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 811-4417
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: (415) 398-2727
Date of fiscal year end: August 31
Date of reporting period: February 28, 2021
Explanatory Note
The Registrant is filing this amendment to its Form N-CSR for the period ended February 28, 2021, originally filed with the Securities and Exchange Commission on May 7, 2021 (Accession Number 0001398344-21-009942) (the “Original Filing”), to amend Item 1, “Reports to Stockholders.” The purpose of the amendment to Item 1 is to supplement the Semi-Annual Shareholder Report for the Shelton Capital Management Green California Tax Free Income Fund, Shelton Capital Management US Government Securities Fund, Shelton Capital Management US Treasury Trust Fund, Shelton Capital Management S&P 500 Index Fund, Shelton Capital Management S&P Mid Cap Index Fund, Shelton Capital Management S&P Small Cap Fund, Shelton Capital Management Core Value Fund, Shelton Capital Management Nasdaq-100 Index Fund, and Shelton Capital Management Green Alpha Fund (the “Shelton Capital Management Report”) to amend the total returns stated for the six-month period ending February 28, 2021. The initial returns stated were for the trailing 12 month period and have been amended to reflect the total return during the six-month period as of February 28, 2021.
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. ss. 3507.
ITEM 1. | REPORTS TO STOCKHOLDERS | |
(a) | A copy of the report transmitted to stockholders pursuant to Rule 30e-1 under the Act (17 CFR 270.30e-1). | |
(b) | [N/A] |
SEMI-ANNUAL REPORT
February 28, 2021
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 Core Value 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.
Beginning on May 1, 2021, as permitted by regulations adopted by the U.S. Securities and Exchange Commission, paper copies of the Funds’ annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Funds’ website at www.sheltoncap.com and you will be notified by mail each time a report is posted and provided with a website link to access the report.
You may, notwithstanding the availability of shareholder reports online, elect to receive all future shareholder reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports. If you invest directly with the Funds, you can call 800-955-9988 to let the Funds know you wish to continue receiving paper copies of your shareholder reports.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Funds electronically anytime by contacting your financial intermediary (such as a broker-dealer or bank) or, if you are a direct investor, by enrolling at www.sheltoncap.com.
Table of Contents | February 28, 2021 |
About Your Fund’s Expenses | 1 |
Top Holdings and Sector Breakdowns | 3 |
Portfolio of Investments | 5 |
Statements of Assets & Liabilities | 22 |
Statements of Operations | 24 |
Statements of Changes in Net Assets | 26 |
Financial Highlights | 29 |
Notes to Financial Statements | 37 |
Fund Holdings | 43 |
About this Report | 43 |
Proxy Voting Policies, Procedures and Voting Records | 43 |
Board of Trustees and Executive Officers | 43 |
Liquidity Risk Management Disclosure | 44 |
Board Considerations Regarding Approval of Investment Advisory Agreements | 44 |
About Your Fund’s Expenses (Unaudited) February 28, 2021 |
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 September 1, 2020 to February 28, 2021.
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. 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. The calculations assume no shares were bought or sold during the period.
Beginning | Ending | Expenses Paid | Net Annual | |
Green California Tax-Free Income Fund | ||||
Direct Shares | ||||
Based on Actual Fund Return | $ 1,000 | $ 996 | $ 3.74 | 0.76% |
Based on Hypothetical 5% Return before expenses | $ 1,000 | $ 1,021 | $ 3.79 | 0.76% |
U.S. Government Securities Fund | ||||
Direct Shares | ||||
Based on Actual Fund Return | $ 1,000 | $ 976 | $ 3.61 | 0.74% |
Based on Hypothetical 5% Return before expenses | $ 1,000 | $ 1,021 | $ 3.69 | 0.74% |
K Shares | ||||
Based on Actual Fund Return | $ 1,000 | $ 974 | $ 6.04 | 1.24% |
Based on Hypothetical 5% Return before expenses | $ 1,000 | $ 1,019 | $ 6.17 | 1.24% |
The United States Treasury Trust | ||||
Direct Shares | ||||
Based on Actual Fund Return | $ 1,000 | $ 1,000 | $ 0.49 | 0.10% |
Based on Hypothetical 5% Return before expenses | $ 1,000 | $ 1,025 | $ 0.50 | 0.10% |
1
About Your Fund’s Expenses (Unaudited) February 28, 2021 (Continued) |
Beginning | Ending | Expenses Paid | Net Annual | |
S&P 500 Index Fund | ||||
Direct Shares | ||||
Based on Actual Fund Return | $ 1,000 | $ 1,094 | $ 2.27 | 0.44% |
Based on Hypothetical 5% Return before expenses | $ 1,000 | $ 1,023 | $ 2.19 | 0.44% |
K Shares | ||||
Based on Actual Fund Return | $ 1,000 | $ 1,091 | $ 4.85 | 0.94% |
Based on Hypothetical 5% Return before expenses | $ 1,000 | $ 1,020 | $ 4.68 | 0.94% |
S&P MidCap Index Fund | ||||
Direct Shares | ||||
Based on Actual Fund Return | $ 1,000 | $ 1,303 | $ 3.63 | 0.64% |
Based on Hypothetical 5% Return before expenses | $ 1,000 | $ 1,022 | $ 3.19 | 0.64% |
K Shares | ||||
Based on Actual Fund Return | $ 1,000 | $ 1,300 | $ 6.47 | 1.14% |
Based on Hypothetical 5% Return before expenses | $ 1,000 | $ 1,019 | $ 5.68 | 1.14% |
S&P SmallCap Index Fund | ||||
Direct Shares | ||||
Based on Actual Fund Return | $ 1,000 | $ 1,425 | $ 5.14 | 0.86% |
Based on Hypothetical 5% Return before expenses | $ 1,000 | $ 1,021 | $ 4.29 | 0.86% |
K Shares | ||||
Based on Actual Fund Return | $ 1,000 | $ 1,421 | $ 8.12 | 1.36% |
Based on Hypothetical 5% Return before expenses | $ 1,000 | $ 1,018 | $ 6.77 | 1.36% |
Shelton Core Value Fund | ||||
Direct Shares | ||||
Based on Actual Fund Return | $ 1,000 | $ 1,122 | $ 3.98 | 0.76% |
Based on Hypothetical 5% Return before expenses | $ 1,000 | $ 1,021 | $ 3.79 | 0.76% |
K Shares | ||||
Based on Actual Fund Return | $ 1,000 | $ 1,120 | $ 6.59 | 1.26% |
Based on Hypothetical 5% Return before expenses | $ 1,000 | $ 1,019 | $ 6.27 | 1.26% |
Nasdaq-100 Index Fund | ||||
Direct Shares | ||||
Based on Actual Fund Return | $ 1,000 | $ 1,070 | $ 2.45 | 0.48% |
Based on Hypothetical 5% Return before expenses | $ 1,000 | $ 1,023 | $ 2.39 | 0.48% |
K Shares | ||||
Based on Actual Fund Return | $ 1,000 | $ 1,067 | $ 4.99 | 0.98% |
Based on Hypothetical 5% Return before expenses | $ 1,000 | $ 1,020 | $ 4.88 | 0.98% |
Shelton Green Alpha Fund | ||||
Direct Shares | ||||
Based on Actual Fund Return | $ 1,000 | $ 1,511 | $ 7.18 | 1.16% |
Based on Hypothetical 5% Return before expenses | $ 1,000 | $ 1,019 | $ 5.77 | 1.16% |
* | Expenses are equal to the Fund’s annualized expense ratio listed in the “Net Annual Expense Ratio” column, multiplied by the average account value over the |
2
Top Holdings and Sector Breakdowns (Unaudited) | February 28, 2021 |
Green California Tax-Free Income Fund
Security | Description | Market | Percentage | ||
1 | East Side Union High School District | General Obligation Refunding Bonds (2012 Crossover); 2006 | $ 3,340,360 | 5.8% | |
2 | William S Hart Union High School District | General Obligation Bonds; Election 2001 2005, Series B | 3,140,304 | 5.4% | |
3 | San Francisco Bay Area Rapid Transit District | San Francisco BART District GO Bonds (Election of 2004) 2017 Refunding Series E (Green Bonds) | 2,840,637 | 4.9% | |
4 | Los Rios Community College District | General Obligation Bonds; 2008 Election, Series B | 2,767,025 | 4.8% | |
5 | Mount San Antonio Community College District | General Obligation Refunding Bonds 2013A | 2,615,308 | 4.5% | |
6 | East Bay Municipal Utility District Water System Revenue | Water System Revenue Bonds; 2015 Series B | 2,439,111 | 4.2% | |
7 | San Mateo Foster City Public Financing Authority | City of San Mateo Wastewater Revenue Bonds 2019 (Clean Water Program) | 2,323,040 | 4.0% | |
8 | Santa Maria Joint Union High School District | General Obligation Bonds; Election of 2004, Series 2005 | 2,181,375 | 3.8% | |
9 | California Health Facilities Financing Authority | Kaiser Permanente Revenue Bonds, Series 2017A-1 | 2,163,793 | 3.7% | |
10 | Los Angeles Department of Water & Power | Water System Revenue Bonds, 2012 Series A | 2,108,090 | 3.6% |
U.S. Government Securities Fund
Security | Maturity | Market | Percentage | ||
1 | United States Treasury Note | 08/15/2027 | $ 4,080,102 | 19.5% | |
2 | United States Treasury Note | 02/15/2022 | 2,953,411 | 14.1% | |
3 | United States Treasury Note | 08/15/2023 | 2,745,641 | 13.1% | |
4 | United States Treasury Note | 05/15/2025 | 2,339,648 | 11.2% | |
5 | United States Treasury Note | 02/29/2024 | 1,370,230 | 6.5% | |
6 | United States Treasury Note | 11/15/2028 | 1,365,235 | 6.5% | |
7 | United States Treasury Note | 08/15/2021 | 1,211,587 | 5.8% | |
8 | United States Treasury Bond | 02/15/2026 | 1,004,875 | 4.8% | |
9 | United States Treasury Note | 05/15/2037 | 724,141 | 3.5% | |
10 | United States Treasury Bill | 05/20/2021 | 699,942 | 3.3% |
The United States Treasury Trust
Security | Maturity | Market | Percentage | ||
1 | United States Treasury Bill | 04/13/2021 | $ 3,399,866 | 9.6% | |
2 | United States Treasury Bill | 03/11/2021 | 3,299,911 | 9.3% | |
3 | United States Treasury Bill | 04/08/2021 | 3,299,701 | 9.3% | |
4 | United States Treasury Bill | 03/09/2021 | 3,199,931 | 9.0% | |
5 | United States Treasury Bill | 06/03/2021 | 3,199,603 | 9.0% | |
6 | United States Treasury Bill | 05/04/2021 | 3,199,494 | 9.0% | |
7 | United States Treasury Bill | 03/16/2021 | 2,999,890 | 8.5% | |
8 | United States Treasury Bill | 05/27/2021 | 2,999,703 | 8.5% | |
9 | United States Treasury Bill | 05/20/2021 | 2,799,806 | 7.9% | |
10 | United States Treasury Bill | 05/13/2021 | 2,699,511 | 7.6% |
3
Top Holdings and Sector Breakdowns (Unaudited) (Continued) | February 28, 2021 |
S&P 500 Index Fund
Security | Market | Percentage | ||
1 | Apple Inc | $ 12,655,179 | 6.0% | |
2 | Microsoft Corp | 11,473,530 | 5.5% | |
3 | Amazon.com Inc | 8,613,790 | 4.1% | |
4 | Facebook Inc | 4,044,892 | 1.9% | |
5 | Alphabet Inc - Class A | 3,969,009 | 1.9% | |
6 | Alphabet Inc - Class C | 3,859,850 | 1.8% | |
7 | Tesla Inc | 3,345,076 | 1.6% | |
8 | Berkshire Hathaway Inc | 3,052,072 | 1.5% | |
9 | JPMorgan Chase & Co | 2,930,008 | 1.4% | |
10 | Johnson & Johnson | 2,724,561 | 1.3% |
S&P MidCap Index Fund
Security | Market | Percentage | ||
1 | Generac Holdings Inc | $ 1,147,520 | 0.9% | |
2 | Caesars Entertainment Inc | 1,078,578 | 0.9% | |
3 | Penn National Gaming Inc | 946,849 | 0.8% | |
4 | Monolithic Power Systems Inc | 881,246 | 0.7% | |
5 | SolarEdge Technologies Inc | 844,814 | 0.7% | |
6 | PTC Inc | 799,319 | 0.7% | |
7 | Cognex Corp | 798,232 | 0.7% | |
8 | Charles River Laboratories International Inc | 793,752 | 0.6% | |
9 | Bio-Techne Corp | 778,719 | 0.6% | |
10 | Fair Isaac Corp | 749,009 | 0.6% |
S&P SmallCap Index Fund
Security | Market | Percentage | ||
1 | NeoGenomics Inc | $ 381,135 | 0.6% | |
2 | GameStop Corp | 372,063 | 0.6% | |
3 | MicroStrategy Inc | 364,699 | 0.6% | |
4 | Cleveland-Cliffs Inc | 358,059 | 0.5% | |
5 | Omnicell Inc | 357,224 | 0.5% | |
6 | Power Integrations Inc | 355,159 | 0.5% | |
7 | Saia Inc | 352,532 | 0.5% | |
8 | Crocs Inc | 348,002 | 0.5% | |
9 | Chart Industries Inc | 338,980 | 0.5% | |
10 | Exponent Inc | 334,751 | 0.5% |
Shelton Core Value Fund
Security | Market | Percentage | ||
1 | Apple Inc | $ 4,935,282 | 2.8% | |
2 | Amazon.com Inc | 4,639,395 | 2.6% | |
3 | Microsoft Corp | 4,182,840 | 2.4% | |
4 | Mastercard Inc | 3,538,500 | 2.0% | |
5 | Chevron Corp | 3,520,000 | 2.0% | |
6 | The Goldman Sachs Group Inc | 3,514,280 | 2.0% | |
7 | Morgan Stanley | 3,459,150 | 1.9% | |
8 | JPMorgan Chase & Co | 3,384,910 | 1.9% | |
9 | Bank of America Corp | 3,123,900 | 1.8% | |
10 | Verizon Communications Inc | 3,002,790 | 1.7% |
4
Top Holdings and Sector Breakdowns (Unaudited) (Continued) | February 28, 2021 |
Nasdaq-100 Index Fund
Security | Market | Percentage | ||
1 | Apple Inc | $ 109,947,048 | 11.0% | |
2 | Microsoft Corp | 93,696,080 | 9.4% | |
3 | Amazon.com Inc | 82,763,714 | 8.3% | |
4 | Tesla Inc | 42,259,280 | 4.2% | |
5 | Alphabet Inc - Class C | 35,832,441 | 3.6% | |
6 | Facebook Inc | 33,027,399 | 3.3% | |
7 | Alphabet Inc - Class A | 32,415,261 | 3.2% | |
8 | NVIDIA Corp | 27,556,819 | 2.8% | |
9 | PayPal Holdings Inc | 24,708,097 | 2.5% | |
10 | Intel Corp | 20,213,361 | 2.0% |
Shelton Green Alpha Fund
Security | Market | Percentage | ||
1 | Brookfield Renewable Corp | $ 12,514,780 | 5.1% | |
2 | Vestas Wind Systems A/S | 11,313,000 | 4.6% | |
3 | JinkoSolar Holding Co Ltd | 11,294,800 | 4.6% | |
4 | Moderna Inc | 11,146,320 | 4.5% | |
5 | Tesla Inc | 10,132,500 | 4.1% | |
6 | Taiwan Semiconductor Manufacturing Co Ltd | 9,571,440 | 3.9% | |
7 | Applied Materials Inc | 9,455,200 | 3.8% | |
8 | Daqo New Energy Corp | 9,382,500 | 3.8% | |
9 | CRISPR Therapeutics AG | 8,672,610 | 3.5% | |
10 | SunPower Corp | 6,606,300 | 2.7% |
Green California Tax-Free Income Fund | Portfolio of Investments (Unaudited) | 2/28/21 |
Security Description | Par Value | Value | ||||||
Municipal Bonds (97.46%) | ||||||||
BUTTE-GLENN COMMUNITY COLLEGE DISTRICT | ||||||||
General Obligation Refunding Bond; 2012, 4.000%, 08/01/2026 | $ | 1,000,000 | $ | 1,047,850 | ||||
CALIFORNIA HEALTH FACILITIES FINANCING AUTHORITY | ||||||||
Kaiser Permanente Revenue Bonds, Series 2017A-1, 5.000%, 11/01/2027 | 1,700,000 | 2,163,793 | ||||||
CALIFORNIA HOUSING FINANCE | ||||||||
Class A Certificates; Series 2019-2, 4.000%, 03/20/2033 | 368,359 | 413,361 | ||||||
CALIFORNIA INFRASTRUCTURE & ECONOMIC DEVELOPMENT BANK | ||||||||
Clean Water State Revolving Fund Revenue Bonds, Series 2016 (Green Bonds), 5.000%, 10/01/2033 | 1,200,000 | 1,447,404 | ||||||
CALIFORNIA MUNICIPAL FINANCE AUTHORITY | ||||||||
University of San Diego Revenue Bonds, 2019, 5.000%, 10/01/2044 | 480,000 | 582,485 | ||||||
Student Housing Revenue Bonds West Village Studing Housing Project; Series 2018, 5.000%, 05/15/2038 | 800,000 | 946,696 | ||||||
CALIFORNIA STATE UNIVERSITY | ||||||||
Systemwide Revenue Bonds; Series 2012A, 4.000%, 11/01/2030 | 1,100,000 | 1,170,917 | ||||||
CALIFORNIA STATEWIDE COMMUNITIES DEVELOPMENT AUTHORITY | ||||||||
General Revenue Bonds; 2016, 4.000%, 08/15/2046 | 500,000 | 542,235 | ||||||
CITY & COUNTY OF SAN FRANCISCO CA | ||||||||
General Obligation Bonds (Clean and Safe Neighborhood Parks Bonds, 2012); Series 2013A, 4.000%, 06/01/2033 | 1,000,000 | 1,009,500 | ||||||
CITY OF LOS ANGELES CA | ||||||||
General Obligation Bonds; 2012-A, 5.000%, 09/01/2021 | 2,000,000 | 2,048,500 | ||||||
CITY OF LOS ANGELES CA WASTEWATER SYSTEM REVENUE | ||||||||
Los Angeles CA Wastewater System Revenue Bond; Series 2015-A (Green Bonds), 5.000%, 06/01/2044 | 500,000 | 575,750 | ||||||
Los Angeles CA Wastewater System Subordinate Revenue Bond; Series 2017-A (Green Bonds), 5.250%, 06/01/2047 | 1,500,000 | 1,820,160 |
5
Green California Tax-Free Income Fund | Portfolio of Investments (Unaudited) (Continued) | 2/28/21 |
Security Description | Par Value | Value | ||||||
CITY OF ROSEVILLE CA ELECTRIC SYSTEM REVENUE | ||||||||
Electric System Revenue Refunding Bonds; Series 2013, 5.000%, 02/01/2025 | $ | 750,000 | $ | 834,525 | ||||
CITY OF SAN FRANCISCO CA PUBLIC UTILITIES COMMISSION WATER REVENUE | ||||||||
San Francisco Water Revenue Bonds; 2017 Sub-Series D Bonds (Refunding) (Green Bonds), 5.000%, 11/01/2034 | 1,000,000 | 1,244,060 | ||||||
EAST BAY MUNICIPAL UTILITY DISTRICT WATER SYSTEM REVENUE | ||||||||
Water System Revenue Bonds; 2015 Series B, 5.000%, 06/01/2026 | 2,050,000 | 2,439,111 | ||||||
EAST SIDE UNION HIGH SCHOOL DISTRICT | ||||||||
General Obligation Refunding Bonds (2012 Crossover); 2006, 5.250%, 09/01/2023 | 2,975,000 | 3,340,360 | ||||||
FOOTHILL-DE ANZA COMMUNITY COLLEGE DISTRICT | ||||||||
Election of 1999 General Obligation Bonds; Series C, 0.000%, 08/01/2027 | 2,000,000 | 1,858,840 | ||||||
LA MIRADA REDEVELOPMENT AGENCY SUCCESSOR AGENCY | ||||||||
Subordinate Tax Allocation Refunding Bonds; 2014 Series A, 5.000%, 08/01/2023 | 1,000,000 | 1,109,180 | ||||||
LOS ANGELES COMMUNITY COLLEGE DISTRICT/CA | ||||||||
General Obligation Bonds; 2008 Election, Series G, 5.000%, 08/01/2028 | 865,000 | 1,002,016 | ||||||
LOS ANGELES COUNTY METROPOLITAN TRANSPORTATION AUTHORITY | ||||||||
Proposition A First Tier Senior Sales Tax Revenue Refunding Bonds; Series 2016-A, 4.000%, 07/01/2028 | 500,000 | 569,240 | ||||||
Proposition A First Tier Senior Sales Tax Revenue Refunding Bonds; Series 2012-A, 5.000%, 07/01/2021 | 1,000,000 | 1,016,120 | ||||||
Proposition C Sales Tax Revenue Refunding Bonds; Senior Bonds; Series 2013-A, 5.000%, 07/01/2023 | 1,500,000 | 1,666,545 | ||||||
LOS ANGELES DEPARTMENT OF WATER & POWER | ||||||||
Water System Revenue Bonds, 2012 Series A, 5.000%, 07/01/2037 | 1,985,000 | 2,108,090 | ||||||
LOS RIOS COMMUNITY COLLEGE DISTRICT | ||||||||
General Obligation Bonds; 2008 Election, Series B, 5.000%, 08/01/2032 | 2,500,000 | 2,767,025 | ||||||
MIDPENINSULA REGIONAL OPEN SPACE DISTRICT | ||||||||
CA Green Bonds Refunding; Series 2016A and 2016 Refunding; Series B, 4.000%, 09/01/2021 | 200,000 | 203,856 | ||||||
MOUNT SAN ANTONIO COMMUNITY COLLEGE DISTRICT | ||||||||
General Obligation Refunding Bonds 2013A, 5.000%, 08/01/2034 | 2,345,000 | 2,615,308 | ||||||
PORT OF LOS ANGELES | ||||||||
Revenue Bonds 2014; Series C, 4.000%, 08/01/2023 | 290,000 | 314,615 | ||||||
SACRAMENTO MUNICIPAL UTILITY DISTRICT | ||||||||
Electric Revenue Bonds; 1997 Series K, 5.250%, 07/01/2024 | 1,000,000 | 1,091,670 | ||||||
SAN DIEGO COMMUNITY COLLEGE DISTRICT | ||||||||
General Obligation Bonds; Election of 2002, Series 2013, 5.000%, 08/01/2027 | 1,175,000 | 1,310,442 | ||||||
SAN FRANCISCO BAY AREA RAPID TRANSIT DISTRICT | ||||||||
San Francisco BART District GO Bonds 2017 Series A-1 (Green Bonds), 4.000%, 08/01/2034 | 645,000 | 755,650 | ||||||
San Francisco BART District GO Bonds (Election of 2004) 2017 Refunding Series E (Green Bonds), 5.000%, 08/01/2036 | 2,300,000 | 2,840,637 | ||||||
SAN FRANCISCO CITY & COUNTY PUBLIC UTILITIES COMMISSION POWER REVENUE | ||||||||
San Francisco City & County Public Utilities Commission Power Revenue 2015; Series A, 5.000%, 11/01/2030 | 680,000 | 799,122 | ||||||
San Francisco City & County Public Utilities Commission Power Revenue 2015; Series A, 5.000%, 11/01/2036 | 1,170,000 | 1,362,910 | ||||||
San Francisco City & County Public Utilities Commission Water Revenue Bonds 2013; Series A (Refunding), 4.000%, 10/01/2021 | 700,000 | 715,799 | ||||||
SAN MATEO FOSTER CITY PUBLIC FINANCING AUTHORITY | ||||||||
City of San Mateo Wastewater Revenue Bonds 2019 (Clean Water Program), 4.000%, 08/01/2044 | 2,000,000 | 2,323,040 | ||||||
SANTA CLARA VALLEY TRANSPORTATION AUTHORITY | ||||||||
2000 Measure A Sales Tax Revenue Refunding Bonds; 2015 Series A, 5.000%, 04/01/2034 | 1,000,000 | 1,182,430 | ||||||
SANTA MARIA JOINT UNION HIGH SCHOOL DISTRICT | ||||||||
General Obligation Bonds; Election of 2004, Series 2005, 0.000%, 08/01/2029 | 2,500,000 | 2,181,375 | ||||||
STATE OF CALIFORNIA | ||||||||
Various Purpose General Obligation Bonds (Green Bonds), 3.000%, 10/01/2028 | 900,000 | 963,684 | ||||||
TURLOCK IRRIGATION DISTRICT | ||||||||
Revenue Refunding Bonds; 2019, 5.000%, 01/01/2036 | 300,000 | 386,706 | ||||||
UNIVERSITY OF CALIFORNIA | ||||||||
General Revenue Bonds; 2014 Series AM, 5.000%, 05/01/2029 | 925,000 | 1,056,379 | ||||||
WILLIAM S HART UNION HIGH SCHOOL DISTRICT | ||||||||
General Obligation Bonds; Election2001 2005, Series B, 0.000%, 09/01/2029 | 3,595,000 | 3,140,304 | ||||||
Total Municipal Bonds (Cost $52,880,785) | 56,967,690 | |||||||
Variable Rate Demand Notes* (1.71%) | ||||||||
Variable Rate General Obligation Bonds; Series 2004B1, 0.010%, 05/01/2034**,*** | 200,000 | 200,000 | ||||||
Water Revenue Bonds Authorization; Series 2017A, 0.020%, 07/01/2047**,*** | 800,000 | 800,000 | ||||||
Total Variable Rate Demand Notes (Cost $1,000,000) | 1,000,000 | |||||||
Total Investments (Cost $53,880,785)(a) (99.17%) | $ | 57,967,690 | ||||||
Other Net Assets (0.83%) | 480,038 | |||||||
Net Assets (100.00%) | $ | 58,447,728 |
See accompanying notes to financial statements.
6
Green California Tax-Free Income Fund | Portfolio of Investments (Unaudited) (Continued) | 2/28/21 |
(a) Aggregate cost for federal income tax purposes is $53,878,990. |
At February 28, 2021, unrealized appreciation/(depreciation) of securities for federal income tax purposes is as follows: |
Unrealized appreciation | $ | 4,098,722 | ||
Unrealized depreciation | (10,022 | ) | ||
Net unrealized appreciation | $ | 4,088,700 |
Because tax adjustments are calculated annually, the above tax figures reflect the tax adjustments outstanding at the Fund’s previous fiscal year end. For the previous fiscal year’s federal income tax information, please refer to the Notes to Financial Statements section in the Fund’s most recent semi-annual and annual reports. |
* 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 February 28, 2021 |
U.S. Government Securities Fund | Portfolio of Investments (Unaudited) | 2/28/21 |
Security Description | Par Value | Value | ||||||
Government National Mortgage Association (2.66%) | ||||||||
3.500%, 11/20/2044 | $ | 199,138 | $ | 214,233 | ||||
5.000%, 03/15/2038 | 88,143 | 100,883 | ||||||
5.500%, 01/15/2025 | 21,703 | 24,047 | ||||||
5.500%, 04/15/2036 | 95,239 | 112,210 | ||||||
6.000%, 01/15/2026 | 64,554 | 73,319 | ||||||
6.000%, 06/15/2038 | 33,692 | 39,720 | ||||||
Total Government National Mortgage Association (Cost $509,481) | 564,412 | |||||||
United States Treasury Bonds (14.68%) | ||||||||
2.250%, 08/15/2046 | 400,000 | 404,906 | ||||||
2.750%, 08/15/2042 | 400,000 | 445,469 | ||||||
5.000%, 05/15/2037 | 500,000 | 724,141 | ||||||
6.000%, 02/15/2026 | 800,000 | 1,004,875 | ||||||
6.375%, 08/15/2027 | 400,000 | 533,906 | ||||||
Total United States Treasury Bonds (Cost $2,890,362) | 3,113,297 | |||||||
United States Treasury Notes (78.10%) | ||||||||
0.375%, 03/31/2022 | 500,000 | 501,465 | ||||||
2.000%, 02/15/2022 | 2,900,000 | 2,953,411 | ||||||
2.125%, 08/15/2021 | 1,200,000 | 1,211,587 | ||||||
2.125%, 02/29/2024 | 1,300,000 | 1,370,230 | ||||||
2.125%, 05/15/2025 | 2,200,000 | 2,339,648 | ||||||
2.250%, 08/15/2027 | 3,800,000 | 4,080,102 | ||||||
2.500%, 08/15/2023 | 2,600,000 | 2,745,641 | ||||||
3.125%, 11/15/2028 | 1,200,000 | 1,365,234 | ||||||
Total United States Treasury Notes (Cost $15,988,960) | 16,567,318 | |||||||
United States Treasury Bills (3.30%) | ||||||||
0.000%, 05/20/2021 (Cost $699,943) | 700,000 | 699,942 | ||||||
Total Investments (Cost $20,088,746)(a) (98.74%) | 20,944,969 | |||||||
Other Net Assets (1.26%) | 268,010 | |||||||
Net Assets (100.00%) | 21,212,979 |
(a) Aggregate cost for federal income tax purposes is $20,089,506. |
At February 28, 2021, unrealized appreciation/(depreciation) of securities for federal income tax purposes is as follows: |
Unrealized appreciation | $ | 860,752 | ||
Unrealized depreciation | (5,289 | ) | ||
Net unrealized appreciation | $ | 855,463 | ||
Because tax adjustments are calculated annually, the above tax figures reflect the tax adjustments outstanding at the Fund’s previous fiscal year end. For the previous fiscal year’s federal income tax information, please refer to the Notes to Financial Statements section in the Fund’s most recent semi-annual and annual reports. |
See accompanying notes to financial statements.
7
The United States Treasury Trust | Portfolio of Investments (Unaudited) | 2/28/21 |
Security Description | Par Value | Value | ||||||
United States Treasury Bills, DN(a) (99.73%) | ||||||||
03/09/2021 | $ | 3,200,000 | $ | 3,199,931 | ||||
03/11/2021 | 3,300,000 | 3,299,911 | ||||||
03/16/2021 | 3,000,000 | 2,999,890 | ||||||
03/23/2021 | 2,000,000 | 1,999,917 | ||||||
04/08/2021 | 3,300,000 | 3,299,701 | ||||||
04/13/2021 | 3,400,000 | 3,399,866 | ||||||
04/22/2021 | 2,400,000 | 2,399,725 | ||||||
05/04/2021 | 3,200,000 | 3,199,495 | ||||||
05/13/2021 | 2,700,000 | 2,699,511 | ||||||
05/20/2021 | 2,800,000 | 2,799,806 | ||||||
05/27/2021 | 3,000,000 | 2,999,703 | ||||||
06/03/2021 | 3,200,000 | 3,199,603 | ||||||
Total United States Treasury Bills, DN (Cost $35,497,059) | 35,497,059 | |||||||
Total Investments (Cost $35,497,059)(b) (99.73%) | $ | 35,497,059 | ||||||
Other Net Assets (0.27%) | 95,164 | |||||||
Net Assets (100.00%) | $ | 35,592,223 |
(a) Discount Note. Yield to maturity is between 0.01% - 0.04%. |
(b) Aggregate cost for federal income tax purposes is $35,497,059. |
Because tax adjustments are calculated annually, the above tax figure reflects the tax adjustments outstanding at the Fund’s previous fiscal year end. For the previous fiscal year’s federal income tax information, please refer to the Notes to Financial Statements section in the Fund’s most recent semi-annual and annual reports. |
S&P 500 Index Fund | Portfolio of Investments (Unaudited) | 2/28/21 |
Security Description | Shares | Value | ||||||
Common Stock (99.84%) | ||||||||
Basic Materials (1.95%) | ||||||||
Air Products and Chemicals Inc | 1,458 | $ | 372,694 | |||||
Albemarle Corp | 729 | 114,606 | ||||||
Celanese Corp | 763 | 105,988 | ||||||
CF Industries Holdings Inc | 1,457 | 65,973 | ||||||
Dow Inc | 4,894 | 290,263 | ||||||
DuPont de Nemours Inc | 93 | 6,540 | ||||||
Eastman Chemical Co | 893 | 97,569 | ||||||
Ecolab Inc | 1,622 | 339,582 | ||||||
FMC Corp | 891 | 90,606 | ||||||
Freeport-McMoRan Inc* | 9,489 | 321,772 | ||||||
International Flavors & Fragrances Inc | 683 | 92,553 | ||||||
International Paper Co | 2,697 | 133,906 | ||||||
Linde PLC | 3,428 | 837,358 | ||||||
LyondellBasell Industries NV | 1,766 | 182,057 | ||||||
The Mosaic Co | 2,068 | 60,799 | ||||||
Newmont Corp | 5,247 | 285,332 | ||||||
Nucor Corp | 2,085 | 124,725 | ||||||
PPG Industries Inc | 1,558 | 210,050 | ||||||
The Sherwin-Williams Co | 533 | 362,621 | ||||||
Total Basic Materials | 4,094,994 | |||||||
Communications (16.36%) | ||||||||
Alphabet Inc - Class A* | 1,963 | 3,969,009 | ||||||
Alphabet Inc - Class C* | 1,895 | 3,859,850 | ||||||
Amazon.com Inc*,(a) | 2,785 | 8,613,790 | ||||||
Arista Networks Inc* | 366 | 102,421 | ||||||
AT&T Inc | 46,543 | 1,298,084 | ||||||
Booking Holdings Inc* | 270 | 628,698 | ||||||
CDW Corp | 988 | 155,007 | ||||||
Charter Communications Inc* | 953 | 584,589 | ||||||
Cisco Systems Inc | 27,599 | $ | 1,238,367 | |||||
Comcast Corp | 29,822 | 1,572,216 | ||||||
Corning Inc | 4,990 | 190,818 | ||||||
Discovery Inc - Class A* | 1,116 | 59,181 | ||||||
Discovery Inc - Class C* | 1,878 | 84,510 | ||||||
DISH Network Corp* | 1,784 | 56,214 | ||||||
eBay Inc | 4,277 | 241,308 | ||||||
Etsy Inc* | 797 | 175,555 | ||||||
Expedia Group Inc | 887 | 142,807 | ||||||
F5 Networks Inc* | 424 | 80,552 | ||||||
Facebook Inc*,(a) | 15,701 | 4,044,892 | ||||||
Fox Corp - Class A | 2,335 | 77,779 | ||||||
Fox Corp - Class B | 1,242 | 39,657 | ||||||
The Interpublic Group of Cos Inc | 2,667 | 69,662 | ||||||
Juniper Networks Inc | 2,302 | 53,591 | ||||||
Lumen Technologies Inc | 6,449 | 79,258 | ||||||
Motorola Solutions Inc | 1,134 | 198,994 | ||||||
Netflix Inc* | 2,885 | 1,554,582 | ||||||
News Corp - Class A | 2,672 | 62,658 | ||||||
News Corp - Class B | 910 | 20,857 | ||||||
NortonLifeLock Inc | 4,015 | 78,333 | ||||||
Omnicom Group Inc | 1,536 | 105,569 | ||||||
T-Mobile US Inc* | 3,810 | 457,086 | ||||||
Twitter Inc* | 5,110 | 393,777 | ||||||
VeriSign Inc* | 689 | 133,687 | ||||||
Verizon Communications Inc | 27,028 | 1,494,648 | ||||||
ViacomCBS Inc | 3,816 | 246,094 | ||||||
The Walt Disney Co* | 11,825 | 2,235,398 | ||||||
Total Communications | 34,399,498 | |||||||
Consumer, Cyclical (9.55%) | ||||||||
Advance Auto Parts Inc | 476 | 76,327 | ||||||
Alaska Air Group Inc | 963 | 62,614 | ||||||
American Airlines Group Inc | 3,057 | $ | 64,014 | |||||
Aptiv PLC | 1,804 | 270,311 | ||||||
AutoZone Inc* | 151 | 175,148 | ||||||
Best Buy Co Inc | 1,549 | 155,442 | ||||||
BorgWarner Inc | 1,412 | 63,540 | ||||||
CarMax Inc* | 1,131 | 135,166 | ||||||
Carnival Corp | 2,827 | 75,622 | ||||||
Chipotle Mexican Grill Inc* | 175 | 252,350 | ||||||
Copart Inc* | 1,407 | 153,588 | ||||||
Costco Wholesale Corp | 2,881 | 953,611 | ||||||
Cummins Inc | 966 | 244,591 | ||||||
Darden Restaurants Inc | 850 | 116,731 | ||||||
Delta Air Lines Inc | 4,086 | 195,883 | ||||||
Dollar General Corp | 1,600 | 302,384 | ||||||
Dollar Tree Inc* | 1,536 | 150,835 | ||||||
Domino’s Pizza Inc | 266 | 92,172 | ||||||
DR Horton Inc | 2,165 | 166,424 | ||||||
Fastenal Co | 3,749 | 173,841 | ||||||
Ford Motor Co* | 25,804 | 301,907 | ||||||
The Gap Inc* | 1,450 | 36,178 | ||||||
General Motors Co | 8,316 | 426,860 | ||||||
Genuine Parts Co | 999 | 105,245 | ||||||
Hanesbrands Inc | 2,371 | 41,943 | ||||||
Hasbro Inc | 832 | 77,967 | ||||||
Hilton Worldwide Holdings Inc | 1,889 | 233,632 | ||||||
The Home Depot Inc | 7,031 | 1,816,389 | ||||||
L Brands Inc | 1,525 | 83,357 | ||||||
Las Vegas Sands Corp | 2,145 | 134,277 | ||||||
Leggett & Platt Inc | 1,017 | 44,006 | ||||||
Lennar Corp | 1,796 | 149,014 | ||||||
Live Nation Entertainment Inc* | 1,003 | 89,127 | ||||||
LKQ Corp* | 1,848 | 72,793 | ||||||
Lowe’s Cos Inc | 4,785 | 764,404 | ||||||
Marriott International Inc | 1,737 | 257,198 |
See accompanying notes to financial statements.
8
S&P 500 Index Fund | Portfolio of Investments (Unaudited) (Continued) | 2/28/21 |
Security Description | Shares | Value | ||||||
McDonald’s Corp | 4,866 | $ | 1,003,077 | |||||
MGM Resorts International | 2,752 | 103,998 | ||||||
Mohawk Industries Inc* | 390 | 68,246 | ||||||
Newell Brands Inc | 2,691 | 62,350 | ||||||
NIKE Inc | 8,220 | 1,107,892 | ||||||
Norwegian Cruise Line Holdings Ltd* | 1,599 | 47,266 | ||||||
NVR Inc* | 23 | 103,519 | ||||||
O’Reilly Automotive Inc* | 473 | 211,587 | ||||||
PACCAR Inc | 2,262 | 205,819 | ||||||
Pool Corp | 269 | 90,053 | ||||||
PulteGroup Inc | 1,717 | 77,454 | ||||||
PVH Corp | 464 | 46,381 | ||||||
Ralph Lauren Corp | 314 | 36,763 | ||||||
Ross Stores Inc | 2,378 | 277,370 | ||||||
Royal Caribbean Cruises Ltd | 1,236 | 115,282 | ||||||
Southwest Airlines Co | 3,416 | 198,572 | ||||||
Starbucks Corp | 7,666 | 828,158 | ||||||
Tapestry Inc | 1,811 | 76,316 | ||||||
Target Corp | 3,305 | 606,269 | ||||||
Tesla Inc* | 4,952 | 3,345,076 | ||||||
The TJX Cos Inc | 7,918 | 522,509 | ||||||
Tractor Supply Co | 760 | 120,810 | ||||||
Ulta Beauty Inc* | 393 | 126,676 | ||||||
Under Armour Inc - Class A* | 1,210 | 26,487 | ||||||
Under Armour Inc - Class C* | 1,218 | 22,168 | ||||||
United Airlines Holdings Inc* | 1,732 | 91,242 | ||||||
VF Corp | 2,109 | 166,885 | ||||||
Walgreens Boots Alliance Inc | 4,694 | 224,983 | ||||||
Walmart Inc | 9,054 | 1,176,296 | ||||||
Whirlpool Corp | 434 | 82,495 | ||||||
WW Grainger Inc | 300 | 111,813 | ||||||
Wynn Resorts Ltd | 526 | 69,290 | ||||||
Yum! Brands Inc | 1,990 | 206,025 | ||||||
Total Consumer, Cyclical | 20,074,018 | |||||||
Consumer, Non-Cyclical (20.29%) | ||||||||
Abbott Laboratories | 11,576 | 1,386,573 | ||||||
AbbVie Inc | 11,531 | 1,242,350 | ||||||
ABIOMED Inc* | 310 | 100,611 | ||||||
Alexion Pharmaceuticals Inc* | 1,429 | 218,280 | ||||||
Align Technology Inc* | 473 | 268,243 | ||||||
Altria Group Inc | 12,272 | 535,059 | ||||||
AmerisourceBergen Corp | 1,034 | 104,661 | ||||||
Amgen Inc | 3,802 | 855,146 | ||||||
Anthem Inc | 1,624 | 492,381 | ||||||
Archer-Daniels-Midland Co | 3,634 | 205,612 | ||||||
Automatic Data Processing Inc | 2,839 | 494,043 | ||||||
Avery Dennison Corp | 567 | 99,344 | ||||||
Baxter International Inc | 3,336 | 259,174 | ||||||
Becton Dickinson and Co | 1,860 | 448,539 | ||||||
Biogen Inc* | 1,005 | 274,244 | ||||||
Bio-Rad Laboratories Inc* | 147 | 85,922 | ||||||
Boston Scientific Corp* | 9,352 | 362,671 | ||||||
Bristol-Myers Squibb Co | 14,884 | 912,836 | ||||||
Brown-Forman Corp | 1,285 | 91,980 | ||||||
Campbell Soup Co | 1,162 | 52,848 | ||||||
Cardinal Health Inc | 1,916 | 98,712 | ||||||
Catalent Inc* | 1,096 | 124,626 | ||||||
Centene Corp* | 3,919 | 229,418 | ||||||
Church & Dwight Co Inc | 1,688 | 132,930 | ||||||
Cigna Corp | 2,359 | 495,154 | ||||||
Cintas Corp | 576 | 186,820 | ||||||
The Clorox Co | 863 | 156,246 | ||||||
The Coca-Cola Co | 25,261 | 1,237,536 | ||||||
Colgate-Palmolive Co | 5,662 | 425,782 | ||||||
Conagra Brands Inc | 2,987 | $ | 101,349 | |||||
Constellation Brands Inc | 1,109 | 237,481 | ||||||
The Cooper Cos Inc | 341 | 131,670 | ||||||
Corteva Inc | 4,866 | 219,700 | ||||||
CVS Health Corp | 8,549 | 582,443 | ||||||
Danaher Corp | 4,129 | 907,017 | ||||||
DaVita Inc* | 482 | 49,227 | ||||||
DENTSPLY SIRONA Inc | 1,160 | 61,561 | ||||||
DexCom Inc* | 627 | 249,408 | ||||||
Edwards Lifesciences Corp* | 4,070 | 338,217 | ||||||
Eli Lilly and Co | 5,185 | 1,062,355 | ||||||
Equifax Inc | 794 | 128,533 | ||||||
The Estee Lauder Cos Inc | 1,489 | 425,646 | ||||||
FleetCor Technologies Inc* | 571 | 158,344 | ||||||
Gartner Inc* | 615 | 110,110 | ||||||
General Mills Inc | 3,992 | 219,600 | ||||||
Gilead Sciences Inc | 8,279 | 508,331 | ||||||
Global Payments Inc | 1,976 | 391,228 | ||||||
HCA Healthcare Inc | 1,723 | 296,408 | ||||||
Henry Schein Inc* | 1,009 | 62,407 | ||||||
The Hershey Co | 1,020 | 148,563 | ||||||
Hologic Inc* | 1,678 | 120,967 | ||||||
Hormel Foods Corp | 1,912 | 88,659 | ||||||
Humana Inc | 864 | 328,018 | ||||||
IDEXX Laboratories Inc* | 557 | 289,735 | ||||||
IHS Markit Ltd | 2,507 | 226,031 | ||||||
Illumina Inc* | 953 | 418,758 | ||||||
Incyte Corp* | 1,229 | 96,673 | ||||||
Intuitive Surgical Inc* | 772 | 568,810 | ||||||
IQVIA Holdings Inc* | 1,146 | 220,937 | ||||||
The J M Smucker Co | 745 | 83,440 | ||||||
Johnson & Johnson | 17,194 | 2,724,561 | ||||||
Kellogg Co | 1,661 | 95,856 | ||||||
Kimberly-Clark Corp | 2,221 | 285,021 | ||||||
The Kraft Heinz Co | 4,282 | 155,779 | ||||||
The Kroger Co | 5,057 | 162,886 | ||||||
Laboratory Corp of America Holdings* | 636 | 152,583 | ||||||
Lamb Weston Holdings Inc | 955 | 76,180 | ||||||
MarketAxess Holdings Inc | 260 | 144,544 | ||||||
McCormick & Co Inc | 1,700 | 143,276 | ||||||
McKesson Corp | 1,048 | 177,657 | ||||||
Medtronic PLC | 8,791 | 1,028,283 | ||||||
Merck & Co Inc | 16,525 | 1,200,046 | ||||||
Molson Coors Beverage Co | 1,200 | 53,340 | ||||||
Mondelez International Inc | 9,432 | 501,405 | ||||||
Monster Beverage Corp* | 2,413 | 211,717 | ||||||
Moody’s Corp | 1,054 | 289,734 | ||||||
Nielsen Holdings PLC | 1,879 | 42,108 | ||||||
PayPal Holdings Inc* | 7,652 | 1,988,372 | ||||||
PepsiCo Inc | 9,026 | 1,166,069 | ||||||
PerkinElmer Inc | 784 | 98,855 | ||||||
Perrigo Co PLC | 677 | 27,324 | ||||||
Pfizer Inc | 36,304 | 1,215,821 | ||||||
Philip Morris International Inc | 10,171 | 854,567 | ||||||
The Procter & Gamble Co | 16,195 | 2,000,568 | ||||||
Quanta Services Inc | 1,004 | 84,185 | ||||||
Quest Diagnostics Inc | 880 | 101,719 | ||||||
Regeneron Pharmaceuticals Inc* | 698 | 314,498 | ||||||
ResMed Inc | 946 | 182,370 | ||||||
Robert Half International Inc | 808 | 62,854 | ||||||
Rollins Inc | 693 | 22,987 | ||||||
S&P Global Inc | 1,591 | 524,012 | ||||||
STERIS PLC | 603 | 105,404 | ||||||
Stryker Corp | 2,135 | 518,143 | ||||||
Sysco Corp | 3,326 | 264,849 | ||||||
Teleflex Inc | 318 | $ | 126,602 | |||||
Thermo Fisher Scientific Inc | 2,588 | 1,164,807 | ||||||
Tyson Foods Inc | 1,921 | 129,994 | ||||||
United Rentals Inc* | 491 | 146,014 | ||||||
UnitedHealth Group Inc | 6,197 | 2,058,767 | ||||||
Universal Health Services Inc | 552 | 69,182 | ||||||
Varian Medical Systems Inc* | 643 | 112,699 | ||||||
Verisk Analytics Inc | 1,061 | 173,845 | ||||||
Vertex Pharmaceuticals Inc* | 1,698 | 360,910 | ||||||
Viatris Inc* | 4,634 | 68,815 | ||||||
West Pharmaceutical Services Inc | 509 | 142,851 | ||||||
Zimmer Biomet Holdings Inc | 1,338 | 218,174 | ||||||
Zoetis Inc | 3,137 | 486,988 | ||||||
Total Consumer, Non-Cyclical | 42,646,588 | |||||||
Energy (2.87%) | ||||||||
APA Corp | 2,792 | 55,086 | ||||||
Baker Hughes Co | 3,384 | 82,840 | ||||||
Cabot Oil & Gas Corp | 2,603 | 48,182 | ||||||
Chevron Corp | 12,573 | 1,257,300 | ||||||
ConocoPhillips | 8,708 | 452,903 | ||||||
Devon Energy Corp | 2,767 | 59,601 | ||||||
Diamondback Energy Inc | 1,031 | 71,428 | ||||||
Enphase Energy Inc* | 825 | 145,250 | ||||||
EOG Resources Inc | 3,810 | 245,974 | ||||||
Exxon Mobil Corp | 27,616 | 1,501,482 | ||||||
Halliburton Co | 6,038 | 131,810 | ||||||
Hess Corp | 1,823 | 119,461 | ||||||
HollyFrontier Corp | 508 | 19,243 | ||||||
Kinder Morgan Inc | 12,716 | 186,925 | ||||||
Marathon Oil Corp | 5,187 | 57,576 | ||||||
Marathon Petroleum Corp | 4,249 | 232,080 | ||||||
NOV Inc | 2,536 | 38,294 | ||||||
Occidental Petroleum Corp | 5,528 | 147,100 | ||||||
ONEOK Inc | 2,916 | 129,150 | ||||||
Phillips 66 | 2,852 | 236,859 | ||||||
Pioneer Natural Resources Co | 1,139 | 169,221 | ||||||
Schlumberger NV | 9,092 | 253,758 | ||||||
Valero Energy Corp | 2,663 | 204,998 | ||||||
The Williams Cos Inc | 7,926 | 181,030 | ||||||
Total Energy | 6,027,551 | |||||||
Financial (15.19%) | ||||||||
Aflac Inc | 4,378 | 209,662 | ||||||
Alexandria Real Estate Equities Inc | 700 | 111,783 | ||||||
The Allstate Corp | 2,062 | 219,809 | ||||||
American Express Co | 4,306 | 582,430 | ||||||
American International Group Inc | 5,688 | 249,988 | ||||||
American Tower Corp | 2,901 | 626,993 | ||||||
Ameriprise Financial Inc | 770 | 170,355 | ||||||
Aon PLC | 1,529 | 348,169 | ||||||
Arthur J Gallagher & Co | 1,256 | 150,469 | ||||||
Assurant Inc | 431 | 53,108 | ||||||
AvalonBay Communities Inc | 960 | 168,720 | ||||||
Bank of America Corp | 49,722 | 1,725,851 | ||||||
The Bank of New York Mellon Corp | 5,491 | 231,501 | ||||||
Berkshire Hathaway Inc*,(a) | 12,690 | 3,052,072 | ||||||
BlackRock Inc | 926 | 643,107 | ||||||
Boston Properties Inc | 925 | 91,695 | ||||||
Capital One Financial Corp | 2,987 | 359,008 | ||||||
Cboe Global Markets Inc | 706 | 69,866 | ||||||
CBRE Group Inc* | 2,058 | 155,935 | ||||||
The Charles Schwab Corp | 9,743 | 601,338 |
See accompanying notes to financial statements.
9
S&P 500 Index Fund | Portfolio of Investments (Unaudited) (Continued) | 2/28/21 |
Security Description | Shares | Value | ||||||
Chubb Ltd | 2,980 | $ | 484,488 | |||||
Cincinnati Financial Corp | 1,038 | 101,589 | ||||||
Citigroup Inc | 13,598 | 895,836 | ||||||
Citizens Financial Group Inc | 2,789 | 121,154 | ||||||
CME Group Inc | 2,368 | 472,890 | ||||||
Comerica Inc | 908 | 61,835 | ||||||
Crown Castle International Corp | 2,860 | 445,445 | ||||||
Digital Realty Trust Inc | 1,471 | 198,188 | ||||||
Discover Financial Services | 2,023 | 190,304 | ||||||
Duke Realty Corp | 2,510 | 98,518 | ||||||
Equinix Inc | 581 | 376,686 | ||||||
Equity Residential | 2,236 | 146,257 | ||||||
Essex Property Trust Inc | 425 | 108,286 | ||||||
Everest Re Group Ltd | 280 | 67,707 | ||||||
Extra Space Storage Inc | 844 | 106,091 | ||||||
Federal Realty Investment Trust | 449 | 45,425 | ||||||
Fifth Third Bancorp | 4,882 | 169,357 | ||||||
First Republic Bank | 1,159 | 190,945 | ||||||
Franklin Resources Inc | 1,991 | 52,104 | ||||||
Globe Life Inc | 628 | 58,655 | ||||||
The Goldman Sachs Group Inc | 2,247 | 717,872 | ||||||
The Hartford Financial Services Group Inc | 2,340 | 118,615 | ||||||
Healthpeak Properties Inc | 3,020 | 87,852 | ||||||
Host Hotels & Resorts Inc | 5,173 | 85,820 | ||||||
Huntington Bancshares Inc | 7,104 | 108,975 | ||||||
Intercontinental Exchange Inc | 3,729 | 411,346 | ||||||
Invesco Ltd | 2,486 | 55,736 | ||||||
Iron Mountain Inc | 1,369 | 47,628 | ||||||
JPMorgan Chase & Co | 19,909 | 2,930,008 | ||||||
KeyCorp | 6,704 | 135,019 | ||||||
Kimco Realty Corp | 2,994 | 54,880 | ||||||
Lincoln National Corp | 1,186 | 67,448 | ||||||
Loews Corp | 1,526 | 72,958 | ||||||
M&T Bank Corp | 837 | 126,337 | ||||||
Marsh & McLennan Cos Inc | 3,312 | 381,609 | ||||||
Mastercard Inc | 5,746 | 2,033,222 | ||||||
MetLife Inc | 4,996 | 287,770 | ||||||
Mid-America Apartment Communities Inc | 747 | 100,643 | ||||||
Morgan Stanley | 8,006 | 615,421 | ||||||
Nasdaq Inc | 749 | 103,579 | ||||||
Northern Trust Corp | 1,359 | 129,282 | ||||||
People’s United Financial Inc | 2,887 | 51,793 | ||||||
The PNC Financial Services Group Inc | 2,767 | 465,852 | ||||||
Principal Financial Group Inc | 1,776 | 100,486 | ||||||
The Progressive Corp | 3,824 | 328,673 | ||||||
Prologis Inc | 4,828 | 478,310 | ||||||
Prudential Financial Inc | 2,692 | 233,450 | ||||||
Public Storage | 993 | 232,302 | ||||||
Raymond James Financial Inc | 849 | 99,112 | ||||||
Realty Income Corp | 2,292 | 138,116 | ||||||
Regency Centers Corp | 1,109 | 60,751 | ||||||
Regions Financial Corp | 6,273 | 129,412 | ||||||
SBA Communications Corp | 725 | 184,969 | ||||||
Simon Property Group Inc | 2,175 | 245,601 | ||||||
SL Green Realty Corp | 562 | 38,817 | ||||||
State Street Corp | 2,304 | 167,662 | ||||||
SVB Financial Group* | 354 | 178,897 | ||||||
Synchrony Financial | 3,546 | 137,159 | ||||||
T Rowe Price Group Inc | 1,478 | 239,643 | ||||||
The Travelers Cos Inc | 1,654 | 240,657 | ||||||
Truist Financial Corp | 8,899 | 506,887 | ||||||
UDR Inc | 2,033 | 83,699 | ||||||
Unum Group | 1,473 | 39,005 | ||||||
US Bancorp | 9,052 | $ | 452,600 | |||||
Ventas Inc | 2,564 | 135,636 | ||||||
Visa Inc | 11,075 | 2,352,219 | ||||||
Vornado Realty Trust | 1,244 | 53,417 | ||||||
W R Berkley Corp | 1,033 | 71,618 | ||||||
Wells Fargo & Co | 25,690 | 929,207 | ||||||
Welltower Inc | 2,792 | 189,577 | ||||||
The Western Union Co | 2,800 | 65,016 | ||||||
Weyerhaeuser Co | 5,125 | 173,584 | ||||||
Willis Towers Watson PLC | 841 | 185,558 | ||||||
Zions Bancorp NA | 1,054 | 56,041 | ||||||
Total Financial | 31,931,365 | |||||||
Industrial (8.17%) | ||||||||
3M Co | 3,803 | 665,753 | ||||||
A O Smith Corp | 942 | 55,927 | ||||||
Agilent Technologies Inc | 2,035 | 248,412 | ||||||
Allegion plc | 601 | 65,377 | ||||||
Amcor PLC | 10,244 | 112,069 | ||||||
AMETEK Inc | 1,502 | 177,191 | ||||||
Amphenol Corp | 1,970 | 247,590 | ||||||
Ball Corp | 2,136 | 182,393 | ||||||
The Boeing Co | 3,466 | 734,827 | ||||||
Carrier Global Corp | 5,321 | 194,376 | ||||||
Caterpillar Inc | 3,575 | 771,771 | ||||||
CH Robinson Worldwide Inc | 956 | 86,853 | ||||||
CSX Corp | 4,995 | 457,292 | ||||||
Deere & Co | 2,046 | 714,300 | ||||||
Dover Corp | 941 | 115,988 | ||||||
Eaton Corp PLC | 2,603 | 338,885 | ||||||
Emerson Electric Co | 3,946 | 338,961 | ||||||
Expeditors International of Washington Inc | 1,105 | 101,483 | ||||||
FedEx Corp | 1,577 | 401,347 | ||||||
FLIR Systems Inc | 922 | 49,235 | ||||||
Flowserve Corp | 850 | 31,450 | ||||||
Fortive Corp | 2,032 | 133,746 | ||||||
Fortune Brands Home & Security Inc | 957 | 79,565 | ||||||
Garmin Ltd | 806 | 99,960 | ||||||
General Dynamics Corp | 1,518 | 248,147 | ||||||
General Electric Co | 57,804 | 724,862 | ||||||
Honeywell International Inc | 4,583 | 927,370 | ||||||
Howmet Aerospace Inc | 2,478 | 69,657 | ||||||
Huntington Ingalls Industries Inc | 281 | 49,431 | ||||||
IDEX Corp | 523 | 102,074 | ||||||
Illinois Tool Works Inc | 1,881 | 380,301 | ||||||
Ingersoll Rand Inc* | 1,505 | 69,742 | ||||||
Jacobs Engineering Group Inc | 846 | 97,358 | ||||||
JB Hunt Transport Services Inc | 586 | 86,066 | ||||||
Johnson Controls International plc | 4,728 | 263,775 | ||||||
Kansas City Southern | 611 | 129,740 | ||||||
Keysight Technologies Inc* | 1,210 | 171,239 | ||||||
L3Harris Technologies Inc | 1,372 | 249,581 | ||||||
Lockheed Martin Corp | 1,624 | 536,326 | ||||||
Martin Marietta Materials Inc | 406 | 136,769 | ||||||
Masco Corp | 1,816 | 96,648 | ||||||
Mettler-Toledo International Inc* | 162 | 180,800 | ||||||
Norfolk Southern Corp | 1,658 | 417,915 | ||||||
Northrop Grumman Corp | 1,023 | 298,368 | ||||||
Old Dominion Freight Line Inc | 628 | 134,876 | ||||||
Otis Worldwide Corp | 2,659 | 169,405 | ||||||
Packaging Corp of America | 651 | 85,945 | ||||||
Parker-Hannifin Corp | 848 | 243,342 | ||||||
Pentair PLC | 1,156 | 64,655 | ||||||
Raytheon Technologies Corp | 9,919 | $ | 714,069 | |||||
Republic Services Inc | 1,448 | 129,002 | ||||||
Rockwell Automation Inc | 758 | 184,406 | ||||||
Sealed Air Corp | 1,091 | 45,713 | ||||||
Snap-on Inc | 354 | 71,901 | ||||||
Stanley Black & Decker Inc | 1,071 | 187,254 | ||||||
TE Connectivity Ltd | 2,160 | 280,865 | ||||||
Technip Energies NV* | 1 | 10 | ||||||
Teledyne Technologies Inc* | 252 | 93,492 | ||||||
Textron Inc | 1,625 | 81,803 | ||||||
Trane Technologies PLC | 1,580 | 242,119 | ||||||
TransDigm Group Inc* | 342 | 197,221 | ||||||
Trimble Inc* | 1,634 | 121,145 | ||||||
Union Pacific Corp | 4,401 | 906,430 | ||||||
United Parcel Service Inc | 4,669 | 736,908 | ||||||
Vontier Corp* | 812 | 25,497 | ||||||
Vulcan Materials Co | 865 | 144,446 | ||||||
Waste Management Inc | 2,539 | 281,550 | ||||||
Waters Corp* | 405 | 110,921 | ||||||
Westinghouse Air Brake Technologies Corp | 1,272 | 92,131 | ||||||
Westrock Co | 1,715 | 74,757 | ||||||
Xylem Inc | 1,238 | 123,255 | ||||||
Total Industrial | 17,184,038 | |||||||
Technology (22.94%) | ||||||||
Accenture PLC | 4,138 | 1,038,224 | ||||||
Activision Blizzard Inc | 5,047 | 482,544 | ||||||
Adobe Inc* | 3,133 | 1,440,146 | ||||||
Advanced Micro Devices Inc* | 7,666 | 647,854 | ||||||
Akamai Technologies Inc* | 1,063 | 100,454 | ||||||
Analog Devices Inc | 2,413 | 375,994 | ||||||
ANSYS Inc* | 560 | 190,954 | ||||||
Apple Inc(a) | 104,364 | 12,655,179 | ||||||
Applied Materials Inc | 6,031 | 712,804 | ||||||
Autodesk Inc* | 1,436 | 396,336 | ||||||
Broadcom Inc | 2,655 | 1,247,505 | ||||||
Broadridge Financial Solutions Inc | 788 | 112,282 | ||||||
Cadence Design Systems Inc* | 1,821 | 256,925 | ||||||
Cerner Corp | 2,002 | 138,418 | ||||||
Citrix Systems Inc | 791 | 105,662 | ||||||
Cognizant Technology Solutions Corp | 3,492 | 256,592 | ||||||
DXC Technology Co | 1,730 | 43,631 | ||||||
Electronic Arts Inc | 1,894 | 253,739 | ||||||
Fidelity National Information Services Inc | 4,091 | 564,558 | ||||||
Fiserv Inc* | 3,670 | 423,408 | ||||||
Fortinet Inc* | 880 | 148,588 | ||||||
Hewlett Packard Enterprise Co | 8,406 | 122,391 | ||||||
HP Inc | 9,070 | 262,758 | ||||||
Intel Corp | 26,766 | 1,626,837 | ||||||
International Business Machines Corp | 5,881 | 699,427 | ||||||
Intuit Inc | 1,728 | 674,162 | ||||||
IPG Photonics Corp* | 233 | 52,973 | ||||||
Jack Henry & Associates Inc | 529 | 78,525 | ||||||
KLA Corp | 1,026 | 319,322 | ||||||
Lam Research Corp | 940 | 533,159 | ||||||
Leidos Holdings Inc | 915 | 80,932 | ||||||
Maxim Integrated Products Inc | 1,745 | 162,582 | ||||||
Microchip Technology Inc | 1,643 | 250,771 | ||||||
Micron Technology Inc* | 7,336 | 671,464 | ||||||
Microsoft Corp(a) | 49,374 | 11,473,530 | ||||||
MSCI Inc | 552 | 228,815 |
See accompanying notes to financial statements.
10
S&P 500 Index Fund | Portfolio of Investments (Unaudited) (Continued) | 2/28/21 |
Security Description | Shares | Value | ||||||
NetApp Inc | 1,569 | $ | 98,219 | |||||
NVIDIA Corp | 4,043 | 2,217,909 | ||||||
Oracle Corp | 12,389 | 799,214 | ||||||
Paychex Inc | 2,089 | 190,245 | ||||||
Paycom Software Inc* | 337 | 126,119 | ||||||
Qorvo Inc* | 744 | 129,999 | ||||||
QUALCOMM Inc | 7,387 | 1,006,036 | ||||||
Roper Technologies Inc | 684 | 258,292 | ||||||
salesforce.com Inc* | 6,009 | 1,300,949 | ||||||
Seagate Technology PLC | 1,590 | 116,436 | ||||||
ServiceNow Inc* | 1,274 | 679,628 | ||||||
Skyworks Solutions Inc | 1,137 | 202,181 | ||||||
Synopsys Inc* | 996 | 244,229 | ||||||
Take-Two Interactive Software Inc* | 778 | 143,510 | ||||||
Teradyne Inc | 1,109 | 142,628 | ||||||
Texas Instruments Inc | 5,995 | 1,032,759 | ||||||
Tyler Technologies Inc* | 273 | 126,514 | ||||||
Western Digital Corp | 2,052 | 140,624 | ||||||
Xerox Holdings Corp | 1,468 | 37,405 | ||||||
Xilinx Inc | 1,657 | 215,907 | ||||||
Zebra Technologies Corp* | 348 | 173,802 | ||||||
Total Technology | 48,212,050 | |||||||
Utilities (2.52%) | ||||||||
The AES Corp | 4,344 | 115,377 | ||||||
Alliant Energy Corp | 1,758 | 81,149 | ||||||
Ameren Corp | 1,682 | 118,194 | ||||||
American Electric Power Co Inc | 3,242 | 242,664 | ||||||
American Water Works Co Inc | 1,183 | 167,844 | ||||||
Atmos Energy Corp | 820 | 69,380 | ||||||
CenterPoint Energy Inc | 2,979 | 57,912 | ||||||
CMS Energy Corp | 1,870 | 101,186 | ||||||
Consolidated Edison Inc | 2,227 | 146,203 | ||||||
Dominion Energy Inc | 5,328 | 364,009 | ||||||
DTE Energy Co | 1,258 | 148,092 | ||||||
Duke Energy Corp | 4,806 | $ | 411,346 | |||||
Edison International | 2,433 | 131,358 | ||||||
Entergy Corp | 1,304 | 113,200 | ||||||
Evergy Inc | 1,567 | 84,038 | ||||||
Eversource Energy | 2,274 | 180,738 | ||||||
Exelon Corp | 6,435 | 248,391 | ||||||
FirstEnergy Corp | 3,716 | 123,148 | ||||||
NextEra Energy Inc | 12,795 | 940,177 | ||||||
NiSource Inc | 2,050 | 44,280 | ||||||
NRG Energy Inc | 1,663 | 60,716 | ||||||
Pinnacle West Capital Corp | 806 | 56,364 | ||||||
PPL Corp | 5,021 | 131,500 | ||||||
Public Service Enterprise Group Inc | 3,303 | 177,800 | ||||||
Sempra Energy | 1,939 | 224,885 | ||||||
The Southern Co | 6,898 | 391,255 | ||||||
WEC Energy Group Inc | 2,060 | 166,118 | ||||||
Xcel Energy Inc | 3,432 | 201,081 | ||||||
Total Utilities | 5,298,405 | |||||||
Total Common Stock (Cost $67,560,957) | 209,868,507 | |||||||
United States Treasury Bills (0.05%) | ||||||||
0.032%, 04/15/21 (Cost $99,990)(a) | 100,000 | 99,995 | ||||||
Warrant (0.00%) | ||||||||
United States Treasury Bills (0.05%) | ||||||||
0.032%, 04/15/21(a) | 100,000 | 99,995 | ||||||
Total United States Treasury Bills (Cost $99,990) | 99,995 | |||||||
Total Investments (Cost $67,660,947)(b) (99.89%) | $ | 209,968,502 | ||||||
Other Net Assets (0.11%) | 236,763 | |||||||
Net Assets (100.00%) | $ | 210,205,265 |
* Non-income producing security. | |
(a) A portion of these shares have been pledged in connection with obligations for futures contracts. | |
(b) Aggregate cost for federal income tax purpose is $67,662,848. | |
At February 28, 2021, unrealized appreciation/(depreciation) of securities for federal income tax purposes is as follows: |
Unrealized appreciation | $ | 144,120,136 | ||
Unrealized depreciation | (1,814,482 | ) | ||
Net unrealized appreciation | $ | 142,305,654 |
Because tax adjustments are calculated annually, the above tax figures reflect the tax adjustments outstanding at the Fund’s previous fiscal year end. For the previous fiscal year’s federal income tax information, please refer to the Notes to Financial Statements section in the Fund’s most recent semi-annual and annual reports. |
Futures contracts at February 28, 2021: |
Contracts - $50 times premium / delivery month / commitment / exchange |
S&P 500 E-MINI | Notional Amount | Value | Unrealized Depreciation | |||||||||
1 / MAR 2021 / Long / CME | $ | 195,713 | $ | 190,460 | $ | (5,253 | ) |
S&P MidCap Index Fund | Portfolio of Investments (Unaudited) | 2/28/21 |
Security Description | Shares | Value | ||||||
Common Stock (99.16%) | ||||||||
Basic Materials (3.51%) | ||||||||
Ashland Global Holdings Inc | 3,073 | $ | 258,501 | |||||
Cabot Corp | 3,433 | 169,007 | ||||||
The Chemours Co | 9,173 | 215,841 | ||||||
Commercial Metals Co | 7,149 | 179,797 | ||||||
Compass Minerals International Inc | 2,041 | 128,767 | ||||||
Domtar Corp | 3,059 | 113,336 | ||||||
Ingevity Corp* | 2,436 | 169,253 | ||||||
Minerals Technologies Inc | 2,100 | 149,583 | ||||||
NewMarket Corp | 405 | 153,487 | ||||||
Olin Corp | 8,024 | 248,263 | ||||||
Reliance Steel & Aluminum Co | 3,641 | 481,340 | ||||||
Royal Gold Inc | 3,663 | 379,890 | ||||||
RPM International Inc | 7,340 | 584,558 | ||||||
Sensient Technologies Corp | 2,347 | 182,714 | ||||||
Steel Dynamics Inc | 11,287 | 469,313 | ||||||
United States Steel Corp | 10,245 | 170,169 | ||||||
Valvoline Inc | 10,450 | 260,832 | ||||||
Total Basic Materials | 4,314,651 | |||||||
Communications (2.92%) | ||||||||
Cable One Inc | 292 | $ | 559,136 | |||||
Ciena Corp* | 8,581 | 447,671 | ||||||
FactSet Research Systems Inc | 2,145 | 651,887 | ||||||
Grubhub Inc* | 5,140 | 329,320 | ||||||
InterDigital Inc | 1,875 | 118,819 | ||||||
The New York Times Co | 8,025 | 410,639 | ||||||
TEGNA Inc | 12,638 | 230,391 | ||||||
Telephone and Data Systems Inc | 5,893 | 105,426 | ||||||
TripAdvisor Inc* | 5,427 | 269,288 | ||||||
Viasat Inc* | 3,475 | 177,712 | ||||||
World Wrestling Entertainment Inc | 2,835 | 140,049 | ||||||
Yelp Inc* | 3,849 | 145,146 | ||||||
Total Communications | 3,585,484 | |||||||
Consumer, Cyclical (16.90%) | ||||||||
Adient PLC* | 5,245 | 194,485 | ||||||
American Eagle Outfitters Inc | 8,412 | 216,188 | ||||||
AutoNation Inc* | 3,263 | 244,790 | ||||||
Avient Corp | 5,185 | 224,096 | ||||||
BJ’s Wholesale Club Holdings Inc* | 7,361 | 295,765 | ||||||
Boyd Gaming Corp* | 4,450 | $ | 261,215 | |||||
Brunswick Corp | 4,470 | 395,014 | ||||||
Caesars Entertainment Inc*,(a) | 11,543 | 1,078,578 | ||||||
Capri Holdings Ltd* | 8,349 | 389,648 | ||||||
Carter’s Inc | 2,419 | 201,914 | ||||||
Casey’s General Stores Inc | 2,047 | 413,412 | ||||||
Choice Hotels International Inc | 1,626 | 170,519 | ||||||
Churchill Downs Inc | 1,968 | 453,880 | ||||||
Cinemark Holdings Inc | 6,423 | 144,196 | ||||||
Columbia Sportswear Co | 1,749 | 180,269 | ||||||
Cracker Barrel Old Country Store Inc | 1,323 | 204,893 | ||||||
Dana Inc | 8,386 | 199,671 | ||||||
Deckers Outdoor Corp* | 1,565 | 510,362 | ||||||
Dick’s Sporting Goods Inc | 3,832 | 273,490 | ||||||
FirstCash Inc | 2,314 | 146,522 | ||||||
Five Below Inc* | 3,119 | 580,508 | ||||||
Foot Locker Inc | 5,887 | 283,106 | ||||||
Fox Factory Holding Corp* | 2,044 | 259,895 | ||||||
Gentex Corp | 13,581 | 480,496 | ||||||
The Goodyear Tire & Rubber Co* | 13,550 | 227,776 | ||||||
Harley-Davidson Inc | 7,782 | 277,584 |
See accompanying notes to financial statements.
11
S&P MidCap Index Fund | Portfolio of Investments (Unaudited) (Continued) | 2/28/21 |
Security Description | Shares | Value | ||||||
Healthcare Services Group Inc | 4,466 | $ | 127,058 | |||||
Herman Miller Inc | 3,558 | 136,467 | ||||||
HNI Corp | 2,580 | 91,822 | ||||||
IAA Inc* | 7,664 | 449,340 | ||||||
Jack in the Box Inc | 1,378 | 141,038 | ||||||
JetBlue Airways Corp* | 15,433 | 284,430 | ||||||
KAR Auction Services Inc | 7,759 | 107,928 | ||||||
KB Home | 5,162 | 208,442 | ||||||
Kohl’s Corp | 7,784 | 430,066 | ||||||
Lear Corp | 3,046 | 505,910 | ||||||
Lithia Motors Inc | 1,335 | 499,223 | ||||||
Marriott Vacations Worldwide Corp | 2,090 | 354,694 | ||||||
Mattel Inc* | 19,592 | 395,758 | ||||||
MSC Industrial Direct Co Inc | 2,536 | 218,426 | ||||||
Murphy USA Inc | 1,569 | 195,576 | ||||||
Nordstrom Inc | 4,888 | 178,168 | ||||||
Nu Skin Enterprises Inc | 2,969 | 151,953 | ||||||
Ollie’s Bargain Outlet Holdings Inc* | 3,186 | 263,418 | ||||||
Papa John’s International Inc | 1,328 | 119,772 | ||||||
Penn National Gaming Inc*,(a) | 8,178 | 946,849 | ||||||
Polaris Inc | 3,214 | 378,481 | ||||||
RH* | 865 | 424,170 | ||||||
Scientific Games Corp* | 3,258 | 152,572 | ||||||
The Scotts Miracle-Gro Co | 2,308 | 491,950 | ||||||
Six Flags Entertainment Corp | 4,580 | 204,268 | ||||||
Skechers USA Inc* | 7,802 | 285,553 | ||||||
Taylor Morrison Home Corp* | 7,244 | 199,282 | ||||||
Tempur Sealy International Inc | 9,908 | 331,026 | ||||||
Texas Roadhouse Inc | 3,801 | 345,435 | ||||||
Thor Industries Inc | 3,068 | 359,140 | ||||||
Toll Brothers Inc | 6,613 | 353,266 | ||||||
Travel + Leisure Co | 4,871 | 294,355 | ||||||
Tri Pointe Homes Inc* | 7,452 | 141,588 | ||||||
Univar Solutions Inc* | 7,204 | 143,432 | ||||||
Urban Outfitters Inc* | 3,844 | 130,312 | ||||||
Visteon Corp* | 1,554 | 197,622 | ||||||
Watsco Inc | 1,853 | 450,464 | ||||||
The Wendy’s Co | 10,001 | 204,320 | ||||||
Williams-Sonoma Inc | 4,345 | 570,455 | ||||||
Wingstop Inc | 1,645 | 223,967 | ||||||
World Fuel Services Corp | 3,940 | 122,455 | ||||||
Wyndham Hotels & Resorts Inc | 5,203 | 339,652 | ||||||
YETI Holdings Inc* | 4,150 | 285,396 | ||||||
Total Consumer, Cyclical | 20,743,771 | |||||||
Consumer, Non-Cyclical (17.57%) | ||||||||
Acadia Healthcare Co Inc* | 4,932 | 272,444 | ||||||
Adtalem Global Education Inc* | 3,253 | 127,843 | ||||||
Amedisys Inc* | 1,813 | 459,849 | ||||||
Arrowhead Pharmaceuticals Inc* | 5,777 | 460,196 | ||||||
ASGN Inc* | 2,965 | 275,656 | ||||||
Avanos Medical Inc* | 2,887 | 132,744 | ||||||
Avis Budget Group Inc* | 2,879 | 159,928 | ||||||
Bio-Techne Corp(a) | 2,153 | 778,719 | ||||||
The Boston Beer Co Inc* | 514 | 528,757 | ||||||
The Brink’s Co | 2,739 | 210,437 | ||||||
Cantel Medical Corp* | 2,257 | 167,650 | ||||||
Charles River Laboratories International Inc* | 2,774 | 793,752 | ||||||
Chemed Corp | 889 | 395,792 | ||||||
CoreLogic Inc | 4,310 | 364,885 | ||||||
Coty Inc | 12,121 | 92,968 | ||||||
Darling Ingredients Inc* | 9,147 | 576,627 | ||||||
Edgewell Personal Care Co | 3,158 | 96,603 | ||||||
Emergent BioSolutions Inc* | 2,049 | $ | 196,704 | |||||
Encompass Health Corp | 5,510 | 443,224 | ||||||
Exelixis Inc* | 17,704 | 383,469 | ||||||
Flowers Foods Inc | 11,215 | 243,926 | ||||||
FTI Consulting Inc* | 2,044 | 234,140 | ||||||
Globus Medical Inc* | 4,207 | 262,938 | ||||||
Graham Holdings Co | 224 | 134,586 | ||||||
Grand Canyon Education Inc* | 2,596 | 271,775 | ||||||
Grocery Outlet Holding Corp* | 3,472 | 124,957 | ||||||
H&R Block Inc | 8,260 | 158,840 | ||||||
Haemonetics Corp* | 2,814 | 355,971 | ||||||
The Hain Celestial Group Inc* | 4,840 | 204,151 | ||||||
Halozyme Therapeutics Inc* | 7,274 | 329,149 | ||||||
HealthEquity Inc* | 4,129 | 340,023 | ||||||
Helen of Troy Ltd* | 1,466 | 317,829 | ||||||
Hill-Rom Holdings Inc | 3,720 | 396,812 | ||||||
ICU Medical Inc* | 1,078 | 223,685 | ||||||
Ingredion Inc | 3,890 | 350,878 | ||||||
Insperity Inc | 2,038 | 180,771 | ||||||
Integra LifeSciences Holdings Corp* | 3,953 | 270,148 | ||||||
Jazz Pharmaceuticals PLC* | 2,926 | 491,685 | ||||||
John Wiley & Sons Inc | 2,636 | 138,864 | ||||||
Lancaster Colony Corp | 1,153 | 201,395 | ||||||
LHC Group Inc* | 1,750 | 317,993 | ||||||
Ligand Pharmaceuticals Inc* | 994 | 147,331 | ||||||
LivaNova PLC* | 2,820 | 218,663 | ||||||
LiveRamp Holdings Inc* | 3,739 | 236,155 | ||||||
ManpowerGroup Inc | 3,243 | 306,269 | ||||||
Masimo Corp* | 2,858 | 716,586 | ||||||
Medpace Holdings Inc* | 1,167 | 189,556 | ||||||
Molina Healthcare Inc* | 3,312 | 717,909 | ||||||
Nektar Therapeutics* | 10,250 | 232,573 | ||||||
Neogen Corp* | 2,604 | 213,320 | ||||||
NuVasive Inc* | 2,872 | 173,268 | ||||||
Patterson Cos Inc | 5,190 | 161,201 | ||||||
Paylocity Holding Corp* | 2,089 | 399,396 | ||||||
Penumbra Inc* | 1,871 | 532,169 | ||||||
Pilgrim’s Pride Corp* | 3,372 | 75,499 | ||||||
Post Holdings Inc* | 3,395 | 326,124 | ||||||
PRA Health Sciences Inc* | 3,555 | 524,043 | ||||||
Prestige Consumer Healthcare Inc* | 3,026 | 126,214 | ||||||
Quidel Corp* | 1,964 | 322,607 | ||||||
Repligen Corp* | 2,730 | 579,825 | ||||||
Sabre Corp | 16,503 | 242,429 | ||||||
Sanderson Farms Inc | 1,188 | 181,170 | ||||||
Service Corp International | 9,842 | 470,054 | ||||||
Sprouts Farmers Market Inc* | 7,118 | 150,261 | ||||||
Strategic Education Inc | 827 | 75,191 | ||||||
Syneos Health Inc* | 3,752 | 290,217 | ||||||
Tenet Healthcare Corp* | 5,708 | 291,222 | ||||||
Tootsie Roll Industries Inc | 1,096 | 33,768 | ||||||
TreeHouse Foods Inc* | 3,428 | 171,469 | ||||||
United Therapeutics Corp* | 2,463 | 411,764 | ||||||
WEX Inc* | 2,445 | 509,416 | ||||||
WW International Inc* | 2,743 | 80,891 | ||||||
Total Consumer, Non-Cyclical | 21,575,323 | |||||||
Energy (2.55%) | ||||||||
Antero Midstream Corp | 17,306 | 152,639 | ||||||
ChampionX Corp* | 10,834 | 230,439 | ||||||
Cimarex Energy Co | 5,700 | 330,543 | ||||||
CNX Resources Corp* | 11,242 | 141,762 | ||||||
EQT Corp | 14,895 | 264,982 | ||||||
Equitrans Midstream Corp | 17,640 | 127,537 | ||||||
First Solar Inc* | 4,363 | $ | 353,490 | |||||
Murphy Oil Corp | 8,937 | 145,941 | ||||||
SolarEdge Technologies Inc*,(a) | 2,832 | 844,814 | ||||||
Sunrun Inc* | 8,648 | 541,192 | ||||||
Total Energy | 3,133,339 | |||||||
Financial (24.12%) | ||||||||
Banks (7.03%) | ||||||||
Associated Banc-Corp | 8,584 | 172,968 | ||||||
BancorpSouth Bank | 5,591 | 168,065 | ||||||
Bank of Hawaii Corp | 2,220 | 194,250 | ||||||
Bank OZK | 6,752 | 278,317 | ||||||
Cathay General Bancorp | 4,150 | 156,206 | ||||||
CIT Group Inc | 5,707 | 258,812 | ||||||
Commerce Bancshares Inc | 6,030 | 446,401 | ||||||
Cullen/Frost Bankers Inc | 3,116 | 325,310 | ||||||
East West Bancorp Inc | 7,991 | 576,631 | ||||||
First Financial Bankshares Inc | 7,915 | 353,484 | ||||||
First Horizon Corp | 28,810 | 466,722 | ||||||
FNB Corp | 17,881 | 211,532 | ||||||
Fulton Financial Corp | 9,889 | 152,785 | ||||||
Glacier Bancorp Inc | 4,247 | 230,187 | ||||||
Hancock Whitney Corp | 4,789 | 180,785 | ||||||
Home BancShares Inc | 8,489 | 207,471 | ||||||
International Bancshares Corp | 3,086 | 134,488 | ||||||
PacWest Bancorp | 6,472 | 234,545 | ||||||
Pinnacle Financial Partners Inc | 4,336 | 351,953 | ||||||
Prosperity Bancshares Inc | 5,175 | 380,207 | ||||||
Signature Bank | 2,991 | 653,055 | ||||||
Synovus Financial Corp | 8,228 | 348,127 | ||||||
TCF Financial Corp | 8,452 | 378,819 | ||||||
Texas Capital Bancshares Inc* | 2,817 | 214,655 | ||||||
Trustmark Corp | 3,872 | 116,780 | ||||||
UMB Financial Corp | 2,395 | 202,066 | ||||||
Umpqua Holdings Corp | 12,205 | 208,339 | ||||||
United Bankshares Inc | 6,117 | 226,023 | ||||||
Valley National Bancorp | 23,601 | 289,112 | ||||||
Webster Financial Corp | 5,037 | 278,596 | ||||||
Wintrust Financial Corp | 3,194 | 235,270 | ||||||
8,631,961 | ||||||||
Diversified Financial Service (3.18%) | ||||||||
Affiliated Managers Group Inc | 2,514 | 351,885 | ||||||
Alliance Data Systems Corp | 2,215 | 213,748 | ||||||
Eaton Vance Corp | 6,329 | 462,460 | ||||||
Evercore Inc | 2,355 | 282,058 | ||||||
Federated Hermes Inc | 5,231 | 139,772 | ||||||
Interactive Brokers Group Inc | 4,471 | 323,656 | ||||||
Janus Henderson Group PLC | 8,514 | 248,864 | ||||||
Jefferies Financial Group Inc | 11,467 | 333,002 | ||||||
LendingTree Inc* | 603 | 162,129 | ||||||
Navient Corp | 10,555 | 130,671 | ||||||
PROG Holdings Inc | 3,750 | 187,500 | ||||||
SEI Investments Co | 6,867 | 384,552 | ||||||
SLM Corp | 21,463 | 338,901 | ||||||
Stifel Financial Corp | 5,743 | 350,782 | ||||||
3,909,980 | ||||||||
Insurance (4.58%) | ||||||||
Alleghany Corp* | 808 | 522,315 | ||||||
American Financial Group Inc | 4,050 | 432,135 | ||||||
Brighthouse Financial Inc* | 4,960 | 197,854 | ||||||
Brown & Brown Inc | 13,111 | 601,795 | ||||||
CNO Financial Group Inc | 8,004 | 192,576 | ||||||
Essent Group Ltd | 6,431 | 265,150 | ||||||
First American Financial Corp | 6,187 | 325,065 | ||||||
Genworth Financial Inc* | 30,327 | 94,620 |
See accompanying notes to financial statements.
12
S&P MidCap Index Fund | Portfolio of Investments (Unaudited) (Continued) | 2/28/21 |
Security Description | Shares | Value | ||||||
The Hanover Insurance Group Inc | 2,130 | $ | 245,696 | |||||
Kemper Corp | 3,430 | 259,377 | ||||||
Kinsale Capital Group Inc | 1,181 | 207,927 | ||||||
Mercury General Corp | 1,634 | 95,426 | ||||||
MGIC Investment Corp | 16,627 | 202,517 | ||||||
Old Republic International Corp | 15,672 | 302,940 | ||||||
Primerica Inc | 2,232 | 315,225 | ||||||
Reinsurance Group of America Inc | 3,798 | 464,230 | ||||||
RenaissanceRe Holdings Ltd | 2,661 | 444,334 | ||||||
RLI Corp | 2,209 | 230,487 | ||||||
Selective Insurance Group Inc | 3,316 | 224,924 | ||||||
5,624,593 | ||||||||
Real Estate (8.79%) | ||||||||
American Campus Communities Inc | 7,627 | 312,402 | ||||||
Apartment Income REIT Corp | 8,250 | 337,260 | ||||||
Brixmor Property Group Inc | 16,431 | 323,362 | ||||||
Camden Property Trust | 5,397 | 562,098 | ||||||
CoreSite Realty Corp | 2,286 | 278,229 | ||||||
Corporate Office Properties Trust | 6,752 | 175,552 | ||||||
Cousins Properties Inc | 8,551 | 286,801 | ||||||
CyrusOne Inc | 6,595 | 432,830 | ||||||
Douglas Emmett Inc | 9,604 | 314,531 | ||||||
EastGroup Properties Inc | 2,238 | 304,614 | ||||||
EPR Properties | 4,167 | 188,265 | ||||||
First Industrial Realty Trust Inc | 7,397 | 315,926 | ||||||
Healthcare Realty Trust Inc | 7,860 | 226,840 | ||||||
Highwoods Properties Inc | 6,044 | 241,518 | ||||||
Hudson Pacific Properties Inc | 9,029 | 231,052 | ||||||
JBG SMITH Properties | 6,347 | 201,517 | ||||||
Jones Lang LaSalle Inc* | 2,843 | 494,625 | ||||||
Kilroy Realty Corp | 5,682 | 360,580 | ||||||
Lamar Advertising Co | 4,442 | 384,633 | ||||||
Life Storage Inc | 4,077 | 342,060 | ||||||
The Macerich Co | 6,213 | 80,272 | ||||||
Medical Properties Trust Inc | 30,150 | 650,939 | ||||||
National Retail Properties Inc | 8,890 | 389,738 | ||||||
Omega Healthcare Investors Inc | 12,731 | 472,829 | ||||||
Park Hotels & Resorts Inc | 13,160 | 286,230 | ||||||
Pebblebrook Hotel Trust | 7,871 | 178,357 | ||||||
Physicians Realty Trust | 11,481 | 195,177 | ||||||
PotlatchDeltic Corp | 3,706 | 188,080 | ||||||
PS Business Parks Inc | 1,112 | 161,084 | ||||||
Rayonier Inc | 7,791 | 254,298 | ||||||
Rexford Industrial Realty Inc | 6,342 | 302,640 | ||||||
Sabra Health Care REIT Inc | 11,960 | 205,951 | ||||||
Service Properties Trust | 9,588 | 123,110 | ||||||
Spirit Realty Capital Inc | 5,819 | 250,333 | ||||||
STORE Capital Corp | 12,450 | 416,328 | ||||||
Urban Edge Properties | 6,939 | 114,494 | ||||||
Weingarten Realty Investors | 7,047 | 178,923 | ||||||
10,763,478 | ||||||||
Savings&Loans (0.55%) | ||||||||
New York Community Bancorp Inc | 25,710 | 313,919 | ||||||
Sterling Bancorp | 10,983 | 239,759 | ||||||
Washington Federal Inc | 4,201 | 126,954 | ||||||
680,632 | ||||||||
Total Financial | 29,610,644 | |||||||
Industrial (20.11%) | ||||||||
Acuity Brands Inc | 2,041 | 251,655 | ||||||
AECOM* | 8,355 | $ | 483,671 | |||||
AGCO Corp | 3,403 | 440,620 | ||||||
AptarGroup Inc | 3,587 | 466,561 | ||||||
Arrow Electronics Inc* | 4,186 | 419,688 | ||||||
Avnet Inc | 5,517 | 210,032 | ||||||
Axon Enterprise Inc* | 3,457 | 572,099 | ||||||
Belden Inc | 2,251 | 99,517 | ||||||
Builders FirstSource Inc* | 11,368 | 491,837 | ||||||
Carlisle Cos Inc | 2,958 | 429,650 | ||||||
Clean Harbors Inc* | 2,859 | 243,444 | ||||||
Cognex Corp(a) | 9,665 | 798,232 | ||||||
Coherent Inc* | 1,354 | 327,587 | ||||||
Colfax Corp* | 5,037 | 223,391 | ||||||
Crane Co | 2,785 | 233,550 | ||||||
Curtiss-Wright Corp | 2,322 | 256,558 | ||||||
Donaldson Co Inc | 7,045 | 415,021 | ||||||
Dycom Industries Inc* | 1,899 | 145,425 | ||||||
Eagle Materials Inc | 2,332 | 292,386 | ||||||
EMCOR Group Inc | 3,138 | 305,547 | ||||||
Energizer Holdings Inc | 3,289 | 137,480 | ||||||
EnerSys | 2,359 | 212,971 | ||||||
Fluor Corp | 7,046 | 120,909 | ||||||
GATX Corp | 1,939 | 185,039 | ||||||
Generac Holdings Inc*,(a) | 3,482 | 1,147,520 | ||||||
Graco Inc | 9,415 | 652,930 | ||||||
Greif Inc | 1,668 | 80,564 | ||||||
Hexcel Corp | 3,817 | 205,202 | ||||||
Hubbell Inc | 3,028 | 537,500 | ||||||
II-VI Inc* | 5,436 | 458,255 | ||||||
ITT Inc | 4,825 | 400,379 | ||||||
Jabil Inc | 7,569 | 326,754 | ||||||
KBR Inc | 7,951 | 246,481 | ||||||
Kennametal Inc | 4,827 | 180,337 | ||||||
Kirby Corp* | 3,327 | 208,137 | ||||||
Knight-Swift Transportation Holdings Inc | 7,159 | 309,269 | ||||||
Landstar System Inc | 2,143 | 343,180 | ||||||
Lennox International Inc | 1,966 | 550,028 | ||||||
Lincoln Electric Holdings Inc | 3,398 | 401,338 | ||||||
Littelfuse Inc | 1,350 | 351,297 | ||||||
Louisiana-Pacific Corp | 6,420 | 305,656 | ||||||
MasTec Inc* | 3,168 | 274,824 | ||||||
MDU Resources Group Inc | 11,113 | 312,275 | ||||||
Mercury Systems Inc* | 3,236 | 211,505 | ||||||
The Middleby Corp* | 2,900 | 424,589 | ||||||
MSA Safety Inc | 2,076 | 334,215 | ||||||
National Instruments Corp | 6,872 | 305,117 | ||||||
Nordson Corp | 2,981 | 573,574 | ||||||
nVent Electric PLC | 9,376 | 246,214 | ||||||
O-I Glass Inc | 9,377 | 109,523 | ||||||
Oshkosh Corp | 3,779 | 400,574 | ||||||
Owens Corning | 6,033 | 488,794 | ||||||
Regal Beloit Corp | 2,291 | 313,111 | ||||||
Ryder System Inc | 3,105 | 210,426 | ||||||
Silgan Holdings Inc | 4,729 | 177,621 | ||||||
Simpson Manufacturing Co Inc | 2,135 | 208,077 | ||||||
Sonoco Products Co | 5,565 | 331,507 | ||||||
Stericycle Inc* | 5,074 | 329,150 | ||||||
SYNNEX Corp | 2,380 | 212,201 | ||||||
Terex Corp | 3,952 | 162,743 | ||||||
Tetra Tech Inc | 3,009 | 416,355 | ||||||
The Timken Co | 3,817 | 299,062 | ||||||
TopBuild Corp* | 1,687 | 321,222 | ||||||
The Toro Co | 5,993 | 603,915 | ||||||
Trex Co Inc* | 6,537 | 599,051 | ||||||
Trinity Industries Inc | 5,026 | $ | 161,335 | |||||
Universal Display Corp | 2,394 | 506,786 | ||||||
Valmont Industries Inc | 1,193 | 282,180 | ||||||
Vishay Intertechnology Inc | 7,974 | 190,339 | ||||||
Werner Enterprises Inc | 2,668 | 114,511 | ||||||
Woodward Inc | 3,285 | 375,213 | ||||||
Worthington Industries Inc | 2,014 | 128,674 | ||||||
XPO Logistics Inc* | 5,157 | 601,306 | ||||||
Total Industrial | 24,693,686 | |||||||
Technology (8.52%) | ||||||||
ACI Worldwide Inc* | 6,501 | 248,728 | ||||||
Blackbaud Inc | 2,963 | 203,914 | ||||||
Brooks Automation Inc | 4,091 | 340,208 | ||||||
CACI International Inc* | 1,397 | 309,212 | ||||||
CDK Global Inc | 6,744 | 338,144 | ||||||
Ceridian HCM Holding Inc* | 6,947 | 622,868 | ||||||
Cirrus Logic Inc* | 3,261 | 266,685 | ||||||
CMC Materials Inc | 1,695 | 288,998 | ||||||
CommVault Systems Inc* | 2,533 | 161,428 | ||||||
Concentrix Corp* | 2,380 | 293,954 | ||||||
Cree Inc* | 6,115 | 693,808 | ||||||
Fair Isaac Corp*,(a) | 1,637 | 749,009 | ||||||
J2 Global Inc* | 2,375 | 264,528 | ||||||
Lumentum Holdings Inc* | 4,247 | 382,230 | ||||||
Manhattan Associates Inc* | 3,548 | 436,227 | ||||||
MAXIMUS Inc | 3,508 | 285,130 | ||||||
MKS Instruments Inc | 3,055 | 503,770 | ||||||
Monolithic Power Systems Inc(a) | 2,353 | 881,246 | ||||||
NCR Corp* | 7,171 | 249,264 | ||||||
NetScout Systems Inc* | 3,968 | 111,977 | ||||||
Perspecta Inc | 7,582 | 221,394 | ||||||
PTC Inc*,(a) | 5,837 | 799,319 | ||||||
Qualys Inc* | 1,539 | 149,529 | ||||||
Sailpoint Technologies Holdings Inc* | 4,474 | 252,244 | ||||||
Science Applications International Corp | 2,858 | 246,160 | ||||||
Semtech Corp* | 3,680 | 269,781 | ||||||
Silicon Laboratories Inc* | 2,527 | 393,555 | ||||||
Synaptics Inc* | 1,913 | 256,399 | ||||||
Teradata Corp* | 6,057 | 242,886 | ||||||
Total Technology | 10,462,595 | |||||||
Utilities (2.95%) | ||||||||
ALLETE Inc | 2,880 | 178,934 | ||||||
Black Hills Corp | 3,620 | 214,159 | ||||||
Essential Utilities Inc | 12,576 | 528,947 | ||||||
Hawaiian Electric Industries Inc | 6,349 | 221,961 | ||||||
IDACORP Inc | 2,936 | 253,201 | ||||||
National Fuel Gas Co | 5,201 | 236,333 | ||||||
New Jersey Resources Corp | 5,564 | 218,610 | ||||||
NorthWestern Corp | 3,039 | 177,721 | ||||||
OGE Energy Corp | 11,085 | 324,458 | ||||||
ONE Gas Inc | 3,072 | 205,732 | ||||||
PNM Resources Inc | 4,449 | 213,596 | ||||||
Southwest Gas Holdings Inc | 3,218 | 200,642 | ||||||
Spire Inc | 3,071 | 203,976 | ||||||
UGI Corp | 11,636 | 445,775 | ||||||
Total Utilities | 3,624,045 | |||||||
Total Common Stock (Cost $74,413,596) | 121,743,538 | |||||||
See accompanying notes to financial statements.
13
S&P MidCap Index Fund | Portfolio of Investments (Unaudited) (Continued) | 2/28/21 |
Security Description | Shares | Value | ||||||
United States Treasury Bills (0.65%) | ||||||||
0.032%, 04/15/21 (Cost $799,919)(a) | 800,000 | $ | 799,960 | |||||
Total Investments (Cost $75,213,515)(b) (99.81%) | $ | 122,543,498 | ||||||
Other Net Assets (0.19%) | 234,081 | |||||||
Net Assets (100.00%) | $ | 122,777,579 |
* Non-income producing security. | |
(a) A portion of these shares have been pledged in connection with obligations for futures contracts. | |
(b) Aggregate cost for federal income tax purpose is $75,313,681. | |
At February 28, 2021, unrealized appreciation/(depreciation) of securities for federal income tax purposes is as follows: |
Unrealized appreciation | $ | 51,131,115 | ||
Unrealized depreciation | (3,901,298 | ) | ||
Net unrealized appreciation | $ | 47,229,817 |
Because tax adjustments are calculated annually, the above tax figures reflect the tax adjustments outstanding at the Fund’s previous fiscal year end. For the previous fiscal year’s federal income tax information, please refer to the Notes to Financial Statements section in the Fund’s most recent semi-annual and annual reports. |
Futures contracts at February 28, 2021: |
Contracts - $100 times premium / delivery month / commitment / exchange |
S&P MidCap E-MINI | Notional Amount | Value | Unrealized Appreciation | |||||||||
4 / MAR 2021 / Long / CME | $ | 972,900 | $ | 997,880 | $ | 24,980 |
S&P SmallCap Index Fund | Portfolio of Investments (Unaudited) | 2/28/21 |
Security Description | Shares | Value | ||||||
Common Stock (99.57%) | ||||||||
Basic Materials (4.83%) | ||||||||
AdvanSix Inc* | 1,999 | $ | 55,572 | |||||
Allegheny Technologies Inc* | 8,716 | 171,357 | ||||||
American Vanguard Corp | 1,902 | 37,127 | ||||||
Arconic Corp* | 6,526 | 143,050 | ||||||
Balchem Corp | 2,175 | 259,608 | ||||||
Carpenter Technology Corp | 2,439 | 99,170 | ||||||
Century Aluminum Co* | 3,565 | 48,947 | ||||||
Clearwater Paper Corp* | 1,183 | 41,417 | ||||||
Cleveland-Cliffs Inc | 26,841 | 358,059 | ||||||
Ferro Corp* | 5,477 | 86,920 | ||||||
GCP Applied Technologies Inc* | 3,238 | 80,270 | ||||||
Glatfelter Corp | 3,163 | 50,766 | ||||||
Hawkins Inc | 677 | 42,380 | ||||||
HB Fuller Co | 3,467 | 194,395 | ||||||
Innospec Inc | 1,642 | 164,939 | ||||||
Kaiser Aluminum Corp | 1,057 | 120,604 | ||||||
Koppers Holdings Inc* | 1,482 | 49,514 | ||||||
Kraton Corp* | 2,121 | 78,880 | ||||||
Livent Corp* | 9,782 | 182,141 | ||||||
Mercer International Inc | 2,867 | 44,066 | ||||||
Neenah Inc | 1,204 | 66,605 | ||||||
Quaker Chemical Corp | 878 | 247,930 | ||||||
Rayonier Advanced Materials Inc* | 3,576 | 33,078 | ||||||
Rogers Corp* | 1,243 | 225,580 | ||||||
Schweitzer-Mauduit International Inc | 2,213 | 103,347 | ||||||
Stepan Co | 1,434 | 173,069 | ||||||
Total Basic Materials | 3,158,791 | |||||||
Communications (4.54%) | ||||||||
ADTRAN Inc | 3,425 | 57,677 | ||||||
AMC Networks Inc* | 1,982 | 129,999 | ||||||
ATN International Inc | 779 | 37,922 | ||||||
CalAmp Corp* | 2,444 | 27,299 | ||||||
Cincinnati Bell Inc* | 3,611 | 55,176 | ||||||
Cogent Communications Holdings Inc | 2,815 | 168,478 | ||||||
Consolidated Communications Holdings Inc* | 5,162 | 27,152 | ||||||
ePlus Inc* | 899 | 85,009 | ||||||
The EW Scripps Co | 3,903 | 73,454 | ||||||
Extreme Networks Inc* | 8,707 | 79,843 | ||||||
Gannett Co Inc* | 9,383 | 46,446 | ||||||
Harmonic Inc* | 6,868 | 53,193 | ||||||
HealthStream Inc* | 1,832 | 42,686 | ||||||
Iridium Communications Inc*,(a) | 7,807 | $ | 299,086 | |||||
Liquidity Services Inc* | 1,928 | 30,096 | ||||||
Meredith Corp | 2,879 | 71,342 | ||||||
NETGEAR Inc* | 2,159 | 86,360 | ||||||
NIC Inc | 4,482 | 155,570 | ||||||
Perficient Inc* | 2,197 | 122,351 | ||||||
Plantronics Inc | 2,344 | 94,909 | ||||||
QuinStreet Inc* | 3,238 | 77,356 | ||||||
Scholastic Corp | 2,201 | 63,389 | ||||||
Shenandoah Telecommunications Co | 3,356 | 148,839 | ||||||
Shutterstock Inc | 1,371 | 120,963 | ||||||
Spok Holdings Inc | 1,420 | 15,222 | ||||||
Stamps.com Inc* | 1,161 | 211,221 | ||||||
TechTarget Inc* | 1,643 | 137,404 | ||||||
Viavi Solutions Inc* | 15,351 | 248,456 | ||||||
Vonage Holdings Corp* | 15,519 | 205,161 | ||||||
Total Communications | 2,972,059 | |||||||
Consumer, Cyclical (16.63%) | ||||||||
Abercrombie & Fitch Co | 4,152 | 113,640 | ||||||
Albany International Corp | 2,054 | 162,369 | ||||||
Allegiant Travel Co | 873 | 220,162 | ||||||
American Axle & Manufacturing Holdings Inc* | 8,056 | 78,707 | ||||||
America’s Car-Mart Inc* | 442 | 59,670 | ||||||
Asbury Automotive Group Inc* | 1,290 | 218,591 | ||||||
Barnes & Noble Education Inc* | 2,006 | 12,979 | ||||||
Bed Bath & Beyond Inc | 8,387 | 225,275 | ||||||
Big Lots Inc | 2,400 | 152,496 | ||||||
BJ’s Restaurants Inc* | 1,372 | 76,187 | ||||||
Bloomin’ Brands Inc | 5,356 | 133,043 | ||||||
Boot Barn Holdings Inc* | 1,930 | 116,611 | ||||||
Brinker International Inc | 3,014 | 206,730 | ||||||
The Buckle Inc | 2,045 | 78,610 | ||||||
Caleres Inc | 2,523 | 40,015 | ||||||
Callaway Golf Co | 6,331 | 176,951 | ||||||
The Cato Corp | 1,556 | 19,201 | ||||||
Cavco Industries Inc* | 571 | 120,430 | ||||||
Century Communities Inc* | 1,525 | 84,378 | ||||||
The Cheesecake Factory Inc | 2,129 | 116,989 | ||||||
Chico’s FAS Inc | 8,496 | 22,854 | ||||||
The Children’s Place Inc* | 1,039 | 71,951 | ||||||
Chuy’s Holdings Inc* | 1,345 | 55,145 | ||||||
Conn’s Inc* | 1,366 | 19,384 | ||||||
Cooper Tire & Rubber Co | 3,382 | 193,586 | ||||||
Cooper-Standard Holdings Inc* | 1,206 | 43,199 | ||||||
Core-Mark Holding Co Inc | 3,031 | 98,750 | ||||||
Crocs Inc*,(a) | 4,536 | 348,002 | ||||||
Daktronics Inc | 3,035 | $ | 16,419 | |||||
Dave & Buster’s Entertainment Inc* | 3,158 | 128,246 | ||||||
Designer Brands Inc | 3,952 | 49,360 | ||||||
Dine Brands Global Inc | 1,098 | 86,863 | ||||||
Dorman Products Inc* | 1,941 | 193,537 | ||||||
El Pollo Loco Holdings Inc* | 1,399 | 25,644 | ||||||
Ethan Allen Interiors Inc | 1,450 | 37,149 | ||||||
Fiesta Restaurant Group Inc* | 1,450 | 22,127 | ||||||
Fossil Group Inc* | 3,328 | 50,386 | ||||||
GameStop Corp* | 3,657 | 372,063 | ||||||
Genesco Inc* | 1,020 | 45,839 | ||||||
Gentherm Inc* | 2,195 | 155,384 | ||||||
G-III Apparel Group Ltd* | 3,083 | 88,760 | ||||||
GMS Inc* | 3,020 | 110,532 | ||||||
Group 1 Automotive Inc | 1,145 | 174,544 | ||||||
Guess? Inc | 2,510 | 63,277 | ||||||
Haverty Furniture Cos Inc | 1,111 | 40,185 | ||||||
Hawaiian Holdings Inc | 3,337 | 89,498 | ||||||
Hibbett Sports Inc* | 1,106 | 71,072 | ||||||
Installed Building Products Inc | 1,478 | 161,634 | ||||||
Interface Inc | 4,184 | 51,965 | ||||||
iRobot Corp* | 1,874 | 232,582 | ||||||
Kontoor Brands Inc | 3,132 | 132,327 | ||||||
La-Z-Boy Inc | 3,092 | 131,750 | ||||||
LCI Industries | 1,691 | 238,330 | ||||||
LGI Homes Inc* | 1,484 | 162,127 | ||||||
Lumber Liquidators Holdings Inc* | 1,940 | 48,054 | ||||||
M/I Homes Inc* | 2,015 | 100,549 | ||||||
Macy’s Inc | 20,860 | 317,281 | ||||||
The Marcus Corp | 1,646 | 32,327 | ||||||
MarineMax Inc* | 1,536 | 68,582 | ||||||
MDC Holdings Inc | 3,367 | 190,471 | ||||||
Meritage Homes Corp* | 2,469 | 208,161 | ||||||
Meritor Inc* | 4,861 | 147,629 | ||||||
Methode Electronics Inc | 2,510 | 97,714 | ||||||
The Michaels Cos Inc* | 4,913 | 73,695 | ||||||
Monarch Casino & Resort Inc* | 854 | 57,782 | ||||||
Motorcar Parts of America Inc* | 1,357 | 28,877 | ||||||
Movado Group Inc | 1,175 | 26,790 | ||||||
The ODP Corp | 3,541 | 135,514 | ||||||
Oxford Industries Inc | 1,123 | 85,618 | ||||||
PC Connection Inc | 791 | 36,394 | ||||||
PetMed Express Inc | 1,445 | 50,156 | ||||||
PriceSmart Inc | 1,558 | 150,269 | ||||||
Red Robin Gourmet Burgers Inc* | 926 | 28,419 | ||||||
Regis Corp* | 1,731 | 20,339 |
See accompanying notes to financial statements.
14
S&P SmallCap Index Fund | Portfolio of Investments (Unaudited) (Continued) | 2/28/21 |
Security Description | Shares | Value | ||||||
Resideo Technologies Inc* | 8,667 | $ | 208,181 | |||||
Ruth’s Hospitality Group Inc | 1,944 | 44,333 | ||||||
Sally Beauty Holdings Inc* | 7,767 | 125,049 | ||||||
ScanSource Inc* | 1,809 | 51,448 | ||||||
Shake Shack Inc* | 2,372 | 281,035 | ||||||
Shoe Carnival Inc | 640 | 31,334 | ||||||
Signet Jewelers Ltd* | 3,501 | 174,280 | ||||||
SkyWest Inc | 3,356 | 189,178 | ||||||
Sleep Number Corp* | 1,847 | 253,279 | ||||||
Sonic Automotive Inc | 1,578 | 72,762 | ||||||
Standard Motor Products Inc | 1,447 | 60,788 | ||||||
Steven Madden Ltd | 5,199 | 192,311 | ||||||
Titan International Inc | 3,341 | 27,630 | ||||||
Tupperware Brands Corp* | 3,285 | 100,422 | ||||||
Unifi Inc* | 1,046 | 26,077 | ||||||
UniFirst Corp | 1,013 | 245,440 | ||||||
Universal Electronics Inc* | 997 | 58,015 | ||||||
Vera Bradley Inc* | 1,892 | 17,955 | ||||||
Veritiv Corp* | 911 | 21,664 | ||||||
Vista Outdoor Inc* | 3,876 | 122,520 | ||||||
Wabash National Corp | 3,874 | 64,231 | ||||||
Winnebago Industries Inc | 2,254 | 156,878 | ||||||
Wolverine World Wide Inc | 5,476 | 191,386 | ||||||
Zumiez Inc* | 1,394 | 62,842 | ||||||
Total Consumer, Cyclical | 10,881,164 | |||||||
Consumer, Non-Cyclical (17.43%) | ||||||||
The Aaron’s Co Inc | 2,245 | 49,300 | ||||||
ABM Industries Inc | 4,482 | 193,533 | ||||||
Addus HomeCare Corp* | 991 | 106,602 | ||||||
Alarm.com Holdings Inc* | 3,008 | 264,343 | ||||||
American Public Education Inc* | 1,102 | 32,443 | ||||||
AMN Healthcare Services Inc* | 3,159 | 230,196 | ||||||
Amphastar Pharmaceuticals Inc* | 2,454 | 43,019 | ||||||
The Andersons Inc | 2,041 | 53,352 | ||||||
AngioDynamics Inc* | 2,694 | 56,439 | ||||||
ANI Pharmaceuticals Inc* | 753 | 21,912 | ||||||
Anika Therapeutics Inc* | 1,022 | 37,507 | ||||||
Arlo Technologies Inc* | 5,260 | 36,610 | ||||||
B&G Foods Inc | 4,291 | 130,146 | ||||||
Calavo Growers Inc | 1,172 | 88,193 | ||||||
Cal-Maine Foods Inc* | 2,229 | 84,925 | ||||||
Cardiovascular Systems Inc* | 2,591 | 107,008 | ||||||
Cardtronics PLC* | 2,368 | 91,286 | ||||||
Celsius Holdings Inc* | 1,764 | 105,011 | ||||||
Central Garden & Pet Co* | 702 | 32,011 | ||||||
Central Garden & Pet Co - Class A* | 2,610 | 108,341 | ||||||
The Chefs’ Warehouse Inc* | 1,825 | 56,831 | ||||||
Coca-Cola Consolidated Inc | 308 | 79,051 | ||||||
Coherus Biosciences Inc* | 4,320 | 70,157 | ||||||
Community Health Systems Inc* | 7,521 | 64,380 | ||||||
CONMED Corp | 1,921 | 236,398 | ||||||
Corcept Therapeutics Inc* | 6,992 | 175,849 | ||||||
CoreCivic Inc | 5,135 | 36,869 | ||||||
CorVel Corp* | 641 | 65,062 | ||||||
Covetrus Inc* | 6,600 | 245,256 | ||||||
Cross Country Healthcare Inc* | 2,325 | 25,831 | ||||||
CryoLife Inc* | 2,686 | 67,822 | ||||||
Cutera Inc* | 1,019 | 35,991 | ||||||
Cytokinetics Inc* | 4,349 | 81,457 | ||||||
Deluxe Corp | 2,788 | 110,210 | ||||||
Eagle Pharmaceuticals Inc* | 724 | 32,218 | ||||||
elf Beauty Inc* | 2,547 | 65,331 | ||||||
Enanta Pharmaceuticals Inc* | 1,144 | 56,422 | ||||||
Endo International PLC* | 14,456 | 114,636 | ||||||
The Ensign Group Inc | 3,398 | $ | 278,704 | |||||
EVERTEC Inc | 4,010 | 155,989 | ||||||
Forrester Research Inc* | 760 | 34,337 | ||||||
Fresh Del Monte Produce Inc | 2,169 | 55,830 | ||||||
Fulgent Genetics Inc* | 811 | 82,122 | ||||||
Glaukos Corp* | 2,792 | 264,012 | ||||||
Green Dot Corp* | 3,393 | 160,353 | ||||||
Hanger Inc* | 2,674 | 58,775 | ||||||
Heidrick & Struggles International Inc | 1,373 | 49,277 | ||||||
Heska Corp* | 504 | 94,954 | ||||||
HMS Holdings Corp* | 5,951 | 218,908 | ||||||
Innoviva Inc* | 4,184 | 47,823 | ||||||
Inogen Inc* | 1,307 | 68,604 | ||||||
Integer Holdings Corp* | 2,197 | 193,753 | ||||||
Inter Parfums Inc | 1,262 | 92,341 | ||||||
Invacare Corp | 2,727 | 24,816 | ||||||
J & J Snack Foods Corp | 883 | 140,185 | ||||||
John B Sanfilippo & Son Inc | 629 | 54,383 | ||||||
Kelly Services Inc | 2,377 | 49,489 | ||||||
Korn Ferry | 3,604 | 221,826 | ||||||
Lannett Co Inc* | 2,397 | 14,526 | ||||||
Lantheus Holdings Inc* | 4,729 | 88,338 | ||||||
LeMaitre Vascular Inc | 1,174 | 60,332 | ||||||
Luminex Corp | 3,084 | 100,292 | ||||||
Magellan Health Inc* | 1,559 | 145,486 | ||||||
Medifast Inc | 695 | 175,828 | ||||||
MEDNAX Inc* | 5,746 | 140,375 | ||||||
Meridian Bioscience Inc* | 2,867 | 60,436 | ||||||
Merit Medical Systems Inc* | 3,282 | 182,873 | ||||||
MGP Ingredients Inc | 951 | 60,750 | ||||||
ModivCare Inc* | 822 | 105,430 | ||||||
Monro Inc | 2,226 | 137,990 | ||||||
Myriad Genetics Inc* | 4,997 | 152,359 | ||||||
National Beverage Corp | 1,666 | 79,402 | ||||||
Natus Medical Inc* | 2,441 | 63,246 | ||||||
NeoGenomics Inc*,(a) | 7,478 | 381,135 | ||||||
Omnicell Inc*,(a) | 2,815 | 357,224 | ||||||
OraSure Technologies Inc* | 4,421 | 46,863 | ||||||
Orthofix Medical Inc* | 1,364 | 63,440 | ||||||
Owens & Minor Inc | 4,502 | 153,113 | ||||||
Pacira BioSciences Inc* | 2,858 | 210,063 | ||||||
The Pennant Group Inc* | 1,684 | 88,882 | ||||||
Perdoceo Education Corp* | 4,611 | 59,344 | ||||||
Phibro Animal Health Corp | 1,453 | 31,341 | ||||||
Quanex Building Products Corp | 2,375 | 57,784 | ||||||
R1 RCM Inc* | 7,955 | 219,876 | ||||||
RadNet Inc* | 2,988 | 55,099 | ||||||
REGENXBIO Inc* | 1,997 | 81,697 | ||||||
Rent-A-Center Inc | 3,257 | 188,124 | ||||||
Resources Connection Inc | 2,156 | 27,511 | ||||||
Select Medical Holdings Corp* | 7,206 | 228,070 | ||||||
Seneca Foods Corp* | 554 | 30,171 | ||||||
The Simply Good Foods Co* | 5,604 | 163,469 | ||||||
SpartanNash Co | 2,603 | 47,453 | ||||||
Spectrum Pharmaceuticals Inc* | 8,092 | 27,756 | ||||||
Supernus Pharmaceuticals Inc* | 3,522 | 94,636 | ||||||
Surmodics Inc* | 970 | 50,586 | ||||||
Tactile Systems Technology Inc* | 1,362 | 69,217 | ||||||
Team Inc* | 2,174 | 24,110 | ||||||
Tivity Health Inc* | 2,501 | 59,524 | ||||||
TrueBlue Inc* | 2,412 | 50,242 | ||||||
United Natural Foods Inc* | 3,819 | 101,013 | ||||||
Universal Corp | 1,631 | 82,887 | ||||||
US Physical Therapy Inc | 855 | 100,240 | ||||||
USANA Health Sciences Inc* | 735 | 71,339 | ||||||
Vanda Pharmaceuticals Inc* | 3,820 | $ | 71,243 | |||||
Varex Imaging Corp* | 2,748 | 63,012 | ||||||
Vector Group Ltd | 8,486 | 115,834 | ||||||
Viad Corp | 1,455 | 60,877 | ||||||
WD-40 Co | 918 | 286,187 | ||||||
Xencor Inc* | 3,632 | 178,949 | ||||||
Total Consumer, Non-Cyclical | 11,404,403 | |||||||
Energy (4.12%) | ||||||||
Archrock Inc | 9,140 | 94,233 | ||||||
Bonanza Creek Energy Inc* | 1,330 | 42,467 | ||||||
Bristow Group Inc* | 749 | 19,938 | ||||||
Callon Petroleum Co* | 2,796 | 71,494 | ||||||
CONSOL Energy Inc* | 2,184 | 23,609 | ||||||
Core Laboratories NV | 2,961 | 105,234 | ||||||
DMC Global Inc | 786 | 49,510 | ||||||
Dril-Quip Inc* | 2,345 | 79,636 | ||||||
Exterran Corp* | 2,279 | 12,466 | ||||||
FutureFuel Corp | 1,848 | 27,129 | ||||||
Green Plains Inc* | 2,420 | 61,274 | ||||||
Helix Energy Solutions Group Inc* | 10,407 | 50,994 | ||||||
Helmerich & Payne Inc | 7,226 | 207,603 | ||||||
Laredo Petroleum Inc* | 645 | 21,021 | ||||||
Matador Resources Co* | 5,587 | 116,712 | ||||||
Matrix Service Co* | 1,945 | 26,394 | ||||||
Nabors Industries Ltd | 484 | 53,729 | ||||||
NOW Inc* | 3,819 | 40,596 | ||||||
Oceaneering International Inc* | 7,086 | 83,615 | ||||||
Oil States International Inc* | 4,333 | 31,761 | ||||||
Par Pacific Holdings Inc* | 2,639 | 46,631 | ||||||
Patterson-UTI Energy Inc | 12,535 | 92,759 | ||||||
PBF Energy Inc | 6,616 | 93,947 | ||||||
PDC Energy Inc* | 6,631 | 231,753 | ||||||
Penn Virginia Corp* | 964 | 14,113 | ||||||
ProPetro Holding Corp* | 5,898 | 67,650 | ||||||
QEP Resources Inc | 17,032 | 58,590 | ||||||
Range Resources Corp* | 14,947 | 144,089 | ||||||
Renewable Energy Group Inc* | 2,628 | 204,380 | ||||||
REX American Resources Corp* | 401 | 37,722 | ||||||
RPC Inc* | 3,687 | 23,412 | ||||||
SM Energy Co | 7,598 | 105,308 | ||||||
Southwestern Energy Co* | 38,772 | 157,027 | ||||||
SunCoke Energy Inc | 6,488 | 41,458 | ||||||
Talos Energy Inc* | 1,436 | 15,207 | ||||||
US Silica Holdings Inc | 5,269 | 70,130 | ||||||
Warrior Met Coal Inc | 3,658 | 70,124 | ||||||
Total Energy | 2,693,715 | |||||||
Financial (23.60%) | ||||||||
Banks (9.23%) | ||||||||
Allegiance Bancshares Inc | 1,371 | 51,618 | ||||||
Ameris Bancorp | 4,690 | 223,432 | ||||||
BancFirst Corp | 782 | 49,954 | ||||||
BankUnited Inc | 5,511 | 221,487 | ||||||
Banner Corp | 2,364 | 122,408 | ||||||
Cadence BanCorp | 8,469 | 173,784 | ||||||
Central Pacific Financial Corp | 2,032 | 45,984 | ||||||
City Holding Co | 1,050 | 78,971 | ||||||
Columbia Banking System Inc | 4,815 | 213,256 | ||||||
Community Bank System Inc | 3,580 | 254,860 | ||||||
Customers Bancorp Inc* | 2,063 | 55,247 | ||||||
CVB Financial Corp | 8,520 | 182,413 | ||||||
Dime Community Bancshares Inc | 1,430 | 42,056 | ||||||
Eagle Bancorp Inc | 2,155 | 105,358 |
See accompanying notes to financial statements.
15
S&P SmallCap Index Fund | Portfolio of Investments (Unaudited) (Continued) | 2/28/21 |
Security Description | Shares | Value | ||||||
FB Financial Corp | 2,073 | $ | 87,916 | |||||
First BanCorp (Puerto Rico) | 14,668 | 153,867 | ||||||
First Bancorp | 1,215 | 48,928 | ||||||
First Commonwealth Financial Corp | 6,398 | 85,797 | ||||||
First Financial Bancorp | 6,589 | 147,791 | ||||||
First Hawaiian Inc | 7,746 | 216,036 | ||||||
First Midwest Bancorp Inc | 7,877 | 155,807 | ||||||
Flagstar Bancorp Inc | 2,709 | 117,544 | ||||||
Great Western Bancorp Inc | 3,661 | 98,225 | ||||||
Hanmi Financial Corp | 2,228 | 38,143 | ||||||
Heritage Financial Corp | 2,622 | 67,884 | ||||||
Hilltop Holdings Inc | 4,320 | 142,733 | ||||||
HomeStreet Inc | 1,518 | 65,213 | ||||||
Hope Bancorp Inc | 8,287 | 109,057 | ||||||
Independent Bank Corp | 2,204 | 188,464 | ||||||
Independent Bank Group Inc | 2,447 | 170,531 | ||||||
Meta Financial Group Inc | 2,226 | 98,590 | ||||||
National Bank Holdings Corp | 2,037 | 78,934 | ||||||
NBT Bancorp Inc | 2,917 | 105,683 | ||||||
OFG Bancorp | 3,677 | 71,003 | ||||||
Old National Bancorp | 11,042 | 200,191 | ||||||
Park National Corp | 722 | 89,528 | ||||||
Preferred Bank | 974 | 56,443 | ||||||
Renasant Corp | 3,777 | 148,361 | ||||||
S&T Bancorp Inc | 2,760 | 79,709 | ||||||
Seacoast Banking Corp of Florida* | 3,790 | 136,251 | ||||||
ServisFirst Bancshares Inc | 3,122 | 154,726 | ||||||
Simmons First National Corp | 7,244 | 212,104 | ||||||
Southside Bancshares Inc | 2,091 | 72,307 | ||||||
Tompkins Financial Corp | 877 | 67,818 | ||||||
Triumph Bancorp Inc* | 1,512 | 115,970 | ||||||
TrustCo Bank Corp NY | 6,942 | 47,761 | ||||||
United Community Banks Inc | 5,657 | 187,020 | ||||||
Veritex Holdings Inc | 3,383 | 98,378 | ||||||
Walker & Dunlop Inc | 1,944 | 193,739 | ||||||
Westamerica BanCorp | 1,810 | 108,799 | ||||||
6,038,079 | ||||||||
Diversified Financial Service (1.68%) | ||||||||
Blucora Inc* | 3,505 | 56,781 | ||||||
Boston Private Financial Holdings Inc | 5,474 | 75,322 | ||||||
Brightsphere Investment Group Inc | 2,638 | 47,748 | ||||||
Encore Capital Group Inc* | 1,980 | 66,172 | ||||||
Enova International Inc* | 2,418 | 74,233 | ||||||
EZCORP Inc* | 4,257 | 20,434 | ||||||
Greenhill & Co Inc | 1,066 | 16,086 | ||||||
Mr Cooper Group Inc* | 4,777 | 150,237 | ||||||
Piper Sandler Cos | 918 | 97,602 | ||||||
PRA Group Inc* | 3,048 | 112,349 | ||||||
StoneX Group Inc* | 1,166 | 67,267 | ||||||
Virtus Investment Partners Inc | 481 | 120,683 | ||||||
Waddell & Reed Financial Inc | 4,381 | 109,919 | ||||||
WisdomTree Investments Inc | 8,449 | 44,780 | ||||||
World Acceptance Corp* | 304 | 38,471 | ||||||
1,098,084 | ||||||||
Insurance (2.68%) | ||||||||
Ambac Financial Group Inc* | 3,262 | 55,291 | ||||||
American Equity Investment Life Holding Co | 6,150 | 169,925 | ||||||
AMERISAFE Inc | 1,293 | 75,666 | ||||||
Assured Guaranty Ltd | 5,373 | 237,594 | ||||||
eHealth Inc* | 1,783 | 105,946 | ||||||
Employers Holdings Inc | 1,968 | 65,515 | ||||||
HCI Group Inc | 459 | $ | 26,562 | |||||
Horace Mann Educators Corp | 2,779 | 107,103 | ||||||
James River Group Holdings Ltd | 2,043 | 93,794 | ||||||
NMI Holdings Inc* | 5,506 | 125,867 | ||||||
Palomar Holdings Inc* | 1,266 | 107,775 | ||||||
ProAssurance Corp | 3,853 | 95,362 | ||||||
Safety Insurance Group Inc | 941 | 74,414 | ||||||
SiriusPoint Ltd* | 5,736 | 58,565 | ||||||
Stewart Information Services Corp | 1,698 | 80,146 | ||||||
Trupanion Inc* | 1,947 | 188,392 | ||||||
United Fire Group Inc | 1,524 | 44,882 | ||||||
United Insurance Holdings Corp | 1,680 | 10,450 | ||||||
Universal Insurance Holdings Inc | 2,188 | 32,579 | ||||||
1,755,828 | ||||||||
Real Estate (8.54%) | ||||||||
Acadia Realty Trust | 5,770 | 109,111 | ||||||
Agree Realty Corp | 3,443 | 222,280 | ||||||
Alexander & Baldwin Inc | 4,865 | 84,992 | ||||||
American Assets Trust Inc | 3,435 | 106,760 | ||||||
Apollo Commercial Real Estate Finance Inc | 8,591 | 114,174 | ||||||
Armada Hoffler Properties Inc | 3,969 | 51,240 | ||||||
ARMOUR Residential REIT Inc | 4,218 | 50,911 | ||||||
Brandywine Realty Trust | 11,409 | 139,532 | ||||||
Capstead Mortgage Corp | 6,776 | 38,826 | ||||||
CareTrust REIT Inc | 6,403 | 142,019 | ||||||
Centerspace | 832 | 57,100 | ||||||
Chatham Lodging Trust | 3,361 | 46,819 | ||||||
Community Healthcare Trust Inc | 1,456 | 63,816 | ||||||
DiamondRock Hospitality Co* | 13,438 | 135,993 | ||||||
Diversified Healthcare Trust | 17,040 | 76,680 | ||||||
Easterly Government Properties Inc | 5,311 | 116,736 | ||||||
Essential Properties Realty Trust Inc | 6,473 | 150,174 | ||||||
Four Corners Property Trust Inc | 4,936 | 133,716 | ||||||
Franklin Street Properties Corp | 7,680 | 38,093 | ||||||
The GEO Group Inc | 6,097 | 43,898 | ||||||
Getty Realty Corp | 2,449 | 68,523 | ||||||
Global Net Lease Inc | 5,985 | 111,201 | ||||||
Granite Point Mortgage Trust Inc | 3,929 | 43,848 | ||||||
Hersha Hospitality Trust* | 2,572 | 28,601 | ||||||
Independence Realty Trust Inc | 6,510 | 91,400 | ||||||
Industrial Logistics Properties Trust | 4,361 | 92,758 | ||||||
Innovative Industrial Properties Inc | 1,475 | 287,625 | ||||||
Invesco Mortgage Capital Inc | 12,843 | 49,959 | ||||||
iStar Inc | 5,281 | 93,579 | ||||||
Kite Realty Group Trust | 5,604 | 107,429 | ||||||
KKR Real Estate Finance Trust Inc | 1,729 | 31,865 | ||||||
Lexington Realty Trust | 18,513 | 198,459 | ||||||
LTC Properties Inc | 2,624 | 107,348 | ||||||
Mack-Cali Realty Corp | 5,931 | 82,856 | ||||||
Marcus & Millichap Inc* | 1,681 | 63,659 | ||||||
National Storage Affiliates Trust | 4,249 | 163,799 | ||||||
New York Mortgage Trust Inc | 26,171 | 109,133 | ||||||
NexPoint Residential Trust Inc | 1,473 | 60,452 | ||||||
Office Properties Income Trust | 3,225 | 81,560 | ||||||
PennyMac Mortgage Investment Trust | 6,675 | 126,625 | ||||||
RE/MAX Holdings Inc | 1,277 | 53,276 | ||||||
Ready Capital Corp | 2,655 | 34,834 | ||||||
Realogy Holdings Corp* | 7,684 | 115,875 | ||||||
Redwood Trust Inc | 7,449 | 73,298 | ||||||
Retail Opportunity Investments Corp | 7,888 | $ | 124,709 | |||||
Retail Properties of America Inc | 11,791 | 124,159 | ||||||
RPT Realty | 5,757 | 63,154 | ||||||
Safehold Inc | 946 | 72,133 | ||||||
Saul Centers Inc | 843 | 29,859 | ||||||
SITE Centers Corp | 7,638 | 101,891 | ||||||
The St Joe Co | 2,077 | 104,535 | ||||||
Summit Hotel Properties Inc | 7,532 | 77,956 | ||||||
Tanger Factory Outlet Centers Inc | 6,653 | 104,718 | ||||||
Uniti Group Inc | 15,491 | 184,498 | ||||||
Universal Health Realty Income Trust | 931 | 57,675 | ||||||
Urstadt Biddle Properties Inc | 2,141 | 34,513 | ||||||
Washington Real Estate Investment Trust | 5,482 | 123,455 | ||||||
Whitestone REIT | 2,910 | 27,209 | ||||||
Xenia Hotels & Resorts Inc | 7,607 | 151,912 | ||||||
5,583,208 | ||||||||
Savings&Loans (1.47%) | ||||||||
Axos Financial Inc* | 3,481 | 161,066 | ||||||
Banc of California Inc | 3,213 | 59,633 | ||||||
Berkshire Hills Bancorp Inc | 3,076 | 62,012 | ||||||
Brookline Bancorp Inc | 5,713 | 81,296 | ||||||
Capitol Federal Financial Inc | 8,849 | 117,780 | ||||||
Northfield Bancorp Inc | 3,099 | 42,425 | ||||||
Northwest Bancshares Inc | 8,469 | 119,582 | ||||||
Pacific Premier Bancorp Inc | 5,653 | 227,816 | ||||||
Provident Financial Services Inc | 4,301 | 87,009 | ||||||
958,619 | ||||||||
Total Financial | 15,433,818 | |||||||
Industrial (17.64%) | ||||||||
AAON Inc | 2,740 | 211,254 | ||||||
AAR Corp | 2,354 | 93,642 | ||||||
Advanced Energy Industries Inc | 2,577 | 269,168 | ||||||
Aegion Corp* | 2,203 | 56,948 | ||||||
Aerojet Rocketdyne Holdings Inc | 4,783 | 245,224 | ||||||
AeroVironment Inc* | 1,474 | 162,258 | ||||||
Alamo Group Inc | 694 | 105,925 | ||||||
American Woodmark Corp* | 1,115 | 104,152 | ||||||
Apogee Enterprises Inc | 1,901 | 71,097 | ||||||
Applied Industrial Technologies Inc | 2,579 | 220,169 | ||||||
Applied Optoelectronics Inc* | 1,515 | 14,127 | ||||||
ArcBest Corp | 1,691 | 99,752 | ||||||
Arcosa Inc | 3,250 | 184,373 | ||||||
Astec Industries Inc | 1,504 | 102,152 | ||||||
Atlas Air Worldwide Holdings Inc* | 1,748 | 96,367 | ||||||
AZZ Inc | 1,735 | 88,641 | ||||||
Badger Meter Inc | 1,957 | 212,511 | ||||||
Barnes Group Inc | 3,125 | 163,594 | ||||||
Bel Fuse Inc | 725 | 12,869 | ||||||
Benchmark Electronics Inc | 2,427 | 68,927 | ||||||
Boise Cascade Co | 2,635 | 131,592 | ||||||
Brady Corp | 3,226 | 169,075 | ||||||
Chart Industries Inc*,(a) | 2,369 | 338,980 | ||||||
CIRCOR International Inc* | 1,426 | 50,780 | ||||||
Comfort Systems USA Inc | 2,452 | 151,877 | ||||||
Comtech Telecommunications Corp | 1,747 | 46,959 | ||||||
Dorian LPG Ltd* | 2,072 | 25,796 | ||||||
DXP Enterprises Inc* | 1,147 | 34,456 |
See accompanying notes to financial statements.
16
S&P SmallCap Index Fund | Portfolio of Investments (Unaudited) (Continued) | 2/28/21 |
Security Description | Shares | Value | ||||||
Echo Global Logistics Inc* | 1,955 | $ | 54,466 | |||||
Encore Wire Corp | 1,373 | 89,973 | ||||||
Enerpac Tool Group Corp | 3,859 | 95,317 | ||||||
EnPro Industries Inc | 1,372 | 110,226 | ||||||
ESCO Technologies Inc | 1,750 | 184,923 | ||||||
Exponent Inc(a) | 3,470 | 334,751 | ||||||
Fabrinet* | 2,458 | 217,115 | ||||||
FARO Technologies Inc* | 1,246 | 116,451 | ||||||
Federal Signal Corp | 4,041 | 147,133 | ||||||
Forward Air Corp | 1,881 | 161,333 | ||||||
Franklin Electric Co Inc | 2,577 | 193,430 | ||||||
Gibraltar Industries Inc* | 2,180 | 190,423 | ||||||
Granite Construction Inc | 3,111 | 106,956 | ||||||
The Greenbrier Cos Inc | 2,334 | 109,815 | ||||||
Griffon Corp | 3,050 | 75,030 | ||||||
Harsco Corp* | 5,252 | 85,923 | ||||||
Haynes International Inc | 896 | 25,025 | ||||||
Heartland Express Inc | 3,348 | 60,934 | ||||||
Hillenbrand Inc | 5,024 | 233,415 | ||||||
Hub Group Inc* | 2,241 | 129,037 | ||||||
Ichor Holdings Ltd* | 1,611 | 68,886 | ||||||
Insteel Industries Inc | 1,310 | 40,453 | ||||||
Itron Inc* | 2,522 | 295,679 | ||||||
John Bean Technologies Corp | 2,133 | 314,767 | ||||||
Kaman Corp | 1,860 | 90,508 | ||||||
Knowles Corp* | 6,335 | 131,705 | ||||||
Lindsay Corp | 723 | 115,861 | ||||||
Lydall Inc* | 1,255 | 43,712 | ||||||
Marten Transport Ltd | 4,171 | 67,487 | ||||||
Materion Corp | 1,352 | 92,585 | ||||||
Matson Inc | 2,896 | 200,606 | ||||||
Matthews International Corp | 2,244 | 80,111 | ||||||
Mesa Laboratories Inc | 287 | 78,038 | ||||||
Moog Inc | 2,006 | 155,786 | ||||||
Mueller Industries Inc | 3,818 | 155,164 | ||||||
Myers Industries Inc | 2,544 | 56,324 | ||||||
MYR Group Inc* | 1,192 | 70,268 | ||||||
National Presto Industries Inc | 360 | 36,839 | ||||||
Olympic Steel Inc | 881 | 15,717 | ||||||
OSI Systems Inc* | 1,130 | 106,921 | ||||||
Park Aerospace Corp | 1,578 | 21,918 | ||||||
Patrick Industries Inc | 1,482 | 116,974 | ||||||
PGT Innovations Inc* | 3,924 | 92,567 | ||||||
Plexus Corp* | 1,956 | 164,265 | ||||||
Powell Industries Inc | 713 | 22,196 | ||||||
Proto Labs Inc*,(a) | 1,786 | 260,184 | ||||||
Raven Industries Inc | 2,386 | 93,531 | ||||||
Saia Inc*,(a) | 1,758 | 352,532 | ||||||
Sanmina Corp* | 4,330 | 154,235 | ||||||
SEACOR Holdings Inc* | 1,257 | 53,435 | ||||||
SMART Global Holdings Inc* | 942 | 43,982 | ||||||
SPX Corp* | 2,989 | 166,159 | ||||||
SPX FLOW Inc* | 2,852 | 175,569 | ||||||
Standex International Corp | 892 | 87,470 | ||||||
Sturm Ruger & Co Inc | 1,189 | 81,090 | ||||||
Tennant Co | 1,234 | 94,031 | ||||||
TimkenSteel Corp* | 2,857 | 23,085 | ||||||
Tredegar Corp | 1,767 | 26,929 | ||||||
Trinseo SA | 2,559 | 165,593 | ||||||
Triumph Group Inc | 3,587 | 52,263 | ||||||
TTM Technologies Inc* | 6,638 | $ | 93,729 | |||||
UFP Industries Inc | 4,112 | 250,832 | ||||||
US Concrete Inc* | 1,136 | 58,459 | ||||||
US Ecology Inc* | 1,822 | 69,619 | ||||||
Vicor Corp* | 1,349 | 132,863 | ||||||
Watts Water Technologies Inc | 1,845 | 210,496 | ||||||
Total Industrial | 11,535,764 | |||||||
Technology (9.36%) | ||||||||
3D Systems Corp*,(a) | 8,262 | 296,110 | ||||||
8x8 Inc* | 6,972 | 238,512 | ||||||
Agilysys Inc* | 1,424 | 84,856 | ||||||
Allscripts Healthcare Solutions Inc* | 8,964 | 138,315 | ||||||
Axcelis Technologies Inc* | 2,322 | 85,612 | ||||||
BM Technologies Inc* | 317 | 3,994 | ||||||
Bottomline Technologies DE Inc* | 2,588 | 116,149 | ||||||
CEVA Inc* | 1,480 | 90,620 | ||||||
Cohu Inc | 2,793 | 121,356 | ||||||
Computer Programs and Systems Inc | 894 | 28,116 | ||||||
CSG Systems International Inc | 2,212 | 102,084 | ||||||
CTS Corp | 2,147 | 69,069 | ||||||
Cubic Corp | 2,106 | 146,262 | ||||||
Diebold Nixdorf Inc* | 5,500 | 79,860 | ||||||
Digi International Inc* | 2,028 | 47,374 | ||||||
Diodes Inc* | 2,808 | 220,484 | ||||||
Donnelley Financial Solutions Inc* | 2,235 | 58,088 | ||||||
DSP Group Inc* | 1,647 | 25,644 | ||||||
Ebix Inc | 1,594 | 38,862 | ||||||
ExlService Holdings Inc* | 2,297 | 194,372 | ||||||
FormFactor Inc* | 5,154 | 233,837 | ||||||
Glu Mobile Inc* | 8,249 | 102,948 | ||||||
Insight Enterprises Inc* | 2,358 | 197,105 | ||||||
Kulicke & Soffa Industries Inc | 4,158 | 207,318 | ||||||
LivePerson Inc* | 4,137 | 271,470 | ||||||
ManTech International Corp | 1,815 | 141,860 | ||||||
MaxLinear Inc* | 4,450 | 176,977 | ||||||
MicroStrategy Inc* | 486 | 364,699 | ||||||
MTS Systems Corp | 1,275 | 74,409 | ||||||
NextGen Healthcare Inc* | 3,468 | 64,852 | ||||||
OneSpan Inc* | 2,332 | 54,476 | ||||||
Onto Innovation Inc* | 3,282 | 204,994 | ||||||
PDF Solutions Inc* | 1,992 | 36,573 | ||||||
Photronics Inc* | 4,813 | 57,323 | ||||||
Pitney Bowes Inc | 9,991 | 84,724 | ||||||
Power Integrations Inc(a) | 4,019 | 355,159 | ||||||
Progress Software Corp | 3,012 | 128,130 | ||||||
Rambus Inc* | 7,582 | 159,070 | ||||||
Simulations Plus Inc | 871 | 62,468 | ||||||
SPS Commerce Inc* | 2,361 | 237,824 | ||||||
Sykes Enterprises Inc* | 2,760 | 112,774 | ||||||
Tabula Rasa HealthCare Inc* | 1,408 | 57,094 | ||||||
TTEC Holdings Inc | 1,265 | 106,437 | ||||||
Ultra Clean Holdings Inc* | 2,695 | 124,994 | ||||||
Unisys Corp* | 3,709 | 91,056 | ||||||
Veeco Instruments Inc* | 3,502 | 75,293 | ||||||
Xperi Holding Corp | 7,293 | 153,882 | ||||||
Total Technology | 6,123,485 | |||||||
Utilities (1.42%) | ||||||||
American States Water Co | 2,480 | $ | 181,164 | |||||
Avista Corp | 4,542 | 182,634 | ||||||
California Water Service Group | 3,304 | 181,555 | ||||||
Chesapeake Utilities Corp | 1,162 | 122,858 | ||||||
Northwest Natural Holding Co | 2,034 | 97,612 | ||||||
South Jersey Industries Inc | 6,618 | 166,178 | ||||||
Total Utilities | 932,001 | |||||||
Total Common Stock (Cost $40,628,131) | 65,135,200 | |||||||
Right (0.00%) | ||||||||
Lantheus Holdings Inc (Cost $0)(b) | 6,190 | 0 | ||||||
United States Treasury Bills (0.15%) | ||||||||
Lantheus Holdings Inc (Cost $0)(b) | 100,000 | 99,995 | ||||||
Total Investments (Cost $40,728,121)(c) (99.73%) | $ | 65,235,195 | ||||||
Other Net Assets (0.27%) | 179,230 | |||||||
Net Assets (100.00%) | $ | 65,414,425 |
* Non-income producing security. | |
(a) A portion of these shares have been pledged in connection with obligations for futures contracts. | |
(b) Level 3 security fair valued under procedures established by the Board of Trustees, represents 0% of net assets. The total value of the fair value securities is $0. | |
(c) Aggregate cost for federal income tax purpose is $40,754,337. | |
At February 28, 2021, unrealized appreciation/(depreciation) of securities for federal income tax purposes is as follows: |
Unrealized appreciation | $ | 27,916,383 | ||
Unrealized depreciation | (3,435,525 | ) | ||
Net unrealized appreciation | $ | 24,480,858 |
Because tax adjustments are calculated annually, the above tax figures reflect the tax adjustments outstanding at the Fund’s previous fiscal year end. For the previous fiscal year’s federal income tax information, please refer to the Notes to Financial Statements section in the Fund’s most recent semi-annual and annual reports. |
Futures contracts at February 28, 2021: |
Contracts - $50 times premium / delivery month / commitment / exchange |
Russell 2000 MINI | Notional Amount | Value | Unrealized Depreciation | |||||||||
2 / MAR 2021 / Long / CME | $ | 227,825 | $ | 219,920 | $ | (7,905 | ) |
See accompanying notes to financial statements.
17
Shelton Core Value Fund | Portfolio of Investments (Unaudited) | 2/28/21 |
Security Description | Shares | Value | ||||||
Common Stock (94.10%) | ||||||||
Basic Materials (3.87%) | ||||||||
Dow Inc(a) | 35,000 | $ | 2,075,850 | |||||
DuPont de Nemours Inc(a) | 25,000 | 1,758,000 | ||||||
Linde PLC | 5,000 | 1,221,350 | ||||||
Newmont Corp(a) | 22,200 | 1,207,236 | ||||||
Sensient Technologies Corp(a) | 8,500 | 661,725 | ||||||
Total Basic Materials | 6,924,161 | |||||||
Communications (14.68%) | ||||||||
Alphabet Inc - Class A* | 1,100 | 2,224,101 | ||||||
Alphabet Inc - Class C* | 1,100 | 2,240,546 | ||||||
Amazon.com Inc*,(a) | 1,500 | 4,639,395 | ||||||
AT&T Inc(a) | 30,000 | 836,700 | ||||||
Cisco Systems Inc(a) | 52,500 | 2,355,675 | ||||||
Comcast Corp(a) | 32,500 | 1,713,400 | ||||||
Facebook Inc* | 11,200 | 2,885,344 | ||||||
Motorola Solutions Inc(a) | 11,300 | 1,982,924 | ||||||
T-Mobile US Inc*,(a) | 15,600 | 1,871,532 | ||||||
Verizon Communications Inc(a) | 54,300 | 3,002,790 | ||||||
The Walt Disney Co*,(a) | 13,300 | 2,514,232 | ||||||
Total Communications | 26,266,639 | |||||||
Consumer, Cyclical (7.35%) | ||||||||
Amerityre Corp*,(a) | 20,000,000 | 1,642,000 | ||||||
Costco Wholesale Corp(a) | 5,900 | 1,952,900 | ||||||
Dollar General Corp(a) | 11,000 | 2,078,890 | ||||||
Domino’s Pizza Inc(a) | 5,000 | 1,732,550 | ||||||
Ford Motor Co* | 120,000 | 1,404,000 | ||||||
The Home Depot Inc(a) | 11,100 | 2,867,574 | ||||||
Target Corp(a) | 8,000 | 1,467,520 | ||||||
Total Consumer, Cyclical | 13,145,434 | |||||||
Consumer, Non-Cyclical (17.24%) | ||||||||
Abbott Laboratories | 14,000 | 1,676,920 | ||||||
AbbVie Inc | 10,000 | 1,077,400 | ||||||
AmerisourceBergen Corp | 10,000 | 1,012,200 | ||||||
Amgen Inc(a) | 8,500 | 1,911,820 | ||||||
Anthem Inc(a) | 6,000 | 1,819,140 | ||||||
Biogen Inc*,(a) | 7,300 | 1,992,024 | ||||||
Boston Scientific Corp*,(a) | 55,000 | 2,132,900 | ||||||
Bristol-Myers Squibb Co(a) | 7,500 | 459,975 | ||||||
Colgate-Palmolive Co | 7,400 | 556,480 | ||||||
Conagra Brands Inc(a) | 23,000 | 780,390 | ||||||
CVS Health Corp(a) | 27,400 | 1,866,762 | ||||||
Gilead Sciences Inc(a) | 10,000 | 614,000 | ||||||
Johnson & Johnson(a) | 12,600 | 1,996,596 | ||||||
Merck & Co Inc(a) | 10,000 | 726,200 | ||||||
PayPal Holdings Inc*,(a) | 7,000 | 1,818,950 | ||||||
Pfizer Inc(a) | 53,800 | 1,801,762 | ||||||
Quest Diagnostics Inc(a) | 17,500 | 2,022,825 | ||||||
Regeneron Pharmaceuticals Inc*,(a) | 3,700 | 1,667,109 | ||||||
Sprouts Farmers Market Inc*,(a) | 141,800 | 2,993,398 | ||||||
Vertex Pharmaceuticals Inc*,(a) | 8,400 | 1,785,420 | ||||||
Viatris Inc*,(a) | 10,000 | 148,500 | ||||||
Total Consumer, Non-Cyclical | 30,860,771 | |||||||
Energy (6.65%) | ||||||||
BP PLC | 52,000 | $ | 1,269,320 | |||||
Chevron Corp | 35,200 | 3,520,000 | ||||||
ConocoPhillips | 16,000 | 832,160 | ||||||
Exxon Mobil Corp | 45,000 | 2,446,650 | ||||||
Phillips 66(a) | 23,000 | 1,910,150 | ||||||
Royal Dutch Shell PLC(a) | 20,000 | 820,600 | ||||||
Schlumberger NV(a) | 39,100 | 1,091,281 | ||||||
Total Energy | 11,890,161 | |||||||
Financial (19.77%) | ||||||||
Banks (11.34%) | ||||||||
Bank of America Corp | 90,000 | 3,123,900 | ||||||
Citigroup Inc | 36,300 | 2,391,444 | ||||||
The Goldman Sachs Group Inc | 11,000 | 3,514,280 | ||||||
JPMorgan Chase & Co | 23,000 | 3,384,910 | ||||||
Morgan Stanley(a) | 45,000 | 3,459,150 | ||||||
SVB Financial Group*,(a) | 4,000 | 2,021,440 | ||||||
US Bancorp(a) | 10,000 | 500,000 | ||||||
Wells Fargo & Co(a) | 52,500 | 1,898,925 | ||||||
20,294,049 | ||||||||
Diversified Financial Service (6.12%) | ||||||||
Capital One Financial Corp(a) | 16,000 | 1,923,040 | ||||||
Cboe Global Markets Inc(a) | 20,000 | 1,979,200 | ||||||
The Charles Schwab Corp(a) | 34,000 | 2,098,480 | ||||||
Discover Financial Services(a) | 15,000 | 1,411,050 | ||||||
Mastercard Inc(a) | 10,000 | 3,538,500 | ||||||
10,950,270 | ||||||||
Insurance (0.32%) | ||||||||
Principal Financial Group Inc(a) | 10,000 | 565,800 | ||||||
Real Estate (1.99%) | ||||||||
American Tower Corp(a) | 7,800 | 1,685,814 | ||||||
Equinix Inc(a) | 2,900 | 1,880,186 | ||||||
3,566,000 | ||||||||
Total Financial | 35,376,119 | |||||||
Industrial (8.66%) | ||||||||
Atlas Corp(a) | 25,000 | 335,750 | ||||||
Carrier Global Corp(a) | 11,000 | 401,830 | ||||||
Caterpillar Inc | 12,000 | 2,590,560 | ||||||
Deere & Co(a) | 6,600 | 2,304,192 | ||||||
FedEx Corp(a) | 7,100 | 1,806,950 | ||||||
Lockheed Martin Corp(a) | 5,300 | 1,750,325 | ||||||
Masco Corp(a) | 30,000 | 1,596,600 | ||||||
Otis Worldwide Corp(a) | 6,000 | 382,260 | ||||||
Raytheon Technologies Corp(a) | 32,700 | 2,354,073 | ||||||
Union Pacific Corp(a) | 9,600 | 1,977,216 | ||||||
Total Industrial | 15,499,756 | |||||||
Technology (13.52%) | ||||||||
Adobe Inc*,(a) | 4,500 | 2,068,515 | ||||||
Apple Inc | 40,700 | 4,935,282 | ||||||
Fiserv Inc*,(a) | 15,000 | 1,730,550 | ||||||
Intel Corp | 26,000 | 1,580,280 | ||||||
Intuit Inc(a) | 4,000 | 1,560,560 | ||||||
Microsoft Corp(a) | 18,000 | 4,182,840 | ||||||
Oracle Corp(a) | 43,000 | $ | 2,773,930 | |||||
QUALCOMM Inc(a) | 12,200 | 1,661,518 | ||||||
salesforce.com Inc*,(a) | 8,500 | 1,840,250 | ||||||
Seagate Technology PLC(a) | 10,000 | 732,300 | ||||||
Take-Two Interactive Software Inc*,(a) | 6,100 | 1,125,206 | ||||||
Total Technology | 24,191,231 | |||||||
Utilities (2.36%) | ||||||||
American Electric Power Co Inc(a) | 1,200 | 89,820 | ||||||
Consolidated Edison Inc | 16,200 | 1,063,530 | ||||||
Dominion Energy Inc(a) | 24,400 | 1,667,008 | ||||||
Duke Energy Corp(a) | 16,300 | 1,395,117 | ||||||
Total Utilities | 4,215,475 | |||||||
Total Common Stock (Cost $147,344,046) | 168,369,747 | |||||||
United States Treasury Bills (5.48%) | ||||||||
0.032%, 04/15/21 (Cost $9,799,193)(a) | 9,800,000 | 9,799,510 | ||||||
Total Investments (Cost $157,143,239)(b) (99.58%) | $ | 178,169,257 | ||||||
Other Net Assets (0.42%) | 750,950 | |||||||
Net Assets (100.00%) | $ | 178,920,207 |
* Non-income producing security. | |
(a) A portion of these shares have been pledged to cover collateral requirements for written options contracts. | |
(b) Aggregate cost for federal income tax purpose is $155,936,909. | |
At February 28, 2021, unrealized appreciation/(depreciation) of securities for federal income tax purposes is as follows: |
Unrealized appreciation | $ | 28,457,931 | ||
Unrealized depreciation | (6,225,583 | ) | ||
Net unrealized appreciation | $ | 22,232,348 |
Because tax adjustments are calculated annually, the above tax figures reflect the tax adjustments outstanding at the Fund’s previous fiscal year end. For the previous fiscal year’s federal income tax information, please refer to the Notes to Financial Statements section in the Fund’s most recent semi-annual and annual reports. |
See accompanying notes to financial statements.
18
Shelton Core Value Fund | Portfolio of Investments (Unaudited) (Continued) | 2/28/21 |
Written Call Options | Expiration | Contracts | Strike | Notional | Value | |||||||||||||||
Abbott Laboratories | 3/19/2021 | (40 | ) | $ | 115.00 | $ | 460,000 | $ | (26,000 | ) | ||||||||||
AbbVie Inc | 3/19/2021 | (30 | ) | 115.00 | 345,000 | (1,800 | ) | |||||||||||||
Adobe Inc | 3/19/2021 | (15 | ) | 510.00 | 765,000 | (2,625 | ) | |||||||||||||
American Electric Power Co Inc | 3/19/2021 | (12 | ) | 85.00 | 102,000 | (120 | ) | |||||||||||||
AmerisourceBergen Corp | 3/19/2021 | (30 | ) | 110.00 | 330,000 | (4,410 | ) | |||||||||||||
Amgen Inc | 3/19/2021 | (30 | ) | 255.00 | 765,000 | (1,050 | ) | |||||||||||||
Anthem Inc | 3/19/2021 | (15 | ) | 330.00 | 495,000 | (2,625 | ) | |||||||||||||
Bank of America Corp | 3/19/2021 | (100 | ) | 37.00 | 370,000 | (3,500 | ) | |||||||||||||
Boston Scientific Corp | 3/19/2021 | (150 | ) | 39.00 | 585,000 | (20,700 | ) | |||||||||||||
Bristol-Myers Squibb Co | 3/19/2021 | (20 | ) | 70.00 | 140,000 | (160 | ) | |||||||||||||
The Charles Schwab Corp | 3/19/2021 | (40 | ) | 60.00 | 240,000 | (13,800 | ) | |||||||||||||
Cboe Global Markets Inc | 3/19/2021 | (100 | ) | 105.00 | 1,050,000 | (13,200 | ) | |||||||||||||
Chevron Corp | 3/19/2021 | (42 | ) | 105.00 | 441,000 | (6,930 | ) | |||||||||||||
Cisco Systems Inc | 3/19/2021 | (125 | ) | 48.00 | 600,000 | (1,875 | ) | |||||||||||||
Citigroup Inc | 3/19/2021 | (63 | ) | 70.00 | 441,000 | (5,418 | ) | |||||||||||||
Colgate-Palmolive Co | 3/19/2021 | (24 | ) | 82.50 | 198,000 | (192 | ) | |||||||||||||
ConocoPhillips | 3/19/2021 | (30 | ) | 50.00 | 150,000 | (10,950 | ) | |||||||||||||
Deere & Co | 3/19/2021 | (16 | ) | 320.00 | 512,000 | (55,200 | ) | |||||||||||||
Domino’s Pizza Inc | 3/19/2021 | (20 | ) | 420.00 | 840,000 | (260 | ) | |||||||||||||
Dow Inc | 3/19/2021 | (50 | ) | 65.00 | 325,000 | (2,050 | ) | |||||||||||||
Exxon Mobil Corp | 3/19/2021 | (100 | ) | 57.50 | 575,000 | (10,500 | ) | |||||||||||||
Fiserv Inc | 3/19/2021 | (50 | ) | 115.00 | 575,000 | (22,500 | ) | |||||||||||||
The Goldman Sachs Group Inc | 3/19/2021 | (20 | ) | 330.00 | 660,000 | (10,800 | ) | |||||||||||||
The Home Depot Inc | 3/19/2021 | (31 | ) | 285.00 | 883,500 | (2,170 | ) | |||||||||||||
Johnson & Johnson | 3/19/2021 | (126 | ) | 170.00 | 2,142,000 | (8,190 | ) | |||||||||||||
JPMorgan Chase & Co | 3/19/2021 | (40 | ) | 155.00 | 620,000 | (6,200 | ) | |||||||||||||
Mastercard Inc | 3/19/2021 | (50 | ) | 355.00 | 1,775,000 | (52,500 | ) | |||||||||||||
Morgan Stanley | 3/19/2021 | (100 | ) | 82.50 | 825,000 | (7,600 | ) | |||||||||||||
Motorola Solutions Inc | 3/19/2021 | (113 | ) | 190.00 | 2,147,000 | (9,040 | ) | |||||||||||||
QUALCOMM Inc | 3/19/2021 | (22 | ) | 170.00 | 374,000 | (330 | ) | |||||||||||||
Regeneron Pharmaceuticals Inc | 3/19/2021 | (17 | ) | 550.00 | 935,000 | (1,275 | ) | |||||||||||||
salesforce.com Inc | 3/19/2021 | (25 | ) | 260.00 | 650,000 | (950 | ) | |||||||||||||
Schlumberger NV | 3/19/2021 | (91 | ) | 30.00 | 273,000 | (6,643 | ) | |||||||||||||
The Walt Disney Co | 3/19/2021 | (33 | ) | 200.00 | 660,000 | (9,108 | ) | |||||||||||||
Vertex Pharmaceuticals Inc | 3/19/2021 | (24 | ) | 240.00 | 576,000 | (1,992 | ) | |||||||||||||
Total Written Call Options (Premiums Received $316,837) | $ | 22,824,500 | $ | (322,663 | ) |
Nasdaq-100 Index Fund | Portfolio of Investments (Unaudited) | 2/28/21 |
Security Description | Shares | Value | ||||||
Common Stock (98.20%) | ||||||||
Communications (30.94%) | ||||||||
Internet (24.90%) | ||||||||
Alphabet Inc - Class A* | 16,032 | $ | 32,415,261 | |||||
Alphabet Inc - Class C* | 17,592 | 35,832,441 | ||||||
Amazon.com Inc*,(a) | 26,759 | 82,763,714 | ||||||
Baidu Inc* | 22,411 | 6,352,622 | ||||||
Booking Holdings Inc* | 3,323 | 7,737,639 | ||||||
CDW Corp | 11,603 | 1,820,395 | ||||||
eBay Inc | 55,942 | 3,156,248 | ||||||
Facebook Inc*,(a) | 128,202 | 33,027,399 | ||||||
JD.com Inc* | 70,720 | 6,638,486 | ||||||
Match Group Inc* | 21,585 | 3,299,267 | ||||||
MercadoLibre Inc* | 4,039 | 6,616,326 | ||||||
Netflix Inc* | 35,853 | 19,319,389 | ||||||
Okta Inc* | 9,735 | 2,545,216 | ||||||
Pinduoduo Inc* | 24,215 | 4,144,639 | ||||||
Trip.com Group Ltd* | 42,441 | 1,674,297 | ||||||
VeriSign Inc* | 9,260 | 1,796,718 | ||||||
249,140,057 | ||||||||
Media (3.30%) | ||||||||
Charter Communications Inc* | 16,220 | $ | 9,949,672 | |||||
Comcast Corp | 370,536 | 19,534,658 | ||||||
Fox Corp - Class A | 26,337 | 877,285 | ||||||
Fox Corp - Class B | 19,554 | 624,359 | ||||||
Sirius XM Holdings Inc | 344,861 | 2,017,437 | ||||||
33,003,411 | ||||||||
Telecommunications (2.74%) | ||||||||
Cisco Systems Inc | 342,914 | 15,386,551 | ||||||
T-Mobile US Inc* | 100,726 | 12,084,098 | ||||||
27,470,649 | ||||||||
Total Communications | 309,614,117 | |||||||
Consumer, Cyclical (9.19%) | ||||||||
Copart Inc* | 19,162 | 2,091,724 | ||||||
Costco Wholesale Corp | 35,807 | 11,852,118 | ||||||
Dollar Tree Inc* | 19,086 | 1,874,246 | ||||||
Fastenal Co | 46,586 | 2,160,193 | ||||||
Lululemon Athletica Inc* | 10,137 | 3,159,500 | ||||||
Marriott International Inc | 26,320 | 3,897,202 | ||||||
O’Reilly Automotive Inc* | 5,879 | $ | 2,629,853 | |||||
PACCAR Inc | 28,114 | 2,558,093 | ||||||
Peloton Interactive Inc* | 20,735 | 2,497,945 | ||||||
Ross Stores Inc | 28,891 | 3,369,846 | ||||||
Starbucks Corp | 95,249 | 10,289,749 | ||||||
Tesla Inc* | 62,560 | 42,259,280 | ||||||
Walgreens Boots Alliance Inc | 70,271 | 3,368,089 | ||||||
Total Consumer, Cyclical | 92,007,838 | |||||||
Consumer, Non-Cyclical (12.95%) | ||||||||
Alexion Pharmaceuticals Inc* | 17,759 | 2,712,687 | ||||||
Align Technology Inc* | 6,398 | 3,628,370 | ||||||
Amgen Inc | 47,244 | 10,626,120 | ||||||
Automatic Data Processing Inc | 34,799 | 6,055,722 | ||||||
Biogen Inc* | 12,488 | 3,407,725 | ||||||
Cintas Corp | 8,490 | 2,753,647 | ||||||
DexCom Inc* | 7,792 | 3,099,502 | ||||||
Gilead Sciences Inc | 101,727 | 6,246,038 | ||||||
IDEXX Laboratories Inc* | 6,922 | 3,600,617 | ||||||
Illumina Inc* | 11,848 | 5,206,130 | ||||||
Incyte Corp* | 17,772 | 1,397,946 |
See accompanying notes to financial statements.
19
Nasdaq-100 Index Fund | Portfolio of Investments (Unaudited) (Continued) | 2/28/21 |
Security Description | Shares | Value | ||||||
Intuitive Surgical Inc* | 9,540 | $ | 7,029,072 | |||||
Keurig Dr Pepper Inc | 114,203 | 3,485,476 | ||||||
The Kraft Heinz Co | 99,220 | 3,609,624 | ||||||
Moderna Inc* | 32,113 | 4,971,414 | ||||||
Mondelez International Inc | 116,062 | 6,169,856 | ||||||
Monster Beverage Corp* | 42,842 | 3,758,957 | ||||||
PayPal Holdings Inc* | 95,086 | 24,708,097 | ||||||
PepsiCo Inc | 112,150 | 14,488,659 | ||||||
Regeneron Pharmaceuticals Inc* | 8,509 | 3,833,900 | ||||||
Seagen Inc* | 14,632 | 2,211,042 | ||||||
Verisk Analytics Inc | 13,194 | 2,161,837 | ||||||
Vertex Pharmaceuticals Inc* | 21,102 | 4,485,230 | ||||||
Total Consumer, Non-Cyclical | 129,647,668 | |||||||
Industrial (0.56%) | ||||||||
CSX Corp | 62,063 | 5,681,868 | ||||||
Technology (43.70%) | ||||||||
Computers (11.43%) | ||||||||
Apple Inc(a) | 906,705 | 109,947,048 | ||||||
Check Point Software Technologies Ltd* | 11,377 | 1,254,200 | ||||||
Cognizant Technology Solutions Corp | 43,387 | 3,188,077 | ||||||
114,389,325 | ||||||||
Semiconductors (14.94%) | ||||||||
Advanced Micro Devices Inc* | 97,604 | 8,248,514 | ||||||
Analog Devices Inc | 29,984 | 4,672,107 | ||||||
Applied Materials Inc | 74,115 | 8,759,652 | ||||||
ASML Holding NV | 6,146 | 3,485,335 | ||||||
Broadcom Inc | 32,826 | 15,423,953 | ||||||
Intel Corp | 332,566 | 20,213,361 | ||||||
KLA Corp | 12,534 | 3,900,957 | ||||||
Lam Research Corp | 11,686 | 6,628,182 | ||||||
Marvell Technology Group Ltd | 54,385 | 2,625,708 | ||||||
Maxim Integrated Products Inc | 21,692 | 2,021,044 | ||||||
Microchip Technology Inc | 21,130 | 3,225,072 | ||||||
Micron Technology Inc* | 90,341 | 8,268,912 | ||||||
NVIDIA Corp | 50,233 | 27,556,819 | ||||||
NXP Semiconductors NV | 22,702 | $ | 4,144,250 | |||||
QUALCOMM Inc | 91,784 | 12,500,063 | ||||||
Skyworks Solutions Inc | 13,478 | 2,396,658 | ||||||
Texas Instruments Inc | 74,494 | 12,833,081 | ||||||
Xilinx Inc | 19,892 | 2,591,928 | ||||||
149,495,596 | ||||||||
Software (17.33%) | ||||||||
Activision Blizzard Inc | 62,719 | 5,996,564 | ||||||
Adobe Inc* | 38,930 | 17,894,953 | ||||||
ANSYS Inc* | 6,969 | 2,376,359 | ||||||
Atlassian Corp PLC* | 10,725 | 2,549,333 | ||||||
Autodesk Inc* | 17,795 | 4,911,420 | ||||||
Cadence Design Systems Inc* | 22,636 | 3,193,713 | ||||||
Cerner Corp | 24,880 | 1,720,203 | ||||||
DocuSign Inc* | 15,026 | 3,405,793 | ||||||
Electronic Arts Inc | 23,522 | 3,151,242 | ||||||
Fiserv Inc* | 54,408 | 6,277,051 | ||||||
Intuit Inc | 21,322 | 8,318,565 | ||||||
Microsoft Corp | 403,202 | 93,696,080 | ||||||
NetEase Inc | 26,800 | 2,943,980 | ||||||
Paychex Inc | 29,174 | 2,656,876 | ||||||
Splunk Inc* | 13,016 | 1,861,418 | ||||||
Synopsys Inc* | 12,315 | 3,019,761 | ||||||
Workday Inc* | 14,607 | 3,581,344 | ||||||
Zoom Video Communications Inc* | 15,805 | 5,904,906 | ||||||
173,459,561 | ||||||||
Total Technology | 437,344,482 | |||||||
Utilities (0.86%) | ||||||||
American Electric Power Co Inc | 40,283 | 3,015,183 | ||||||
Exelon Corp | 79,170 | 3,055,962 | ||||||
Xcel Energy Inc | 42,642 | 2,498,395 | ||||||
Total Utilities | 8,569,540 | |||||||
Total Common Stock (Cost $392,164,603) | 982,865,513 | |||||||
United States Treasury Bills (1.75%) | ||||||||
0.032%, 04/15/21 (Cost $17,498,256)(a) | 17,500,000 | $ | 17,499,125 | |||||
Total Investments (Cost $409,662,859)(b) (99.95%) | $ | 1,000,364,638 | ||||||
Other Net Assets (0.05%) | 471,329 | |||||||
Net Assets (100.00%) | $ | 1,000,835,967 |
* Non-income producing security. | |
(a) A portion of these shares have been pledged in connection with obligations for futures contracts. | |
(b) Aggregate cost for federal income tax purpose is $410,294,526. | |
At February 28, 2021, unrealized appreciation/(depreciation) of securities for federal income tax purposes is as follows: |
Unrealized appreciation | $ | 597,252,065 | ||
Unrealized depreciation | (7,181,953 | ) | ||
Net unrealized appreciation | $ | 590,070,112 |
Because tax adjustments are calculated annually, the above tax figures reflect the tax adjustments outstanding at the Fund’s previous fiscal year end. For the previous fiscal year’s federal income tax information, please refer to the Notes to Financial Statements section in the Fund’s most recent semi-annual and annual reports. |
Futures contracts at February 28, 2021: |
Contracts - $20 times premium / delivery month / commitment / exchange |
Nasdaq 100 E-MINI | Notional Amount | Value | Unrealized Depreciation | |||||||||
69 / MAR 2021 / Long / CME | $ | 18,478,705 | $ | 17,817,180 | $ | (661,525 | ) |
Shelton Green Alpha Fund | Portfolio of Investments (Unaudited) | 2/28/21 |
Security Description | Shares | Value | ||||||
Common Stock (90.84%) | ||||||||
Basic Materials (3.45%) | ||||||||
Daqo New Energy Corp* | 90,000 | $ | 9,382,500 | |||||
Communications (3.29%) | ||||||||
Arista Networks Inc* | 5,000 | 1,399,200 | ||||||
SK Telecom Co Ltd | 122,000 | 2,937,760 | ||||||
Switch Inc | 265,000 | 4,595,100 | ||||||
Total Communications | 8,932,060 | |||||||
Consumer, Cyclical (5.19%) | ||||||||
Interface Inc | 25,000 | 310,500 | ||||||
Kandi Technologies Group Inc* | 330,000 | 2,336,400 | ||||||
Steelcase Inc | 95,000 | 1,324,300 | ||||||
Tesla Inc* | 15,000 | 10,132,500 | ||||||
Total Consumer, Cyclical | 14,103,700 | |||||||
Consumer, Non-Cyclical (19.83%) | ||||||||
10X Genomics Inc* | 15,000 | 2,669,850 | ||||||
Arcturus Therapeutics Holdings Inc* | 13,000 | $ | 684,710 | |||||
CRISPR Therapeutics AG* | 69,000 | 8,672,610 | ||||||
CureVac NV* | 24,000 | 2,263,200 | ||||||
Danone SA | 110,000 | 1,500,400 | ||||||
Editas Medicine Inc* | 122,000 | 5,350,920 | ||||||
Illumina Inc* | 4,000 | 1,757,640 | ||||||
Intellia Therapeutics Inc* | 68,300 | 4,129,418 | ||||||
Invitae Corp* | 95,000 | 3,812,350 | ||||||
Moderna Inc* | 72,000 | 11,146,320 | ||||||
Natural Grocers by Vitamin Cottage Inc | 205,000 | 2,886,400 | ||||||
Pacific Biosciences of California Inc* | 62,000 | 1,895,340 | ||||||
Personalis Inc* | 40,000 | 1,233,200 | ||||||
Pluristem Therapeutics Inc* | 180,000 | 1,141,200 | ||||||
Sprouts Farmers Market Inc* | 60,000 | 1,266,600 | ||||||
Square Inc* | 15,000 | 3,450,450 | ||||||
Total Consumer, Non-Cyclical | 53,860,608 | |||||||
Energy (20.85%) | ||||||||
Azure Power Global Ltd* | 65,000 | $ | 1,970,800 | |||||
Canadian Solar Inc* | 101,000 | 4,739,930 | ||||||
Enphase Energy Inc* | 24,000 | 4,225,440 | ||||||
First Solar Inc* | 52,000 | 4,213,040 | ||||||
JinkoSolar Holding Co Ltd* | 220,000 | 11,294,800 | ||||||
Maxeon Solar Technologies Ltd* | 135,000 | 4,545,450 | ||||||
SolarEdge Technologies Inc* | 8,500 | 2,535,635 | ||||||
SunPower Corp* | 190,000 | 6,606,300 | ||||||
TPI Composites Inc* | 109,000 | 5,194,940 | ||||||
Vestas Wind Systems A/S | 180,000 | 11,313,000 | ||||||
Total Energy | 56,639,335 | |||||||
Financial (9.30%) | ||||||||
Alexandria Real Estate Equities Inc | 19,000 | 3,034,110 | ||||||
Digital Realty Trust Inc | 28,000 | 3,772,440 | ||||||
Equinix Inc | 3,000 | 1,945,020 | ||||||
Hannon Armstrong Sustainable Infrastructure Capital Inc | 116,000 | 6,522,680 |
See accompanying notes to financial statements.
20
Shelton Green Alpha Fund | Portfolio of Investments (Unaudited) (Continued) | 2/28/21 |
Security Description | Shares | Value | ||||||
Horizon Technology Finance Corp | 240,000 | $ | 3,542,400 | |||||
Hudson Pacific Properties Inc | 190,000 | 4,862,100 | ||||||
Kilroy Realty Corp | 25,000 | 1,586,500 | ||||||
Total Financial | 25,265,250 | |||||||
Industrial (3.33%) | ||||||||
ABB Ltd | 100,000 | 2,878,000 | ||||||
Advanced Energy Industries Inc | 19,000 | 1,984,550 | ||||||
Trex Co Inc* | 18,000 | 1,649,520 | ||||||
Universal Display Corp | 12,000 | 2,540,280 | ||||||
Total Industrial | 9,052,350 | |||||||
Technology (20.99%) | ||||||||
Analog Devices Inc | 12,000 | 1,869,840 | ||||||
Apple Inc | 18,000 | 2,182,680 | ||||||
Applied Materials Inc | 80,000 | 9,455,200 | ||||||
ASML Holding NV | 3,000 | 1,701,270 | ||||||
Cadence Design Systems Inc* | 5,100 | 719,559 | ||||||
Cree Inc* | 16,000 | 1,815,360 | ||||||
Fortinet Inc* | 10,500 | 1,772,925 | ||||||
Infineon Technologies AG | 145,000 | 6,329,250 | ||||||
International Business Machines Corp | 50,000 | $ | 5,946,500 | |||||
Lam Research Corp | 10,300 | 5,842,057 | ||||||
NVIDIA Corp | 3,700 | 2,029,746 | ||||||
QUALCOMM Inc | 44,000 | 5,992,360 | ||||||
Splunk Inc* | 4,000 | 572,040 | ||||||
Taiwan Semiconductor Manufacturing Co Ltd | 76,000 | 9,571,440 | ||||||
Ultra Clean Holdings Inc* | 25,000 | 1,159,500 | ||||||
Total Technology | 56,959,727 | |||||||
Utilities (4.61%) | ||||||||
Brookfield Renewable Corp | 271,000 | 12,514,780 | ||||||
Total Common Stock (Cost $164,334,942) | 246,710,310 | |||||||
Total Investments (Cost $164,334,942)(a) (90.84%) | $ | 246,710,310 | ||||||
Other Net Assets (9.16%) | 24,889,763 | |||||||
Net Assets (100.00%) | $ | 271,600,073 |
* Non-income producing security. | |
(a) Aggregate cost for federal income tax purpose is $164,617,635. | |
At February 28, 2021, unrealized appreciation/(depreciation) of securities for federal income tax purposes is as follows: |
Unrealized appreciation | $ | 85,486,209 | ||
Unrealized depreciation | (3,393,534 | ) | ||
Net unrealized appreciation | $ | 82,092,675 |
Because tax adjustments are calculated annually, the above tax figures reflect the tax adjustments outstanding at the Fund’s previous fiscal year end. For the previous fiscal year’s federal income tax information, please refer to the Notes to Financial Statements section in the Fund’s most recent semi-annual and annual reports. |
See accompanying notes to financial statements.
21
Statements of Assets & Liabilities February 28, 2021 (Unaudited) |
Green | U.S. | The United | S&P 500 | S&P MidCap | ||||||||||||||||
Assets | ||||||||||||||||||||
Investments in securities | ||||||||||||||||||||
Cost of investments | $ | 53,880,785 | $ | 20,088,746 | $ | 35,497,059 | $ | 67,660,947 | $ | 75,213,515 | ||||||||||
Market value of investments (Note 1) | 57,967,690 | 20,944,969 | 35,497,059 | 209,968,502 | 122,543,498 | |||||||||||||||
Cash | 70,763 | 349,014 | 218,206 | 97,977 | 363,587 | |||||||||||||||
Interest receivable | 477,980 | 58,586 | — | — | — | |||||||||||||||
Dividend receivable | — | — | — | 288,738 | 93,064 | |||||||||||||||
Appreciation on futures | — | — | — | — | 24,980 | |||||||||||||||
Receivable from investment advisor | — | 8,640 | 9,122 | — | — | |||||||||||||||
Receivable for fund shares sold | 93,937 | 25,526 | 8,844 | 55,359 | 38,398 | |||||||||||||||
Receivable for investment securities Sold | — | — | — | 30,251 | — | |||||||||||||||
Prepaid expenses | 887 | 1,139 | 975 | 2,994 | 1,622 | |||||||||||||||
Total assets | $ | 58,611,257 | $ | 21,387,874 | $ | 35,734,206 | $ | 210,443,821 | $ | 123,065,149 | ||||||||||
Liabilities | ||||||||||||||||||||
Depreciation on futures | — | — | — | 5,253 | — | |||||||||||||||
Cash due to broker | — | — | — | 888 | 57,740 | |||||||||||||||
Payable to investment advisor | 22,764 | 8,257 | — | 41,177 | 37,598 | |||||||||||||||
Payable for fund shares purchased | 4,278 | 121,177 | 119,078 | 68,649 | 98,705 | |||||||||||||||
Distributions payable | 84,962 | 17,008 | — | 1,664 | — | |||||||||||||||
Accrued 12b-1 fees | — | 336 | — | 669 | 262 | |||||||||||||||
Accrued shareholder service fees | — | — | — | 220 | 69 | |||||||||||||||
Accrued administration fees | 3,404 | 1,235 | 2,114 | 12,314 | 7,027 | |||||||||||||||
Accrued CCO fees | 4,815 | 123 | 199 | 9,683 | 4,539 | |||||||||||||||
Accrued custody fees | 2,773 | 729 | 1,046 | 7,585 | 4,278 | |||||||||||||||
Accrued fund accounting fees | 18,105 | 10,100 | 10,663 | 32,227 | 23,707 | |||||||||||||||
Accrued printing fees | 3,083 | 2,191 | 1,456 | 6,825 | 7,013 | |||||||||||||||
Accrued state registration fees | 4,207 | 7,692 | 2,587 | 4,487 | 8,769 | |||||||||||||||
Accrued transfer agent fees | 7,349 | 4,681 | 2,665 | 17,199 | 16,118 | |||||||||||||||
Accrued trustee fees | 724 | 420 | 442 | 702 | 809 | |||||||||||||||
Accrued expenses | 7,065 | 946 | 1,733 | 29,014 | 20,936 | |||||||||||||||
Total liabilities | 163,529 | 174,895 | 141,983 | 238,556 | 287,570 | |||||||||||||||
Net assets | $ | 58,447,728 | $ | 21,212,979 | $ | 35,592,223 | $ | 210,205,265 | $ | 122,777,579 | ||||||||||
Net assets at February 28, 2021 consist of | ||||||||||||||||||||
Paid-in capital | $ | 54,538,858 | $ | 20,398,942 | $ | 35,593,916 | $ | 61,957,019 | $ | 71,494,667 | ||||||||||
Distributable earnings/(loss) | 3,908,870 | 814,037 | (1,693 | ) | 148,248,246 | 51,282,912 | ||||||||||||||
Total net assets | $ | 58,447,728 | $ | 21,212,979 | $ | 35,592,223 | $ | 210,205,265 | $ | 122,777,579 | ||||||||||
Net assets | ||||||||||||||||||||
Direct Shares | $ | 58,447,728 | $ | 19,599,237 | $ | 35,592,223 | $ | 206,853,754 | $ | 121,374,030 | ||||||||||
K Shares | $ | 1,613,742 | $ | 3,351,511 | $ | 1,403,549 | ||||||||||||||
Shares outstanding | ||||||||||||||||||||
Direct Shares (no par value, unlimited shares authorized) | 5,035,048 | 1,846,134 | 35,600,612 | 3,286,751 | 4,392,288 | |||||||||||||||
K Shares (no par value, unlimited shares authorized) | 151,691 | 53,402 | 52,734 | |||||||||||||||||
Net asset value per share | ||||||||||||||||||||
Direct Shares | $ | 11.61 | $ | 10.62 | $ | 1.00 | $ | 62.94 | $ | 27.63 | ||||||||||
K Shares | $ | 10.64 | $ | 62.76 | $ | 26.62 |
See accompanying notes to financial statements.
22
Statements of Assets & Liabilities |
S&P | Shelton | Nasdaq-100 | Shelton Green | |||||||||||||
Assets | ||||||||||||||||
Investments in securities | ||||||||||||||||
Cost of investments | $ | 40,728,121 | $ | 157,143,239 | $ | 409,662,859 | $ | 164,334,942 | ||||||||
Market value of investments (Note 1) | 65,235,195 | 178,169,257 | 1,000,364,638 | 246,710,310 | ||||||||||||
Cash | 296,044 | 922,693 | 1,761,419 | 27,008,288 | ||||||||||||
Cash held at broker | — | 58,667 | 109,704 | — | ||||||||||||
Dividend receivable | 32,266 | 343,786 | 653,783 | 291,777 | ||||||||||||
Receivable from investment advisor | — | — | 111,483 | — | ||||||||||||
Receivable for fund shares sold | 115,058 | 155,384 | 944,336 | 1,085,154 | ||||||||||||
Receivable for investment securities Sold | — | — | — | 1,143,057 | ||||||||||||
Prepaid expenses | 623 | 2,196 | 37,088 | 4,090 | ||||||||||||
Total assets | $ | 65,679,186 | $ | 179,651,983 | $ | 1,003,982,451 | $ | 276,242,676 | ||||||||
Liabilities | ||||||||||||||||
Written options, at value (proceeds $—, $316,837, $— and $— repectively) | — | 322,663 | — | — | ||||||||||||
Depreciation on futures | 7,905 | — | 661,525 | — | ||||||||||||
Cash due to broker | 685 | — | 18,290 | — | ||||||||||||
Payable to investment advisor | 24,935 | 68,703 | 379,274 | 220,817 | ||||||||||||
Payable for investments purchased | — | — | — | 3,552,178 | ||||||||||||
Payable for fund shares purchased | 153,399 | 171,445 | 1,848,337 | 781,195 | ||||||||||||
Distributions payable | — | 350 | — | 2,175 | ||||||||||||
Accrued 12b-1 fees | 628 | 289 | 6,943 | — | ||||||||||||
Accrued shareholder service fees | 71 | 16 | 6,179 | — | ||||||||||||
Accrued administration fees | 3,728 | 10,273 | 60,134 | 16,505 | ||||||||||||
Accrued CCO fees | 3,374 | 5,449 | 5,980 | 2,779 | ||||||||||||
Accrued custody fees | 276 | 6,349 | 19,651 | 3,364 | ||||||||||||
Accrued fund accounting fees | 22,188 | 25,255 | 79,977 | 27,534 | ||||||||||||
Accrued printing fees | 5,027 | 18,833 | — | 7,048 | ||||||||||||
Accrued state registration fees | 9,607 | 6,759 | — | — | ||||||||||||
Accrued transfer agent fees | 9,784 | 76,597 | 58,803 | 13,179 | ||||||||||||
Accrued trustee fees | 782 | 746 | 451 | 1,337 | ||||||||||||
Accrued expenses | 22,372 | 18,049 | 940 | 14,492 | ||||||||||||
Total liabilities | 264,761 | 731,776 | 3,146,484 | 4,642,603 | ||||||||||||
Net assets | $ | 65,414,425 | $ | 178,920,207 | $ | 1,000,835,967 | $ | 271,600,073 | ||||||||
Net assets at February 28, 2021 consist of | ||||||||||||||||
Paid-in capital | $ | 38,646,155 | $ | 155,093,313 | $ | 385,405,312 | $ | 185,343,039 | ||||||||
Distributable earnings/(loss) | 26,768,270 | 23,826,894 | 615,430,655 | 86,257,034 | ||||||||||||
Total net assets | $ | 65,414,425 | $ | 178,920,207 | $ | 1,000,835,967 | $ | 271,600,073 | ||||||||
Net assets | ||||||||||||||||
Direct Shares | $ | 62,021,322 | $ | 177,485,507 | $ | 966,452,062 | $ | 271,600,073 | ||||||||
K Shares | $ | 3,393,103 | $ | 1,434,700 | $ | 34,383,905 | ||||||||||
Shares outstanding | ||||||||||||||||
Direct Shares (no par value, unlimited shares authorized) | 2,391,722 | 10,205,880 | 32,911,000 | 6,131,921 | ||||||||||||
K Shares (no par value, unlimited shares authorized) | 135,285 | 85,055 | 1,211,508 | |||||||||||||
Net asset value per share | ||||||||||||||||
Direct Shares | $ | 25.93 | $ | 17.39 | $ | 29.37 | $ | 44.29 | ||||||||
K Shares | $ | 25.08 | $ | 16.87 | $ | 28.38 |
23
See accompanying notes to financial statements.
Statements of Operations February 28, 2021 (Unaudited) |
Green | U.S. | The United | S&P 500 | S&P MidCap | ||||||||||||||||
Investment income | ||||||||||||||||||||
Interest income | $ | 755,438 | $ | 203,432 | $ | 19,629 | $ | 245 | $ | 186 | ||||||||||
Dividend income (net of foreign tax witheld: $—, $—, $—, $1,664, and $— respectively) | — | — | — | 1,674,885 | 835,930 | |||||||||||||||
Total | 755,438 | 203,432 | 19,629 | 1,675,130 | 836,116 | |||||||||||||||
Expenses | ||||||||||||||||||||
Management fees (Note 2) | 148,692 | 55,168 | 90,655 | 246,912 | 213,964 | |||||||||||||||
Administration fees (Note 2) | 24,051 | 8,934 | 14,679 | 79,641 | 43,043 | |||||||||||||||
Transfer agent fees | 7,295 | 6,757 | 4,418 | 16,211 | 12,709 | |||||||||||||||
Accounting services | 18,129 | 11,961 | 12,608 | 32,685 | 23,463 | |||||||||||||||
Custodian fees | 1,491 | 876 | 1,558 | 6,769 | 5,460 | |||||||||||||||
Legal and audit fees | 7,561 | 5,812 | 6,510 | 14,138 | 10,154 | |||||||||||||||
CCO fees (Note 2) | 2,631 | 972 | 1,609 | 8,838 | 4,799 | |||||||||||||||
Trustees fees | 1,930 | 1,923 | 1,945 | 1,975 | 2,017 | |||||||||||||||
Insurance | 1,077 | 398 | 667 | 3,590 | 1,953 | |||||||||||||||
Printing | 8,601 | 8,581 | 5,935 | 8,528 | 8,689 | |||||||||||||||
Registration and dues | 6,466 | 12,761 | 6,016 | 18,050 | 16,850 | |||||||||||||||
12b-1 fees Class K (Note 2) | — | 2,265 | — | 3,977 | 1,440 | |||||||||||||||
Shareholder service fees Class K (Note 2) | — | 2,265 | — | 3,977 | 1,440 | |||||||||||||||
Licensing fee | — | — | — | 13,433 | 9,190 | |||||||||||||||
Total expenses | 227,924 | 118,673 | 146,600 | 458,724 | 355,171 | |||||||||||||||
Less reimbursement from manager (Note 2) | — | (31,568 | ) | (126,971 | ) | — | — | |||||||||||||
Net expenses | 227,924 | 87,105 | 19,629 | 458,724 | 355,171 | |||||||||||||||
Net investment income | 527,514 | 116,327 | — | 1,216,406 | 480,945 | |||||||||||||||
Realized and unrealized gain (loss) on investments | ||||||||||||||||||||
Net realized gain/(loss) from security transactions and foreign currency | (388 | ) | 5,509 | 86 | 6,847,204 | 6,024,353 | ||||||||||||||
Net realized gain/(loss) from futures contracts | — | — | — | 126,054 | 152,117 | |||||||||||||||
Change in unrealized appreciation/(depreciation) of investments | (744,531 | ) | (672,735 | ) | — | 10,150,482 | 22,434,045 | |||||||||||||
Change in unrealized appreciation/(depreciation) of futures | — | — | — | (20,178 | ) | 5,440 | ||||||||||||||
Net realized and unrealized gain/(loss) on investments | (744,919 | ) | (667,226 | ) | 86 | 17,103,562 | 28,615,955 | |||||||||||||
Net increase/(decrease) in net assets resulting from operations | $ | (217,405 | ) | $ | (550,899 | ) | $ | 86 | $ | 18,319,968 | $ | 29,096,900 |
See accompanying notes to financial statements.
24
Statements of Operations |
S&P | Shelton | Nasdaq-100 | Shelton Green | |||||||||||||
Investment income | ||||||||||||||||
Interest income | $ | 50 | $ | 2,825 | $ | 5,827 | $ | — | ||||||||
Dividend income (net of foreign tax witheld: $404, $3,172, $2,654 and $21,907 respectively) | 381,232 | 1,554,776 | 3,657,428 | 759,209 | ||||||||||||
Other Income | — | — | 225 | — | ||||||||||||
Total | 381,282 | 1,557,601 | 3,663,480 | 759,209 | ||||||||||||
Expenses | ||||||||||||||||
Management fees (Note 2) | 135,780 | 399,291 | 2,205,718 | 805,650 | ||||||||||||
Administration fees (Note 2) | 21,824 | 64,327 | 369,085 | 64,081 | ||||||||||||
Transfer agent fees | 8,175 | 72,171 | 72,516 | 13,026 | ||||||||||||
Accounting services | 22,108 | 25,041 | 94,336 | 27,482 | ||||||||||||
Custodian fees | 4,375 | 4,435 | 23,876 | 4,589 | ||||||||||||
Broker Fees | — | 72 | — | — | ||||||||||||
Legal and audit fees | 7,789 | 12,578 | 49,753 | 14,273 | ||||||||||||
CCO fees (Note 2) | 2,447 | 7,136 | 41,445 | 7,598 | ||||||||||||
Trustees fees | 2,055 | 2,007 | 1,954 | 2,327 | ||||||||||||
Insurance | 994 | 2,954 | 16,278 | 2,828 | ||||||||||||
Printing | 8,836 | 8,682 | 8,617 | 9,800 | ||||||||||||
Registration and dues | 15,691 | 21,825 | 25,381 | 15,447 | ||||||||||||
12b-1 fees Class K (Note 2) | 3,275 | 1,711 | 39,830 | — | ||||||||||||
Shareholder service fees Class K (Note 2) | 3,275 | 1,711 | 39,830 | — | ||||||||||||
Licensing fee | 11,087 | — | 79,908 | — | ||||||||||||
Total expenses | 247,711 | 623,941 | 3,068,527 | 967,101 | ||||||||||||
Less reimbursement from manager (Note 2) | — | — | (700,010 | ) | — | |||||||||||
Net expenses | 247,711 | 623,941 | 2,368,517 | 967,101 | ||||||||||||
Net investment income | 133,571 | 933,660 | 1,294,963 | (207,892 | ) | |||||||||||
Realized and unrealized gain(loss) on investments | ||||||||||||||||
Net realized gain/(loss) from security transactions and foreign currency | 3,493,568 | 7,180,674 | 26,329,233 | 4,719,406 | ||||||||||||
Net realized gain/(loss) from futures contracts | 156,899 | — | 3,156,957 | — | ||||||||||||
Net realized gain/(loss) from written options contracts | — | 1,978,896 | — | — | ||||||||||||
Change in unrealized appreciation/(depreciation) of investments | 16,213,175 | 8,208,987 | 35,385,418 | 40,268,208 | ||||||||||||
Change in unrealized appreciation/(depreciation) of written options contracts | — | 777,040 | — | — | ||||||||||||
Change in unrealized appreciation/(depreciation) of futures | (7,605 | ) | — | (3,143,540 | ) | — | ||||||||||
Net realized and unrealized gain/(loss) on investments | 19,856,037 | 18,145,597 | 61,728,068 | 44,987,614 | ||||||||||||
Net increase/(decrease) in net assets resulting from operations | $ | 19,989,608 | $ | 19,079,257 | $ | 63,023,031 | $ | 44,779,722 |
25
See accompanying notes to financial statements.
Statements of Changes in Net Assets |
Green California Tax-Free | U.S. Government | The United States | ||||||||||||||||||||||
Six Months | Year | Six Months | Year | Six Months | Year | |||||||||||||||||||
Operations | ||||||||||||||||||||||||
Net investment income/(loss) | $ | 527,514 | $ | 1,143,348 | $ | 116,327 | $ | 272,850 | $ | — | $ | 260,032 | ||||||||||||
Net realized gain/(loss) on investments and foreign currency | (388 | ) | (156,702 | ) | 5,509 | (6,647 | ) | 86 | 468 | |||||||||||||||
Change in unrealized appreciation/(depreciation) of investments | (744,531 | ) | 409,032 | (672,735 | ) | 838,360 | — | — | ||||||||||||||||
Net increase/(decrease) in net assets resulting from operations | (217,405 | ) | 1,395,678 | (550,899 | ) | 1,104,563 | 86 | 260,500 | ||||||||||||||||
Distributions to shareholders | ||||||||||||||||||||||||
Distributions | ||||||||||||||||||||||||
Direct shares | (532,959 | ) | (1,224,678 | ) | (107,516 | ) | (256,716 | ) | — | (258,634 | ) | |||||||||||||
K shares | — | — | (5,245 | ) | (14,066 | ) | — | (2,890 | )(a) | |||||||||||||||
Capital share transactions | ||||||||||||||||||||||||
Increase/(decrease) in net assets resulting from capital share transactions | (2,158,471 | ) | (4,958,784 | ) | (1,828,731 | ) | 3,358,089 | (1,324,443 | ) | (2,171,321 | ) | |||||||||||||
Total increase/(decrease) | (2,908,835 | ) | (4,787,784 | ) | (2,492,391 | ) | 4,191,870 | (1,324,357 | ) | (2,172,345 | ) | |||||||||||||
Net assets | ||||||||||||||||||||||||
Beginning of year | $ | 61,356,563 | $ | 66,144,347 | $ | 23,705,370 | $ | 19,513,500 | $ | 36,916,580 | $ | 39,088,925 | ||||||||||||
End of year | $ | 58,447,728 | $ | 61,356,563 | $ | 21,212,979 | $ | 23,705,370 | $ | 35,592,223 | $ | 36,916,580 |
(a) | The United States Treasury Trust K Shares closed on December 27, 2019. |
S&P 500 Index Fund | S&P MidCap Index Fund | S&P SmallCap Index Fund | ||||||||||||||||||||||
Six Months | Year | Six Months | Year | Six Months | Year | |||||||||||||||||||
Operations | ||||||||||||||||||||||||
Net investment income/(loss) | $ | 1,216,406 | $ | 2,679,134 | $ | 480,945 | $ | 988,648 | $ | 133,571 | $ | 332,280 | ||||||||||||
Net realized gain/(loss) on investments and foreign currency | 6,847,204 | 21,700,484 | 6,024,353 | 6,274,228 | 3,493,568 | 1,448,521 | ||||||||||||||||||
Net realized gain/(loss) on futures contracts | 126,054 | 426,835 | 152,117 | 124,091 | 156,899 | 36,139 | ||||||||||||||||||
Change in unrealized appreciation/(depreciation) of investments | 10,150,482 | 12,329,512 | 22,434,045 | (3,627,369 | ) | 16,213,175 | (2,364,010 | ) | ||||||||||||||||
Change in unrealized appreciation/(depreciation) of futures contracts | (20,178 | ) | 10,474 | 5,440 | 20,679 | (7,605 | ) | 420 | ||||||||||||||||
Net increase/(decrease) in net assets resulting from operations | 18,319,968 | 37,146,439 | 29,096,900 | 3,780,277 | 19,989,608 | (546,650 | ) | |||||||||||||||||
Distributions to shareholders | ||||||||||||||||||||||||
Distributions | ||||||||||||||||||||||||
Direct shares | (15,140,944 | ) | (16,841,674 | ) | (8,756,321 | ) | (8,000,679 | ) | (2,270,219 | ) | (4,569,651 | ) | ||||||||||||
K shares | (238,511 | ) | (432,740 | ) | (95,141 | ) | (152,045 | ) | (110,067 | ) | (271,574 | ) | ||||||||||||
Capital share transactions | ||||||||||||||||||||||||
Increase/(decrease) in net assets resulting from capital share transactions | 8,046,781 | (11,988,469 | ) | 2,977,281 | (6,203,467 | ) | (1,448,923 | ) | (11,677,998 | ) | ||||||||||||||
Total increase/(decrease) | 10,987,294 | 7,883,556 | 23,222,719 | (10,575,914 | ) | 16,160,399 | (17,065,873 | ) | ||||||||||||||||
Net assets | ||||||||||||||||||||||||
Beginning of year | $ | 199,217,971 | $ | 191,334,415 | $ | 99,554,860 | $ | 110,130,774 | $ | 49,254,026 | $ | 66,319,899 | ||||||||||||
End of year | $ | 210,205,265 | $ | 199,217,971 | $ | 122,777,579 | $ | 99,554,860 | $ | 65,414,425 | $ | 49,254,026 |
See accompanying notes to financial statements.
26
Statements of Changes in Net Assets |
Shelton Core Value Fund | Nasdaq-100 Index Fund | Shelton Green Alpha Fund | ||||||||||||||||||||||
Six Months | Year | Six Months | Year | Six Months | Year | |||||||||||||||||||
Operations | ||||||||||||||||||||||||
Net investment income/(loss) | $ | 933,660 | $ | 1,965,729 | $ | 1,294,963 | $ | 3,178,951 | $ | (207,892 | ) | $ | (33,354 | ) | ||||||||||
Net realized gain/(loss) on investments and foreign currency | 7,180,674 | 26,946,547 | 26,329,233 | 37,568,787 | 4,719,406 | 1,250,940 | ||||||||||||||||||
Net realized gain/(loss) on futures contracts | — | — | 3,156,957 | 3,356,155 | — | — | ||||||||||||||||||
Net realized gain/(loss) on written option contracts | 1,978,896 | 4,807,910 | — | — | — | — | ||||||||||||||||||
Change in unrealized appreciation/(depreciation) of investments | 8,208,987 | (21,522,774 | ) | 35,385,418 | 290,800,373 | 40,268,208 | 32,047,301 | |||||||||||||||||
Change in unrealized appreciation/(depreciation) of written options contracts | 777,040 | (739,010 | ) | — | — | — | — | |||||||||||||||||
Change in unrealized appreciation/(depreciation) of futures contracts | — | — | (3,143,540 | ) | 2,484,689 | — | — | |||||||||||||||||
Net increase/(decrease) in net assets resulting from operations | 19,079,257 | 11,458,402 | 63,023,031 | 337,388,955 | 44,779,722 | 33,264,887 | ||||||||||||||||||
Distributions to shareholders | ||||||||||||||||||||||||
Distributions | ||||||||||||||||||||||||
Direct shares | (28,709,681 | ) | (21,484,252 | ) | (10,913,037 | ) | (45,073,391 | ) | (1,627,679 | ) | (51,961 | ) | ||||||||||||
K shares | (249,076 | ) | (254,277 | ) | (356,386 | ) | (1,645,438 | ) | — | — | ||||||||||||||
Capital share transactions | ||||||||||||||||||||||||
Increase/(decrease) in net assets resulting from capital share transactions | 37,379,897 | 10,101,028 | 28,854,958 | (2,718,647 | ) | 136,840,725 | 1,827,077 | |||||||||||||||||
Total increase/(decrease) | 27,500,397 | (179,099 | ) | 80,608,566 | 287,951,479 | 179,992,768 | 35,040,003 | |||||||||||||||||
Net assets | ||||||||||||||||||||||||
Beginning of year | $ | 151,419,810 | $ | 151,598,909 | $ | 920,227,401 | $ | 632,275,922 | $ | 91,607,305 | $ | 56,567,302 | ||||||||||||
End of year | $ | 178,920,207 | $ | 151,419,810 | $ | 1,000,835,967 | $ | 920,227,401 | $ | 271,600,073 | $ | 91,607,305 |
Green California Tax-Free Income Fund | Direct Shares | |||||||||||||||
Six Months Ended | Year Ended | |||||||||||||||
Shares | Value | Shares | Value | |||||||||||||
Shares sold | 137,062 | $ | 1,614,233 | 196,708 | $ | 2,272,558 | ||||||||||
Shares issued in reinvestment of distributions | 35,864 | 420,510 | 82,106 | 955,461 | ||||||||||||
Shares repurchased | (357,061 | ) | (4,193,214 | ) | (702,686 | ) | (8,186,803 | ) | ||||||||
Net increase/(decrease) | (184,135 | ) | $ | (2,158,471 | ) | (423,872 | ) | $ | (4,958,784 | ) |
U.S. Government Securities Fund | Direct Shares | K Shares | ||||||||||||||||||||||||||||||
Six Months Ended | Year Ended | Six Months Ended | Year Ended | |||||||||||||||||||||||||||||
Shares | Value | Shares | Value | Shares | Value | Shares | Value | |||||||||||||||||||||||||
Shares sold | 134,790 | $ | 1,461,553 | 1,356,175 | $ | 14,524,346 | 40,666 | $ | 443,895 | 106,781 | $ | 1,142,515 | ||||||||||||||||||||
Shares issued in reinvestment of distributions | 9,578 | 103,625 | 22,878 | 245,672 | 484 | 5,245 | 1,311 | 14,066 | ||||||||||||||||||||||||
Shares repurchased | (312,087 | ) | (3,390,271 | ) | (999,065 | ) | (10,772,286 | ) | (41,927 | ) | (452,778 | ) | (168,091 | ) | (1,796,224 | ) | ||||||||||||||||
Net increase/(decrease) | (167,719 | ) | $ | (1,825,093 | ) | 379,988 | $ | 3,997,732 | (777 | ) | $ | (3,638 | ) | (59,999 | ) | $ | (639,643 | ) |
The United States Treasury Trust Fund | Direct Shares | K Shares | ||||||||||
Six Months | Year Ended | Year Ended | ||||||||||
Shares/Value | Shares/Value | Shares/Value | ||||||||||
Shares sold | $ | 11,503,468 | $ | 27,774,757 | $ | 99,639 | ||||||
Shares issued in reinvestment of distributions | — | 250,639 | 2,357 | |||||||||
Shares gained with reorganization | N/A | 462,114 | — | |||||||||
Shares repurchased | (12,827,911 | ) | (29,050,018 | ) | (1,710,809 | ) | ||||||
Net increase/(decrease) | $ | (1,324,443 | ) | $ | (562,508 | ) | $ | (1,608,813 | ) |
(a) | The United States Treasury Trust K Shares closed on December 27, 2019. |
27
See accompanying notes to financial statements.
Statements of Changes in Net Assets |
S&P 500 Index Fund | Direct Shares | K Shares | ||||||||||||||||||||||||||||||
Six Months Ended | Year Ended | Six Months Ended | Year Ended | |||||||||||||||||||||||||||||
Shares | Value | Shares | Value | Shares | Value | Shares | Value | |||||||||||||||||||||||||
Shares sold | 171,271 | $ | 10,542,822 | 490,241 | $ | 26,352,137 | 3,406 | $ | 207,343 | 10,160 | $ | 554,156 | ||||||||||||||||||||
Shares issued in reinvestment of distributions | 206,097 | 12,363,774 | 257,226 | 14,253,960 | 3,988 | 238,466 | 7,803 | 432,553 | ||||||||||||||||||||||||
Shares repurchased | (244,418 | ) | (15,072,125 | ) | (900,375 | ) | (49,138,001 | ) | (3,727 | ) | (233,499 | ) | (78,467 | ) | (4,443,274 | ) | ||||||||||||||||
Net increase/(decrease) | 132,950 | $ | 7,834,471 | (152,908 | ) | $ | (8,531,904 | ) | 3,667 | $ | 212,310 | (60,504 | ) | $ | (3,456,565 | ) |
S&P MidCap Index Fund | Direct Shares | K Shares | ||||||||||||||||||||||||||||||
Six Months Ended | Year Ended | Six Months Ended | Year Ended | |||||||||||||||||||||||||||||
Shares | Value | Shares | Value | Shares | Value | Shares | Value | |||||||||||||||||||||||||
Shares sold | 86,801 | $ | 2,182,637 | 316,846 | $ | 6,967,139 | 5,810 | $ | 139,091 | 14,566 | $ | 317,593 | ||||||||||||||||||||
Shares issued in reinvestment of distributions | 347,402 | 8,345,395 | 321,519 | 7,608,195 | 4,107 | 95,098 | 6,499 | 151,810 | ||||||||||||||||||||||||
Shares repurchased | (310,480 | ) | (7,680,585 | ) | (857,940 | ) | (18,813,278 | ) | (4,673 | ) | (104,355 | ) | (104,691 | ) | (2,434,926 | ) | ||||||||||||||||
Net increase/(decrease) | 123,723 | $ | 2,847,447 | (219,575 | ) | $ | (4,237,944 | ) | 5,244 | $ | 129,834 | (83,626 | ) | $ | (1,965,523 | ) |
S&P SmallCap Index Fund | Direct Shares | K Shares | ||||||||||||||||||||||||||||||
Six Months Ended | Year Ended | Six Months Ended | Year Ended | |||||||||||||||||||||||||||||
Shares | Value | Shares | Value | Shares | Value | Shares | Value | |||||||||||||||||||||||||
Shares sold | 86,896 | $ | 1,877,713 | 503,522 | �� | $ | 9,330,319 | 12,448 | $ | 282,019 | 23,999 | $ | 435,338 | |||||||||||||||||||
Shares issued in reinvestment of distributions | 103,997 | 2,183,879 | 215,344 | 4,434,916 | 5,408 | 110,067 | 13,510 | 271,574 | ||||||||||||||||||||||||
Shares repurchased | (265,826 | ) | (5,747,261 | ) | (1,244,439 | ) | (23,029,041 | ) | (7,675 | ) | (155,340 | ) | (158,244 | ) | (3,121,104 | ) | ||||||||||||||||
Net increase/(decrease) | (74,933 | ) | $ | (1,685,669 | ) | (525,573 | ) | $ | (9,263,806 | ) | 10,181 | $ | 236,746 | (120,735 | ) | $ | (2,414,192 | ) |
Shelton Core Value Fund | Direct Shares | K Shares | ||||||||||||||||||||||||||||||
Six Months Ended | Year Ended | Six Months Ended | Year Ended | |||||||||||||||||||||||||||||
Shares | Value | Shares | Value | Shares | Value | Shares | Value | |||||||||||||||||||||||||
Shares sold | 1,180,017 | $ | 21,026,532 | 574,641 | $ | 10,625,114 | 3,629 | $ | 61,887 | 18,881 | $ | 340,133 | ||||||||||||||||||||
Shares issued in reinvestment of distributions | 1,633,382 | 27,476,593 | 1,107,856 | 20,924,633 | 15,255 | 249,076 | 13,661 | 254,277 | ||||||||||||||||||||||||
Shares repurchased | (640,344 | ) | (11,266,704 | ) | (1,080,100 | ) | (20,332,165 | ) | (9,697 | ) | (167,487 | ) | (88,449 | ) | (1,710,964 | ) | ||||||||||||||||
Net increase/(decrease) | 2,173,055 | $ | 37,236,421 | 602,397 | $ | 11,217,582 | 9,187 | $ | 143,476 | (55,907 | ) | $ | (1,116,554 | ) |
Nasdaq-100 Index Fund | Direct Shares | K Shares | ||||||||||||||||||||||||||||||
Six Months Ended | Year Ended | Six Months Ended | Year Ended | |||||||||||||||||||||||||||||
Shares | Value | Shares | Value | Shares | Value | Shares | Value | |||||||||||||||||||||||||
Shares sold | 5,528,418 | $ | 155,784,288 | 10,785,073 | $ | 224,007,130 | 159,977 | $ | 4,361,890 | 256,521 | $ | 5,299,756 | ||||||||||||||||||||
Shares issued in reinvestment of distributions | 367,801 | 10,302,006 | 2,232,317 | 42,808,895 | 13,178 | 356,386 | 88,576 | 1,645,439 | ||||||||||||||||||||||||
Shares repurchased | (4,994,264 | ) | (138,662,453 | ) | (13,353,261 | ) | (265,901,712 | ) | (117,498 | ) | (3,287,159 | ) | (547,230 | ) | (10,578,155 | ) | ||||||||||||||||
Net increase/(decrease) | 901,955 | $ | 27,423,841 | (335,871 | ) | $ | 914,313 | 55,657 | $ | 1,431,117 | (202,133 | ) | $ | (3,632,960 | ) |
See accompanying notes to financial statements.
28
Statements of Changes in Net Assets |
Shelton Green Alpha Fund | Direct Shares | |||||||||||||||
Six Months Ended | Year Ended | |||||||||||||||
Shares | Value | Shares | Value | |||||||||||||
Shares sold | 4,126,478 | $ | 183,956,023 | 1,291,933 | $ | 26,911,073 | ||||||||||
Shares issued in reinvestment of distributions | 39,298 | 1,586,061 | 2,499 | 50,887 | ||||||||||||
Shares repurchased | (1,123,965 | ) | (48,701,359 | ) | (1,271,931 | ) | (25,134,883 | ) | ||||||||
Net increase/(decrease) | 3,041,811 | $ | 136,840,725 | 22,501 | $ | 1,827,077 |
Financial Highlights (For a Share Outstanding Throughout Each Year or Period) |
Green California Tax-Free Income Fund Direct Shares | Six Months | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Net asset value, beginning of year | $ | 11.76 | $ | 11.72 | $ | 11.29 | $ | 11.65 | $ | 11.93 | $ | 11.69 | ||||||||||||
INCOME FROM INVESTMENT OPERATIONS | ||||||||||||||||||||||||
Net investment income/(loss)(a) | 0.10 | 0.21 | 0.23 | 0.23 | 0.25 | 0.29 | ||||||||||||||||||
Net gain/(loss) on securities (both realized and unrealized) | (0.15 | ) | 0.06 | 0.45 | (0.31 | ) | (0.20 | ) | 0.24 | |||||||||||||||
Total from investment operations | (0.05 | ) | 0.27 | 0.68 | (0.08 | ) | 0.05 | 0.53 | ||||||||||||||||
LESS DISTRIBUTIONS | ||||||||||||||||||||||||
Dividends from net investment income | (0.10 | ) | (0.21 | ) | (0.23 | ) | (0.24 | ) | (0.27 | ) | (0.29 | ) | ||||||||||||
Distributions from capital gains | — | (0.02 | ) | (0.02 | ) | (0.04 | ) | (0.06 | ) | — | ||||||||||||||
Total distributions | (0.10 | ) | (0.23 | ) | (0.25 | ) | (0.28 | ) | (0.33 | ) | (0.29 | ) | ||||||||||||
Net asset value, end of year or period | $ | 11.61 | $ | 11.76 | $ | 11.72 | $ | 11.29 | $ | 11.65 | $ | 11.93 | ||||||||||||
Total return | (0.40 | )% | 2.31 | % | 6.10 | % | (0.74 | )% | 0.43 | % | 4.60 | % | ||||||||||||
RATIOS / SUPPLEMENTAL DATA | ||||||||||||||||||||||||
Net assets, end of year or period (000s) | $ | 58,448 | $ | 61,357 | $ | 66,144 | $ | 68,253 | $ | 75,310 | $ | 84,422 | ||||||||||||
Ratio of expenses to average net assets | 0.76 | %(b) | 0.75 | % | 0.77 | % | 0.76 | % | 0.69 | % | 0.69 | % | ||||||||||||
Ratio of net investment income/(loss) to average net assets | 1.74 | %(b) | 1.82 | % | 2.01 | % | 2.02 | % | 2.20 | % | 2.47 | % | ||||||||||||
Portfolio turnover | 0 | % | 9 | % | 4 | % | 12 | % | 7 | % | 19 | % |
(a) | Calculated based upon average shares outstanding. |
(b) | Annualized. |
29
See accompanying notes to financial statements.
Financial Highlights (For a Share Outstanding Throughout Each Year or Period) (Continued) |
U.S. Government Securities Fund Direct Shares | Six Months | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Net asset value, beginning of year | $ | 10.94 | $ | 10.57 | $ | 9.98 | $ | 10.32 | $ | 10.61 | $ | 10.42 | ||||||||||||
INCOME FROM INVESTMENT OPERATIONS | ||||||||||||||||||||||||
Net investment income/(loss)(a) | 0.06 | 0.13 | 0.15 | 0.14 | 0.14 | 0.14 | ||||||||||||||||||
Net gain/(loss) on securities (both realized and unrealized) | (0.32 | ) | 0.37 | 0.59 | (0.33 | ) | (0.26 | ) | 0.20 | |||||||||||||||
Total from investment operations | (0.26 | ) | 0.50 | 0.74 | (0.19 | ) | (0.12 | ) | 0.34 | |||||||||||||||
LESS DISTRIBUTIONS | ||||||||||||||||||||||||
Dividends from net investment income | (0.06 | ) | (0.13 | ) | (0.15 | ) | (0.15 | ) | (0.17 | ) | (0.15 | ) | ||||||||||||
Total distributions | (0.06 | ) | (0.13 | ) | (0.15 | ) | (0.15 | ) | (0.17 | ) | (0.15 | ) | ||||||||||||
Net asset value, end of year or period | $ | 10.62 | $ | 10.94 | $ | 10.57 | $ | 9.98 | $ | 10.32 | $ | 10.61 | ||||||||||||
Total return | (2.41 | )% | 4.78 | % | 7.48 | % | (1.88 | )% | (1.14 | )% | 3.25 | % | ||||||||||||
RATIOS / SUPPLEMENTAL DATA | ||||||||||||||||||||||||
Net assets, end of year or period (000s) | $ | 19,599 | $ | 22,034 | $ | 17,263 | $ | 15,668 | $ | 18,316 | $ | 19,754 | ||||||||||||
Ratio of expenses to average net assets: | ||||||||||||||||||||||||
Before expense reimbursements | 1.02 | %(b) | 0.93 | % | 0.99 | % | 0.89 | % | 0.81 | % | 0.82 | % | ||||||||||||
After expense reimbursements | 0.74 | %(b),(c) | 0.75 | %(c) | 0.76 | %(c) | 0.75 | %(c) | 0.74 | % | 0.74 | % | ||||||||||||
Ratio of net investment income/(loss) to average net assets | ||||||||||||||||||||||||
Before expense reimbursements | 0.80 | %(b) | 1.07 | % | 1.23 | % | 1.29 | % | 1.27 | % | 1.25 | % | ||||||||||||
After expense reimbursements | 1.08 | %(b) | 1.25 | % | 1.47 | % | 1.42 | % | 1.34 | % | 1.33 | % | ||||||||||||
Portfolio turnover | 0 | % | 10 | % | 8 | % | 13 | % | 10 | % | 18 | % |
K Shares | Six Months | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Net asset value, beginning of year | $ | 10.96 | $ | 10.59 | $ | 10.01 | $ | 10.35 | $ | 10.64 | $ | 10.43 | ||||||||||||
INCOME FROM INVESTMENT OPERATIONS | ||||||||||||||||||||||||
Net investment income/(loss)(a) | 0.03 | 0.08 | 0.10 | 0.09 | 0.09 | 0.09 | ||||||||||||||||||
Net gain/(loss) on securities (both realized and unrealized) | (0.32 | ) | 0.37 | 0.58 | (0.33 | ) | (0.27 | ) | 0.20 | |||||||||||||||
Total from investment operations | (0.29 | ) | 0.45 | 0.68 | (0.24 | ) | (0.18 | ) | 0.29 | |||||||||||||||
LESS DISTRIBUTIONS | ||||||||||||||||||||||||
Dividends from net investment income | (0.03 | ) | (0.08 | ) | (0.10 | ) | (0.10 | ) | (0.11 | ) | (0.08 | ) | ||||||||||||
Total distributions | (0.03 | ) | (0.08 | ) | (0.10 | ) | (0.10 | ) | (0.11 | ) | (0.08 | ) | ||||||||||||
Net asset value, end of year or period | $ | 10.64 | $ | 10.96 | $ | 10.59 | $ | 10.01 | $ | 10.35 | $ | 10.64 | ||||||||||||
Total return | (2.64 | )% | 4.28 | % | 6.87 | % | (2.37 | )% | (1.67 | )% | 2.77 | % | ||||||||||||
RATIOS / SUPPLEMENTAL DATA | ||||||||||||||||||||||||
Net assets, end of year or period (000s) | $ | 1,614 | $ | 1,672 | $ | 2,250 | $ | 3,691 | $ | 3,699 | $ | 4,712 | ||||||||||||
Ratio of expenses to average net assets: | ||||||||||||||||||||||||
Before expense reimbursements | 1.52 | %(b) | 1.44 | % | 1.49 | % | 1.39 | % | 1.31 | % | 1.32 | % | ||||||||||||
After expense reimbursements | 1.24 | %(b),(c) | 1.26 | %(c) | 1.26 | %(c) | 1.25 | %(c) | 1.24 | % | 1.24 | % | ||||||||||||
Ratio of net investment income/(loss) to average net assets | ||||||||||||||||||||||||
Before expense reimbursements | 0.30 | %(b) | 0.58 | % | 0.75 | % | 0.78 | % | 0.77 | % | 0.75 | % | ||||||||||||
After expense reimbursements | 0.58 | %(b) | 0.76 | % | 0.98 | % | 0.92 | % | 0.84 | % | 0.84 | % | ||||||||||||
Portfolio turnover | 0 | % | 10 | % | 8 | % | 13 | % | 10 | % | 18 | % |
(a) | Calculated based upon average shares outstanding. |
(b) | Annualized. |
(c) | CCO fees are not included in the expense limitation. |
See accompanying notes to financial statements.
30
Financial Highlights (For a Share Outstanding Throughout Each Year or Period) (Continued) |
The United States Treasury Trust Direct Shares | Six Months | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Net asset value, beginning of year | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||
INCOME FROM INVESTMENT OPERATIONS | ||||||||||||||||||||||||
Net investment income/(loss)(a) | — | 0.01 | 0.02 | 0.01 | — | — | ||||||||||||||||||
Net gain/(loss) on securities (both realized and unrealized) | — | — | — | — | (b) | — | — | |||||||||||||||||
Total from investment operations | — | 0.01 | 0.02 | 0.01 | — | — | ||||||||||||||||||
LESS DISTRIBUTIONS | ||||||||||||||||||||||||
Dividends from net investment income | — | (0.01 | ) | (0.02 | ) | (0.01 | ) | — | (b) | — | ||||||||||||||
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 | $ | 1.00 | ||||||||||||
Total return | 0.00 | % | 0.67 | % | 1.75 | % | 0.98 | % | 0.03 | % | 0.00 | % | ||||||||||||
RATIOS / SUPPLEMENTAL DATA | ||||||||||||||||||||||||
Net assets, end of year or period (000s) | $ | 35,592 | $ | 36,917 | $ | 37,479 | $ | 53,079 | $ | 57,149 | $ | 72,482 | ||||||||||||
Ratio of expenses to average net assets: | ||||||||||||||||||||||||
Before expense reimbursements | 0.80 | %(c) | 0.78 | % | 0.77 | % | 0.77 | % | 0.71 | % | 0.71 | % | ||||||||||||
After expense reimbursements | 0.10 | %(c),(d),(e) | 0.45 | %(d) | 0.55 | %(d) | 0.46 | %(e) | 0.52 | %(e) | 0.22 | % | ||||||||||||
Ratio of net investment income/(loss) to average net assets | ||||||||||||||||||||||||
Before expense reimbursements | (0.70 | )%(c) | 0.35 | % | 1.51 | % | 0.65 | % | (0.16 | )% | (0.49 | )% | ||||||||||||
After expense reimbursements | 0.00 | %(c),(e) | 0.68 | % | 1.73 | % | 0.96 | %(e) | 0.03 | %(e) | 0.00 | % |
(a) | Calculated based upon average shares outstanding. |
(b) | Less than $0.01 per share. |
(c) | Annualized. |
(d) | CCO Fees are not included in the expense limitation. |
(e) | Includes negative yield waiver adjustment. |
S&P 500 Index Fund Direct Shares | Six Months | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Net asset value, beginning of year | $ | 62.19 | $ | 56.00 | $ | 56.03 | $ | 48.26 | $ | 42.86 | $ | 39.88 | ||||||||||||
INCOME FROM INVESTMENT OPERATIONS | ||||||||||||||||||||||||
Net investment income/(loss)(a) | 0.38 | 0.81 | 0.82 | 0.82 | 0.78 | 0.76 | ||||||||||||||||||
Net gain/(loss) on securities (both realized and unrealized) | 5.21 | 10.49 | 0.44 | 8.48 | 5.89 | 3.99 | ||||||||||||||||||
Total from investment operations | 5.59 | 11.30 | 1.26 | 9.30 | 6.67 | 4.75 | ||||||||||||||||||
LESS DISTRIBUTIONS | ||||||||||||||||||||||||
Dividends from net investment income | (0.43 | ) | (0.85 | ) | (0.88 | ) | (0.77 | ) | (0.83 | ) | (0.78 | ) | ||||||||||||
Distributions from capital gains | (4.41 | ) | (4.26 | ) | (0.41 | ) | (0.76 | ) | (0.44 | ) | (0.99 | ) | ||||||||||||
Total distributions | (4.84 | ) | (5.11 | ) | (1.29 | ) | (1.53 | ) | (1.27 | ) | (1.77 | ) | ||||||||||||
Net asset value, end of year or period | $ | 62.94 | $ | 62.19 | $ | 56.00 | $ | 56.03 | $ | 48.26 | $ | 42.86 | ||||||||||||
Total return | 9.42 | % | 21.44 | % | 2.40 | % | 19.64 | % | 15.89 | % | 12.21 | % | ||||||||||||
RATIOS / SUPPLEMENTAL DATA | ||||||||||||||||||||||||
Net assets, end of year or period (000s) | $ | 206,854 | $ | 196,133 | $ | 185,170 | $ | 182,362 | $ | 155,022 | $ | 135,346 | ||||||||||||
Ratio of expenses to average net assets: | ||||||||||||||||||||||||
Before expense reimbursements | 0.44 | %(b) | 0.48 | % | 0.50 | % | 0.50 | % | 0.46 | % | 0.47 | % | ||||||||||||
After expense reimbursements | 0.44 | %(b) | 0.48 | % | 0.50 | % | 0.45 | % | 0.36 | % | 0.36 | % | ||||||||||||
Ratio of net investment income/(loss) to average net assets | ||||||||||||||||||||||||
Before expense reimbursements | 1.22 | %(b) | 1.46 | % | 1.52 | % | 1.53 | % | 1.63 | % | 1.77 | % | ||||||||||||
After expense reimbursements | 1.22 | %(b) | 1.46 | % | 1.52 | % | 1.58 | % | 1.73 | % | 1.88 | % | ||||||||||||
Portfolio turnover | 5 | % | 8 | % | 3 | % | 3 | % | 5 | % | 1 | % |
31
See accompanying notes to financial statements.
Financial Highlights (For a Share Outstanding Throughout Each Year or Period) (Continued) |
K Shares | Six Months | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Net asset value, beginning of year | $ | 62.02 | $ | 55.92 | $ | 55.96 | $ | 48.24 | $ | 42.88 | $ | 39.87 | ||||||||||||
INCOME FROM INVESTMENT OPERATIONS | ||||||||||||||||||||||||
Net investment income/(loss)(a) | 0.22 | 0.53 | 0.54 | 0.56 | 0.55 | 0.56 | ||||||||||||||||||
Net gain/(loss) on securities (both realized and unrealized) | 5.20 | 10.47 | 0.45 | 8.48 | 5.89 | 3.99 | ||||||||||||||||||
Total from investment operations | 5.42 | 11.00 | 0.99 | 9.04 | 6.44 | 4.55 | ||||||||||||||||||
LESS DISTRIBUTIONS | ||||||||||||||||||||||||
Dividends from net investment income | (0.27 | ) | (0.64 | ) | (0.62 | ) | (0.56 | ) | (0.64 | ) | (0.55 | ) | ||||||||||||
Distributions from capital gains | (4.41 | ) | (4.26 | ) | (0.41 | ) | (0.76 | ) | (0.44 | ) | (0.99 | ) | ||||||||||||
Total distributions | (4.68 | ) | (4.90 | ) | (1.03 | ) | (1.32 | ) | (1.08 | ) | (1.54 | ) | ||||||||||||
Net asset value, end of year or period | $ | 62.76 | $ | 62.02 | $ | 55.92 | $ | 55.96 | $ | 48.24 | $ | 42.88 | ||||||||||||
Total return | 9.15 | % | 20.84 | % | 1.88 | % | 19.05 | % | 15.31 | % | 11.65 | % | ||||||||||||
RATIOS / SUPPLEMENTAL DATA | ||||||||||||||||||||||||
Net assets, end of year or period (000s) | $ | 3,352 | $ | 3,085 | $ | 6,165 | $ | 9,919 | $ | 8,506 | $ | 7,981 | ||||||||||||
Ratio of expenses to average net assets: | ||||||||||||||||||||||||
Before expense reimbursements | 0.94 | %(b) | 0.98 | % | 0.99 | % | 1.00 | % | 0.96 | % | 0.97 | % | ||||||||||||
After expense reimbursements | 0.94 | %(b) | 0.98 | % | 0.99 | % | 0.95 | % | 0.86 | % | 0.86 | % | ||||||||||||
Ratio of net investment income/(loss) to average net assets | ||||||||||||||||||||||||
Before expense reimbursements | 0.72 | %(b) | 0.96 | % | 1.02 | % | 1.03 | % | 1.13 | % | 1.26 | % | ||||||||||||
After expense reimbursements | 0.72 | %(b) | 0.96 | % | 1.02 | % | 1.08 | % | 1.23 | % | 1.37 | % | ||||||||||||
Portfolio turnover | 5 | % | 8 | % | 3 | % | 3 | % | 5 | % | 1 | % |
(a) | Calculated based upon average shares outstanding. |
(b) | Annualized. |
S&P Midcap Index Fund Direct Shares | Six Months | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Net asset value, beginning of year | $ | 23.07 | $ | 23.85 | $ | 28.77 | $ | 25.75 | $ | 26.69 | $ | 28.41 | ||||||||||||
INCOME FROM INVESTMENT OPERATIONS | ||||||||||||||||||||||||
Net investment income/(loss)(a) | 0.11 | 0.22 | 0.23 | 0.25 | 0.23 | 0.26 | ||||||||||||||||||
Net gain/(loss) on securities (both realized and unrealized) | 6.55 | 0.80 | (2.23 | ) | 4.61 | 2.95 | 2.73 | |||||||||||||||||
Total from investment operations | 6.66 | 1.02 | (2.00 | ) | 4.86 | 3.18 | 2.99 | |||||||||||||||||
LESS DISTRIBUTIONS | ||||||||||||||||||||||||
Dividends from net investment income | (0.11 | ) | (0.24 | ) | (0.24 | ) | (0.22 | ) | (0.21 | ) | (0.24 | ) | ||||||||||||
Distributions from capital gains | (1.99 | ) | (1.56 | ) | (2.68 | ) | (1.62 | ) | (3.91 | ) | (4.47 | ) | ||||||||||||
Total distributions | (2.10 | ) | (1.80 | ) | (2.92 | ) | (1.84 | ) | (4.12 | ) | (4.71 | ) | ||||||||||||
Net asset value, end of year or period | $ | 27.63 | $ | 23.07 | $ | 23.85 | $ | 28.77 | $ | 25.75 | $ | 26.69 | ||||||||||||
Total return | 30.30 | % | 4.18 | % | (6.85 | )% | 19.48 | % | 13.01 | % | 11.86 | % | ||||||||||||
RATIOS / SUPPLEMENTAL DATA | ||||||||||||||||||||||||
Net assets, end of year or period (000s) | $ | 121,374 | $ | 98,496 | $ | 107,054 | $ | 124,728 | $ | 113,149 | $ | 136,371 | ||||||||||||
Ratio of expenses to average net assets: | ||||||||||||||||||||||||
Before expense reimbursements | 0.64 | %(b) | 0.66 | % | 0.67 | % | 0.66 | % | 0.62 | % | 0.62 | % | ||||||||||||
After expense reimbursements | 0.64 | %(b) | 0.66 | % | 0.67 | % | 0.63 | % | 0.58 | % | 0.58 | % | ||||||||||||
Ratio of net investment income/(loss) to average net assets | ||||||||||||||||||||||||
Before expense reimbursements | 0.88 | %(b) | 0.97 | % | 0.95 | % | 0.89 | % | 0.85 | % | 0.98 | % | ||||||||||||
After expense reimbursements | 0.88 | %(b) | 0.97 | % | 0.95 | % | 0.92 | % | 0.89 | % | 1.02 | % | ||||||||||||
Portfolio turnover | 10 | % | 13 | % | 13 | % | 12 | % | 34 | % | 11 | % |
See accompanying notes to financial statements.
32
Financial Highlights (For a Share Outstanding Throughout Each Year or Period) (Continued) |
K Shares | Six Months | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Net asset value, beginning of year | $ | 22.29 | $ | 23.47 | $ | 28.37 | $ | 25.44 | $ | 26.43 | $ | 28.18 | ||||||||||||
INCOME FROM INVESTMENT OPERATIONS | ||||||||||||||||||||||||
Net investment income/(loss)(a) | 0.05 | 0.11 | 0.11 | 0.11 | 0.10 | 0.13 | ||||||||||||||||||
Net gain/(loss) on securities (both realized and unrealized) | 6.32 | 0.50 | (2.19 | ) | 4.55 | 2.92 | 2.71 | |||||||||||||||||
Total from investment operations | 6.37 | 0.61 | (2.08 | ) | 4.66 | 3.02 | 2.84 | |||||||||||||||||
LESS DISTRIBUTIONS | ||||||||||||||||||||||||
Dividends from net investment income | (0.05 | ) | (0.23 | ) | (0.14 | ) | (0.11 | ) | (0.10 | ) | (0.12 | ) | ||||||||||||
Distributions from capital gains | (1.99 | ) | (1.56 | ) | (2.68 | ) | (1.62 | ) | (3.91 | ) | (4.47 | ) | ||||||||||||
Total distributions | (2.04 | ) | (1.79 | ) | (2.82 | ) | (1.73 | ) | (4.01 | ) | (4.59 | ) | ||||||||||||
Net asset value, end of year or period | $ | 26.62 | $ | 22.29 | $ | 23.47 | $ | 28.37 | $ | 25.44 | $ | 26.43 | ||||||||||||
Total return | 29.99 | % | 2.37 | % | (7.27 | )% | 18.86 | % | 12.45 | % | 11.31 | % | ||||||||||||
RATIOS / SUPPLEMENTAL DATA | ||||||||||||||||||||||||
Net assets, end of year or period (000s) | $ | 1,404 | $ | 1,059 | $ | 3,077 | $ | 6,179 | $ | 5,442 | $ | 5,086 | ||||||||||||
Ratio of expenses to average net assets: | ||||||||||||||||||||||||
Before expense reimbursements | 1.14 | %(b) | 1.16 | % | 1.17 | % | 1.16 | % | 1.12 | % | 1.12 | % | ||||||||||||
After expense reimbursements | 1.14 | %(b) | 1.16 | % | 1.17 | % | 1.13 | % | 1.08 | % | 1.08 | % | ||||||||||||
Ratio of net investment income/(loss) to average net assets | ||||||||||||||||||||||||
Before expense reimbursements | 0.40 | %(b) | 0.49 | % | 0.45 | % | 0.39 | % | 0.35 | % | 0.48 | % | ||||||||||||
After expense reimbursements | 0.40 | %(b) | 0.49 | % | 0.45 | % | 0.42 | % | 0.39 | % | 0.51 | % | ||||||||||||
Portfolio turnover | 10 | % | 13 | % | 13 | % | 12 | % | 34 | % | 11 | % |
(a) | Calculated based upon average shares outstanding. |
(b) | Annualized. |
S&P Smallcap Index Fund Direct Shares | Six Months | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Net asset value, beginning of year | $ | 19.03 | $ | 20.52 | $ | 26.43 | $ | 22.33 | $ | 20.87 | $ | 20.60 | ||||||||||||
INCOME FROM INVESTMENT OPERATIONS | ||||||||||||||||||||||||
Net investment income/(loss)(a) | 0.06 | 0.12 | 0.15 | 0.13 | 0.13 | 0.12 | ||||||||||||||||||
Net gain/(loss) on securities (both realized and unrealized) | 7.80 | (0.05 | ) | (4.27 | ) | 6.38 | 2.36 | 2.29 | ||||||||||||||||
Total from investment operations | 7.86 | 0.07 | (4.12 | ) | 6.51 | 2.49 | 2.41 | |||||||||||||||||
LESS DISTRIBUTIONS | ||||||||||||||||||||||||
Dividends from net investment income | (0.07 | ) | (0.15 | ) | (0.15 | ) | (0.12 | ) | (0.12 | ) | (0.14 | ) | ||||||||||||
Distributions from capital gains | (0.89 | ) | (1.41 | ) | (1.64 | ) | (2.29 | ) | (0.91 | ) | (2.00 | ) | ||||||||||||
Total distributions | (0.96 | ) | (1.56 | ) | (1.79 | ) | (2.41 | ) | (1.03 | ) | (2.14 | ) | ||||||||||||
Net asset value, end of year or period | $ | 25.93 | $ | 19.03 | $ | 20.52 | $ | 26.43 | $ | 22.33 | $ | 20.87 | ||||||||||||
Total return | 42.48 | % | (0.18 | )% | (15.82 | )% | 30.95 | % | 12.12 | % | 12.48 | % | ||||||||||||
RATIOS / SUPPLEMENTAL DATA | ||||||||||||||||||||||||
Net assets, end of year or period (000s) | $ | 62,021 | $ | 46,948 | $ | 61,412 | $ | 78,902 | $ | 56,076 | $ | 47,351 | ||||||||||||
Ratio of expenses to average net assets: | ||||||||||||||||||||||||
Before expense reimbursements | 0.86 | %(b) | 0.83 | % | 0.81 | % | 0.80 | % | 0.78 | % | 0.77 | % | ||||||||||||
After expense reimbursements | 0.86 | %(b) | 0.83 | % | 0.81 | % | 0.77 | % | 0.74 | % | 0.74 | % | ||||||||||||
Ratio of net investment income/(loss) to average net assets | ||||||||||||||||||||||||
Before expense reimbursements | 0.50 | %(b) | 0.60 | % | 0.70 | % | 0.53 | % | 0.56 | % | 0.56 | % | ||||||||||||
After expense reimbursements | 0.50 | %(b) | 0.60 | % | 0.70 | % | 0.56 | % | 0.60 | % | 0.60 | % | ||||||||||||
Portfolio turnover | 8 | % | 20 | % | 14 | % | 18 | % | 31 | % | 12 | % |
33
See accompanying notes to financial statements.
Financial Highlights (For a Share Outstanding Throughout Each Year or Period) (Continued) |
K Shares | Six Months | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Net asset value, beginning of year | $ | 18.43 | $ | 19.96 | $ | 25.77 | $ | 21.85 | $ | 20.47 | $ | 20.24 | ||||||||||||
INCOME FROM INVESTMENT OPERATIONS | ||||||||||||||||||||||||
Net investment income/(loss)(a) | — | 0.02 | 0.05 | 0.01 | 0.02 | 0.02 | ||||||||||||||||||
Net gain/(loss) on securities (both realized and unrealized) | 7.56 | (0.05 | ) | (4.16 | ) | 6.23 | 2.31 | 2.25 | ||||||||||||||||
Total from investment operations | 7.56 | (0.03 | ) | (4.11 | ) | 6.24 | 2.33 | 2.27 | ||||||||||||||||
LESS DISTRIBUTIONS | ||||||||||||||||||||||||
Dividends from net investment income | (0.02 | ) | (0.09 | ) | (0.06 | ) | (0.03 | ) | (0.04 | ) | (0.04 | ) | ||||||||||||
Distributions from capital gains | (0.89 | ) | (1.41 | ) | (1.64 | ) | (2.29 | ) | (0.91 | ) | (2.00 | ) | ||||||||||||
Total distributions | (0.91 | ) | (1.50 | ) | (1.70 | ) | (2.32 | ) | (0.95 | ) | (2.04 | ) | ||||||||||||
Net asset value, end of year or period | $ | 25.08 | $ | 18.43 | $ | 19.96 | $ | 25.77 | $ | 21.85 | $ | 20.47 | ||||||||||||
Total return | 42.14 | % | (0.74 | )% | (16.22 | )% | 30.26 | % | 11.59 | % | 11.89 | % | ||||||||||||
RATIOS / SUPPLEMENTAL DATA | ||||||||||||||||||||||||
Net assets, end of year or period (000s) | $ | 3,393 | $ | 2,306 | $ | 4,908 | $ | 9,851 | $ | 8,165 | $ | 9,279 | ||||||||||||
Ratio of expenses to average net assets: | ||||||||||||||||||||||||
Before expense reimbursements | 1.36 | %(b) | 1.33 | % | 1.31 | % | 1.31 | % | 1.28 | % | 1.28 | % | ||||||||||||
After expense reimbursements | 1.36 | %(b) | 1.33 | % | 1.31 | % | 1.27 | % | 1.24 | % | 1.24 | % | ||||||||||||
Ratio of net investment income/(loss) to average net assets | ||||||||||||||||||||||||
Before expense reimbursements | 0.00 | %(b) | 0.12 | % | 0.21 | % | 0.03 | % | 0.06 | % | 0.06 | % | ||||||||||||
After expense reimbursements | 0.00 | %(b) | 0.12 | % | 0.21 | % | 0.06 | % | 0.10 | % | 0.10 | % | ||||||||||||
Portfolio turnover | 8 | % | 20 | % | 14 | % | 18 | % | 31 | % | 12 | % |
(a) | Calculated based upon average shares outstanding. |
(b) | Annualized. |
Shelton Core Value Fund Direct Shares | Six Months | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Net asset value, beginning of year | $ | 18.68 | $ | 20.05 | $ | 24.53 | $ | 25.00 | $ | 26.82 | $ | 25.26 | ||||||||||||
INCOME FROM INVESTMENT OPERATIONS | ||||||||||||||||||||||||
Net investment income/(loss)(a) | 0.10 | 0.25 | 0.36 | 0.37 | 0.43 | 0.48 | ||||||||||||||||||
Net gain/(loss) on securities (both realized and unrealized) | 1.94 | 1.22 | (0.51 | ) | 2.33 | 1.81 | 1.94 | |||||||||||||||||
Total from investment operations | 2.04 | 1.47 | (0.15 | ) | 2.70 | 2.24 | 2.42 | |||||||||||||||||
LESS DISTRIBUTIONS | ||||||||||||||||||||||||
Dividends from net investment income | (0.80 | ) | (1.50 | ) | (0.68 | ) | (0.38 | ) | (0.59 | ) | (0.50 | ) | ||||||||||||
Distributions from capital gains | (2.53 | ) | (1.34 | ) | (3.65 | ) | (2.79 | ) | (3.47 | ) | (0.36 | ) | ||||||||||||
Total distributions | (3.33 | ) | (2.84 | ) | (4.33 | ) | (3.17 | ) | (4.06 | ) | (0.86 | ) | ||||||||||||
Net asset value, end of year or period | $ | 17.39 | $ | 18.68 | $ | 20.05 | $ | 24.53 | $ | 25.00 | $ | 26.82 | ||||||||||||
Total return | 12.25 | % | 7.99 | % | 0.41 | % | 11.32 | % | 9.10 | % | 9.83 | % | ||||||||||||
RATIOS / SUPPLEMENTAL DATA | ||||||||||||||||||||||||
Net assets, end of year or period (000s) | $ | 177,486 | $ | 150,038 | $ | 148,997 | $ | 176,019 | $ | 176,929 | $ | 175,317 | ||||||||||||
Ratio of expenses to average net assets | 0.76 | %(b) | 0.84 | % | 0.82 | % | 0.78 | % | 0.75 | % | 0.78 | % | ||||||||||||
Ratio of net investment income/(loss) to average net assets | 1.14 | %(b) | 1.33 | % | 1.77 | % | 1.52 | % | 1.71 | % | 1.90 | % | ||||||||||||
Portfolio turnover | 36 | % | 113 | % | 21 | % | 35 | % | 9 | % | 20 | % |
See accompanying notes to financial statements.
34
Financial Highlights (For a Share Outstanding Throughout Each Year or Period) (Continued) |
K Shares | Six Months | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Net asset value, beginning of year | $ | 18.21 | $ | 19.74 | $ | 24.22 | $ | 24.75 | $ | 26.61 | $ | 25.09 | ||||||||||||
INCOME FROM INVESTMENT OPERATIONS | ||||||||||||||||||||||||
Net investment income/(loss)(a) | 0.06 | 0.16 | 0.26 | 0.25 | 0.30 | 0.35 | ||||||||||||||||||
Net gain/(loss) on securities (both realized and unrealized) | 1.89 | 1.19 | (0.50 | ) | 2.29 | 1.79 | 1.93 | |||||||||||||||||
Total from investment operations | 1.95 | 1.35 | (0.24 | ) | 2.54 | 2.09 | 2.28 | |||||||||||||||||
LESS DISTRIBUTIONS | ||||||||||||||||||||||||
Dividends from net investment income | (0.76 | ) | (1.54 | ) | (0.59 | ) | (0.28 | ) | (0.48 | ) | (0.40 | ) | ||||||||||||
Distributions from capital gains | (2.53 | ) | (1.34 | ) | (3.65 | ) | (2.79 | ) | (3.47 | ) | (0.36 | ) | ||||||||||||
Total distributions | (3.29 | ) | (2.88 | ) | (4.24 | ) | (3.07 | ) | (3.95 | ) | (0.76 | ) | ||||||||||||
Net asset value, end of year or period | $ | 16.87 | $ | 18.21 | $ | 19.74 | $ | 24.22 | $ | 24.75 | $ | 26.61 | ||||||||||||
Total return | 12.00 | % | 7.40 | % | (0.08 | )% | 10.75 | % | 8.57 | % | 9.30 | % | ||||||||||||
RATIOS / SUPPLEMENTAL DATA | ||||||||||||||||||||||||
Net assets, end of year or period (000s) | $ | 1,435 | $ | 1,382 | $ | 2,601 | $ | 5,370 | $ | 5,369 | $ | 5,897 | ||||||||||||
Ratio of expenses to average net assets | 1.26 | %(b) | 1.34 | % | 1.32 | % | 1.28 | % | 1.25 | % | 1.28 | % | ||||||||||||
Ratio of net investment income/(loss) to average net assets | 0.66 | %(b) | 0.85 | % | 1.27 | % | 1.02 | % | 1.22 | % | 1.40 | % | ||||||||||||
Portfolio turnover | 36 | % | 113 | % | 21 | % | 35 | % | 9 | % | 20 | % |
(a) | Calculated based upon average shares outstanding. |
(b) | Annualized. |
Nasdaq-100 Index Fund Direct Shares | Six Months | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Net asset value, beginning of year | $ | 27.78 | $ | 18.78 | $ | 18.85 | $ | 15.24 | $ | 12.25 | $ | 11.00 | ||||||||||||
INCOME FROM INVESTMENT OPERATIONS | ||||||||||||||||||||||||
Net investment income/(loss)(a) | 0.04 | 0.10 | 0.11 | 0.10 | 0.10 | 0.09 | ||||||||||||||||||
Net gain/(loss) on securities (both realized and unrealized) | 1.90 | 10.32 | 0.18 | 3.78 | 2.98 | 1.27 | ||||||||||||||||||
Total from investment operations | 1.94 | 10.42 | 0.29 | 3.88 | 3.08 | 1.36 | ||||||||||||||||||
LESS DISTRIBUTIONS | ||||||||||||||||||||||||
Dividends from net investment income | (0.08 | ) | (0.10 | ) | (0.12 | ) | (0.10 | ) | (0.09 | ) | (0.11 | ) | ||||||||||||
Distributions from capital gains | (0.27 | ) | (1.32 | ) | (0.24 | ) | (0.17 | ) | — | — | ||||||||||||||
Total distributions | (0.35 | ) | (1.42 | ) | (0.36 | ) | (0.27 | ) | (0.09 | ) | (0.11 | ) | ||||||||||||
Net asset value, end of year or period | $ | 29.37 | $ | 27.78 | $ | 18.78 | $ | 18.85 | $ | 15.24 | $ | 12.25 | ||||||||||||
Total return | 7.02 | % | 58.98 | % | 1.72 | % | 25.73 | % | 25.29 | % | 12.46 | % | ||||||||||||
RATIOS / SUPPLEMENTAL DATA | ||||||||||||||||||||||||
Net assets, end of year (000s) | $ | 966,452 | $ | 889,163 | $ | 607,521 | $ | 630,845 | $ | 460,021 | $ | 298,123 | ||||||||||||
Ratio of expenses to average net assets: | ||||||||||||||||||||||||
Before expense reimbursements | 0.64 | %(b) | 0.70 | % | 0.74 | % | 0.74 | % | 0.70 | % | 0.74 | % | ||||||||||||
After expense reimbursements | 0.48 | %(b),(c) | 0.50 | %(c) | 0.50 | %(c) | 0.51 | %(c) | 0.49 | % | 0.49 | % | ||||||||||||
Ratio of net investment income/(loss) to average net assets | ||||||||||||||||||||||||
Before expense reimbursements | 0.14 | %(b) | 0.27 | % | 0.40 | % | 0.36 | % | 0.53 | % | 0.57 | % | ||||||||||||
After expense reimbursements | 0.30 | %(b) | 0.47 | % | 0.64 | % | 0.59 | % | 0.74 | % | 0.82 | % | ||||||||||||
Portfolio turnover | 7 | % | 12 | % | 18 | % | 2 | % | 4 | % | 7 | % |
35
See accompanying notes to financial statements.
Financial Highlights (For a Share Outstanding Throughout Each Year or Period) (Continued) |
K Shares | Six Months | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Net asset value, beginning of year | $ | 26.88 | $ | 18.23 | $ | 18.31 | $ | 14.83 | $ | 11.93 | $ | 10.69 | ||||||||||||
INCOME FROM INVESTMENT OPERATIONS | ||||||||||||||||||||||||
Net investment income/(loss)(a) | (0.03 | ) | (0.01 | ) | 0.02 | 0.01 | 0.03 | 0.03 | ||||||||||||||||
Net gain/(loss) on securities (both realized and unrealized) | 1.83 | 10.01 | 0.18 | 3.67 | 2.91 | 1.24 | ||||||||||||||||||
Total from investment operations | 1.80 | 10.00 | 0.20 | 3.68 | 2.94 | 1.27 | ||||||||||||||||||
LESS DISTRIBUTIONS | ||||||||||||||||||||||||
Dividends from net investment income | (0.03 | ) | (0.03 | ) | (0.04 | ) | (0.03 | ) | (0.04 | ) | (0.03 | ) | ||||||||||||
Distributions from capital gains | (0.27 | ) | (1.32 | ) | (0.24 | ) | (0.17 | ) | — | — | ||||||||||||||
Total distributions | (0.30 | ) | (1.35 | ) | (0.28 | ) | (0.20 | ) | (0.04 | ) | (0.03 | ) | ||||||||||||
Net asset value, end of year or period | $ | 28.38 | $ | 26.88 | $ | 18.23 | $ | 18.31 | $ | 14.83 | $ | 11.93 | ||||||||||||
Total return | 6.73 | % | 58.17 | % | 1.24 | % | 25.03 | % | 24.70 | % | 11.96 | % | ||||||||||||
RATIOS / SUPPLEMENTAL DATA | ||||||||||||||||||||||||
Net assets, end of year (000s) | $ | 34,384 | $ | 31,064 | $ | 24,755 | $ | 28,573 | $ | 22,427 | $ | 15,500 | ||||||||||||
Ratio of expenses to average net assets: | ||||||||||||||||||||||||
Before expense reimbursements | 1.14 | %(b) | 1.20 | % | 1.24 | % | 1.24 | % | 1.20 | % | 1.24 | % | ||||||||||||
After expense reimbursements | 0.98 | %(b),(c) | 1.00 | %(c) | 1.00 | %(c) | 1.01 | %(c) | 0.99 | % | 0.99 | % | ||||||||||||
Ratio of net investment income/(loss) to average net assets | ||||||||||||||||||||||||
Before expense reimbursements | (0.36 | )%(b) | (0.23 | )% | (0.10 | )% | (0.15 | )% | 0.03 | % | 0.05 | % | ||||||||||||
After expense reimbursements | (0.20 | )%(b) | (0.03 | )% | 0.14 | % | 0.08 | % | 0.24 | % | 0.30 | % | ||||||||||||
Portfolio turnover | 7 | % | 12 | % | 18 | % | 2 | % | 4 | % | 7 | % |
(a) | Calculated based upon average shares outstanding. |
(b) | Annualized. |
(c) | CCO Fees are not included in the expense limitation. |
Shelton Green Alpha Fund Direct Shares | Six Months | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Net asset value, beginning of year | $ | 29.65 | $ | 18.44 | $ | 17.20 | $ | 17.32 | $ | 14.53 | $ | 13.67 | ||||||||||||
INCOME FROM INVESTMENT OPERATIONS | ||||||||||||||||||||||||
Net investment income/(loss)(a) | (0.05 | ) | (0.01 | ) | 0.03 | 0.05 | 0.02 | (0.03 | ) | |||||||||||||||
Net gain/(loss) on securities (both realized and unrealized) | 15.14 | 11.24 | 1.47 | 0.34 | 2.77 | 0.89 | ||||||||||||||||||
Total from investment operations | 15.09 | 11.23 | 1.50 | 0.39 | 2.79 | 0.86 | ||||||||||||||||||
LESS DISTRIBUTIONS | ||||||||||||||||||||||||
Dividends from net investment income | — | (0.02 | ) | (0.02 | ) | (0.05 | ) | — | — | |||||||||||||||
Distributions from capital gains | (0.45 | ) | — | (0.24 | ) | (0.46 | ) | — | (b) | — | (b) | |||||||||||||
Total distributions | (0.45 | ) | (0.02 | ) | (0.26 | ) | (0.51 | ) | — | — | ||||||||||||||
Net asset value, end of year or period | $ | 44.29 | $ | 29.65 | $ | 18.44 | $ | 17.20 | $ | 17.32 | $ | 14.53 | ||||||||||||
Total return | 51.06 | % | 60.93 | % | 8.91 | % | 2.19 | % | 19.20 | % | 6.29 | % | ||||||||||||
RATIOS / SUPPLEMENTAL DATA | ||||||||||||||||||||||||
Net assets, end of year (000s) | $ | 271,600 | $ | 91,607 | $ | 56,567 | $ | 49,366 | $ | 40,256 | $ | 36,880 | ||||||||||||
Ratio of expenses to average net assets: | ||||||||||||||||||||||||
Before expense reimbursements | 1.16 | %(c) | 1.28 | % | 1.34 | % | 1.30 | % | 1.30 | % | 1.31 | % | ||||||||||||
After expense reimbursements | 1.16 | %(c) | 1.28 | % | 1.34 | % | 1.30 | % | 1.30 | % | 1.31 | % | ||||||||||||
Ratio of net investment income/(loss) to average net assets | ||||||||||||||||||||||||
Before expense reimbursements | (0.24 | )%(c) | (0.05 | )% | 0.15 | % | 0.30 | % | 0.13 | % | (0.22 | )% | ||||||||||||
After expense reimbursements | (0.24 | )%(c) | (0.05 | )% | 0.15 | % | 0.30 | % | 0.13 | % | (0.22 | )% | ||||||||||||
Portfolio turnover | 6 | % | 27 | % | 12 | % | 13 | % | 24 | % | 13 | % |
(a) | Calculated based upon average shares outstanding. |
(b) | Less than $0.01 per share. |
(c) | Annualized. |
See accompanying notes to financial statements.
36
Shelton Funds | Notes to Financial Statements (Unaudited) | February 28, 2021 |
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 Core Value 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 Core Value 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. Shelton Green Alpha Fund seeks to achieve long-term capital appreciation by investing in stocks in the green economy. 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 Core Value Fund, Nasdaq-100 Index Fund each offer Class K shares. Effective as of December 27, 2019, The United States Treasury Trust ceased offering Class K shares of the Fund. Income, expenses (other than the expenses attributable to a specific class), realized and unrealized gains or losses on investments of the Funds are allocated proportionately to the two classes 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 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 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, 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 Core Value 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 Core Value 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 Core Value 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.
(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.
(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 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.
37
Shelton Funds | Notes to Financial Statements (Unaudited) (Continued) | February 28, 2021 |
(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 (2017-2019), or expected to be taken in the Fund’s 2020 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) 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:
(k) 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.
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 February 28, 2021 using fair value hierarchy:
Level 1(a) | Level 2(a) | Level 3(a) | Level 1(a) | Level 1(a) | Level 2(a) | |||||||||||||||||||||||
Fund | Investments | Investments | Investments | Total | Futures | Futures | Written | |||||||||||||||||||||
Green California Tax-Free Income Fund | $ | — | $ | 57,967,690 | $ | — | $ | 57,967,690 | $ | — | $ | — | $ | — | ||||||||||||||
U.S. Government Securities Fund | — | 20,944,969 | — | 20,944,969 | — | — | — | |||||||||||||||||||||
The United States Treasury Trust Fund | — | 35,497,059 | — | 35,497,059 | — | — | — | |||||||||||||||||||||
S&P 500 Index Fund | 209,868,507 | 99,995 | — | 209,968,502 | — | 5,253 | — | |||||||||||||||||||||
S&P MidCap Index Fund | $ | 121,743,538 | $ | 799,960 | $ | — | $ | 122,543,498 | $ | 24,980 | $ | — | $ | — | ||||||||||||||
S&P SmallCap Index Fund | 65,135,200 | 99,995 | 0 | 65,235,195 | — | 7,905 | — | |||||||||||||||||||||
Shelton Core Value Fund | 168,369,747 | 9,799,510 | — | 178,169,257 | — | — | 322,663 | |||||||||||||||||||||
Nasdaq-100 Index Fund | 982,865,513 | 17,499,125 | — | 1,000,364,638 | — | 661,525 | — | |||||||||||||||||||||
Shelton Green Alpha Fund | 246,710,310 | — | — | 246,710,310 | — | — | — |
(a) | It is the Fund’s 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 fiscal year end. |
(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 appreciation on the last day of the reporting period. |
(e) | Represents depreciation on the last day of the reporting period. |
Level 3 Securities | S&P SmallCap Index Fund | |||||||
Common | Rights - | |||||||
Beginning Balance | $ | 0 | $ | 0 | ||||
Net Purchases | — | — | ||||||
Net Sales | 0 | — | ||||||
Total Realized Gain/(Loss) | — | — | ||||||
Change in Unrealized Appreciation (Depreciation) | — | — | ||||||
Accrued Interest | — | — | ||||||
Transfers into Level 3 | — | — | ||||||
Transfers out of Level 3 | — | — | ||||||
Ending Balance | $ | — | $ | 0 |
(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.
38
Shelton Funds | Notes to Financial Statements (Unaudited) (Continued) | February 28, 2021 |
S&P 500 Index Fund, S&P MidCap Index Fund, S&P SmallCap Index Fund, Shelton Core Value 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 February 28, 2021, 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 1, 4, 2 and 69, respectively. The Shelton Core Value Fund and Shelton Green Alpha Fund held no futures contracts at February 28, 2021. Only current day’s appreciation or depreciation is reported as an asset or liability within the statement of assets and liabilities.
The effect of derivative instruments on the Statements of Assets & Liabilities for the period ended February 28, 2021:
Derivatives Not Accounted for as Hedging Instruments | Appreciation | Depreciation | ||||||
S&P 500 Index Fund - Equity contracts | $ | — | $ | 5,253 | ||||
S&P MidCap Index Fund - Equity contracts | 24,980 | — | ||||||
S&P SmallCap Index Fund - Equity contracts | — | 7,905 | ||||||
Nasdaq-100 Index Fund- Equity contracts | — | 661,525 |
The effect of derivative instruments on the Statements of Operations for the period ended February 28, 2021:
Derivatives Not Accounted for as Hedging Instruments | Realized Gain/ | Changes in Unrealized | ||||||
S&P 500 Index Fund - Equity contracts | $ | 126,054 | $ | (20,178 | ) | |||
S&P MidCap Index Fund - Equity contracts | 152,117 | 5,440 | ||||||
S&P SmallCap Index Fund - Equity contracts | 156,899 | (7,605 | ) | |||||
Nasdaq-100 Index Fund - Equity contracts | 3,156,957 | (3,143,540 | ) |
The previously disclosed derivative instruments outstanding as of February 28, 2021, and their effect on the Statement of Operations for the period ending February 28, 2021, 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 | $ | 908,928 | ||
S&P MidCap Index Fund - Equity contracts | 759,921 | |||
S&P SmallCap Index Fund - Equity contracts | 233,803 | |||
Nasdaq-100 Index Fund - Equity contracts | 14,741,941 |
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 | 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 Core Value 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% |
39
Shelton Funds | Notes to Financial Statements (Unaudited) (Continued) | February 28, 2021 |
The Advisor contractually agreed to reduce total operating expense to certain Funds of the Trust. This additional contractual reimbursement is effective until January 2, 2022, 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. Reimbursements from the Advisor to affected Funds, and the contractual expense limits, for the period ended February 28, 2021 are as follows:
Contractual Expense Limitation | |||
Fund | Direct Shares | K Shares | Expiration |
U.S. Government Securities Fund | 0.74% | 1.24% | 1/2/22 |
The United States Treasury Trust(a) | 0.53% | N/A | 1/2/22 |
Nasdaq-100 Index Fund | 0.49% | 0.99% | 1/2/22 |
At August 31, 2020, the remaining cumulative unreimbursed amount paid and/or waived by the Advisor on behalf of the Funds that may be reimbursed was $4,792,333. 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 8/31/21 | Expires 8/31/22 | Expires 8/31/23 | Total | ||||||||||||
U.S. Government Securities Fund | $ | 27,929 | $ | 43,929 | $ | 40,952 | $ | 112,810 | ||||||||
The United States Treasury Trust | 164,246 | 104,345 | 126,223 | 394,814 | ||||||||||||
S&P 500 Index Fund | 88,195 | — | — | 88,195 | ||||||||||||
S&P MidCap Index Fund | 43,839 | — | — | 43,839 | ||||||||||||
S&P SmallCap Index Fund | 23,398 | — | — | 23,398 | ||||||||||||
Nasdaq-100 Index Fund | 1,275,279 | 1,448,548 | 1,405,450 | 4,129,277 | ||||||||||||
Total | $ | 1,622,886 | $ | 1,596,822 | $ | 1,572,625 | $ | 4,792,333 |
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 Board of Trustee review and approval prior to the time the reimbursement is initiated.
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 Statement of Operations.
Certain officers and trustees of the Trust are also partners of Shelton. Steve 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 Adviser. Gregory T. Pusch has served as the Chief Compliance Officer (“CCO”) of the Trust since March 2017. Mr. Pusch is also employed by Shelton, 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 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, 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 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 period ended February 28, 2021, the following were paid by the Class K Shares of each Fund of the Trust:
Fund | Class K | Class K | ||||||
U.S. Government Securities Fund | $ | 2,265 | $ | 2,265 | ||||
S&P 500 Index Fund | 3,977 | 3,977 | ||||||
S&P MidCap Index Fund | 1,440 | 1,440 | ||||||
S&P SmallCap Index Fund | 3,275 | 3,275 | ||||||
Shelton Core Value Fund | 1,711 | 1,711 | ||||||
Nasdaq-100 Index fund | 39,830 | 39,830 |
Management fees, Administration fees, Expense reimbursement from the manager, CCO fees and Trustees fees incurred during the period are included in the Statement of Operations.
40
Shelton Funds | Notes to Financial Statements (Unaudited) (Continued) | February 28, 2021 |
Note 3 - PURCHASES AND SALES OF SECURITIES
Purchases and sales of securities other than short-term instruments for the period ended February 28, 2021 were as follows:
Fund | Purchases | Sales | Purchases | Sales | ||||||||||||
Green California Tax-Free Income Fund | $ | — | $ | 1,382,891 | $ | — | $ | 1,382,891 | ||||||||
U.S. Government Securities Fund | — | 2,450,274 | — | — | ||||||||||||
S&P 500 Index Fund | 9,586,535 | 14,967,500 | 9,586,535 | 14,967,500 | ||||||||||||
S&P MidCap Index Fund | 11,339,720 | 15,687,379 | 11,339,720 | 15,687,379 | ||||||||||||
S&P SmallCap Index Fund | 4,639,511 | 8,336,315 | 4,639,511 | 8,336,315 | ||||||||||||
Core Value Fund | 72,682,234 | 54,147,267 | 72,682,234 | 54,147,267 | ||||||||||||
Nasdaq-100 Index Fund | 85,715,112 | 63,092,875 | 85,715,112 | 63,092,875 | ||||||||||||
Green Alpha Fund | 121,452,205 | 10,314,752 | 121,452,205 | 10,314,752 |
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 February 28, 2021, the Shelton Core Value Fund had written option contracts outstanding:
Derivatives not | Liability Derivatives | Fair Value | |||
Equity Contracts | Written options, at value | $ | 322,663 |
The effect of derivative instruments on the Funds’ Statement of Operations for the period ended February 28, 2021, was as follows:
Derivatives not Accounted | Location of Gains/(Loss) on Derivatives | Realized Gain/ | Change in Unrealized | ||||||
Equity Contracts | Net realized gains (losses) from: Written option contracts / Net change in unrealized appreciation (depreciation) on: Written option contracts | $ | 1,978,896 | $ | 777,040 |
Volume of derivative instruments held by the Funds during the period ended February 28, 2021, was as follows:
Derivative Type | Unit Of Measurement | Average | |||
Written Option Contracts | Contracts | $ | (831,744 | ) |
Note 5 - TAX CHARACTER
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, 2020, there are permanent differences resulting from different book and tax accounting for net operating losses, expiration of capital loss carryforwards, distribution reclassifications, and treatment of accretion of discount. The reclassifications were as follows:
Increase/(Decrease) | Increase/(Decrease) | |||||||
Shelton Green Alpha Fund | $ | (33,354 | ) | $ | 33,354 | |||
The United States Treasury Trust | (1,492 | ) | 1,492 |
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Shelton Funds | Notes to Financial Statements (Unaudited) (Continued) | February 28, 2021 |
Tax Basis of Distributable Earnings: The tax character of distributable earnings at August 31, 2020 was as follows:
Undistributed | Undistributed | Capital | Unrealized | Post October | Total | |||||||||||||||||||
Green California Tax-Free Income Fund | $ | 2,874 | $ | — | $ | (156,702 | ) | $ | 4,833,231 | $ | (20,169 | ) | $ | 4,659,234 | ||||||||||
U.S. Government Securities Fund | 2,421 | — | (47,483 | ) | 1,528,199 | (5,440 | ) | 1,477,697 | ||||||||||||||||
The United States Treasury Trust | — | — | (1,779 | ) | — | — | (1,779 | ) | ||||||||||||||||
S&P 500 Index Fund | 1,073,707 | 12,070,897 | — | 132,163,136 | — | 145,307,740 | ||||||||||||||||||
S&P Mid Cap Index Fund | 12,007 | 6,229,694 | — | 24,795,773 | — | 31,037,474 | ||||||||||||||||||
S&P Small Cap Index Fund | — | 891,266 | — | 8,267,683 | — | 9,158,949 | ||||||||||||||||||
Core Value Fund | 825,670 | 20,960,443 | — | 11,920,281 | — | 33,706,394 | ||||||||||||||||||
Nasdaq-100 Index Fund | 5,387,493 | 3,588,235 | — | 554,701,319 | — | 563,677,047 | ||||||||||||||||||
Green Alpha Fund | — | 997,832 | — | 42,107,160 | — | 43,104,992 |
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, the treatment of accretion of discounts, and certain other investments.
Elective Deferrals: The Funds have not elected to defer capital losses recognized during the period November 1, 2019 - August 31, 2020 to the period ending August 31, 2021.
The Funds have not elected to defer ordinary losses to the period ending August 31, 2021.
Capital Losses: Capital loss carry forwards, as of August 31, 2020, available to offset future capital gains, if any, are as follows:
Expiring | Green | U.S. | United States | |||||||||
Long Term with No Expiration | $ | (156,179 | ) | $ | (1,378 | ) | $ | — | ||||
Short Term with No Expiration | (523 | ) | (46,105 | ) | (1,779 | ) | ||||||
Total | $ | (156,702 | ) | $ | (47,483 | ) | $ | (1,779 | ) |
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, 2020 and 2019 were as follows:
Fund | Year | Return of | Ordinary | Long-Term | Exempt- | Total | ||||||||||||||||||
Green California Tax-Free Income Fund | 2019 | $ | — | $ | — | $ | 119,292 | $ | 1,312,755 | $ | 1,432,047 | |||||||||||||
2020 | — | — | 86,780 | 1,137,898 | 1,224,678 | |||||||||||||||||||
U.S. Government Securities Fund | 2019 | — | 264,460 | — | — | 264,460 | ||||||||||||||||||
2020 | — | 270,782 | — | — | 270,782 | |||||||||||||||||||
The United States Treasury Trust | 2019 | — | 845,516 | — | — | 845,516 | ||||||||||||||||||
2020 | — | 261,524 | — | — | 261,524 | |||||||||||||||||||
S&P 500 Index Fund | 2019 | — | 3,067,559 | 1,340,869 | — | 4,408,428 | ||||||||||||||||||
2020 | — | 2,808,286 | 14,466,128 | — | 17,274,414 | |||||||||||||||||||
S&P Mid Cap Index Fund | 2019 | — | 2,402,000 | 10,698,956 | — | 13,100,956 | ||||||||||||||||||
2020 | — | 1,093,967 | 7,058,757 | — | 8,152,724 | |||||||||||||||||||
S&P Small Cap Index Fund | 2019 | — | 738,251 | 5,245,346 | — | 5,983,597 | ||||||||||||||||||
2020 | — | 377,203 | 4,464,022 | — | 4,841,225 | |||||||||||||||||||
Shelton Core Value Fund | 2019 | — | 9,355,980 | 20,581,178 | — | 29,937,158 | ||||||||||||||||||
2020 | — | 11,953,734 | 9,784,795 | — | 21,738,529 | |||||||||||||||||||
Nasdaq-100 Index Fund | 2019 | — | 3,857,160 | 8,346,060 | — | 12,203,220 | ||||||||||||||||||
2020 | — | 5,487,003 | 41,231,826 | — | 46,718,829 | |||||||||||||||||||
Green Alpha Fund | 2019 | — | 148,555 | 552,838 | — | 701,393 | ||||||||||||||||||
2020 | — | — | 51,961 | — | 51,961 |
(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, 2020. |
Note 6 – SUBSEQUENT EVENTS
In preparing the financial statements as of February 28, 2021, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements through the date of issuance of the financial statements and has determined that there were no subsequent events requiring recognition or disclosure.
42
Fund Holdings (Unaudited) |
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 Funds’ Form N-PORT reports are 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.
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 Funds’ website at www.sheltoncap.com. Please read the prospectus carefully before you invest or send money, as it explains the risks, fees and expenses of investing in the Funds.
Proxy Voting Policies, Procedures and Voting Records (Unaudited) |
The Funds’ Statement of Additional Information (“SAI”) containing a description of the policies and procedures that the Shelton Funds use to determine how to vote proxies relating to portfolio securities, along with the Fund’s proxy voting record relating to portfolio securities held during the 12-month period ended June 30, 2020 is available upon request, at no charge, at the phone number above, or on the SEC’s website at www.sec.gov.
Board of Trustees and Executive Officers (Unaudited) |
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, Suite 300 Denver, CO, 80202 | 1966 | Chairman of the Board, | Since August 1999, |
Kevin T. Kogler | 1875 Lawrence Street, Suite 300 Denver, CO, 80202 | 1966 | Trustee | Since May 2006 |
Marco L. Quazzo | 1875 Lawrence Street, Suite 300 Denver, CO, 80202 | 1962 | Trustee | Since August 2014 |
Stephen H. Sutro | 1875 Lawrence Street, Suite 300 Denver, CO, 80202 | 1969 | Trustee | Since May 2006 |
William P. Mock | 1875 Lawrence Street, Suite 300 Denver, CO, 80202 | 1966 | Treasurer | Since February 2010 |
Gregory T. Pusch | 1875 Lawrence Street, Suite 300 Denver, CO, 80202 | 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; Principal, Robertson Piper Software Group, 2006 to 2012; Senior Vice President, Investment Banking, Friedman, Billings Ramsey, 2003 to 2006. |
Marco L. Quazzo | Principal, Bartko Zankel Bunzel & Miller, March 2015-Present; Partner, Barg Coffin Lewis & Trapp LLP (law firm), 2008 to March 2015. |
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 | Principal Occupations Past five years: Global Head of Risk & Compliance, Matthews Asia 2015-2016; Head of Legal & Regulatory Compliance / CCO, HarbourVest Partners 2012-2015. |
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. |
43
Liquidity Risk Management Disclosure (Unaudited) |
The Shelton Funds Trust (the “Trust”) has adopted and implemented a liquidity risk management program (the “Program”), as consistent with Rule 22e-4 to govern the Trust’s approach to managing liquidity risk for each series of the Trust (each, a “Fund” and collectively, the “Funds”). The Program is overseen by the Liquidity Committee (the “Committee”), which is comprised of investment, operations and legal and compliance professionals from Shelton Capital Management. The Board of Trustees of the Trust (the “Board”) has approved the designation of the Committee to oversee the Program.
The Program’s principal objectives include supporting each Fund’s compliance with limits on investments in illiquid assets and mitigating the risk that a Fund will be unable to meet its redemption obligations in a timely manner. The Program also includes a number of elements that support the management and assessment of liquidity risk, including an annual assessment of factors that influence a Fund’s liquidity and the periodic classification and re-classification of the Fund’s investments into groupings that reflect the Committee’s assessment of their relative liquidity under current market conditions.
At a meeting of the Board held on November 6, 2020, the Committee provided a report (the “Report”) to the Board addressing the operation, adequacy, and effectiveness the Program, including any material changes to the Program for the period from the inception of the Trust’s program in December 2018 through December 2020 (“Reporting Period”). The Report concluded that the Trust’s Program was reasonably designed to assess and manage each Fund’s liquidity risk and was adequately and effectively implemented during the Reporting Period. There were [no] material changes to the Program during the Reporting Period. The Report further concluded that each Fund’s investment strategy continues to be appropriate given each Fund’s status as an open-end fund.
There can be no assurance that the Program will achieve its objectives in the future. Additional information regarding risks of investing in each Fund, including liquidity risks presented by the Trust’s investment portfolios, is found in the Trust’s Prospectus and Statement of Additional Information.
Board Considerations Regarding Approval of Investment Advisory Agreements |
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 Funds Investment Advisory Agreement”); |
o | Green California Tax Free Income Fund; |
o | Nasdaq-100 Index Fund; |
o | S&P 500 Index Fund; |
o | S&P MidCap Index Fund; |
o | S&P SmallCap Index Fund; |
o | Shelton Core Value Fund; |
o | U.S. Government Securities Fund; and |
o | 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 Investment Advisory Agreement”); and |
● | the Discretionary Sub-Advisory Agreement effective as of March 8, 2013, between Green Alpha Advisors, LLC (“Green Alpha”) and SCM (the “Investment Sub-Advisory Agreement” and collectively with the Shelton Funds Investment Advisory Agreement and the Green Alpha Advisory Agreement, each an “Advisory Agreement” and collectively, the “Advisory Agreements”). |
At a meeting held on February 26, 2020, 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 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 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, noting SCM’s additions over recent years, 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.
44
Board Considerations Regarding Approval of Investment Advisory Agreements (Continued) |
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 essential to performing its duties under the applicable Advisory Agreements, and that the nature, extent and overall quality of such services provided by SCM and Green Alpha, respectively, were satisfactory and reliable.
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, as applicable. In assessing performance of certain Funds, 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 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 1-year and 10-year periods and the lowest performing quartile over the 3-year, 5-year periods. |
● | For the Nasdaq-100 Index Fund, it was noted that the performance of the Fund was in the top 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 top performing quartile over the 10-year period, and the second highest performing quartile over the 1-year, 3-year, and 5-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 1-year, 5-year and 10-year periods, and the second lowest performing quartile for the 3-year period. |
● | 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, and in the second highest performing quartile over the 1-year, 3-year, and 5-year periods. |
● | For the Shelton Green Alpha Fund, it was noted that the performance of the Fund relative to its peer category was in the top quartile over the 1-year, 3-year and 5-year periods. |
● | For the Shelton Core Value 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 period, the second highest performing quartile over the 3-year period, and in the second lowest performing quartile over the 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. |
● | For the U.S. Government Securities Fund, it was noted that the performance of the Fund relative to its peer category was in the second to lowest performing quartile over the 1-year and 3-year periods, and in the lowest performing quartile over the 5-year and 10-year periods. |
The Board received a satisfactory 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 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 advisory fees and total fees and expenses of each Fund in comparison to the 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 and voluntary fee waivers 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 their 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 Core Value 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 industry 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. Green Alpha noted that there were no such comparable accounts. 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 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.
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Board Considerations Regarding Approval of Investment Advisory Agreements (Continued) |
The Board also considered that SCM and Green Alpha do not receive material indirect benefits from managing the applicable Funds. For example, neither SCM nor Green Alpha currently employs a “soft dollar” program, but noted that Shelton Capital may seek to employ a soft dollar program in the near future.
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.
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 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 Advisory Agreements, the Board had received sufficient information to renew and approve the applicable 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 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 the each Advisory Agreement and the Green Alpha sub-advisory agreement was in the best interests of each Fund and its shareholders.
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P.O. Box 87
Denver, CO 80201-0087
ITEM 2. | CODE OF ETHICS. |
N/A for semi-annual reports. |
ITEM 3. | AUDIT COMMITTEE FINANCIAL EXPERT. |
N/A for semi-annual reports. |
ITEM 4. | PRINCIPAL ACCOUNTANT FEES AND SERVICES. |
N/A for semi-annual reports. |
ITEM 5. | AUDIT COMMITTEE OF LISTED REGISTRANTS. |
N/A |
ITEM 6. | SCHEDULE OF INVESTMENTS |
(a) | Included under Item 1. |
(b) | [N/A] |
ITEM 7. | DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
N/A |
ITEM 8. | PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
N/A |
ITEM 9. | PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. |
N/A |
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 Registrant's last fiscal half-year (the Registrant's second fiscal half-year in the case of an annual 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. |
N/A |
ITEM 13. | EXHIBITS |
(a)(1) | Code of Ethics not applicable for semi-annual report. |
(a)(2) | Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
(a)(3) | Any written solicitation to purchase securities under Rule 23c-1 under the Act (17 CFR 270.23c-1) sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons. |
(a)(4) | N/A |
(b) | Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
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 and Chief Executive Officer | ||
Date: August 27, 2021 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
By | /s/ Stephen C. Rogers | |
Stephen C. Rogers, President and Chief Executive Officer | ||
Date: August 27, 2021 | ||
By | /s/ William P. Mock | |
William P. Mock, Treasurer | ||
Date: August 27, 2021 |