a covered call option is that the Fund may forego the opportunity of profit if the market price of the underlying security increases and the option is exercised. The risk in writing a put option is that the Fund may incur a loss if the market price of the underlying security decreases and the option is exercised.
At August 31, 2022, the Shelton Equity Income Fund had written option contracts outstanding:
Derivatives not Accounted for as | | Liability Derivatives Statement of Assets | | Fair Value |
Equity Contracts | | Written options, at value | | $(929,820) |
The effect of derivative instruments on the Funds’ Statement of Operations for the period ended August 31, 2022, was as follows:
Derivatives not Accounted | | Location of Gains/(Loss) on Derivatives Recognized in Income | | Realized Gain/ | | Change in Unrealized |
Equity Contracts | | Net realized gains (losses) from: Written option contracts / Net change in unrealized appreciation (depreciation) of written option contracts | | $4,399,068 | | $1,224,342 |
Volume of derivative instruments held by the Funds during the period ended August 31, 2022, was as follows:
Derivative Type | | Unit of Measurement | | Average |
Written Option Contracts | | Contracts | | $(1,040,498) |
Note 5 - TAX CHARACTER
Tax Basis of Distributable Earnings: For U.S. Federal income tax purposes, the cost of securities owned, gross appreciation, gross depreciation, and net unrealized appreciation/(depreciation) of investments on August 31, 2022 were as follows:
| Tax Cost | | Gross Unrealized Appreciation | | Gross | | Net Unrealized | ||||
Green California Tax-Free Income Fund | $46,664,776 | | | $827,162 | | | $(1,227,249 | ) | | $(400,087 | ) |
U.S. Government Securities Fund | 16,348,643 | | | 11,823 | | | (808,333 | ) | | (796,510 | ) |
The United States Treasury Trust Fund | 30,815,683 | | | — | | | — | | | — | |
S&P 500 Index Fund | 82,625,634 | | | 142,322,298 | | | (3,947,973 | ) | | 138,374,325 | |
S&P MidCap Index Fund | 79,842,514 | | | 38,028,482 | | | (8,125,754 | ) | | 29,902,728 | |
S&P SmallCap Index Fund | 43,685,794 | | | 19,230,830 | | | (6,485,896 | ) | | 12,744,934 | |
Shelton Equity Income Fund | 383,666,696 | | | 21,933,128 | | | (43,811,243 | ) | | (21,878,115 | ) |
Nasdaq-100 Index Fund | 526,188,950 | | | 537,083,160 | | | (33,907,055 | ) | | 503,176,105 | |
Shelton Green Alpha Fund | 244,096,070 | | | 65,177,918 | | | (41,817,079 | ) | | 23,360,839 | |
Reclassifications: Accounting principles generally accepted in the United States of America require certain components of net assets be reclassified between financial and tax reporting. These reclassifications have no effect on net assets or net asset value per share. For the year ended August 31, 2022, the amounts reclassified were due to Return of Capital (“ROC”) distributions paid and rounding differences, were reported as follows:
| Increase/ | | Increase/ | ||
Green California Tax-Free Income Fund | $2,795 | | | $(2,795 | ) |
U.S. Government Securities Fund | — | | | — | |
The United States Treasury Trust | — | | | — | |
S&P 500 Index Fund | 1 | | | (1 | ) |
S&P MidCap Index Fund | 1 | | | (1 | ) |
S&P SmallCap Index Fund | 2 | | | (2 | ) |
Equity Income Fund | — | | | — | |
Nasdaq-100 Index Fund | — | | | — | |
Green Alpha Fund | (10 | ) | | 10 | |
54
Shelton FundsNotes to Financial StatementsAugust 31, 2022 |
Tax Basis of Distributable Earnings: The tax character of distributable earnings at August 31, 2022 was as follows:
| Distributions | | Undistributed | | Undistributed | | Undistributed | | Unrealized | | Other | | Total | |||||||
Green California Tax-Free Income Fund | $(95,703 | ) | | $— | | | $— | | | $— | | | $(400,087 | ) | | $(5,431 | ) | | $(501,221 | ) |
U.S. Government Securities Fund | (19,673 | ) | | — | | | 3,411 | | | — | | | (796,510 | ) | | (96,418 | ) | | (909,190 | ) |
The United States Treasury Trust | — | | | — | | | 61 | | | — | | | — | | | (1,658 | ) | | (1,597 | ) |
S&P 500 Index Fund | — | | | — | | | 49,555 | | | 7,044,373 | | | 138,374,325 | | | — | | | 145,468,253 | |
S&P MidCap Index Fund | — | | | — | | | — | | | 7,800,374 | | | 29,902,728 | | | — | | | 37,703,102 | |
S&P SmallCap Index Fund | — | | | — | | | — | | | 4,522,248 | | | 12,744,934 | | | — | | | 17,267,182 | |
Equity Income Fund | — | | | — | | | 1,810,990 | | | 5,144,595 | | | (21,878,116 | ) | | (1,682,677 | ) | | (16,605,208 | ) |
Nasdaq-100 Index Fund | — | | | — | | | 1,479,917 | | | 19,083,476 | | | 503,176,105 | | | — | | | 523,739,498 | |
Green Alpha Fund | — | | | — | | | — | | | — | | | 23,360,839 | | | (16,984,019 | ) | | 6,376,820 | |
The difference between book basis and tax basis unrealized appreciation/(depreciation) is attributable primarily to the realization of unrealized gains/(losses) on future contracts for tax purposes, wash sales, straddle deferrals, and certain other investments. The other accumulated gains/losses are mainly attributable to capital loss carry forwards, straddle loss deferrals, and post-October year loss deferrals.
During the current year, the Green Alpha Fund deferred $7,781,520 of short-term and $9,202,499 of long-term post-October capital losses, which will be recognized on the first day of the following fiscal year.
Capital Losses: Capital loss carry forwards, as of August 31, 2022, available to offset future capital gains, if any, are as follows:
| Green | | U.S. | | United States | |||
Long Term with No Expiration | $(4,714 | ) | | $(45,818 | ) | | $— | |
Short Term with No Expiration | (717 | ) | | (50,600 | ) | | (1,658 | ) |
Total | $(5,431 | ) | | $(96,418 | ) | | $(1,658 | ) |
Capital Loss Carry Forwards Utilized During the Fiscal Year Ending August 31, 2022. | $159,070 | | | — | | | 22 | |
Distributions to Shareholders: Income distributions and capital gain distributions are determined in accordance with income tax regulations, which may differ from U.S. generally accepted accounting principles. These differences are primarily due to differing treatments of income and gains on various investment securities held by each Fund, timing differences and differing characterization of distributions made by each Fund.
The tax character of distributions paid during the years ended August 31, 2022 and 2021 were as follows:
Fund | | Year | | Ordinary Income | | Nontaxable Distribution | | Long-Term Capital | | Exempt-Interest Dividends | | Total Distributions |
Green California Tax-Free Income Fund | | 2022 | | $— | | $2,795 | | $— | | $1,013,793 | | $1,016,588 |
| | 2021 | | — | | — | | — | | 1,113,278 | | 1,113,278 |
U.S. Government Securities Fund | | 2022 | | 218,691 | | — | | — | | — | | 218,691 |
| | 2021 | | 221,988 | | — | | — | | — | | 221,988 |
The United States Treasury Trust | | 2022 | | 67,022 | | — | | — | | — | | 67,022 |
| | 2021 | | — | | — | | — | | — | | — |
S&P 500 Index Fund | | 2022 | | 2,985,889 | | — | | 10,734,967 | | — | | 13,720,856 |
| | 2021 | | 3,842,509 | | — | | 12,667,378 | | — | | 16,509,887 |
S&P MidCap Index Fund | | 2022 | | 3,779,609 | | — | | 8,613,582 | | — | | 12,393,191 |
| | 2021 | | 1,575,207 | | — | | 7,730,800 | | — | | 9,306,007 |
S&P SmallCap Index Fund | | 2022 | | 1,180,650 | | — | | 4,979,797 | | — | | 6,160,447 |
| | 2021 | | 728,736 | | — | | 1,770,410 | | — | | 2,499,146 |
Shelton Equity Income Fund | | 2022 | | 25,339,784 | | — | | 5,581,038 | | — | | 30,920,822 |
| | 2021 | | 17,038,360 | | — | | 20,962,099 | | — | | 38,000,459 |
Nasdaq-100 Index Fund | | 2022 | | 5,025,546 | | — | | 28,568,331 | | — | | 33,593,877 |
| | 2021 | | 8,707,486 | | — | | 3,588,234 | | — | | 12,295,720 |
Green Alpha Fund | | 2022 | | 4,073,523 | | — | | 11,092,775 | | — | | 15,166,298 |
| | 2021 | | — | | — | | 1,627,679 | | — | | 1,627,679 |
(a) The Funds designate Long-Term Capital Gain dividends pursuant to Section 852(b)(3) of the Internal Revenue Code for the Year ended August 31, 2022.
55
Shelton FundsNotes to Financial StatementsAugust 31, 2022 |
Note 6 - SECURITIES LENDING
The Funds have entered into an agreement with U.S. Bank, N.A. (the “Lending Agent”), dated January 19, 2020 (the “Securities Lending Agreement”), to provide securities lending services to the Funds. Under this program, the Funds may lend securities in their portfolios to approved brokers, dealers and financial institutions (but not individuals). The securities lending agreement requires that loans are collateralized in an amount equal to at least (i) 105% of then current market value of any loaned foreign securities, or (ii) 102% of the then current market value of any other loaned securities at the outset of the loan and at least 100%, at all times thereafter. The Funds have the right under the terms of the securities lending agreement to recall the securities from the borrower on demand. Cash collateral received by the Funds for securities loaned is invested by the Lending Agent in the Mount Vernon Liquid Assets Portfolio, LLC, (“Mount Vernon”). Mount Vernon seeks to maximize current income to the extent consistent with the preservation of capital and liquidity; and to maintain a stable NAV of $1.00.The Funds continue to benefit from interest or dividends on the securities loaned and may also earn a return from the collateral. 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, and the risk that the investment 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. The Funds are not subject to a master netting arrangement.
Amounts earned from security lending is included in each Fund’s Statement of Operations as a securities lending credit.
As of August 31, 2022, the value of the securities on loan and payable for collateral were as follows:
Fund | | Value of | | Fund |
S&P 500 Index Fund | | $10,486,181 | | $10,826,242 |
S&P MidCap Index Fund | | 501,606 | | 528,218 |
S&P SmallCap Index Fund | | 624,846 | | 659,361 |
Nasdaq-100 Index Fund | | 30,523,401 | | 31,281,598 |
*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.
Note 7 - SUBSEQUENT EVENTS
Effective as of the open of business on October 10, 2022, Green Alpha Advisors, LLC ceased serving as sub-adviser to the Shelton Green Alpha Fund. Shelton Capital Management remains the Fund’s investment adviser.
Also effective as of October 10, 2022, the Shelton Green Alpha Fund’s investment advisory fee was reduced to an annual rate of 0.75% of the average daily net assets of the Fund.
56
Fund Holdings
The Fund holdings shown in this report are as of August 31, 2022. Holdings are subject to change at any time, so holdings shown in the report may not reflect current Fund holdings. The Fund files its complete schedule of portfolio holdings with the Commission for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The Fund’s Form N-PORT is available on the SEC’s website at www.sec.gov. The information filed in the Form N-PORT also may be obtained by calling (800) 955-9988.
Proxy Voting Policy
The Fund’s Statement of Additional Information (“SAI”) containing a description of the policies and procedures that the Shelton Funds uses to determine how to vote proxies relating to portfolio securities, along with each Fund’s proxy voting record relating to portfolio securities held during the 12-month period ended June 30, 2022 is available upon request, at no charge, at the phone number above, or on the SEC’s website at www.sec.gov.
About this Report
This report is submitted for the general information of the shareholders of the Shelton Funds. It is authorized for distribution only if preceded or accompanied by a current Shelton Funds prospectus. Additional copies of the prospectus may be obtained by calling (800) 955-9988 or can be downloaded from the Fund’s website at www.sheltoncap.com. Please read the prospectus carefully before you invest, as it explains the risks, fees and expenses of investing in the Fund.
57
To the Shareholders and Board of Trustees of Shelton Funds
Opinion on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the portfolio of investments, of Green California Tax-Free Income Fund, U.S. Government Securities Fund, The United States Treasury Trust, S&P 500 Index Fund, S&P MidCap Index Fund, S&P SmallCap Index Fund, Shelton Equity Income Fund, Nasdaq-100 Index Fund, and Shelton Green Alpha Fund (the “Funds”), each a series of Shelton Funds, as of August 31, 2022, the related statements of operations for the year then ended, the statements of changes in net assets and the financial highlights for each of the two years in the period then ended, and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the each of the Funds as of August 31, 2022, the results of their operations for the year then ended, and the changes in net assets and the financial highlights for each of the two years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.
The Funds’ financial highlights for the years ended August 31, 2020, and prior, were audited by other auditors whose report dated October 30, 2020, expressed an unqualified opinion on those financial highlights.
Basis for Opinion
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of August 31, 2022, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the Funds’ auditor since 2021.
COHEN & COMPANY, LTD.
Cleveland, Ohio
October 28, 2022
58
Overall responsibility for management of the Funds rests with the Board of Trustees. The Trustees serve during the lifetime of the Trust and until its termination, or until death, resignation, retirement or removal. The Trustees, in turn, elect the officers of the Fund to actively supervise its day-to-day operations. The officers have been elected for an annual term. The following are the Trustees and Executive Officers of the Funds:
Name | | Address | | Year of Birth | | Position Held with the Trust | | Length of Time Served |
Stephen C. Rogers | | 1875 Lawrence Street, | | 1966 | | Chairman of the Board, | | Since August 1999, |
Kevin T. Kogler | | 1875 Lawrence Street, | | 1966 | | Trustee | | Since May 2006 |
Marco L. Quazzo | | 1875 Lawrence Street, | | 1962 | | Trustee | | Since August 2014 |
Stephen H. Sutro | | 1875 Lawrence Street, | | 1969 | | Trustee | | Since May 2006 |
William P. Mock | | 1875 Lawrence Street, | | 1966 | | Treasurer | | Since February 2010 |
Gregory T. Pusch | | 1875 Lawrence Street, | | 1966 | | Chief Compliance Officer, | | Since March 2017 |
Each Trustee oversees the Trust’s nine Funds. The principal occupations of the Trustees and Executive Officers of the Funds during the past five years and public directorships held by the Trustees are set forth below:
Stephen C. Rogers* | Chief Executive Officer, Shelton Capital Management, 1999 to present. |
Kevin T. Kogler | President & Founder of MicroBiz, LLC, 2012 to present. |
Marco L. Quazzo | Principal, Bartko Zankel Bunzel & Miller, March 2015-Present. |
Stephen H. Sutro | Managing Partner, Duane Morris, LLP (law firm) 2014 to present; Partner, Duane Morris LLP (law firm), 2003 to present. |
William P. Mock | Portfolio Manager, Shelton Capital Management, 2010 to present. |
Gregory T. Pusch | General Counsel and Chief Compliance Officer, Shelton Capital Management, 2017 to present. |
Additional information about the Trustees may be found in the SAI, which is available without charge by calling (800) 955-9988.
*Trustee deemed to be an “interested person” of the Trust, as defined in the Investment Company Act of 1940. Mr. Rogers is an interested person because he is the CEO of Shelton Capital Management, the Trust’s Advisor and Administrator.
59
The Investment Company Act of 1940 (the “1940 Act”) requires that the full board of the Shelton Funds (the “Board”) and a majority of the Independent Trustees annually approve the continuation of:
•the Investment Advisory Agreement dated January 1, 2007, as amended, between the Shelton Funds, on behalf of the funds listed below, and CCM Partners d/b/a Shelton Capital Management (“SCM”) (the “Shelton Advisory Agreement (Non-Green Alpha)”);
•Green California Tax Free Income Fund;
•Nasdaq-100 Index Fund;
•S&P 500 Index Fund;
•S&P MidCap Index Fund;
•S&P SmallCap Index Fund;
•Shelton Equity Income Fund;
•U.S. Government Securities Fund; and
•The United States Treasury Trust.
•the Investment Advisory Agreement, effective as of March 8, 2013, between Shelton Funds, on behalf of the Shelton Green Alpha Fund, and SCM (the “Green Alpha Advisory Agreement”); and
•the Discretionary Sub-Advisory Agreement effective as of March 8, 2013, between Green Alpha Advisors, LLC (“Green Alpha”) and SCM (the “Green Alpha Sub-Advisory Agreement”).
At a meeting held on March 3-4, 2022, the Board, including a majority of the Independent Trustees, considered and approved the continuation of each Advisory and Sub-advisory Agreement for the maximum period allowed under the 1940 Act.
Prior to the Meeting, the Independent Trustees requested information from SCM, Green Alpha, and third-party sources. This information, together with other information provided by SCM and Green Alpha, and the information provided to the Independent Trustees throughout the course of the year, formed the primary (but not exclusive) basis for the Board’s determinations, as summarized below. In addition to the information identified above, other material factors and conclusions that formed the basis for the Board’s subsequent approval are described below.
Information Received
Materials Received. During the course of each year, the Independent Trustees receive a wide variety of materials relating to the services provided by SCM and Green Alpha, including reports on each applicable Fund’s investment results; portfolio composition; third party fund rankings; investment strategy; portfolio trading practices; shareholder services; and other information relating to the nature, extent and quality of services provided by SCM and Green Alpha to the applicable Funds. In addition, the Board requests and reviews supplementary information that includes materials regarding each Fund’s investment results, advisory fee and expense comparisons, the costs of operating the Funds and financial and profitability information regarding Shelton Capital and Green Alpha, descriptions of various functions such as compliance monitoring and portfolio trading practices, and information about the personnel providing investment management services to each applicable Fund.
Review Process. The Board received assistance and advice regarding legal and industry standards from independent legal counsel to the Independent Trustees and fund counsel. The Board discussed the renewal of the Shelton Advisory Agreement (Non-Green Alpha), the Green Alpha Advisory Agreement, and the Green Alpha Sub-Advisory Agreement (collectively, the “Shelton Funds Advisory Agreements”) with SCM and Green Alpha representatives, and in a private session with independent legal counsel at which representatives of SCM and Green Alpha were not present. In deciding to approve the renewal of the Shelton Funds Advisory Agreements, the Independent Trustees considered the total mix of information requested by and made available to them and did not identify any single issue or particular information that, in isolation, was the controlling factor. This summary describes the most important, but not all, of the factors considered by the Board.
Nature, Extent and Quality of Services
SCM, its personnel and its resources. The Board considered the depth and quality of Shelton Capital’s investment management process; the experience, capability and integrity of its senior management and other personnel; operating performance and the overall financial strength and stability of its organization. The Board also considered that SCM made available to its investment professionals a variety of resources relating to investment management, compliance, trading, performance and portfolio accounting. The Board further considered SCM’s continuing need to attract and retain qualified personnel and determined that SCM was adequately managing matters related to the Funds.
Green Alpha, its personnel and its resources. The Board considered the depth and quality of Green Alpha’s investment management process; the experience, capability and integrity of its management and other personnel; operating performance and the overall financial strength and stability of its organization. The Board also considered the operations and compliance environment at Green Alpha. The Board determined that Green Alpha was adequately managing matters related to the Green Alpha Fund.
Other Services. The Board considered, in connection with the performance of its investment management services to the Funds: SCM’s and Green Alpha’s policies, procedures and systems to ensure compliance with applicable laws and regulations and each of their commitment to these programs; each of their efforts to keep the Trustees informed; and each of their attention to matters that may involve conflicts of interest with the applicable Funds. As a point of comparison, the Board also considered the nature, extent, quality and cost of certain non-investment related administrative services provided by SCM to the Funds under the administration servicing agreements.
The Board concluded that SCM and Green Alpha had the quality and depth of personnel and investment methods necessary to performing its duties under the applicable Shelton Funds Advisory Agreements, and that the nature, extent and overall quality of such services provided by SCM and Green Alpha, respectively, were satisfactory and reliable.
60
Board Considerations Regarding Approval of Investment Advisory Agreements (Continued) |
Investment Performance
The Board considered each Fund’s investment results in comparison to its stated investment objectives. The Trustees reviewed the short-term and long-term performance of each Fund on both an absolute basis and against its benchmark indices. The Trustees also reviewed performance rankings for each Fund as provided by an independent third-party service provider. In assessing performance of the Nasdaq-100 Index Fund, SmallCap Index Fund, S&P 500 Index Fund, and MidCap Index Fund, the Trustees took into consideration the fact that Fund performance is expected to mirror the appropriate benchmarks as closely as possible given certain practical constraints imposed by the 1940 Act, the Fund’s investment restrictions, the Fund’s size, and similar factors. The Trustees also considered supplemental peer category performance information provided by the Adviser. Among the factors considered in this regard, were the following for the periods ended December 31, 2021:
•For the Green California Tax-Free Income Fund, it was noted that the Fund was in the second to lowest performing quartile relative to its peer category over the 10-year period and the lowest performing quartile over the 1-year, 3-year, 5-year periods.
•For the Nasdaq-100 Index Fund, it was noted that the performance of the Fund was in the highest performing quartile relative to its peer category over the 1-year, 3-year, 5-year and 10-year periods.
•For the S&P 500 Index Fund, it was noted that the performance of the Fund relative to its peer category was in the second highest performing quartile over the 1-year, 3-year, 5-year, and 10-year periods.
•For the S&P MidCap Index Fund, it was noted that the performance of the Fund relative to its peer category was in the second highest performing quartile over the 3-year and 10-year periods, and the second lowest performing quartile for the 1-year and 5-year periods.
•For the S&P SmallCap Index Fund, it was noted that the performance of the Fund relative to its peer category was in the highest performing quartile over the 10-year period, in the second highest performing quartile over the 1-year and 5-year periods, and in the second lowest performing quartile over the 3-year period.
•For the Shelton Green Alpha Fund, it was noted that the performance of the Fund relative to its peer category was in the highest performing quartile over the 3-year and 5-year periods and in the lowest performing quartile over the 1-year period.
•For the Shelton Equity Income Fund, it was noted that the performance of the Fund relative to its peer category was in the highest performing quartile over the 1-year, 3-year, 5-year, and 10-year periods.
•For The United States Treasury Trust, it was noted that the Fund’s absolute performance, while small, was positive during the one-year periods ended December 31, 2017, 2018, 2019, and 2020, and 0.00% for the one-year period ended December 31, 2021.
•For the U.S. Government Securities Fund, it was noted that the performance of the Fund relative to its peer category was in the lowest performing quartile over the 1-year, 3-year, 5-year, and 10-year periods.
The Board received an explanation of the reasons underlying the performance of the lower performing Funds and SCM articulated a strategy for improving performance of these Funds. The Board ultimately concluded that SCM’s and Green Alpha’s performance records in managing the applicable Fund was satisfactory, and in some cases excellent, supporting the determination that SCM’s and Green Alpha’s continued management under the applicable Shelton Funds Advisory Agreement would be consistent with the best interests of each applicable Fund and its shareholders.
Management Fees and Total Annual Operating Expense Ratios
The Board reviewed the management fees and total operating expenses of each Fund and compared such amounts with the management fees and total operating expenses of other funds in the industry that are found within the same style category as defined by a third-party independent service provider. The Board considered the asset size, advisory fees and total fees and expenses of each Fund in comparison to the asset size, advisory fees and other fees and expenses of other funds in each Fund’s relevant category. The Trustees considered both the gross advisory fee rates, as well as the effective advisory rates charged by SCM after taking into consideration the expense limitation arrangements on certain Funds.
The Board noted that except for the U.S. Government Securities Fund, the Green California Tax-Free Income Fund, the Shelton Green Alpha Fund and The United States Treasury Trust which were higher than their respective peer category medians, the maximum management fee charged to each Fund was generally lower than the Funds’ respective peer category medians.
The Board also observed that each Fund’s total annual operating expense ratios, after taking into account the expense limitations and waivers applicable to certain Funds, were generally higher than the category median for other comparable funds, with the exception of the Direct share class of the Equity Income Fund, the NASDAQ-100 Fund, the Small Cap Index Fund, the S&P 500 Index Fund and the MidCap Index Fund, which were below their respective category medians for comparable funds.
Comparable Accounts
The Board noted certain information provided by SCM and Green Alpha regarding fees charged to other clients utilizing a strategy similar to that employed by an applicable Fund. The Board determined that, bearing in mind the limitations of comparing different types of managed accounts and the different levels of service typically associated with such accounts, the fee structures applicable to SCM’s and Green Alpha’s other clients employing a comparable strategy to each applicable Fund was not indicative of any unreasonableness with respect to the advisory fee payable by such Fund.
Cost Structure, Level of Profits, Economies of Scale and Ancillary Benefits
The Board reviewed information regarding SCM’s and Green Alpha’s costs of providing services to the applicable Funds. The Board also reviewed the resulting level of profits to SCM and Green Alpha, respectively, including the cost allocation methodologies used to calculate such profits. The Independent Trustees received financial and other information from SCM and Green Alpha.
The Board noted its intention to continue to monitor assets under management, and the resulting impact on SCM’s and Green Alpha’s profitability, in order to ensure that each has sufficient resources to continue to provide the services that shareholders in the applicable Funds require. They further considered that breakpoints in the advisory fee structure of certain Funds provide for reductions in the level of fees charged by SCM to such Fund as Fund assets increase, reflecting the fact that economies of scale in the cost of operations will be shared with such Fund’s shareholders. The Trustees also noted that currently, SCM has contractually agreed to limit its advisory fees on certain Funds so that those Funds do not exceed their respective specified operating expense limitations and may extent those limits in the future.
The Board also considered that SCM and Green Alpha does not receive material indirect benefits from managing the applicable Funds. For example, Green Alpha does not currently employ a “soft dollar” program. With respect to SCM, the Board considered the Adviser’s statements regarding the implementation of a soft dollar program in 2021 with respect to certain Funds, but determined that material indirect benefits were not accruing to SCM at this time.
Based on the foregoing, together with the other information provided to it at the Meeting and throughout the year, the Board concluded that each applicable Fund’s cost structure and level of profits for SCM and Green Alpha, respectively, were reasonable and that economies of scale and ancillary benefits, to the extent present with respect to a Fund, were not material.
61
Board Considerations Regarding Approval of Investment Advisory Agreements (Continued) |
Conclusions
The Board indicated that the information presented and the discussion of the information were adequate for making a determination regarding the renewal of each Shelton Funds Advisory Agreement. During the review process, the Board noted certain instances where clarification or follow-up was appropriate and others where the Board determined that further clarification or follow-up was not necessary. In those instances where clarification or follow-up was requested, the Board determined that in each case either information responsive to its requests had been provided, or where any request was outstanding in whole or in part, given the totality of the information provided with respect to each Shelton Funds Advisory Agreement, the Board had received sufficient information to renew and approve the applicable Shelton Funds Advisory Agreement.
Based on their review, including but not limited to their consideration of each of the factors referred to above, the Board concluded that each Shelton Funds Advisory Agreement, taking into account the separate administration fees, is and would be fair and reasonable to each Fund and its shareholders, that each Fund’s shareholders received or should receive reasonable value in return for the advisory fees and other amounts paid to SCM and Green Alpha by the Funds, as applicable, and that the renewal of each Shelton Funds Advisory Agreement and was in the best interests of each Fund and its shareholders.
(b) Not Applicable.
ITEM 2. CODE OF ETHICS.
(a) The Registrant has adopted a code of ethics that applies to its principal executive officers and principal financial and accounting officer.
(b) Not applicable.
(c) Not applicable.
(d) Not applicable.
(e) Not applicable.
(f) Pursuant to Item 13(a)(1), the Registrant is attaching as an exhibit a copy of its code of ethics that applies to its principal executive officer and principal financial and accounting officer. A copy of the code of ethics is available upon request, at no charge, at 1(800) 955-9988.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
(a)(1) Registrant does not have an audit committee financial expert serving on its audit committee.
(a)(2) Not applicable.
(a)(3) The audit committee has determined that no single independent trustee meets the criteria of “audit committee financial expert”, but the collective skills of the committee are sufficient.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a) Audit Fees
The aggregate fees paid to the principal accountant for professional services rendered by the principal accountant for the audit of the Registrant’s annual financial statements or for services that are normally provided by the principal accountant in connection with statutory and regulatory filings or engagements were $122,000 for the fiscal year ended August 31, 2022 and $122,000 for the fiscal year ended August 31, 2021.
(b) Audit-Related Fees
There were no fees paid to the principal accountant for assurance and related services rendered by the principal accountant to the Registrant that are reasonably related to the performance of the audit of the Registrant’s financial statements and are not reported under paragraph (a) of Item 4.
(c) Tax Fees
The aggregate fees paid to the principal accountant for tax compliance, tax advice, and tax planning services rendered by the principal accountant to the Registrant were $27,000 for the fiscal year ended August 31, 2022 and $27,000 for the fiscal year ended August 31, 2021.
(d) All Other Fees
There were no other fees paid to the principal accountant for services rendered by the principal accountant to the Registrant that are reasonably related to the performance of the audit of the Registrant’s financial statements and are not reported under paragraphs (a)-(c) of Item 4.
(e)(1) The Registrant’s audit committee is directly responsible for approving the services to be provided by the auditors, including:
(i) | pre-approval of all audit and audit-related services; |
(ii) | pre-approval of all non-audit related services to be provided to the Registrant by the auditors; and |
(iii) | pre-approval of all non-audit related services to be provided to the Registrant by the auditors to the Registrant ’s investment adviser or to any entity that controls, is controlled by or is under common control with the Registrant ’s investment adviser and that provides ongoing services to the Registrant where the non-audit services relate directly to the operations or financial reporting of the Registrant. |
(e)(2) | All of the services provided to the Registrant described in paragraphs (b)-(d) of Item 4 were pre-approved by the audit committee. |
(f) | Not applicable. |
(g) | The aggregate non-audit fees paid to the principal accountant for services rendered by the principal accountant to the Registrant and the Registrant’s investment adviser and any entity controlling, controlled by or under common control with the investment adviser that provides ongoing services to the Registrant were $0 for the fiscal year ended August 31, 2022 and $0 for the fiscal year ended August 31, 2021. |
(h) | Not applicable. |
(i) | Not applicable. |
(j) | Not applicable. |
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable.
ITEM 6. SCHEDULE OF INVESTMENTS.
(a) | Investments in securities of unaffiliated issuers as of the close of the reporting period are included as part of the report to shareholders filed under Item 1 of this Form N-CSR. |
(b) | Not applicable. |
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
There have been no material changes to the procedures by which the shareholders may recommend nominees to the Registrant’s board of trustees since the Registrant last provided disclosure in response to the requirements of Item 7(d)(2)(ii)(G) of Schedule 14A or this Item.
ITEM 11. CONTROLS AND PROCEDURES.
(a) | The Registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c)) are effective as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)). |
(b) | There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act that occurred during 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. |
ITEM 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
ITEM 13. EXHIBITS.
(a)(1) | Code of Ethics is filed as Exhibit 13(a)(1) to this Form N-CSR. |
(a)(2) | Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002, as amended (“SOX”), are filed as Exhibit 13(a)(2) to this Form N-CSR. |
(a)(3) | Not applicable |
(a)(4) | Not applicable |
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.
Shelton Funds
By | /s/ Stephen C. Rogers | |
Stephen C. Rogers, President | ||
Date: November 7, 2022 | ||
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 | /s/ Stephen C. Rogers | |
Stephen C. Rogers, President | ||
Date: November 7, 2022 | ||
By | /s/ William P. Mock | |
William P. Mock, Treasurer | ||
Date: November 7, 2022 |