UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-04417
| Shelton Funds |
| (Exact name of registrant as specified in charter) |
| 1875 Lawrence Street, Suite 300, Denver, CO 80202 |
| (Address of principal executive offices) (Zip code) |
Stephen C. Rogers 1875 Lawrence Street, Suite 300 Denver, CO 80202 |
| (Name and address of agent for service) |
Registrant's telephone number, including area code: (800) 955-9988
Date of fiscal year end: August 31
Date of reporting period: February 28, 2022
ITEM 1. REPORTS TO STOCKHOLDERS
SEMI-ANNUAL REPORT
February 28, 2022
Green California Tax-Free Income Fund
U.S. Government Securities Fund
The United States Treasury Trust
S&P 500 Index Fund
S&P MidCap Index Fund
S&P SmallCap Index Fund
Shelton Equity Income Fund
Nasdaq-100 Index Fund
Shelton Green Alpha Fund
This report is intended only for the information of shareholders or those who have received the offering prospectus covering shares of beneficial interest of the Shelton Funds (referred to collectively as the “Funds” or individually the “Fund”) which contains information about the management fee and other costs. Investments in shares of the funds of the Shelton Funds are neither insured nor guaranteed by the U.S. Government, and there is no assurance that any Fund, which is designated a Money Market Fund, will be able to maintain a stable net asset value of $1.00 per share.
1
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Table of Contents |
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February 28, 2022 |
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2 |
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4 |
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7 |
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24 |
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26 |
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28 |
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33 |
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41 |
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48 |
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48 |
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49 |
2
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 (12b-1) fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds. 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, 2021 to February 28, 2022.
Actual Expenses
The first line of the tables below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses you have paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the table provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. 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 |
|
California Tax-Free Income Fund |
|
|
|
|
|
|
|
|
|
Direct Shares |
|
|
|
|
|
|
|
|
|
Based on Actual Fund Return |
|
$1,000 |
|
$ 971 |
|
$3.55 |
|
0.73% |
|
Based on Hypothetical 5% Return before expenses |
|
$1,000 |
|
$1,021 |
|
$3.64 |
|
0.73% |
|
U.S. Government Securities Fund |
|
|
|
|
|
|
|
|
|
Direct Shares |
|
|
|
|
|
|
|
|
|
Based on Actual Fund Return |
|
$1,000 |
|
$ 972 |
|
$3.65 |
|
0.75% |
|
Based on Hypothetical 5% Return before expenses |
|
$1,000 |
|
$1,021 |
|
$3.74 |
|
0.75% |
|
K Shares |
|
|
|
|
|
|
|
|
|
Based on Actual Fund Return |
|
$1,000 |
|
$ 968 |
|
$6.10 |
|
1.26% |
|
Based on Hypothetical 5% Return before expenses |
|
$1,000 |
|
$1,019 |
|
$6.26 |
|
1.26% |
|
The United States Treasury Trust |
|
|
|
|
|
|
|
|
|
Direct Shares |
|
|
|
|
|
|
|
|
|
Based on Actual Fund Return |
|
$1,000 |
|
$1,000 |
|
$0.30 |
|
0.06% |
|
Based on Hypothetical 5% Return before expenses |
|
$1,000 |
|
$1,025 |
|
$0.30 |
|
0.06% |
|
S&P 500 Index Fund |
|
|
|
|
|
|
|
|
|
Direct Shares |
|
|
|
|
|
|
|
|
|
Based on Actual Fund Return |
|
$1,000 |
|
$ 972 |
|
$1.97 |
|
0.41% |
|
Based on Hypothetical 5% Return before expenses |
|
$1,000 |
|
$1,023 |
|
$2.02 |
|
0.41% |
|
K Shares |
|
|
|
|
|
|
|
|
|
Based on Actual Fund Return |
|
$1,000 |
|
$ 970 |
|
$4.43 |
|
0.91% |
|
Based on Hypothetical 5% Return before expenses |
|
$1,000 |
|
$1,020 |
|
$4.55 |
|
0.91% |
|
S&P MidCap Index Fund |
|
|
|
|
|
|
|
|
|
Direct Shares |
|
|
|
|
|
|
|
|
|
Based on Actual Fund Return |
|
$1,000 |
|
$ 972 |
|
$2.86 |
|
0.59% |
|
Based on Hypothetical 5% Return before expenses |
|
$1,000 |
|
$1,022 |
|
$2.93 |
|
0.59% |
|
K Shares |
|
|
|
|
|
|
|
|
|
Based on Actual Fund Return |
|
$1,000 |
|
$ 969 |
|
$5.32 |
|
1.10% |
|
Based on Hypothetical 5% Return before expenses |
|
$1,000 |
|
$1,019 |
|
$5.45 |
|
1.10% |
|
S&P SmallCap Index Fund |
|
|
|
|
|
|
|
|
|
Direct Shares |
|
|
|
|
|
|
|
|
|
Based on Actual Fund Return |
|
$1,000 |
|
$ 971 |
|
$3.74 |
|
0.77% |
|
Based on Hypothetical 5% Return before expenses |
|
$1,000 |
|
$1,021 |
|
$3.84 |
|
0.77% |
|
K Shares |
|
|
|
|
|
|
|
|
|
Based on Actual Fund Return |
|
$1,000 |
|
$ 969 |
|
$6.20 |
|
1.28% |
|
Based on Hypothetical 5% Return before expenses |
|
$1,000 |
|
$1,018 |
|
$6.36 |
|
1.28% |
*Expenses are equal to the Fund’s Net Annual Expense Ratio, as noted in the above table, multiplied by the average account value over the period, multiplied by 181 days in most recent fiscal half-year/365.
3
|
|
|
Beginning |
|
Ending |
|
Expenses Paid |
|
Net Annual |
|
Shelton Equity Income Fund |
|
|
|
|
|
|
|
|
|
Direct Shares |
|
|
|
|
|
|
|
|
|
Based on Actual Fund Return |
|
$1,000 |
|
$977 |
|
$3.36 |
|
0.69% |
|
Based on Hypothetical 5% Return before expenses |
|
$1,000 |
|
$1,021 |
|
$3.44 |
|
0.69% |
|
K Shares |
|
|
|
|
|
|
|
|
|
Based on Actual Fund Return |
|
$1,000 |
|
$ 975 |
|
$5.83 |
|
1.20% |
|
Based on Hypothetical 5% Return before expenses |
|
$1,000 |
|
$1,019 |
|
$5.96 |
|
1.20% |
|
Nasdaq-100 Index Fund |
|
|
|
|
|
|
|
|
|
Direct Shares |
|
|
|
|
|
|
|
|
|
Based on Actual Fund Return |
|
$1,000 |
|
$ 915 |
|
$2.39 |
|
0.51% |
|
Based on Hypothetical 5% Return before expenses |
|
$1,000 |
|
$1,023 |
|
$2.53 |
|
0.51% |
|
K Shares |
|
|
|
|
|
|
|
|
|
Based on Actual Fund Return |
|
$1,000 |
|
$ 913 |
|
$4.69 |
|
0.99% |
|
Based on Hypothetical 5% Return before expenses |
|
$1,000 |
|
$1,020 |
|
$4.95 |
|
0.99% |
|
|
|
|
|
|
|
|
|
|
|
Shelton Green Alpha Fund |
|
|
|
|
|
|
|
|
|
Direct Shares |
|
|
|
|
|
|
|
|
|
Based on Actual Fund Return |
|
$1,000 |
|
$ 798 |
|
$5.03 |
|
1.14% |
|
Based on Hypothetical 5% Return before expenses |
|
$1,000 |
|
$1,019 |
|
$5.65 |
|
1.14% |
*Expenses are equal to the Fund’s Net Annual Expense Ratio, as noted in the above table, multiplied by the average account value over the period, multiplied by 181 days in most recent fiscal half-year/365.
|
About Your Fund’s Expenses (Unaudited) |
4
Green California Tax-Free Income Fund
|
Security |
|
Description |
|
Market |
|
Percentage |
|
|
|
|
1 |
East Side Union High School District |
|
General Obligation Refunding Bonds (2012 Crossover); 2006 |
|
$3,162,923 |
|
6.1% |
||
|
2 |
William S Hart Union High School District |
|
General Obligation Bonds; 2001 2005 Election, Series B |
|
$3,067,031 |
|
5.9% |
||
|
3 |
San Francisco Bay Area Rapid Transit District |
|
San Francisco BART District GO Bonds (Election of 2004) 2017 Refunding Series E (Green Bonds) |
|
$2,701,326 |
|
5.2% |
||
|
4 |
Los Rios Community College District |
|
General Obligation Bonds; 2008 Election, Series B |
|
$2,638,745 |
|
5.1% |
||
|
5 |
East Bay Municipal Utility District Water System Revenue |
|
General Obligation Refunding Bonds 2013A |
|
$2,290,465 |
|
4.4% |
||
|
6 |
San Mateo Foster City Public Financing Authority |
|
Water System Revenue Bonds; 2015 Series B |
|
$2,261,711 |
|
4.4% |
||
|
7 |
Milpitas Unified School District/CA |
|
City of San Mateo Wastewater Revenue Bonds 2019 |
|
$2,163,781 |
|
4.2% |
||
|
8 |
Santa Maria Joint Union High School District |
|
General Obligation Bonds; Election of 2004, Series 2005 |
|
$2,146,842 |
|
4.2% |
||
|
9 |
California Health Facilities Financing Authority |
|
Kaiser Permanente Revenue Bonds, Series 2017A-1 |
|
$2,020,819 |
|
3.9% |
||
|
10 |
Los Angeles Department of Water & Power Water System Revenue |
|
Water System Revenue Bonds, 2012 Series A |
|
$2,011,025 |
|
3.9% |
||
U.S. Government Securities Fund
|
Security |
Maturity |
|
Market |
|
Percentage |
|
|
|
|
1 |
United States Treasury Bill |
08/15/2027 |
|
$3,897,672 |
|
21.8% |
||
|
2 |
United States Treasury Bill |
08/15/2023 |
|
$2,646,211 |
|
14.8% |
||
|
3 |
United States Treasury Bill |
05/15/2025 |
|
$2,232,484 |
|
12.5% |
||
|
4 |
United States Treasury Bill |
02/29/2024 |
|
$1,317,367 |
|
7.4% |
||
|
5 |
United States Treasury Bill |
11/15/2028 |
|
$1,298,953 |
|
7.3% |
||
|
6 |
United States Treasury Bill |
02/15/2026 |
|
$932,781 |
|
5.2% |
||
|
7 |
United States Treasury Bill |
07/31/2026 |
|
$857,672 |
|
4.8% |
||
|
8 |
United States Treasury Bill |
04/30/2026 |
|
$820,656 |
|
4.6% |
||
|
9 |
United States Treasury Bill |
02/15/2025 |
|
$808,875 |
|
4.5% |
||
|
10 |
United States Treasury Bill |
05/15/2037 |
|
$699,473 |
|
3.9% |
||
The United States Treasury Trust
|
Security |
Maturity |
|
Market |
|
Percentage |
|
|
|
|
1 |
United States Treasury Bill |
05/03/2022 |
|
$5,198,885 |
|
15.9% |
||
|
2 |
United States Treasury Bill |
03/31/2022 |
|
$4,699,595 |
|
14.4% |
||
|
3 |
United States Treasury Bill |
03/10/2022 |
|
$4,099,954 |
|
12.5% |
||
|
4 |
United States Treasury Bill |
04/19/2022 |
|
$3,898,965 |
|
11.9% |
||
|
5 |
United States Treasury Bill |
04/28/2022 |
|
$3,499,239 |
|
10.7% |
||
|
6 |
United States Cash Management Bill |
05/31/2022 |
|
$3,496,469 |
|
10.7% |
||
|
7 |
United States Treasury Bill |
03/15/2022 |
|
$2,399,952 |
|
7.3% |
||
|
8 |
United States Treasury Bill |
05/26/2022 |
|
$1,899,633 |
|
5.8% |
||
|
9 |
United States Cash Management Bill |
06/07/2022 |
|
$1,698,265 |
|
5.2% |
||
|
10 |
United States Treasury Bill |
03/03/2022 |
|
$899,998 |
|
2.8% |
||
5
|
Top Holdings and Sector Breakdowns (Unaudited) (Continued)February 28, 2022 |
S&P 500 Index Fund
|
Security |
Market |
|
Percentage |
|
|
|
|
1 |
Apple Inc |
$16,393,444 |
|
7.0% |
|
|
|
2 |
Microsoft Corp |
$14,249,295 |
|
6.0% |
|
|
|
3 |
Amazon.com Inc |
$8,531,960 |
|
3.6% |
|
|
|
4 |
Alphabet Inc |
$5,159,177 |
|
2.2% |
|
|
|
5 |
Alphabet Inc |
$4,823,702 |
|
2.0% |
|
|
|
6 |
Tesla Inc |
$4,481,844 |
|
1.9% |
|
|
|
7 |
NVIDIA Corp |
$3,856,244 |
|
1.6% |
|
|
|
8 |
Berkshire Hathaway Inc |
$3,781,216 |
|
1.6% |
|
|
|
9 |
Meta Platforms Inc |
$3,192,462 |
|
1.4% |
|
|
|
10 |
UnitedHealth Group Inc |
$2,847,130 |
|
1.2% |
|
|
|
|
|
|
|
|
|
|
S&P MidCap Index Fund
|
Security |
Market Value |
|
Percentage |
|
|
|
|
1 |
Molina Healthcare Inc |
$949,763 |
|
0.8% |
|
|
|
2 |
Camden Property Trust |
$891,099 |
|
0.7% |
|
|
|
3 |
Targa Resources Corp |
$792,154 |
|
0.6% |
|
|
|
4 |
Builders FirstSource Inc |
$757,744 |
|
0.6% |
|
|
|
5 |
Alcoa Corp |
$750,462 |
|
0.6% |
|
|
|
6 |
Steel Dynamics Inc |
$725,351 |
|
0.6% |
|
|
|
7 |
Fair Isaac Corp |
$708,670 |
|
0.6% |
|
|
|
8 |
First Horizon Corp |
$699,774 |
|
0.6% |
|
|
|
9 |
Jones Lang LaSalle Inc |
$661,593 |
|
0.5% |
|
|
|
10 |
East West Bancorp Inc |
$658,364 |
|
0.5% |
|
|
|
|
|
|
|
|
|
|
S&P SmallCap Index Fund
|
Security |
Market |
|
Percentage |
|
|
|
|
1 |
PDC Energy Inc |
$404,476 |
|
0.6% |
|
|
|
2 |
Omnicell Inc |
$357,071 |
|
0.6% |
|
|
|
3 |
Matador Resources Co |
$351,664 |
|
0.5% |
|
|
|
4 |
Old National Bancorp/IN |
$348,817 |
|
0.5% |
|
|
|
5 |
Range Resources Corp |
$343,034 |
|
0.5% |
|
|
|
6 |
UFP Industries Inc |
$339,399 |
|
0.5% |
|
|
|
7 |
Chart Industries Inc |
$326,777 |
|
0.5% |
|
|
|
8 |
Southwestern Energy Co |
$325,588 |
|
0.5% |
|
|
|
9 |
Rogers Corp |
$324,870 |
|
0.5% |
|
|
|
10 |
AMN Healthcare Services Inc |
$323,833 |
|
0.5% |
|
|
|
|
|
|
|
|
|
|
6
|
Top Holdings and Sector Breakdowns (Unaudited) (Continued)February 28, 2022 |
Shelton Equity Income Fund
|
Security |
Market |
|
Percentage |
|
|
|
|
1 |
Microsoft Corp |
$7,380,113 |
|
2.9% |
|
|
|
3 |
Amazon.com Inc |
$6,142,520 |
|
2.4% |
|
|
|
4 |
Comcast Corp |
$5,611,200 |
|
2.2% |
|
|
|
5 |
UnitedHealth Group Inc |
$5,567,679 |
|
2.2% |
|
|
|
6 |
JPMorgan Chase & Co |
$5,445,120 |
|
2.1% |
|
|
|
7 |
McKesson Corp |
$5,306,728 |
|
2.1% |
|
|
|
8 |
AmerisourceBergen Corp |
$5,131,080 |
|
2.0% |
|
|
|
9 |
Coca-Cola Co/The |
$5,116,128 |
|
2.0% |
|
|
|
10 |
Public Storage |
$5,112,288 |
|
2.0% |
|
|
|
11 |
Chevron Corp |
$5,040,000 |
|
2.0% |
|
|
|
|
|
|
|
|
|
|
Nasdaq-100 Index Fund
|
Security |
Market Value |
|
Percentage |
|
|
|
|
1 |
Apple Inc |
$142,012,942 |
|
12.4% |
|
|
|
2 |
Microsoft Corp |
$117,598,963 |
|
10.3% |
|
|
|
3 |
Amazon.com Inc |
$81,649,447 |
|
7.1% |
|
|
|
4 |
Alphabet Inc - Class C |
$45,823,787 |
|
4.0% |
|
|
|
5 |
NVIDIA Corp |
$44,974,962 |
|
3.9% |
|
|
|
6 |
Alphabet Inc |
$44,934,890 |
|
3.9% |
|
|
|
7 |
Alphabet Inc - Class A |
$42,594,277 |
|
3.7% |
|
|
|
8 |
Meta Platforms Inc |
$39,197,556 |
|
3.4% |
|
|
|
9 |
Broadcom Inc |
$21,029,765 |
|
1.8% |
|
|
|
10 |
Cisco Systems Inc/Delaware |
$20,457,217 |
|
1.8% |
|
|
|
|
|
|
|
|
|
|
Shelton Green Alpha Fund
|
Security |
Market |
|
Percentage |
|
|
|
|
1 |
JinkoSolar Holding Co Ltd |
$15,132,390 |
|
5.5% |
|
|
|
2 |
Vestas Wind Systems A/S |
$13,224,800 |
|
4.8% |
|
|
|
3 |
Tesla Inc |
$13,056,450 |
|
4.8% |
|
|
|
4 |
Brookfield Renewable Corp |
$12,892,650 |
|
4.7% |
|
|
|
5 |
Taiwan Semiconductor Manufacturing Co Ltd |
$11,878,110 |
|
4.3% |
|
|
|
6 |
Applied Materials Inc |
$10,736,000 |
|
3.9% |
|
|
|
7 |
CRISPR Therapeutics AG |
$9,205,500 |
|
3.4% |
|
|
|
8 |
Switch Inc |
$9,107,000 |
|
3.3% |
|
|
|
9 |
QUALCOMM Inc |
$8,771,490 |
|
3.2% |
|
|
|
10 |
Moderna Inc |
$8,755,200 |
|
3.2% |
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
7
|
Green California Tax-Free Income FundPortfolio of Investments (Unaudited) (Continued) 2/28/22 |
|
Security Description |
|
Par Value |
|
Value |
|
|
|
|
|
|
|
Municipal Bonds (93.77%) |
|
|
|
|
|
|
|
|
|
|
|
BUTTE-GLENN COMMUNITY COLLEGE DISTRICT |
|
|
|
|
|
Butte-Glenn Community College District, 4.000%, 08/01/2026 |
|
$1,000,000 |
|
$1,012,972 |
|
CALIFORNIA HEALTH FACILITIES FINANCING AUTHORITY |
|
|
|
|
|
California Health Facilities Financing Authority, 5.000%, 11/01/2027 |
|
1,700,000 |
|
2,020,819 |
|
CALIFORNIA HOUSING FINANCE |
|
|
|
|
|
California Housing Finance Agency, 4.000%, 03/20/2033 |
|
362,362 |
|
399,284 |
|
CALIFORNIA INFRASTRUCTURE & ECONOMIC DEVELOPMENT BANK |
|
|
|
|
|
California Infrastructure & Economic Development Bank, 5.000%, 10/01/2033 |
|
1,200,000 |
|
1,371,550 |
|
CALIFORNIA MUNICIPAL FINANCE AUTHORITY |
|
|
|
|
|
California Municipal Finance Authority, 5.000%, 10/01/2044 |
|
480,000 |
|
570,939 |
|
California Municipal Finance Authority, 5.000%, 05/15/2038 |
|
800,000 |
|
916,846 |
|
CALIFORNIA STATE UNIVERSITY |
|
|
|
|
|
California State University, 4.000%, 11/01/2030 |
|
1,100,000 |
|
1,123,697 |
|
CITY OF LOS ANGELES CA WASTEWATER SYSTEM REVENUE |
|
|
|
|
|
City of Los Angeles CA Wastewater System Revenue, 5.000%, 06/01/2044 |
|
500,000 |
|
552,256 |
|
City of Los Angeles CA Wastewater System Revenue, 5.250%, 06/01/2047 |
|
1,500,000 |
|
1,763,988 |
|
CITY OF ROSEVILLE CA ELECTRIC SYSTEM REVENUE |
|
|
|
|
|
City of Roseville CA Electric System Revenue, 5.000%, 02/01/2025 |
|
750,000 |
|
791,623 |
|
CITY OF SAN FRANCISCO CA PUBLIC UTILITIES COMMISSION WATER REVENUE |
|
|
|
|
|
City of San Francisco CA Public Utilities Commission Water Revenue, 5.000%, 11/01/2034 |
|
1,000,000 |
|
1,176,827 |
|
EAST BAY MUNICIPAL UTILITY DISTRICT WATER SYSTEM REVENUE |
|
|
|
|
|
East Bay Municipal Utility District Water System Revenue, 5.000%, 06/01/2026 |
|
2,050,000 |
|
2,290,465 |
|
East Bay Municipal Utility District Water System Revenue, 5.000%, 06/01/2032 |
|
150,000 |
|
175,758 |
|
EAST SIDE UNION HIGH SCHOOL DISTRICT |
|
|
|
|
|
East Side Union High School District, 5.250%, 09/01/2023 |
|
2,975,000 |
|
3,162,923 |
|
FOOTHILL-DE ANZA COMMUNITY COLLEGE DISTRICT |
|
|
|
|
|
Foothill-De Anza Community College District, 0.000%, 08/01/2027 |
|
2,000,000 |
|
1,824,828 |
|
LA MIRADA REDEVELOPMENT AGENCY SUCCESSOR AGENCY |
|
|
|
|
|
La Mirada Redevelopment Agency Successor Agency, 5.000%, 08/15/2023 |
|
1,000,000 |
|
1,055,202 |
|
LOS ANGELES COMMUNITY COLLEGE DISTRICT/CA |
|
|
|
|
|
Los Angeles Community College District/CA, 5.000%, 08/01/2028 |
|
865,000 |
|
942,023 |
|
LOS ANGELES COUNTY METROPOLITAN TRANSPORTATION AUTHORITY |
|
|
|
|
|
Los Angeles County Metropolitan Transportation Authority Sales Tax Revenue, 4.000%, 07/01/2028 |
|
500,000 |
|
541,398 |
|
Los Angeles County Metropolitan Transportation Authority Sales Tax Revenue, 5.000%, 07/01/2023 |
|
1,500,000 |
|
1,580,090 |
|
LOS ANGELES DEPARTMENT OF WATER & POWER |
|
|
|
|
|
Los Angeles Department of Water & Power Water System Revenue, 5.000%, 07/01/2037 |
|
1,985,000 |
|
2,011,025 |
|
LOS RIOS COMMUNITY COLLEGE DISTRICT |
|
|
|
|
|
Los Rios Community College District, 5.000%, 08/01/2032 |
|
2,500,000 |
|
2,638,745 |
|
MILPITAS UNIFIED SCHOOL DISTRICT |
|
|
|
|
|
Milpitas Unified School District/CA, 3.000%, 08/01/2034 |
|
2,000,000 |
|
2,163,781 |
|
MOUNT SAN ANTONIO COMMUNITY COLLEGE DISTRICT |
|
|
|
|
|
Mount San Antonio Community College District, 5.000%, 08/01/2034 |
|
345,000 |
|
364,398 |
|
PORT OF LOS ANGELES |
|
|
|
|
|
Port of Los Angeles, 4.000%, 08/01/2023 |
|
290,000 |
|
301,951 |
|
SACRAMENTO MUNICIPAL UTILITY DISTRICT |
|
|
|
|
|
Sacramento Municipal Utility District, 5.250%, 07/01/2024 |
|
770,000 |
|
810,890 |
|
SAN DIEGO COMMUNITY COLLEGE DISTRICT |
|
|
|
|
|
San Diego Community College District, 5.000%, 08/01/2027 |
|
1,175,000 |
|
1,241,064 |
|
SAN FRANCISCO BAY AREA RAPID TRANSIT DISTRICT |
|
|
|
|
|
San Francisco Bay Area Rapid Transit District, 4.000%, 08/01/2034 |
|
645,000 |
|
723,889 |
|
San Francisco Bay Area Rapid Transit District, 5.000%, 08/01/2036 |
|
2,300,000 |
|
2,701,328 |
|
SAN FRANCISCO CITY & COUNTY PUBLIC UTILITIES COMMISSION POWER REVENUE |
|
|
|
|
|
San Francisco City & County Public Utilities Commission Power Revenue, 5.000%, 11/01/2030 |
|
680,000 |
|
755,424 |
|
San Francisco City & County Public Utilities Commission Power Revenue, 5.000%, 11/01/2036 |
|
1,170,000 |
|
1,295,936 |
8
See accompanying notes to financial statements.
|
Green California Tax-Free Income FundPortfolio of Investments (Unaudited) (Continued) 2/28/22 |
|
Security Description |
|
Par Value |
|
Value |
|
SAN MATEO FOSTER CITY PUBLIC FINANCING AUTHORITY |
|
|
|
|
|
San Mateo Foster City Public Financing Authority, 4.000%, 08/01/2044 |
|
$2,000,000 |
|
$2,261,711 |
|
SANTA CLARA VALLEY TRANSPORTATION AUTHORITY |
|
|
|
|
|
Santa Clara Valley Transportation Authority, 5.000%, 04/01/2034 |
|
1,000,000 |
|
1,112,734 |
|
SANTA MARIA JOINT UNION HIGH SCHOOL DISTRICT |
|
|
|
|
|
Santa Maria Joint Union High School District, 0.000%, 08/01/2029 |
|
2,500,000 |
|
2,146,842 |
|
STATE OF CALIFORNIA |
|
|
|
|
|
State of California, 3.000%, 10/01/2028 |
|
900,000 |
|
931,503 |
|
TURLOCK IRRIGATION DISTRICT |
|
|
|
|
|
Turlock Irrigation District, 5.000%, 01/01/2036 |
|
300,000 |
|
368,119 |
|
UNIVERSITY OF CALIFORNIA |
|
|
|
|
|
University of California, 5.000%, 05/15/2029 |
|
925,000 |
|
999,220 |
|
WILLIAM S HART UNION HIGH SCHOOL DISTRICT |
|
|
|
|
|
William S Hart Union High School District, 0.000%, 09/01/2029 |
|
3,595,000 |
|
3,067,031 |
|
|
|
|
|
|
|
Total Municipal Bonds (Cost $47,090,304) |
|
|
|
49,169,079 |
|
|
|
|
|
|
|
Variable Rate Demand Notes (4.77%) |
|
|
|
|
|
Metropolitan Water District of Southern California, 0.160%, 07/01/2035*,** |
|
2,000,000 |
|
2,000,000 |
|
Santa Clara Valley Transportation Authority, 0.130%, 04/01/2036*,** |
|
500,000 |
|
500,000 |
|
Total Variable Rate Demand Notes (Cost $2,500,000) |
|
|
|
2,500,000 |
|
|
|
|
|
|
|
Total Investments (Cost $49,590,304) (98.54%) |
|
|
|
51,669,079 |
|
Other Net Assets (1.46%) |
|
|
|
764,769 |
|
Net Assets (100.00%) |
|
|
|
$52,433,848 |
*In accordance with the offering documents, daily interest rates are determined by the Remarketing Agents.
**Rate Effective as of February 28, 2022
|
U.S. Government Securities FundPortfolio of Investments (Unaudited) 2/28/22 |
|
Security Description |
|
Par Value |
|
Value |
|
|
|
|
|
|
|
Government National Mortgage Association (2.21%) |
|
|
|
|
|
3.500%, 11/20/2044 |
|
$125,066 |
|
$131,614 |
|
5.000%, 03/15/2038 |
|
84,721 |
|
94,930 |
|
5.500%, 01/15/2025 |
|
12,246 |
|
13,278 |
|
5.500%, 04/15/2036 |
|
66,729 |
|
72,492 |
|
6.000%, 06/15/2038 |
|
28,338 |
|
32,316 |
|
6.000%, 01/15/2026 |
|
49,042 |
|
54,442 |
|
Total Government National Mortgage Association (Cost $370,103) |
|
|
|
399,072 |
|
|
|
|
|
|
|
United States Treasury Bonds (11.78%) |
|
|
|
|
|
5.000%, 05/15/2037 |
|
500,000 |
|
699,473 |
|
6.000%, 02/15/2026 |
|
800,000 |
|
932,781 |
|
6.375%, 08/15/2027 |
|
400,000 |
|
495,922 |
|
Total United States Treasury Bonds (Cost $1,999,883) |
|
|
|
2,128,176 |
|
|
|
|
|
|
|
United States Treasury Notes (77.71%) |
|
|
|
|
|
0.375%, 03/31/2022 |
|
500,000 |
|
500,081 |
|
2.000%, 02/15/2025 |
|
800,000 |
|
808,875 |
|
2.125%, 05/15/2025 |
|
2,200,000 |
|
2,232,484 |
|
2.125%, 02/29/2024 |
|
1,300,000 |
|
1,317,367 |
|
2.250%, 08/15/2027 |
|
3,800,000 |
|
3,897,674 |
|
2.375%, 05/15/2029 |
|
500,000 |
|
518,984 |
|
2.375%, 04/30/2026 |
|
800,000 |
|
820,656 |
See accompanying notes to financial statements.
9
|
U.S. Government Securities FundPortfolio of Investments (Unaudited) (Continued) 2/28/22 |
|
Security Description |
|
Shares |
|
Value |
|
Common Stock (99.87%) |
|
|
|
|
|
|
|
|
|
|
|
Basic Materials (2.09%) |
|
|
|
|
|
Air Products and Chemicals Inc |
|
1,404 |
|
$331,765 |
|
Albemarle Corp |
|
729 |
|
142,804 |
|
Celanese Corp |
|
763 |
|
106,271 |
|
CF Industries Holdings Inc |
|
1,457 |
|
118,294 |
|
Dow Inc |
|
4,894 |
|
288,550 |
|
DuPont de Nemours Inc |
|
3,319 |
|
256,791 |
|
Eastman Chemical Co |
|
893 |
|
105,794 |
|
Ecolab Inc |
|
1,622 |
|
285,894 |
|
FMC Corp |
|
891 |
|
104,470 |
|
Freeport-McMoRan Inc |
|
9,035 |
|
424,193 |
|
Security Description |
|
Shares |
|
Value |
|
International Flavors & Fragrances Inc |
|
1,613 |
|
$214,529 |
|
International Paper Co |
|
2,697 |
|
117,400 |
|
Linde PLC |
|
3,277 |
|
960,947 |
|
LyondellBasell Industries NV |
|
1,667 |
|
162,082 |
|
The Mosaic Co |
|
2,068 |
|
108,425 |
|
Newmont Corp |
|
5,247 |
|
347,351 |
|
Nucor Corp |
|
1,924 |
|
253,237 |
|
PPG Industries Inc |
|
1,558 |
|
207,915 |
|
The Sherwin-Williams Co |
|
1,539 |
|
404,957 |
|
Total Basic Materials |
|
|
|
4,941,669 |
|
|
|
|
|
|
|
Communications (14.55%) |
|
|
|
|
|
Alphabet Inc - Class A* |
|
1,910 |
|
5,159,176 |
|
Security Description |
|
Shares |
|
Value |
|
Alphabet Inc - Class C* |
|
1,788 |
|
$4,823,701 |
|
Amazon.com Inc*,(a) |
|
2,778 |
|
8,531,959 |
|
Arista Networks Inc* |
|
1,464 |
|
179,677 |
|
AT&T Inc |
|
45,311 |
|
1,073,418 |
|
Booking Holdings Inc* |
|
261 |
|
566,957 |
|
CDW Corp |
|
920 |
|
158,663 |
|
Charter Communications Inc* |
|
804 |
|
483,831 |
|
Cisco Systems Inc |
|
26,744 |
|
1,491,513 |
|
Comcast Corp |
|
29,067 |
|
1,359,173 |
|
Corning Inc |
|
4,990 |
|
201,596 |
|
Discovery Inc - Class A*,# |
|
1,116 |
|
31,304 |
|
Discovery Inc - Class C* |
|
1,878 |
|
52,528 |
|
DISH Network Corp* |
|
1,784 |
|
57,017 |
|
Security Description |
|
Par Value |
|
Value |
|
2.500%, 08/15/2023 |
|
$2,600,000 |
|
$2,646,211 |
|
3.125%, 11/15/2028 |
|
1,200,000 |
|
1,298,953 |
|
Total United States Treasury Notes (Cost $13,983,318) |
|
|
|
14,041,285 |
|
|
|
|
|
|
|
United States Treasury Bills (7.44%) |
|
|
|
|
|
0.375%, 08/15/2024 |
|
500,000 |
|
485,898 |
|
0.625%, 07/31/2026 |
|
900,000 |
|
857,672 |
|
Total United States Treasury Bills (Cost $1,395,216) |
|
|
|
1,343,570 |
|
|
|
|
|
|
|
Total Investments (Cost $17,748,520) (99.14%) |
|
|
|
17,912,103 |
|
Other Net Assets (0.86%) |
|
|
|
155,820 |
|
Net Assets (100.00%) |
|
|
|
$18,067,923 |
|
The United States Treasury TrustPortfolio of Investments (Unaudited) 2/28/22 |
|
Security Description |
|
Par Value |
|
Value |
|
|
|
|
|
|
|
United States Treasury Bills, DN(a) (98.56%) |
|
|
|
|
|
03/03/2022 |
|
$900,000 |
|
$899,998 |
|
03/10/2022 |
|
4,100,000 |
|
4,099,954 |
|
03/15/2022 |
|
2,400,000 |
|
2,399,952 |
|
03/31/2022 |
|
4,700,000 |
|
4,699,595 |
|
04/19/2022 |
|
3,900,000 |
|
3,898,965 |
|
04/28/2022 |
|
3,500,000 |
|
3,499,239 |
|
05/03/2022 |
|
5,200,000 |
|
5,198,885 |
|
05/10/2022 |
|
900,000 |
|
899,720 |
|
05/26/2022 |
|
1,900,000 |
|
1,899,633 |
|
05/31/2022 |
|
3,500,000 |
|
3,496,469 |
|
06/07/2022 |
|
1,700,000 |
|
1,698,265 |
|
Total United States Treasury Bills, DN (Cost $32,690,675) |
|
|
|
32,690,675 |
|
|
|
|
|
|
|
Total Investments (Cost $32,690,675) (98.56%) |
|
|
|
32,690,675 |
|
Other Net Assets (1.44%) |
|
|
|
478,274 |
|
Net Assets (100.00%) |
|
|
|
$33,168,949 |
(a) Discount Note. Yield to maturity is between 0.02% - 0.40%.
|
S&P 500 Index FundPortfolio of Investments (Unaudited) 2/28/22 |
10
|
S&P 500 Index FundPortfolio of Investments (Unaudited) (Continued) 2/28/22 |
See accompanying notes to financial statements.
|
S&P 500 Index FundPortfolio of Investments (Unaudited) (Continued) 2/28/22 |
|
Security Description |
|
Shares |
|
Value |
|
eBay Inc |
|
4,277 |
|
$233,481 |
|
Etsy Inc* |
|
797 |
|
123,447 |
|
Expedia Group Inc* |
|
887 |
|
173,950 |
|
F5 Inc* |
|
424 |
|
85,160 |
|
FactSet Research Systems Inc |
|
239 |
|
97,056 |
|
Fox Corp - Class A |
|
2,335 |
|
97,673 |
|
Fox Corp - Class B |
|
1,242 |
|
47,519 |
|
The Interpublic Group of Cos Inc |
|
2,667 |
|
98,146 |
|
Juniper Networks Inc |
|
2,302 |
|
77,785 |
|
Lumen Technologies Inc |
|
6,449 |
|
66,812 |
|
Match Group Inc* |
|
1,756 |
|
195,776 |
|
Meta Platforms Inc*,(a) |
|
15,128 |
|
3,192,461 |
|
Motorola Solutions Inc |
|
1,074 |
|
236,742 |
|
Netflix Inc* |
|
2,808 |
|
1,107,812 |
|
News Corp - Class A |
|
2,672 |
|
59,639 |
|
News Corp - Class B |
|
910 |
|
20,411 |
|
NortonLifeLock Inc |
|
4,015 |
|
116,355 |
|
Omnicom Group Inc |
|
1,397 |
|
117,194 |
|
Paramount Global |
|
3,816 |
|
116,808 |
|
T-Mobile US Inc* |
|
3,810 |
|
469,430 |
|
Twitter Inc* |
|
5,110 |
|
181,661 |
|
VeriSign Inc* |
|
617 |
|
131,865 |
|
Verizon Communications Inc |
|
26,273 |
|
1,410,072 |
|
The Walt Disney Co* |
|
11,531 |
|
1,711,892 |
|
Total Communications |
|
|
|
34,339,660 |
|
|
|
|
|
|
|
Consumer, Cyclical (9.43%) |
|
|
||
|
Advance Auto Parts Inc |
|
415 |
|
84,859 |
|
Alaska Air Group Inc* |
|
808 |
|
45,361 |
|
American Airlines Group Inc*,# |
3,057 |
|
52,733 |
|
|
Aptiv PLC* |
|
1,715 |
|
221,990 |
|
AutoZone Inc* |
|
139 |
|
259,011 |
|
Bath & Body Works Inc |
|
1,525 |
|
81,389 |
|
Best Buy Co Inc |
|
1,434 |
|
138,582 |
|
BorgWarner Inc |
|
1,412 |
|
57,906 |
|
Caesars Entertainment Inc* |
|
945 |
|
79,560 |
|
CarMax Inc* |
|
1,034 |
|
113,047 |
|
Carnival Corp* |
|
5,174 |
|
105,187 |
|
Chipotle Mexican Grill Inc* |
|
175 |
|
266,586 |
|
Copart Inc* |
|
1,407 |
|
172,892 |
|
Costco Wholesale Corp |
|
2,805 |
|
1,456,496 |
|
Cummins Inc |
|
11 |
|
2,245 |
|
Darden Restaurants Inc |
|
850 |
|
123,437 |
|
Delta Air Lines Inc* |
|
4,086 |
|
163,113 |
|
Dollar General Corp |
|
1,519 |
|
301,278 |
|
Dollar Tree Inc* |
|
1,536 |
|
218,235 |
|
Domino’s Pizza Inc |
|
233 |
|
100,705 |
|
DR Horton Inc |
|
2,165 |
|
184,891 |
|
Fastenal Co |
|
3,749 |
|
192,924 |
|
Ford Motor Co |
|
24,901 |
|
437,262 |
|
General Motors Co* |
|
8,316 |
|
388,524 |
|
Genuine Parts Co |
|
908 |
|
110,921 |
|
Hasbro Inc |
|
832 |
|
80,746 |
|
Hilton Worldwide Holdings Inc* |
|
1,779 |
|
264,822 |
|
The Home Depot Inc |
|
6,747 |
|
2,130,905 |
|
Las Vegas Sands Corp* |
|
2,145 |
|
91,935 |
|
Lennar Corp |
|
1,796 |
|
161,424 |
|
Security Description |
|
Shares |
|
Value |
|
Live Nation Entertainment Inc* |
|
836 |
|
$101,006 |
|
LKQ Corp |
|
1,848 |
|
86,764 |
|
Lowe’s Cos Inc |
|
4,486 |
|
991,675 |
|
Marriott International Inc* |
|
1,737 |
|
295,533 |
|
McDonald’s Corp |
|
4,739 |
|
1,159,965 |
|
MGM Resorts International |
|
2,752 |
|
121,886 |
|
Newell Brands Inc |
|
2,691 |
|
63,911 |
|
NIKE Inc |
|
8,098 |
|
1,105,782 |
|
Norwegian Cruise Line Holdings Ltd*,# |
|
1,599 |
|
31,165 |
|
NVR Inc* |
|
21 |
|
104,127 |
|
O’Reilly Automotive Inc* |
|
437 |
|
283,718 |
|
PACCAR Inc |
|
2,262 |
|
207,674 |
|
Penn National Gaming Inc* |
|
674 |
|
34,610 |
|
Pool Corp |
|
269 |
|
123,358 |
|
PulteGroup Inc |
|
1,717 |
|
85,266 |
|
PVH Corp |
|
464 |
|
45,421 |
|
Ralph Lauren Corp |
|
314 |
|
41,461 |
|
Ross Stores Inc |
|
2,266 |
|
207,090 |
|
Royal Caribbean Cruises Ltd* |
|
1,236 |
|
99,770 |
|
Southwest Airlines Co* |
|
3,416 |
|
149,621 |
|
Starbucks Corp |
|
7,482 |
|
686,773 |
|
Tapestry Inc |
|
1,811 |
|
74,070 |
|
Target Corp |
|
3,182 |
|
635,668 |
|
Tesla Inc* |
|
5,149 |
|
4,481,843 |
|
The TJX Cos Inc |
|
7,758 |
|
512,804 |
|
Tractor Supply Co |
|
760 |
|
154,880 |
|
Ulta Beauty Inc* |
|
359 |
|
134,446 |
|
Under Armour Inc - Class A* |
|
1,210 |
|
21,647 |
|
Under Armour Inc - Class C* |
|
1,218 |
|
19,037 |
|
United Airlines Holdings Inc* |
|
1,732 |
|
76,901 |
|
VF Corp |
|
2,109 |
|
122,364 |
|
Walgreens Boots Alliance Inc |
|
4,694 |
|
216,346 |
|
Walmart Inc |
|
8,832 |
|
1,193,733 |
|
Whirlpool Corp |
|
434 |
|
87,351 |
|
WW Grainger Inc |
|
277 |
|
132,146 |
|
Wynn Resorts Ltd* |
|
526 |
|
45,510 |
|
Yum! Brands Inc |
|
1,876 |
|
229,960 |
|
Total Consumer, Cyclical |
|
22,254,248 |
||
|
|
|
|
|
|
|
Consumer, Non-Cyclical (19.98%) |
|
|
||
|
Abbott Laboratories |
|
11,250 |
|
1,356,975 |
|
AbbVie Inc |
|
11,214 |
|
1,67,093 |
|
ABIOMED Inc* |
|
310 |
|
96,329 |
|
Align Technology Inc* |
|
473 |
|
241,921 |
|
Altria Group Inc |
|
11,904 |
|
610,556 |
|
AmerisourceBergen Corp |
|
1,034 |
|
147,376 |
|
Amgen Inc |
|
3,603 |
|
816,007 |
|
Anthem Inc |
|
1,547 |
|
699,012 |
|
Archer-Daniels-Midland Co |
|
3,634 |
|
285,087 |
|
Automatic Data Processing Inc |
|
2,684 |
|
548,717 |
|
Avery Dennison Corp |
|
567 |
|
99,905 |
|
Baxter International Inc |
|
3,172 |
|
269,525 |
|
Becton Dickinson and Co |
|
1,860 |
|
504,581 |
|
Biogen Inc* |
|
968 |
|
204,258 |
|
Bio-Rad Laboratories Inc* |
|
147 |
|
92,016 |
|
Bio-Techne Corp |
|
246 |
|
103,175 |
|
Security Description |
|
Shares |
|
Value |
|
Boston Scientific Corp* |
|
9,036 |
|
$399,120 |
|
Bristol-Myers Squibb Co |
|
14,101 |
|
968,316 |
|
Brown-Forman Corp |
|
1,285 |
|
83,821 |
|
Campbell Soup Co |
|
1,162 |
|
52,255 |
|
Cardinal Health Inc |
|
1,916 |
|
103,483 |
|
Catalent Inc* |
|
1,096 |
|
111,836 |
|
Centene Corp* |
|
3,700 |
|
305,694 |
|
Charles River Laboratories International Inc* |
|
322 |
|
93,754 |
|
Church & Dwight Co Inc |
|
1,558 |
|
152,450 |
|
Cigna Corp |
|
2,207 |
|
524,780 |
|
Cintas Corp |
|
576 |
|
216,184 |
|
The Clorox Co |
|
779 |
|
113,570 |
|
The Coca-Cola Co |
|
24,654 |
|
1,534,465 |
|
Colgate-Palmolive Co |
|
5,442 |
|
418,762 |
|
Conagra Brands Inc |
|
2,987 |
|
104,455 |
|
Constellation Brands Inc |
|
1,109 |
|
239,123 |
|
The Cooper Cos Inc |
|
316 |
|
129,250 |
|
Corteva Inc |
|
4,866 |
|
253,178 |
|
CVS Health Corp |
|
8,374 |
|
867,965 |
|
Danaher Corp |
|
4,032 |
|
1,106,421 |
|
DaVita Inc* |
|
482 |
|
54,355 |
|
DENTSPLY SIRONA Inc |
|
1,160 |
|
62,802 |
|
Dexcom Inc* |
|
627 |
|
259,522 |
|
Edwards Lifesciences Corp* |
|
3,955 |
|
444,423 |
|
Eli Lilly & Co |
|
5,038 |
|
1,259,248 |
|
Equifax Inc |
|
794 |
|
173,362 |
|
The Estee Lauder Cos Inc |
|
1,489 |
|
441,235 |
|
FleetCor Technologies Inc* |
|
571 |
|
133,728 |
|
Gartner Inc* |
|
553 |
|
155,072 |
|
General Mills Inc |
|
3,992 |
|
269,181 |
|
Gilead Sciences Inc |
|
8,067 |
|
487,247 |
|
Global Payments Inc |
|
1,899 |
|
253,289 |
|
HCA Healthcare Inc |
|
1,564 |
|
391,485 |
|
Henry Schein Inc* |
|
1,009 |
|
87,157 |
|
The Hershey Co |
|
941 |
|
190,327 |
|
Hologic Inc* |
|
1,678 |
|
119,423 |
|
Hormel Foods Corp |
|
1,912 |
|
91,088 |
|
Humana Inc |
|
829 |
|
360,051 |
|
IDEXX Laboratories Inc* |
|
539 |
|
286,937 |
|
Illumina Inc* |
|
953 |
|
311,250 |
|
Incyte Corp* |
|
1,229 |
|
83,941 |
|
Intuitive Surgical Inc* |
|
2,274 |
|
660,210 |
|
IQVIA Holdings Inc* |
|
1,146 |
|
263,718 |
|
The J M Smucker Co |
|
745 |
|
100,389 |
|
Johnson & Johnson |
|
16,706 |
|
2,749,306 |
|
Kellogg Co |
|
1,661 |
|
106,204 |
|
Kimberly-Clark Corp |
|
2,137 |
|
278,131 |
|
The Kraft Heinz Co |
|
4,282 |
|
167,940 |
|
The Kroger Co |
|
4,315 |
|
201,942 |
|
Laboratory Corp of America Holdings* |
|
636 |
|
172,521 |
|
Lamb Weston Holdings Inc |
|
955 |
|
63,441 |
|
MarketAxess Holdings Inc |
|
260 |
|
99,172 |
|
McCormick & Co Inc |
|
1,581 |
|
150,464 |
|
McKesson Corp |
|
981 |
|
269,736 |
|
Medtronic PLC |
|
8,528 |
|
895,355 |
|
Merck & Co Inc |
|
16,064 |
|
1,230,181 |
|
Moderna Inc* |
|
2,228 |
|
342,221 |
11
|
S&P 500 Index FundPortfolio of Investments (Unaudited) (Continued) 2/28/22 |
See accompanying notes to financial statements.
|
Security Description |
|
Shares |
|
Value |
|
Huntington Bancshares Inc |
|
7,104 |
|
$110,254 |
|
Intercontinental Exchange Inc |
|
3,620 |
|
463,794 |
|
Invesco Ltd |
|
2,486 |
|
52,803 |
|
Iron Mountain Inc |
|
1,369 |
|
67,327 |
|
JPMorgan Chase & Co |
|
18,963 |
|
2,688,953 |
|
KeyCorp |
|
6,069 |
|
152,150 |
|
Kimco Realty Corp |
|
2,994 |
|
70,449 |
|
Lincoln National Corp |
|
1,186 |
|
79,960 |
|
Loews Corp |
|
1,289 |
|
79,067 |
|
M&T Bank Corp |
|
837 |
|
152,527 |
|
Marsh & McLennan Cos Inc |
|
3,215 |
|
499,643 |
|
Mastercard Inc |
|
5,528 |
|
1,994,613 |
|
MetLife Inc |
|
4,786 |
|
323,294 |
|
Mid-America Apartment Communities Inc |
|
47 |
|
9,617 |
|
Morgan Stanley |
|
9,263 |
|
840,525 |
|
Nasdaq Inc |
|
749 |
|
128,191 |
|
Northern Trust Corp |
|
1,359 |
|
154,790 |
|
People’s United Financial Inc |
|
2,887 |
|
60,858 |
|
The PNC Financial Services Group Inc |
|
2,697 |
|
537,377 |
|
Principal Financial Group Inc |
|
1,584 |
|
111,894 |
|
The Progressive Corp |
|
3,713 |
|
393,318 |
|
Prologis Inc |
|
4,691 |
|
684,182 |
|
Prudential Financial Inc |
|
2,454 |
|
274,014 |
|
Public Storage |
|
993 |
|
352,535 |
|
Raymond James Financial Inc |
|
1,273 |
|
139,584 |
|
Realty Income Corp |
|
3,496 |
|
231,051 |
|
Regency Centers Corp |
|
1,109 |
|
73,072 |
|
Regions Financial Corp |
|
6,273 |
|
151,744 |
|
SBA Communications Corp |
|
725 |
|
219,958 |
|
Signature Bank |
|
386 |
|
133,128 |
|
Simon Property Group Inc |
|
2,085 |
|
286,813 |
|
State Street Corp |
|
2,304 |
|
196,600 |
|
SVB Financial Group* |
|
354 |
|
214,524 |
|
Synchrony Financial |
|
3,546 |
|
151,698 |
|
T Rowe Price Group Inc |
|
1,478 |
|
213,660 |
|
The Travelers Cos Inc |
|
1,583 |
|
272,007 |
|
Truist Financial Corp |
|
8,471 |
|
527,066 |
|
UDR Inc |
|
1,770 |
|
97,120 |
|
US Bancorp |
|
8,720 |
|
493,029 |
|
Ventas Inc |
|
2,564 |
|
138,456 |
|
Visa Inc |
|
10,710 |
|
2,314,645 |
|
Vornado Realty Trust |
|
1,028 |
|
44,492 |
|
W R Berkley Corp |
|
890 |
|
80,367 |
|
Wells Fargo & Co |
|
25,690 |
|
1,371,075 |
|
Welltower Inc |
|
2,792 |
|
232,546 |
|
Weyerhaeuser Co |
|
4,832 |
|
187,868 |
|
Willis Towers Watson PLC |
|
841 |
|
186,954 |
|
Zions Bancorp NA |
|
1,054 |
|
74,718 |
|
Total Financial |
|
|
|
36,280,782 |
|
|
|
|
|
|
|
Industrial (7.70%) |
|
|
|
|
|
3M Co |
|
3,672 |
|
545,843 |
|
A O Smith Corp |
|
942 |
|
64,602 |
|
Agilent Technologies Inc |
|
1,952 |
|
254,463 |
|
Allegion plc |
|
601 |
|
68,827 |
|
Amcor PLC |
|
10,244 |
|
119,138 |
|
AMETEK Inc |
|
1,502 |
|
194,945 |
|
Security Description |
|
Shares |
|
Value |
|
Pioneer Natural Resources Co |
|
1,139 |
|
$272,904 |
|
Schlumberger NV |
|
9,092 |
|
356,770 |
|
SolarEdge Technologies Inc* |
|
334 |
|
106,686 |
|
Valero Energy Corp |
|
2,663 |
|
222,387 |
|
The Williams Cos Inc |
|
7,926 |
|
247,925 |
|
Total Energy |
|
|
|
8,741,771 |
|
|
|
|
|
|
|
Financial (15.38%) |
|
|
|
|
|
Aflac Inc |
|
4,066 |
|
248,392 |
|
Alexandria Real Estate Equities Inc |
|
700 |
|
132,580 |
|
The Allstate Corp |
|
1,925 |
|
235,543 |
|
American Express Co |
|
4,083 |
|
794,307 |
|
American International Group Inc |
|
5,427 |
|
332,349 |
|
American Tower Corp |
|
2,901 |
|
658,150 |
|
Ameriprise Financial Inc |
|
721 |
|
216,149 |
|
Aon PLC |
|
1,432 |
|
418,344 |
|
Arthur J Gallagher & Co |
|
1,256 |
|
198,687 |
|
Assurant Inc |
|
431 |
|
73,145 |
|
AvalonBay Communities Inc |
|
903 |
|
215,447 |
|
Bank of America Corp |
|
46,994 |
|
2,077,135 |
|
The Bank of New York Mellon Corp |
|
5,190 |
|
275,849 |
|
Berkshire Hathaway Inc*,(a) |
|
11,763 |
|
3,781,215 |
|
BlackRock Inc |
|
908 |
|
675,452 |
|
Boston Properties Inc |
|
925 |
|
113,137 |
|
Brown & Brown Inc |
|
1,483 |
|
100,266 |
|
Capital One Financial Corp |
|
2,831 |
|
433,907 |
|
Cboe Global Markets Inc |
|
706 |
|
82,807 |
|
CBRE Group Inc* |
|
2,058 |
|
199,317 |
|
The Charles Schwab Corp |
|
9,527 |
|
804,650 |
|
Chubb Ltd |
|
2,784 |
|
566,934 |
|
Cincinnati Financial Corp |
|
1,038 |
|
127,456 |
|
Citigroup Inc |
|
12,862 |
|
761,816 |
|
Citizens Financial Group Inc |
|
2,789 |
|
146,199 |
|
CME Group Inc |
|
2,279 |
|
539,052 |
|
Comerica Inc |
|
908 |
|
86,705 |
|
Crown Castle International Corp |
|
2,780 |
|
463,120 |
|
Digital Realty Trust Inc |
|
1,471 |
|
198,467 |
|
Discover Financial Services |
|
1,900 |
|
234,536 |
|
Duke Realty Corp |
|
2,510 |
|
133,030 |
|
Equinix Inc |
|
581 |
|
412,353 |
|
Equity Residential |
|
2,236 |
|
190,731 |
|
Essex Property Trust Inc |
|
425 |
|
134,797 |
|
Everest Re Group Ltd |
|
280 |
|
83,502 |
|
Extra Space Storage Inc |
|
844 |
|
158,799 |
|
Federal Realty Investment Trust |
|
449 |
|
52,793 |
|
Fifth Third Bancorp |
|
4,528 |
|
216,620 |
|
First Republic Bank |
|
1,159 |
|
200,808 |
|
Franklin Resources Inc |
|
1,991 |
|
59,192 |
|
Globe Life Inc |
|
628 |
|
63,403 |
|
The Goldman Sachs Group Inc |
|
2,139 |
|
730,019 |
|
The Hartford Financial Services Group Inc |
|
2,340 |
|
162,583 |
|
Healthpeak Properties Inc |
|
3,020 |
|
93,801 |
|
Host Hotels & Resorts Inc* |
|
4,539 |
|
82,928 |
|
Security Description |
|
Shares |
|
Value |
|
Molson Coors Beverage Co |
|
1,200 |
|
$62,616 |
|
Mondelez International Inc |
|
9,036 |
|
591,677 |
|
Monster Beverage Corp* |
|
2,413 |
|
203,657 |
|
Moody’s Corp |
|
1,054 |
|
339,420 |
|
Nielsen Holdings PLC |
|
1,879 |
|
32,732 |
|
Organon & Co |
|
1,633 |
|
60,960 |
|
PayPal Holdings Inc* |
|
7,426 |
|
831,192 |
|
PepsiCo Inc |
|
8,771 |
|
1,436,164 |
|
PerkinElmer Inc |
|
711 |
|
127,703 |
|
Pfizer Inc |
|
35,581 |
|
1,670,172 |
|
Philip Morris International Inc |
|
9,890 |
|
999,582 |
|
The Procter & Gamble Co |
|
15,404 |
|
2,401,330 |
|
Quanta Services Inc |
|
883 |
|
96,194 |
|
Quest Diagnostics Inc |
|
775 |
|
101,734 |
|
Regeneron Pharmaceuticals Inc* |
|
673 |
|
416,156 |
|
ResMed Inc |
|
946 |
|
233,426 |
|
Robert Half International Inc |
|
808 |
|
97,194 |
|
Rollins Inc |
|
693 |
|
22,613 |
|
S&P Global Inc |
|
2,260 |
|
849,265 |
|
STERIS PLC |
|
603 |
|
144,720 |
|
Stryker Corp |
|
2,135 |
|
562,252 |
|
Sysco Corp |
|
3,326 |
|
289,695 |
|
Teleflex Inc |
|
318 |
|
106,947 |
|
Thermo Fisher Scientific Inc |
|
2,496 |
|
1,357,824 |
|
Tyson Foods Inc |
|
1,921 |
|
178,000 |
|
United Rentals Inc* |
|
459 |
|
147,624 |
|
UnitedHealth Group Inc |
|
5,983 |
|
2,847,129 |
|
Universal Health Services Inc |
|
552 |
|
79,449 |
|
Verisk Analytics Inc |
|
1,061 |
|
188,158 |
|
Vertex Pharmaceuticals Inc* |
|
1,646 |
|
378,613 |
|
Viatris Inc |
|
4,634 |
|
51,020 |
|
Waters Corp* |
|
405 |
|
128,276 |
|
West Pharmaceutical Services Inc |
|
474 |
|
183,476 |
|
Zimmer Biomet Holdings Inc |
|
1,338 |
|
170,180 |
|
Zoetis Inc |
|
3,007 |
|
582,306 |
|
Total Consumer, Non-Cyclical |
|
47,146,925 |
||
|
|
|
|
|
|
|
Energy (3.70%) |
|
|
|
|
|
APA Corp |
|
2,792 |
|
99,479 |
|
Baker Hughes Co |
|
3,384 |
|
99,422 |
|
Coterra Energy Inc |
|
2,603 |
|
60,728 |
|
Chevron Corp |
|
12,272 |
|
1,767,168 |
|
ConocoPhillips |
|
8,498 |
|
806,120 |
|
Devon Energy Corp |
|
2,767 |
|
164,775 |
|
Diamondback Energy Inc |
|
1,031 |
|
142,381 |
|
EOG Resources Inc |
|
3,810 |
|
437,845 |
|
Enphase Energy Inc* |
|
825 |
|
137,528 |
|
Exxon Mobil Corp |
|
26,867 |
|
2,106,910 |
|
Halliburton Co |
|
6,038 |
|
202,454 |
|
Hess Corp |
|
1,823 |
|
184,232 |
|
Kinder Morgan Inc |
|
12,716 |
|
221,258 |
|
Marathon Oil Corp |
|
5,187 |
|
117,019 |
|
Marathon Petroleum Corp |
|
4,050 |
|
315,374 |
|
Occidental Petroleum Corp |
|
5,528 |
|
241,739 |
|
ONEOK Inc |
|
2,916 |
|
190,415 |
|
Phillips 66 |
|
2,852 |
|
240,252 |
12
|
S&P 500 Index FundPortfolio of Investments (Unaudited) (Continued) 2/28/22 |
See accompanying notes to financial statements.
|
Security Description |
|
Shares |
|
Value |
|
PTC Inc* |
|
681 |
|
$75,782 |
|
Qorvo Inc* |
|
744 |
|
101,764 |
|
QUALCOMM Inc |
|
7,158 |
|
1,231,104 |
|
Roper Technologies Inc |
|
684 |
|
306,582 |
|
salesforce.com Inc* |
|
6,236 |
|
1,312,865 |
|
Seagate Technology Holdings PLC |
|
1,368 |
|
141,123 |
|
ServiceNow Inc* |
|
1,243 |
|
720,841 |
|
Skyworks Solutions Inc |
|
1,059 |
|
146,322 |
|
Synopsys Inc* |
|
996 |
|
311,140 |
|
Take-Two Interactive Software Inc* |
|
778 |
|
126,036 |
|
Teradyne Inc |
|
1,109 |
|
130,773 |
|
Texas Instruments Inc |
|
5,889 |
|
1,001,071 |
|
Tyler Technologies Inc* |
|
246 |
|
105,352 |
|
Western Digital Corp* |
|
1,916 |
|
97,601 |
|
Zebra Technologies Corp* |
|
348 |
|
143,842 |
|
Total Technology |
|
|
|
57,727,670 |
|
|
|
|
|
|
|
Utilities (2.57%) |
|
|
|
|
|
The AES Corp |
|
4,344 |
|
92,223 |
|
Alliant Energy Corp |
|
1,758 |
|
102,667 |
|
Ameren Corp |
|
1,682 |
|
144,568 |
|
American Electric Power Co Inc |
|
3,242 |
|
293,887 |
|
American Water Works Co Inc |
|
1,183 |
|
178,739 |
|
Atmos Energy Corp |
|
820 |
|
90,044 |
|
CenterPoint Energy Inc |
|
2,979 |
|
81,476 |
|
CMS Energy Corp |
|
1,870 |
|
119,699 |
|
Consolidated Edison Inc |
|
2,227 |
|
191,010 |
|
Constellation Energy Corp |
|
2,068 |
|
95,087 |
|
Dominion Energy Inc |
|
5,130 |
|
407,989 |
|
DTE Energy Co |
|
1,258 |
|
152,960 |
|
Duke Energy Corp |
|
4,806 |
|
482,570 |
|
Edison International |
|
2,433 |
|
154,301 |
|
Entergy Corp |
|
1,304 |
|
137,194 |
|
Evergy Inc |
|
1,567 |
|
97,796 |
|
Eversource Energy |
|
2,274 |
|
186,013 |
|
Exelon Corp |
|
6,205 |
|
264,085 |
|
FirstEnergy Corp |
|
3,716 |
|
155,515 |
|
NextEra Energy Inc |
|
12,449 |
|
974,383 |
|
NiSource Inc |
|
2,050 |
|
59,307 |
|
NRG Energy Inc |
|
1,663 |
|
62,928 |
|
Pinnacle West Capital Corp |
|
806 |
|
57,089 |
|
PPL Corp |
|
5,021 |
|
131,400 |
|
Public Service Enterprise Group Inc |
|
3,303 |
|
214,133 |
|
Sempra Energy |
|
1,939 |
|
279,643 |
|
The Southern Co |
|
6,719 |
|
435,190 |
|
WEC Energy Group Inc |
|
2,060 |
|
187,213 |
|
Xcel Energy Inc |
|
3,432 |
|
231,077 |
|
Total Utilities |
|
|
|
6,060,186 |
|
|
|
|
|
|
|
Total Common Stock |
|
|
|
235,661,624 |
|
|
|
|
|
|
|
Collateral Received for Securities on Loan (0.05%) |
|
|
|
|
|
Security Description |
|
Shares |
|
Value |
|
Trimble Inc* |
|
1,634 |
|
$113,972 |
|
Union Pacific Corp |
|
4,138 |
|
1,017,741 |
|
United Parcel Service Inc |
|
4,621 |
|
972,351 |
|
Vulcan Materials Co |
|
865 |
|
156,954 |
|
Waste Management Inc |
|
2,458 |
|
354,935 |
|
Westinghouse Air Brake Technologies Corp |
|
1,272 |
|
118,067 |
|
Westrock Co |
|
1,715 |
|
77,638 |
|
Xylem Inc |
|
1,143 |
|
101,670 |
|
Total Industrial |
|
|
|
18,168,713 |
|
|
|
|
|
|
|
Technology (24.47%) |
|
|
|
|
|
Accenture PLC |
|
4,024 |
|
1,271,664 |
|
Activision Blizzard Inc |
|
5,047 |
|
411,331 |
|
Adobe Inc* |
|
3,023 |
|
1,413,797 |
|
Advanced Micro Devices Inc* |
|
10,372 |
|
1,279,250 |
|
Akamai Technologies Inc* |
|
1,063 |
|
115,080 |
|
Analog Devices Inc |
|
3,413 |
|
547,070 |
|
ANSYS Inc* |
|
560 |
|
181,546 |
|
Apple Inc(a) |
|
99,282 |
|
16,393,443 |
|
Applied Materials Inc |
|
5,800 |
|
778,360 |
|
Autodesk Inc* |
|
1,396 |
|
307,441 |
|
Broadcom Inc |
|
2,603 |
|
1,529,106 |
|
Broadridge Financial Solutions Inc |
|
788 |
|
115,213 |
|
Cadence Design Systems Inc* |
|
1,756 |
|
265,911 |
|
Ceridian HCM Holding Inc* |
|
855 |
|
62,338 |
|
Cerner Corp |
|
2,002 |
|
186,687 |
|
Citrix Systems Inc |
|
791 |
|
81,078 |
|
Cognizant Technology Solutions Corp |
|
3,335 |
|
287,244 |
|
DXC Technology Co* |
|
1,730 |
|
58,872 |
|
Electronic Arts Inc |
|
1,806 |
|
234,943 |
|
EPAM Systems Inc* |
|
359 |
|
74,582 |
|
Fidelity National Information Services Inc |
|
3,989 |
|
379,872 |
|
Fiserv Inc* |
|
3,670 |
|
358,449 |
|
Fortinet Inc* |
|
880 |
|
303,178 |
|
Hewlett Packard Enterprise Co |
|
8,406 |
|
133,824 |
|
HP Inc |
|
7,727 |
|
265,500 |
|
Intel Corp |
|
25,746 |
|
1,228,084 |
|
International Business Machines Corp |
|
5,688 |
|
696,837 |
|
Intuit Inc |
|
1,757 |
|
833,468 |
|
IPG Photonics Corp* |
|
233 |
|
30,372 |
|
Jack Henry & Associates Inc |
|
529 |
|
93,527 |
|
KLA Corp |
|
986 |
|
343,621 |
|
Lam Research Corp |
|
917 |
|
514,758 |
|
Leidos Holdings Inc |
|
915 |
|
93,184 |
|
Microchip Technology Inc |
|
3,286 |
|
231,104 |
|
Micron Technology Inc |
|
7,124 |
|
633,039 |
|
Microsoft Corp(a) |
|
47,690 |
|
14,249,297 |
|
Monolithic Power Systems Inc |
|
267 |
|
122,473 |
|
MSCI Inc |
|
530 |
|
265,896 |
|
NetApp Inc |
|
1,421 |
|
111,378 |
|
NVIDIA Corp |
|
15,814 |
|
3,856,243 |
|
NXP Semiconductors NV |
|
1,526 |
|
290,123 |
|
Oracle Corp |
|
10,453 |
|
794,114 |
|
Paychex Inc |
|
2,089 |
|
248,716 |
|
Paycom Software Inc* |
|
305 |
|
103,459 |
|
Security Description |
|
Shares |
|
Value |
|
Amphenol Corp |
|
3,796 |
|
$288,534 |
|
Ball Corp |
|
2,136 |
|
191,685 |
|
The Boeing Co* |
|
3,466 |
|
711,708 |
|
Carrier Global Corp |
|
5,321 |
|
238,806 |
|
Caterpillar Inc |
|
3,525 |
|
661,220 |
|
CH Robinson Worldwide Inc |
|
835 |
|
80,728 |
|
CSX Corp |
|
14,307 |
|
485,150 |
|
Deere & Co |
|
1,801 |
|
648,396 |
|
Dover Corp |
|
941 |
|
147,605 |
|
Eaton Corp PLC |
|
2,529 |
|
390,199 |
|
Emerson Electric Co |
|
3,793 |
|
352,446 |
|
Expeditors International of Washington Inc |
|
1,105 |
|
114,213 |
|
FedEx Corp |
|
1,577 |
|
350,520 |
|
Fortive Corp |
|
2,032 |
|
131,572 |
|
Fortune Brands Home & Security Inc |
|
957 |
|
83,163 |
|
Garmin Ltd |
|
806 |
|
89,015 |
|
Generac Holdings Inc* |
|
285 |
|
89,909 |
|
General Dynamics Corp |
|
1,518 |
|
355,895 |
|
General Electric Co |
|
7,059 |
|
674,205 |
|
Honeywell International Inc |
|
4,381 |
|
831,295 |
|
Howmet Aerospace Inc |
|
2,478 |
|
89,010 |
|
Huntington Ingalls Industries Inc |
|
281 |
|
57,436 |
|
IDEX Corp |
|
523 |
|
100,364 |
|
Illinois Tool Works Inc |
|
1,818 |
|
393,306 |
|
Ingersoll Rand Inc |
|
1,505 |
|
76,033 |
|
Jacobs Engineering Group Inc |
|
846 |
|
104,058 |
|
JB Hunt Transport Services Inc |
|
586 |
|
118,917 |
|
Johnson Controls International plc |
|
4,519 |
|
293,554 |
|
Keysight Technologies Inc* |
|
1,210 |
|
190,418 |
|
L3Harris Technologies Inc |
|
1,318 |
|
332,545 |
|
Lockheed Martin Corp |
|
1,573 |
|
682,367 |
|
Martin Marietta Materials Inc |
|
6 |
|
2,276 |
|
Masco Corp |
|
1,568 |
|
87,871 |
|
Mettler-Toledo International Inc* |
|
146 |
|
205,676 |
|
Mohawk Industries Inc* |
|
390 |
|
54,904 |
|
Norfolk Southern Corp |
|
1,567 |
|
401,967 |
|
Northrop Grumman Corp |
|
962 |
|
425,339 |
|
Old Dominion Freight Line Inc |
|
595 |
|
186,848 |
|
Otis Worldwide Corp |
|
2,659 |
|
208,279 |
|
Packaging Corp of America |
|
651 |
|
95,821 |
|
Parker-Hannifin Corp |
|
848 |
|
251,339 |
|
Pentair PLC |
|
1,156 |
|
66,944 |
|
Raytheon Technologies Corp |
|
9,569 |
|
982,736 |
|
Republic Services Inc |
|
1,333 |
|
160,333 |
|
Rockwell Automation Inc |
|
758 |
|
202,068 |
|
Sealed Air Corp |
|
1,091 |
|
73,239 |
|
Snap-on Inc |
|
354 |
|
74,404 |
|
Stanley Black & Decker Inc |
|
1,071 |
|
174,252 |
|
TE Connectivity Ltd |
|
2,081 |
|
296,397 |
|
Teledyne Technologies Inc* |
|
318 |
|
136,543 |
|
Textron Inc |
|
1,451 |
|
106,112 |
|
Trane Technologies PLC |
|
1,507 |
|
231,973 |
|
TransDigm Group Inc* |
|
342 |
|
227,974 |
13
|
S&P 500 Index FundPortfolio of Investments (Unaudited) (Continued) 2/28/22 |
See accompanying notes to financial statements.
|
S&P MidCap Index FundPortfolio of Investments (Unaudited) 2/28/22 |
|
Security Description |
|
Shares |
|
Value |
|
|
Common Stock (99.71%) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Basic Materials (5.19%) |
|
|
|
|
|
|
Alcoa Corp(a) |
|
9,961 |
|
$750,461 |
|
|
Ashland Global Holdings Inc |
|
3,073 |
|
283,576 |
|
|
Cabot Corp |
|
3,138 |
|
229,576 |
|
|
The Chemours Co |
|
9,173 |
|
253,175 |
|
|
Cleveland-Cliffs Inc* |
|
24,102 |
|
538,921 |
|
|
Commercial Metals Co |
|
6,656 |
|
256,589 |
|
|
Ingevity Corp* |
|
2,247 |
|
153,313 |
|
|
Minerals Technologies Inc |
|
1,876 |
|
131,301 |
|
|
NewMarket Corp |
|
405 |
|
128,693 |
|
|
Olin Corp |
|
7,654 |
|
394,258 |
|
|
Reliance Steel & Aluminum Co |
|
3,364 |
|
642,087 |
|
|
Royal Gold Inc |
|
3,477 |
|
421,621 |
|
|
RPM International Inc |
|
6,878 |
|
581,672 |
|
|
Sensient Technologies Corp |
|
2,347 |
|
192,759 |
|
|
Steel Dynamics Inc(a) |
|
10,277 |
|
725,351 |
|
|
United States Steel Corp |
|
14,573 |
|
396,531 |
|
|
Valvoline Inc |
|
9,580 |
|
309,721 |
|
|
Total Basic Materials |
|
|
|
6,389,605 |
|
|
|
|
|
|
|
|
|
Communications (2.28%) |
|
|
|
|
|
|
Cable One Inc |
|
262 |
|
375,407 |
|
|
Calix Inc* |
|
2,919 |
|
158,618 |
|
|
Ciena Corp* |
|
8,202 |
|
561,181 |
|
|
Iridium Communications Inc* |
|
6,514 |
|
257,889 |
|
|
Mimecast Ltd* |
|
3,240 |
|
257,677 |
|
|
The New York Times Co |
|
8,025 |
|
353,020 |
|
|
TEGNA Inc |
|
11,717 |
|
268,554 |
|
|
TripAdvisor Inc* |
|
5,427 |
|
138,063 |
|
|
Viasat Inc* |
|
3,475 |
|
158,599 |
|
|
World Wrestling Entertainment Inc |
|
2,392 |
|
141,750 |
|
|
Yelp Inc* |
|
3,849 |
|
130,443 |
|
|
Total Communications |
|
|
|
2,801,201 |
|
|
|
|
|
|
|
|
|
Consumer, Cyclical (16.13%) |
|
|
|
||
|
Adient PLC* |
|
5,245 |
|
234,714 |
|
|
American Eagle Outfitters Inc |
|
8,412 |
|
177,325 |
|
|
AutoNation Inc* |
|
2,314 |
|
265,323 |
|
|
Avient Corp |
|
4,838 |
|
253,463 |
|
|
BJ’s Wholesale Club Holdings Inc* |
|
7,361 |
|
462,786 |
|
|
Security Description |
|
Shares |
|
Value |
|
|
Boyd Gaming Corp |
|
4,450 |
|
$315,683 |
|
|
Brunswick Corp |
|
4,107 |
|
392,301 |
|
|
Callaway Golf Co* |
|
6,451 |
|
159,598 |
|
|
Capri Holdings Ltd* |
|
8,056 |
|
545,713 |
|
|
Carter’s Inc |
|
2,419 |
|
233,869 |
|
|
Casey’s General Stores Inc |
|
1,962 |
|
369,013 |
|
|
Choice Hotels International Inc |
|
1,626 |
|
234,713 |
|
|
Churchill Downs Inc |
|
1,837 |
|
442,478 |
|
|
Columbia Sportswear Co |
|
1,749 |
|
162,167 |
|
|
Cracker Barrel Old Country Store Inc |
|
1,323 |
|
177,639 |
|
|
Crocs Inc* |
|
3,306 |
|
276,811 |
|
|
Dana Inc |
|
7,697 |
|
143,318 |
|
|
Deckers Outdoor Corp* |
|
1,466 |
|
423,146 |
|
|
Dick’s Sporting Goods Inc# |
|
3,473 |
|
364,665 |
|
|
FirstCash Holdings Inc |
|
2,314 |
|
166,701 |
|
|
Five Below Inc* |
|
2,967 |
|
485,431 |
|
|
Foot Locker Inc |
|
4,774 |
|
150,954 |
|
|
Fox Factory Holding Corp* |
|
2,181 |
|
257,402 |
|
|
GameStop Corp*,# |
|
3,077 |
|
379,517 |
|
|
The Gap Inc |
|
5,700 |
|
82,935 |
|
|
Gentex Corp |
|
12,664 |
|
383,339 |
|
|
The Goodyear Tire & Rubber Co* |
|
13,550 |
|
209,890 |
|
|
Hanesbrands Inc |
|
18,591 |
|
287,231 |
|
|
Harley-Davidson Inc |
|
8,141 |
|
336,223 |
|
|
IAA Inc* |
|
7,144 |
|
262,471 |
|
|
JetBlue Airways Corp* |
|
16,855 |
|
257,376 |
|
|
KB Home |
|
4,767 |
|
184,054 |
|
|
Kohl’s Corp |
|
8,280 |
|
460,534 |
|
|
Lear Corp |
|
3,046 |
|
479,258 |
|
|
Leggett & Platt Inc |
|
7,100 |
|
263,268 |
|
|
Lithia Motors Inc |
|
1,500 |
|
511,230 |
|
|
Macy’s Inc |
|
16,488 |
|
427,369 |
|
|
Marriott Vacations Worldwide Corp |
|
2,090 |
|
335,800 |
|
|
Mattel Inc* |
|
18,495 |
|
462,005 |
|
|
MillerKnoll Inc |
|
3,558 |
|
138,335 |
|
|
MSC Industrial Direct Co Inc |
|
2,536 |
|
196,489 |
|
|
Murphy USA Inc |
|
1,260 |
|
227,732 |
|
|
Nordstrom Inc* |
|
6,132 |
|
127,178 |
|
|
Nu Skin Enterprises Inc |
|
2,657 |
|
123,258 |
|
|
Ollie’s Bargain Outlet Holdings Inc* |
|
3,186 |
|
137,571 |
|
|
Security Description |
|
Shares |
|
Value |
|
|
Papa John’s International Inc |
|
1,724 |
|
$184,158 |
|
|
Polaris Inc |
|
3,018 |
|
366,717 |
|
|
RH* |
|
865 |
|
347,618 |
|
|
Scientific Games Corp* |
|
5,107 |
|
321,332 |
|
|
The Scotts Miracle-Gro Co |
|
2,158 |
|
302,249 |
|
|
Six Flags Entertainment Corp* |
|
4,202 |
|
183,459 |
|
|
Skechers USA Inc* |
|
7,149 |
|
328,711 |
|
|
Taylor Morrison Home Corp* |
|
6,640 |
|
195,880 |
|
|
Tempur Sealy International Inc |
|
9,908 |
|
327,063 |
|
|
Texas Roadhouse Inc |
|
3,628 |
|
344,333 |
|
|
Thor Industries Inc |
|
2,934 |
|
265,527 |
|
|
Toll Brothers Inc |
|
6,211 |
|
337,009 |
|
|
Travel + Leisure Co |
|
4,573 |
|
256,317 |
|
|
Tri Pointe Homes Inc* |
|
6,030 |
|
134,891 |
|
|
Univar Solutions Inc* |
|
9,058 |
|
278,171 |
|
|
Urban Outfitters Inc* |
|
3,844 |
|
105,748 |
|
|
Victoria’s Secret & Co* |
|
3,980 |
|
213,447 |
|
|
Visteon Corp* |
|
1,554 |
|
186,744 |
|
|
Watsco Inc |
|
1,747 |
|
477,036 |
|
|
The Wendy’s Co |
|
10,001 |
|
227,423 |
|
|
Williams-Sonoma Inc |
|
3,981 |
|
576,688 |
|
|
Wingstop Inc |
|
1,645 |
|
239,101 |
|
|
Wyndham Hotels & Resorts Inc |
|
4,956 |
|
428,248 |
|
|
YETI Holdings Inc* |
|
4,150 |
|
255,474 |
|
|
Total Consumer, Cyclical |
|
19,851,620 |
|
||
|
|
|
|
|
|
|
|
Consumer, Non-Cyclical (16.24%) |
|
|
|
||
|
Acadia Healthcare Co Inc* |
|
4,932 |
|
279,694 |
|
|
Amedisys Inc* |
|
1,813 |
|
290,515 |
|
|
Arrowhead Pharmaceuticals Inc* |
|
5,525 |
|
243,100 |
|
|
ASGN Inc* |
|
2,803 |
|
310,544 |
|
|
Avis Budget Group Inc* |
|
2,131 |
|
390,911 |
|
|
The Boston Beer Co Inc* |
|
514 |
|
197,098 |
|
|
The Brink’s Co |
|
2,739 |
|
191,894 |
|
|
Bruker Corp |
|
5,362 |
|
377,324 |
|
|
Chemed Corp |
|
833 |
|
398,416 |
|
|
Coty Inc* |
|
17,865 |
|
163,822 |
|
|
Darling Ingredients Inc* |
|
8,589 |
|
622,531 |
|
|
Encompass Health Corp |
|
5,273 |
|
348,123 |
|
|
Envista Holdings Corp* |
|
8,546 |
|
410,208 |
|
|
Euronet Worldwide Inc* |
|
2,810 |
|
360,326 |
|
|
Futures contracts at February 28, 2022: |
||||||
|
Contracts - $50 times premium / delivery month / commitment / exchange |
||||||
|
S&P 500 |
|
Notional |
|
Value |
|
Unrealized |
|
3 / MAR |
|
$643,088 |
|
$655,200 |
|
$12,113 |
*Non-income producing security.
#Loaned security; a portion of this security is on loan at February 28, 2022. The aggregate amount of securities on loan at February 28, 2022 is $114,018.
(a)A portion of these securities, a total of $20,991,252, have been pledged or segregated in connection with obligations for futures contracts.
|
Security Description |
|
Shares |
|
Value |
|
Mount Vernon Liquid Assets Portfolio, |
|
|
|
118,540 |
|
|
|
|
|
|
|
Total Investments |
|
|
|
235,780,164 |
|
Other Net Assets (0.08%) |
|
|
|
188,967 |
|
Net Assets (100.00%) |
|
|
|
$235,969,131 |
14
|
S&P MidCap Index FundPortfolio of Investments (Unaudited) (Continued) 2/28/22 |
See accompanying notes to financial statements.
|
S&P MidCap Index FundPortfolio of Investments (Unaudited) (Continued) 2/28/22 |
|
Security Description |
|
Shares |
|
Value |
|
|
Exelixis Inc* |
|
16,697 |
|
$342,789 |
|
|
Flowers Foods Inc |
|
10,549 |
|
289,148 |
|
|
FTI Consulting Inc* |
|
1,898 |
|
277,108 |
|
|
Globus Medical Inc* |
|
4,207 |
|
295,836 |
|
|
Graham Holdings Co |
|
224 |
|
134,653 |
|
|
Grand Canyon Education Inc* |
|
2,394 |
|
207,871 |
|
|
Grocery Outlet Holding Corp* |
|
4,882 |
|
135,768 |
|
|
GXO Logistics Inc* |
|
5,224 |
|
438,450 |
|
|
H&R Block Inc |
|
9,215 |
|
228,624 |
|
|
Haemonetics Corp* |
|
2,814 |
|
162,396 |
|
|
The Hain Celestial Group Inc* |
|
4,840 |
|
175,982 |
|
|
Halozyme Therapeutics Inc* |
|
7,274 |
|
258,009 |
|
|
HealthEquity Inc* |
|
4,363 |
|
234,337 |
|
|
Helen of Troy Ltd* |
|
1,277 |
|
262,641 |
|
|
ICU Medical Inc* |
|
1,078 |
|
255,195 |
|
|
Ingredion Inc |
|
3,551 |
|
315,116 |
|
|
Insperity Inc |
|
1,902 |
|
171,085 |
|
|
Integra LifeSciences Holdings Corp* |
|
3,953 |
|
265,088 |
|
|
Jazz Pharmaceuticals PLC* |
|
3,129 |
|
429,987 |
|
|
John Wiley & Sons Inc |
|
2,306 |
|
116,015 |
|
|
Lancaster Colony Corp |
|
1,051 |
|
176,789 |
|
|
LHC Group Inc* |
|
1,750 |
|
238,298 |
|
|
LivaNova PLC* |
|
2,820 |
|
222,272 |
|
|
LiveRamp Holdings Inc* |
|
3,739 |
|
161,375 |
|
|
ManpowerGroup Inc |
|
2,874 |
|
305,449 |
|
|
Masimo Corp* |
|
2,684 |
|
422,596 |
|
|
Medpace Holdings Inc* |
|
1,529 |
|
233,891 |
|
|
Molina Healthcare Inc* |
|
3,095 |
|
949,762 |
|
|
Neogen Corp* |
|
5,208 |
|
185,926 |
|
|
Neurocrine Biosciences Inc* |
|
5,016 |
|
450,788 |
|
|
NuVasive Inc* |
|
2,872 |
|
155,433 |
|
|
Option Care Health Inc* |
|
7,340 |
|
188,638 |
|
|
Patterson Cos Inc |
|
4,569 |
|
136,613 |
|
|
Paylocity Holding Corp* |
|
2,089 |
|
443,787 |
|
|
Penumbra Inc* |
|
1,871 |
|
414,876 |
|
|
Performance Food Group Co* |
|
8,145 |
|
456,446 |
|
|
Perrigo Co PLC |
|
7,087 |
|
251,730 |
|
|
Pilgrim’s Pride Corp* |
|
2,700 |
|
63,666 |
|
|
Post Holdings Inc* |
|
3,106 |
|
326,565 |
|
|
PROG Holdings Inc* |
|
3,750 |
|
114,900 |
|
|
Progyny Inc* |
|
3,648 |
|
143,585 |
|
|
Quidel Corp* |
|
1,964 |
|
207,772 |
|
|
R1 RCM Inc* |
|
7,094 |
|
192,886 |
|
|
Repligen Corp* |
|
2,730 |
|
536,991 |
|
|
Sabre Corp* |
|
16,503 |
|
180,378 |
|
|
Sanderson Farms Inc |
|
1,188 |
|
212,165 |
|
|
Service Corp International |
|
8,881 |
|
540,409 |
|
|
Sprouts Farmers Market Inc* |
|
6,052 |
|
172,361 |
|
|
STAAR Surgical Co* |
|
2,560 |
|
203,059 |
|
|
Syneos Health Inc* |
|
5,484 |
|
434,333 |
|
|
Tandem Diabetes Care Inc* |
|
3,340 |
|
376,184 |
|
|
Tenet Healthcare Corp* |
|
5,708 |
|
490,831 |
|
|
United Therapeutics Corp* |
|
2,379 |
|
395,390 |
|
|
WEX Inc* |
|
2,445 |
|
412,007 |
|
|
Total Consumer, Non-Cyclical |
|
19,978,755 |
|
||
|
|
|
|
|
|
|
|
Energy (3.22%) |
|
|
|
|
|
|
Antero Midstream Corp |
|
17,306 |
|
173,752 |
|
|
ChampionX Corp* |
|
10,834 |
|
231,956 |
|
|
CNX Resources Corp* |
|
11,242 |
|
183,694 |
|
|
Security Description |
|
Shares |
|
Value |
|
|
DT Midstream Inc |
|
5,370 |
|
$285,147 |
|
|
EQT Corp |
|
14,895 |
|
344,670 |
|
|
Equitrans Midstream Corp |
|
20,127 |
|
129,014 |
|
|
First Solar Inc* |
|
5,240 |
|
394,520 |
|
|
HollyFrontier Corp |
|
8,287 |
|
252,339 |
|
|
Murphy Oil Corp |
|
8,004 |
|
277,499 |
|
|
NOV Inc |
|
20,707 |
|
355,125 |
|
|
PDC Energy Inc |
|
2,589 |
|
167,042 |
|
|
SunPower Corp*,# |
|
4,397 |
|
78,838 |
|
|
Sunrun Inc* |
|
10,914 |
|
297,734 |
|
|
Targa Resources Corp(a) |
|
12,118 |
|
792,153 |
|
|
Total Energy |
|
|
|
3,963,483 |
|
|
|
|
|
|
|
|
|
Financial (24.98%) |
|
|
|
|
|
|
Banks (7.04%) |
|
|
|
|
|
|
Associated Banc-Corp |
|
8,584 |
|
209,364 |
|
|
Bank of Hawaii Corp |
|
2,220 |
|
191,320 |
|
|
Bank OZK |
|
6,457 |
|
303,608 |
|
|
Cadence Bank |
|
10,385 |
|
328,374 |
|
|
Cathay General Bancorp |
|
4,150 |
|
195,175 |
|
|
Commerce Bancshares Inc |
|
5,915 |
|
424,579 |
|
|
Cullen/Frost Bankers Inc |
|
3,002 |
|
422,471 |
|
|
East West Bancorp Inc(a) |
|
7,519 |
|
658,364 |
|
|
First Financial Bankshares Inc |
|
6,790 |
|
325,377 |
|
|
First Horizon Corp |
|
29,803 |
|
699,774 |
|
|
FNB Corp |
|
17,881 |
|
240,142 |
|
|
Fulton Financial Corp |
|
8,643 |
|
155,747 |
|
|
Glacier Bancorp Inc |
|
5,299 |
|
293,565 |
|
|
Hancock Whitney Corp |
|
4,789 |
|
266,652 |
|
|
Home BancShares Inc |
|
8,489 |
|
198,727 |
|
|
International Bancshares Corp |
|
3,086 |
|
132,729 |
|
|
PacWest Bancorp |
|
6,472 |
|
319,846 |
|
|
Pinnacle Financial Partners Inc |
|
4,033 |
|
407,656 |
|
|
Prosperity Bancshares Inc |
|
4,925 |
|
366,716 |
|
|
Synovus Financial Corp |
|
7,761 |
|
408,617 |
|
|
Texas Capital Bancshares Inc* |
|
2,817 |
|
187,611 |
|
|
UMB Financial Corp |
|
2,395 |
|
243,955 |
|
|
Umpqua Holdings Corp |
|
12,205 |
|
260,577 |
|
|
United Bankshares Inc |
|
6,634 |
|
242,937 |
|
|
Valley National Bancorp |
|
21,550 |
|
301,054 |
|
|
Webster Financial Corp |
|
9,529 |
|
573,741 |
|
|
Wintrust Financial Corp |
|
3,023 |
|
300,365 |
|
|
|
|
|
|
8,659,043 |
|
|
Diversified Financial Service (2.84%) |
|
|
|
||
|
Affiliated Managers Group Inc |
|
2,183 |
|
302,040 |
|
|
Alliance Data Systems Corp |
|
2,799 |
|
188,793 |
|
|
Evercore Inc |
|
2,101 |
|
266,848 |
|
|
Federated Hermes Inc |
|
5,231 |
|
170,897 |
|
|
Interactive Brokers Group Inc |
|
4,471 |
|
295,891 |
|
|
Janus Henderson Group PLC |
|
8,514 |
|
285,815 |
|
|
Jefferies Financial Group Inc |
|
10,474 |
|
372,246 |
|
|
Navient Corp |
|
8,895 |
|
156,641 |
|
|
SEI Investments Co |
|
5,682 |
|
332,852 |
|
|
SLM Corp |
|
16,208 |
|
319,298 |
|
|
Stifel Financial Corp |
|
5,553 |
|
408,146 |
|
|
The Western Union Co |
|
21,402 |
|
389,088 |
|
|
|
|
|
|
3,488,555 |
|
|
Insurance (4.61%) |
|
|
|
|
|
|
Alleghany Corp* |
|
735 |
|
486,511 |
|
|
American Financial Group Inc |
|
3,503 |
|
474,271 |
|
|
Security Description |
|
Shares |
|
Value |
|
|
Brighthouse Financial Inc* |
|
4,404 |
|
$230,153 |
|
|
CNO Financial Group Inc |
|
6,772 |
|
163,679 |
|
|
Essent Group Ltd |
|
5,929 |
|
261,943 |
|
|
First American Financial Corp |
|
5,825 |
|
390,508 |
|
|
The Hanover Insurance Group Inc |
|
1,892 |
|
263,953 |
|
|
Kemper Corp |
|
3,169 |
|
169,351 |
|
|
Kinsale Capital Group Inc |
|
1,181 |
|
247,727 |
|
|
Mercury General Corp |
|
1,634 |
|
89,870 |
|
|
MGIC Investment Corp |
|
16,627 |
|
252,398 |
|
|
Old Republic International Corp |
|
15,070 |
|
397,095 |
|
|
Primerica Inc |
|
2,091 |
|
271,600 |
|
|
Reinsurance Group of America Inc |
|
3,603 |
|
399,429 |
|
|
RenaissanceRe Holdings Ltd |
|
2,496 |
|
376,347 |
|
|
RLI Corp |
|
2,209 |
|
224,214 |
|
|
Selective Insurance Group Inc |
|
3,316 |
|
275,858 |
|
|
Unum Group |
|
10,833 |
|
302,457 |
|
|
Voya Financial Inc |
|
5,909 |
|
397,971 |
|
|
|
|
|
|
5,675,335 |
|
|
Real Estate (10.15%) |
|
|
|
|
|
|
American Campus Communities Inc |
|
7,372 |
|
396,687 |
|
|
Apartment Income REIT Corp |
|
8,250 |
|
425,783 |
|
|
Brixmor Property Group Inc |
|
15,740 |
|
395,389 |
|
|
Camden Property Trust(a) |
|
5,397 |
|
891,098 |
|
|
Corporate Office Properties Trust |
|
5,953 |
|
156,028 |
|
|
Cousins Properties Inc |
|
7,880 |
|
304,404 |
|
|
CyrusOne Inc |
|
6,595 |
|
595,858 |
|
|
Douglas Emmett Inc |
|
9,604 |
|
304,447 |
|
|
EastGroup Properties Inc |
|
2,141 |
|
408,417 |
|
|
EPR Properties |
|
4,167 |
|
207,517 |
|
|
First Industrial Realty Trust Inc |
|
6,844 |
|
394,078 |
|
|
Healthcare Realty Trust Inc |
|
7,860 |
|
204,989 |
|
|
Highwoods Properties Inc |
|
5,523 |
|
240,803 |
|
|
Hudson Pacific Properties Inc |
|
8,369 |
|
220,942 |
|
|
JBG SMITH Properties |
|
6,347 |
|
169,338 |
|
|
Jones Lang LaSalle Inc*,(a) |
|
2,687 |
|
661,593 |
|
|
Kilroy Realty Corp |
|
5,682 |
|
406,945 |
|
|
Kite Realty Group Trust |
|
11,573 |
|
253,796 |
|
|
Lamar Advertising Co |
|
4,619 |
|
503,748 |
|
|
Life Storage Inc |
|
4,366 |
|
552,692 |
|
|
The Macerich Co |
|
9,276 |
|
141,923 |
|
|
Medical Properties Trust Inc(a) |
|
31,572 |
|
642,174 |
|
|
National Retail Properties Inc |
|
9,304 |
|
396,443 |
|
|
National Storage Affiliates Trust |
|
3,823 |
|
222,766 |
|
|
Omega Healthcare Investors Inc |
|
12,731 |
|
358,632 |
|
|
Park Hotels & Resorts Inc* |
|
13,160 |
|
247,934 |
|
|
Pebblebrook Hotel Trust |
|
6,963 |
|
156,737 |
|
|
Physicians Realty Trust |
|
11,481 |
|
186,681 |
|
|
PotlatchDeltic Corp |
|
3,706 |
|
203,459 |
|
|
PS Business Parks Inc |
|
1,112 |
|
177,130 |
|
|
Rayonier Inc |
|
7,791 |
|
309,303 |
|
|
Rexford Industrial Realty Inc |
|
8,064 |
|
565,528 |
|
|
Sabra Health Care REIT Inc |
|
11,960 |
|
160,623 |
|
|
SL Green Realty Corp |
|
3,572 |
|
284,022 |
|
15
|
S&P MidCap Index FundPortfolio of Investments (Unaudited) (Continued) 2/28/22 |
See accompanying notes to financial statements.
|
Security Description |
|
Shares |
|
Value |
|
|
Semtech Corp* |
|
3,441 |
|
$238,737 |
|
|
Silicon Laboratories Inc* |
|
2,152 |
|
330,784 |
|
|
SiTime Corp* |
|
786 |
|
158,882 |
|
|
Synaptics Inc* |
|
2,090 |
|
477,419 |
|
|
Teradata Corp* |
|
6,057 |
|
302,789 |
|
|
Wolfspeed Inc* |
|
6,115 |
|
628,133 |
|
|
Xerox Holdings Corp |
|
7,284 |
|
143,568 |
|
|
Ziff Davis Inc* |
|
2,375 |
|
238,925 |
|
|
Total Technology |
|
|
|
11,055,701 |
|
|
|
|
|
|
|
|
|
Utilities (3.13%) |
|
|
|
|
|
|
ALLETE Inc |
|
2,880 |
|
181,267 |
|
|
Black Hills Corp |
|
3,364 |
|
235,446 |
|
|
Essential Utilities Inc |
|
11,853 |
|
558,395 |
|
|
Hawaiian Electric Industries Inc |
|
5,793 |
|
237,397 |
|
|
IDACORP Inc |
|
2,677 |
|
278,274 |
|
|
National Fuel Gas Co |
|
4,832 |
|
300,744 |
|
|
New Jersey Resources Corp |
|
5,111 |
|
222,942 |
|
|
NorthWestern Corp |
|
2,732 |
|
165,231 |
|
|
OGE Energy Corp |
|
10,609 |
|
398,368 |
|
|
ONE Gas Inc |
|
2,835 |
|
235,560 |
|
|
PNM Resources Inc |
|
4,449 |
|
200,961 |
|
|
Southwest Gas Holdings Inc |
|
3,218 |
|
228,285 |
|
|
Spire Inc |
|
2,739 |
|
183,814 |
|
|
UGI Corp |
|
11,082 |
|
425,992 |
|
|
Total Utilities |
|
|
|
3,852,676 |
|
|
|
|
|
|
|
|
|
Total Common Stock (Cost $79,820,006) |
|
|
|
122,684,333 |
|
|
|
|
|
|
|
|
|
Collateral Received for Securities on Loan (0.66%) |
|
|
|
||
|
Mount Vernon Liquid Assets |
|
806,364 |
|
||
|
|
|
|
|
|
|
|
Total Investments |
|
|
|
$123,490,697 |
|
|
Liabilities in Excess of Other Assets (-0.36%) |
|
|
|
(447,903 |
) |
|
Net Assets (100.00%) |
|
|
|
$123,042,794 |
|
*Non-income producing security.
#Loaned security; a portion of this security is on loan at February 28, 2022. The aggregate amount of securities on loan at February 28, 2022 is $814,733.
(a)A portion of these securities, a total of $9,126,247, have been pledged or segregated in connection with obligations for futures contracts.
|
Futures contracts at February 28, 2022: |
||||||
|
Contracts - $100 times premium / delivery month / commitment / exchange |
||||||
|
S&P MidCap |
|
Notional |
|
Value |
|
Unrealized |
|
21/ MAR 2022 / Long / CME |
|
$262,800 |
|
$265,800 |
|
$3,000 |
|
Security Description |
|
Shares |
|
Value |
|
|
Regal Rexnord Corp |
|
3,588 |
|
$575,336 |
|
|
Ryder System Inc |
|
2,850 |
|
224,694 |
|
|
Saia Inc* |
|
1,395 |
|
400,686 |
|
|
Silgan Holdings Inc |
|
4,332 |
|
181,424 |
|
|
Simpson Manufacturing Co Inc |
|
2,135 |
|
253,019 |
|
|
Sonoco Products Co |
|
5,211 |
|
305,990 |
|
|
Stericycle Inc* |
|
5,074 |
|
296,119 |
|
|
TD SYNNEX Corp |
|
2,202 |
|
224,230 |
|
|
Terex Corp |
|
3,952 |
|
163,139 |
|
|
Tetra Tech Inc |
|
2,865 |
|
454,876 |
|
|
The Timken Co |
|
3,817 |
|
250,243 |
|
|
TopBuild Corp* |
|
1,687 |
|
362,165 |
|
|
The Toro Co |
|
5,674 |
|
532,278 |
|
|
Trex Co Inc* |
|
6,113 |
|
561,418 |
|
|
Trinity Industries Inc |
|
4,421 |
|
127,590 |
|
|
II-VI Inc* |
|
5,436 |
|
377,585 |
|
|
Universal Display Corp |
|
2,297 |
|
355,828 |
|
|
Valmont Industries Inc |
|
1,124 |
|
243,290 |
|
|
Vicor Corp* |
|
1,141 |
|
85,313 |
|
|
Vishay Intertechnology Inc |
|
7,033 |
|
134,963 |
|
|
Vontier Corp |
|
8,953 |
|
217,558 |
|
|
Watts Water Technologies Inc |
|
732 |
|
105,371 |
|
|
Werner Enterprises Inc |
|
2,668 |
|
115,951 |
|
|
Woodward Inc |
|
3,285 |
|
409,410 |
|
|
Worthington Industries Inc |
|
1,755 |
|
100,070 |
|
|
XPO Logistics Inc* |
|
5,224 |
|
379,680 |
|
|
nVent Electric PLC |
|
8,909 |
|
302,282 |
|
|
Total Industrial |
|
|
|
24,049,297 |
|
|
|
|
|
|
|
|
|
Technology (8.99%) |
|
|
|
|
|
|
ACI Worldwide Inc* |
|
6,501 |
|
217,914 |
|
|
Amkor Technology Inc |
|
5,309 |
|
120,355 |
|
|
Aspen Technology Inc* |
|
3,599 |
|
548,524 |
|
|
Azenta Inc |
|
3,937 |
|
344,566 |
|
|
Blackbaud Inc* |
|
2,228 |
|
139,228 |
|
|
CACI International Inc* |
|
1,248 |
|
349,178 |
|
|
CDK Global Inc |
|
6,744 |
|
305,773 |
|
|
Cerence Inc* |
|
2,096 |
|
75,687 |
|
|
Cirrus Logic Inc* |
|
3,052 |
|
265,127 |
|
|
CMC Materials Inc |
|
1,548 |
|
287,046 |
|
|
CommVault Systems Inc* |
|
2,533 |
|
159,351 |
|
|
Concentrix Corp |
|
2,269 |
|
453,550 |
|
|
Digital Turbine Inc* |
|
4,634 |
|
224,656 |
|
|
Envestnet Inc* |
|
3,017 |
|
225,732 |
|
|
Fair Isaac Corp*,(a) |
|
1,504 |
|
708,670 |
|
|
Genpact Ltd |
|
9,154 |
|
383,003 |
|
|
KBR Inc |
|
7,461 |
|
370,364 |
|
|
Kyndryl Holdings Inc* |
|
9,501 |
|
150,686 |
|
|
Lattice Semiconductor Corp* |
|
7,228 |
|
452,617 |
|
|
Lumentum Holdings Inc* |
|
4,022 |
|
397,615 |
|
|
Manhattan Associates Inc* |
|
3,360 |
|
449,165 |
|
|
Maximus Inc |
|
3,258 |
|
256,926 |
|
|
MKS Instruments Inc |
|
2,939 |
|
442,613 |
|
|
NCR Corp* |
|
7,171 |
|
290,569 |
|
|
Power Integrations Inc |
|
3,211 |
|
288,990 |
|
|
Qualys Inc* |
|
1,539 |
|
192,852 |
|
|
Sailpoint Technologies Holdings Inc* |
|
4,474 |
|
185,089 |
|
|
Science Applications International Corp |
|
2,858 |
|
250,618 |
|
|
Security Description |
|
Shares |
|
Value |
|
|
Spirit Realty Capital Inc |
|
5,819 |
|
$269,827 |
|
|
STORE Capital Corp |
|
12,450 |
|
382,464 |
|
|
Urban Edge Properties |
|
5,835 |
|
106,314 |
|
|
|
|
|
|
12,506,512 |
|
|
Savings&Loans (0.34%) |
|
|
|
|
|
|
New York Community Bancorp Inc |
|
24,647 |
|
284,426 |
|
|
Washington Federal Inc |
|
3,601 |
|
128,124 |
|
|
|
|
|
|
412,550 |
|
|
|
|
|
|
|
|
|
Total Financial |
|
|
|
30,741,995 |
|
|
|
|
|
|
|
|
|
Industrial (19.55%) |
|
|
|
|
|
|
AGCO Corp |
|
3,276 |
|
393,644 |
|
|
Acuity Brands Inc |
|
1,892 |
|
345,044 |
|
|
AECOM |
|
7,635 |
|
554,759 |
|
|
AptarGroup Inc |
|
3,587 |
|
437,184 |
|
|
Arrow Electronics Inc* |
|
3,806 |
|
463,875 |
|
|
Avnet Inc |
|
5,517 |
|
232,100 |
|
|
Axon Enterprise Inc* |
|
3,457 |
|
484,844 |
|
|
Belden Inc |
|
2,251 |
|
126,844 |
|
|
Builders FirstSource Inc*,(a) |
|
10,182 |
|
757,743 |
|
|
Carlisle Cos Inc(a) |
|
2,762 |
|
655,699 |
|
|
Clean Harbors Inc* |
|
2,652 |
|
253,080 |
|
|
Cognex Corp |
|
9,365 |
|
632,699 |
|
|
Coherent Inc* |
|
1,300 |
|
343,616 |
|
|
Colfax Corp* |
|
6,495 |
|
261,164 |
|
|
Crane Co |
|
2,641 |
|
266,952 |
|
|
Curtiss-Wright Corp |
|
2,166 |
|
319,528 |
|
|
Donaldson Co Inc |
|
6,656 |
|
361,221 |
|
|
Dycom Industries Inc* |
|
1,697 |
|
147,741 |
|
|
Eagle Materials Inc |
|
2,219 |
|
303,626 |
|
|
EMCOR Group Inc |
|
2,849 |
|
329,173 |
|
|
Energizer Holdings Inc |
|
3,289 |
|
109,820 |
|
|
EnerSys |
|
2,359 |
|
171,570 |
|
|
Fluor Corp* |
|
7,046 |
|
152,616 |
|
|
Flowserve Corp |
|
6,904 |
|
209,674 |
|
|
GATX Corp |
|
1,939 |
|
206,756 |
|
|
Graco Inc |
|
8,996 |
|
648,522 |
|
|
Greif Inc |
|
1,407 |
|
80,888 |
|
|
Hexcel Corp |
|
4,444 |
|
257,308 |
|
|
Hubbell Inc |
|
2,882 |
|
513,717 |
|
|
ITT Inc |
|
4,563 |
|
400,951 |
|
|
Jabil Inc |
|
7,569 |
|
437,564 |
|
|
Kennametal Inc |
|
4,431 |
|
140,507 |
|
|
Kirby Corp* |
|
3,327 |
|
216,754 |
|
|
Knight-Swift Transportation Holdings Inc |
|
8,796 |
|
479,206 |
|
|
Landstar System Inc |
|
2,028 |
|
313,143 |
|
|
Lennox International Inc |
|
1,812 |
|
483,677 |
|
|
Lincoln Electric Holdings Inc |
|
3,147 |
|
401,117 |
|
|
Littelfuse Inc |
|
1,304 |
|
336,706 |
|
|
Louisiana-Pacific Corp |
|
5,047 |
|
363,132 |
|
|
MDU Resources Group Inc |
|
11,113 |
|
297,495 |
|
|
MSA Safety Inc |
|
1,931 |
|
268,602 |
|
|
MasTec Inc* |
|
3,168 |
|
249,512 |
|
|
Mercury Systems Inc* |
|
3,236 |
|
194,872 |
|
|
The Middleby Corp* |
|
2,900 |
|
515,098 |
|
|
National Instruments Corp |
|
6,872 |
|
275,911 |
|
|
Oshkosh Corp |
|
3,637 |
|
403,852 |
|
|
Owens Corning |
|
5,465 |
|
509,283 |
|
16
See accompanying notes to financial statements.
|
Security Description |
|
Shares |
|
Value |
|
|
Common Stock (99.41%) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Basic Materials (5.03%) |
|
|
|
|
|
|
AdvanSix Inc |
|
1,786 |
|
$71,547 |
|
|
Allegheny Technologies Inc* |
|
8,370 |
|
215,444 |
|
|
American Vanguard Corp |
|
1,902 |
|
28,663 |
|
|
Arconic Corp* |
|
6,331 |
|
194,362 |
|
|
Balchem Corp |
|
2,095 |
|
289,821 |
|
|
Carpenter Technology Corp |
|
2,804 |
|
107,646 |
|
|
Century Aluminum Co* |
|
3,565 |
|
84,205 |
|
|
Clearwater Paper Corp* |
|
1,183 |
|
34,106 |
|
|
Ferro Corp* |
|
5,477 |
|
119,015 |
|
|
GCP Applied Technologies Inc* |
|
3,238 |
|
102,256 |
|
|
Glatfelter Corp |
|
3,163 |
|
43,460 |
|
|
Hawkins Inc |
|
1,354 |
|
61,282 |
|
|
HB Fuller Co |
|
3,369 |
|
230,339 |
|
|
Innospec Inc |
|
1,642 |
|
156,811 |
|
|
Kaiser Aluminum Corp |
|
1,057 |
|
102,001 |
|
|
Koppers Holdings Inc* |
|
1,482 |
|
42,430 |
|
|
Kraton Corp* |
|
2,121 |
|
97,884 |
|
|
Livent Corp* |
|
9,782 |
|
230,366 |
|
|
Mercer International Inc |
|
2,867 |
|
38,332 |
|
|
Neenah Inc |
|
1,088 |
|
42,378 |
|
|
Quaker Chemical Corp |
|
854 |
|
158,511 |
|
|
Rayonier Advanced Materials Inc* |
|
3,576 |
|
20,991 |
|
|
Rogers Corp*,(a) |
|
1,190 |
|
324,869 |
|
|
Schweitzer-Mauduit International Inc |
|
2,067 |
|
64,532 |
|
|
Stepan Co |
|
1,381 |
|
143,099 |
|
|
Sylvamo Corp* |
|
2,257 |
|
78,769 |
|
|
Trinseo PLC |
|
2,559 |
|
132,966 |
|
|
Unifi Inc* |
|
1,046 |
|
19,633 |
|
|
Total Basic Materials |
|
|
|
3,235,718 |
|
|
|
|
|
|
|
|
|
Communications (3.71%) |
|
|
|
|
|
|
ADTRAN Inc |
|
3,425 |
|
70,521 |
|
|
AMC Networks Inc* |
|
1,982 |
|
82,154 |
|
|
ATN International Inc |
|
779 |
|
25,964 |
|
|
CalAmp Corp* |
|
2,444 |
|
17,255 |
|
|
Cars.com Inc* |
|
4,119 |
|
66,645 |
|
|
Cogent Communications Holdings Inc |
|
2,695 |
|
170,863 |
|
|
Consolidated Communications Holdings Inc* |
|
5,162 |
|
36,753 |
|
|
ePlus Inc* |
|
1,798 |
|
84,326 |
|
|
The EW Scripps Co* |
|
3,903 |
|
86,881 |
|
|
Extreme Networks Inc* |
|
7,992 |
|
91,828 |
|
|
Gannett Co Inc* |
|
9,383 |
|
46,540 |
|
|
Harmonic Inc* |
|
6,868 |
|
63,941 |
|
|
HealthStream Inc* |
|
1,832 |
|
37,538 |
|
|
InterDigital Inc |
|
1,985 |
|
127,874 |
|
|
Liquidity Services Inc* |
|
1,928 |
|
33,219 |
|
|
NETGEAR Inc* |
|
1,998 |
|
53,167 |
|
|
Perficient Inc* |
|
2,092 |
|
213,175 |
|
|
Plantronics Inc* |
|
2,344 |
|
66,030 |
|
|
QuinStreet Inc* |
|
3,238 |
|
36,428 |
|
|
Scholastic Corp |
|
1,976 |
|
83,150 |
|
|
Security Description |
|
Shares |
|
Value |
|
|
Shenandoah Telecommunications Co |
|
3,229 |
|
$72,168 |
|
|
TechTarget Inc* |
|
1,557 |
|
122,038 |
|
|
Telephone and Data Systems Inc |
|
6,350 |
|
110,173 |
|
|
Thryv Holdings Inc* |
|
1,075 |
|
32,680 |
|
|
Viavi Solutions Inc* |
|
14,793 |
|
242,605 |
|
|
Vonage Holdings Corp*,(a) |
|
15,519 |
|
315,345 |
|
|
Total Communications |
|
|
|
2,389,261 |
|
|
|
|
|
|
|
|
|
Consumer, Cyclical (14.03%) |
|
|
|
||
|
Abercrombie & Fitch Co* |
|
4,152 |
|
158,108 |
|
|
Allegiant Travel Co* |
|
873 |
|
151,981 |
|
|
American Axle & Manufacturing Holdings Inc* |
|
7,476 |
|
69,228 |
|
|
America’s Car-Mart Inc* |
|
397 |
|
38,183 |
|
|
Asbury Automotive Group Inc* |
|
1,487 |
|
288,641 |
|
|
Barnes & Noble Education Inc* |
|
2,006 |
|
10,993 |
|
|
Bed Bath & Beyond Inc*,# |
|
6,880 |
|
116,203 |
|
|
Big Lots Inc |
|
2,184 |
|
75,916 |
|
|
BJ’s Restaurants Inc* |
|
1,372 |
|
44,000 |
|
|
Bloomin’ Brands Inc |
|
5,356 |
|
131,811 |
|
|
Boot Barn Holdings Inc* |
|
1,930 |
|
167,949 |
|
|
Brinker International Inc* |
|
3,014 |
|
128,216 |
|
|
The Buckle Inc |
|
1,891 |
|
68,076 |
|
|
Caleres Inc |
|
2,523 |
|
52,377 |
|
|
The Cato Corp |
|
1,556 |
|
27,386 |
|
|
Cavco Industries Inc* |
|
542 |
|
147,765 |
|
|
Century Communities Inc |
|
1,701 |
|
108,388 |
|
|
The Cheesecake Factory Inc* |
|
3,118 |
|
133,419 |
|
|
Chico’s FAS Inc* |
|
8,496 |
|
39,931 |
|
|
The Children’s Place Inc* |
|
943 |
|
59,371 |
|
|
Chuy’s Holdings Inc* |
|
1,345 |
|
43,847 |
|
|
Cinemark Holdings Inc* |
|
6,765 |
|
118,658 |
|
|
Conn’s Inc* |
|
1,366 |
|
25,052 |
|
|
Cooper-Standard Holdings Inc* |
|
1,206 |
|
15,340 |
|
|
Dave & Buster’s Entertainment Inc* |
|
2,448 |
|
106,096 |
|
|
Designer Brands Inc* |
|
3,952 |
|
51,574 |
|
|
Dine Brands Global Inc |
|
1,098 |
|
92,056 |
|
|
Dorman Products Inc* |
|
1,852 |
|
173,014 |
|
|
El Pollo Loco Holdings Inc* |
|
1,399 |
|
18,565 |
|
|
Ethan Allen Interiors Inc |
|
1,450 |
|
37,787 |
|
|
Fiesta Restaurant Group Inc* |
|
1,450 |
|
14,602 |
|
|
Fossil Group Inc* |
|
3,328 |
|
44,995 |
|
|
Genesco Inc* |
|
1,020 |
|
65,433 |
|
|
Gentherm Inc* |
|
2,195 |
|
186,224 |
|
|
G-III Apparel Group Ltd* |
|
2,872 |
|
79,669 |
|
|
GMS Inc* |
|
2,817 |
|
152,822 |
|
|
Group 1 Automotive Inc |
|
1,100 |
|
200,123 |
|
|
Guess? Inc |
|
2,510 |
|
54,969 |
|
|
Haverty Furniture Cos Inc |
|
1,111 |
|
31,564 |
|
|
Hawaiian Holdings Inc* |
|
3,036 |
|
58,230 |
|
|
Healthcare Services Group Inc |
|
4,744 |
|
75,050 |
|
|
Hibbett Inc |
|
956 |
|
43,096 |
|
|
HNI Corp |
|
2,445 |
|
99,487 |
|
|
Security Description |
|
Shares |
|
Value |
|
|
Installed Building Products Inc |
|
1,478 |
|
$142,923 |
|
|
Interface Inc |
|
4,184 |
|
54,601 |
|
|
iRobot Corp* |
|
1,874 |
|
116,488 |
|
|
KAR Auction Services Inc* |
|
7,573 |
|
139,798 |
|
|
Kontoor Brands Inc |
|
3,132 |
|
155,159 |
|
|
La-Z-Boy Inc |
|
3,092 |
|
90,225 |
|
|
LCI Industries |
|
1,627 |
|
202,594 |
|
|
LGI Homes Inc* |
|
1,421 |
|
179,231 |
|
|
LL Flooring Holdings Inc* |
|
1,940 |
|
31,156 |
|
|
M/I Homes Inc* |
|
1,897 |
|
93,503 |
|
|
The Marcus Corp* |
|
1,646 |
|
29,924 |
|
|
MarineMax Inc* |
|
1,536 |
|
70,287 |
|
|
MDC Holdings Inc |
|
3,636 |
|
161,220 |
|
|
Meritage Homes Corp* |
|
2,392 |
|
235,803 |
|
|
Meritor Inc* |
|
4,457 |
|
158,714 |
|
|
Methode Electronics Inc |
|
2,510 |
|
114,556 |
|
|
Monarch Casino & Resort Inc* |
|
854 |
|
66,527 |
|
|
Motorcar Parts of America Inc* |
|
1,357 |
|
21,916 |
|
|
Movado Group Inc |
|
1,175 |
|
46,319 |
|
|
The ODP Corp* |
|
3,016 |
|
132,704 |
|
|
OptimizeRx Corp* |
|
1,119 |
|
50,680 |
|
|
Oxford Industries Inc |
|
1,009 |
|
89,186 |
|
|
Patrick Industries Inc |
|
1,482 |
|
105,726 |
|
|
PC Connection Inc |
|
791 |
|
38,593 |
|
|
PetMed Express Inc |
|
1,445 |
|
38,943 |
|
|
PriceSmart Inc |
|
1,558 |
|
113,298 |
|
|
Red Robin Gourmet Burgers Inc* |
|
926 |
|
16,251 |
|
|
Resideo Technologies Inc* |
|
8,667 |
|
223,089 |
|
|
Ruth’s Hospitality Group Inc |
|
1,944 |
|
48,231 |
|
|
Sally Beauty Holdings Inc* |
|
7,446 |
|
128,667 |
|
|
ScanSource Inc* |
|
1,809 |
|
57,128 |
|
|
Shake Shack Inc* |
|
2,372 |
|
177,236 |
|
|
Shoe Carnival Inc |
|
1,280 |
|
37,325 |
|
|
Signet Jewelers Ltd |
|
3,385 |
|
238,643 |
|
|
SkyWest Inc* |
|
3,356 |
|
94,337 |
|
|
Sleep Number Corp* |
|
1,501 |
|
98,616 |
|
|
Sonic Automotive Inc |
|
1,339 |
|
71,918 |
|
|
Standard Motor Products Inc |
|
1,301 |
|
56,867 |
|
|
Steven Madden Ltd |
|
5,003 |
|
213,428 |
|
|
Titan International Inc* |
|
3,341 |
|
37,419 |
|
|
Tupperware Brands Corp* |
|
3,285 |
|
59,886 |
|
|
UniFirst Corp |
|
1,013 |
|
183,606 |
|
|
Universal Electronics Inc* |
|
997 |
|
33,130 |
|
|
Vera Bradley Inc* |
|
1,892 |
|
14,304 |
|
|
Veritiv Corp* |
|
911 |
|
97,632 |
|
|
Vista Outdoor Inc* |
|
3,876 |
|
141,280 |
|
|
Wabash National Corp |
|
3,495 |
|
59,555 |
|
|
Winnebago Industries Inc |
|
2,254 |
|
144,414 |
|
|
Wolverine World Wide Inc |
|
5,476 |
|
126,112 |
|
|
World Fuel Services Corp |
|
4,080 |
|
115,627 |
|
|
Zumiez Inc* |
|
1,394 |
|
62,019 |
|
|
Total Consumer, Cyclical |
|
9,022,989 |
|
||
|
|
|
|
|
|
|
|
Consumer, Non-Cyclical (17.80%) |
|
|
|
||
|
The Aaron’s Co Inc |
|
2,245 |
|
47,123 |
|
|
ABM Industries Inc |
|
4,338 |
|
194,473 |
|
|
Addus HomeCare Corp* |
|
991 |
|
84,275 |
|
|
S&P SmallCap Index FundPortfolio of Investments (Unaudited) 2/28/22 |
17
|
S&P SmallCap Index FundPortfolio of Investments (Unaudited) (Continued) 2/28/22 |
See accompanying notes to financial statements.
|
Security Description |
|
Shares |
|
Value |
|
|
Vanda Pharmaceuticals Inc* |
|
3,820 |
|
$43,395 |
|
|
Varex Imaging Corp* |
|
2,748 |
|
64,963 |
|
|
Vector Group Ltd |
|
8,486 |
|
95,128 |
|
|
Vericel Corp* |
|
2,991 |
|
123,259 |
|
|
Viad Corp* |
|
1,455 |
|
50,838 |
|
|
WD-40 Co |
|
885 |
|
187,523 |
|
|
WW International Inc* |
|
3,374 |
|
34,381 |
|
|
Xencor Inc* |
|
3,632 |
|
113,718 |
|
|
Total Consumer, Non-Cyclical |
|
11,448,964 |
|
||
|
|
|
|
|
|
|
|
Energy (6.39%) |
|
|
|
|
|
|
Archrock Inc |
|
8,479 |
|
70,800 |
|
|
Bristow Group Inc* |
|
1,489 |
|
49,345 |
|
|
Callon Petroleum Co*,# |
|
3,051 |
|
171,954 |
|
|
Civitas Resources Inc |
|
4,633 |
|
233,828 |
|
|
CONSOL Energy Inc* |
|
2,184 |
|
67,136 |
|
|
Core Laboratories NV |
|
2,961 |
|
81,605 |
|
|
DMC Global Inc* |
|
786 |
|
23,108 |
|
|
Dril-Quip Inc* |
|
2,345 |
|
67,630 |
|
|
FutureFuel Corp |
|
1,848 |
|
13,601 |
|
|
Green Plains Inc* |
|
3,445 |
|
112,789 |
|
|
Helix Energy Solutions Group Inc*,# |
|
9,162 |
|
37,106 |
|
|
Helmerich & Payne Inc |
|
6,975 |
|
252,704 |
|
|
Laredo Petroleum Inc* |
|
645 |
|
49,381 |
|
|
Matador Resources Co |
|
7,090 |
|
351,663 |
|
|
Nabors Industries Ltd* |
|
420 |
|
52,727 |
|
|
NOW Inc* |
|
5,519 |
|
51,547 |
|
|
Oceaneering International Inc* |
|
6,554 |
|
95,951 |
|
|
Oil States International Inc* |
|
4,333 |
|
22,662 |
|
|
Par Pacific Holdings Inc* |
|
2,639 |
|
35,890 |
|
|
Patterson-UTI Energy Inc |
|
12,535 |
|
180,880 |
|
|
PBF Energy Inc* |
|
6,616 |
|
109,958 |
|
|
PDC Energy Inc |
|
6,269 |
|
404,475 |
|
|
ProPetro Holding Corp* |
|
5,328 |
|
68,039 |
|
|
Range Resources Corp* |
|
14,947 |
|
343,033 |
|
|
Ranger Oil Corp* |
|
964 |
|
32,545 |
|
|
Renewable Energy Group Inc* |
|
3,231 |
|
198,707 |
|
|
REX American Resources Corp* |
|
401 |
|
37,878 |
|
|
RPC Inc* |
|
3,687 |
|
32,335 |
|
|
SM Energy Co(a) |
|
7,809 |
|
277,298 |
|
|
Southwestern Energy Co* |
|
65,248 |
|
325,587 |
|
|
SunCoke Energy Inc |
|
5,463 |
|
43,322 |
|
|
Talos Energy Inc* |
|
1,436 |
|
22,560 |
|
|
US Silica Holdings Inc* |
|
5,269 |
|
76,190 |
|
|
Warrior Met Coal Inc |
|
3,658 |
|
115,227 |
|
|
Total Energy |
|
|
|
4,109,461 |
|
|
|
|
|
|
|
|
|
Financial (27.17%) |
|
|
|
|
|
|
Banks (10.55%) |
|
|
|
|
|
|
Allegiance Bancshares Inc |
|
1,202 |
|
51,506 |
|
|
Ameris Bancorp |
|
4,211 |
|
208,445 |
|
|
BancFirst Corp |
|
1,006 |
|
78,599 |
|
|
The Bancorp Inc* |
|
3,287 |
|
96,309 |
|
|
BankUnited Inc |
|
5,511 |
|
243,586 |
|
|
Banner Corp |
|
2,195 |
|
135,234 |
|
|
Central Pacific Financial Corp |
|
2,032 |
|
59,314 |
|
|
City Holding Co |
|
1,050 |
|
83,654 |
|
|
Security Description |
|
Shares |
|
Value |
|
|
Innoviva Inc* |
|
4,184 |
|
$80,375 |
|
|
Inogen Inc* |
|
1,194 |
|
41,659 |
|
|
Integer Holdings Corp* |
|
2,197 |
|
184,262 |
|
|
Inter Parfums Inc |
|
1,165 |
|
108,205 |
|
|
iTeos Therapeutics Inc* |
|
1,290 |
|
46,608 |
|
|
John B Sanfilippo & Son Inc |
|
629 |
|
50,018 |
|
|
The Joint Corp* |
|
851 |
|
34,891 |
|
|
Kelly Services Inc |
|
2,377 |
|
50,440 |
|
|
Korn Ferry |
|
3,492 |
|
231,380 |
|
|
Lantheus Holdings Inc* |
|
4,413 |
|
211,030 |
|
|
LeMaitre Vascular Inc |
|
1,174 |
|
55,730 |
|
|
Ligand Pharmaceuticals Inc* |
|
1,059 |
|
107,192 |
|
|
Medifast Inc |
|
695 |
|
129,270 |
|
|
MEDNAX Inc* |
|
5,538 |
|
129,977 |
|
|
Meridian Bioscience Inc* |
|
2,867 |
|
72,535 |
|
|
Merit Medical Systems Inc* |
|
3,169 |
|
206,080 |
|
|
MGP Ingredients Inc |
|
853 |
|
67,907 |
|
|
ModivCare Inc* |
|
822 |
|
96,996 |
|
|
Monro Inc |
|
2,226 |
|
103,910 |
|
|
Myriad Genetics Inc* |
|
4,997 |
|
121,827 |
|
|
National Beverage Corp |
|
1,539 |
|
67,731 |
|
|
Natus Medical Inc* |
|
2,190 |
|
60,926 |
|
|
Nektar Therapeutics* |
|
11,864 |
|
121,487 |
|
|
NeoGenomics Inc* |
|
7,328 |
|
156,892 |
|
|
Omnicell Inc*,(a) |
|
2,762 |
|
357,070 |
|
|
OraSure Technologies Inc* |
|
4,421 |
|
34,484 |
|
|
Organogenesis Holdings Inc* |
|
3,226 |
|
24,001 |
|
|
Orthofix Medical Inc* |
|
1,364 |
|
46,349 |
|
|
Owens & Minor Inc |
|
4,502 |
|
198,763 |
|
|
Pacira BioSciences Inc* |
|
2,858 |
|
190,600 |
|
|
The Pennant Group Inc* |
|
1,684 |
|
27,365 |
|
|
Perdoceo Education Corp* |
|
4,611 |
|
48,277 |
|
|
Phibro Animal Health Corp |
|
1,453 |
|
30,949 |
|
|
Prestige Consumer Healthcare Inc* |
|
3,220 |
|
191,687 |
|
|
Quanex Building Products Corp |
|
2,375 |
|
54,293 |
|
|
RadNet Inc* |
|
2,988 |
|
73,714 |
|
|
REGENXBIO Inc* |
|
1,997 |
|
52,341 |
|
|
Rent-A-Center Inc |
|
3,850 |
|
109,379 |
|
|
Resources Connection Inc |
|
2,156 |
|
35,790 |
|
|
Select Medical Holdings Corp |
|
6,976 |
|
161,494 |
|
|
Seneca Foods Corp* |
|
442 |
|
21,990 |
|
|
The Simply Good Foods Co* |
|
5,356 |
|
212,258 |
|
|
SpartanNash Co |
|
2,603 |
|
73,248 |
|
|
Strategic Education Inc |
|
1,590 |
|
93,842 |
|
|
Supernus Pharmaceuticals Inc* |
|
3,522 |
|
112,528 |
|
|
Surmodics Inc* |
|
970 |
|
43,534 |
|
|
Tactile Systems Technology Inc* |
|
1,362 |
|
27,730 |
|
|
Tivity Health Inc* |
|
2,501 |
|
68,227 |
|
|
Tootsie Roll Industries Inc |
|
1,112 |
|
37,530 |
|
|
TreeHouse Foods Inc* |
|
3,542 |
|
139,024 |
|
|
TrueBlue Inc* |
|
2,412 |
|
65,606 |
|
|
uniQure NV* |
|
2,283 |
|
38,788 |
|
|
United Natural Foods Inc* |
|
3,630 |
|
146,035 |
|
|
Universal Corp |
|
1,631 |
|
88,253 |
|
|
US Physical Therapy Inc |
|
855 |
|
78,634 |
|
|
USANA Health Sciences Inc* |
|
735 |
|
64,687 |
|
|
Security Description |
|
Shares |
|
Value |
|
|
Adtalem Global Education Inc* |
|
3,189 |
|
$66,267 |
|
|
Alarm.com Holdings Inc* |
|
2,918 |
|
192,092 |
|
|
American Public Education Inc* |
|
1,102 |
|
21,996 |
|
|
AMN Healthcare Services Inc* |
|
3,051 |
|
323,832 |
|
|
Amphastar Pharmaceuticals Inc* |
|
2,454 |
|
68,000 |
|
|
The Andersons Inc |
|
2,041 |
|
93,070 |
|
|
AngioDynamics Inc* |
|
2,694 |
|
63,390 |
|
|
ANI Pharmaceuticals Inc* |
|
753 |
|
28,200 |
|
|
Anika Therapeutics Inc* |
|
1,022 |
|
33,215 |
|
|
Arlo Technologies Inc* |
|
5,260 |
|
48,813 |
|
|
Artivion Inc* |
|
2,686 |
|
52,511 |
|
|
Avanos Medical Inc* |
|
3,101 |
|
109,744 |
|
|
Avid Bioservices Inc* |
|
3,882 |
|
79,503 |
|
|
B&G Foods Inc# |
|
4,291 |
|
127,014 |
|
|
BioLife Solutions Inc* |
|
1,847 |
|
43,405 |
|
|
Calavo Growers Inc |
|
1,095 |
|
46,746 |
|
|
Cal-Maine Foods Inc |
|
2,229 |
|
98,678 |
|
|
Cara Therapeutics Inc* |
|
1,387 |
|
14,383 |
|
|
Cardiovascular Systems Inc* |
|
2,591 |
|
54,566 |
|
|
Celsius Holdings Inc* |
|
2,413 |
|
154,167 |
|
|
Central Garden & Pet Co* |
|
702 |
|
33,233 |
|
|
Central Garden & Pet Co - Class A* |
|
2,610 |
|
114,944 |
|
|
The Chefs’ Warehouse Inc* |
|
1,825 |
|
59,951 |
|
|
Coca-Cola Consolidated Inc |
|
308 |
|
153,054 |
|
|
Coherus Biosciences Inc* |
|
4,320 |
|
50,933 |
|
|
Collegium Pharmaceutical Inc* |
|
1,483 |
|
28,874 |
|
|
Community Health Systems Inc* |
|
7,521 |
|
79,046 |
|
|
CONMED Corp |
|
1,871 |
|
273,465 |
|
|
Corcept Therapeutics Inc* |
|
6,992 |
|
155,852 |
|
|
CoreCivic Inc* |
|
7,761 |
|
70,703 |
|
|
CorVel Corp* |
|
641 |
|
101,957 |
|
|
Covetrus Inc* |
|
6,600 |
|
116,952 |
|
|
Cross Country Healthcare Inc* |
|
2,325 |
|
51,917 |
|
|
Cutera Inc* |
|
1,019 |
|
39,089 |
|
|
Cytokinetics Inc*,# |
|
5,392 |
|
190,445 |
|
|
Deluxe Corp |
|
2,788 |
|
86,735 |
|
|
Eagle Pharmaceuticals Inc* |
|
724 |
|
34,310 |
|
|
Edgewell Personal Care Co |
|
3,507 |
|
125,130 |
|
|
elf Beauty Inc* |
|
2,547 |
|
67,317 |
|
|
Emergent BioSolutions Inc* |
|
3,037 |
|
125,671 |
|
|
Enanta Pharmaceuticals Inc* |
|
1,144 |
|
80,560 |
|
|
Endo International PLC* |
|
14,456 |
|
44,958 |
|
|
The Ensign Group Inc |
|
3,398 |
|
285,568 |
|
|
EVERTEC Inc |
|
3,795 |
|
153,166 |
|
|
Forrester Research Inc* |
|
760 |
|
39,467 |
|
|
Fresh Del Monte Produce Inc |
|
1,961 |
|
50,751 |
|
|
Fulgent Genetics Inc*,# |
|
1,246 |
|
77,626 |
|
|
Glaukos Corp* |
|
2,792 |
|
154,426 |
|
|
Green Dot Corp* |
|
3,393 |
|
97,209 |
|
|
Hanger Inc* |
|
2,674 |
|
48,453 |
|
|
Harmony Biosciences Holdings Inc* |
|
1,410 |
|
56,344 |
|
|
Heidrick & Struggles International Inc |
|
1,373 |
|
58,696 |
|
|
Heska Corp* |
|
688 |
|
97,696 |
|
18
|
S&P SmallCap Index FundPortfolio of Investments (Unaudited) (Continued) 2/28/22 |
See accompanying notes to financial statements.
|
Security Description |
|
Shares |
|
Value |
|
|
Global Net Lease Inc |
|
5,985 |
|
$85,047 |
|
|
Granite Point Mortgage Trust Inc |
|
3,929 |
|
44,083 |
|
|
Hersha Hospitality Trust* |
|
2,572 |
|
23,740 |
|
|
Independence Realty Trust Inc |
|
6,510 |
|
164,508 |
|
|
Industrial Logistics Properties Trust |
|
4,361 |
|
97,556 |
|
|
Innovative Industrial Properties Inc(a) |
|
1,475 |
|
277,979 |
|
|
Invesco Mortgage Capital Inc |
|
20,040 |
|
43,687 |
|
|
iStar Inc# |
|
4,883 |
|
122,661 |
|
|
KKR Real Estate Finance Trust Inc |
|
2,854 |
|
61,275 |
|
|
LTC Properties Inc |
|
2,624 |
|
88,770 |
|
|
LXP Industrial Trust(a) |
|
17,951 |
|
277,522 |
|
|
Marcus & Millichap Inc |
|
1,681 |
|
83,596 |
|
|
New York Mortgage Trust Inc |
|
24,542 |
|
86,142 |
|
|
NexPoint Residential Trust Inc |
|
1,473 |
|
125,161 |
|
|
Office Properties Income Trust |
|
3,225 |
|
80,786 |
|
|
Orion Office REIT Inc* |
|
3,501 |
|
59,622 |
|
|
PennyMac Mortgage Investment Trust |
|
6,332 |
|
98,779 |
|
|
RE/MAX Holdings Inc |
|
1,277 |
|
37,850 |
|
|
Ready Capital Corp |
|
2,655 |
|
39,427 |
|
|
Realogy Holdings Corp* |
|
7,684 |
|
139,695 |
|
|
Redwood Trust Inc |
|
7,449 |
|
77,395 |
|
|
Retail Opportunity Investments Corp |
|
7,888 |
|
143,246 |
|
|
RPT Realty |
|
5,757 |
|
74,553 |
|
|
Safehold Inc |
|
946 |
|
58,047 |
|
|
Saul Centers Inc |
|
843 |
|
38,803 |
|
|
Service Properties Trust |
|
10,635 |
|
91,780 |
|
|
SITE Centers Corp |
|
11,541 |
|
179,463 |
|
|
The St Joe Co |
|
2,077 |
|
112,220 |
|
|
Summit Hotel Properties Inc* |
|
6,976 |
|
68,993 |
|
|
Tanger Factory Outlet Centers Inc |
|
6,168 |
|
102,882 |
|
|
Two Harbors Investment Corp |
|
20,244 |
|
102,435 |
|
|
Uniti Group Inc |
|
15,491 |
|
200,918 |
|
|
Universal Health Realty Income Trust |
|
828 |
|
47,287 |
|
|
Urstadt Biddle Properties Inc |
|
2,141 |
|
40,315 |
|
|
Veris Residential Inc* |
|
5,085 |
|
85,937 |
|
|
Washington Real Estate Investment Trust |
|
5,482 |
|
128,060 |
|
|
Whitestone REIT |
|
2,910 |
|
34,280 |
|
|
Xenia Hotels & Resorts Inc* |
|
7,607 |
|
141,034 |
|
|
|
|
|
|
5,928,765 |
|
|
Savings&Loans (2.28%) |
|
|
|
|
|
|
Axos Financial Inc* |
|
3,322 |
|
181,846 |
|
|
Banc of California Inc |
|
3,213 |
|
63,135 |
|
|
Berkshire Hills Bancorp Inc |
|
3,076 |
|
95,664 |
|
|
Brookline Bancorp Inc |
|
5,218 |
|
89,437 |
|
|
Capitol Federal Financial Inc |
|
8,349 |
|
91,171 |
|
|
Investors Bancorp Inc |
|
14,560 |
|
243,734 |
|
|
Northfield Bancorp Inc |
|
3,099 |
|
48,654 |
|
|
Northwest Bancshares Inc |
|
8,469 |
|
119,244 |
|
|
Pacific Premier Bancorp Inc |
|
5,653 |
|
218,828 |
|
|
Provident Financial Services Inc |
|
4,301 |
|
102,063 |
|
|
Security Description |
|
Shares |
|
Value |
|
|
Virtus Investment Partners Inc |
|
481 |
|
$115,738 |
|
|
WisdomTree Investments Inc |
|
7,365 |
|
41,465 |
|
|
World Acceptance Corp* |
|
793 |
|
155,801 |
|
|
|
|
|
|
1,453,077 |
|
|
Insurance (2.86%) |
|
|
|
|
|
|
Ambac Financial Group Inc* |
|
3,262 |
|
41,851 |
|
|
American Equity Investment Life Holding Co |
|
5,232 |
|
197,194 |
|
|
AMERISAFE Inc |
|
1,293 |
|
60,900 |
|
|
Assured Guaranty Ltd |
|
4,636 |
|
287,292 |
|
|
eHealth Inc* |
|
1,677 |
|
26,061 |
|
|
Employers Holdings Inc |
|
1,968 |
|
76,476 |
|
|
Genworth Financial Inc* |
|
32,702 |
|
132,770 |
|
|
HCI Group Inc |
|
459 |
|
28,577 |
|
|
Horace Mann Educators Corp |
|
2,779 |
|
115,579 |
|
|
James River Group Holdings Ltd |
|
2,043 |
|
54,344 |
|
|
NMI Holdings Inc* |
|
5,506 |
|
127,409 |
|
|
Palomar Holdings Inc* |
|
1,266 |
|
81,568 |
|
|
ProAssurance Corp |
|
3,557 |
|
85,724 |
|
|
Safety Insurance Group Inc |
|
941 |
|
78,517 |
|
|
Selectquote Inc* |
|
7,890 |
|
24,538 |
|
|
SiriusPoint Ltd* |
|
5,736 |
|
42,389 |
|
|
Stewart Information Services Corp |
|
1,698 |
|
115,260 |
|
|
Trupanion Inc* |
|
2,205 |
|
197,634 |
|
|
United Fire Group Inc |
|
1,524 |
|
42,078 |
|
|
Universal Insurance Holdings Inc |
|
2,188 |
|
25,293 |
|
|
|
|
|
|
1,841,454 |
|
|
Real Estate (9.22%) |
|
|
|
|
|
|
Acadia Realty Trust |
|
5,770 |
|
123,709 |
|
|
Agree Realty Corp(a) |
|
4,485 |
|
287,712 |
|
|
Alexander & Baldwin Inc |
|
4,865 |
|
109,122 |
|
|
American Assets Trust Inc |
|
3,246 |
|
118,674 |
|
|
Apollo Commercial Real Estate Finance Inc |
|
8,591 |
|
112,113 |
|
|
Armada Hoffler Properties Inc |
|
3,969 |
|
58,265 |
|
|
ARMOUR Residential REIT Inc |
|
4,218 |
|
34,292 |
|
|
Brandywine Realty Trust |
|
11,409 |
|
152,082 |
|
|
CareTrust REIT Inc |
|
6,403 |
|
112,053 |
|
|
Centerspace |
|
832 |
|
78,200 |
|
|
Chatham Lodging Trust* |
|
3,361 |
|
46,214 |
|
|
Community Healthcare Trust Inc |
|
1,456 |
|
60,715 |
|
|
DiamondRock Hospitality Co* |
|
13,438 |
|
128,333 |
|
|
Diversified Healthcare Trust |
|
15,727 |
|
45,294 |
|
|
Douglas Elliman Inc* |
|
4,243 |
|
31,992 |
|
|
Easterly Government Properties Inc# |
|
5,311 |
|
110,575 |
|
|
Ellington Financial Inc |
|
3,507 |
|
61,969 |
|
|
Essential Properties Realty Trust Inc |
|
7,581 |
|
191,648 |
|
|
Four Corners Property Trust Inc |
|
4,936 |
|
130,212 |
|
|
Franklin BSP Realty Trust Inc |
|
2,227 |
|
29,396 |
|
|
Franklin Street Properties Corp |
|
6,376 |
|
36,853 |
|
|
The GEO Group Inc*,# |
|
6,097 |
|
36,338 |
|
|
Getty Realty Corp |
|
2,449 |
|
67,470 |
|
|
Security Description |
|
Shares |
|
Value |
|
|
Columbia Banking System Inc |
|
4,632 |
|
$169,670 |
|
|
Community Bank System Inc |
|
3,471 |
|
253,175 |
|
|
Customers Bancorp Inc* |
|
1,891 |
|
116,391 |
|
|
CVB Financial Corp |
|
8,520 |
|
200,902 |
|
|
Dime Community Bancshares Inc |
|
1,639 |
|
55,710 |
|
|
Eagle Bancorp Inc |
|
2,155 |
|
129,128 |
|
|
FB Financial Corp |
|
2,073 |
|
92,124 |
|
|
First BanCorp/Puerto Rico |
|
13,249 |
|
187,076 |
|
|
First Bancorp/Southern Pines NC |
|
2,219 |
|
99,589 |
|
|
First Commonwealth Financial Corp |
|
6,398 |
|
103,328 |
|
|
First Financial Bancorp |
|
6,297 |
|
154,780 |
|
|
First Hawaiian Inc |
|
7,746 |
|
225,176 |
|
|
Flagstar Bancorp Inc |
|
3,398 |
|
154,881 |
|
|
Hanmi Financial Corp |
|
2,228 |
|
58,195 |
|
|
Heritage Financial Corp |
|
2,370 |
|
62,141 |
|
|
Hilltop Holdings Inc |
|
3,970 |
|
122,752 |
|
|
HomeStreet Inc |
|
1,321 |
|
67,979 |
|
|
Hope Bancorp Inc |
|
8,287 |
|
140,548 |
|
|
Independent Bank Corp |
|
3,019 |
|
259,664 |
|
|
Independent Bank Group Inc |
|
2,447 |
|
188,786 |
|
|
Lakeland Financial Corp |
|
1,632 |
|
130,903 |
|
|
Meta Financial Group Inc |
|
2,085 |
|
115,488 |
|
|
National Bank Holdings Corp |
|
2,037 |
|
90,402 |
|
|
NBT Bancorp Inc |
|
2,917 |
|
111,925 |
|
|
OFG Bancorp |
|
3,389 |
|
95,502 |
|
|
Old National Bancorp |
|
19,082 |
|
348,816 |
|
|
Park National Corp |
|
928 |
|
124,408 |
|
|
Preferred Bank |
|
877 |
|
68,827 |
|
|
Renasant Corp |
|
3,777 |
|
137,898 |
|
|
S&T Bancorp Inc |
|
2,541 |
|
79,000 |
|
|
Seacoast Banking Corp of Florida |
|
3,573 |
|
130,950 |
|
|
ServisFirst Bancshares Inc(a) |
|
3,122 |
|
272,800 |
|
|
Simmons First National Corp |
|
6,990 |
|
199,355 |
|
|
Southside Bancshares Inc |
|
2,091 |
|
87,174 |
|
|
Tompkins Financial Corp |
|
798 |
|
63,122 |
|
|
TrustCo Bank Corp NY |
|
1,388 |
|
47,428 |
|
|
Trustmark Corp |
|
3,968 |
|
124,952 |
|
|
United Community Banks Inc |
|
6,727 |
|
260,066 |
|
|
Veritex Holdings Inc |
|
3,196 |
|
129,853 |
|
|
Walker & Dunlop Inc |
|
1,860 |
|
257,331 |
|
|
Westamerica BanCorp |
|
1,810 |
|
107,369 |
|
|
|
|
|
|
6,782,211 |
|
|
Diversified Financial Service (2.26%) |
|
||||
|
B Riley Financial Inc |
|
1,016 |
|
60,503 |
|
|
Blucora Inc* |
|
3,171 |
|
63,103 |
|
|
Brightsphere Investment Group Inc |
|
2,941 |
|
70,202 |
|
|
Encore Capital Group Inc* |
|
1,980 |
|
130,660 |
|
|
Enova International Inc* |
|
2,418 |
|
98,582 |
|
|
EZCORP Inc* |
|
4,257 |
|
25,499 |
|
|
Greenhill & Co Inc |
|
1,066 |
|
18,847 |
|
|
LendingTree Inc* |
|
727 |
|
87,974 |
|
|
Mr Cooper Group Inc* |
|
4,570 |
|
232,293 |
|
|
Piper Sandler Cos |
|
918 |
|
135,873 |
|
|
PRA Group Inc* |
|
3,048 |
|
136,032 |
|
|
StoneX Group Inc* |
|
1,067 |
|
80,505 |
|
19
|
S&P SmallCap Index FundPortfolio of Investments (Unaudited) (Continued) 2/28/22 |
See accompanying notes to financial statements.
|
Security Description |
|
Shares |
|
Value |
|
|
Insight Enterprises Inc* |
|
2,270 |
|
$236,080 |
|
|
Kulicke & Soffa Industries Inc |
|
4,014 |
|
209,691 |
|
|
LivePerson Inc* |
|
4,137 |
|
83,898 |
|
|
Loyalty Ventures Inc* |
|
1,264 |
|
30,336 |
|
|
ManTech International Corp |
|
1,815 |
|
151,317 |
|
|
MaxLinear Inc* |
|
4,450 |
|
273,008 |
|
|
NetScout Systems Inc* |
|
4,707 |
|
146,529 |
|
|
NextGen Healthcare Inc* |
|
3,468 |
|
67,730 |
|
|
OneSpan Inc* |
|
2,332 |
|
32,135 |
|
|
Onto Innovation Inc* |
|
3,158 |
|
272,251 |
|
|
PDF Solutions Inc* |
|
1,992 |
|
54,501 |
|
|
Photronics Inc* |
|
4,101 |
|
75,540 |
|
|
Pitney Bowes Inc |
|
9,991 |
|
49,755 |
|
|
Progress Software Corp |
|
2,859 |
|
126,025 |
|
|
Rambus Inc* |
|
7,226 |
|
195,102 |
|
|
Simulations Plus Inc |
|
871 |
|
34,309 |
|
|
SMART Global Holdings Inc* |
|
2,976 |
|
81,691 |
|
|
SPS Commerce Inc*,(a) |
|
2,276 |
|
295,538 |
|
|
Tabula Rasa HealthCare Inc* |
|
1,408 |
|
8,026 |
|
|
TTEC Holdings Inc |
|
1,178 |
|
93,651 |
|
|
Ultra Clean Holdings Inc* |
|
2,695 |
|
123,458 |
|
|
Unisys Corp* |
|
3,709 |
|
79,261 |
|
|
Veeco Instruments Inc* |
|
3,502 |
|
100,052 |
|
|
Xperi Holding Corp |
|
6,977 |
|
120,842 |
|
|
Total Technology |
|
|
|
4,942,961 |
|
|
|
|
|
|
|
|
|
Utilities (1.93%) |
|
|
|
|
|
|
American States Water Co |
|
2,386 |
|
200,806 |
|
|
Avista Corp |
|
4,542 |
|
202,709 |
|
|
California Water Service Group |
|
3,304 |
|
188,097 |
|
|
Chesapeake Utilities Corp |
|
1,162 |
|
154,488 |
|
|
Middlesex Water Co |
|
1,127 |
|
112,689 |
|
|
Northwest Natural Holding Co |
|
2,034 |
|
105,788 |
|
|
South Jersey Industries Inc |
|
6,618 |
|
224,549 |
|
|
Unitil Corp |
|
1,026 |
|
51,803 |
|
|
Total Utilities |
|
|
|
1,240,929 |
|
|
|
|
|
|
|
|
|
Total Common Stock (Cost $42,546,547) |
|
|
|
63,945,673 |
|
|
|
|
|
|
|
|
|
Right (0.00%) |
|
|
|
|
|
|
Lantheus Holdings Inc*,(b) |
|
6,190 |
|
— |
|
|
|
|
|
|
|
|
|
Collateral Received for Securities on Loan (1.98%) |
|
|
|
|
|
|
Mount Vernon Liquid |
|
|
|
1,277,388 |
|
|
|
|
|
|
|
|
|
Total Investments |
|
|
|
65,223,061 |
|
|
Liabilities in Excess of Other Assets (-1.39%) |
|
|
|
(895,454 |
) |
|
Net Assets (100.00%) |
|
|
|
$64,327,607 |
|
|
Security Description |
|
Shares |
|
Value |
|
|
Knowles Corp* |
|
6,051 |
|
$131,791 |
|
|
Lindsay Corp |
|
723 |
|
94,865 |
|
|
Marten Transport Ltd |
|
3,797 |
|
65,498 |
|
|
Materion Corp |
|
1,352 |
|
112,960 |
|
|
Matson Inc |
|
2,761 |
|
305,835 |
|
|
Matthews International Corp |
|
2,048 |
|
67,953 |
|
|
Mesa Laboratories Inc |
|
287 |
|
73,280 |
|
|
Moog Inc |
|
1,898 |
|
157,743 |
|
|
Mueller Industries Inc |
|
3,631 |
|
207,149 |
|
|
Myers Industries Inc |
|
2,544 |
|
42,281 |
|
|
MYR Group Inc* |
|
1,085 |
|
97,379 |
|
|
National Presto Industries Inc |
|
360 |
|
28,620 |
|
|
NV5 Global Inc* |
|
742 |
|
79,580 |
|
|
O-I Glass Inc* |
|
10,182 |
|
130,126 |
|
|
Olympic Steel Inc |
|
587 |
|
15,714 |
|
|
OSI Systems Inc* |
|
1,130 |
|
91,157 |
|
|
Park Aerospace Corp |
|
1,578 |
|
21,887 |
|
|
PGT Innovations Inc* |
|
3,924 |
|
84,405 |
|
|
Plexus Corp* |
|
1,863 |
|
151,779 |
|
|
Powell Industries Inc |
|
713 |
|
15,073 |
|
|
Proto Labs Inc* |
|
1,786 |
|
100,427 |
|
|
Sanmina Corp* |
|
4,330 |
|
172,247 |
|
|
SPX Corp* |
|
2,989 |
|
151,542 |
|
|
SPX FLOW Inc |
|
2,726 |
|
234,136 |
|
|
Standex International Corp |
|
817 |
|
86,545 |
|
|
Sturm Ruger & Co Inc |
|
1,189 |
|
86,095 |
|
|
Tennant Co |
|
1,234 |
|
97,215 |
|
|
TimkenSteel Corp* |
|
2,857 |
|
51,512 |
|
|
Tredegar Corp |
|
1,767 |
|
20,338 |
|
|
Triumph Group Inc* |
|
3,587 |
|
89,818 |
|
|
TTM Technologies Inc* |
|
6,638 |
|
83,440 |
|
|
UFP Industries Inc(a) |
|
3,958 |
|
339,398 |
|
|
US Ecology Inc* |
|
1,822 |
|
86,436 |
|
|
Total Industrial |
|
|
|
10,082,164 |
|
|
|
|
|
|
|
|
|
Technology (7.68%) |
|
|
|
|
|
|
3D Systems Corp* |
|
8,262 |
|
147,229 |
|
|
8x8 Inc* |
|
6,972 |
|
90,357 |
|
|
Agilysys Inc* |
|
1,424 |
|
59,851 |
|
|
Allscripts Healthcare Solutions Inc* |
|
7,943 |
|
154,571 |
|
|
Apollo Medical Holdings Inc* |
|
2,391 |
|
115,055 |
|
|
Bottomline Technologies DE Inc* |
|
2,588 |
|
146,584 |
|
|
CEVA Inc* |
|
1,480 |
|
60,340 |
|
|
Cohu Inc* |
|
2,793 |
|
87,086 |
|
|
Computer Programs and Systems Inc* |
|
894 |
|
27,517 |
|
|
Consensus Cloud Solutions Inc* |
|
1,021 |
|
56,829 |
|
|
CSG Systems International Inc |
|
2,212 |
|
136,525 |
|
|
Diebold Nixdorf Inc* |
|
5,500 |
|
47,850 |
|
|
Digi International Inc* |
|
2,028 |
|
40,722 |
|
|
Diodes Inc* |
|
2,808 |
|
251,569 |
|
|
Donnelley Financial Solutions Inc* |
|
1,960 |
|
62,916 |
|
|
Ebix Inc |
|
1,594 |
|
47,039 |
|
|
ExlService Holdings Inc* |
|
2,165 |
|
261,510 |
|
|
FormFactor Inc* |
|
5,154 |
|
208,685 |
|
|
Security Description |
|
Shares |
|
Value |
|
|
WSFS Financial Corp |
|
4,209 |
|
$213,943 |
|
|
|
|
|
|
1,467,719 |
|
|
|
|
|
|
|
|
|
Total Financial |
|
|
|
17,473,226 |
|
|
|
|
|
|
|
|
|
Industrial (15.67%) |
|
|
|
|
|
|
AAON Inc |
|
2,637 |
|
154,423 |
|
|
AAR Corp* |
|
2,190 |
|
98,419 |
|
|
Advanced Energy Industries Inc |
|
2,477 |
|
212,650 |
|
|
Aerojet Rocketdyne Holdings Inc* |
|
4,783 |
|
185,341 |
|
|
AeroVironment Inc* |
|
1,474 |
|
104,728 |
|
|
Alamo Group Inc |
|
650 |
|
90,422 |
|
|
Albany International Corp |
|
2,054 |
|
180,382 |
|
|
American Woodmark Corp* |
|
1,115 |
|
59,742 |
|
|
Apogee Enterprises Inc |
|
1,741 |
|
78,467 |
|
|
Applied Industrial Technologies Inc |
|
2,506 |
|
253,357 |
|
|
ArcBest Corp |
|
1,691 |
|
156,722 |
|
|
Arcosa Inc |
|
3,115 |
|
164,067 |
|
|
Astec Industries Inc |
|
1,504 |
|
74,899 |
|
|
AZZ Inc |
|
1,735 |
|
85,414 |
|
|
Badger Meter Inc |
|
1,884 |
|
187,288 |
|
|
Barnes Group Inc |
|
3,125 |
|
145,156 |
|
|
Benchmark Electronics Inc |
|
2,427 |
|
63,442 |
|
|
Boise Cascade Co |
|
2,535 |
|
202,648 |
|
|
Brady Corp |
|
3,226 |
|
148,654 |
|
|
Chart Industries Inc*,#,(a) |
|
2,263 |
|
326,776 |
|
|
CIRCOR International Inc* |
|
1,426 |
|
38,416 |
|
|
Comfort Systems USA Inc |
|
2,340 |
|
201,193 |
|
|
Comtech Telecommunications Corp |
|
1,747 |
|
35,953 |
|
|
CTS Corp |
|
2,147 |
|
81,457 |
|
|
Dorian LPG Ltd |
|
2,072 |
|
28,552 |
|
|
DXP Enterprises Inc* |
|
1,147 |
|
32,930 |
|
|
Encore Wire Corp |
|
1,373 |
|
159,845 |
|
|
Enerpac Tool Group Corp |
|
3,859 |
|
66,568 |
|
|
EnPro Industries Inc |
|
1,372 |
|
151,524 |
|
|
ESCO Technologies Inc |
|
1,684 |
|
117,156 |
|
|
Exponent Inc(a) |
|
3,308 |
|
313,465 |
|
|
Fabrinet* |
|
2,343 |
|
234,605 |
|
|
FARO Technologies Inc* |
|
1,177 |
|
64,429 |
|
|
Federal Signal Corp |
|
4,041 |
|
145,921 |
|
|
Forward Air Corp |
|
1,722 |
|
177,676 |
|
|
Franklin Electric Co Inc |
|
2,481 |
|
209,793 |
|
|
Gibraltar Industries Inc* |
|
2,180 |
|
105,338 |
|
|
Granite Construction Inc |
|
3,111 |
|
94,170 |
|
|
The Greenbrier Cos Inc |
|
2,166 |
|
96,235 |
|
|
Griffon Corp |
|
3,050 |
|
70,303 |
|
|
Harsco Corp* |
|
5,252 |
|
62,551 |
|
|
Haynes International Inc |
|
896 |
|
32,758 |
|
|
Heartland Express Inc |
|
3,348 |
|
48,077 |
|
|
Hillenbrand Inc |
|
4,641 |
|
221,422 |
|
|
Hub Group Inc* |
|
2,241 |
|
189,140 |
|
|
Ichor Holdings Ltd* |
|
1,611 |
|
56,756 |
|
|
Insteel Industries Inc |
|
1,310 |
|
48,614 |
|
|
Itron Inc* |
|
2,868 |
|
136,718 |
|
|
John Bean Technologies Corp |
|
2,052 |
|
232,635 |
|
|
Kaman Corp |
|
1,860 |
|
80,743 |
|
20
|
S&P SmallCap Index FundPortfolio of Investments (Unaudited) (Continued) 2/28/22 |
See accompanying notes to financial statements.
|
S&P SmallCap Index FundPortfolio of Investments (Unaudited) (Continued) 2/28/22 |
*Non-income producing security.
#Loaned security; a portion of this security is on loan at February 28, 2022. The aggregate amount of securities on loan at February 28, 2022 is $1,297,945.
(a)A portion of these securities, a total of $4,949,903, have been pledged or segregated 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.
|
Futures contracts at February 28, 2022: |
||||||
|
Contracts - $50 times premium / delivery month / commitment / exchange |
||||||
|
Russell 2000 MINI |
|
Notional Amount |
|
Value |
|
Unrealized |
|
3 / MAR 2022 / Long / CME |
|
$304,960 |
|
$306,675 |
|
$1,715 |
|
Shelton Equity Income FundPortfolio of Investments (Unaudited) 2/28/22 |
|
Security Description |
|
Shares |
|
Value |
|
Common Stock (85.94%) |
|
|
||
|
|
|
|
|
|
|
Basic Materials (1.90%) |
|
|
||
|
Dow Inc |
|
42,800 |
|
$2,523,488 |
|
Freeport-McMoRan Inc |
|
15,300 |
|
718,335 |
|
Linde PLC |
|
3,700 |
|
1,084,988 |
|
Newmont Corp |
|
10,000 |
|
662,000 |
|
Sensient Technologies Corp |
|
8,500 |
|
698,105 |
|
Total Basic Materials |
|
|
|
5,686,916 |
|
|
|
|
|
|
|
Communications (14.19%) |
|
|
||
|
Alphabet Inc - Class A* |
|
1,600 |
|
4,321,824 |
|
Alphabet Inc - Class C* |
|
1,600 |
|
4,316,512 |
|
Amazon.com Inc* |
|
2,000 |
|
6,142,520 |
|
AT&T Inc |
|
150,000 |
|
3,553,500 |
|
Booking Holdings Inc* |
|
1,200 |
|
2,606,700 |
|
Cisco Systems Inc |
|
69,500 |
|
3,876,015 |
|
Comcast Corp |
|
120,000 |
|
5,611,200 |
|
eBay Inc |
|
29,000 |
|
1,583,110 |
|
Meta Platforms Inc* |
|
9,000 |
|
1,899,270 |
|
Motorola Solutions Inc |
|
8,000 |
|
1,763,440 |
|
T-Mobile US Inc* |
|
15,600 |
|
1,922,076 |
|
Verizon Communications Inc |
|
54,300 |
|
2,914,281 |
|
The Walt Disney Co* |
|
13,300 |
|
1,974,518 |
|
Total Communications |
|
|
|
42,484,966 |
|
|
|
|
|
|
|
Consumer, Cyclical (9.57%) |
|
|
||
|
Amerityre Corp* |
|
20,000,000 |
|
840,000 |
|
Costco Wholesale Corp |
|
9,400 |
|
4,880,950 |
|
DR Horton Inc |
|
28,300 |
|
2,416,820 |
|
Ford Motor Co |
|
80,000 |
|
1,404,800 |
|
Hilton Worldwide Holdings Inc* |
|
14,000 |
|
2,084,040 |
|
LKQ Corp |
|
40,000 |
|
1,878,000 |
|
Lowe’s Cos Inc |
|
15,700 |
|
3,470,642 |
|
NIKE Inc |
|
17,600 |
|
2,403,280 |
|
Southwest Airlines Co* |
|
41,400 |
|
1,813,320 |
|
Starbucks Corp |
|
25,000 |
|
2,294,750 |
|
Target Corp |
|
12,000 |
|
2,397,240 |
|
The TJX Cos Inc |
|
42,000 |
|
2,776,200 |
|
Total Consumer, Cyclical |
|
28,660,042 |
||
|
|
|
|
|
|
|
Security Description |
|
Shares |
|
Value |
|
Consumer, Non-Cyclical (19.93%) |
|
|
||
|
Abbott Laboratories |
|
29,200 |
|
$3,522,104 |
|
AbbVie Inc |
|
16,400 |
|
2,423,428 |
|
AmerisourceBergen Corp |
|
36,000 |
|
5,131,080 |
|
Biogen Inc* |
|
4,800 |
|
1,012,848 |
|
Bristol-Myers Squibb Co |
|
69,800 |
|
4,793,166 |
|
The Coca-Cola Co |
|
82,200 |
|
5,116,128 |
|
Colgate-Palmolive Co |
|
7,400 |
|
569,430 |
|
Conagra Brands Inc |
|
70,000 |
|
2,447,900 |
|
Gilead Sciences Inc |
|
7,000 |
|
422,800 |
|
HCA Healthcare Inc |
|
8,000 |
|
2,002,480 |
|
Johnson & Johnson |
|
12,600 |
|
2,073,582 |
|
McKesson Corp |
|
19,300 |
|
5,306,728 |
|
Merck & Co Inc |
|
61,800 |
|
4,732,644 |
|
Organon & Co |
|
1,000 |
|
37,330 |
|
PayPal Holdings Inc* |
|
10,300 |
|
1,152,879 |
|
Pfizer Inc |
|
72,000 |
|
3,379,680 |
|
Sprouts Farmers Market Inc* |
|
110,000 |
|
3,132,800 |
|
The Estee Lauder Cos Inc |
|
6,400 |
|
1,896,512 |
|
The Procter & Gamble Co |
|
31,500 |
|
4,910,535 |
|
UnitedHealth Group Inc |
|
11,700 |
|
5,567,679 |
|
Total Consumer, Non-Cyclical |
|
59,631,733 |
||
|
|
|
|
|
|
|
Energy (3.89%) |
|
|
|
|
|
BP PLC |
|
25,200 |
|
736,092 |
|
Chevron Corp |
|
35,000 |
|
5,040,000 |
|
ConocoPhillips |
|
15,000 |
|
1,422,900 |
|
Exxon Mobil Corp |
|
40,000 |
|
3,136,800 |
|
Schlumberger NV |
|
20,000 |
|
784,800 |
|
Shell PLC |
|
10,000 |
|
523,900 |
|
Total Energy |
|
|
|
11,644,492 |
|
|
|
|
|
|
|
Financial (13.34%) |
|
|
|
|
|
Banks (5.75%) |
|
|
|
|
|
Bank of America Corp |
|
90,000 |
|
3,978,000 |
|
Citigroup Inc |
|
21,800 |
|
1,291,214 |
|
The Goldman Sachs Group Inc |
|
6,300 |
|
2,150,127 |
|
JPMorgan Chase & Co |
|
38,400 |
|
5,445,120 |
|
Morgan Stanley |
|
12,100 |
|
1,097,954 |
|
US Bancorp |
|
10,000 |
|
565,400 |
|
Wells Fargo & Co |
|
50,000 |
|
2,668,500 |
|
|
|
|
17,196,315 |
|
|
Security Description |
|
Shares |
|
Value |
|
Diversified Financial Service (2.56%) |
|
|
||
|
American Express Co |
|
13,400 |
|
$2,606,836 |
|
Discover Financial Services |
|
10,000 |
|
1,234,400 |
|
Visa Inc |
|
17,700 |
|
3,825,324 |
|
|
|
|
|
7,666,560 |
|
Insurance (1.52%) |
|
|
|
|
|
Berkshire Hathaway Inc* |
|
14,200 |
|
4,564,590 |
|
|
|
|
|
4,564,590 |
|
Real Estate (3.51%) |
|
|
|
|
|
American Tower Corp |
|
14,000 |
|
3,176,180 |
|
CBRE Group Inc* |
|
23,000 |
|
2,227,550 |
|
Public Storage |
|
14,400 |
|
5,112,288 |
|
|
|
|
|
10,516,018 |
|
|
|
|
|
|
|
Total Financial |
|
|
|
39,943,483 |
|
|
|
|
|
|
|
Industrial (6.90%) |
|
|
|
|
|
Atlas Corp |
|
25,000 |
|
360,750 |
|
Caterpillar Inc |
|
13,700 |
|
2,569,846 |
|
Deere & Co |
|
4,700 |
|
1,692,094 |
|
Lockheed Martin Corp |
|
5,300 |
|
2,299,140 |
|
Masco Corp |
|
24,000 |
|
1,344,960 |
|
Raytheon Technologies Corp |
|
43,700 |
|
4,487,990 |
|
The Boeing Co* |
|
14,200 |
|
2,915,828 |
|
Union Pacific Corp |
|
15,100 |
|
3,713,845 |
|
Westrock Co |
|
28,200 |
|
1,276,614 |
|
Total Industrial |
|
|
|
20,661,067 |
|
|
|
|
|
|
|
Technology (12.34%) |
|
|
|
|
|
Adobe Inc* |
|
8,700 |
|
4,068,816 |
|
Apple Inc |
|
41,800 |
|
6,902,016 |
|
Fiserv Inc* |
|
10,000 |
|
976,700 |
|
Intel Corp |
|
26,000 |
|
1,240,200 |
|
Microsoft Corp |
|
24,700 |
|
7,380,113 |
|
NetApp Inc |
|
47,700 |
|
3,738,726 |
|
NVIDIA Corp |
|
18,100 |
|
4,413,685 |
|
Oracle Corp |
|
27,000 |
|
2,051,190 |
|
salesforce.com Inc* |
|
12,200 |
|
2,568,466 |
|
Seagate Technology Holdings PLC |
|
7,000 |
|
722,120 |
|
Texas Instruments Inc |
|
17,000 |
|
2,889,830 |
|
Total Technology |
|
|
|
36,951,862 |
|
|
|
|
|
|
21
See accompanying notes to financial statements.
|
Security Description |
|
Shares |
|
Value |
|
Utilities (3.88%) |
|
|
|
|
|
American Water Works Co Inc |
|
11,300 |
|
$1,707,317 |
|
Dominion Energy Inc |
|
24,400 |
|
1,940,532 |
|
NextEra Energy Inc |
|
39,000 |
|
3,052,530 |
|
Public Service Enterprise Group Inc |
|
31,000 |
|
2,009,730 |
|
The Southern Co |
|
45,000 |
|
2,914,650 |
|
Total Utilities |
|
|
|
11,624,759 |
|
|
|
|
|
|
|
Shelton Equity Income FundPortfolio of Investments (Unaudited) (Continued) 2/28/22 |
|
Written Call Options |
|
Expiration Date |
|
Contracts |
|
Strike |
|
Notional Amount |
|
Value |
|
|
AbbVie Inc |
|
3/18/2022 |
|
(44 |
) |
$145.00 |
|
$638,000 |
|
$(21,340 |
) |
|
American Express Co |
|
3/18/2022 |
|
(25 |
) |
145.00 |
|
362,500 |
|
(5,050 |
) |
|
AmerisourceBergen Corp |
|
3/18/2022 |
|
(60 |
) |
190.00 |
|
1,140,000 |
|
(47,400 |
) |
|
Boeing Co/The |
|
3/18/2022 |
|
(42 |
) |
250.00 |
|
1,050,000 |
|
(882 |
) |
|
Booking Holdings Inc |
|
3/18/2022 |
|
(3 |
) |
2,800.00 |
|
840,000 |
|
(249 |
) |
|
Bristol-Myers Squibb Co |
|
3/18/2022 |
|
(95 |
) |
70.00 |
|
665,000 |
|
(6,745 |
) |
|
Citigroup Inc |
|
3/18/2022 |
|
(118 |
) |
67.50 |
|
796,500 |
|
(1,534 |
) |
|
Conagra Brands Inc |
|
3/18/2022 |
|
(50 |
) |
37.00 |
|
185,000 |
|
(650 |
) |
|
Dow Inc |
|
3/18/2022 |
|
(33 |
) |
155.00 |
|
511,500 |
|
(5,973 |
) |
|
Hilton Worldwide Holdings Inc |
|
3/18/2022 |
|
(128 |
) |
62.50 |
|
800,000 |
|
(5,632 |
) |
|
JPMorgan Chase & Co |
|
3/18/2022 |
|
(20 |
) |
160.00 |
|
320,000 |
|
(2,900 |
) |
|
Merck & Co Inc |
|
3/18/2022 |
|
(84 |
) |
160.00 |
|
1,344,000 |
|
(1,512 |
) |
|
NetApp Inc |
|
3/18/2022 |
|
(44 |
) |
50.00 |
|
220,000 |
|
(748 |
) |
|
Newmont Corp |
|
3/18/2022 |
|
(60 |
) |
82.50 |
|
495,000 |
|
(540 |
) |
|
Public Service Enterprise Group Inc |
|
3/18/2022 |
|
(40 |
) |
70.00 |
|
280,000 |
|
(2,640 |
) |
|
Raytheon Technologies Corp |
|
3/18/2022 |
|
(59 |
) |
95.00 |
|
560,500 |
|
(443 |
) |
|
Schlumberger NV |
|
3/18/2022 |
|
(90 |
) |
70.00 |
|
630,000 |
|
(900 |
) |
|
Southwest Airlines Co |
|
3/18/2022 |
|
(37 |
) |
100.00 |
|
370,000 |
|
(16,835 |
) |
|
Sprouts Farmers Market Inc |
|
3/18/2022 |
|
(200 |
) |
29.00 |
|
580,000 |
|
(16,000 |
) |
|
T-Mobile US Inc |
|
3/18/2022 |
|
(40 |
) |
45.00 |
|
180,000 |
|
(720 |
) |
|
The Walt Disney Co |
|
3/18/2022 |
|
(78 |
) |
120.00 |
|
936,000 |
|
(37,440 |
) |
|
Wells Fargo & Co |
|
3/18/2022 |
|
(100 |
) |
57.50 |
|
575,000 |
|
(3,900 |
) |
|
Westrock Co |
|
3/18/2022 |
|
(82 |
) |
50.00 |
|
410,000 |
|
(1,230 |
) |
|
Total Written Call Options |
|
|
|
|
|
|
|
$13,889,000 |
|
$(181,263 |
) |
|
Security Description |
|
Shares |
|
Value |
|
Total Common Stock (Cost $241,742,117) |
|
|
|
$257,289,320 |
|
|
|
|
|
|
|
Total Investments (Cost $241,742,117) (85.94%) |
|
|
|
257,289,320 |
|
Other Net Assets (14.06%) |
|
42,083,806 |
||
|
Net Assets (100.00%) |
|
|
|
$299,373,126 |
*Non-income producing security.
(a)A portion of these securities, a total of $248,578,008, have been pledged or segregated in connection with written options.
|
Security Description |
|
Shares |
|
Value |
|
|
Common Stock (99.07%) |
|
|
|
||
|
|
|
|
|
|
|
|
Communications (28.58%) |
|
|
|
||
|
Internet (23.03%) |
|
|
|
|
|
|
Airbnb Inc* |
|
29,784 |
|
$4,511,978 |
|
|
Alphabet Inc - Class A* |
|
15,769 |
|
42,594,277 |
|
|
Alphabet Inc - Class C* |
|
16,656 |
|
44,934,889 |
|
|
Amazon.com Inc*,(a) |
|
26,585 |
|
81,649,446 |
|
|
Baidu Inc* |
|
21,419 |
|
3,265,112 |
|
|
Booking Holdings Inc* |
|
3,571 |
|
7,757,105 |
|
|
eBay Inc |
|
54,202 |
|
2,958,887 |
|
|
JD.com Inc* |
|
65,820 |
|
4,714,687 |
|
|
Security Description |
|
Shares |
|
Value |
|
|
Match Group Inc* |
|
24,310 |
|
$2,710,322 |
|
|
MercadoLibre Inc* |
|
4,333 |
|
4,881,774 |
|
|
Meta Platforms Inc* |
|
185,744 |
|
39,197,556 |
|
|
Netflix Inc* |
|
38,524 |
|
15,198,488 |
|
|
Okta Inc* |
|
12,676 |
|
2,317,680 |
|
|
Palo Alto Networks Inc* |
|
8,473 |
|
5,035,080 |
|
|
Pinduoduo Inc* |
|
35,703 |
|
1,851,558 |
|
|
VeriSign Inc* |
|
9,260 |
|
1,979,047 |
|
|
|
|
|
|
265,557,886 |
|
|
Media (2.61%) |
|
|
|
|
|
|
Charter Communications Inc* |
|
15,593 |
|
9,383,556 |
|
|
Comcast Corp |
|
396,547 |
|
18,542,538 |
|
|
Security Description |
|
Shares |
|
Value |
|
|
Sirius XM Holdings Inc# |
|
344,861 |
|
$2,124,344 |
|
|
|
|
|
|
30,050,438 |
|
|
Telecommunications (2.94%) |
|
|
|
|
|
|
Cisco Systems Inc |
|
366,814 |
|
20,457,217 |
|
|
T-Mobile US Inc* |
|
108,632 |
|
13,384,549 |
|
|
|
|
|
|
33,841,766 |
|
|
|
|
|
|
|
|
|
Total Communications |
|
|
|
329,450,090 |
|
|
|
|
|
|
|
|
|
Consumer, Cyclical (9.45%) |
|
|
|
||
|
Copart Inc* |
|
20,628 |
|
2,534,769 |
|
|
Costco Wholesale Corp |
|
38,426 |
|
19,952,701 |
|
|
Nasdaq 100 Index FundPortfolio of Investments (Unaudited) 2/28/22 |
22
|
Nasdaq 100 Index FundPortfolio of Investments (Unaudited) (Continued) 2/28/22 |
See accompanying notes to financial statements.
|
Security Description |
|
Shares |
|
Value |
|
|
Dollar Tree Inc* |
|
19,086 |
|
$2,711,739 |
|
|
Fastenal Co |
|
50,023 |
|
2,574,184 |
|
|
Lucid Group Inc*,# |
|
141,385 |
|
4,097,337 |
|
|
Lululemon Athletica Inc* |
|
10,837 |
|
3,467,190 |
|
|
Marriott International Inc* |
|
27,968 |
|
4,758,476 |
|
|
O’Reilly Automotive Inc* |
|
5,879 |
|
3,816,882 |
|
|
PACCAR Inc |
|
30,194 |
|
2,772,111 |
|
|
Peloton Interactive Inc* |
|
26,191 |
|
761,110 |
|
|
Ross Stores Inc |
|
30,906 |
|
2,824,499 |
|
|
Starbucks Corp |
|
102,035 |
|
9,365,793 |
|
|
Tesla Inc* |
|
52,645 |
|
45,823,786 |
|
|
Walgreens Boots Alliance Inc |
|
75,284 |
|
3,469,840 |
|
|
Total Consumer, Cyclical |
|
108,930,417 |
|
||
|
|
|
|
|
|
|
|
Consumer, Non-Cyclical (11.09%) |
|
||||
|
Align Technology Inc* |
|
6,858 |
|
3,507,593 |
|
|
Amgen Inc |
|
48,988 |
|
11,094,802 |
|
|
Automatic Data Processing Inc |
|
36,648 |
|
7,492,317 |
|
|
Biogen Inc* |
|
12,488 |
|
2,635,093 |
|
|
Cintas Corp |
|
8,993 |
|
3,375,253 |
|
|
Dexcom Inc* |
|
8,323 |
|
3,444,973 |
|
|
Gilead Sciences Inc |
|
107,722 |
|
6,506,409 |
|
|
IDEXX Laboratories Inc* |
|
7,374 |
|
3,925,549 |
|
|
Illumina Inc* |
|
13,593 |
|
4,439,474 |
|
|
Intuitive Surgical Inc* |
|
31,069 |
|
9,020,263 |
|
|
Keurig Dr Pepper Inc |
|
121,770 |
|
4,708,846 |
|
|
The Kraft Heinz Co |
|
106,457 |
|
4,175,244 |
|
|
Moderna Inc* |
|
34,818 |
|
5,348,045 |
|
|
Mondelez International Inc |
|
121,323 |
|
7,944,230 |
|
|
Monster Beverage Corp* |
|
45,440 |
|
3,835,136 |
|
|
PayPal Holdings Inc* |
|
102,186 |
|
11,437,679 |
|
|
PepsiCo Inc |
|
120,252 |
|
19,690,062 |
|
|
Regeneron Pharmaceuticals Inc* |
|
9,078 |
|
5,613,472 |
|
|
Seagen Inc* |
|
15,903 |
|
2,049,420 |
|
|
Verisk Analytics Inc |
|
14,016 |
|
2,485,597 |
|
|
Vertex Pharmaceuticals Inc* |
|
22,112 |
|
5,086,202 |
|
|
Total Consumer, Non-Cyclical |
|
127,815,659 |
|
||
|
|
|
|
|
|
|
|
Industrial (1.55%) |
|
|
|
|
|
|
CSX Corp |
|
192,902 |
|
6,541,307 |
|
|
Honeywell International Inc |
|
59,873 |
|
11,360,902 |
|
|
Total Industrial |
|
|
|
17,902,209 |
|
|
|
|
|
|
|
|
|
Security Description |
|
Shares |
|
Value |
|
|
Technology (47.36%) |
|
|
|
|
|
|
Computers (13.63%) |
|
|
|
|
|
|
Apple Inc(a) |
|
860,059 |
|
$142,012,941 |
|
|
Cognizant Technology Solutions Corp |
|
45,682 |
|
3,934,591 |
|
|
Crowdstrike Holdings Inc* |
|
17,676 |
|
3,450,532 |
|
|
Fortinet Inc* |
|
14,040 |
|
4,837,061 |
|
|
Zscaler Inc* |
|
12,027 |
|
2,876,257 |
|
|
|
|
|
|
157,111,382 |
|
|
Semiconductors (16.32%) |
|
|
|
|
|
|
Advanced Micro Devices Inc* |
|
142,181 |
|
17,536,612 |
|
|
Analog Devices Inc |
|
46,739 |
|
7,491,794 |
|
|
Applied Materials Inc |
|
78,529 |
|
10,538,592 |
|
|
ASML Holding NV |
|
7,050 |
|
4,698,896 |
|
|
Broadcom Inc |
|
35,799 |
|
21,029,765 |
|
|
Intel Corp |
|
353,715 |
|
16,872,206 |
|
|
KLA Corp |
|
13,186 |
|
4,595,321 |
|
|
Lam Research Corp |
|
12,245 |
|
6,873,731 |
|
|
Marvell Technology Inc |
|
70,731 |
|
4,833,049 |
|
|
Microchip Technology Inc |
|
47,650 |
|
3,351,225 |
|
|
Micron Technology Inc |
|
97,289 |
|
8,645,101 |
|
|
NVIDIA Corp |
|
184,437 |
|
44,974,961 |
|
|
NXP Semiconductors NV |
|
22,837 |
|
4,341,770 |
|
|
QUALCOMM Inc |
|
97,408 |
|
16,753,202 |
|
|
Skyworks Solutions Inc |
|
14,384 |
|
1,987,437 |
|
|
Texas Instruments Inc |
|
80,321 |
|
13,653,767 |
|
|
|
|
|
|
188,177,429 |
|
|
Software (17.41%) |
|
|
|
|
|
|
Activision Blizzard Inc |
|
66,888 |
|
5,451,372 |
|
|
Adobe Inc* |
|
41,381 |
|
19,353,066 |
|
|
ANSYS Inc* |
|
7,588 |
|
2,459,954 |
|
|
Atlassian Corp PLC* |
|
12,058 |
|
3,686,372 |
|
|
Autodesk Inc* |
|
18,880 |
|
4,157,942 |
|
|
Cadence Design Systems Inc* |
|
24,103 |
|
3,649,917 |
|
|
Datadog Inc*,# |
|
22,087 |
|
3,558,437 |
|
|
DocuSign Inc* |
|
17,109 |
|
2,026,219 |
|
|
Electronic Arts Inc |
|
24,596 |
|
3,199,694 |
|
|
Fiserv Inc* |
|
56,698 |
|
5,537,694 |
|
|
Intuit Inc |
|
24,627 |
|
11,682,310 |
|
|
Microsoft Corp(a) |
|
393,584 |
|
117,598,962 |
|
|
NetEase Inc |
|
25,083 |
|
2,391,413 |
|
|
Paychex Inc |
|
31,361 |
|
3,733,841 |
|
|
Splunk Inc* |
|
13,549 |
|
1,600,137 |
|
|
Synopsys Inc* |
|
13,096 |
|
4,091,059 |
|
|
Security Description |
|
Shares |
|
Value |
|
|
Workday Inc* |
|
16,574 |
|
$3,796,275 |
|
|
Zoom Video Communications Inc* |
|
21,068 |
|
2,793,617 |
|
|
|
|
|
|
200,768,281 |
|
|
|
|
|
|
|
|
|
Total Technology |
|
|
|
546,057,092 |
|
|
|
|
|
|
|
|
|
Utilities (1.04%) |
|
|
|
|
|
|
American Electric Power Co Inc |
|
43,252 |
|
3,920,794 |
|
|
Constellation Energy Corp |
|
28,005 |
|
1,287,670 |
|
|
Exelon Corp |
|
84,015 |
|
3,575,678 |
|
|
Xcel Energy Inc |
|
46,849 |
|
3,154,343 |
|
|
Total Utilities |
|
|
|
11,938,485 |
|
|
|
|
|
|
|
|
|
Total Common Stock (Cost $482,795,434) |
|
|
|
1,142,093,952 |
|
|
|
|
|
|
|
|
|
Collateral Received for Securities on Loan (0.66%) |
|
|
|
||
|
Mount Vernon Liquid |
|
|
|
7,615,725 |
|
|
|
|
|
|
|
|
|
Total Investments (Cost $490,411,159) (99.73%) |
|
|
|
1,149,709,677 |
|
|
Other Net Assets (0.27%) |
|
3,134,636 |
|
||
|
Net Assets (100.00%) |
|
|
|
$1,152,844,313 |
|
*Non-income producing security.
#Loaned security; a portion of this security is on loan at February 28, 2022. The aggregate amount of securities on loan at February 28, 2022 is $7,738,658.
(a)A portion of these securities, a total of $152,634,324, have been pledged or segregated in connection with obligations for futures contracts.
|
Futures contracts at February 28, 2022: |
|
||||||
|
Contracts - $20 times premium / delivery month / commitment / exchange |
|
||||||
|
Nasdaq 100 E-MINI |
|
Notional Amount |
|
Value |
|
Unrealized Depreciation |
|
|
39 / MAR 2022 / Long / CME |
|
$11,363,680 |
|
$11,097,840 |
|
$(265,840 |
) |
|
Nasdaq 100 Index FundPortfolio of Investments (Unaudited) (Continued) 2/28/22 |
|
Security Description |
|
Shares |
|
Value |
|
Common Stock (95.91%) |
|
|
||
|
|
|
|
|
|
|
Basic Materials (1.51%) |
|
|
||
|
Daqo New Energy Corp* |
|
90,000 |
|
$4,316,400 |
|
|
|
|
|
|
|
Security Description |
|
Shares |
|
Value |
|
Communications (3.56%) |
|
|
||
|
SK Telecom Co Ltd |
|
42,910 |
|
$1,075,754 |
|
Switch Inc |
|
350,000 |
|
9,107,000 |
|
Total Communications |
|
|
|
10,182,754 |
|
|
|
|
|
|
|
Security Description |
|
Shares |
|
Value |
|
Consumer, Cyclical (6.09%) |
|
|
||
|
Interface Inc |
|
99,000 |
|
$1,291,950 |
|
QuantumScape Corp* |
|
78,000 |
|
1,258,920 |
|
Steelcase Inc |
|
150,000 |
|
1,825,500 |
|
Tesla Inc* |
|
15,000 |
|
13,056,450 |
|
Total Consumer, Cyclical |
|
17,432,820 |
||
|
|
|
|
|
|
|
Shelton Green Alpha FundPortfolio of Investments (Unaudited) 2/28/22 |
23
|
Shelton Green Alpha FundPortfolio of Investments (Unaudited) (Continued) 2/28/22 |
See accompanying notes to financial statements.
|
Security Description |
|
Shares |
|
Value |
|
Consumer, Non-Cyclical (15.71%) |
|
|
||
|
Block Inc* |
|
19,000 |
|
$2,422,500 |
|
Caribou Biosciences Inc* |
|
182,000 |
|
1,816,360 |
|
CRISPR Therapeutics AG* |
|
150,000 |
|
9,205,500 |
|
Danone SA |
|
110,000 |
|
1,335,400 |
|
Editas Medicine Inc* |
|
145,000 |
|
2,482,400 |
|
Illumina Inc* |
|
6,900 |
|
2,253,540 |
|
Intellia Therapeutics Inc* |
|
68,300 |
|
6,751,455 |
|
Invitae Corp* |
|
143,000 |
|
1,542,970 |
|
Moderna Inc* |
|
57,000 |
|
8,755,200 |
|
Natural Grocers by Vitamin Cottage Inc |
|
285,000 |
|
4,836,450 |
|
Personalis Inc* |
|
43,924 |
|
461,202 |
|
Pluristem Therapeutics Inc* |
|
128,532 |
|
231,358 |
|
Sprouts Farmers Market Inc* |
|
100,000 |
|
2,848,000 |
|
Total Consumer, Non-Cyclical |
|
44,942,335 |
||
|
|
|
|
|
|
|
Energy (20.54%) |
|
|
|
|
|
Azure Power Global Ltd* |
|
52,498 |
|
868,842 |
|
Canadian Solar Inc* |
|
200,000 |
|
6,332,000 |
|
Enphase Energy Inc* |
|
29,000 |
|
4,834,300 |
|
First Solar Inc* |
|
62,000 |
|
4,667,980 |
|
JinkoSolar Holding Co Ltd* |
|
299,000 |
|
15,132,389 |
|
Maxeon Solar Technologies Ltd* |
|
200,000 |
|
2,168,000 |
|
SolarEdge Technologies Inc* |
|
8,500 |
|
2,715,070 |
|
SunPower Corp* |
|
331,000 |
|
5,934,830 |
|
Sunrun Inc* |
|
30,000 |
|
818,400 |
|
Security Description |
|
Shares |
|
Value |
|
TPI Composites Inc* |
|
152,814 |
|
$2,066,045 |
|
Vestas Wind Systems A/S |
|
1,220,000 |
|
13,224,800 |
|
Total Energy |
|
|
|
58,762,656 |
|
|
|
|
|
|
|
Financial (16.05%) |
|
|
|
|
|
Alexandria Real Estate Equities Inc |
|
31,000 |
|
5,871,400 |
|
Digital Realty Trust Inc |
|
30,000 |
|
4,047,600 |
|
Equinix Inc |
|
5,900 |
|
4,187,407 |
|
Hannon Armstrong Sustainable Infrastructure Capital Inc |
|
158,000 |
|
7,479,720 |
|
Horizon Technology Finance Corp |
|
378,000 |
|
5,881,680 |
|
Hudson Pacific Properties Inc |
|
307,000 |
|
8,104,800 |
|
Kilroy Realty Corp |
|
72,000 |
|
5,156,640 |
|
Vornado Realty Trust |
|
120,000 |
|
5,193,600 |
|
Total Financial |
|
|
|
45,922,847 |
|
|
|
|
|
|
|
Industrial (2.44%) |
|
|
|
|
|
ABB Ltd |
|
110,000 |
|
3,704,800 |
|
Advanced Energy Industries Inc |
|
19,000 |
|
1,631,150 |
|
Trex Co Inc* |
|
18,000 |
|
1,653,120 |
|
Total Industrial |
|
|
|
6,989,070 |
|
|
|
|
|
|
|
Technology (25.50%) |
|
|
|
|
|
Analog Devices Inc |
|
12,000 |
|
1,923,480 |
|
Security Description |
|
Shares |
|
Value |
|
Apple Inc |
|
18,000 |
|
$2,972,160 |
|
Applied Materials Inc |
|
80,000 |
|
10,736,000 |
|
ASML Holding NV |
|
9,400 |
|
6,265,194 |
|
Fortinet Inc* |
|
10,500 |
|
3,617,460 |
|
Infineon Technologies AG |
|
165,000 |
|
5,552,250 |
|
International Business Machines Corp |
|
68,000 |
|
8,330,680 |
|
Lam Research Corp |
|
15,000 |
|
8,420,250 |
|
QUALCOMM Inc |
|
51,000 |
|
8,771,490 |
|
Rapid7 Inc* |
|
19,000 |
|
1,965,740 |
|
Taiwan Semiconductor Manufacturing Co Ltd |
|
111,000 |
|
11,878,110 |
|
Wolfspeed Inc* |
|
24,000 |
|
2,465,280 |
|
Total Technology |
|
|
|
72,898,094 |
|
|
|
|
|
|
|
Utilities (4.51%) |
|
|
|
|
|
Brookfield Renewable Corp |
|
345,000 |
|
12,892,650 |
|
|
|
|
|
|
|
Total Common Stock (Cost $230,794,527) |
|
|
|
274,339,626 |
|
|
|
|
|
|
|
Total Investments (Cost $230,794,527) (95.91%) |
|
|
|
274,339,626 |
|
Other Net Assets (4.09%) |
|
|
|
11,703,832 |
|
Net Assets (100.00%) |
|
|
|
$286,043,458 |
*Non-income producing security.
24
See accompanying notes to financial statements.
|
|
|
Green |
|
U.S. |
|
The |
|
S&P 500 |
|
S&P |
|
|
Assets |
|
|
|
|
|
|
|
|
|
|
|
|
Investments in securities |
|
|
|
|
|
|
|
|
|
|
|
|
Cost of investments |
|
$49,590,304 |
|
$17,748,520 |
|
$32,690,675 |
|
$71,252,006 |
|
$80,626,370 |
|
|
Market value of investments (Note 1) |
|
51,669,079 |
|
17,912,103 |
|
32,690,675 |
|
235,780,164 |
(a) |
123,490,697 |
(b) |
|
Cash |
|
441,928 |
|
126,156 |
|
477,417 |
|
73,338 |
|
276,587 |
|
|
Cash held at broker |
|
— |
|
— |
|
— |
|
118,037 |
|
110,400 |
|
|
Interest receivable |
|
403,576 |
|
53,948 |
|
— |
|
— |
|
— |
|
|
Dividend receivable |
|
— |
|
— |
|
— |
|
310,939 |
|
90,795 |
|
|
Variation margin receivable |
|
— |
|
— |
|
— |
|
— |
|
— |
|
|
Receivable from investment advisor |
|
— |
|
6,593 |
|
5,427 |
|
— |
|
— |
|
|
Receivable for fund shares sold |
|
66,985 |
|
23,610 |
|
8,713 |
|
30,229 |
|
9,009 |
|
|
Receivable for investment securities sold |
|
— |
|
— |
|
— |
|
— |
|
— |
|
|
Securities lending income receivable |
|
— |
|
— |
|
— |
|
16 |
|
143 |
|
|
Prepaid expenses |
|
907 |
|
6,006 |
|
7,554 |
|
4,541 |
|
2,576 |
|
|
Total assets |
|
$52,582,475 |
|
$18,128,416 |
|
$33,189,786 |
|
$236,317,264 |
|
$123,980,207 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
Written options, at value |
|
— |
|
— |
|
— |
|
— |
|
— |
|
|
Variation margin payable |
|
— |
|
— |
|
— |
|
5,965 |
|
3,130 |
|
|
Collateral for securities loaned |
|
— |
|
— |
|
— |
|
118,540 |
|
806,364 |
|
|
Payable to investment advisor |
|
20,179 |
|
8,295 |
|
— |
|
45,966 |
|
37,567 |
|
|
Payable for fund shares purchased |
|
7,157 |
|
187 |
|
3,769 |
|
64,948 |
|
7,214 |
|
|
Distributions payable |
|
80,443 |
|
16,868 |
|
— |
|
— |
|
— |
|
|
Accrued 12b-1 fees |
|
— |
|
251 |
|
— |
|
587 |
|
178 |
|
|
Accrued shareholder service fees |
|
— |
|
— |
|
— |
|
167 |
|
33 |
|
|
Accrued administration fees |
|
2,955 |
|
1,013 |
|
1,995 |
|
13,461 |
|
6,876 |
|
|
Accrued CCO fees |
|
3,733 |
|
— |
|
— |
|
5,740 |
|
2,310 |
|
|
Accrued custody fees |
|
2,265 |
|
838 |
|
1,281 |
|
7,537 |
|
5,245 |
|
|
Accrued fund accounting fees |
|
13,211 |
|
5,763 |
|
5,535 |
|
27,987 |
|
18,955 |
|
|
Accrued printing fees |
|
4,076 |
|
3,450 |
|
621 |
|
4,225 |
|
5,135 |
|
|
Accrued state registration fees |
|
10,397 |
|
21,409 |
|
7,286 |
|
12,727 |
|
17,601 |
|
|
Accrued transfer agent fees |
|
2,836 |
|
2,108 |
|
— |
|
6,772 |
|
9,377 |
|
|
Accrued trustee fees |
|
536 |
|
311 |
|
350 |
|
518 |
|
580 |
|
|
Accrued expenses |
|
839 |
|
— |
|
— |
|
32,993 |
|
16,848 |
|
|
Total liabilities |
|
148,627 |
|
60,493 |
|
20,837 |
|
348,133 |
|
937,413 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets |
|
$52,433,848 |
|
$18,067,923 |
|
$33,168,949 |
|
$235,969,131 |
|
$123,042,794 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets at February 28, 2022 consist of |
|
|
|
|
|
|
|
|
|
|
|
|
Paid-in capital |
|
$50,464,156 |
|
$17,985,956 |
|
$33,170,596 |
|
$67,668,938 |
|
$74,647,761 |
|
|
Distributable earnings/(loss) |
|
1,969,692 |
|
81,967 |
|
(1,647 |
) |
168,300,193 |
|
48,395,033 |
|
|
Total net assets |
|
$52,433,848 |
|
$18,067,923 |
|
$33,168,949 |
|
$235,969,131 |
|
$123,042,794 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets |
|
|
|
|
|
|
|
|
|
|
|
|
Direct Shares |
|
$52,433,848 |
|
$16,825,387 |
|
$33,168,949 |
|
$233,083,310 |
|
$122,161,263 |
|
|
K Shares |
|
|
|
$1,242,536 |
|
|
|
$2,885,821 |
|
$881,531 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares outstanding |
|
|
|
|
|
|
|
|
|
|
|
|
Direct Shares (no par value, unlimited shares authorized) |
|
4,682,233 |
|
1,645,479 |
|
33,177,291 |
|
3,377,105 |
|
4,540,235 |
|
|
K Shares (no par value, unlimited shares authorized) |
|
|
|
121,283 |
|
|
|
41,943 |
|
34,136 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value per share |
|
|
|
|
|
|
|
|
|
|
|
|
Direct Shares |
|
$11.20 |
|
$10.23 |
|
$1.00 |
|
$69.02 |
|
$26.91 |
|
|
K Shares |
|
|
|
$10.24 |
|
|
|
$68.80 |
|
$25.82 |
|
(a)Includes securities on loan of $114,018.37.
(b)Includes securities on loan of $814,732.93.
See accompanying notes to financial statements.
25
|
Statement of Assets & Liabilities |
|
|
|
S&P |
|
Shelton |
|
Nasdaq-100 |
|
|
Shelton |
|
Assets |
|
|
|
|
|
|
|
|
|
|
Investments in securities |
|
|
|
|
|
|
|
|
|
|
Cost of investments |
|
$43,823,935 |
|
$241,742,117 |
|
$490,411,159 |
|
|
$230,794,527 |
|
Market value of investments (Note 1) |
|
65,223,061 |
(a) |
257,289,320 |
|
1,149,709,677 |
(b) |
|
274,339,626 |
|
Cash |
|
345,396 |
|
40,133,633 |
|
7,683,172 |
|
|
11,354,133 |
|
Cash held at broker |
|
101,715 |
|
116,359 |
|
1,813,629 |
|
|
— |
|
Dividend receivable |
|
30,932 |
|
390,087 |
|
783,094 |
|
|
393,609 |
|
Variation margin receivable |
|
5,387 |
|
— |
|
300,496 |
|
|
— |
|
Receivable from investment advisor |
|
— |
|
— |
|
201,214 |
|
|
— |
|
Receivable for fund shares sold |
|
6,294 |
|
1,307,156 |
|
1,276,394 |
|
|
420,416 |
|
Receivable for investment securities sold |
|
— |
|
531,991 |
|
— |
|
|
— |
|
Securities lending income receivable |
|
184 |
|
— |
|
15,885 |
|
|
— |
|
Prepaid expenses |
|
1,314 |
|
38,698 |
|
101,432 |
|
|
45,152 |
|
Total assets |
|
$65,714,283 |
|
$299,807,244 |
|
$1,161,884,993 |
|
|
$286,552,936 |
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities |
|
|
|
|
|
|
|
|
|
|
Written options, at value (proceeds $353,677) |
|
— |
|
181,263 |
|
— |
|
|
— |
|
Variation margin payable |
|
— |
|
— |
|
— |
|
|
— |
|
Collateral for securities loaned |
|
1,277,388 |
|
— |
|
7,615,725 |
|
|
— |
|
Payable to investment advisor |
|
24,387 |
|
110,929 |
|
521,346 |
|
|
212,242 |
|
Payable for fund shares purchased |
|
7,891 |
|
30,996 |
|
720,437 |
|
|
248,310 |
|
Distributions payable |
|
— |
|
126 |
|
— |
|
|
2,475 |
|
Accrued 12b-1 fees |
|
529 |
|
214 |
|
6,611 |
|
|
— |
|
Accrued shareholder service fees |
|
— |
|
— |
|
5,880 |
|
|
— |
|
Accrued administration fees |
|
3,571 |
|
16,245 |
|
65,853 |
|
|
15,539 |
|
Accrued CCO fees |
|
2,052 |
|
2,419 |
|
— |
|
|
— |
|
Accrued custody fees |
|
1,920 |
|
5,586 |
|
24,001 |
|
|
3,240 |
|
Accrued fund accounting fees |
|
19,802 |
|
19,579 |
|
77,828 |
|
|
19,360 |
|
Accrued printing fees |
|
5,310 |
|
— |
|
— |
|
|
— |
|
Accrued state registration fees |
|
18,509 |
|
— |
|
— |
|
|
— |
|
Accrued transfer agent fees |
|
3,839 |
|
53,112 |
|
2,665 |
|
|
— |
|
Accrued trustee fees |
|
549 |
|
590 |
|
334 |
|
|
644 |
|
Accrued expenses |
|
20,929 |
|
13,059 |
|
— |
|
|
7,668 |
|
Total liabilities |
|
1,386,676 |
|
434,118 |
|
9,040,680 |
|
|
509,478 |
|
|
|
|
|
|
|
|
|
|
|
|
Net assets |
|
$64,327,607 |
|
$299,373,126 |
|
$1,152,844,313 |
|
|
$286,043,458 |
|
|
|
|
|
|
|
|
|
|
|
|
Net assets at February 28, 2022 consist of |
|
|
|
|
|
|
|
|
|
|
Paid-in capital |
|
$40,823,727 |
|
$279,334,063 |
|
$468,580,088 |
|
|
$259,243,026 |
|
Distributable earnings/(loss) |
|
23,503,880 |
|
20,039,063 |
|
684,264,225 |
|
|
26,800,432 |
|
Total net assets |
|
$64,327,607 |
|
$299,373,126 |
|
$1,152,844,313 |
|
|
$286,043,458 |
|
|
|
|
|
|
|
|
|
|
|
|
Net assets |
|
|
|
|
|
|
|
|
|
|
Direct Shares |
|
$61,601,488 |
|
$298,300,102 |
|
$1,119,203,901 |
|
|
$286,043,458 |
|
K Shares |
|
$2,726,119 |
|
$1,073,024 |
|
$33,640,412 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares outstanding |
|
|
|
|
|
|
|
|
|
|
Direct Shares (no par value, unlimited shares authorized) |
|
2,503,055 |
|
17,034,151 |
|
35,362,743 |
|
|
7,628,624 |
|
K Shares (no par value, unlimited shares authorized) |
|
114,967 |
|
63,590 |
|
1,104,462 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value per share |
|
|
|
|
|
|
|
|
|
|
Direct Shares |
|
$24.61 |
|
$17.51 |
|
$31.65 |
|
|
$37.50 |
|
K Shares |
|
$23.71 |
|
$16.87 |
|
$30.46 |
|
|
|
(a)Includes securities on loan of $1,297,945.45.
(b)Includes securities on loan of $7,738,657.72.
26
See accompanying notes to financial statements.
|
|
|
Green |
|
U.S. |
|
The |
|
S&P 500 |
|
S&P |
|
|
Investment income |
|
|
|
|
|
|
|
|
|
|
|
|
Interest income |
|
$705,763 |
|
$172,796 |
|
$11,154 |
|
$— |
|
$— |
|
|
Dividend income (net of foreign tax witheld: $-. $-. $-, $601, |
|
— |
|
— |
|
— |
|
1,714,253 |
|
971,719 |
|
|
Other Income |
|
— |
|
— |
|
— |
|
— |
|
— |
|
|
Securities Lending Income |
|
— |
|
— |
|
— |
|
87 |
|
879 |
|
|
Total |
|
705,763 |
|
172,796 |
|
11,154 |
|
1,714,340 |
|
972,598 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expenses |
|
|
|
|
|
|
|
|
|
|
|
|
Management fees (Note 2) |
|
136,967 |
|
47,712 |
|
92,025 |
|
307,030 |
|
256,485 |
|
|
Administration fees (Note 2) |
|
19,903 |
|
6,933 |
|
13,409 |
|
89,220 |
|
46,582 |
|
|
Transfer agent fees |
|
6,439 |
|
6,329 |
|
4,427 |
|
12,455 |
|
8,045 |
|
|
Accounting services |
|
12,504 |
|
9,721 |
|
10,325 |
|
24,137 |
|
17,168 |
|
|
Custodian fees |
|
736 |
|
680 |
|
1,383 |
|
5,571 |
|
4,709 |
|
|
Broker Fees |
|
— |
|
— |
|
— |
|
— |
|
— |
|
|
Legal and audit fees |
|
6,459 |
|
6,184 |
|
6,607 |
|
9,054 |
|
7,695 |
|
|
CCO fees (Note 2) |
|
1,695 |
|
752 |
|
1,417 |
|
8,313 |
|
4,295 |
|
|
Trustees fees |
|
2,039 |
|
2,111 |
|
2,147 |
|
2,082 |
|
2,093 |
|
|
Insurance |
|
826 |
|
311 |
|
589 |
|
3,612 |
|
1,826 |
|
|
Printing |
|
6,091 |
|
6,369 |
|
4,576 |
|
5,131 |
|
4,879 |
|
|
Registration and dues |
|
3,932 |
|
9,984 |
|
5,031 |
|
15,845 |
|
12,422 |
|
|
12b-1 fees Class K (Note 2) |
|
— |
|
1,691 |
|
— |
|
4,578 |
|
1,507 |
|
|
Shareholder service fees Class K (Note 2) |
|
— |
|
1,691 |
|
— |
|
4,578 |
|
1,507 |
|
|
Licensing fee |
|
— |
|
— |
|
— |
|
14,854 |
|
10,156 |
|
|
Total expenses |
|
197,591 |
|
100,468 |
|
141,936 |
|
506,460 |
|
379,369 |
|
|
Less class specific expenses waived |
|
— |
|
— |
|
— |
|
— |
|
— |
|
|
Less reimbursement from manager (Note 2) |
|
— |
|
(25,768 |
) |
(130,782 |
) |
— |
|
— |
|
|
Net expenses |
|
197,591 |
|
74,700 |
|
11,153 |
|
506,460 |
|
379,369 |
|
|
Net investment income |
|
508,172 |
|
98,096 |
|
— |
|
1,207,880 |
|
593,229 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Realized and unrealized gain/(loss) on investments |
|
|
|
|
|
|
|
|
|
|
|
|
Net realized gain/(loss) from security transactions and foreign currency |
|
121,151 |
|
2,699 |
|
34 |
|
3,651,430 |
|
7,262,326 |
|
|
Net realized gain/(loss) from futures contracts |
|
— |
|
— |
|
— |
|
(37,060) |
|
63,239 |
|
|
Net realized gain/(loss) from written options contracts |
|
— |
|
— |
|
— |
|
— |
|
— |
|
|
Change in unrealized appreciation/(depreciation) of investments |
|
(2,244,329 |
) |
(663,161 |
) |
— |
|
(11,510,798 |
) |
(11,550,857 |
) |
|
Change in unrealized appreciation/(depreciation) of written options contracts |
|
— |
|
— |
|
— |
|
— |
|
— |
|
|
Change in unrealized appreciation/(depreciation) of futures |
|
— |
|
— |
|
— |
|
(3,488 |
) |
(12,450 |
) |
|
Net realized and unrealized gain/(loss) on investments |
|
(2,123,178 |
) |
(660,462 |
) |
34 |
|
(7,899,916 |
) |
(4,237,742 |
) |
|
Net increase/(decrease) in net assets resulting from operations |
|
$(1,615,006 |
) |
$(562,366 |
) |
$34 |
|
$(6,692,036 |
) |
$(3,644,513 |
) |
See accompanying notes to financial statements.
27
|
Statement of Operations |
|
|
|
S&P |
|
Shelton |
|
Nasdaq-100 |
|
Shelton |
|
|
Investment income |
|
|
|
|
|
|
|
|
|
|
Interest income |
|
$— |
|
$(2,078) |
|
$— |
|
$— |
|
|
Dividend income (net of foreign tax witheld: $690, $2,546, |
|
569,756 |
|
1,772,926 |
|
4,177,520 |
|
4,592,074 |
|
|
Other Income |
|
— |
|
— |
|
— |
|
— |
|
|
Securities Lending Income |
|
3,208 |
|
— |
|
56,736 |
|
— |
|
|
Total |
|
572,964 |
|
1,770,848 |
|
4,234,256 |
|
4,592,074 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Expenses |
|
|
|
|
|
|
|
|
|
|
Management fees (Note 2) |
|
167,856 |
|
623,595 |
|
2,818,605 |
|
1,643,247 |
|
|
Administration fees (Note 2) |
|
24,388 |
|
90,633 |
|
444,322 |
|
119,345 |
|
|
Transfer agent fees |
|
6,521 |
|
62,600 |
|
58,710 |
|
15,289 |
|
|
Accounting services |
|
17,493 |
|
20,967 |
|
77,150 |
|
23,598 |
|
|
Custodian fees |
|
4,913 |
|
4,684 |
|
25,119 |
|
6,528 |
|
|
Broker Fees |
|
— |
|
84 |
|
— |
|
— |
|
|
Legal and audit fees |
|
6,400 |
|
9,936 |
|
34,114 |
|
12,329 |
|
|
CCO fees (Note 2) |
|
2,156 |
|
9,018 |
|
46,350 |
|
11,784 |
|
|
Trustees fees |
|
2,124 |
|
2,133 |
|
2,157 |
|
1,940 |
|
|
Insurance |
|
866 |
|
3,601 |
|
18,540 |
|
4,149 |
|
|
Printing |
|
5,566 |
|
4,092 |
|
15,055 |
|
6,994 |
|
|
Registration and dues |
|
10,546 |
|
20,531 |
|
23,901 |
|
22,373 |
|
|
12b-1 fees Class K (Note 2) |
|
4,139 |
|
1,619 |
|
46,930 |
|
— |
|
|
Shareholder service fees Class K (Note 2) |
|
4,139 |
|
1,619 |
|
46,930 |
|
— |
|
|
Licensing fee |
|
11,217 |
|
— |
|
120,561 |
|
— |
|
|
Total expenses |
|
268,324 |
|
855,112 |
|
3,778,444 |
|
1,867,576 |
|
|
Less class specific expenses waived |
|
— |
|
— |
|
— |
|
— |
|
|
Less reimbursement from manager (Note 2) |
|
— |
|
— |
|
(642,163 |
) |
— |
|
|
Net expenses |
|
268,324 |
|
855,112 |
|
3,136,281 |
|
1,867,576 |
|
|
Net investment income |
|
304,640 |
|
915,736 |
|
1,097,975 |
|
2,724,498 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Realized and unrealized gain/(loss) on investments |
|
|
|
|
|
|
|
|
|
|
Net realized gain/(loss) from security transactions and foreign currency |
|
2,606,529 |
|
9,667,110 |
|
26,780,937 |
|
(16,612,377 |
) |
|
Net realized gain/(loss) from futures contracts |
|
(1,025 |
) |
— |
|
(152,922 |
) |
— |
|
|
Net realized gain/(loss) from written options contracts |
|
— |
|
1,595,621 |
|
— |
|
— |
|
|
Change in unrealized appreciation/(depreciation) of investments |
|
(4,845,112 |
) |
(18,857,884 |
) |
(134,625,053 |
) |
(60,550,976 |
) |
|
Change in unrealized appreciation/(depreciation) of written options contracts |
|
— |
|
68,060 |
|
— |
|
— |
|
|
Change in unrealized appreciation/(depreciation) of futures |
|
(3,940 |
) |
— |
|
(517,375 |
) |
— |
|
|
Net realized and unrealized gain/(loss) on investments |
|
(2,243,548 |
) |
(7,527,093 |
) |
(108,514,413 |
) |
(77,163,353 |
) |
|
Net increase/(decrease) in net assets resulting from operations |
|
$(1,938,908 |
) |
$(6,611,357 |
) |
$(107,416,438) |
|
$(74,438,855 |
) |
28
See accompanying notes to financial statements.
|
|
|
Green California Tax-Free Income Fund |
|
U.S. Government |
|
The United States |
|||||||
|
|
|
Six Months Ended February 28, 2022 |
|
Year |
|
Six Months Ended February 28, 2022 |
|
Year |
|
Six Months Ended February 28, 2022 |
|
Year |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Operations |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income/(loss) |
|
$508,172 |
|
$1,077,893 |
|
$98,096 |
|
$225,902 |
|
$0 |
|
$— |
|
|
Net realized gain/(loss) from security transactions and foreign currency |
|
121,151 |
|
(7,800 |
) |
2,699 |
|
(27,968 |
) |
34 |
|
99 |
|
|
Net realized gain/(loss) from futures contracts |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
|
Net realized gain/(loss) from written options contracts |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
|
Change in unrealized appreciation/(depreciation) of investments |
|
(2,244,329 |
) |
(508,332 |
) |
(663,161 |
) |
(702,215 |
) |
— |
|
— |
|
|
Change in unrealized appreciation/(depreciation) of written options contracts |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
|
Change in unrealized appreciation/(depreciation) of futures |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
|
Net increase/(decrease) in net assets resulting from operations |
|
(1,615,006 |
) |
561,761 |
|
(562,366 |
) |
(504,281 |
) |
34 |
|
99 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Distributions to shareholders |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Distributions |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Direct shares |
|
(523,020 |
) |
(1,113,278 |
) |
(102,595 |
) |
(212,316 |
) |
— |
|
— |
|
|
K shares |
|
— |
|
— |
|
(4,502 |
) |
(9,672 |
) |
— |
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Capital share transactions |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Increase/(decrease) in net assets resulting from capital share transactions |
|
(2,329,962 |
) |
(3,903,210 |
) |
(1,492,784 |
) |
(2,748,931 |
) |
(4,106,924 |
) |
359,160 |
|
|
Total increase/(decrease) |
|
(4,467,988 |
) |
(4,454,727 |
) |
(2,162,247 |
) |
(3,475,200 |
) |
(4,106,890 |
) |
359,259 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Beginning of year |
|
$56,901,836 |
|
$61,356,563 |
|
$20,230,170 |
|
$23,705,370 |
|
$37,275,839 |
|
$36,916,580 |
|
|
End of year |
|
$52,433,848 |
|
$56,901,836 |
|
$18,067,923 |
|
$20,230,170 |
|
$33,168,949 |
|
$37,275,839 |
|
See accompanying notes to financial statements.
29
|
Statements of Changes in Net Assets |
|
|
|
S&P 500 Index Fund |
|
S&P MidCap Index Fund |
|
S&P SmallCap Index Fund |
|||||||
|
|
|
Six Months Ended February 28, 2022 |
|
Year |
|
Six Months Ended February 28, 2022 |
|
Year |
|
Six Months Ended February 28, 2022 |
|
Year |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Operations |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income/(loss) |
|
$1,207,880 |
|
$2,339,010 |
|
$593,229 |
|
$1,181,328 |
|
$304,640 |
|
$351,192 |
|
|
Net realized gain/(loss) from security transactions and foreign currency |
|
3,651,430 |
|
12,090,164 |
|
7,262,326 |
|
11,058,274 |
|
2,606,529 |
|
6,278,368 |
|
|
Net realized gain/(loss) from futures contracts |
|
(37,060 |
) |
239,328 |
|
63,239 |
|
257,356 |
|
(1,025 |
) |
145,088 |
|
|
Net realized gain/(loss) from written options contracts |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
|
Change in unrealized appreciation/(depreciation) of investments |
|
(11,510,798 |
) |
43,881,882 |
|
(11,550,857 |
) |
29,519,269 |
|
(4,845,112 |
) |
17,942,160 |
|
|
Change in unrealized appreciation/(depreciation) of written options contracts |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
|
Change in unrealized appreciation/(depreciation) of futures |
|
(3,488 |
) |
675 |
|
(12,450 |
) |
(4,090 |
) |
(3,940 |
) |
5,955 |
|
|
Net increase/(decrease) in net assets resulting from operations |
|
(6,692,036 |
) |
58,551,059 |
|
(3,644,513 |
) |
42,012,138 |
|
(1,938,908 |
) |
24,722,763 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Distributions to shareholders |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Distributions |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Direct shares |
|
(12,177,713 |
) |
(16,261,973 |
) |
(11,594,303 |
) |
(9,209,366 |
) |
(5,642,912 |
) |
(2,389,079 |
) |
|
K shares |
|
(178,967 |
) |
(247,914 |
) |
(109,755 |
) |
(96,641 |
) |
(296,868 |
) |
(110,067 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Capital share transactions |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Increase/(decrease) in net assets resulting from capital share transactions |
|
7,538,693 |
|
6,220,011 |
|
4,925,650 |
|
1,204,724 |
|
4,175,600 |
|
(3,446,948 |
) |
|
Total increase/(decrease) |
|
(11,510,023 |
) |
48,261,183 |
|
(10,422,921 |
) |
33,910,855 |
|
(3,703,088 |
) |
18,776,669 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Beginning of year |
|
$247,479,154 |
|
$199,217,971 |
|
$133,465,715 |
|
$99,554,860 |
|
$68,030,695 |
|
$49,254,026 |
|
|
End of year |
|
$235,969,131 |
|
$247,479,154 |
|
$123,042,794 |
|
$133,465,715 |
|
$64,327,607 |
|
$68,030,695 |
|
30
See accompanying notes to financial statements.
|
Statements of Changes in Net Assets |
|
|
|
Shelton Equity |
|
Nasdaq-100 |
|
Shelton Green |
|||||||
|
|
|
Six Months |
|
Year |
|
Six Months |
|
Year |
|
Six Months |
|
Year |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Operations |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income/(loss) |
|
$915,736 |
|
$1,826,988 |
|
$1,097,975 |
|
$2,297,692 |
|
$2,724,498 |
|
$(784,405 |
) |
|
Net realized gain/(loss) from security transactions and foreign currency |
|
9,667,110 |
|
20,952,907 |
|
26,780,937 |
|
28,527,403 |
|
(16,612,377 |
) |
13,723,761 |
|
|
Net realized gain/(loss) from futures contracts |
|
— |
|
— |
|
(152,922 |
) |
4,933,218 |
|
— |
|
— |
|
|
Net realized gain/(loss) from written options contracts |
|
1,595,621 |
|
3,533,808 |
|
— |
|
— |
|
— |
|
— |
|
|
Change in unrealized appreciation/(depreciation) of investments |
|
(18,857,884 |
) |
21,613,026 |
|
(134,625,053 |
) |
238,590,585 |
|
(60,550,976 |
) |
61,988,914 |
|
|
Change in unrealized appreciation/(depreciation) of written options contracts |
|
68,060 |
|
862,250 |
|
— |
|
— |
|
— |
|
— |
|
|
Change in unrealized appreciation/(depreciation) of futures |
|
— |
|
— |
|
(517,375 |
) |
(2,230,480 |
) |
— |
|
— |
|
|
Net increase/(decrease) in net assets resulting from operations |
|
(6,611,357 |
) |
48,788,979 |
|
(107,416,438 |
) |
272,118,418 |
|
(74,438,855 |
) |
74,928,270 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Distributions to shareholders |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Distributions |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Direct shares |
|
(17,743,754 |
) |
(37,688,727 |
) |
(30,822,577 |
) |
(11,939,334 |
) |
(15,166,306 |
) |
(1,627,679 |
) |
|
K shares |
|
(100,738 |
) |
(311,732 |
) |
(996,505 |
) |
(356,386 |
) |
— |
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Capital share transactions |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Increase/(decrease) in net assets resulting from capital share transactions |
|
96,025,478 |
|
65,595,167 |
|
65,384,248 |
|
46,645,486 |
|
32,107,018 |
|
178,633,704 |
|
|
Total increase/(decrease) |
|
71,569,629 |
|
76,383,687 |
|
(73,851,272 |
) |
306,468,184 |
|
(57,498,143 |
) |
251,934,296 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Beginning of year |
|
$227,803,497 |
|
$151,419,810 |
|
$1,226,695,585 |
|
$920,227,401 |
|
$343,541,601 |
|
$91,607,305 |
|
|
End of year |
|
$299,373,126 |
|
$227,803,497 |
|
$1,152,844,313 |
|
$1,226,695,585 |
|
$286,043,458 |
|
$343,541,601 |
|
See accompanying notes to financial statements.
31
|
Statements of Changes in Net Assets |
|
Green California Tax-Free Income Fund |
|
|
|
|
|
|
|
Direct Shares |
|
|||||||
|
|
|
|
|
|
|
|
|
|
Six Months Ended |
|
Year Ended |
|
||||
|
|
|
|
|
|
|
|
|
|
Shares |
|
Value |
|
Shares |
|
Value |
|
|
Shares sold |
|
|
|
|
|
|
|
|
54,570 |
|
$629,418 |
|
224,330 |
|
$2,638,125 |
|
|
Shares issued in reinvestment of distributions |
|
|
|
|
|
|
|
36,499 |
|
417,335 |
|
75,527 |
|
882,679 |
|
|
|
Shares repurchased |
|
|
|
|
|
|
|
|
(293,912 |
) |
(3,376,715 |
) |
(633,962 |
) |
(7,424,014 |
) |
|
Net increase/(decrease) |
|
|
|
|
|
|
|
|
(202,843 |
) |
$(2,329,962 |
) |
(334,105 |
) |
$(3,903,210 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 |
96,769 |
|
$1,004,510 |
|
221,155 |
|
$2,375,410 |
|
30,625 |
|
$318,158 |
|
48,585 |
|
$527,892 |
|
|
Shares issued in reinvestment of distributions |
9,564 |
|
99,291 |
|
19,176 |
|
205,040 |
|
433 |
|
4,502 |
|
902 |
|
9,672 |
|
|
Shares repurchased |
(241,057 |
) |
(2,503,136 |
) |
(473,981 |
) |
(5,101,816 |
) |
(40,298 |
) |
(416,109 |
) |
(71,433 |
) |
(765,129 |
) |
|
Net increase/(decrease) |
(134,724 |
) |
$(1,399,335 |
) |
(233,650 |
) |
$(2,521,366 |
) |
(9,240 |
) |
$(93,449 |
) |
(21,946 |
) |
$(227,565 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
US Treasury Trust Fund |
|
|
|
|
|
|
|
|
Direct Shares |
|
||||||
|
|
|
|
|
|
|
|
|
|
Six Months Ended |
|
Year Ended |
|
||||
|
|
|
|
|
|
|
|
|
|
Shares/Value |
|
Shares/Value |
|
||||
|
Shares sold |
|
|
|
|
|
|
|
|
$17,945,154 |
|
$29,917,415 |
|
||||
|
Shares issued in reinvestment of distributions |
|
|
|
|
|
|
|
— |
|
— |
|
|||||
|
Shares repurchased |
|
|
|
|
|
|
|
|
(22,052,078) |
|
(29,558,255) |
|
||||
|
Net increase/(decrease) |
|
|
|
|
|
|
|
|
$(4,106,924) |
|
$359,160 |
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 |
128,702 |
|
$9,398,420 |
|
278,423 |
|
$17,953,823 |
|
939 |
|
$68,116 |
|
6,907 |
|
$448,791 |
|
|
Shares issued in reinvestment of distributions |
141,928 |
|
10,237,935 |
|
219,356 |
|
13,267,106 |
|
2,489 |
|
178,875 |
|
4,125 |
|
247,775 |
|
|
Shares repurchased |
(155,692 |
) |
(11,345,945 |
) |
(389,412 |
) |
(25,146,813 |
) |
(13,862 |
) |
(998,707 |
) |
(8,390 |
) |
(550,671 |
) |
|
Net increase/(decrease) |
114,938 |
|
$8,290,410 |
|
108,367 |
|
$6,074,116 |
|
(10,434 |
) |
$(751,717 |
) |
2,642 |
|
$145,895 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 |
54,586 |
|
$1,571,874 |
|
196,007 |
|
$5,390,219 |
|
1,092 |
|
$30,235 |
|
7,210 |
|
$179,191 |
|
|
Shares issued in reinvestment |
403,668 |
|
11,107,269 |
|
361,383 |
|
8,756,535 |
|
4,157 |
|
109,676 |
|
4,157 |
|
96,516 |
|
|
Shares repurchased |
(257,561 |
) |
(7,435,349 |
) |
(486,413 |
) |
(12,868,533 |
) |
(16,726 |
) |
(458,055 |
) |
(13,245 |
) |
(349,204 |
) |
|
Net increase/(decrease) |
200,693 |
|
$5,243,794 |
|
70,977 |
|
$1,278,221 |
|
(11,477 |
) |
$(318,144 |
) |
(1,878 |
) |
$(73,497 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
32
See accompanying notes to financial statements.
|
Statements of Changes in Net Assets |
|
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 |
88,416 |
|
$2,321,329 |
|
164,822 |
|
$4,011,563 |
|
1,794 |
|
$45,410 |
|
14,916 |
|
$347,286 |
|
|
Shares issued in reinvestment |
213,267 |
|
5,395,260 |
|
108,188 |
|
2,298,648 |
|
12,197 |
|
296,868 |
|
5,408 |
|
110,067 |
|
|
Shares repurchased |
(119,205 |
) |
(3,079,412 |
) |
(419,087 |
) |
(9,932,361 |
) |
(31,975 |
) |
(803,855 |
) |
(12,477 |
) |
(282,151 |
) |
|
Net increase/(decrease) |
182,478 |
|
$4,637,177 |
|
(146,077 |
) |
$(3,622,150 |
) |
(17,984 |
) |
$(461,577 |
) |
7,847 |
|
$175,202 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Shelton Equity Income 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 |
5,236,291 |
|
$95,146,385 |
|
2,903,504 |
|
$53,322,694 |
|
1,226 |
|
$21,863 |
|
5,573 |
|
$97,092 |
|
|
Shares issued in reinvestment of distributions |
896,048 |
|
16,287,904 |
|
2,086,577 |
|
35,806,151 |
|
5,739 |
|
100,739 |
|
18,782 |
|
311,732 |
|
|
Shares repurchased |
(825,797 |
) |
(15,219,444 |
) |
(1,295,296 |
) |
(23,488,008 |
) |
(17,807 |
) |
(311,970 |
) |
(25,791 |
) |
(454,494 |
) |
|
Net increase/(decrease) |
5,306,542 |
|
$96,214,845 |
|
3,694,785 |
|
$65,640,837 |
|
(10,842 |
) |
$(189,368 |
) |
(1,436 |
) |
$(45,670 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 |
4,479,256 |
|
$154,122,546 |
|
8,638,021 |
|
$254,632,638 |
|
41,800 |
|
$1,418,311 |
|
291,079 |
|
$8,382,408 |
|
|
Shares issued in reinvestment of distributions |
811,511 |
|
29,071,482 |
|
398,667 |
|
11,271,223 |
|
28,859 |
|
996,505 |
|
13,178 |
|
356,386 |
|
|
Shares repurchased |
(3,444,086 |
) |
(117,247,729 |
) |
(7,529,671 |
) |
(218,241,936 |
) |
(90,314 |
) |
(2,976,867 |
) |
(335,991 |
) |
(9,755,233 |
) |
|
Net increase/(decrease) |
1,846,681 |
|
$65,946,299 |
|
1,507,017 |
|
$47,661,925 |
|
(19,655 |
) |
$(562,051 |
) |
(31,734 |
) |
$(1,016,439 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Shelton Green Alpha Fund |
|
|
Direct Shares |
|
||||||||||||
|
|
|
|
|
|
Six Months Ended |
|
Year Ended |
|
||||||||
|
|
|
|
|
|
|
|
|
|
Shares |
|
Value |
|
Shares |
|
Value |
|
|
Shares sold |
|
|
|
|
|
|
|
|
2,297,908 |
|
$101,427,061 |
|
6,825,503 |
|
$305,371,450 |
|
|
Shares issued in reinvestment of distributions |
|
|
|
|
|
|
|
325,413 |
|
14,496,140 |
|
39,298 |
|
1,586,061 |
|
|
|
Shares repurchased |
|
|
|
|
|
|
|
|
(1,995,745 |
) |
(83,816,182 |
) |
(2,953,863 |
) |
(128,323,807 |
) |
|
Net increase/(decrease) |
|
|
|
|
|
|
|
|
627,576 |
|
$32,107,018 |
|
3,910,938 |
|
$178,633,704 |
|
See accompanying notes to financial statements.
33
|
Green California Tax-Free Income Fund |
|
Six Months |
|
Year |
|
Year |
|
Year |
|
Year |
|
Year |
|
|
Net asset value, beginning of year |
|
$11.65 |
|
$11.76 |
|
$11.72 |
|
$11.29 |
|
$11.65 |
|
$11.93 |
|
|
INCOME FROM INVESTMENT OPERATIONS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income/(loss)(a) |
|
0.11 |
|
0.21 |
|
0.21 |
|
0.23 |
|
0.23 |
|
0.25 |
|
|
Net gain/(loss) on securities (both realized and unrealized) |
|
(0.45 |
) |
(0.10 |
) |
0.06 |
|
0.45 |
|
(0.31 |
) |
(0.20 |
) |
|
Total from investment operations |
|
(0.34 |
) |
0.11 |
|
0.27 |
|
0.68 |
|
(0.08 |
) |
0.05 |
|
|
LESS DISTRIBUTIONS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Dividends from net investment income |
|
(0.11 |
) |
(0.22 |
) |
(0.21 |
) |
(0.23 |
) |
(0.24 |
) |
(0.27 |
) |
|
Distributions from capital gains |
|
— |
|
— |
|
(0.02 |
) |
(0.02 |
) |
(0.04 |
) |
(0.06 |
) |
|
Total distributions |
|
(0.11 |
) |
(0.22 |
) |
(0.23 |
) |
(0.25 |
) |
(0.28 |
) |
(0.33 |
) |
|
Net asset value, end of year or period |
|
$11.20 |
|
$11.65 |
|
$11.76 |
|
$11.72 |
|
$11.29 |
|
$11.65 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total return |
|
(2.94 |
)% |
0.96 |
% |
2.31 |
% |
6.10 |
% |
(0.74 |
)% |
0.43 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
RATIOS / SUPPLEMENTAL DATA |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets, end of year or period (000s) |
|
$52,434 |
|
$56,902 |
|
$61,357 |
|
$66,144 |
|
$68,253 |
|
$75,310 |
|
|
Ratio of expenses to average net assets |
|
0.73 |
%(b) |
0.74 |
% |
0.75 |
% |
0.77 |
% |
0.76 |
% |
0.69 |
% |
|
Ratio of net investment income/(loss) to average net assets |
|
1.87 |
%(b) |
1.82 |
% |
1.82 |
% |
2.01 |
% |
2.02 |
% |
2.20 |
% |
|
Portfolio turnover |
|
5 |
% |
7 |
% |
9 |
% |
4 |
% |
12 |
% |
7 |
% |
(a)Calculated based upon average shares outstanding.
(b)Annualized.
34
See accompanying notes to financial statements.
|
Financial Highlights |
|
U.S. Government Securities Fund Direct Shares |
|
Six Months |
|
Year |
|
Year |
|
Year |
|
Year |
|
Year |
||||||||||||
|
Net asset value, beginning of year |
|
|
$10.59 |
|
|
|
$10.94 |
|
|
|
$10.57 |
|
|
|
$9.98 |
|
|
|
$10.32 |
|
|
|
$10.61 |
|
|
INCOME FROM INVESTMENT OPERATIONS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income/(loss)(a) |
|
|
0.05 |
|
|
|
0.12 |
|
|
|
0.13 |
|
|
|
0.15 |
|
|
|
0.14 |
|
|
|
0.14 |
|
|
Net gain/(loss) on securities (both realized and unrealized) |
|
(0.35 |
) |
|
|
(0.35 |
) |
|
|
0.37 |
|
|
|
0.59 |
|
|
|
(0.33 |
) |
|
|
(0.26 |
) |
|
|
Total from investment operations |
|
|
(0.30 |
) |
|
|
(0.23 |
) |
|
|
0.50 |
|
|
|
0.74 |
|
|
|
(0.19 |
) |
|
|
(0.12 |
) |
|
LESS DISTRIBUTIONS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Dividends from net investment income |
|
|
(0.06 |
) |
|
|
(0.12 |
) |
|
|
(0.13 |
) |
|
|
(0.15 |
) |
|
|
(0.15 |
) |
|
|
(0.17 |
) |
|
Total distributions |
|
|
(0.06 |
) |
|
|
(0.12 |
) |
|
|
(0.13 |
) |
|
|
(0.15 |
) |
|
|
(0.15 |
) |
|
|
(0.17 |
) |
|
Net asset value, end of year or period |
|
|
$10.23 |
|
|
|
$10.59 |
|
|
|
$10.94 |
|
|
|
$10.57 |
|
|
|
$9.98 |
|
|
|
$10.32 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total return |
|
|
(2.84 |
)% |
|
|
(2.14 |
)% |
|
|
4.78 |
% |
|
|
7.48 |
% |
|
|
(1.88 |
)% |
|
|
(1.14 |
)% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
RATIOS / SUPPLEMENTAL DATA |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets, end of year or period (000s) |
|
|
$16,825 |
|
|
|
$18,846 |
|
|
|
$22,034 |
|
|
|
$17,263 |
|
|
|
$15,668 |
|
|
|
$18,316 |
|
|
Ratio of expenses to average net assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Before expense reimbursements |
|
|
1.01 |
%(c) |
|
1.00 |
% |
|
|
0.93 |
% |
|
|
0.99 |
% |
|
|
0.89 |
% |
|
|
0.81 |
% |
|
|
After expense reimbursements |
|
|
0.75 |
%(b),(c) |
|
0.75 |
%(b) |
|
|
0.75 |
% |
|
|
0.76 |
%(b) |
|
|
0.75 |
%(b) |
|
|
0.74 |
% |
|
|
Ratio of net investment income/(loss) to average net assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Before expense reimbursements |
|
|
0.79 |
%(c) |
|
0.84 |
% |
|
|
1.07 |
% |
|
|
1.23 |
% |
|
|
1.29 |
% |
|
|
1.27 |
% |
|
|
After expense reimbursements |
|
|
1.07 |
%(c) |
|
1.10 |
% |
|
|
1.25 |
% |
|
|
1.47 |
% |
|
|
1.42 |
% |
|
|
1.34 |
% |
|
|
Portfolio turnover |
|
|
9 |
% |
|
|
15 |
% |
|
|
10 |
% |
|
|
8 |
% |
|
|
13 |
% |
|
|
10 |
% |
|
U.S. Government Securities Fund K Shares |
|
Six Months |
|
Year |
|
Year |
|
Year |
|
Year |
|
Year |
||||||||||||
|
Net asset value, beginning of year |
|
|
$10.61 |
|
|
|
$10.96 |
|
|
|
$10.59 |
|
|
|
$10.01 |
|
|
|
$10.35 |
|
|
|
$10.64 |
|
|
INCOME FROM INVESTMENT OPERATIONS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income/(loss)(a) |
|
|
0.03 |
|
|
|
0.06 |
|
|
|
0.08 |
|
|
|
0.10 |
|
|
|
0.09 |
|
|
|
0.09 |
|
|
Net gain/(loss) on securities (both realized and unrealized) |
|
(0.37 |
) |
|
|
(0.35 |
) |
|
|
0.37 |
|
|
|
0.58 |
|
|
|
(0.33 |
) |
|
|
(0.27 |
) |
|
|
Total from investment operations |
|
|
(0.34 |
) |
|
|
(0.29 |
) |
|
|
0.45 |
|
|
|
0.68 |
|
|
|
(0.24 |
) |
|
|
(0.18 |
) |
|
LESS DISTRIBUTIONS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Dividends from net investment income |
|
|
(0.03 |
) |
|
|
(0.06 |
) |
|
|
(0.08 |
) |
|
|
(0.10 |
) |
|
|
(0.10 |
) |
|
|
(0.11 |
) |
|
Total distributions |
|
|
(0.03 |
) |
|
|
(0.06 |
) |
|
|
(0.08 |
) |
|
|
(0.10 |
) |
|
|
(0.10 |
) |
|
|
(0.11 |
) |
|
Net asset value, end of year or period |
|
|
$10.24 |
|
|
|
$10.61 |
|
|
|
$10.96 |
|
|
|
$10.59 |
|
|
|
$10.01 |
|
|
|
$10.35 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total return |
|
|
(3.16 |
)% |
|
(2.61 |
)% |
|
|
4.28 |
% |
|
|
6.87 |
% |
|
|
(2.37 |
)% |
|
|
(1.67 |
)% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
RATIOS / SUPPLEMENTAL DATA |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets, end of year or period (000s) |
|
|
$1,243 |
|
|
|
$1,385 |
|
|
|
$1,672 |
|
|
|
$2,250 |
|
|
|
$3,691 |
|
|
|
$3,699 |
|
|
Ratio of expenses to average net assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Before expense reimbursements |
|
|
1.52 |
%(c) |
|
1.51 |
% |
|
|
1.44 |
% |
|
|
1.49 |
% |
|
|
1.39 |
% |
|
|
1.31 |
% |
|
|
After expense reimbursements |
|
|
1.26 |
%(b),(c) |
|
1.25 |
%(b) |
|
|
1.26 |
% |
|
|
1.26 |
%(b) |
|
1.25 |
%(b) |
|
1.24 |
% |
|||
|
Ratio of net investment income/(loss) to average net assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Before expense reimbursements |
|
|
0.30 |
%(c) |
|
0.33 |
% |
|
|
0.58 |
% |
|
|
0.75 |
% |
|
|
0.78 |
% |
|
|
0.77 |
% |
|
|
After expense reimbursements |
|
|
0.57 |
%(c) |
|
0.60 |
% |
|
|
0.76 |
% |
|
|
0.98 |
% |
|
|
0.92 |
% |
|
|
0.84 |
% |
|
|
Portfolio turnover |
|
|
9 |
% |
|
|
15 |
% |
|
|
10 |
% |
|
|
8 |
% |
|
|
13 |
% |
|
|
10 |
% |
(a)Calculated based upon average shares outstanding.
(b)CCO fees are not included in the expense limitation.
(c)Annualized.
See accompanying notes to financial statements.
35
|
Financial Highlights |
|
The United States Treasury Trust Direct Shares |
|
Six Months |
|
Year |
|
Year |
|
Year |
|
Year |
|
Year |
||||||||||||
|
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 |
% |
|
|
0.00 |
% |
|
|
0.67 |
% |
|
|
1.75 |
% |
|
|
0.98 |
% |
|
|
0.03 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
RATIOS / SUPPLEMENTAL DATA |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets, end of year or period (000s) |
|
|
$33,169 |
|
|
|
$37,276 |
|
|
|
$36,917 |
|
|
|
$37,479 |
|
|
|
$53,079 |
|
|
|
$57,149 |
|
|
Ratio of expenses to average net assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Before expense reimbursements |
|
|
0.30 |
%(e) |
|
0.77 |
% |
|
|
0.78 |
% |
|
|
0.77 |
% |
|
|
0.77 |
% |
|
|
0.71 |
% |
|
|
After expense reimbursements |
|
|
0.06 |
%(c),(e) |
|
0.07 |
%(c) |
|
|
0.45 |
%(c) |
|
|
0.55 |
%(c) |
|
|
0.46 |
%(d) |
|
|
0.52 |
%(d) |
|
|
Ratio of net investment income/(loss) to average net assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Before expense reimbursements |
|
|
(0.24 |
)% |
|
(0.70 |
)% |
|
|
0.35 |
% |
|
|
1.51 |
% |
|
|
0.65 |
% |
|
|
(0.16 |
)% |
|
|
After expense reimbursements |
|
|
0.00 |
% |
|
|
0.00 |
% |
|
|
0.68 |
% |
|
|
1.73 |
% |
|
|
0.96 |
%(d) |
|
|
0.03 |
%(d) |
(a)Calculated based upon average shares outstanding.
(b)Less than $0.01 per share.
(c)CCO Fees are not included in the expense limitation.
(d)Includes an additional voluntary waiver of 12b-1 and shareholder servicing fees.
(e)Annualized.
|
S&P 500 Index Fund Direct Shares |
|
Six Months |
|
Year |
|
Year |
|
Year |
|
Year |
|
Year |
||||||||||||
|
Net asset value, beginning of year |
|
|
$74.67 |
|
|
|
$62.19 |
|
|
|
$56.00 |
|
|
|
$56.03 |
|
|
|
$48.26 |
|
|
|
$42.86 |
|
|
INCOME FROM INVESTMENT OPERATIONS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income/(loss)(a) |
|
|
0.36 |
|
|
|
0.73 |
|
|
|
0.81 |
|
|
|
0.82 |
|
|
|
0.82 |
|
|
|
0.78 |
|
|
Net gain/(loss) on securities (both realized and unrealized) |
|
(2.28 |
) |
|
|
16.93 |
|
|
|
10.49 |
|
|
|
0.44 |
|
|
|
8.48 |
|
|
|
5.89 |
|
|
|
Total from investment operations |
|
|
(1.92 |
) |
|
|
17.66 |
|
|
|
11.30 |
|
|
|
1.26 |
|
|
|
9.30 |
|
|
|
6.67 |
|
|
LESS DISTRIBUTIONS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Dividends from net investment income |
|
|
(0.38 |
) |
|
|
(0.77 |
) |
|
|
(0.85 |
) |
|
|
(0.88 |
) |
|
|
(0.77 |
) |
|
|
(0.83 |
) |
|
Distributions from capital gains |
|
|
(3.35 |
) |
|
|
(4.41 |
) |
|
|
(4.26 |
) |
|
|
(0.41 |
) |
|
|
(0.76 |
) |
|
|
(0.44 |
) |
|
Total distributions |
|
|
(3.73 |
) |
|
|
(5.18 |
) |
|
|
(5.11 |
) |
|
|
(1.29 |
) |
|
|
(1.53 |
) |
|
|
(1.27 |
) |
|
Net asset value, end of year or period |
|
|
$69.02 |
|
|
|
$74.67 |
|
|
|
$62.19 |
|
|
|
$56.00 |
|
|
|
$56.03 |
|
|
|
$48.26 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total return |
|
|
(2.76 |
)% |
|
30.46 |
% |
|
|
21.44 |
% |
|
|
2.40 |
% |
|
|
19.64 |
% |
|
|
15.89 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
RATIOS / SUPPLEMENTAL DATA |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets, end of year or period (000s) |
|
|
$233,083 |
|
|
|
$243,580 |
|
|
|
$196,133 |
|
|
|
$185,170 |
|
|
|
$182,362 |
|
|
|
$155,022 |
|
|
Ratio of expenses to average net assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Before expense reimbursements |
|
|
0.41 |
%(b) |
|
0.43 |
% |
|
|
0.48 |
% |
|
|
0.50 |
% |
|
|
0.50 |
% |
|
|
0.46 |
% |
|
|
After expense reimbursements |
|
|
0.41 |
%(b) |
|
0.43 |
% |
|
|
0.48 |
% |
|
|
0.50 |
% |
|
|
0.45 |
% |
|
|
0.36 |
% |
|
|
Ratio of net investment income/(loss) to average net assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Before expense reimbursements |
|
|
0.99 |
%(b) |
|
1.09 |
% |
|
|
1.46 |
% |
|
|
1.52 |
% |
|
|
1.53 |
% |
|
|
1.63 |
% |
|
|
After expense reimbursements |
|
|
0.99 |
%(b) |
|
1.09 |
% |
|
|
1.46 |
% |
|
|
1.52 |
% |
|
|
1.58 |
% |
|
|
1.73 |
% |
|
|
Portfolio turnover |
|
|
1 |
% |
|
|
9 |
% |
|
|
8 |
% |
|
|
3 |
% |
|
|
3 |
% |
|
|
5 |
% |
36
See accompanying notes to financial statements.
|
Financial Highlights |
|
S&P 500 Index Fund K Shares |
|
Six Months |
|
Year |
|
Year |
|
Year |
|
Year |
|
Year |
||||||||||||
|
Net asset value, beginning of year |
|
|
$74.45 |
|
|
|
$62.02 |
|
|
|
$55.92 |
|
|
|
$55.96 |
|
|
|
$48.24 |
|
|
|
$42.88 |
|
|
INCOME FROM INVESTMENT OPERATIONS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income/(loss)(a) |
|
|
0.17 |
|
|
|
0.40 |
|
|
|
0.53 |
|
|
|
0.54 |
|
|
|
0.56 |
|
|
|
0.55 |
|
|
Net gain/(loss) on securities (both realized and unrealized) |
|
(2.27 |
) |
|
|
16.89 |
|
|
|
10.47 |
|
|
|
0.45 |
|
|
|
8.48 |
|
|
|
5.89 |
|
|
|
Total from investment operations |
|
|
(2.10 |
) |
|
|
17.29 |
|
|
|
11.00 |
|
|
|
0.99 |
|
|
|
9.04 |
|
|
|
6.44 |
|
|
LESS DISTRIBUTIONS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Dividends from net investment income |
|
|
(0.20 |
) |
|
|
(0.45 |
) |
|
|
(0.64 |
) |
|
|
(0.62 |
) |
|
|
(0.56 |
) |
|
|
(0.64 |
) |
|
Distributions from capital gains |
|
|
(3.35 |
) |
|
|
(4.41 |
) |
|
|
(4.26 |
) |
|
|
(0.41 |
) |
|
|
(0.76 |
) |
|
|
(0.44 |
) |
|
Total distributions |
|
|
(3.55 |
) |
|
|
(4.86 |
) |
|
|
(4.90 |
) |
|
|
(1.03 |
) |
|
|
(1.32 |
) |
|
|
(1.08 |
) |
|
Net asset value, end of year or period |
|
|
$68.80 |
|
|
|
$74.45 |
|
|
|
$62.02 |
|
|
|
$55.92 |
|
|
|
$55.96 |
|
|
|
$48.24 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total return |
|
|
(3.01 |
)% |
|
29.82 |
% |
|
|
20.84 |
% |
|
|
1.88 |
% |
|
|
19.05 |
% |
|
|
15.31 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
RATIOS / SUPPLEMENTAL DATA |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets, end of year or period (000s) |
|
|
$2,886 |
|
|
|
$3,899 |
|
|
|
$3,085 |
|
|
|
$6,165 |
|
|
|
$9,919 |
|
|
|
$8,506 |
|
|
Ratio of expenses to average net assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Before expense reimbursements |
|
|
0.91 |
%(b) |
|
0.93 |
% |
|
|
0.98 |
% |
|
|
0.99 |
% |
|
|
1.00 |
% |
|
|
0.96 |
% |
|
|
After expense reimbursements |
|
|
0.91 |
%(b) |
|
0.93 |
% |
|
|
0.98 |
% |
|
|
0.99 |
% |
|
|
0.95 |
% |
|
|
0.86 |
% |
|
|
Ratio of net investment income/(loss) to average net assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Before expense reimbursements |
|
|
0.49 |
%(b) |
|
0.59 |
% |
|
|
0.96 |
% |
|
|
1.02 |
% |
|
|
1.03 |
% |
|
|
1.13 |
% |
|
|
After expense reimbursements |
|
|
0.49 |
%(b) |
|
0.59 |
% |
|
|
0.96 |
% |
|
|
1.02 |
% |
|
|
1.08 |
% |
|
|
1.23 |
% |
|
|
Portfolio turnover |
|
|
1 |
% |
|
9 |
% |
|
|
8 |
% |
|
|
3 |
% |
|
|
3 |
% |
|
|
5 |
% |
|
(a)Calculated based upon average shares outstanding.
(b)Annualized.
|
S&P MidCap Index Fund Direct Shares |
|
Six Months Ended February 28, 2022 (Unaudited) |
|
Year |
|
Year |
|
Year |
|
Year |
|
Year |
||||||||||||
|
Net asset value, beginning of year |
|
|
$30.45 |
|
|
|
$23.07 |
|
|
|
$23.85 |
|
|
|
$28.77 |
|
|
|
$25.75 |
|
|
|
$26.69 |
|
|
INCOME FROM INVESTMENT OPERATIONS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income/(loss)(a) |
|
|
0.13 |
|
|
|
0.29 |
|
|
|
0.22 |
|
|
|
0.23 |
|
|
|
0.25 |
|
|
|
0.23 |
|
|
Net gain/(loss) on securities (both realized and unrealized) |
|
(0.94 |
) |
|
|
9.30 |
|
|
|
0.80 |
|
|
|
(2.23 |
) |
|
|
4.61 |
|
|
|
2.95 |
|
|
|
Total from investment operations |
|
|
(0.81 |
) |
|
|
9.59 |
|
|
|
1.02 |
|
|
|
(2.00 |
) |
|
|
4.86 |
|
|
|
3.18 |
|
|
LESS DISTRIBUTIONS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Dividends from net investment income |
|
|
(0.22 |
) |
|
|
(0.22 |
) |
|
|
(0.24 |
) |
|
|
(0.24 |
) |
|
|
(0.22 |
) |
|
|
(0.21 |
) |
|
Distributions from capital gains |
|
|
(2.51 |
) |
|
|
(1.99 |
) |
|
|
(1.56 |
) |
|
|
(2.68 |
) |
|
|
(1.62 |
) |
|
|
(3.91 |
) |
|
Total distributions |
|
|
(2.73 |
) |
|
|
(2.21 |
) |
|
|
(1.80 |
) |
|
|
(2.92 |
) |
|
|
(1.84 |
) |
|
|
(4.12 |
) |
|
Net asset value, end of year or period |
|
|
$26.91 |
|
|
|
$30.45 |
|
|
|
$23.07 |
|
|
|
$23.85 |
|
|
|
$28.77 |
|
|
|
$25.75 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total return |
|
|
(2.80 |
)% |
|
|
44.10 |
% |
|
|
4.18 |
% |
|
|
(6.85 |
)% |
|
|
19.48 |
% |
|
|
13.01 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
RATIOS / SUPPLEMENTAL DATA |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets, end of year or period (000s) |
|
|
$122,161 |
|
|
|
$132,128 |
|
|
|
$98,496 |
|
|
|
$107,054 |
|
|
|
$124,728 |
|
|
|
$113,149 |
|
|
Ratio of expenses to average net assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Before expense reimbursements |
|
|
0.59 |
%(b) |
|
0.62 |
% |
|
|
0.66 |
% |
|
|
0.67 |
% |
|
|
0.66 |
% |
|
|
0.62 |
% |
|
|
After expense reimbursements |
|
|
0.59 |
%(b) |
|
0.62 |
% |
|
|
0.66 |
% |
|
|
0.67 |
% |
|
|
0.63 |
% |
|
|
0.58 |
% |
|
|
Ratio of net investment income/(loss) to average net assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Before expense reimbursements |
|
|
0.93 |
%(b) |
|
0.99 |
% |
|
|
0.97 |
% |
|
|
0.95 |
% |
|
|
0.89 |
% |
|
|
0.85 |
% |
|
|
After expense reimbursements |
|
|
0.93 |
%(b) |
|
0.99 |
% |
|
|
0.97 |
% |
|
|
0.95 |
% |
|
|
0.92 |
% |
|
|
0.89 |
% |
|
|
Portfolio turnover |
|
|
7 |
% |
|
|
19 |
% |
|
|
13 |
% |
|
|
13 |
% |
|
|
12 |
% |
|
|
34 |
% |
See accompanying notes to financial statements.
37
|
Financial Highlights |
|
S&P MidCap Index Fund K Shares |
|
Six Months |
|
Year |
|
Year |
|
Year |
|
Year |
|
Year |
||||||||||||
|
Net asset value, beginning of year |
|
|
$29.32 |
|
|
|
$22.29 |
|
|
|
$23.47 |
|
|
|
$28.37 |
|
|
|
$25.44 |
|
|
|
$26.43 |
|
|
INCOME FROM INVESTMENT OPERATIONS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income/(loss)(a) |
|
|
0.06 |
|
|
|
0.14 |
|
|
|
0.11 |
|
|
|
0.11 |
|
|
|
0.11 |
|
|
|
0.10 |
|
|
Net gain/(loss) on securities (both realized and unrealized) |
|
(0.91 |
) |
|
|
8.97 |
|
|
|
0.50 |
|
|
|
(2.19 |
) |
|
|
4.55 |
|
|
|
2.92 |
|
|
|
Total from investment operations |
|
|
(0.85 |
) |
|
|
9.11 |
|
|
|
0.61 |
|
|
|
(2.08 |
) |
|
|
4.66 |
|
|
|
3.02 |
|
|
LESS DISTRIBUTIONS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Dividends from net investment income |
|
|
(0.14 |
) |
|
|
(0.09 |
) |
|
|
(0.23 |
) |
|
|
(0.14 |
) |
|
|
(0.11 |
) |
|
|
(0.10 |
) |
|
Distributions from capital gains |
|
|
(2.51 |
) |
|
|
(1.99 |
) |
|
|
(1.56 |
) |
|
|
(2.68 |
) |
|
|
(1.62 |
) |
|
|
(3.91 |
) |
|
Total distributions |
|
|
(2.65 |
) |
|
|
(2.08 |
) |
|
|
(1.79 |
) |
|
|
(2.82 |
) |
|
|
(1.73 |
) |
|
|
(4.01 |
) |
|
Net asset value, end of year or period |
|
|
$25.82 |
|
|
|
$29.32 |
|
|
|
$22.29 |
|
|
|
$23.47 |
|
|
|
$28.37 |
|
|
|
$25.44 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total return |
|
|
(3.06 |
)% |
|
43.33 |
% |
|
|
2.37 |
% |
|
|
(7.27 |
)% |
|
|
18.86 |
% |
|
|
12.45 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
RATIOS / SUPPLEMENTAL DATA |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets, end of year or period (000s) |
|
|
$882 |
|
|
|
$1,338 |
|
|
|
$1,059 |
|
|
|
$3,077 |
|
|
|
$6,179 |
|
|
|
$5,442 |
|
|
Ratio of expenses to average net assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Before expense reimbursements |
|
|
1.10 |
%(b) |
|
1.12 |
% |
|
|
1.16 |
% |
|
|
1.17 |
% |
|
|
1.16 |
% |
|
|
1.12 |
% |
|
|
After expense reimbursements |
|
|
1.10 |
%(b) |
|
1.12 |
% |
|
|
1.16 |
% |
|
|
1.17 |
% |
|
|
1.13 |
% |
|
|
1.08 |
% |
|
|
Ratio of net investment income/(loss) to average net assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Before expense reimbursements |
|
|
0.43 |
%(b) |
|
0.48 |
% |
|
|
0.49 |
% |
|
|
0.45 |
% |
|
|
0.39 |
% |
|
|
0.35 |
% |
|
|
After expense reimbursements |
|
|
0.43 |
%(b) |
|
0.48 |
% |
|
|
0.49 |
% |
|
|
0.45 |
% |
|
|
0.42 |
% |
|
|
0.39 |
% |
|
|
Portfolio turnover |
|
|
7 |
% |
|
|
19 |
% |
|
|
13 |
% |
|
|
13 |
% |
|
|
12 |
% |
|
|
34 |
% |
(a)Calculated based upon average shares outstanding.
(b)Annualized.
|
S&P SmallCap Index Fund Direct Shares |
|
Six Months |
|
Year |
|
Year |
|
Year |
|
Year |
|
Year |
||||||||||||
|
Net asset value, beginning of year |
|
|
$27.78 |
|
|
|
$19.03 |
|
|
|
$20.52 |
|
|
|
$26.43 |
|
|
|
$22.33 |
|
|
|
$20.87 |
|
|
INCOME FROM INVESTMENT OPERATIONS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income/(loss)(a) |
|
|
0.12 |
|
|
|
0.15 |
|
|
|
0.12 |
|
|
|
0.15 |
|
|
|
0.13 |
|
|
|
0.13 |
|
|
Net gain/(loss) on securities (both realized and unrealized) |
|
(0.88 |
) |
|
|
9.61 |
|
|
|
(0.05 |
) |
|
|
(4.27 |
) |
|
|
6.38 |
|
|
|
2.36 |
|
|
|
Total from investment operations |
|
|
(0.76 |
) |
|
|
9.76 |
|
|
|
0.07 |
|
|
|
(4.12 |
) |
|
|
6.51 |
|
|
|
2.49 |
|
|
LESS DISTRIBUTIONS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Dividends from net investment income |
|
|
(0.16 |
) |
|
|
(0.12 |
) |
|
|
(0.15 |
) |
|
|
(0.15 |
) |
|
|
(0.12 |
) |
|
|
(0.12 |
) |
|
Distributions from capital gains |
|
|
(2.25 |
) |
|
|
(0.89 |
) |
|
|
(1.41 |
) |
|
|
(1.64 |
) |
|
|
(2.29 |
) |
|
|
(0.91 |
) |
|
Total distributions |
|
|
(2.41 |
) |
|
|
(1.01 |
) |
|
|
(1.56 |
) |
|
|
(1.79 |
) |
|
|
(2.41 |
) |
|
|
(1.03 |
) |
|
Net asset value, end of year or period |
|
|
$24.61 |
|
|
|
$27.78 |
|
|
|
$19.03 |
|
|
|
$20.52 |
|
|
|
$26.43 |
|
|
|
$22.33 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total return |
|
|
(2.90 |
)% |
|
52.93 |
% |
|
|
(0.18 |
)% |
|
|
(15.82 |
)% |
|
|
30.95 |
% |
|
|
12.12 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
RATIOS / SUPPLEMENTAL DATA |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets, end of year or period (000s) |
|
|
$61,601 |
|
|
|
$64,461 |
|
|
|
$46,948 |
|
|
|
$61,412 |
|
|
|
$78,902 |
|
|
|
$56,076 |
|
|
Ratio of expenses to average net assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Before expense reimbursements |
|
|
0.77 |
%(b) |
|
0.81 |
% |
|
|
0.83 |
% |
|
|
0.81 |
% |
|
|
0.80 |
% |
|
|
0.78 |
% |
|
|
After expense reimbursements |
|
|
0.77 |
%(b) |
|
0.81 |
% |
|
|
0.83 |
% |
|
|
0.81 |
% |
|
|
0.77 |
% |
|
|
0.74 |
% |
|
|
Ratio of net investment income/(loss) to average net assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Before expense reimbursements |
|
|
0.93 |
%(b) |
|
0.59 |
% |
|
|
0.60 |
% |
|
|
0.70 |
% |
|
|
0.53 |
% |
|
|
0.56 |
% |
|
|
After expense reimbursements |
|
|
0.93 |
%(b) |
|
0.59 |
% |
|
|
0.60 |
% |
|
|
0.70 |
% |
|
|
0.56 |
% |
|
|
0.60 |
% |
|
|
Portfolio turnover |
|
|
6 |
% |
|
|
14 |
% |
|
|
20 |
% |
|
|
14 |
% |
|
|
18 |
% |
|
|
31 |
% |
38
See accompanying notes to financial statements.
|
Financial Highlights |
|
S&P SmallCap Index Fund K Shares |
|
Six Months |
|
Year |
|
Year |
|
Year |
|
Year |
|
Year |
||||||||||||
|
Net asset value, beginning of year |
|
|
$26.85 |
|
|
|
$18.43 |
|
|
|
$19.96 |
|
|
|
$25.77 |
|
|
|
$21.85 |
|
|
|
$20.47 |
|
|
INCOME FROM INVESTMENT OPERATIONS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income/(loss)(a) |
|
|
0.06 |
|
|
|
0.03 |
|
|
|
0.02 |
|
|
|
0.05 |
|
|
|
0.01 |
|
|
|
0.02 |
|
|
Net gain/(loss) on securities (both realized and unrealized) |
|
(0.86 |
) |
|
|
9.30 |
|
|
|
(0.05 |
) |
|
|
(4.16 |
) |
|
|
6.23 |
|
|
|
2.31 |
|
|
|
Total from investment operations |
|
|
(0.80 |
) |
|
|
9.33 |
|
|
|
(0.03 |
) |
|
|
(4.11 |
) |
|
|
6.24 |
|
|
|
2.33 |
|
|
LESS DISTRIBUTIONS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Dividends from net investment income |
|
|
(0.09 |
) |
|
|
(0.02 |
) |
|
|
(0.09 |
) |
|
|
(0.06 |
) |
|
|
(0.03 |
) |
|
|
(0.04 |
) |
|
Distributions from capital gains |
|
|
(2.25 |
) |
|
|
(0.89 |
) |
|
|
(1.41 |
) |
|
|
(1.64 |
) |
|
|
(2.29 |
) |
|
|
(0.91 |
) |
|
Total distributions |
|
|
(2.34 |
) |
|
|
(0.91 |
) |
|
|
(1.50 |
) |
|
|
(1.70 |
) |
|
|
(2.32 |
) |
|
|
(0.95 |
) |
|
Net asset value, end of year or period |
|
|
$23.71 |
|
|
|
$26.85 |
|
|
|
$18.43 |
|
|
|
$19.96 |
|
|
|
$25.77 |
|
|
|
$21.85 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total return |
|
|
(3.15 |
)% |
|
52.18 |
% |
|
|
(0.74 |
)% |
|
|
(16.22 |
)% |
|
|
30.26 |
% |
|
|
11.59 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
RATIOS / SUPPLEMENTAL DATA |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets, end of year or period (000s) |
|
|
$2,726 |
|
|
|
$3,569 |
|
|
|
$2,306 |
|
|
|
$4,908 |
|
|
|
$9,851 |
|
|
|
$8,165 |
|
|
Ratio of expenses to average net assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Before expense reimbursements |
|
|
1.28 |
%(b) |
|
1.31 |
% |
|
|
1.33 |
% |
|
|
1.31 |
% |
|
|
1.31 |
% |
|
|
1.28 |
% |
|
|
After expense reimbursements |
|
|
1.28 |
%(b) |
|
1.31 |
% |
|
|
1.33 |
% |
|
|
1.31 |
% |
|
|
1.27 |
% |
|
|
1.24 |
% |
|
|
Ratio of net investment income/(loss) to average net assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Before expense reimbursements |
|
|
0.43 |
%(b) |
|
0.10 |
% |
|
|
0.12 |
% |
|
|
0.21 |
% |
|
|
0.03 |
% |
|
|
0.06 |
% |
|
|
After expense reimbursements |
|
|
0.43 |
%(b) |
|
0.10 |
% |
|
|
0.12 |
% |
|
|
0.21 |
% |
|
|
0.06 |
% |
|
|
0.10 |
% |
|
|
Portfolio turnover |
|
|
6 |
% |
|
|
14 |
% |
|
|
20 |
% |
|
|
14 |
% |
|
|
18 |
% |
|
|
31 |
% |
(a)Calculated based upon average shares outstanding.
(b)Annualized.
|
Shelton Equity Income Fund Direct Shares |
|
Six Months |
|
Year |
|
Year |
|
Year |
|
Year |
|
Year |
||||||||||||
|
Net asset value, beginning of year |
|
|
$19.31 |
|
|
|
$18.68 |
|
|
|
$20.05 |
|
|
|
$24.53 |
|
|
|
$25.00 |
|
|
|
$26.82 |
|
|
INCOME FROM INVESTMENT OPERATIONS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income/(loss)(a) |
|
|
0.07 |
|
|
|
0.18 |
|
|
|
0.25 |
|
|
|
0.36 |
|
|
|
0.37 |
|
|
|
0.43 |
|
|
Net gain/(loss) on securities (both realized and unrealized) |
|
(0.49 |
) |
|
|
4.62 |
|
|
|
1.22 |
|
|
|
(0.51 |
) |
|
|
2.33 |
|
|
|
1.81 |
|
|
|
Total from investment operations |
|
|
(0.42 |
) |
|
|
4.80 |
|
|
|
1.47 |
|
|
|
(0.15 |
) |
|
|
2.70 |
|
|
|
2.24 |
|
|
LESS DISTRIBUTIONS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Dividends from net investment income |
|
|
(0.95 |
) |
|
|
(1.64 |
) |
|
|
(1.50 |
) |
|
|
(0.68 |
) |
|
|
(0.38 |
) |
|
|
(0.59 |
) |
|
Distributions from capital gains |
|
|
(0.43 |
) |
|
|
(2.53 |
) |
|
|
(1.34 |
) |
|
|
(3.65 |
) |
|
|
(2.79 |
) |
|
|
(3.47 |
) |
|
Total distributions |
|
|
(1.38 |
) |
|
|
(4.17 |
) |
|
|
(2.84 |
) |
|
|
(4.33 |
) |
|
|
(3.17 |
) |
|
|
(4.06 |
) |
|
Net asset value, end of year or period |
|
|
$17.51 |
|
|
|
$19.31 |
|
|
|
$18.68 |
|
|
|
$20.05 |
|
|
|
$24.53 |
|
|
|
$25.00 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total return |
|
|
(2.28 |
)% |
|
30.38 |
% |
|
|
7.99 |
% |
|
|
0.41 |
% |
|
|
11.32 |
% |
|
|
9.10 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
RATIOS / SUPPLEMENTAL DATA |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets, end of year or period (000s) |
|
|
$604,886 |
|
|
|
$226,412 |
|
|
|
$150,038 |
|
|
|
$148,997 |
|
|
|
$176,019 |
|
|
|
$176,929 |
|
|
Ratio of expenses to average net assets |
|
|
0.69 |
%(b) |
|
0.74 |
% |
|
|
0.84 |
% |
|
|
0.82 |
% |
|
|
0.78 |
% |
|
|
0.75 |
% |
|
|
Ratio of net investment income/(loss) to average net assets |
|
0.73 |
%(b) |
|
0.99 |
% |
|
|
1.33 |
% |
|
|
1.77 |
% |
|
|
1.52 |
% |
|
|
1.71 |
% |
||
|
Portfolio turnover |
|
|
28 |
% |
|
|
108 |
% |
|
|
113 |
% |
|
|
21 |
% |
|
|
35 |
% |
|
|
9 |
% |
See accompanying notes to financial statements.
39
|
Financial Highlights |
|
Shelton Equity Income Fund K Shares |
|
Six Months |
|
Year |
|
Year |
|
Year |
|
Year |
|
Year |
||||||||||||
|
Net asset value, beginning of year |
|
|
$18.69 |
|
|
|
$18.21 |
|
|
|
$19.74 |
|
|
|
$24.22 |
|
|
|
$24.75 |
|
|
|
$26.61 |
|
|
INCOME FROM INVESTMENT OPERATIONS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income/(loss)(a) |
|
|
0.02 |
|
|
|
0.09 |
|
|
|
0.16 |
|
|
|
0.26 |
|
|
|
0.25 |
|
|
|
0.30 |
|
|
Net gain/(loss) on securities (both realized and unrealized) |
|
(0.47 |
) |
|
|
4.48 |
|
|
|
1.19 |
|
|
|
(0.50 |
) |
|
|
2.29 |
|
|
|
1.79 |
|
|
|
Total from investment operations |
|
|
(0.45 |
) |
|
|
4.57 |
|
|
|
1.35 |
|
|
|
(0.24 |
) |
|
|
2.54 |
|
|
|
2.09 |
|
|
LESS DISTRIBUTIONS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Dividends from net investment income |
|
|
(0.94 |
) |
|
|
(1.56 |
) |
|
|
(1.54 |
) |
|
|
(0.59 |
) |
|
|
(0.28 |
) |
|
|
(0.48 |
) |
|
Distributions from capital gains |
|
|
(0.43 |
) |
|
|
(2.53 |
) |
|
|
(1.34 |
) |
|
|
(3.65 |
) |
|
|
(2.79 |
) |
|
|
(3.47 |
) |
|
Total distributions |
|
|
(1.37 |
) |
|
|
(4.09 |
) |
|
|
(2.88 |
) |
|
|
(4.24 |
) |
|
|
(3.07 |
) |
|
|
(3.95 |
) |
|
Net asset value, end of year or period |
|
|
$16.87 |
|
|
|
$18.69 |
|
|
|
$18.21 |
|
|
|
$19.74 |
|
|
|
$24.22 |
|
|
|
$24.75 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total return |
|
|
(2.51 |
)% |
|
29.73 |
% |
|
|
7.40 |
% |
|
|
(0.08 |
)% |
|
|
10.75 |
% |
|
|
8.57 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
RATIOS / SUPPLEMENTAL DATA |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets, end of year or period (000s) |
|
|
$1,073 |
|
|
|
$1,391 |
|
|
|
$1,382 |
|
|
|
$2,601 |
|
|
|
$5,370 |
|
|
|
$5,369 |
|
|
Ratio of expenses to average net assets |
|
|
1.20 |
%(b) |
|
1.24 |
% |
|
|
1.34 |
% |
|
|
1.32 |
% |
|
|
1.28 |
% |
|
|
1.25 |
% |
|
|
Ratio of net investment income/(loss) to average net assets |
|
0.22 |
%(b) |
|
0.49 |
% |
|
|
0.85 |
% |
|
|
1.27 |
% |
|
|
1.02 |
% |
|
|
1.22 |
% |
||
|
Portfolio turnover |
|
|
28 |
% |
|
|
108 |
% |
|
|
113 |
% |
|
|
21 |
% |
|
|
35 |
% |
|
|
9 |
% |
(a)Calculated based upon average shares outstanding.
(b)Annualized.
|
Nasdaq-100 Index Fund Direct Shares |
|
Six Months |
|
Year |
|
Year |
|
Year |
|
Year |
|
Year |
||||||||||||
|
Net asset value, beginning of year |
|
|
$35.45 |
|
|
|
$27.78 |
|
|
|
$18.78 |
|
|
|
$18.85 |
|
|
|
$15.24 |
|
|
|
$12.25 |
|
|
INCOME FROM INVESTMENT OPERATIONS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income/(loss)(a) |
|
|
0.03 |
|
|
|
0.07 |
|
|
|
0.10 |
|
|
|
0.11 |
|
|
|
0.10 |
|
|
|
0.10 |
|
|
Net gain/(loss) on securities (both realized and unrealized) |
|
(2.93 |
) |
|
|
7.98 |
|
|
|
10.32 |
|
|
|
0.18 |
|
|
|
3.78 |
|
|
|
2.98 |
|
|
|
Total from investment operations |
|
|
(2.90 |
) |
|
|
8.05 |
|
|
|
10.42 |
|
|
|
0.29 |
|
|
|
3.88 |
|
|
|
3.08 |
|
|
LESS DISTRIBUTIONS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Dividends from net investment income |
|
|
(0.02 |
) |
|
|
(0.11 |
) |
|
|
(0.10 |
) |
|
|
(0.12 |
) |
|
|
(0.10 |
) |
|
|
(0.09 |
) |
|
Distributions from capital gains |
|
|
(0.88 |
) |
|
|
(0.27 |
) |
|
|
(1.32 |
) |
|
|
(0.24 |
) |
|
|
(0.17 |
) |
|
|
— |
|
|
Total distributions |
|
|
(0.90 |
) |
|
|
(0.38 |
) |
|
|
(1.42 |
) |
|
|
(0.36 |
) |
|
|
(0.27 |
) |
|
|
(0.09 |
) |
|
Net asset value, end of year or period |
|
|
$31.65 |
|
|
|
$35.45 |
|
|
|
$27.78 |
|
|
|
$18.78 |
|
|
|
$18.85 |
|
|
|
$15.24 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total return |
|
|
(8.45 |
)% |
|
29.31 |
% |
|
|
58.98 |
% |
|
|
1.72 |
% |
|
|
25.73 |
% |
|
|
25.29 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
RATIOS / SUPPLEMENTAL DATA |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets, end of year or period (000s) |
|
|
$1,119,204 |
|
|
|
$1,188,238 |
|
|
|
$889,163 |
|
|
|
$607,521 |
|
|
|
$630,845 |
|
|
|
$460,021 |
|
|
Ratio of expenses to average net assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Before expense reimbursements |
|
|
0.61 |
%(c) |
|
0.63 |
% |
|
|
0.70 |
% |
|
|
0.74 |
% |
|
|
0.74 |
% |
|
|
0.70 |
% |
|
|
After expense reimbursements |
|
|
0.51 |
%(b),(c) |
|
0.50 |
%(b) |
|
|
0.50 |
%(b) |
|
0.50 |
%(b) |
|
|
0.51 |
%(b) |
|
|
0.49 |
% |
||
|
Ratio of net investment income/(loss) to average net assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Before expense reimbursements |
|
|
0.08 |
%(c) |
|
0.11 |
% |
|
|
0.27 |
% |
|
|
0.40 |
% |
|
|
0.36 |
% |
|
|
0.53 |
% |
|
|
After expense reimbursements |
|
|
0.20 |
%(c) |
|
0.24 |
% |
|
|
0.47 |
% |
|
|
0.64 |
% |
|
|
0.59 |
% |
|
|
0.74 |
% |
|
|
Portfolio turnover |
|
|
5 |
% |
|
7 |
% |
|
|
12 |
% |
|
|
18 |
% |
|
|
2 |
% |
|
|
4 |
% |
|
40
See accompanying notes to financial statements.
|
Financial Highlights |
|
Nasdaq-100 Index Fund K Shares |
|
Six Months |
|
Year |
|
Year |
|
Year |
|
Year |
|
Year |
||||||||||||
|
Net asset value, beginning of year |
|
|
$34.21 |
|
|
|
$26.88 |
|
|
|
$18.23 |
|
|
|
$18.31 |
|
|
|
$14.83 |
|
|
|
$11.93 |
|
|
INCOME FROM INVESTMENT OPERATIONS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income/(loss)(a) |
|
|
(0.05 |
) |
|
|
(0.07 |
) |
|
|
(0.01 |
) |
|
|
0.02 |
|
|
|
0.01 |
|
|
|
0.03 |
|
|
Net gain/(loss) on securities (both realized and unrealized) |
|
(2.82 |
) |
|
|
7.70 |
|
|
|
10.01 |
|
|
|
0.18 |
|
|
|
3.67 |
|
|
|
2.91 |
|
|
|
Total from investment operations |
|
|
(2.87 |
) |
|
|
7.63 |
|
|
|
10.00 |
|
|
|
0.20 |
|
|
|
3.68 |
|
|
|
2.94 |
|
|
LESS DISTRIBUTIONS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Dividends from net investment income |
|
|
— |
|
|
|
(0.03 |
) |
|
|
(0.03 |
) |
|
|
(0.04 |
) |
|
|
(0.03 |
) |
|
|
(0.04 |
) |
|
Distributions from capital gains |
|
|
(0.88 |
) |
|
|
(0.27 |
) |
|
|
(1.32 |
) |
|
|
(0.24 |
) |
|
|
(0.17 |
) |
|
|
— |
|
|
Total distributions |
|
|
(0.88 |
) |
|
|
(0.30 |
) |
|
|
(1.35 |
) |
|
|
(0.28 |
) |
|
|
(0.20 |
) |
|
|
(0.04 |
) |
|
Net asset value, end of year or period |
|
|
$30.46 |
|
|
|
$34.21 |
|
|
|
$26.88 |
|
|
|
$18.23 |
|
|
|
$18.31 |
|
|
|
$14.83 |
|
|
|
||||||||||||||||||||||||
|
Total return |
|
|
(8.68 |
)% |
|
28.66 |
% |
|
|
58.17 |
% |
|
|
1.24 |
% |
|
|
25.03 |
% |
|
|
24.70 |
% |
|
|
|
||||||||||||||||||||||||
|
RATIOS / SUPPLEMENTAL DATA |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets, end of year or period (000s) |
|
|
$33,640 |
|
|
|
$38,457 |
|
|
|
$31,064 |
|
|
|
$24,755 |
|
|
|
$28,573 |
|
|
|
$22,427 |
|
|
Ratio of expenses to average net assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Before expense reimbursements |
|
|
1.12 |
%(c) |
|
1.13 |
% |
|
|
1.20 |
% |
|
|
1.24 |
% |
|
|
1.24 |
% |
|
|
1.20 |
% |
|
|
After expense reimbursements |
|
|
0.99 |
%(b),(c) |
|
1.00 |
%(b) |
|
|
1.00 |
%(b) |
|
|
1.00 |
%(b) |
|
|
1.01 |
%(b) |
|
|
0.99 |
% |
|
|
Ratio of net investment income/(loss) to average net assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Before expense reimbursements |
|
|
(0.43 |
)%(c) |
|
(0.38 |
)% |
|
|
(0.23 |
)% |
|
|
(0.10 |
)% |
|
|
(0.15 |
)% |
|
|
0.03 |
% |
|
|
After expense reimbursements |
|
|
(0.30 |
)%(c) |
|
(0.25 |
)% |
|
|
(0.03 |
)% |
|
|
0.14 |
% |
|
|
0.08 |
% |
|
|
0.24 |
% |
|
|
Portfolio turnover |
|
|
5 |
% |
|
|
7 |
% |
|
|
12 |
% |
|
|
18 |
% |
|
|
2 |
% |
|
|
4 |
% |
(a)Calculated based upon average shares outstanding.
(b)CCO Fees are not included in the expense limitation.
(c)Annualized.
|
Shelton Green Alpha Fund Direct Shares |
|
Six Months |
|
Year |
|
Year |
|
Year |
|
Year |
|
Year |
||||||||||||
|
Net asset value, beginning of year |
|
|
$49.07 |
|
|
|
$29.65 |
|
|
|
$18.44 |
|
|
|
$17.20 |
|
|
|
$17.32 |
|
|
|
$14.53 |
|
|
INCOME FROM INVESTMENT OPERATIONS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income/(loss)(a) |
|
|
0.36 |
|
|
|
(0.08 |
) |
|
|
(0.01 |
) |
|
|
0.03 |
|
|
|
0.05 |
|
|
|
0.02 |
|
|
Net gain/(loss) on securities (both realized and unrealized) |
|
(9.97 |
) |
|
|
19.95 |
|
|
|
11.24 |
|
|
|
1.47 |
|
|
|
0.34 |
|
|
|
2.77 |
|
|
|
Total from investment operations |
|
|
(9.61 |
) |
|
|
19.87 |
|
|
|
11.23 |
|
|
|
1.50 |
|
|
|
0.39 |
|
|
|
2.79 |
|
|
LESS DISTRIBUTIONS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Dividends from net investment income |
|
|
(0.36 |
) |
|
|
— |
|
|
|
(0.02 |
) |
|
|
(0.02 |
) |
|
|
(0.05 |
) |
|
|
— |
|
|
Distributions from capital gains |
|
|
(1.60 |
) |
|
|
(0.45 |
) |
|
|
— |
|
|
|
(0.24 |
) |
|
|
(0.46 |
) |
|
|
— |
(b) |
|
Total distributions |
|
|
(1.96 |
) |
|
|
(0.45 |
) |
|
|
(0.02 |
) |
|
|
(0.26 |
) |
|
|
(0.51 |
) |
|
|
— |
|
|
Net asset value, end of year or period |
|
|
$37.50 |
|
|
|
$49.07 |
|
|
|
$29.65 |
|
|
|
$18.44 |
|
|
|
$17.20 |
|
|
|
$17.32 |
|
|
|
||||||||||||||||||||||||
|
Total return |
|
|
(20.18 |
)% |
|
67.36 |
% |
|
|
60.93 |
% |
|
|
8.91 |
% |
|
|
2.19 |
% |
|
|
19.20 |
% |
|
|
|
||||||||||||||||||||||||
|
RATIOS / SUPPLEMENTAL DATA |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets, end of year or period (000s) |
|
|
$286,043 |
|
|
|
$343,542 |
|
|
|
$91,607 |
|
|
|
$56,567 |
|
|
|
$49,366 |
|
|
|
$40,256 |
|
|
Ratio of expenses to average net assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Before expense reimbursements |
|
|
1.14 |
%(c) |
|
1.16 |
% |
|
|
1.28 |
% |
|
|
1.34 |
% |
|
|
1.30 |
% |
|
|
1.30 |
% |
|
|
After expense reimbursements |
|
|
1.14 |
%(c) |
|
1.16 |
% |
|
|
1.28 |
% |
|
|
1.34 |
% |
|
|
1.30 |
% |
|
|
1.30 |
% |
|
|
Ratio of net investment income/(loss) to average net assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Before expense reimbursements |
|
|
1.66 |
%(c) |
|
(0.35 |
)% |
|
|
(0.05 |
)% |
|
|
0.15 |
% |
|
|
0.30 |
% |
|
|
0.13 |
% |
|
|
After expense reimbursements |
|
|
1.66 |
%(c) |
|
(0.35 |
)% |
|
|
(0.05 |
)% |
|
|
0.15 |
% |
|
|
0.30 |
% |
|
|
0.13 |
% |
|
|
Portfolio turnover |
|
|
5 |
% |
|
12 |
% |
|
|
27 |
% |
|
|
12 |
% |
|
|
13 |
% |
|
|
24 |
% |
|
(a)Calculated based upon average shares outstanding.
(b)Less than $0.01 per share.
(c)Annualized.
41
Note 1 - SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
Green California Tax-Free Income Fund, U.S. Government Securities Fund, The United States Treasury Trust, S&P 500 Index Fund, S&P MidCap Index Fund, S&P SmallCap Index Fund, Shelton Equity Income Fund, Nasdaq-100 Index Fund, and Shelton Green Alpha Fund (the “Funds”) are each a series of shares of beneficial interest of the Shelton Funds (the “Trust”). The Trust is registered under the Investment Company Act of 1940, as amended, as a diversified open-end management investment company. Each Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standard Codification Topic 946 “Financial Services – Investment Companies”. The Trust is organized as a Delaware statutory trust and is authorized to issue an unlimited number of no par value shares in one or more series. The Trust, originally organized as two separate Massachusetts business trusts formed by Declarations of Trust dated September 11, 1985, as subsequently amended, was reorganized into a single Delaware statutory trust after the close of trading on December 29, 2006. The investment objectives of the Funds are as follows: Green California Tax-Free Income Fund seeks high current tax-free income for California residents. U.S. Government Securities Fund seeks liquidity, safety from credit risk and as high a level of income as is consistent with these objectives. The United States Treasury Trust seeks high current income exempt from state income taxes while maintaining a stable net asset value of $1.00 per share. S&P 500 Index Fund’s objective is to attempt to replicate the total return of the U.S. stock market as measured by the S&P 500 Composite Stock Price Index. S&P MidCap Index Fund attempts to replicate the performance of medium-sized U.S. companies as measured by the S&P MidCap 400 Index. S&P SmallCap Index Fund attempts to replicate the performance of small-sized U.S. companies as measured by the S&P SmallCap 600 Stock Index. The Shelton Equity Income Fund’s objective is to achieve a high level of income and capital appreciation (when consistent with high income) by investing primarily in income-producing U.S. equity securities. 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 Shelton Equity Income Fund changed its name from the Shelton Core Value Fund effective May 19, 2021.
The U.S. Government Securities Fund, S&P 500 Index Fund, S&P MidCap Index Fund, S&P SmallCap Index Fund, Shelton Equity Income Fund, and Nasdaq-100 Index Fund each offer Class K shares. Effective as of December 27, 2019, the United States Treasury Trust ceased offering Class K shares of the Fund. Shares of each Fund represent equal proportionate interest in the assets of that Fund only, and have identical voting, dividend, redemption, liquidation and other rights. Income, expenses (other than the expenses attributable to a specific class), and realized and unrealized gains or losses on investments of the Funds are allocated proportionately to 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 (the “Board”) and which the Board of Trustees has determined in good faith reflects the market-based net asset value per share. The Fund receives options pricing data from the Trust’s third party pricing service who use the last traded price to quote options positions.
Securities for which market quotes are not readily available from the Trust’s third party pricing service are valued at fair value, determined in good faith and in accordance with procedures adopted by the Board of Trustees. The Board 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 Equity Income Fund, Shelton Green Alpha Fund and Nasdaq-100 Index Fund may purchase or sell stock index futures to maintain cash reserves while remaining fully invested, to facilitate trading, to reduce transaction costs, or to seek higher investment returns when a futures contract is priced more attractively than the underlying equity security or index. Risks include the possibility of an illiquid market and an imperfect correlation between the change in market value of the stocks held by a Fund and the prices of futures contracts.
(c) Options – The Shelton Equity Income Fund may write call options. When an option is written, the Fund receives a premium and becomes obligated to sell the underlying security at a fixed price, upon exercise of the option. Options can be traded through an exchange or through a privately negotiated arrangement with a dealer in an OTC transaction. Options traded through an exchange are generally cleared through a clearinghouse (such as the Options Clearing Corporation). The difference between the premium received or paid, and the market value of the option, is recorded as unrealized appreciation or depreciation. When an option is exercised, the proceeds of the security sold are adjusted by the amount of premium received. Upon the expiration of the option, a gain or loss is reported in the Statement of Operations. The risk in writing a call option is that the market price of the security increases and if the option is exercised, the Fund must either purchase the security at a higher price for delivery or give up the opportunity for profit.
(d) Federal Income Taxes – No provision is considered necessary for federal income taxes. The Funds intend to qualify for and elect the tax treatment applicable to regulated investment companies under the Internal Revenue Code and to distribute all of their taxable income to shareholders.
(e) Security Transactions, Investment Income and Distributions to Shareholders – Security transactions are recorded on the trade date. Interest income is recorded on the accrual basis. Dividend income is recorded on the ex-dividend date. Withholding taxes on foreign dividends have been provided for, in accordance with the Trust’s understanding of the applicable country’s tax rules and rates. Distributions to shareholders are recorded on the ex-dividend date for the Green California Tax-Free Income Fund, the U.S. Government Securities Fund, S&P 500 Index Fund, S&P MidCap Index Fund, S&P SmallCap Index Fund, Shelton Equity Income Fund, Shelton Green Alpha Fund and Nasdaq-100 Index Fund. Income distributions and capital gain distributions are determined in accordance with income tax regulations which may differ from accounting principles generally accepted in the United States of America. These differences are primarily due to differing treatments for futures contracts, redemptions-in-kind and post-October capital losses. For The United States Treasury Trust, dividends from net investment income are declared daily and reinvested or paid in cash monthly. The U.S. Treasury Trust intends to maintain a continuous net asset value per share of $1.00. If net asset value per share using available market information deviates from $1.00 by $.005 or more, the Board of Trustees would consider what steps, if any, should be taken to restore net asset value per share to $1.00.
(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.
42
|
Shelton Funds Notes to Financial Statements (Unaudited)February 28, 2022 |
The S&P 500 Index Fund, S&P MidCap Index Fund, S&P SmallCap Index Fund, Shelton Equity Income Fund, and Nasdaq-100 Index Fund seek to replicate the performance of their respective index. From time to time this replication may lead a Fund to concentrate in stocks of a particular sector, category or group of companies, which could cause Fund to underperform the overall stock market.
(g) Use of Estimates in Financial Statements – In preparing financial statements in conformity with accounting principles generally accepted in the United States of America, management makes estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, as well as the reported amounts of income and expense during the year. Actual results may differ from these estimates.
(h) Share Valuations – The net asset value (“NAV”) per share of each Fund is calculated by dividing the sum of the value of the securities held by the Fund, plus cash or other assets, minus all liabilities (including estimated accrued expenses) by the total number of shares outstanding of the Fund, rounded to the nearest cent. A Fund’s shares will not be priced on the days on which the NYSE is closed for trading. Bond and money market funds are closed on Columbus Day (observed) and Veteran’s Day (observed). The offering and redemption price per share of each Fund is equal to a Fund’s NAV per share.
(i) Accounting for Uncertainty in Income Taxes – The Funds recognize the tax benefits of uncertain tax positions only where the position is “more likely than not” to be sustained assuming examination by tax authorities. Management has analyzed the Fund’s tax positions and has concluded that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions taken on returns filed for open tax years (2018-2020), or expected to be taken in the Fund’s 2021 tax returns. Each Fund identifies its major tax jurisdictions as U.S. Federal, however the Funds are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months.
(j) The Funds adopted ASU No. 2017-08 – Premium on amortization on purchased callable debt securities which shortens the premium allocation for non-contingently callable debt securities. Management has assessed these changes and concluded these changes did not have a material impact on the Funds’ financial statements.”
(k) Fair Value Measurements – The Funds utilize various methods to measure the fair value of most of their investments on a recurring basis. U.S. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three levels of inputs are:
Level 1 – Unadjusted quoted prices in active markets for identical assets or liabilities that the Fund has the ability to access.
Level 2 – Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.
Level 3 – Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available, representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available.
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.
The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety, is determined based on the lowest level input that is significant to the fair value measurement in its entirety.
The following table summarizes the valuation of the Trust’s securities at February 28, 2022 using a fair value hierarchy:
|
|
|
Level 1(a) |
|
Level 2(a) |
|
Level 3(a) |
|
|
|
Level 1(a) |
|
Level 1(a) |
|
Level 2(a) |
|
|
Fund |
|
Investments in Securities(b) |
|
Investments in Securities(c) |
|
Investments in Securities |
|
Total |
|
Futures Contracts - |
|
Futures Contracts - Liabilities(d) |
|
Written Options - |
|
|
|
|||||||||||||||
|
Green California Tax-Free Income Fund |
|
$— |
|
$51,669,079 |
|
$— |
|
$51,669,079 |
|
$— |
|
$— |
|
$— |
|
|
U.S. Government Securities Fund |
|
— |
|
17,912,103 |
|
— |
|
17,912,103 |
|
— |
|
— |
|
— |
|
|
The United States Treasury Trust Fund |
|
— |
|
32,690,675 |
|
— |
|
32,690,675 |
|
— |
|
— |
|
— |
|
|
S&P 500 Index Fund |
|
235,661,624 |
|
— |
|
— |
|
235,661,624 |
|
12,113 |
|
— |
|
— |
|
|
S&P MidCap Index Fund |
|
122,684,333 |
|
— |
|
— |
|
122,684,333 |
|
3,000 |
|
— |
|
— |
|
|
S&P SmallCap Index Fund |
|
63,945,673 |
|
— |
|
0 |
|
63,945,673 |
|
1,715 |
|
— |
|
— |
|
|
Shelton Equity Income Fund |
|
257,289,320 |
|
— |
|
— |
|
257.289.320 |
|
— |
|
— |
|
181,263 |
|
|
Nasdaq-100 Index Fund |
|
1,142,093,952 |
|
— |
|
— |
|
1,142,093,952 |
|
— |
|
265,840 |
|
— |
|
|
Shelton Green Alpha Fund |
|
274,339,626 |
|
— |
|
— |
|
274,339,626 |
|
— |
|
— |
|
— |
|
(a)It is the Funds’ policy to recognize transfers between levels on the last day of the fiscal reporting period. There were no transfers in or out of Level 1, Level 2, and Level 3 as of period end.
(b)All publicly traded common stocks and preferred stocks held in the Funds are Level 1 securities, except those that are fair valued in the Basic Materials and Consumer Discretionary industries. For a detailed break-out of equity securities by major industry classification, please refer to the Portfolio of Investments.
(c)All fixed income securities held in the Funds are Level 2 securities. For a detailed break-out of fixed income securities by type, please refer to the Portfolio of Investments.
(d)Represents unrealized appreciation/depreciation on the last day of the reporting period.
43
|
Shelton Funds Notes to Financial Statements (Unaudited)February 28, 2022 |
|
Level 3 Securities – Small Cap Index Fund |
|
|
|
|
|
Rights – Lantheus Holdings Inc |
|
|
||
|
Beginning Balance |
|
$0 |
|
Net Purchases |
|
— |
|
Net Sales |
|
— |
|
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.
S&P 500 Index Fund, S&P MidCap Index Fund, S&P SmallCap Index Fund, Shelton Equity Income Fund, Nasdaq-100 Index Fund and Shelton Green Alpha Fund can use futures contracts and strategies for achieving the investment objectives.
Although the Funds’ primary risks are associated with changes in the stock market, there are other risks associated with the Funds. For the index funds, these risks generally apply to how well the Funds track the index. For example, the Funds invest in futures contracts to the extent that it holds cash in the portfolio. If these futures contracts do not track the index, the Fund’s performance relative to the respective index will change. For the non-indexed Funds, they may invest in futures contracts to the extent each Fund holds cash in the portfolio. If these futures contracts owned by each Fund do not perform well, the Funds’ performance will be impacted.
Under normal circumstances each Fund may follow a number of investment policies to achieve its objective. Losses involving futures can sometimes be substantial, in part because a relatively small price movement in a futures contract may result in an immediate and substantial loss for the Funds. In an effort to minimize this risk, the Funds will not use futures for speculative purposes or as leverage. It is the Funds’ policy to hold cash deposits equal or greater than the total market value of any futures position. The value of all futures and options contracts in which the Funds acquire an interest will not exceed 20% of current total assets.
At February 28, 2022, the number of open future contracts in the S&P 500 Index Fund, S&P MidCap Index Fund, S&P SmallCap Index Fund, and Nasdaq-100 Index Fund were 3, 1, 3, and 39, respectively. The Shelton Equity Income Fund, Shelton MidCap Index Fund and Shelton Green Alpha Fund held no futures contracts at February 28, 2022. Only current day’s variation margin 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, 2022:
|
Derivatives Not Accounted for as Hedging Instruments |
|
Variation Margin |
|
Variation Margin |
|
||||
|
|
|||||||||
|
S&P 500 Index Fund - Equity contracts |
|
|
$5,965 |
|
|
|
$— |
|
|
|
S&P MidCap Index Fund - Equity contracts |
|
|
3,130 |
|
|
|
— |
|
|
|
S&P SmallCap Index Fund - Equity contracts |
|
|
— |
|
|
|
5,387 |
|
|
|
Nasdaq-100 Index Fund - Equity contracts |
|
|
— |
|
|
|
300,496 |
|
|
The effect of derivative instruments on the Statements of Operations for the period ended February 28, 2022:
|
Derivatives Not Accounted for as Hedging Instruments |
|
Realized Gain/(Loss) on Futures |
|
Changes in Unrealized Appreciation/(Depreciation) on Futures |
|
||||
|
|
|||||||||
|
S&P 500 Index Fund - Equity contracts |
|
|
$(37,060) |
|
|
|
$(3,488) |
|
|
|
S&P MidCap Index Fund - Equity contracts |
|
|
62,239 |
|
|
|
($12,450) |
|
|
|
S&P SmallCap Index Fund - Equity contracts |
|
|
(1,025) |
|
|
|
(3,940) |
|
|
|
Nasdaq-100 Index Fund - Equity contracts |
|
|
(152,922) |
|
|
|
($517,375) |
|
|
The previously disclosed derivative instruments outstanding as of February 28, 2022, and their effect on the Statement of Operations for the period ending February 28, 2022, serve as indicators of the volume of financial derivative activity for the company. The following table indicates the average volume for the period:
|
Derivatives Not Accounted for as Hedging Instruments |
|
Average Notional Value |
|
||
|
|
|||||
|
S&P 500 Index Fund - Equity contracts |
|
|
$984,309 |
|
|
|
S&P MidCap Index Fund - Equity contracts |
|
|
984,793 |
|
|
|
S&P SmallCap Index Fund - Equity contracts |
|
|
842,955 |
|
|
|
Nasdaq-100 Index Fund - Equity contracts |
|
|
16,093,021 |
|
|
44
|
Shelton Funds Notes to Financial Statements (Unaudited)February 28, 2022 |
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 in net assets |
|
$100 million to $500 million |
|
$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 Equity Income Fund |
|
0.50% |
|
0.50% |
|
0.45% |
|
0.40% |
|
Nasdaq-100 Index Fund |
|
0.50% |
|
0.50% |
|
0.45% |
|
0.40% |
|
Shelton Green Alpha Fund(a) |
|
1.00% |
|
1.00% |
|
1.00% |
|
1.00% |
(a)The Advisor pays Green Alpha Advisors a sub-advisor fee of 0.50%
The Advisor contractually agreed to reduce total operating expense to certain Funds of the Trust. This additional contractual reimbursement is effective until January 2, 2023, 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 August 31, 2021 are as follows:
|
|
|
Contractual Expense Limitation |
|
||||||
|
Fund |
|
Direct Shares |
|
K Shares |
|
Expiration |
|
||
|
|
|||||||||
|
U.S. Government Securities Fund |
|
0.74 |
% |
|
1.24 |
% |
|
1/2/23 |
|
|
The United States Treasury Trust |
|
0.53 |
% |
|
N/A |
|
|
1/2/23 |
|
|
Nasdaq-100 Index Fund |
|
0.49 |
% |
|
0.99 |
% |
|
1/2/23 |
|
At August 31, 2021, the remaining cumulative unreimbursed amount paid and/or waived by the Advisor on behalf of the Funds that may be reimbursed was $4,621,545. 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 8/31/22 |
|
Expires 8/31/23 |
|
Expires 8/31/24 |
|
Total |
|
||||||||
|
|
|||||||||||||||||
|
U.S. Government Securities Fund |
|
|
$43,929 |
|
|
|
$40,952 |
|
|
|
$54,782 |
|
|
|
$139,663 |
|
|
|
The United States Treasury Trust |
|
|
104,345 |
|
|
|
126,233 |
|
|
|
89,114 |
|
|
|
319,692 |
|
|
|
Nasdaq-100 Index Fund |
|
|
1,448,548 |
|
|
|
1,405,450 |
|
|
|
1,308,192 |
|
|
|
4,162,190 |
|
|
|
Total |
|
|
$1,596,822 |
|
|
|
$1,572,625 |
|
|
|
$1,452,088 |
|
|
|
$4,621,545 |
|
|
A Fund must pay its current ordinary operating expenses before the Advisor is entitled to any reimbursement of fees and/or expenses. Any such reimbursement is contingent upon the Board of Trustees’ review and approval prior to the time the reimbursement is initiated. In additon to the unreimbursed amount expiring 8/31/2024, The United States Treasury Trust Fund had an additional voluntary waiver amount of $176,357 not subject to recoupment.
As compensation for administrative duties not covered by the management agreement, Shelton Capital receives an administration fee, which was revised on January 1, 2011. The administration fee is based on assets held, in aggregate, by the Shelton Funds. The fee rates are 0.10% on the first $500 million, 0.08% on the next $500 million, and 0.06% on combined assets over $1 billion. This administration fee is adjusted annually for inflation using the Consumer Price Index (rounded to the nearest $10 million) with a base year of 2004. Administration fees are disclosed on the Statements of Operations.
Certain officers and trustees of the Trust are also partners of Shelton Capital. Stephen Rogers has served as a trustee and Chairman of the Board of Trustees of the Trust since 1998, and President of the Trust since 1999. Mr. Rogers is also Chief Executive Officer of the Advisor. Gregory T. Pusch has served as the Chief Compliance Officer (“CCO”) of the Trust since March 2017. Mr. Pusch is also employed by Shelton Capital, the Advisor and Administrator to the Trust. The Trust is responsible for the portion of his salary allocated to his duties as the CCO of the Trust during his employment, and Shelton Capital is reimbursed by the Trust for this portion of his salary. The level of reimbursement is reviewed and determined by the Board of Trustees at least annually.
Shelton Funds have adopted a Distribution Plan (the “Plan”), as amended August 1, 2012, pursuant to Rule 12b-1 under the Investment Company Act of 1940, whereby the Class K Shares of each Fund of the Shelton Funds pays the Distributor for expenses that relate to the promotion and distribution of shares. Under the Plan, the Class K Shares of the Funds will pay RFS Partners, an affiliate of the Advisor, the Funds’ distributor (the “Distributor”) a fee at an annual rate of 0.25%, payable monthly, of the daily net assets attributable to such Fund’s Class K Shares.
Shelton Funds adopted a Shareholder Services Plan (the “Services Plan”), whereby the K Shares of each Fund 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.
45
|
Shelton Funds Notes to Financial Statements (Unaudited)February 28, 2022 |
For the period ended February 28, 2022, the following were paid by the Class K Shares of each Fund of the Trust:
|
Fund |
|
Class K |
|
Class K Shareholder Service Fees |
||||
|
|
||||||||
|
U.S. Government Securities Fund |
|
|
$1,691 |
|
|
|
$1,691 |
|
|
S&P 500 Index Fund |
|
|
4,578 |
|
|
|
4,578 |
|
|
S&P MidCap Index Fund |
|
|
1,507 |
|
|
|
1,507 |
|
|
S&P SmallCap Index Fund |
|
|
4,139 |
|
|
|
4,139 |
|
|
Shelton Equity Income Fund |
|
|
1,619 |
|
|
|
1,619 |
|
|
Nasdaq-100 Index fund |
|
|
46,930 |
|
|
|
46,930 |
|
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.
Note 3 - PURCHASES AND SALES OF SECURITIES
Purchases and sales of securities other than short-term instruments for the period ended February 28, 2022 were as follows:
|
Fund |
|
Purchases |
|
Sales |
|
Purchases (Excluding U.S. Government Obligations) |
|
Sales (Excluding U.S. Government Obligations) |
||||||||
|
|
||||||||||||||||
|
Green California Tax-Free Income Fund |
|
|
$2,443,180 |
|
|
|
$5,588,578 |
|
|
|
$2,443,180 |
|
|
|
$5,588,578 |
|
|
U.S. Government Securities Fund |
|
|
1,617,875 |
|
|
|
2,958,901 |
|
|
|
— |
|
|
|
— |
|
|
S&P 500 Index Fund |
|
|
2,762,631 |
|
|
|
5,722,171 |
|
|
|
2,762,631 |
|
|
|
5,722,171 |
|
|
S&P MidCap Index Fund |
|
|
8,947,346 |
|
|
|
14,844,046 |
|
|
|
8,947,346 |
|
|
|
14,844,046 |
|
|
S&P SmallCap Index Fund |
|
|
4,023,744 |
|
|
|
5,348,161 |
|
|
|
4,023,744 |
|
|
|
5,348,161 |
|
|
Equity Income Fund |
|
|
110,774,005 |
|
|
|
65,248,361 |
|
|
|
110,774,005 |
|
|
|
65,248,361 |
|
|
Nasdaq-100 Index Fund |
|
|
91,599,186 |
|
|
|
59,767,181 |
|
|
|
91,599,186 |
|
|
|
59,767,181 |
|
|
Green Alpha Fund |
|
|
39,750,642 |
|
|
|
14,685,603 |
|
|
|
39,750,642 |
|
|
|
14,685,603 |
|
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, 2022, the Shelton Equity Income Fund had written option contracts outstanding:
|
Derivatives not Accounted for as Hedging Instruments |
|
Liability Derivatives Statement of Assets and Liabilities Location |
|
Fair Value |
|
|
||||
|
Equity Contracts |
|
Written options, at value |
|
$ 181,263 |
The effect of derivative instruments on the Funds’ Statement of Operations for the period ended February 28, 2022 , was as follows:
|
Derivatives not Accounted |
|
Location of Gains/(Loss) on |
|
Realized Gain/ |
|
Change in Unrealized Gain/(Loss) on Derivatives Recognized in Income |
|
|
||||||
|
Equity Contracts |
|
Net realized gains (losses) from: Written option |
|
$ 1,595,621 |
|
$ 68,060 |
Volume of derivative instruments held by the Funds during the period ended February 28, 2022, was as follows:
|
Derivative Type |
|
Unit of Measurement |
|
Average |
|
|
||||
|
Written Option Contracts |
|
Contracts |
|
$ (540,807) |
46
|
Shelton Funds Notes to Financial Statements (Unaudited)February 28, 2022 |
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, 2021, 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) Paid-In Capital |
|
Increase/(Decrease) Accumulated |
||||
|
|
||||||||
|
U.S. Government Securities Fund |
|
|
$(246,727 |
) |
|
|
$246,727 |
|
|
The United States Treasury Trust |
|
|
(5,175 |
) |
|
|
5,175 |
|
|
S&P 500 Index Fund |
|
|
(156 |
) |
|
|
156 |
|
|
Shelton Green Alpha Fund |
|
|
63,071 |
|
|
|
(63,071 |
) |
Tax Basis of Distributable Earnings: The tax character of distributable earnings at August 31, 2021 was as follows:
|
|
|
Undistributed Tax-Exempt Income |
|
Undistributed Ordinary Income |
|
Undistributed Long-Term Capital Gain |
|
Unrealized Appreciation/ (Depreciation) |
|
Other Accumulated Gains/Losses |
|
Total Distributable Earnings |
|
||||||||||||
|
|
|||||||||||||||||||||||||
|
Green California Tax-Free Income Fund |
|
|
$50,614 |
|
|
|
$— |
|
|
|
$— |
|
|
|
$4,323,104 |
|
|
|
$(266,001 |
) |
|
|
$4,107,717 |
|
|
|
U.S. Government Securities Fund |
|
|
— |
|
|
|
23,445 |
|
|
|
— |
|
|
|
826,744 |
|
|
|
(98,760 |
) |
|
|
751,429 |
|
|
|
The United States Treasury Trust |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(1,680 |
) |
|
|
(1,680 |
) |
|
|
S&P 500 Index Fund |
|
|
— |
|
|
|
569,935 |
|
|
|
10,734,020 |
|
|
|
176,038,690 |
|
|
|
6,267 |
|
|
|
187,348,912 |
|
|
|
S&P MidCap Index Fund |
|
|
— |
|
|
|
2,711,036 |
|
|
|
6,661,818 |
|
|
|
54,370,731 |
|
|
|
20 |
|
|
|
63,743,605 |
|
|
|
S&P SmallCap Index Fund |
|
|
— |
|
|
|
711,965 |
|
|
|
4,475,340 |
|
|
|
26,203,443 |
|
|
|
(8,182 |
) |
|
|
31,382,566 |
|
|
|
Equity Income Fund |
|
|
— |
|
|
|
4,936,702 |
|
|
|
5,576,546 |
|
|
|
33,981,924 |
|
|
|
(257 |
) |
|
|
44,494,915 |
|
|
|
Nasdaq-100 Index Fund |
|
|
— |
|
|
|
2,136,047 |
|
|
|
28,065,092 |
|
|
|
793,298,981 |
|
|
|
(376 |
) |
|
|
823,499,744 |
|
|
|
Green Alpha Fund |
|
|
— |
|
|
|
1,221,910 |
|
|
|
11,087,608 |
|
|
|
104,096,074 |
|
|
|
(8 |
) |
|
|
116,405,584 |
|
|
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, 2020-August 31, 2021 to the period ending August 31, 2022.
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, 2021, available to offset future capital gains, if any, are as follows:
|
Expiring |
|
U.S. Government Securities Fund |
|
Green California Tax-Free Income Fund |
|
United States Treasury Trust Fund |
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Long Term with No Expiration |
|
|
$(50,600 |
) |
|
|
$(163,784 |
) |
|
|
$(1,680 |
) |
|
|
Short Term with No Expiration |
|
|
(30,120 |
) |
|
|
(717 |
) |
|
|
— |
|
|
|
Total |
|
|
$(80,720 |
) |
|
|
$(164,501 |
) |
|
|
$(1,680 |
) |
|
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.
47
|
Shelton Funds Notes to Financial Statements (Unaudited)February 28, 2022 |
The tax character of distributions paid during the years ended August 31, 2021 and 2020 were as follows:
|
Fund |
|
Year |
|
Ordinary Income |
|
Long-Term Capital |
|
Exempt-Interest Dividends |
|
Total Distributions |
|
||||||||
|
|
|||||||||||||||||||
|
Green California Tax-Free Income Fund |
|
2020 |
|
|
$— |
|
|
|
$86,780 |
|
|
|
$1,137,898 |
|
|
|
$1,224,678 |
|
|
|
|
|
2021 |
|
|
— |
|
|
|
— |
|
|
|
1,113,278 |
|
|
|
1,113,278 |
|
|
|
U.S. Government Securities Fund |
|
2020 |
|
|
270,782 |
|
|
|
— |
|
|
|
— |
|
|
|
270,782 |
|
|
|
|
|
2021 |
|
|
221,988 |
|
|
|
— |
|
|
|
— |
|
|
|
221,988 |
|
|
|
The United States Treasury Trust |
|
2020 |
|
|
261,524 |
|
|
|
— |
|
|
|
— |
|
|
|
261,524 |
|
|
|
|
|
2021 |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
S&P 500 Index Fund |
|
2020 |
|
|
2,808,286 |
|
|
|
14,466,128 |
|
|
|
— |
|
|
|
17,274,414 |
|
|
|
|
|
2021 |
|
|
3,842,509 |
|
|
|
12,667,378 |
|
|
|
— |
|
|
|
16,509,887 |
|
|
|
S&P MidCap Index Fund |
|
2020 |
|
|
1,093,967 |
|
|
|
7,058,757 |
|
|
|
— |
|
|
|
8,152,724 |
|
|
|
|
|
2021 |
|
|
1,575,207 |
|
|
|
7,730,800 |
|
|
|
— |
|
|
|
9,306,007 |
|
|
|
S&P SmallCap Index Fund |
|
2020 |
|
|
377,203 |
|
|
|
4,464,022 |
|
|
|
— |
|
|
|
4,841,225 |
|
|
|
|
|
2021 |
|
|
728,736 |
|
|
|
1,770,410 |
|
|
|
— |
|
|
|
2,499,146 |
|
|
|
Shelton Equity Income Fund |
|
2020 |
|
|
11,953,734 |
|
|
|
9,784,795 |
|
|
|
— |
|
|
|
21,738,529 |
|
|
|
|
|
2021 |
|
|
17,038,360 |
|
|
|
20,962,099 |
|
|
|
— |
|
|
|
38,000,459 |
|
|
|
Nasdaq-100 Index Fund |
|
2020 |
|
|
5,487.003 |
|
|
|
41,231,826 |
|
|
|
— |
|
|
|
46,718,829 |
|
|
|
|
|
2021 |
|
|
8,707,486 |
|
|
|
3,588,234 |
|
|
|
— |
|
|
|
12,295,720 |
|
|
|
Green Alpha Fund |
|
2020 |
|
|
— |
|
|
|
51,691 |
|
|
|
— |
|
|
|
51,691 |
|
|
|
|
|
2021 |
|
|
— |
|
|
|
1,627,679 |
|
|
|
— |
|
|
|
1,627,679 |
|
|
(a)The Funds designate Long-Term Capital Gain dividends pursuant to Section 852(b)(3) of the Internal Revenue Code for the period ended August 31, 2021.
Note 6 – SECURITIES LENDING
The Funds have entered into an agreement with U.S. Bank, N.A. (the “Lending Agent”), dated January 19, 2020 (the “Securities Lending Agreement”), to provide securities lending services to the Funds. Under this program, the Funds may lend securities in their portfolios to approved brokers, dealers and financial institutions (but not individuals). The securities lending agreement requires that loans are collateralized in an amount equal to at least (i) 105% of then current market value of any loaned foreign securities, or (ii) 102% of the then current market value of any other loaned securities at the outset of the loan and at least 100%, at all times thereafter. The Funds have the right under the terms of the securities lending agreement to recall the securities from the borrower on demand. Cash collateral received by the Funds for securities loaned is invested by the Lending Agent in the Mount Vernon Liquid Assets Portfolio, LLC, (“Mount Vernon”). Mount Vernon seeks to maximize current income to the extent consistent with the preservation of capital and liquidity; and to maintain a stable NAV of $1.00.The Funds continue to benefit from interest or dividends on the securities loaned and may also earn a return from the collateral. Such investments are subject to risk of payment delays, declines in the value of collateral provided, default on the part of the issuer or counterparty, and the risk that the investment may not generate sufficient interest to support the costs associated with securities lending. The Funds could also experience delays in recovering their securities and possible loss of income or value if the borrower fails to return the borrowed securities. The Funds are not subject to a master netting arrangement.
Amounts earned from security lending is disclosed in each Fund’s Statement of Operations as a securities lending credit.
As of the period ended February 28, 2022, the value of the securities on loan and payable for collateral were as follows:
|
Fund |
|
Value of Securities |
|
Fund Collateral Received* |
|
|
|
|||||
|
S&P 500 Index Fund |
|
$114,018 |
|
$118,540 |
|
|
S&P MidCap Index Fund |
|
814,733 |
|
806,364 |
^ |
|
S&P SmallCap Index Fund |
|
1,297,945 |
|
1,277,388 |
^ |
|
Nasdaq-100 Index Fund |
|
7,738,658 |
|
7,615,725 |
^ |
*The cash collateral received was invested in the Mount Vernon Liquid Assets Portfolio, LLC, with an overnight and continuous maturity as shown on the Portfolios of Investments.
^Due to market movements as of February 28, 2022, the collateral received was less than the required 100%. Additional collateral was pledged to the Fund to meet the requirement on March 1, 2022.
Note 7 – SUBSEQUENT EVENTS
In preparing the financial statements as of February 28, 2022, 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 was a subsequent event requiring recognition or disclosure.
On March 4, 2022, the Trust issued a new Institutional share class for the Nasdaq-100 Index Fund with the ticker NQQQX. The management fee for the fund is 0.25% as of March 4, 2022. Shelton has contractually agreed to reimburse expenses incurred by the Fund to the extent that total annual fund operating expenses (excluding acquired fund fees and expenses, certain compliance costs, and extraordinary expenses such as litigation or merger and reorganization expenses, for example) exceed 0.49%, 0.99%, and 0.38% for the Direct Class, Class K and Institutional Class shares, respectively, until March 4, 2023.
48
Fund Holdings
The Fund holdings shown in this report are as of February 28, 2022. Holdings are subject to change at any time, so holdings shown in the report may not reflect current Fund holdings. The Fund files its complete schedule of portfolio holdings with the Commission for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The Fund’s Form N-PORT is available on the SEC’s website at www.sec.gov. The information filed in the Form N-PORT also may be obtained by calling (800) 955-9988.
Proxy Voting Policy
The Fund’s Statement of Additional Information (“SAI”) containing a description of the policies and procedures that the Shelton Funds uses to determine how to vote proxies relating to portfolio securities, along with each Fund’s proxy voting record relating to portfolio securities held during the 12-month period ended June 30, 2021 is available upon request, at no charge, at the phone number above, or on the SEC’s website at www.sec.gov.
About this Report
This report is submitted for the general information of the shareholders of the Shelton Funds. It is authorized for distribution only if preceded or accompanied by a current Shelton Funds prospectus. Additional copies of the prospectus may be obtained by calling (800) 955-9988 or can be downloaded from the Fund’s website at www.sheltoncap.com. Please read the prospectus carefully before you invest, as it explains the risks, fees and expenses of investing in the Fund.
Overall responsibility for management of the Funds rests with the Board of Trustees. The Trustees serve during the lifetime of the Trust and until its termination, or until death, resignation, retirement or removal. The Trustees, in turn, elect the officers of the Fund to actively supervise its day-to-day operations. The officers have been elected for an annual term. The following are the Trustees and Executive Officers of the Funds:
|
Name |
|
Address |
|
Year of Birth |
|
Position Held with the Trust |
|
Length of Time Served |
|
Stephen C Rogers |
|
1875 Lawrence Street, |
|
1966 |
|
Chairman of the Board, |
|
Since August 1999, |
|
Kevin T. Kogler |
|
1875 Lawrence Street, |
|
1966 |
|
Trustee |
|
Since May 2006 |
|
Marco L. Quazzo |
|
1875 Lawrence Street, |
|
1962 |
|
Trustee |
|
Since August 2014 |
|
Stephen H. Sutro |
|
1875 Lawrence Street, |
|
1969 |
|
Trustee |
|
Since May 2006 |
|
William P. Mock |
|
1875 Lawrence Street, |
|
1966 |
|
Treasurer |
|
Since February 2010 |
|
Gregory T. Pusch |
|
1875 Lawrence Street, |
|
1966 |
|
Chief Compliance Officer, |
|
Since March 2017 |
Each Trustee oversees the Trust’s nine Funds. The principal occupations of the Trustees and Executive Officers of the Funds during the past five years and public directorships held by the Trustees are set forth below:
|
Stephen C. Rogers* |
|
Chief Executive Officer, Shelton Capital Management, 1999 to present. |
|
Kevin T. Kogler |
|
President & Founder of MicroBiz, LLC, 2012 to present. |
|
Marco L. Quazzo |
|
Principal, Bartko Zankel Bunzel & Miller, March 2015-Present. |
|
Stephen H. Sutro |
|
Managing Partner, Duane Morris, LLP (law firm) 2014 to present; Partner, Duane Morris LLP (law firm), 2003 to present. |
|
William P. Mock |
|
Portfolio Manager, Shelton Capital Management, 2010 to present. |
|
Gregory T. Pusch |
|
General Counsel and Chief Compliance Officer, Shelton Capital Management, 2017 to present. |
Additional information about the Trustees may be found in the SAI, which is available without charge by calling (800) 955-9988.
*Trustee deemed to be an “interested person” of the Trust, as defined in the Investment Company Act of 1940. Mr. Rogers is an interested person because he is the CEO of Shelton Capital Management, the Trust’s Advisor and Administrator.
49
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 11, 2021, 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 October 1, 2020 through September 30, 2021(“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.
(b) Not Applicable.
ITEM 2. CODE OF ETHICS.
(a) Not applicable.
(b) Not applicable.
(c) Not applicable.
(d) Not applicable.
(e) Not applicable.
(f) Not applicable.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable.
ITEM 6. SCHEDULE OF INVESTMENTS.
| (a) | Investments in securities of unaffiliated issuers as of the close of the reporting period are included as part of the report to shareholders filed under Item 1 of this Form N-CSR. |
| (b) | Not applicable. |
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
There have been no material changes to the procedures by which the shareholders may recommend nominees to the Registrant's board of trustees since the Registrant last provided disclosure in response to the requirements of Item 7(d)(2)(ii)(G) of Schedule 14A or this Item.
ITEM 11. CONTROLS AND PROCEDURES.
| (a) | The Registrant's principal executive and principal financial officers, or persons performing similar functions, have concluded that the Registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the "1940 Act") (17 CFR 270.30a-3(c)) are effective as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)). |
| (b) | There were no changes in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act that occurred during the 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.
Not applicable.
ITEM 13. EXHIBITS.
| (a)(1) | Not applicable |
| (a)(2) | Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002, as amended (“SOX”), are filed as Exhibit 13(a)(2) to this Form N-CSR. |
| (a)(3) | Not applicable |
| (a)(4) | Not applicable. |
| (b) | Certifications required by Rule 30a-2(b) under the 1940 Act, Section 906 of SOX, Rule 13a-14(b) under the Exchange Act, and Section 1350 of Chapter 63 of Title 18 of the United States Code are furnished as Exhibit 13(b) to this Form N-CSR. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Shelton Funds
| By | /s/ Stephen C. Rogers | |
| Stephen C. Rogers, President | ||
| Date: May 04, 2022 | ||
| Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated. | ||
| By | /s/ Stephen C. Rogers | |
| Stephen C. Rogers, President | ||
| Date: May 04, 2022 | ||
| By | /s/ William P. Mock | |
| William P. Mock, Treasurer | ||
| Date: May 04, 2022 | ||