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OMB APPROVAL
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OMB Number: 3235-0570
Expires: January 31, 2014
Estimated average burden hours per response: 20.6
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Shelton Funds
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(Exact name of registrant as specified in charter)
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1050 17th Street, Suite 1710, Denver, CO 80265
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(Address of principal executive offices) (Zip code)
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(Name and address of agent for service)
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Semi-Annual Report
February 28, 2017
California Tax-Free Income Fund
U.S. Government Securities Fund
Short-Term U.S. Government Bond Fund
The United States Treasury Trust
S&P 500 Index Fund
S&P MidCap Index Fund
S&P SmallCap Index Fund
Shelton Core Value Fund
European Growth & Income Fund
Nasdaq-100 Index Fund
Shelton Green Alpha Fund
(800) 955-9988
www.sheltoncap.com
email us at info@sheltoncap.com
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.
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Table of Contents |
February 28, 2017 |
|
About Your Fund’s Expenses |
2 |
|
Top Holdings and Sector Breakdowns |
4 |
|
Portfolio of Investments |
8 |
|
Statements of Assets & Liabilities |
25 |
|
Statements of Operations |
28 |
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Statements of Changes in Net Assets |
31 |
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Financial Highlights |
36 |
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Notes to Financial Statements |
47 |
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Fund Holdings |
54 |
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Proxy Voting Policies, Procedures and Voting Records |
54 |
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Board of Trustees and Executive Officers |
55 |
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Board Approval of the Advisory Agreements |
56 |
1
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About Your Fund’s Expenses (Unaudited) February 28, 2017 |
|
Beginning |
Ending |
Expenses Paid |
Net Annual Expense Ratio |
|
|
California Tax-Free Income Fund |
||||
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Direct Shares |
||||
|
Based on Actual Fund Return |
$ 1,000 |
$ 1,012 |
$ 3.44 |
0.69% |
|
Based on Hypothetical 5% Return before expenses |
$ 1,000 |
$ 1,022 |
$ 3.46 |
0.69% |
|
U.S. Government Securities Fund |
||||
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Direct Shares |
||||
|
Based on Actual Fund Return |
$ 1,000 |
$ 1,005 |
$ 3.68 |
0.74% |
|
Based on Hypothetical 5% Return before expenses |
$ 1,000 |
$ 1,021 |
$ 3.71 |
0.74% |
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K Shares |
||||
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Based on Actual Fund Return |
$ 1,000 |
$ 1,004 |
$ 6.16 |
1.24% |
|
Based on Hypothetical 5% Return before expenses |
$ 1,000 |
$ 1,019 |
$ 6.21 |
1.24% |
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Short-Term U.S. Government Bond Fund |
||||
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Direct Shares |
||||
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Based on Actual Fund Return |
$ 1,000 |
$ 1,001 |
$ 2.93 |
0.59% |
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Based on Hypothetical 5% Return before expenses |
$ 1,000 |
$ 1,022 |
$ 2.96 |
0.59% |
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K Shares |
||||
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Based on Actual Fund Return |
$ 1,000 |
$ 1,001 |
$ 5.41 |
1.09% |
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Based on Hypothetical 5% Return before expenses |
$ 1,000 |
$ 1,020 |
$ 5.46 |
1.09% |
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The United States Treasury Trust |
||||
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Direct Shares |
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Based on Actual Fund Return |
$ 1,000 |
$ 1,000 |
$ 1.09 |
0.22% |
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Based on Hypothetical 5% Return before expenses |
$ 1,000 |
$ 1,024 |
$ 1.10 |
0.22% |
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K Shares |
||||
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Based on Actual Fund Return |
$ 1,000 |
$ 1,000 |
$ 1.09 |
0.22% |
|
Based on Hypothetical 5% Return before expenses |
$ 1,000 |
$ 1,024 |
$ 1.10 |
0.22% |
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S&P 500 Index Fund |
||||
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Direct Shares |
||||
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Based on Actual Fund Return |
$ 1,000 |
$ 1,058 |
$ 1.84 |
0.36% |
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Based on Hypothetical 5% Return before expenses |
$ 1,000 |
$ 1,023 |
$ 1.81 |
0.36% |
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K Shares |
||||
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Based on Actual Fund Return |
$ 1,000 |
$ 1,057 |
$ 4.39 |
0.86% |
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Based on Hypothetical 5% Return before expenses |
$ 1,000 |
$ 1,021 |
$ 4.31 |
0.86% |
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S&P MidCap Index Fund |
||||
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Direct Shares |
||||
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Based on Actual Fund Return |
$ 1,000 |
$ 1,040 |
$ 2.93 |
0.58% |
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Based on Hypothetical 5% Return before expenses |
$ 1,000 |
$ 1,022 |
$ 2.91 |
0.58% |
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K Shares |
||||
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Based on Actual Fund Return |
$ 1,000 |
$ 1,039 |
$ 5.46 |
1.08% |
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Based on Hypothetical 5% Return before expenses |
$ 1,000 |
$ 1,020 |
$ 5.41 |
1.08% |
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S&P SmallCap Index Fund |
||||
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Direct Shares |
||||
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Based on Actual Fund Return |
$ 1,000 |
$ 1,012 |
$ 3.69 |
0.74% |
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Based on Hypothetical 5% Return before expenses |
$ 1,000 |
$ 1,021 |
$ 3.71 |
0.74% |
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K Shares |
||||
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Based on Actual Fund Return |
$ 1,000 |
$ 1,011 |
$ 6.18 |
1.24% |
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Based on Hypothetical 5% Return before expenses |
$ 1,000 |
$ 1,019 |
$ 6.21 |
1.24% |
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Shelton Core Value Fund |
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Direct Shares |
||||
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Based on Actual Fund Return |
$ 1,000 |
$ 1,026 |
$ 3.92 |
0.78% |
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Based on Hypothetical 5% Return before expenses |
$ 1,000 |
$ 1,021 |
$ 3.91 |
0.78% |
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K Shares |
||||
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Based on Actual Fund Return |
$ 1,000 |
$ 1,025 |
$ 6.43 |
1.28% |
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Based on Hypothetical 5% Return before expenses |
$ 1,000 |
$ 1,019 |
$ 6.41 |
1.28% |
2
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About Your Fund’s Expenses (Unaudited) February 28, 2017 (Continued) |
|
Beginning |
Ending |
Expenses Paid |
Net Annual Expense Ratio |
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European Growth & Income Fund |
||||
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Direct Shares |
||||
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Based on Actual Fund Return |
$ 1,000 |
$ 1,039 |
$ 5.06 |
1.00% |
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Based on Hypothetical 5% Return before expenses |
$ 1,000 |
$ 1,020 |
$ 5.01 |
1.00% |
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K Shares |
||||
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Based on Actual Fund Return |
$ 1,000 |
$ 1,039 |
$ 7.58 |
1.50% |
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Based on Hypothetical 5% Return before expenses |
$ 1,000 |
$ 1,018 |
$ 7.51 |
1.50% |
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Nasdaq-100 Index Fund |
||||
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Direct Shares |
||||
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Based on Actual Fund Return |
$ 1,000 |
$ 1,096 |
$ 2.55 |
0.49% |
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Based on Hypothetical 5% Return before expenses |
$ 1,000 |
$ 1,023 |
$ 2.46 |
0.49% |
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K Shares |
||||
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Based on Actual Fund Return |
$ 1,000 |
$ 1,095 |
$ 5.14 |
0.99% |
|
Based on Hypothetical 5% Return before expenses |
$ 1,000 |
$ 1,020 |
$ 4.96 |
0.99% |
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Shelton Green Alpha Fund |
||||
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Direct Shares |
||||
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Based on Actual Fund Return |
$ 1,000 |
$ 1,086 |
$ 6.78 |
1.31% |
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Based on Hypothetical 5% Return before expenses |
$ 1,000 |
$ 1,019 |
$ 6.56 |
1.31% |
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* |
Expenses are equal to the Fund’s expense ratio annualized |
3
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Top Holdings and Sector Breakdowns (Unaudited) |
February 28, 2017 |
California Tax-Free Income Fund
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Security |
Description |
Market |
Percentage of Total Investment |
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1 |
East Side Union High School District |
General Obligation Refunding Bonds (2012 Crossover); 2006 |
$ 3,587,255 |
4.7% |
|
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2 |
California State Public Works Board |
Lease Revenue Bonds; 2009 Series I-1 |
3,399,300 |
4.4% |
|
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3 |
Riverside County Palm Desert Financing Authority |
Lease Revenue Bonds; 2008 Series A |
3,178,440 |
4.1% |
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4 |
State of California |
Tax- Exempt Various Purpose General Obligation Bonds |
3,110,490 |
4.0% |
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5 |
Los Rios Community College District |
General Obligation Bonds; 2008 Election, Series B |
2,855,325 |
3.7% |
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6 |
Mount San Antonio Community College District |
General Obligation Bonds; Election of 2008, Series 2013A |
2,703,738 |
3.5% |
|
|
7 |
California Educational Facilities Authority |
Revenue Bonds (University of Southern California); Series 2009A |
2,671,600 |
3.5% |
|
|
8 |
East Bay Municipal Utility District Water System Revenue |
Water System Revenue Bonds; 2015 Series B |
2,484,006 |
3.2% |
|
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9 |
William S Hart Union High School District |
General Obligation Bonds; 2001 Election, Series B |
2,350,483 |
3.0% |
|
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10 |
City of Los Angeles CA |
General Obligation refunding Bonds; Series 2012-A |
2,310,680 |
3.0% |
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U.S. Government Securities Fund
|
Security |
Maturity |
Market |
Percentage of Total Investment |
|
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1 |
US TREASURY NOTE |
11/15/2018 |
$ 2,610,791 |
11.6% |
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2 |
US TREASURY NOTE |
08/15/2023 |
2,556,201 |
11.4% |
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3 |
US TREASURY NOTE |
02/15/2022 |
2,411,626 |
10.8% |
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4 |
US TREASURY NOTE |
08/15/2020 |
2,171,818 |
9.7% |
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5 |
US TREASURY NOTE |
05/15/2025 |
2,170,007 |
9.7% |
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6 |
US TREASURY NOTE |
02/15/2021 |
2,146,563 |
9.6% |
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7 |
US TREASURY NOTE |
03/31/2018 |
2,142,820 |
9.6% |
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8 |
US TREASURY NOTE |
02/15/2019 |
1,956,221 |
8.7% |
|
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9 |
US TREASURY BOND |
05/15/2038 |
1,662,273 |
7.4% |
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10 |
US TREASURY NOTE |
06/30/2017 |
603,863 |
2.7% |
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Short-Term U.S. Government Bond Fund
|
Security |
Maturity |
Market |
Percentage of Total Investment |
|
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|
1 |
U.S. TREASURY NOTES |
01/31/2019 |
$ 1,101,074 |
17.1% |
|
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2 |
U.S. TREASURY NOTES |
01/31/2018 |
1,099,721 |
17.0% |
|
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3 |
U.S. TREASURY NOTES |
01/31/2020 |
1,097,379 |
17.0% |
|
|
4 |
U.S. TREASURY NOTES |
06/15/2018 |
1,001,543 |
15.5% |
|
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5 |
U.S. TREASURY NOTES |
07/31/2017 |
704,935 |
10.9% |
|
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6 |
U.S. TREASURY NOTES |
06/30/2019 |
694,996 |
10.8% |
|
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7 |
U.S. TREASURY NOTES |
07/31/2020 |
607,934 |
9.4% |
|
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8 |
Government National Mortgage Association |
11/20/2034 |
91,397 |
1.4% |
|
|
9 |
Government National Mortgage Association |
06/20/2034 |
54,899 |
0.9% |
|
4
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Top Holdings and Sector Breakdowns (Unaudited) (Continued) |
February 28, 2017 |
The United States Treasury Trust
|
Security |
Maturity |
Market |
Percentage of Total Investment |
|
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1 |
United States Treasury Bill |
03/16/2017 |
$ 13,397,502 |
24.1% |
|
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2 |
United States Treasury Bill |
03/02/2017 |
9,399,879 |
16.9% |
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3 |
United States Treasury Bill |
04/27/2017 |
8,892,038 |
16.0% |
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4 |
United States Treasury Bill |
04/13/2017 |
7,995,743 |
14.4% |
|
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5 |
United States Treasury Bill |
06/08/2017 |
5,991,090 |
10.8% |
|
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6 |
United States Treasury Bill |
08/17/2017 |
3,489,419 |
6.3% |
|
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7 |
United States Treasury Bill |
03/09/2017 |
2,299,793 |
4.1% |
|
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8 |
United States Treasury Bill |
07/20/2017 |
2,194,830 |
3.9% |
|
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9 |
United States Treasury Bill |
05/04/2017 |
1,998,096 |
3.6% |
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S&P 500 Index Fund
|
Security |
Market |
Percentage of Total Investment |
|
|
|
1 |
APPLE INC |
$ 5,987,833 |
3.8% |
|
|
2 |
Microsoft Corp |
3,938,801 |
2.5% |
|
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3 |
Johnson & Johnson |
2,561,277 |
1.6% |
|
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4 |
Exxon Mobil Corp |
2,559,791 |
1.6% |
|
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5 |
JPMorgan Chase & Co |
2,513,346 |
1.6% |
|
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6 |
Amazon.com Inc |
2,365,267 |
1.5% |
|
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7 |
Berkshire Hathaway Inc |
2,312,970 |
1.5% |
|
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8 |
General Electric Co |
2,251,519 |
1.4% |
|
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9 |
Facebook Inc |
2,135,162 |
1.4% |
|
|
10 |
Wells Fargo & Co |
2,036,450 |
1.3% |
|
S&P MidCap Index Fund
|
Security |
Market |
Percentage of Total Investment |
|
|
|
1 |
Advanced Micro Devices |
$ 844,797 |
0.7% |
|
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2 |
Synopsys Inc |
812,844 |
0.6% |
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3 |
Huntington Ingalls Indust |
756,447 |
0.6% |
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4 |
ResMed Inc |
755,667 |
0.6% |
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5 |
Alleghany Corp |
753,649 |
0.6% |
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6 |
Raymond James Financial |
753,390 |
0.6% |
|
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7 |
SVB Financial Group |
748,289 |
0.6% |
|
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8 |
CDK Global Inc |
748,201 |
0.6% |
|
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9 |
WhiteWave Foods Co |
733,776 |
0.6% |
|
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10 |
Computer Sciences Corp |
728,724 |
0.6% |
|
5
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Top Holdings and Sector Breakdowns (Unaudited) (Continued) |
February 28, 2017 |
S&P SmallCap Index Fund
|
Security |
Market |
Percentage of Total Investment |
|
|
|
1 |
Take-Two Interactive Soft |
$ 460,968 |
0.7% |
|
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2 |
Coherent Inc |
417,743 |
0.6% |
|
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3 |
Texas Capital Bancshares |
400,105 |
0.6% |
|
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4 |
Masimo Corp |
373,187 |
0.5% |
|
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5 |
PDC Energy Inc |
357,281 |
0.5% |
|
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6 |
Wintrust Financial Corp |
350,517 |
0.5% |
|
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7 |
US Silica Holdings Inc |
343,825 |
0.5% |
|
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8 |
GEO Group Inc |
337,936 |
0.5% |
|
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9 |
United Bankshares Inc |
331,150 |
0.5% |
|
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10 |
Medicines Co |
331,085 |
0.5% |
|
Shelton Core Value Fund
|
Security |
Market |
Percentage of Total Investment |
|
|
|
1 |
Ford Motor Co |
$ 8,804,831 |
5.3% |
|
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2 |
JPMorgan Chase & Co |
6,435,832 |
3.9% |
|
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3 |
Anthem Inc |
5,323,686 |
3.2% |
|
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4 |
Wells Fargo & Co |
5,087,015 |
3.1% |
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5 |
Sprouts Farmers Market |
4,799,600 |
2.9% |
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6 |
Celgene Corp |
4,349,281 |
2.6% |
|
|
7 |
Chevron Corp |
4,131,450 |
2.5% |
|
|
8 |
Schlumberger Ltd |
3,945,676 |
2.4% |
|
|
9 |
Goldman Sachs Group Inc |
3,931,751 |
2.4% |
|
|
10 |
PPG Industries Inc |
3,851,368 |
2.3% |
|
European Growth & Income Fund
|
Security |
Market |
Percentage of Total Investment |
|
|
|
1 |
Novartis AG |
$ 559,463 |
6.0% |
|
|
2 |
Nestle SA |
553,559 |
5.9% |
|
|
3 |
Siemens AG |
485,550 |
5.2% |
|
|
4 |
Roche Holding AG |
473,457 |
5.1% |
|
|
5 |
Bayer AG |
453,514 |
4.9% |
|
|
6 |
AXA SA |
446,694 |
4.8% |
|
|
7 |
Anheuser-Busch InBev SA/N |
405,113 |
4.3% |
|
|
8 |
British American Tobacco |
395,808 |
4.2% |
|
|
9 |
Royal Dutch Shell PLC |
395,454 |
4.2% |
|
|
10 |
LVMH Moet Hennessy Louis |
373,116 |
4.0% |
|
6
|
Top Holdings and Sector Breakdowns (Unaudited) (Continued) |
February 28, 2017 |
Nasdaq-100 Index Fund
|
Security |
Market |
Percentage of Total Investment |
|
|
|
1 |
Apple Inc |
$ 38,343,775 |
10.1% |
|
|
2 |
Alphabet Inc |
26,856,505 |
7.1% |
|
|
3 |
Microsoft Corp |
26,137,110 |
6.9% |
|
|
4 |
Amazon.com Inc |
20,084,911 |
5.3% |
|
|
5 |
Facebook Inc |
18,631,193 |
4.9% |
|
|
6 |
Comcast Corp |
12,131,639 |
3.2% |
|
|
7 |
Intel Corp |
10,945,794 |
2.9% |
|
|
8 |
Cisco Systems Inc |
10,535,814 |
2.8% |
|
|
9 |
Amgen Inc |
8,503,274 |
2.2% |
|
|
10 |
Kraft Heinz Co |
7,099,437 |
1.9% |
|
Shelton Green Alpha Fund
|
Security |
Market |
Percentage of Total Investment |
|
|
|
1 |
Trina Solar Ltd |
$ 1,890,000 |
5.7% |
|
|
2 |
Vestas Wind Systems A/S |
1,626,240 |
4.9% |
|
|
3 |
Canadian Solar Inc |
1,427,840 |
4.3% |
|
|
4 |
Pattern Energy Group Inc |
1,392,930 |
4.2% |
|
|
5 |
IBM |
1,348,650 |
4.0% |
|
|
6 |
Alphabet Inc |
1,275,976 |
3.8% |
|
|
7 |
First Solar Inc |
1,252,174 |
3.7% |
|
|
8 |
WhiteWave Foods Co |
1,156,680 |
3.5% |
|
|
9 |
Skyworks Solutions Inc |
1,137,720 |
3.4% |
|
|
10 |
Tesla Motors Inc |
1,099,956 |
3.3% |
|
7
|
California Tax-Free Income Fund |
Portfolio of Investments (Unaudited) |
2/28/2017 |
|
Security Description |
Par Value |
Rate |
Maturity |
Value |
|||||||||
|
Municipal Bonds (92.38%) |
|||||||||||||
|
CALIFORNIA DEPARTMENT OF PUBLIC WORKS BOARD |
|||||||||||||
|
Lease Revenue Bonds; 2009 Series I-1 |
$ |
3,000,000 |
6.125 |
% |
11/01/2029 |
$ |
3,399,300 |
||||||
|
CALIFORNIA DEPARTMENT OF WATER RESOURCES |
|||||||||||||
|
Power Supply Revenue Bonds; Series 2010L |
1,000,000 |
5.000 |
% |
05/01/2019 |
1,086,190 |
||||||||
|
CALIFORNIA EDUCATIONAL FACILITIES AUTHORITY |
|||||||||||||
|
Revenue Bonds (University of Southern California); Series 2009A |
2,500,000 |
5.250 |
% |
10/01/2038 |
2,671,600 |
||||||||
|
CALIFORNIA HEALTH FACILITIES FINANCING AUTHORITY |
|||||||||||||
|
Revenue Bonds (St. Joseph Health System); Series 2013C |
1,000,000 |
5.000 |
% |
07/01/2043 |
1,092,160 |
||||||||
|
CALIFORNIA INFRASTRUCTURE & ECONOMIC DEVELOPMENT BANK |
|||||||||||||
|
California Infrastructure & Economic Development Bank |
1,200,000 |
5.000 |
% |
10/01/2033 |
1,406,100 |
||||||||
|
CALIFORNIA STATE UNIVERSITY, TRUSTEES OF THE |
|||||||||||||
|
Systemwide Revenue Bonds; Series 2012A |
1,100,000 |
4.000 |
% |
11/01/2030 |
1,169,223 |
||||||||
|
CALIFORNIA, STATE OF |
|||||||||||||
|
Tax-Exempt Various Purpose General Obligation Bonds |
3,000,000 |
5.000 |
% |
04/01/2038 |
3,110,490 |
||||||||
|
EAST BAY MUNICIPAL UTILITY DISTRICT |
|||||||||||||
|
Water System Revenue Bonds; 2015 Series B |
2,050,000 |
5.000 |
% |
06/01/2026 |
2,484,006 |
||||||||
|
EAST SIDE UNION HIGH SCHOOL DISTRICT |
|||||||||||||
|
General Obligation Refunding Bonds (2012 Crossover); 2006 |
2,975,000 |
5.250 |
% |
09/01/2023 |
3,587,255 |
||||||||
|
FOOTHILL-DE ANZA COMMUNITY COLLEGE DISTRICT |
|||||||||||||
|
Election of 1999 General Obligation Bonds; Series C |
2,000,000 |
0.000 |
% |
08/01/2027 |
1,474,420 |
||||||||
|
LA MIRADA REDEVELOPMENT AGENCY, SUCCESSOR AGENCY TO THE |
|||||||||||||
|
Subordinate Tax Allocation Refunding Bonds; 2014 Series A |
1,000,000 |
5.000 |
% |
08/01/2023 |
1,173,410 |
||||||||
|
LOS ANGELES CA WASTEWATER SYSTEM REVENUE |
|||||||||||||
|
Los Angeles CA Wstwter System Revenue Bond |
500,000 |
5.000 |
% |
06/01/2044 |
566,290 |
||||||||
|
LOS ANGELES, CITY OF |
|||||||||||||
|
General Obligation Refunding Bonds; Series 2012-A |
2,000,000 |
5.000 |
% |
09/01/2021 |
2,310,680 |
||||||||
|
LOS ANGELES COMMUNITY COLLEGE DISTRICT |
|||||||||||||
|
General Obligation Bonds; 2008 Election, Series G |
865,000 |
5.000 |
% |
08/01/2028 |
1,028,476 |
||||||||
|
LOS ANGELES COUNTY METROPOLITAN TRANSPORTATION AUTHORITY |
|||||||||||||
|
Proposition A First Tier Senior Sales Tax Revenue Refunding Bonds; Series 2012-A |
1,000,000 |
5.000 |
% |
07/01/2021 |
1,155,200 |
||||||||
|
Proposition C Sales Tax Revenue Refunding Bonds; Senior Bonds; Series 2013-A |
1,500,000 |
5.000 |
% |
07/01/2023 |
1,784,835 |
||||||||
|
Proposition A First Tier Los Angeles County Met Transport |
500,000 |
4.000 |
% |
07/01/2028 |
551,310 |
||||||||
|
LOS ANGELES DEPARTMENT OF WATER AND POWER |
|||||||||||||
|
Power System Revenue Bonds; 2011 Series A |
1,500,000 |
5.000 |
% |
07/01/2018 |
1,582,410 |
||||||||
|
Power System Revenue Bonds; 2013 Series A |
500,000 |
5.000 |
% |
07/01/2017 |
507,190 |
||||||||
|
Water System Revenue Bonds; 2012 Series A |
1,985,000 |
5.000 |
% |
07/01/2037 |
2,252,241 |
||||||||
|
LOS ANGELES, HARBOR DEPARTMENT OF THE CITY OF |
|||||||||||||
|
Revenue Bonds; 2014 Series C |
290,000 |
4.000 |
% |
08/01/2023 |
327,715 |
||||||||
|
LOS RIOS COMMUNITY COLLEGE DISTRICT |
|||||||||||||
|
General Obligation Bonds; 2008 Election, Series B |
2,500,000 |
5.000 |
% |
08/01/2032 |
2,855,325 |
||||||||
|
METROPOLITAN WATER DISTRICT OF SOUTHERN CALIFORNIA |
|||||||||||||
|
Water Revenue Bonds; 2008 Authorization, Series C |
1,000,000 |
5.000 |
% |
07/01/2035 |
1,081,430 |
||||||||
|
MIDPENINSULA REGIONAL OPEN SPACE DISTRICT |
|||||||||||||
|
Midpeninsula Regional Open Space District |
200,000 |
4.000 |
% |
09/01/2021 |
223,036 |
||||||||
|
MT. DIABLO UNIFIED SCHOOL DISTRICT |
|||||||||||||
|
General Obligation Refunding Bonds; Election Of 2002, Series B |
500,000 |
5.000 |
% |
07/01/2020 |
561,965 |
||||||||
|
MT. SAN ANTONIO COMMUNITY COLLEGE DISTRICT |
|||||||||||||
|
General Obligation Bonds; Election of 2008, Series 2013A |
2,345,000 |
5.000 |
% |
08/01/2034 |
2,703,738 |
||||||||
|
PASADENA ELECTRIC REVENUE |
|||||||||||||
|
Electric Revenue Refunding Bonds; Series 2010A |
1,205,000 |
4.000 |
% |
06/01/2020 |
1,315,258 |
||||||||
|
PERALTA COMMUNITY COLLEGE DISTRICT |
|||||||||||||
|
General Obligation Refunding Bonds; 2012 |
1,000,000 |
5.000 |
% |
08/01/2018 |
1,057,640 |
||||||||
|
RANCHO SANTIAGO COMMUNITY COLLEGE DISTRICT |
|||||||||||||
|
General Obligation Refunding Bonds; 2012 |
1,380,000 |
4.000 |
% |
09/01/2020 |
1,509,361 |
||||||||
|
REGENTS OF THE UNIVERSITY OF CALIFORNIA |
|||||||||||||
|
General Revenue Bonds; 2014 Series AM |
925,000 |
5.000 |
% |
05/01/2029 |
1,094,534 |
||||||||
|
RIVERSIDE COUNTY PALM DESERT FINANCING AUTHORITY |
|||||||||||||
|
Lease Revenue Bonds; 2008 Series A |
3,000,000 |
6.000 |
% |
05/01/2022 |
3,178,440 |
||||||||
|
ROSEVILLE FINANCE AUTHORITY ELECTRIC SYSTEM REVENUE |
|||||||||||||
|
Electric System Revenue Refunding Bonds; Series 2013 |
750,000 |
5.000 |
% |
02/01/2025 |
881,783 |
||||||||
|
ROSEVILLE NATURAL GAS FINANCING AUTHORITY |
|||||||||||||
|
Gas Revenue Bonds; Series 2007 |
1,000,000 |
5.000 |
% |
02/01/2024 |
1,131,980 |
||||||||
See accompanying notes to financial statements.
8
|
California Tax-Free Income Fund |
Portfolio of Investments (Unaudited) (Continued) |
2/28/2017 |
|
Security Description |
Par Value |
Rate |
Maturity |
Value |
|||||||||
|
SACRAMENTO MUNICIPAL UTILITY DISTRICT |
|||||||||||||
|
Electric Revenue Bonds; 1997 Series K |
$ |
1,000,000 |
5.250 |
% |
07/01/2024 |
$ |
1,181,590 |
||||||
|
SAN DIEGO COMMUNITY COLLEGE DISTRICT |
|||||||||||||
|
General Obligation Bonds; Election of 2002, Series 2013 |
1,175,000 |
5.000 |
% |
08/01/2027 |
1,388,415 |
||||||||
|
SAN FRANCISCO, CITY AND COUNTY |
|||||||||||||
|
General Obligation Bonds (Clean and Safe Neighborhood Parks Bonds, 2012); Series 2013A |
1,000,000 |
4.000 |
% |
06/01/2033 |
1,055,540 |
||||||||
|
SAN FRANCISCO, CITY AND COUNTY AIRPORT |
|||||||||||||
|
General Obligation Bonds (Clean and Safe Neighborhood Parks Bonds, 2012); Series 2013A |
500,000 |
5.000 |
% |
05/01/2020 |
559,085 |
||||||||
|
SAN FRANCISCO CITY AND COUNTY PUBLIC UTILITIES COMMISSION WASTEWATER REVENUE |
|||||||||||||
|
San Francisco City & County Public Utilities Commission Wastewater Revenue |
700,000 |
4.000 |
% |
10/01/2021 |
778,778 |
||||||||
|
SAN FRANCISCO, PUBLIC UTILITIES COMMISSION WATER REVENUE |
|||||||||||||
|
City of San Francisco CA Public Utilities Commission Water Revenue |
1,170,000 |
5.000 |
% |
11/01/2036 |
1,321,960 |
||||||||
|
San Francisco City and Green Bond Series A |
680,000 |
5.000 |
% |
11/01/2030 |
788,984 |
||||||||
|
SANTA ANA UNIFIED SCHOOL DISTRICT |
|||||||||||||
|
Certificates of Participation; 2007 |
2,000,000 |
5.250 |
% |
04/01/2037 |
2,005,660 |
||||||||
|
SANTA CLARA VALLEY TRANSPORTATION AUTHORITY |
|||||||||||||
|
2000 Measure A Sales Tax Revenue Refunding Bonds; 2015 Series A |
1,000,000 |
5.000 |
% |
04/01/2034 |
1,159,610 |
||||||||
|
SANTA MARIA JOINT UNION HIGH SCHOOL DISTRICT |
|||||||||||||
|
General Obligation Bonds; Election of 2004, Series 2005 |
2,500,000 |
0.000 |
% |
08/01/2029 |
1,582,225 |
||||||||
|
SOUTHERN CALIFORNIA PUBLIC POWER AUTHORITY |
|||||||||||||
|
Windy Point/Windy Flats Project Revenue Bonds; 2010-1 |
1,000,000 |
5.000 |
% |
07/01/2023 |
1,118,020 |
||||||||
|
Souther California Public Power Authority Windy Pt/Windy Flats Project 1 |
1,400,000 |
5.000 |
% |
07/01/2026 |
1,563,282 |
||||||||
|
TUOLUMNE WIND PROJECT AUTHORITY |
|||||||||||||
|
Tuolumne Wind Project Authority |
1,000,000 |
5.000 |
% |
01/01/2020 |
1,107,390 |
||||||||
|
WEST VALLEY-MISSION COMMUNITY COLLEGE DISTRICT |
|||||||||||||
|
General Obligation Bonds; Election of 2004, 2006 Series A (Non-Refunded) |
320,000 |
5.000 |
% |
08/01/2030 |
320,557 |
||||||||
|
WILLIAM S. HART UNION HIGH SCHOOL DISTRICT |
|||||||||||||
|
General Obligation Bonds; 2001 Election, Series B |
3,595,000 |
0.000 |
% |
09/01/2029 |
2,350,483 |
||||||||
|
YUBA COUNTY LEVEE FINANCING AUTHORITY |
|||||||||||||
|
Revenue Bonds; 2008 Series A |
1,305,000 |
5.000 |
% |
09/01/2038 |
1,332,783 |
||||||||
|
Total Municipal Bonds (Cost $68,923,582) |
71,929,351 |
||||||||||||
|
Variable Rate Demand Notes* (6.68%) |
|||||||||||||
|
Metropolitan Water District of Southern California |
1,000,000 |
0.490 |
% |
07/01/2035 |
1,000,000 |
||||||||
|
Sacramento Suburban Water District |
2,000,000 |
1.498 |
% |
11/01/2034 |
2,000,000 |
||||||||
|
Regents of the University of California Medical Center Pooled Revenue |
1,900,000 |
0.200 |
% |
05/15/2032 |
1,900,000 |
||||||||
|
Irvine Ranch Water District |
300,000 |
0.460 |
% |
04/01/2033 |
300,000 |
||||||||
|
Total Variable Rate Demand Notes (Cost $5,200,000) |
5,200,000 |
||||||||||||
|
Total Investments (Cost $74,234,365) (a) (99.06%) |
$ |
77,129,351 |
|||||||||||
|
Other Net Assets (0.94%) |
837,095 |
||||||||||||
|
Net Assets (100.00%) |
$ |
77,966,446 |
|||||||||||
|
(a) |
Aggregate cost for federal income tax purposes is $74,123,582. |
At February 28, 2017, unrealized appreciation (depreciation) of securities for federal income tax purposes is as follows:
|
Unrealized appreciation |
$ |
3,425,813 |
|||||||||||
|
Unrealized depreciation |
(420,043 |
) |
|||||||||||
|
Net unrealized appreciation |
$ |
3,005,769 |
|
* |
Stated maturity reflects next reset date. |
See accompanying notes to financial statements.
9
|
U.S. Government Securities Fund |
Portfolio of Investments (Unaudited) |
2/28/2017 |
|
Security Description |
Par Value |
Rate |
Maturity |
Value |
|||||||||
|
Government National Mortgage Association (7.08%) |
|||||||||||||
|
$ |
2,085 |
10.00 |
09/15/2018 |
$ |
2,119 |
||||||||
|
47,016 |
5.50 |
01/15/2025 |
52,427 |
||||||||||
|
247,703 |
5.50 |
04/15/2036 |
279,426 |
||||||||||
|
80,656 |
5.00 |
07/15/2020 |
85,071 |
||||||||||
|
159,323 |
6.00 |
01/15/2026 |
180,747 |
||||||||||
|
250,399 |
5.00 |
03/15/2038 |
277,997 |
||||||||||
|
111,988 |
6.00 |
06/15/2038 |
127,271 |
||||||||||
|
570,748 |
3.50 |
11/20/2044 |
594,336 |
||||||||||
|
Total Government National Mortgage Association (Cost $1,493,343) |
1,599,394 |
||||||||||||
|
United States Treasury Bonds (9.06%) |
|||||||||||||
|
1,300,000 |
4.50 |
05/15/2038 |
1,662,273 |
||||||||||
|
400,000 |
2.75 |
08/15/2042 |
384,352 |
||||||||||
|
Total United States Treasury Bonds (Cost $1,982,922) |
2,046,625 |
||||||||||||
|
United States Treasury Notes (83.05%) |
|||||||||||||
|
2,500,000 |
3.75 |
11/15/2018 |
2,610,791 |
||||||||||
|
1,900,000 |
2.75 |
02/15/2019 |
1,956,221 |
||||||||||
|
600,000 |
2.50 |
06/30/2017 |
603,863 |
||||||||||
|
2,100,000 |
2.63 |
08/15/2020 |
2,171,818 |
||||||||||
|
2,000,000 |
3.63 |
02/15/2021 |
2,146,563 |
||||||||||
|
2,100,000 |
2.88 |
03/31/2018 |
2,142,820 |
||||||||||
|
2,400,000 |
2.00 |
02/15/2022 |
2,411,626 |
||||||||||
|
2,500,000 |
2.50 |
08/15/2023 |
2,556,201 |
||||||||||
|
2,200,000 |
2.13 |
05/15/2025 |
2,170,007 |
||||||||||
|
Total United States Treasury Notes (Cost $18,725,359) |
18,769,911 |
||||||||||||
|
Total Investments (Cost $22,201,624) (a) (99.19%) |
22,415,930 |
||||||||||||
|
Other Net Assets (0.81%) |
202,957 |
||||||||||||
|
Net Assets (100.00%) |
$ |
22,618,887 |
|||||||||||
|
(a)
|
Aggregate cost for federal income tax purposes is $22,201,624.
|
At February 28, 2017, unrealized appreciation (depreciation) of securities for federal income tax purposes is as follows:
|
Unrealized appreciation |
$ |
362,164 |
||
|
Unrealized depreciation |
(147,858 |
) |
||
|
Net unrealized appreciation |
$ |
214,305 |
Because tax adjustments are calculated annually, the above tax figures reflect the tax adjustments outstanding at the Fund's previous fiscal year end. For the previous fiscal year’s federal income tax information, please refer to the Notes to Financial Statements section in the Fund’s most recent semi-annual and annual reports.
See accompanying notes to financial statements.
10
|
Short-Term U.S. Government Bond Fund |
Portfolio of Investments (Unaudited) |
2/28/2017 |
|
Security Description |
Par Value |
Rate |
Maturity |
Value |
|||||||||
|
Government National Mortgage Association (2.26%) |
|||||||||||||
|
$ |
52,394 |
2.63 |
06/20/2034 |
$ |
54,899 |
||||||||
|
87,996 |
2.25 |
11/20/2034 |
91,397 |
||||||||||
|
Total Government National Mortgage Association (Cost $141,066) |
146,296 |
||||||||||||
|
United States Treasury Notes (97.48%) |
|||||||||||||
|
700,000 |
2.38 |
07/31/2017 |
704,935 |
||||||||||
|
1,100,000 |
1.25 |
01/31/2019 |
1,101,074 |
||||||||||
|
700,000 |
1.00 |
06/30/2019 |
694,996 |
||||||||||
|
1,100,000 |
0.88 |
01/31/2018 |
1,099,721 |
||||||||||
|
1,100,000 |
1.38 |
01/31/2020 |
1,097,379 |
||||||||||
|
600,000 |
2.00 |
07/31/2020 |
607,934 |
||||||||||
|
1,000,000 |
1.13 |
06/15/2018 |
1,001,543 |
||||||||||
|
Total United States Treasury Notes (Cost $6,318,646) |
6,307,581 |
||||||||||||
|
Total Investments (Cost $6,459,712) (a) (99.74%) |
6,453,877 |
||||||||||||
|
Other Net Assets (0.26%) |
20,901 |
||||||||||||
|
Net Assets (100.00%) |
$ |
6,474,778 |
|||||||||||
|
(a) |
Aggregate cost for federal income tax purposes is $6,459,712. |
At February 28, 2017, unrealized appreciation (depreciation) of securities for federal income tax purposes is as follows:
|
Unrealized appreciation |
$ |
6,283 |
|||||||||||
|
Unrealized depreciation |
(12,118 |
) |
|||||||||||
|
Net unrealized depreciation |
$ |
(5,835 |
) |
Because tax adjustments are calculated annually, the above tax figures reflect the tax adjustments outstanding at the Fund's previous fiscal year end. For the previous fiscal year’s federal income tax information, please refer to the Notes to Financial Statements section in the Fund’s most recent semi-annual and annual reports.
|
The United States Treasury Trust |
Portfolio of Investments (Unaudited) |
2/28/2017 |
|
Security Description |
Par Value |
Maturity |
Value |
||||||
|
United States Treasury Bills, DN (b) (99.86%) |
|||||||||
|
$ |
9,400,000 |
03/02/2017 |
$ |
9,399,879 |
|||||
|
8,900,000 |
04/27/2017 |
8,892,038 |
|||||||
|
2,200,000 |
07/20/2017 |
2,194,830 |
|||||||
|
3,500,000 |
08/17/2017 |
3,489,419 |
|||||||
|
2,300,000 |
03/09/2017 |
2,299,793 |
|||||||
|
13,400,000 |
03/16/2017 |
13,397,502 |
|||||||
|
8,000,000 |
04/13/2017 |
7,995,743 |
|||||||
|
2,000,000 |
05/04/2017 |
1,998,096 |
|||||||
|
6,000,000 |
06/08/2017 |
5,991,090 |
|||||||
|
Total United States Treasury Bills, DN (Cost $55,658,389) |
55,658,389 |
||||||||
|
Total Investments (Cost $55,658,389) (a) (99.86%) |
55,658,389 |
||||||||
|
Other Net Assets (0.14%) |
42,709 |
||||||||
|
Net Assets (100.00%) |
$ |
55,701,098 |
|||||||
|
(a)
|
Aggregate cost for federal income tax purposes is $55,658,389.
|
|
(b) |
Discount Note. Yield to maturity is between 0.24% - 0.65%. |
See accompanying notes to financial statements.
11
|
S&P 500 Index Fund |
Portfolio of Investments (Unaudited) |
2/28/2017 |
|
Security Description |
Shares |
Value |
||||||
|
Common Stock (96.99%) |
||||||||
|
Basic Materials (2.34%) |
||||||||
|
AdvanSix Inc |
225 |
$ |
6,138 |
|||||
|
Air Products & Chemicals |
1,615 |
226,859 |
||||||
|
Alcoa Corp |
826 |
28,571 |
||||||
|
CF Industries Holdings In |
1,795 |
56,399 |
||||||
|
Dow Chemical Co/The |
6,895 |
429,283 |
||||||
|
Eastman Chemical Co |
1,048 |
84,102 |
||||||
|
EI du Pont de Nemours & C |
6,896 |
541,612 |
||||||
|
FMC Corp |
1,102 |
63,497 |
||||||
|
Freeport-McMoRan Inc |
6,887 |
92,286 |
||||||
|
Ingevity Corp |
166 |
8,959 |
||||||
|
International Flavors & F |
683 |
85,853 |
||||||
|
International Paper Co |
3,175 |
167,323 |
||||||
|
LyondellBasell Industries |
2,971 |
271,074 |
||||||
|
Monsanto Co |
3,626 |
412,748 |
||||||
|
Mosaic Co/The |
2,068 |
64,501 |
||||||
|
Newmont Mining Corp |
3,766 |
128,948 |
||||||
|
Nucor Corp |
2,404 |
150,418 |
||||||
|
Olin Corp |
4,701 |
146,107 |
||||||
|
PPG Industries Inc |
2,102 |
215,308 |
||||||
|
Praxair Inc |
2,168 |
257,363 |
||||||
|
Sherwin-Williams Co/The |
628 |
193,763 |
||||||
|
United States Steel Corp |
1,093 |
42,321 |
||||||
|
Versum Materials Inc |
807 |
24,460 |
||||||
|
Total Basic Materials |
3,697,893 |
|||||||
|
Communications (12.58%) |
||||||||
|
Alphabet Inc |
2,085 |
1,716,393 |
||||||
|
Alphabet Inc |
2,080 |
1,757,454 |
||||||
|
Amazon.com Inc |
2,799 |
2,365,267 |
||||||
|
AT&T Inc |
46,086 |
1,925,934 |
||||||
|
CBS Corp |
3,433 |
226,303 |
||||||
|
CenturyLink Inc |
4,581 |
111,135 |
||||||
|
Cisco Systems Inc |
39,132 |
1,337,532 |
||||||
|
Comcast Corp |
38,136 |
1,427,049 |
||||||
|
Discovery Communications |
1,878 |
54,011 |
||||||
|
Discovery Communications |
1,878 |
52,715 |
||||||
|
eBay Inc |
8,321 |
282,082 |
||||||
|
Expedia Inc |
689 |
82,019 |
||||||
|
F5 Networks Inc |
602 |
86,249 |
||||||
|
Facebook Inc |
15,753 |
2,135,162 |
||||||
|
Frontier Communications C |
7,522 |
22,039 |
||||||
|
Interpublic Group of Cos |
3,241 |
78,108 |
||||||
|
Juniper Networks Inc |
2,718 |
76,104 |
||||||
|
Level 3 Communications In |
2,152 |
123,202 |
||||||
|
LogMeIn Inc |
232 |
21,254 |
||||||
|
Motorola Solutions Inc |
1,430 |
112,927 |
||||||
|
Netflix Inc |
2,891 |
410,898 |
||||||
|
News Corp |
3,745 |
48,011 |
||||||
|
Omnicom Group Inc |
1,982 |
168,668 |
||||||
|
Priceline Group Inc/The |
361 |
622,411 |
||||||
|
Scripps Networks Interact |
635 |
51,289 |
||||||
|
Symantec Corp |
5,172 |
147,764 |
||||||
|
TEGNA Inc |
1,702 |
43,622 |
||||||
|
Time Warner Inc |
6,232 |
612,045 |
||||||
|
TripAdvisor Inc |
850 |
35,250 |
||||||
|
Twenty-First Century Fox |
13,721 |
410,532 |
||||||
|
VeriSign Inc |
1,159 |
95,583 |
||||||
|
Verizon Communications In |
31,159 |
1,546,421 |
||||||
|
Viacom Inc |
2,740 |
119,053 |
||||||
|
Walt Disney Co/The |
11,733 |
1,291,686 |
||||||
|
Yahoo! Inc |
6,533 |
298,297 |
||||||
|
Total Communications |
19,894,468 |
|||||||
|
Consumer, Cyclical (9.15%) |
||||||||
|
Adient plc |
330 |
|
22,153 |
|||||
|
Advance Auto Parts Inc |
548 |
85,822 |
||||||
|
American Airlines Group I |
5,382 |
249,510 |
||||||
|
AutoNation Inc |
284 |
13,036 |
||||||
|
AutoZone Inc |
275 |
202,551 |
||||||
|
Bed Bath & Beyond Inc |
1,720 |
69,488 |
||||||
|
Best Buy Co Inc |
1,956 |
86,318 |
||||||
|
BorgWarner Inc |
1,664 |
70,204 |
||||||
|
CarMax Inc |
1,689 |
109,008 |
||||||
|
Carnival Corp |
3,334 |
186,537 |
||||||
|
Chipotle Mexican Grill In |
234 |
97,985 |
||||||
|
Coach Inc |
2,156 |
82,122 |
||||||
|
Costco Wholesale Corp |
3,160 |
559,889 |
||||||
|
CVS Health Corp |
8,444 |
680,418 |
||||||
|
Darden Restaurants Inc |
933 |
69,676 |
||||||
|
Delphi Automotive PLC |
2,173 |
165,430 |
||||||
|
Delta Air Lines Inc |
6,380 |
318,553 |
||||||
|
Dollar General Corp |
1,932 |
141,075 |
||||||
|
Dollar Tree Inc |
1,907 |
146,229 |
||||||
|
DR Horton Inc |
2,495 |
79,840 |
||||||
|
Fastenal Co |
2,014 |
100,760 |
||||||
|
Ford Motor Co |
27,615 |
346,016 |
||||||
|
Fossil Group Inc |
377 |
7,129 |
||||||
|
GameStop Corp |
908 |
22,192 |
||||||
|
Gap Inc/The |
2,194 |
54,455 |
||||||
|
General Motors Co |
10,151 |
373,963 |
||||||
|
Genuine Parts Co |
1,170 |
111,981 |
||||||
|
Goodyear Tire & Rubber Co |
1,847 |
64,737 |
||||||
|
Hanesbrands Inc |
3,007 |
60,170 |
||||||
|
Harley-Davidson Inc |
1,765 |
99,511 |
||||||
|
Harman International Indu |
529 |
59,047 |
||||||
|
Hasbro Inc |
950 |
92,027 |
||||||
|
Home Depot Inc/The |
9,889 |
1,433,015 |
||||||
|
ILG Inc |
614 |
11,592 |
||||||
|
Kohl's Corp |
1,587 |
67,638 |
||||||
|
L Brands Inc |
1,787 |
94,032 |
||||||
|
Leggett & Platt Inc |
1,017 |
50,016 |
||||||
|
Lennar Corp |
1,300 |
63,427 |
||||||
|
Lowe's Cos Inc |
7,300 |
542,901 |
||||||
|
Macy's Inc |
2,961 |
98,364 |
||||||
|
Marriott International In |
3,076 |
267,581 |
||||||
|
Mattel Inc |
2,508 |
64,531 |
||||||
|
McDonald's Corp |
7,400 |
944,610 |
||||||
|
Michael Kors Holdings Ltd |
1,328 |
48,472 |
||||||
|
Mohawk Industries Inc |
459 |
103,899 |
||||||
|
Newell Brands Inc |
2,365 |
115,956 |
||||||
|
NIKE Inc |
10,668 |
609,783 |
||||||
|
Nordstrom Inc |
1,123 |
52,399 |
||||||
|
O'Reilly Automotive Inc |
874 |
237,475 |
||||||
|
PACCAR Inc |
2,601 |
173,773 |
||||||
|
PulteGroup Inc |
2,804 |
61,828 |
||||||
|
PVH Corp |
574 |
52,578 |
||||||
|
Ralph Lauren Corp |
449 |
35,619 |
||||||
|
Ross Stores Inc |
3,322 |
227,823 |
||||||
|
ROYAL CARIBBEAN |
1,236 |
118,780 |
||||||
|
Signet Jewelers Ltd |
600 |
38,154 |
||||||
|
Southwest Airlines Co |
5,662 |
327,264 |
||||||
|
Staples Inc |
5,524 |
49,661 |
||||||
|
Starbucks Corp |
10,948 |
622,613 |
||||||
|
Target Corp |
4,818 |
283,154 |
||||||
|
Tiffany & Co |
950 |
87,277 |
||||||
|
TJX Cos Inc/The |
5,416 |
424,885 |
||||||
|
Tractor Supply Co |
1,050 |
74,456 |
||||||
|
Under Armour Inc |
1,210 |
24,950 |
||||||
|
Under Armour Inc |
1,218 |
22,606 |
||||||
|
Urban Outfitters Inc |
803 |
|
20,902 |
|||||
|
VF Corp |
2,588 |
135,741 |
||||||
|
Walgreens Boots Alliance |
6,346 |
548,167 |
||||||
|
Wal-Mart Stores Inc |
11,851 |
840,591 |
||||||
|
Whirlpool Corp |
570 |
101,796 |
||||||
|
WW Grainger Inc |
441 |
109,350 |
||||||
|
Wyndham Worldwide Corp |
1,139 |
94,810 |
||||||
|
Wynn Resorts Ltd |
526 |
50,575 |
||||||
|
Yum China Holdings Inc |
3,354 |
89,183 |
||||||
|
Yum! Brands Inc |
3,354 |
219,083 |
||||||
|
Total Consumer, Cyclical |
14,469,142 |
|||||||
|
Consumer, Non-Cyclical (22.15%) |
||||||||
|
Abbott Laboratories |
13,435 |
605,650 |
||||||
|
AbbVie Inc |
11,424 |
706,460 |
||||||
|
Aetna Inc |
2,841 |
365,807 |
||||||
|
Alexion Pharmaceuticals I |
1,383 |
181,519 |
||||||
|
Allergan plc |
2,930 |
717,323 |
||||||
|
Altria Group Inc |
14,863 |
1,113,536 |
||||||
|
AmerisourceBergen Corp |
1,565 |
143,213 |
||||||
|
Amgen Inc |
5,671 |
1,001,102 |
||||||
|
Anthem Inc |
2,002 |
329,970 |
||||||
|
Archer-Daniels-Midland Co |
4,902 |
230,247 |
||||||
|
Automatic Data Processing |
3,564 |
365,738 |
||||||
|
Avery Dennison Corp |
891 |
71,913 |
||||||
|
Baxter International Inc |
3,880 |
197,570 |
||||||
|
Becton Dickinson and Co |
1,588 |
290,683 |
||||||
|
Biogen Inc |
1,739 |
501,875 |
||||||
|
BIOVERATIV INC |
870 |
45,284 |
||||||
|
Boston Scientific Corp |
11,526 |
282,963 |
||||||
|
Bristol-Myers Squibb Co |
12,265 |
695,548 |
||||||
|
Brown-Forman Corp |
2,162 |
105,419 |
||||||
|
Campbell Soup Co |
1,449 |
85,998 |
||||||
|
Cardinal Health Inc |
2,511 |
204,320 |
||||||
|
Celgene Corp |
6,007 |
741,925 |
||||||
|
Cigna Corp |
2,081 |
309,861 |
||||||
|
Cintas Corp |
801 |
94,526 |
||||||
|
Clorox Co/The |
943 |
129,012 |
||||||
|
COCA-COLA CO/THE |
28,487 |
1,195,315 |
||||||
|
Coca-Cola European Partne |
2,036 |
70,629 |
||||||
|
Colgate-Palmolive Co |
6,558 |
478,603 |
||||||
|
Conagra Brands Inc |
2,987 |
123,094 |
||||||
|
Constellation Brands Inc |
1,083 |
171,991 |
||||||
|
CR Bard Inc |
610 |
149,596 |
||||||
|
Danaher Corp |
4,166 |
356,401 |
||||||
|
DaVita Inc |
1,224 |
84,958 |
||||||
|
DENTSPLY SIRONA Inc |
1,160 |
73,683 |
||||||
|
DR PEPPER SNAPPLE GROUP I |
1,620 |
151,373 |
||||||
|
Ecolab Inc |
1,937 |
240,130 |
||||||
|
Edwards Lifesciences Corp |
1,716 |
161,373 |
||||||
|
Eli Lilly & Co |
7,419 |
614,367 |
||||||
|
Endo International PLC |
1,332 |
18,182 |
||||||
|
Equifax Inc |
870 |
114,066 |
||||||
|
Estee Lauder Cos Inc/The |
1,800 |
149,130 |
||||||
|
Express Scripts Holding C |
5,454 |
385,325 |
||||||
|
General Mills Inc |
4,683 |
282,713 |
||||||
|
Gilead Sciences Inc |
11,004 |
775,562 |
||||||
|
H&R Block Inc |
1,994 |
40,997 |
||||||
|
HCA Holdings Inc |
2,209 |
192,713 |
||||||
|
Henry Schein Inc |
628 |
107,740 |
||||||
|
Hershey Co/The |
1,114 |
120,702 |
||||||
|
Hormel Foods Corp |
2,128 |
75,012 |
||||||
|
Humana Inc |
1,191 |
251,599 |
||||||
|
Intuitive Surgical Inc |
285 |
210,045 |
||||||
|
JM Smucker Co/The |
823 |
116,644 |
||||||
See accompanying notes to financial statements.
12
|
S&P 500 Index Fund |
Portfolio of Investments (Unaudited) (Continued) |
2/28/2017 |
|
Security Description |
Shares |
Value |
||||||
|
Johnson & Johnson |
20,958 |
$ |
2,561,277 |
|||||
|
Kellogg Co |
1,816 |
134,511 |
||||||
|
Kimberly-Clark Corp |
2,926 |
387,841 |
||||||
|
Kraft Heinz Co/The |
4,282 |
391,846 |
||||||
|
Kroger Co/The |
8,014 |
254,845 |
||||||
|
Laboratory Corp of Americ |
705 |
100,293 |
||||||
|
Lamb Weston Holdings Inc |
995 |
38,994 |
||||||
|
Mallinckrodt PLC |
874 |
45,815 |
||||||
|
McCormick & Co Inc/MD |
975 |
95,960 |
||||||
|
McKesson Corp |
1,736 |
260,626 |
||||||
|
Mead Johnson Nutrition Co |
1,560 |
136,952 |
||||||
|
Medtronic PLC |
10,936 |
884,832 |
||||||
|
Merck & Co Inc |
21,298 |
1,402,899 |
||||||
|
Molson Coors Brewing Co |
1,200 |
120,468 |
||||||
|
Mondelez International In |
12,847 |
564,240 |
||||||
|
Monster Beverage Corp |
3,387 |
140,357 |
||||||
|
Moody's Corp |
1,498 |
166,832 |
||||||
|
Mylan NV |
3,101 |
129,777 |
||||||
|
Nielsen Holdings PLC |
1,879 |
83,352 |
||||||
|
Patterson Cos Inc |
758 |
34,451 |
||||||
|
PayPal Holdings Inc |
8,321 |
349,482 |
||||||
|
PepsiCo Inc |
11,411 |
1,259,546 |
||||||
|
Perrigo Co PLC |
677 |
50,619 |
||||||
|
Pfizer Inc |
45,992 |
1,569,247 |
||||||
|
Philip Morris Internation |
11,608 |
1,269,335 |
||||||
|
Procter & Gamble Co/The |
20,266 |
1,845,625 |
||||||
|
Quanta Services Inc |
1,601 |
59,749 |
||||||
|
Quest Diagnostics Inc |
1,168 |
113,810 |
||||||
|
Regeneron Pharmaceuticals |
562 |
209,907 |
||||||
|
Reynolds American Inc |
6,726 |
414,120 |
||||||
|
Robert Half International |
1,032 |
49,784 |
||||||
|
S&P Global Inc |
2,019 |
261,400 |
||||||
|
Shire PLC |
621 |
112,215 |
||||||
|
Stryker Corp |
2,155 |
277,047 |
||||||
|
Sysco Corp |
4,516 |
238,084 |
||||||
|
Tenet Healthcare Corp |
766 |
14,784 |
||||||
|
Thermo Fisher Scientific |
2,658 |
419,113 |
||||||
|
Total System Services Inc |
1,190 |
64,831 |
||||||
|
Tyson Foods Inc |
2,328 |
145,640 |
||||||
|
United Rentals Inc |
724 |
92,694 |
||||||
|
UnitedHealth Group Inc |
7,156 |
1,183,459 |
||||||
|
Universal Health Services |
683 |
85,785 |
||||||
|
VAREX IMAGING CORP |
350 |
12,187 |
||||||
|
Varian Medical Systems In |
875 |
73,404 |
||||||
|
Vertex Pharmaceuticals In |
1,731 |
156,863 |
||||||
|
Western Union Co/The |
4,688 |
92,072 |
||||||
|
Whole Foods Market Inc |
2,358 |
72,320 |
||||||
|
Zimmer Biomet Holdings In |
1,338 |
156,653 |
||||||
|
Zoetis Inc |
3,718 |
198,207 |
||||||
|
Total Consumer, Non-Cyclical |
35,013,552 |
|||||||
|
Diversified (0.02%) |
||||||||
|
Leucadia National Corp |
1,447 |
38,519 |
||||||
|
Total Diversified |
38,519 |
|||||||
|
Energy (6.35%) |
||||||||
|
Anadarko Petroleum Corp |
3,750 |
242,438 |
||||||
|
Apache Corp |
2,792 |
146,831 |
||||||
|
Baker Hughes Inc |
3,384 |
203,988 |
||||||
|
Cabot Oil & Gas Corp |
3,164 |
69,292 |
||||||
|
California Resources Corp |
55 |
983 |
||||||
|
Chesapeake Energy Corp |
3,818 |
20,808 |
||||||
|
Chevron Corp* |
14,364 |
1,615,950 |
||||||
|
Cimarex Energy Co |
657 |
82,598 |
||||||
|
ConocoPhillips |
8,936 |
425,086 |
||||||
|
CONSOL Energy Inc |
1,500 |
23,355 |
||||||
|
Devon Energy Corp |
2,767 |
|
119,977 |
|||||
|
Diamond Offshore Drilling |
576 |
9,700 |
||||||
|
Enbridge Inc |
4,778 |
199,972 |
||||||
|
Ensco PLC |
1,707 |
16,626 |
||||||
|
EOG Resources Inc |
3,850 |
373,412 |
||||||
|
EQT Corp |
1,085 |
64,981 |
||||||
|
Exxon Mobil Corp* |
31,478 |
2,559,791 |
||||||
|
First Solar Inc |
370 |
13,390 |
||||||
|
Halliburton Co |
6,883 |
367,965 |
||||||
|
Helmerich & Payne Inc |
805 |
55,038 |
||||||
|
Hess Corp |
1,823 |
93,775 |
||||||
|
Kinder Morgan Inc/DE |
12,787 |
272,491 |
||||||
|
Marathon Oil Corp |
5,187 |
82,992 |
||||||
|
Marathon Petroleum Corp |
4,098 |
203,261 |
||||||
|
Murphy Oil Corp |
1,357 |
38,390 |
||||||
|
National Oilwell Varco In |
3,192 |
129,021 |
||||||
|
Newfield Exploration Co |
988 |
36,022 |
||||||
|
Noble Energy Inc |
2,616 |
95,249 |
||||||
|
Occidental Petroleum Corp |
5,892 |
386,221 |
||||||
|
ONEOK Inc |
1,546 |
83,561 |
||||||
|
Phillips 66 |
4,078 |
318,859 |
||||||
|
Pioneer Natural Resources |
880 |
163,654 |
||||||
|
Range Resources Corp |
1,202 |
33,199 |
||||||
|
Schlumberger Ltd |
11,025 |
885,969 |
||||||
|
Southwestern Energy Co |
2,561 |
19,233 |
||||||
|
TECHNIPFMC PLC |
1,793 |
57,950 |
||||||
|
Tesoro Corp |
1,028 |
87,575 |
||||||
|
Transocean Ltd |
2,519 |
34,813 |
||||||
|
Valero Energy Corp |
4,032 |
273,974 |
||||||
|
Williams Cos Inc/The |
4,450 |
126,113 |
||||||
|
Total Energy |
10,034,500 |
|||||||
|
Financial (17.78%) |
||||||||
|
Affiliated Managers Group |
409 |
68,683 |
||||||
|
Aflac Inc |
3,445 |
249,246 |
||||||
|
Alliance Data Systems Cor |
400 |
97,192 |
||||||
|
Allstate Corp/The |
3,124 |
256,668 |
||||||
|
American Express Co |
6,577 |
526,555 |
||||||
|
American International Gr |
10,299 |
658,312 |
||||||
|
American Tower Corp |
2,860 |
328,299 |
||||||
|
Ameriprise Financial Inc |
1,369 |
180,024 |
||||||
|
Aon PLC |
2,362 |
273,165 |
||||||
|
Apartment Investment & Ma |
1,070 |
49,787 |
||||||
|
Assurant Inc |
596 |
59,004 |
||||||
|
AvalonBay Communities Inc |
686 |
126,073 |
||||||
|
Bank of America Corp |
77,978 |
1,924,497 |
||||||
|
Bank of New York Mellon C |
8,692 |
409,741 |
||||||
|
BB&T Corp |
5,247 |
253,010 |
||||||
|
Berkshire Hathaway Inc |
13,493 |
2,312,970 |
||||||
|
BlackRock Inc |
941 |
364,600 |
||||||
|
Boston Properties Inc |
1,078 |
149,874 |
||||||
|
Capital One Financial Cor |
4,021 |
377,411 |
||||||
|
CBRE Group Inc |
2,058 |
73,306 |
||||||
|
Charles Schwab Corp/The |
7,272 |
293,862 |
||||||
|
Chubb Ltd |
3,685 |
509,156 |
||||||
|
Cincinnati Financial Corp |
1,179 |
86,020 |
||||||
|
Citigroup Inc |
22,616 |
1,352,663 |
||||||
|
CME Group Inc |
2,250 |
273,285 |
||||||
|
Comerica Inc |
1,331 |
94,874 |
||||||
|
Crown Castle Internationa |
2,156 |
201,651 |
||||||
|
Discover Financial Servic |
3,788 |
269,478 |
||||||
|
E*TRADE Financial Corp |
1,181 |
40,756 |
||||||
|
Equinix Inc |
434 |
163,214 |
||||||
|
Equity Residential |
2,164 |
136,483 |
||||||
|
Essex Property Trust Inc |
463 |
108,666 |
||||||
|
Fifth Third Bancorp |
6,069 |
166,533 |
||||||
|
Four Corners Property Tru |
425 |
|
9,427 |
|||||
|
Franklin Resources Inc |
3,105 |
133,639 |
||||||
|
Genworth Financial Inc |
3,728 |
15,248 |
||||||
|
GGP INC |
4,119 |
102,398 |
||||||
|
Goldman Sachs Group Inc/T |
3,040 |
754,102 |
||||||
|
Hartford Financial Servic |
2,922 |
142,857 |
||||||
|
HCP Inc |
3,020 |
99,026 |
||||||
|
Host Hotels & Resorts Inc |
5,173 |
93,062 |
||||||
|
HUNTINGTON BANCSHARES INC |
5,456 |
77,148 |
||||||
|
Intercontinental Exchange |
4,245 |
242,517 |
||||||
|
Invesco Ltd |
3,410 |
109,768 |
||||||
|
Iron Mountain Inc |
1,369 |
49,763 |
||||||
|
JPMorgan Chase & Co |
27,735 |
2,513,346 |
||||||
|
KeyCorp |
6,704 |
125,834 |
||||||
|
Kimco Realty Corp |
2,994 |
72,605 |
||||||
|
Legg Mason Inc |
743 |
28,026 |
||||||
|
Lincoln National Corp |
2,305 |
161,719 |
||||||
|
Loews Corp |
2,394 |
112,470 |
||||||
|
M&T Bank Corp |
1,180 |
197,025 |
||||||
|
Macerich Co/The |
1,011 |
68,121 |
||||||
|
Marsh & McLennan Cos Inc |
4,025 |
295,757 |
||||||
|
Mastercard Inc |
7,325 |
809,120 |
||||||
|
MetLife Inc |
7,704 |
403,998 |
||||||
|
Morgan Stanley |
10,374 |
473,781 |
||||||
|
Nasdaq Inc |
1,127 |
80,141 |
||||||
|
Navient Corp |
3,621 |
55,800 |
||||||
|
Northern Trust Corp |
1,610 |
140,634 |
||||||
|
People's United Financial |
2,887 |
55,430 |
||||||
|
PNC Financial Services Gr |
3,945 |
501,922 |
||||||
|
Principal Financial Group |
2,041 |
127,644 |
||||||
|
Progressive Corp/The |
4,123 |
161,539 |
||||||
|
Prologis Inc |
3,315 |
169,231 |
||||||
|
Prudential Financial Inc |
3,541 |
391,422 |
||||||
|
Public Storage |
1,035 |
235,421 |
||||||
|
Quality Care Properties I |
604 |
11,464 |
||||||
|
Realty Income Corp |
1,688 |
103,441 |
||||||
|
Regions Financial Corp |
9,066 |
138,438 |
||||||
|
Simon Property Group Inc |
2,175 |
401,070 |
||||||
|
SL Green Realty Corp |
740 |
83,383 |
||||||
|
State Street Corp |
3,093 |
246,543 |
||||||
|
SunTrust Banks Inc |
3,809 |
226,597 |
||||||
|
T Rowe Price Group Inc |
1,965 |
139,928 |
||||||
|
Torchmark Corp |
1,176 |
91,175 |
||||||
|
Travelers Cos Inc/The |
2,411 |
294,721 |
||||||
|
Unum Group |
2,266 |
110,649 |
||||||
|
US Bancorp |
13,884 |
763,620 |
||||||
|
Ventas Inc |
2,081 |
135,369 |
||||||
|
Visa Inc |
14,557 |
1,280,143 |
||||||
|
Vornado Realty Trust |
1,244 |
136,678 |
||||||
|
Wells Fargo & Co* |
35,184 |
2,036,450 |
||||||
|
Welltower Inc |
1,873 |
131,822 |
||||||
|
Weyerhaeuser Co |
5,770 |
194,564 |
||||||
|
XL Group Ltd |
2,249 |
91,062 |
||||||
|
Zions Bancorporation |
1,054 |
47,325 |
||||||
|
Total Financial |
28,109,439 |
|||||||
|
Industrial (10.11%) |
||||||||
|
3M Co |
4,679 |
871,932 |
||||||
|
Agilent Technologies Inc |
2,633 |
135,073 |
||||||
|
Allegion PLC |
703 |
51,031 |
||||||
|
AMETEK Inc |
1,816 |
98,010 |
||||||
|
Amphenol Corp |
2,372 |
164,166 |
||||||
|
Arconic Inc |
2,478 |
71,342 |
||||||
|
Ball Corp |
1,134 |
83,383 |
||||||
|
Boeing Co/The |
4,978 |
897,185 |
||||||
See accompanying notes to financial statements.
13
|
S&P 500 Index Fund |
Portfolio of Investments (Unaudited) (Continued) |
2/28/2017 |
|
Security Description |
Shares |
Value |
||||||
|
Caterpillar Inc |
4,752 |
$ |
459,328 |
|||||
|
CH Robinson Worldwide Inc |
1,280 |
102,874 |
||||||
|
Corning Inc |
9,540 |
263,399 |
||||||
|
CSX Corp |
7,645 |
371,241 |
||||||
|
Cummins Inc |
1,302 |
193,334 |
||||||
|
Deere & Co |
2,547 |
278,871 |
||||||
|
Dover Corp |
1,334 |
106,853 |
||||||
|
Eaton Corp PLC |
3,484 |
250,778 |
||||||
|
Emerson Electric Co |
5,336 |
320,694 |
||||||
|
Expeditors International |
1,549 |
87,333 |
||||||
|
FedEx Corp |
2,148 |
414,521 |
||||||
|
FLIR Systems Inc |
1,158 |
42,510 |
||||||
|
Flowserve Corp |
1,128 |
52,396 |
||||||
|
Fluor Corp |
1,298 |
71,896 |
||||||
|
Fortive Corp |
2,083 |
120,085 |
||||||
|
Garmin Ltd |
806 |
41,598 |
||||||
|
General Dynamics Corp |
2,440 |
463,136 |
||||||
|
General Electric Co |
75,529 |
2,251,519 |
||||||
|
Harris Corp |
833 |
91,547 |
||||||
|
Honeywell International I |
5,633 |
701,309 |
||||||
|
Illinois Tool Works Inc |
2,619 |
345,734 |
||||||
|
Ingersoll-Rand PLC |
2,109 |
167,370 |
||||||
|
Jacobs Engineering Group |
962 |
54,266 |
||||||
|
JB Hunt Transport Service |
690 |
67,737 |
||||||
|
Johnson Controls Internat |
3,308 |
138,738 |
||||||
|
Joy Global Inc |
784 |
22,101 |
||||||
|
Kansas City Southern |
811 |
71,879 |
||||||
|
L3 Technologies Inc |
719 |
121,022 |
||||||
|
Lockheed Martin Corp |
1,981 |
528,095 |
||||||
|
Martin Marietta Materials |
463 |
99,985 |
||||||
|
Masco Corp |
2,627 |
88,740 |
||||||
|
Norfolk Southern Corp |
2,398 |
290,230 |
||||||
|
Northrop Grumman Corp |
1,488 |
367,670 |
||||||
|
Owens-Illinois Inc |
1,395 |
27,621 |
||||||
|
Parker-Hannifin Corp |
1,096 |
169,705 |
||||||
|
Pentair PLC |
1,542 |
89,529 |
||||||
|
PerkinElmer Inc |
1,021 |
55,399 |
||||||
|
Raytheon Co |
2,443 |
376,588 |
||||||
|
Republic Services Inc |
2,203 |
136,476 |
||||||
|
Rockwell Automation Inc |
1,085 |
163,944 |
||||||
|
Rockwell Collins Inc |
1,079 |
103,142 |
||||||
|
Roper Technologies Inc |
694 |
145,185 |
||||||
|
Ryder System Inc |
477 |
36,324 |
||||||
|
Sealed Air Corp |
1,582 |
73,531 |
||||||
|
Snap-on Inc |
424 |
71,940 |
||||||
|
Stanley Black & Decker In |
1,237 |
157,285 |
||||||
|
Stericycle Inc |
642 |
53,209 |
||||||
|
TE Connectivity Ltd |
3,236 |
240,985 |
||||||
|
Textron Inc |
2,069 |
97,864 |
||||||
|
Union Pacific Corp |
6,613 |
713,807 |
||||||
|
United Parcel Service Inc |
5,289 |
559,365 |
||||||
|
United Technologies Corp |
6,172 |
694,659 |
||||||
|
Vulcan Materials Co |
956 |
115,303 |
||||||
|
Waste Management Inc |
3,352 |
245,769 |
||||||
|
Waters Corp |
682 |
105,703 |
||||||
|
WestRock Co |
996 |
53,505 |
||||||
|
Xylem Inc/NY |
1,498 |
72,084 |
||||||
|
Total Industrial |
15,979,829 |
|||||||
|
Technology (13.77%) |
||||||||
|
Accenture PLC |
4,670 |
572,075 |
||||||
|
Adobe Systems Inc |
3,587 |
424,486 |
||||||
|
Akamai Technologies Inc |
1,400 |
87,640 |
||||||
|
Analog Devices Inc |
2,227 |
182,458 |
||||||
|
APPLE INC* |
43,710 |
5,987,833 |
||||||
|
Applied Materials Inc |
9,105 |
329,783 |
||||||
|
Autodesk Inc |
1,669 |
|
144,035 |
|||||
|
BROADCOM LTD |
1,963 |
414,056 |
||||||
|
CA Inc |
2,646 |
85,386 |
||||||
|
Cerner Corp |
2,120 |
116,685 |
||||||
|
Citrix Systems Inc |
1,348 |
106,425 |
||||||
|
Cognizant Technology Solu |
4,408 |
261,262 |
||||||
|
Computer Sciences Corp |
1,256 |
86,111 |
||||||
|
Conduent Inc |
2,062 |
33,178 |
||||||
|
CSRA Inc |
1,256 |
37,454 |
||||||
|
Dell Technologies Inc Cla |
1,662 |
105,520 |
||||||
|
Dun & Bradstreet Corp/The |
396 |
41,794 |
||||||
|
Electronic Arts Inc |
2,629 |
227,409 |
||||||
|
Fidelity National Informa |
1,851 |
152,282 |
||||||
|
Fiserv Inc |
2,114 |
243,956 |
||||||
|
Hewlett Packard Enterpris |
14,359 |
327,672 |
||||||
|
HP Inc |
14,359 |
249,416 |
||||||
|
Intel Corp |
36,299 |
1,314,024 |
||||||
|
International Business Ma |
6,898 |
1,240,398 |
||||||
|
Intuit Inc |
2,031 |
254,769 |
||||||
|
Lam Research Corp |
1,341 |
158,962 |
||||||
|
Linear Technology Corp |
1,694 |
109,399 |
||||||
|
Microchip Technology Inc |
1,401 |
101,601 |
||||||
|
Micron Technology Inc |
6,485 |
152,008 |
||||||
|
Microsoft Corp |
61,563 |
3,938,801 |
||||||
|
NetApp Inc |
2,586 |
108,172 |
||||||
|
NVIDIA Corp |
4,572 |
463,967 |
||||||
|
Oracle Corp |
24,056 |
1,024,545 |
||||||
|
Paychex Inc |
2,454 |
150,725 |
||||||
|
Pitney Bowes Inc |
1,820 |
24,825 |
||||||
|
Qorvo Inc |
1,120 |
74,032 |
||||||
|
QUALCOMM Inc |
12,533 |
707,864 |
||||||
|
Red Hat Inc |
1,433 |
118,667 |
||||||
|
salesforce.com Inc |
3,760 |
305,876 |
||||||
|
Seagate Technology PLC |
2,601 |
125,342 |
||||||
|
Skyworks Solutions Inc |
1,431 |
135,673 |
||||||
|
Teradata Corp |
1,256 |
39,062 |
||||||
|
Texas Instruments Inc |
8,319 |
637,402 |
||||||
|
Western Digital Corp |
2,052 |
157,758 |
||||||
|
Xerox Corp |
10,310 |
76,706 |
||||||
|
Xilinx Inc |
2,112 |
124,228 |
||||||
|
Total Technology |
21,761,718 |
|||||||
|
Utilities (2.74%) |
||||||||
|
AES Corp/VA |
4,674 |
53,844 |
||||||
|
Ameren Corp |
1,808 |
98,880 |
||||||
|
American Electric Power C |
3,645 |
244,106 |
||||||
|
CenterPoint Energy Inc |
2,979 |
81,386 |
||||||
|
CMS Energy Corp |
2,062 |
91,800 |
||||||
|
Consolidated Edison Inc |
2,227 |
171,568 |
||||||
|
Dominion Resources Inc/VA |
4,251 |
330,048 |
||||||
|
DTE Energy Co |
1,258 |
127,536 |
||||||
|
Duke Energy Corp |
5,180 |
427,609 |
||||||
|
Edison International |
2,433 |
194,007 |
||||||
|
Entergy Corp |
1,304 |
99,965 |
||||||
|
Eversource Energy |
2,274 |
133,393 |
||||||
|
Exelon Corp |
6,183 |
226,978 |
||||||
|
FirstEnergy Corp |
3,123 |
101,279 |
||||||
|
NextEra Energy Inc |
3,154 |
413,174 |
||||||
|
NiSource Inc |
2,050 |
49,016 |
||||||
|
NRG Energy Inc |
1,956 |
32,391 |
||||||
|
PG&E Corp |
2,830 |
188,903 |
||||||
|
Pinnacle West Capital Cor |
806 |
66,245 |
||||||
|
PPL Corp |
4,208 |
155,191 |
||||||
|
Public Service Enterprise |
3,861 |
177,529 |
||||||
|
SCANA Corp |
845 |
58,601 |
||||||
|
Sempra Energy |
1,653 |
182,309 |
||||||
|
Southern Co/The |
6,412 |
|
325,858 |
|||||
|
WEC Energy Group Inc |
2,388 |
143,925 |
||||||
|
Xcel Energy Inc |
3,728 |
162,951 |
||||||
|
Total Utilities |
4,338,491 |
|||||||
|
Total Common Stock (Cost $62,535,632) |
153,337,551 |
|||||||
|
Right/Warrant (0.00%) |
||||||||
|
Safeway, Inc-CVR-NonTrad |
1,746 |
1,772 |
||||||
|
Safeway, Inc-CVR-NonTrad |
1,746 |
85 |
||||||
|
Total Right/Warrant (Cost $2,009) |
1,857 |
|||||||
|
Total Investments (Cost $62,537,640) (a) (96.99%) |
$ |
153,339,408 |
||||||
|
Other Net Assets (3.01%) |
4,761,385 |
|||||||
|
Net Assets (100.00%) |
$ |
158,100,793 |
||||||
|
* |
Non-income producing security. |
|
** |
These securities have been fair valued and deemed to be illiquid by the Advisor. At February 28, 2017, the fair value was $1,857, or 0.00% of net assets. |
|
(a) |
Aggregate cost for federal income tax purpose is $62,842,051. |
At February 28, 2017, unrealized appreciation (depreciation) of securities for federal income tax purposes is as follows:
|
Unrealized appreciation |
$ |
92,935,978 |
||
|
Unrealized depreciation |
(2,438,621 |
) |
||
|
Net unrealized appreciation |
$ |
90,497,357 |
Because tax adjustments are calculated annually, the above tax figures reflect the tax adjustments outstanding at the Fund's previous fiscal year end. For the previous fiscal year’s federal income tax information, please refer to the Notes to Financial Statements section in the Fund’s most recent semi-annual and annual reports.
|
(b)
|
Futures contracts at February 28, 2017:
|
Contracts - $50 times premium / delivery month / commitment / exchange
|
S&P 500 E-MINI |
Value at Trade Date |
Notional Value |
Unrealized Appreciation |
|||||||||
|
40 / MARCH 2017 / Long / CME |
$ |
4,506,975 |
$ |
4,725,600 |
$ |
218,625 |
||||||
|
(c) |
A portion of these shares have been pledged in connection with obligations for futures contracts. |
See accompanying notes to financial statements.
14
|
S&P MidCap Index Fund |
Portfolio of Investments (Unaudited) |
2/28/2017 |
|
Security Description |
Shares |
Value |
||||||
|
Common Stock (99.35%) |
||||||||
|
Basic Materials (5.50%) |
||||||||
|
Allegheny Technologies In |
8,230 |
$ |
158,098 |
|||||
|
Ashland Global Holdings I |
4,674 |
563,965 |
||||||
|
Cabot Corp |
4,665 |
270,477 |
||||||
|
Carpenter Technology Corp |
4,953 |
200,894 |
||||||
|
Chemours Co/The |
13,888 |
467,470 |
||||||
|
Commercial Metals Co |
8,847 |
186,937 |
||||||
|
Compass Minerals Internat |
2,545 |
192,911 |
||||||
|
Domtar Corp |
4,751 |
180,966 |
||||||
|
Minerals Technologies Inc |
2,659 |
205,408 |
||||||
|
NewMarket Corp |
691 |
301,062 |
||||||
|
Olin Corp |
13,700 |
425,796 |
||||||
|
PolyOne Corp |
6,360 |
214,205 |
||||||
|
Reliance Steel & Aluminum |
5,496 |
465,236 |
||||||
|
Royal Gold Inc |
4,689 |
309,708 |
||||||
|
RPM International Inc |
10,009 |
533,380 |
||||||
|
Sensient Technologies Cor |
3,370 |
269,398 |
||||||
|
Steel Dynamics Inc |
18,549 |
678,893 |
||||||
|
United States Steel Corp |
12,909 |
499,836 |
||||||
|
Valspar Corp/The |
5,475 |
608,930 |
||||||
|
Versum Materials Inc |
8,135 |
246,572 |
||||||
|
Total Basic Materials |
6,980,141 |
|||||||
|
Communications (2.60%) |
||||||||
|
AMC Networks Inc |
4,438 |
265,437 |
||||||
|
ARRIS International PLC |
13,140 |
339,012 |
||||||
|
Cable One Inc |
421 |
263,302 |
||||||
|
Ciena Corp |
11,260 |
296,588 |
||||||
|
comScore Inc |
3,288 |
78,879 |
||||||
|
FactSet Research Systems |
3,025 |
538,148 |
||||||
|
InterDigital Inc/PA |
2,605 |
218,950 |
||||||
|
John Wiley & Sons Inc |
3,389 |
176,906 |
||||||
|
Meredith Corp |
2,763 |
173,240 |
||||||
|
New York Times Co/The |
9,283 |
133,675 |
||||||
|
Plantronics Inc |
2,393 |
128,169 |
||||||
|
Telephone & Data Systems |
7,088 |
191,589 |
||||||
|
Time Inc |
7,704 |
135,205 |
||||||
|
ViaSat Inc |
3,110 |
214,092 |
||||||
|
WebMD Health Corp |
2,674 |
138,781 |
||||||
|
Total Communications |
3,291,973 |
|||||||
|
Consumer, Cyclical (10.88%) |
||||||||
|
American Eagle Outfitters |
12,812 |
203,070 |
||||||
|
Big Lots Inc |
3,356 |
172,297 |
||||||
|
Brinker International Inc |
4,119 |
173,987 |
||||||
|
Brunswick Corp/DE |
6,709 |
401,802 |
||||||
|
Buffalo Wild Wings Inc |
1,379 |
213,745 |
||||||
|
Cabela's Inc |
3,848 |
180,240 |
||||||
|
CalAtlantic Group Inc |
5,208 |
183,999 |
||||||
|
Carter's Inc |
3,704 |
325,989 |
||||||
|
Casey's General Stores In |
2,920 |
334,574 |
||||||
|
Cheesecake Factory Inc/Th |
3,305 |
201,770 |
||||||
|
Chico's FAS Inc |
9,725 |
140,818 |
||||||
|
Churchill Downs Inc |
840 |
126,252 |
||||||
|
Cinemark Holdings Inc |
7,911 |
331,234 |
||||||
|
Copart Inc |
7,717 |
456,383 |
||||||
|
Cracker Barrel Old Countr |
1,806 |
290,748 |
||||||
|
CST Brands Inc |
5,690 |
273,860 |
||||||
|
Dana Inc |
10,883 |
205,580 |
||||||
|
Deckers Outdoor Corp |
2,383 |
125,894 |
||||||
|
Dick's Sporting Goods Inc |
4,903 |
240,002 |
||||||
|
Domino's Pizza Inc |
3,602 |
683,696 |
||||||
|
Dunkin' Brands Group Inc |
6,880 |
378,469 |
||||||
|
Fossil Group Inc |
2,892 |
54,688 |
||||||
|
GameStop Corp |
7,293 |
|
178,241 |
|||||
|
Herman Miller Inc |
6,124 |
182,495 |
||||||
|
HNI Corp |
3,420 |
156,704 |
||||||
|
HSN Inc |
3,343 |
126,031 |
||||||
|
International Speedway Co |
2,678 |
99,354 |
||||||
|
Jack in the Box Inc |
2,463 |
230,808 |
||||||
|
JC Penney Co Inc |
23,049 |
146,131 |
||||||
|
JetBlue Airways Corp |
23,748 |
474,010 |
||||||
|
Kate Spade & Co |
9,702 |
231,490 |
||||||
|
KB Home |
8,723 |
154,833 |
||||||
|
MSC Industrial Direct Co |
3,322 |
334,160 |
||||||
|
NVR Inc |
265 |
512,767 |
||||||
|
Office Depot Inc |
46,441 |
193,659 |
||||||
|
Panera Bread Co |
1,287 |
297,040 |
||||||
|
Papa John's International |
1,995 |
157,445 |
||||||
|
Polaris Industries Inc |
4,469 |
380,803 |
||||||
|
Pool Corp |
2,978 |
341,606 |
||||||
|
RH |
2,758 |
83,954 |
||||||
|
Sally Beauty Holdings Inc |
8,063 |
176,338 |
||||||
|
Scotts Miracle-Gro Co/The |
3,338 |
302,523 |
||||||
|
Skechers U.S.A. Inc |
11,700 |
300,339 |
||||||
|
Tempur Sealy Internationa |
3,767 |
173,998 |
||||||
|
Texas Roadhouse Inc |
4,276 |
180,875 |
||||||
|
Thor Industries Inc |
3,630 |
402,277 |
||||||
|
Toll Brothers Inc |
11,365 |
388,001 |
||||||
|
Toro Co/The |
7,736 |
465,785 |
||||||
|
TRI Pointe Group Inc |
11,036 |
131,770 |
||||||
|
Tupperware Brands Corp |
3,537 |
213,599 |
||||||
|
Vista Outdoor Inc |
4,401 |
89,032 |
||||||
|
Watsco Inc |
1,930 |
286,161 |
||||||
|
Wendy's Co/The |
15,418 |
214,927 |
||||||
|
Williams-Sonoma Inc* |
6,172 |
299,897 |
||||||
|
World Fuel Services Corp |
5,338 |
193,075 |
||||||
|
Total Consumer, Cyclical |
13,799,223 |
|||||||
|
Consumer, Non-Cyclical (14.61%) |
||||||||
|
Aaron's Inc |
4,816 |
131,380 |
||||||
|
ABIOMED Inc |
2,697 |
318,165 |
||||||
|
Akorn Inc |
5,897 |
122,717 |
||||||
|
Align Technology Inc |
6,026 |
619,232 |
||||||
|
Avis Budget Group Inc |
7,069 |
244,446 |
||||||
|
Avon Products Inc |
32,134 |
141,390 |
||||||
|
Bio-Rad Laboratories Inc |
1,549 |
301,497 |
||||||
|
Bio-Techne Corp |
2,821 |
299,929 |
||||||
|
Boston Beer Co Inc/The |
851 |
135,011 |
||||||
|
Catalent Inc |
9,318 |
267,427 |
||||||
|
CEB Inc |
2,421 |
187,749 |
||||||
|
Charles River Laboratorie |
3,442 |
299,351 |
||||||
|
CoreLogic Inc/United Stat |
6,512 |
255,205 |
||||||
|
Dean Foods Co |
6,796 |
123,959 |
||||||
|
Deluxe Corp |
3,624 |
266,690 |
||||||
|
DeVry Education Group Inc |
5,910 |
190,007 |
||||||
|
Edgewell Personal Care Co |
4,429 |
327,037 |
||||||
|
Flowers Foods Inc |
13,838 |
266,520 |
||||||
|
FTI Consulting Inc |
4,461 |
179,511 |
||||||
|
Gartner Inc |
6,196 |
639,489 |
||||||
|
Globus Medical Inc |
5,432 |
151,064 |
||||||
|
Graham Holdings Co |
421 |
226,603 |
||||||
|
Hain Celestial Group Inc/ |
7,820 |
276,672 |
||||||
|
Halyard Health Inc |
4,818 |
188,191 |
||||||
|
HealthSouth Corp |
6,827 |
288,919 |
||||||
|
Helen of Troy Ltd |
1,916 |
187,193 |
||||||
|
Hill-Rom Holdings Inc |
4,543 |
301,882 |
||||||
|
Ingredion Inc |
5,423 |
655,586 |
||||||
|
Lamb Weston Holdings Inc |
10,475 |
410,515 |
||||||
|
Lancaster Colony Corp |
1,475 |
194,405 |
||||||
|
LifePoint Health Inc |
3,052 |
|
195,481 |
|||||
|
LivaNova PLC |
2,983 |
150,343 |
||||||
|
Live Nation Entertainment |
10,025 |
284,810 |
||||||
|
ManpowerGroup Inc |
5,143 |
499,077 |
||||||
|
MarketAxess Holdings Inc |
2,724 |
531,807 |
||||||
|
MEDNAX Inc |
7,011 |
499,113 |
||||||
|
Molina Healthcare Inc |
3,819 |
185,260 |
||||||
|
NuVasive Inc |
2,872 |
214,711 |
||||||
|
Owens & Minor Inc |
4,649 |
167,736 |
||||||
|
PAREXEL International Cor |
4,006 |
259,148 |
||||||
|
Post Holdings Inc |
4,823 |
394,859 |
||||||
|
Prestige Brands Holdings |
3,633 |
205,700 |
||||||
|
ResMed Inc |
10,491 |
755,667 |
||||||
|
Rollins Inc |
7,218 |
263,890 |
||||||
|
Service Corp Internationa |
11,069 |
340,150 |
||||||
|
Snyder's-Lance Inc |
5,343 |
211,476 |
||||||
|
Sotheby's |
3,578 |
161,475 |
||||||
|
Sprouts Farmers Market In |
9,882 |
182,422 |
||||||
|
STERIS PLC |
5,692 |
399,180 |
||||||
|
Teleflex Inc |
3,315 |
633,762 |
||||||
|
Tenet Healthcare Corp |
6,678 |
128,885 |
||||||
|
Tootsie Roll Industries I |
2,027 |
79,357 |
||||||
|
TreeHouse Foods Inc |
4,336 |
368,907 |
||||||
|
United Natural Foods Inc |
4,779 |
205,736 |
||||||
|
United Therapeutics Corp |
3,201 |
472,852 |
||||||
|
VCA Inc |
6,094 |
553,945 |
||||||
|
WellCare Health Plans Inc |
3,368 |
475,562 |
||||||
|
West Pharmaceutical Servi |
5,531 |
456,142 |
||||||
|
WEX Inc |
2,900 |
322,567 |
||||||
|
WhiteWave Foods Co/The* |
13,322 |
733,776 |
||||||
|
Total Consumer, Non-Cyclical |
18,531,535 |
|||||||
|
Energy (3.49%) |
||||||||
|
CONSOL Energy Inc |
13,127 |
204,387 |
||||||
|
Denbury Resources Inc |
30,129 |
81,650 |
||||||
|
Diamond Offshore Drilling |
4,925 |
82,937 |
||||||
|
Dril-Quip Inc |
2,847 |
174,663 |
||||||
|
Energen Corp |
7,013 |
368,183 |
||||||
|
Ensco PLC |
20,185 |
196,602 |
||||||
|
Gulfport Energy Corp |
7,290 |
126,409 |
||||||
|
HollyFrontier Corp* |
12,897 |
377,624 |
||||||
|
Murphy USA Inc |
2,631 |
167,595 |
||||||
|
Nabors Industries Ltd |
18,797 |
275,188 |
||||||
|
Noble Corp plc |
18,873 |
126,072 |
||||||
|
NOW Inc |
7,894 |
151,091 |
||||||
|
Oceaneering International |
7,433 |
210,503 |
||||||
|
Oil States International |
5,094 |
187,459 |
||||||
|
Patterson-UTI Energy Inc |
12,375 |
341,798 |
||||||
|
QEP Resources Inc |
16,638 |
228,939 |
||||||
|
Rowan Cos Plc |
9,664 |
175,112 |
||||||
|
SM Energy Co |
6,497 |
160,151 |
||||||
|
Superior Energy Services |
9,508 |
156,882 |
||||||
|
Western Refining Inc |
6,991 |
255,311 |
||||||
|
WPX Energy Inc |
29,753 |
383,814 |
||||||
|
Total Energy |
4,432,368 |
|||||||
|
Financial (26.20%) |
||||||||
|
Banks (7.24%) |
||||||||
|
Associated Banc-Corp |
11,169 |
287,602 |
||||||
|
BancorpSouth Inc |
6,540 |
202,740 |
||||||
|
Bank of Hawaii Corp |
3,239 |
273,566 |
||||||
|
Bank of the Ozarks Inc |
6,111 |
334,455 |
||||||
|
Cathay General Bancorp |
5,662 |
222,403 |
||||||
|
Chemical Financial Corp |
5,278 |
281,159 |
||||||
|
Commerce Bancshares Inc/M |
6,581 |
388,411 |
||||||
|
Cullen/Frost Bankers Inc |
4,294 |
397,066 |
||||||
See accompanying notes to financial statements.
15
|
S&P MidCap Index Fund |
Portfolio of Investments (Unaudited) (Continued) |
2/28/2017 |
|
Security Description |
Shares |
Value |
||||||
|
East West Bancorp Inc* |
10,821 |
$ |
585,633 |
|||||
|
First Horizon National Co |
17,814 |
355,211 |
||||||
|
FNB Corp/PA |
14,289 |
222,480 |
||||||
|
Fulton Financial Corp |
13,099 |
250,518 |
||||||
|
Hancock Holding Co |
6,375 |
302,494 |
||||||
|
International Bancshares |
4,432 |
168,638 |
||||||
|
MB Financial Inc |
5,441 |
244,954 |
||||||
|
PacWest Bancorp |
9,275 |
511,053 |
||||||
|
PrivateBancorp Inc |
5,462 |
309,149 |
||||||
|
Prosperity Bancshares Inc |
5,337 |
397,820 |
||||||
|
Signature Bank/New York N |
4,076 |
642,011 |
||||||
|
SVB Financial Group* |
3,920 |
748,289 |
||||||
|
Synovus Financial Corp |
9,266 |
391,211 |
||||||
|
TCF Financial Corp |
16,020 |
278,748 |
||||||
|
Trustmark Corp |
5,160 |
170,486 |
||||||
|
UMB Financial Corp |
3,300 |
260,106 |
||||||
|
Umpqua Holdings Corp |
16,854 |
317,024 |
||||||
|
Valley National Bancorp |
22,192 |
274,515 |
||||||
|
Webster Financial Corp |
6,910 |
379,566 |
||||||
|
9,197,306 |
||||||||
|
Diversified Finan Service (2.85%) |
||||||||
|
CBOE Holdings Inc |
6,121 |
477,744 |
||||||
|
Eaton Vance Corp |
8,639 |
402,837 |
||||||
|
Federated Investors Inc |
7,087 |
192,554 |
||||||
|
Janus Capital Group Inc |
10,637 |
134,664 |
||||||
|
Legg Mason Inc |
6,940 |
261,777 |
||||||
|
Raymond James Financial I* |
9,590 |
753,390 |
||||||
|
SEI Investments Co |
10,244 |
515,785 |
||||||
|
SLM Corp |
32,515 |
389,855 |
||||||
|
Stifel Financial Corp |
4,809 |
259,494 |
||||||
|
Waddell & Reed Financial |
8,010 |
154,112 |
||||||
|
WisdomTree Investments In |
7,917 |
72,124 |
||||||
|
3,614,336 |
||||||||
|
Insurance (5.28%) |
||||||||
|
Alleghany Corp |
1,167 |
753,649 |
||||||
|
American Financial Group |
5,380 |
506,043 |
||||||
|
Aspen Insurance Holdings |
4,538 |
254,355 |
||||||
|
Brown & Brown Inc |
8,689 |
374,496 |
||||||
|
CNO Financial Group Inc |
13,076 |
273,419 |
||||||
|
Endurance Specialty Holdi |
4,826 |
448,480 |
||||||
|
Everest Re Group Ltd |
3,082 |
724,701 |
||||||
|
First American Financial |
8,355 |
326,430 |
||||||
|
Genworth Financial Inc |
37,014 |
151,387 |
||||||
|
Hanover Insurance Group I |
3,199 |
287,974 |
||||||
|
Kemper Corp |
3,706 |
157,320 |
||||||
|
Mercury General Corp |
2,760 |
161,819 |
||||||
|
Old Republic Internationa |
18,477 |
382,659 |
||||||
|
Primerica Inc |
3,492 |
281,979 |
||||||
|
Reinsurance Group of Amer |
4,912 |
638,855 |
||||||
|
RenaissanceRe Holdings Lt |
3,070 |
453,255 |
||||||
|
WR Berkley Corp |
7,345 |
521,642 |
||||||
|
6,698,462 |
||||||||
|
Real Estate (10.20%) |
||||||||
|
Alexander & Baldwin Inc |
3,496 |
156,726 |
||||||
|
Alexandria Real Estate Eq* |
5,781 |
689,731 |
||||||
|
American Campus Communiti |
9,815 |
501,547 |
||||||
|
Camden Property Trust |
6,565 |
555,727 |
||||||
|
Care Capital Properties I |
5,644 |
148,381 |
||||||
|
CoreCivic Inc |
8,980 |
302,626 |
||||||
|
Corporate Office Properti |
8,366 |
285,197 |
||||||
|
Cousins Properties Inc |
25,361 |
216,837 |
||||||
|
DCT Industrial Trust Inc |
6,212 |
297,182 |
||||||
|
Douglas Emmett Inc |
10,862 |
438,173 |
||||||
|
Duke Realty Corp* |
26,670 |
683,819 |
||||||
|
Education Realty Trust In |
4,640 |
195,576 |
||||||
|
EPR Properties |
4,422 |
340,317 |
||||||
|
Equity One Inc |
6,724 |
|
212,882 |
|||||
|
First Industrial Realty T |
8,145 |
219,101 |
||||||
|
Healthcare Realty Trust I |
7,860 |
251,206 |
||||||
|
Highwoods Properties Inc |
7,529 |
395,197 |
||||||
|
Hospitality Properties Tr |
12,412 |
394,453 |
||||||
|
Jones Lang LaSalle Inc |
2,600 |
298,220 |
||||||
|
Kilroy Realty Corp |
6,874 |
530,329 |
||||||
|
Lamar Advertising Co |
6,070 |
458,164 |
||||||
|
LaSalle Hotel Properties |
8,554 |
247,211 |
||||||
|
Liberty Property Trust |
11,048 |
435,733 |
||||||
|
Life Storage Inc |
3,438 |
304,710 |
||||||
|
Mack-Cali Realty Corp |
8,623 |
251,360 |
||||||
|
Medical Properties Trust |
16,278 |
218,451 |
||||||
|
National Retail Propertie |
10,988 |
497,097 |
||||||
|
Omega Healthcare Investor |
12,220 |
398,861 |
||||||
|
Potlatch Corp |
4,184 |
185,142 |
||||||
|
Quality Care Properties I |
6,748 |
128,077 |
||||||
|
Rayonier Inc |
9,442 |
270,419 |
||||||
|
Regency Centers Corp |
7,921 |
557,242 |
||||||
|
Senior Housing Properties |
17,980 |
368,590 |
||||||
|
Tanger Factory Outlet Cen |
7,221 |
244,575 |
||||||
|
Taubman Centers Inc |
4,514 |
314,897 |
||||||
|
UNITI GROUP INC |
9,408 |
272,550 |
||||||
|
Urban Edge Properties |
8,363 |
231,906 |
||||||
|
Washington Prime Group In |
13,311 |
123,393 |
||||||
|
Weingarten Realty Investo |
8,880 |
314,974 |
||||||
|
12,936,576 |
||||||||
|
Savings & Loans (0.63%) |
||||||||
|
New York Community Bancor |
36,916 |
564,076 |
||||||
|
Washington Federal Inc |
6,781 |
229,537 |
||||||
|
793,613 |
||||||||
|
Total Financial |
33,240,294 |
|||||||
|
Industrial (18.32%) |
||||||||
|
AECOM |
11,777 |
428,094 |
||||||
|
AGCO Corp |
5,146 |
313,494 |
||||||
|
AO Smith Corp |
11,151 |
561,564 |
||||||
|
AptarGroup Inc |
4,737 |
352,954 |
||||||
|
Arrow Electronics Inc |
6,784 |
489,805 |
||||||
|
Avnet Inc |
9,645 |
444,442 |
||||||
|
B/E Aerospace Inc |
7,635 |
485,586 |
||||||
|
Belden Inc |
3,213 |
226,998 |
||||||
|
Bemis Co Inc |
7,187 |
356,260 |
||||||
|
Carlisle Cos Inc |
4,884 |
504,517 |
||||||
|
Clean Harbors Inc |
3,961 |
229,580 |
||||||
|
Cognex Corp |
6,475 |
497,345 |
||||||
|
Crane Co |
3,718 |
268,774 |
||||||
|
Cree Inc |
7,564 |
205,287 |
||||||
|
Curtiss-Wright Corp |
3,144 |
307,578 |
||||||
|
Donaldson Co Inc |
9,971 |
428,254 |
||||||
|
Dycom Industries Inc |
2,403 |
197,479 |
||||||
|
Eagle Materials Inc |
3,522 |
365,267 |
||||||
|
EMCOR Group Inc |
4,602 |
282,931 |
||||||
|
Energizer Holdings Inc |
5,949 |
326,362 |
||||||
|
EnerSys |
3,287 |
252,212 |
||||||
|
Esterline Technologies Co |
2,235 |
198,692 |
||||||
|
GATX Corp |
3,043 |
176,737 |
||||||
|
Genesee & Wyoming Inc |
4,903 |
363,508 |
||||||
|
Gentex Corp |
21,558 |
453,365 |
||||||
|
Graco Inc |
4,168 |
378,288 |
||||||
|
Granite Construction Inc |
3,874 |
205,361 |
||||||
|
Greif Inc |
1,958 |
111,665 |
||||||
|
Hubbell Inc |
3,895 |
462,025 |
||||||
|
Huntington Ingalls Indust |
3,462 |
756,447 |
||||||
|
IDEX Corp |
5,721 |
527,419 |
||||||
|
ITT Inc |
6,716 |
|
275,155 |
|||||
|
Jabil Circuit Inc |
14,253 |
363,594 |
||||||
|
Joy Global Inc |
6,735 |
189,860 |
||||||
|
KBR Inc |
10,499 |
158,010 |
||||||
|
Kennametal Inc |
6,127 |
227,250 |
||||||
|
Keysight Technologies Inc |
12,778 |
480,453 |
||||||
|
Kirby Corp |
4,091 |
283,097 |
||||||
|
KLX Inc |
4,006 |
201,662 |
||||||
|
Knowles Corp |
6,625 |
125,411 |
||||||
|
Landstar System Inc |
3,187 |
276,632 |
||||||
|
Lennox International Inc |
2,924 |
481,349 |
||||||
|
Lincoln Electric Holdings |
3,640 |
306,524 |
||||||
|
Littelfuse Inc |
1,717 |
277,210 |
||||||
|
Louisiana-Pacific Corp |
10,742 |
253,296 |
||||||
|
MSA Safety Inc |
2,387 |
172,461 |
||||||
|
National Instruments Corp |
7,974 |
257,082 |
||||||
|
Nordson Corp |
4,032 |
484,001 |
||||||
|
Old Dominion Freight Line |
5,248 |
481,556 |
||||||
|
Orbital ATK Inc |
4,394 |
406,093 |
||||||
|
Oshkosh Corp |
5,684 |
385,887 |
||||||
|
Owens-Illinois Inc |
12,413 |
245,777 |
||||||
|
Packaging Corp of America |
7,047 |
651,354 |
||||||
|
Regal Beloit Corp |
3,394 |
252,683 |
||||||
|
Silgan Holdings Inc |
2,914 |
173,733 |
||||||
|
Sonoco Products Co |
7,563 |
403,259 |
||||||
|
SYNNEX Corp |
2,051 |
239,803 |
||||||
|
Tech Data Corp |
2,618 |
227,766 |
||||||
|
Teledyne Technologies Inc |
2,642 |
347,185 |
||||||
|
Terex Corp |
8,088 |
252,669 |
||||||
|
Timken Co/The |
5,307 |
234,569 |
||||||
|
Trimble Inc* |
18,971 |
588,670 |
||||||
|
Trinity Industries Inc |
11,596 |
311,237 |
||||||
|
Triumph Group Inc |
5,301 |
147,368 |
||||||
|
Valmont Industries Inc |
1,704 |
267,954 |
||||||
|
Vishay Intertechnology In |
10,173 |
161,242 |
||||||
|
Wabtec Corp/DE |
6,768 |
542,252 |
||||||
|
Werner Enterprises Inc |
4,592 |
128,576 |
||||||
|
Woodward Inc |
4,146 |
292,086 |
||||||
|
Worthington Industries In |
3,368 |
165,200 |
||||||
|
Zebra Technologies Corp |
4,006 |
363,384 |
||||||
|
Total Industrial |
23,241,639 |
|||||||
|
Technology (12.43%) |
||||||||
|
3D Systems Corp |
8,430 |
128,136 |
||||||
|
ACI Worldwide Inc |
8,804 |
172,294 |
||||||
|
Acxiom Corp |
8,198 |
233,807 |
||||||
|
Advanced Micro Devices In* |
58,423 |
844,797 |
||||||
|
Allscripts Healthcare Sol |
13,284 |
161,799 |
||||||
|
ANSYS Inc* |
6,220 |
664,047 |
||||||
|
Broadridge Financial Solu |
8,944 |
620,088 |
||||||
|
Brocade Communications Sy |
33,009 |
406,341 |
||||||
|
Cadence Design Systems In |
21,599 |
667,409 |
||||||
|
CDK Global Inc |
11,263 |
748,201 |
||||||
|
Cirrus Logic Inc |
4,718 |
255,149 |
||||||
|
CommVault Systems Inc |
3,169 |
155,439 |
||||||
|
Computer Sciences Corp |
10,629 |
728,724 |
||||||
|
Convergys Corp |
7,214 |
157,842 |
||||||
|
Cypress Semiconductor Cor |
24,346 |
323,071 |
||||||
|
Diebold Nixdorf Inc |
6,660 |
201,132 |
||||||
|
DST Systems Inc |
2,807 |
335,717 |
||||||
|
Fair Isaac Corp |
1,774 |
230,744 |
||||||
|
Fortinet Inc |
11,009 |
411,186 |
||||||
|
Integrated Device Technol |
10,215 |
244,241 |
||||||
|
IPG Photonics Corp |
2,778 |
328,637 |
||||||
|
j2 Global Inc |
3,256 |
265,104 |
||||||
|
Jack Henry & Associates I |
5,844 |
547,992 |
||||||
See accompanying notes to financial statements.
16
|
S&P MidCap Index Fund |
Portfolio of Investments (Unaudited) (Continued) |
2/28/2017 |
|
Security Description |
Shares |
Value |
||||||
|
Leidos Holdings Inc |
10,785 |
$ |
574,841 |
|||||
|
Manhattan Associates Inc |
5,102 |
255,865 |
||||||
|
MAXIMUS Inc |
4,910 |
292,980 |
||||||
|
Mentor Graphics Corp |
8,229 |
305,296 |
||||||
|
Microsemi Corp |
8,178 |
423,784 |
||||||
|
Monolithic Power Systems |
2,786 |
245,084 |
||||||
|
MSCI Inc |
7,112 |
672,724 |
||||||
|
NCR Corp |
9,391 |
451,425 |
||||||
|
NetScout Systems Inc |
6,887 |
254,475 |
||||||
|
NeuStar Inc |
4,107 |
136,147 |
||||||
|
PTC Inc |
8,525 |
459,412 |
||||||
|
Science Applications Inte |
3,416 |
297,090 |
||||||
|
Silicon Laboratories Inc |
3,776 |
254,880 |
||||||
|
Synaptics Inc |
2,575 |
136,861 |
||||||
|
Synopsys Inc |
11,378 |
812,844 |
||||||
|
Teradyne Inc |
15,196 |
432,174 |
||||||
|
Tyler Technologies Inc |
1,892 |
286,922 |
||||||
|
Ultimate Software Group I |
2,154 |
416,562 |
||||||
|
VeriFone Systems Inc |
10,831 |
223,877 |
||||||
|
Total Technology |
15,765,142 |
|||||||
|
Utilities (5.32%) |
||||||||
|
Aqua America Inc |
13,254 |
420,682 |
||||||
|
Atmos Energy Corp |
7,768 |
608,157 |
||||||
|
Black Hills Corp |
4,587 |
297,605 |
||||||
|
Great Plains Energy Inc |
14,740 |
428,344 |
||||||
|
Hawaiian Electric Industr |
8,128 |
270,500 |
||||||
|
IDACORP Inc |
3,765 |
312,231 |
||||||
|
MDU Resources Group Inc |
14,957 |
405,484 |
||||||
|
National Fuel Gas Co |
6,396 |
385,679 |
||||||
|
New Jersey Resources Corp |
5,790 |
|
228,126 |
|||||
|
NorthWestern Corp |
3,640 |
212,940 |
||||||
|
OGE Energy Corp |
15,051 |
554,328 |
||||||
|
ONE Gas Inc |
3,898 |
255,514 |
||||||
|
PNM Resources Inc |
5,973 |
216,820 |
||||||
|
Southwest Gas Holdings In |
3,218 |
275,236 |
||||||
|
UGI Corp |
12,966 |
625,350 |
||||||
|
Vectren Corp |
6,192 |
348,919 |
||||||
|
Westar Energy Inc* |
10,695 |
577,316 |
||||||
|
WGL Holdings Inc |
3,860 |
322,271 |
||||||
|
Total Utilities |
6,745,503 |
|||||||
|
Total Common Stock (Cost $84,788,006) |
126,027,817 |
|||||||
|
Total Investments (Cost $84,788,006) (a) (99.35%) |
$ |
126,027,817 |
||||||
|
Other Net Assets (0.65%) |
808,880 |
|||||||
|
Net Assets (100.00%) |
$ |
126,836,697 |
||||||
|
* |
Non-income producing security. |
|
(a) |
Aggregate cost for federal income tax purpose is $85,058,273. |
|
At February 28, 2017, unrealized appreciation (depreciation) of securities for federal income tax purposes is as follows: |
||||
|
Unrealized appreciation |
$ |
43,411,892 |
||
|
Unrealized depreciation |
(2,442,347 |
) |
||
|
Net unrealized appreciation |
$ |
40,969,545 |
||
Because tax adjustments are calculated annually, the above tax figures reflect the tax adjustments outstanding at the Fund’s previous fiscal year end. For the previous fiscal year’s federal income tax information, please refer to the Notes to Financial Statements section in the Fund’s most recent semi-annual and annual reports.
|
(b) |
Futures contracts at February 28, 2017: |
Contracts - $100 times premium / delivery month / commitment / exchange
|
S&P MidCap E-MINI |
Value at Trade Date |
Notional Value |
Unrealized Depreciation |
|||||||||
|
3 / MARCH 2017 / Long / CME |
$ |
518,810 |
$ |
518,310 |
$ |
(500 |
) |
|||||
|
(c) |
A portion of these shares have been pledged in connection with obligations for futures contracts. |
|
S&P SmallCap Index Fund |
Portfolio of Investments (Unaudited) |
2/28/2017 |
|
Security Description |
Shares |
Value |
||||||
|
Common Stock (95.81%) |
||||||||
|
Basic Materials (4.76%) |
||||||||
|
A Schulman Inc |
2,777 |
$ |
93,724 |
|||||
|
Aceto Corp |
2,782 |
42,676 |
||||||
|
AdvanSix Inc |
2,911 |
79,412 |
||||||
|
AK Steel Holding Corp |
29,386 |
244,785 |
||||||
|
American Vanguard Corp |
2,434 |
38,336 |
||||||
|
Balchem Corp |
2,938 |
256,105 |
||||||
|
Calgon Carbon Corp |
4,715 |
66,482 |
||||||
|
Century Aluminum Co |
4,083 |
57,509 |
||||||
|
Clearwater Paper Corp |
1,452 |
80,731 |
||||||
|
Deltic Timber Corp |
890 |
66,145 |
||||||
|
Hawkins Inc |
889 |
43,961 |
||||||
|
HB Fuller Co |
4,700 |
232,227 |
||||||
|
Ingevity Corp |
3,901 |
210,537 |
||||||
|
Innophos Holdings Inc |
1,783 |
94,481 |
||||||
|
Innospec Inc |
2,231 |
145,684 |
||||||
|
Kaiser Aluminum Corp |
1,681 |
132,513 |
||||||
|
Koppers Holdings Inc |
1,943 |
85,201 |
||||||
|
Kraton Corp |
2,597 |
70,716 |
||||||
|
Materion Corp |
1,856 |
64,682 |
||||||
|
Neenah Paper Inc |
1,555 |
113,904 |
||||||
|
PH Glatfelter Co |
4,023 |
88,908 |
||||||
|
Quaker Chemical Corp |
1,243 |
163,678 |
||||||
|
Rayonier Advanced Materia |
4,008 |
53,146 |
||||||
|
Schweitzer-Mauduit Intern |
2,851 |
116,977 |
||||||
|
Stepan Co |
1,815 |
137,232 |
||||||
|
Stillwater Mining Co |
11,370 |
193,972 |
||||||
|
US Silica Holdings Inc |
6,799 |
|
343,825 |
|||||
|
Total Basic Materials |
3,317,549 |
|||||||
|
Communications (4.49%) |
||||||||
|
8x8 Inc |
8,427 |
127,248 |
||||||
|
ADTRAN Inc |
4,158 |
87,942 |
||||||
|
ATN International Inc |
997 |
68,185 |
||||||
|
Black Box Corp |
1,103 |
9,927 |
||||||
|
Blucora Inc |
3,365 |
52,494 |
||||||
|
CalAmp Corp |
3,365 |
54,547 |
||||||
|
Cincinnati Bell Inc |
3,903 |
75,328 |
||||||
|
Cogent Communications Hol |
3,826 |
158,588 |
||||||
|
Comtech Telecommunication |
2,159 |
24,634 |
||||||
|
Consolidated Communicatio |
4,731 |
106,684 |
||||||
|
DHI Group Inc |
3,715 |
18,389 |
||||||
|
ePlus Inc |
612 |
77,693 |
||||||
|
EW Scripps Co/The |
5,202 |
119,802 |
||||||
|
FTD Cos Inc |
1,338 |
32,326 |
||||||
|
Gannett Co Inc |
11,003 |
95,946 |
||||||
|
General Communication Inc |
2,942 |
59,281 |
||||||
|
Harmonic Inc |
6,732 |
36,353 |
||||||
|
HealthStream Inc |
2,362 |
57,798 |
||||||
|
Iridium Communications In |
7,675 |
66,773 |
||||||
|
Ixia |
5,871 |
115,072 |
||||||
|
Liquidity Services Inc |
1,721 |
14,026 |
||||||
|
LogMeIn Inc |
2,368 |
217,264 |
||||||
|
Lumos Networks Corp |
2,194 |
38,856 |
||||||
|
NETGEAR Inc |
3,087 |
169,168 |
||||||
|
New Media Investment Grou |
4,876 |
75,237 |
||||||
|
NIC Inc |
5,787 |
|
122,106 |
|||||
|
Perficient Inc |
3,355 |
60,960 |
||||||
|
QuinStreet Inc |
1,826 |
5,898 |
||||||
|
Scholastic Corp |
2,525 |
113,777 |
||||||
|
Shutterstock Inc |
1,618 |
70,561 |
||||||
|
Spok Holdings Inc |
1,924 |
35,017 |
||||||
|
Stamps.com Inc |
1,476 |
186,124 |
||||||
|
TiVo Corp |
11,187 |
206,960 |
||||||
|
VASCO Data Security Inter |
2,814 |
36,582 |
||||||
|
Viavi Solutions Inc |
21,033 |
210,751 |
||||||
|
World Wrestling Entertain |
3,586 |
75,234 |
||||||
|
XO Group Inc |
2,315 |
42,665 |
||||||
|
Total Communications |
3,126,193 |
|||||||
|
Consumer, Cyclical (14.73%) |
||||||||
|
Abercrombie & Fitch Co |
6,591 |
78,828 |
||||||
|
Allegiant Travel Co |
1,230 |
214,143 |
||||||
|
American Axle & Manufactu |
7,070 |
140,127 |
||||||
|
American Woodmark Corp |
1,288 |
111,348 |
||||||
|
Anixter International Inc |
2,621 |
218,329 |
||||||
|
Arctic Cat Inc |
1,013 |
18,741 |
||||||
|
Asbury Automotive Group I |
2,129 |
138,704 |
||||||
|
Ascena Retail Group Inc |
16,548 |
76,121 |
||||||
|
Barnes & Noble Education |
3,275 |
31,440 |
||||||
|
Barnes & Noble Inc |
4,767 |
46,717 |
||||||
|
Belmond Ltd |
7,421 |
96,102 |
||||||
|
Big 5 Sporting Goods Corp |
1,300 |
17,485 |
||||||
|
Biglari Holdings Inc |
103 |
44,231 |
||||||
|
BJ's Restaurants Inc |
1,655 |
60,159 |
||||||
See accompanying notes to financial statements.
17
|
S&P SmallCap Index Fund |
Portfolio of Investments (Unaudited) (Continued) |
2/28/2017 |
|
Security Description |
Shares |
Value |
||||||
|
Bob Evans Farms Inc/DE |
1,840 |
$ |
104,383 |
|||||
|
Boyd Gaming Corp |
7,822 |
153,859 |
||||||
|
Buckle Inc/The |
2,729 |
54,171 |
||||||
|
Caleres Inc |
4,288 |
128,083 |
||||||
|
Callaway Golf Co |
8,817 |
89,140 |
||||||
|
Cato Corp/The |
2,147 |
53,696 |
||||||
|
Cavco Industries Inc |
723 |
86,218 |
||||||
|
Children's Place Inc/The |
1,743 |
176,566 |
||||||
|
Chuy's Holdings Inc |
1,589 |
45,287 |
||||||
|
Cooper-Standard Holdings |
1,625 |
182,000 |
||||||
|
Core-Mark Holding Co Inc |
4,309 |
140,129 |
||||||
|
Crocs Inc |
6,057 |
40,279 |
||||||
|
Daktronics Inc |
2,848 |
26,686 |
||||||
|
Dave & Buster's Entertain |
3,507 |
200,565 |
||||||
|
DineEquity Inc |
1,594 |
95,353 |
||||||
|
Dorman Products Inc |
2,847 |
222,522 |
||||||
|
El Pollo Loco Holdings In |
2,051 |
25,638 |
||||||
|
Essendant Inc |
3,451 |
54,974 |
||||||
|
Ethan Allen Interiors Inc |
2,402 |
69,058 |
||||||
|
Express Inc |
7,585 |
85,255 |
||||||
|
EZCORP Inc |
3,771 |
33,185 |
||||||
|
Fiesta Restaurant Group I |
2,276 |
45,179 |
||||||
|
Finish Line Inc/The |
3,854 |
62,820 |
||||||
|
FirstCash Inc |
4,523 |
200,595 |
||||||
|
Five Below Inc |
5,234 |
201,771 |
||||||
|
Fox Factory Holding Corp |
2,382 |
63,838 |
||||||
|
Francesca's Holdings Corp |
3,184 |
54,032 |
||||||
|
Fred's Inc |
3,297 |
58,456 |
||||||
|
G&K Services Inc |
1,847 |
174,542 |
||||||
|
Genesco Inc |
1,901 |
110,828 |
||||||
|
Gentherm Inc |
3,390 |
122,888 |
||||||
|
G-III Apparel Group Ltd |
4,287 |
110,305 |
||||||
|
Group 1 Automotive Inc |
1,928 |
149,786 |
||||||
|
Guess? Inc |
6,053 |
76,873 |
||||||
|
Haverty Furniture Cos Inc |
1,506 |
34,939 |
||||||
|
Hawaiian Holdings Inc |
5,031 |
244,758 |
||||||
|
Hibbett Sports Inc |
2,017 |
59,502 |
||||||
|
Iconix Brand Group Inc |
5,384 |
41,511 |
||||||
|
ILG Inc |
9,859 |
186,138 |
||||||
|
Installed Building Produc |
1,853 |
87,184 |
||||||
|
Interface Inc |
6,070 |
114,723 |
||||||
|
iRobot Corp |
2,556 |
145,896 |
||||||
|
Kirkland's Inc |
1,134 |
12,814 |
||||||
|
La-Z-Boy Inc |
4,599 |
124,173 |
||||||
|
LCI Industries |
2,273 |
244,802 |
||||||
|
LGI Homes Inc |
1,599 |
46,387 |
||||||
|
Lithia Motors Inc |
2,251 |
215,353 |
||||||
|
Lumber Liquidators Holdin |
2,055 |
36,435 |
||||||
|
M/I Homes Inc |
2,305 |
54,398 |
||||||
|
Marcus Corp/The |
1,435 |
44,772 |
||||||
|
MarineMax Inc |
2,374 |
53,415 |
||||||
|
Marriott Vacations Worldw |
2,270 |
213,221 |
||||||
|
MDC Holdings Inc |
3,553 |
103,712 |
||||||
|
Meritage Homes Corp |
3,559 |
126,522 |
||||||
|
Mobile Mini Inc |
4,151 |
135,115 |
||||||
|
Monarch Casino & Resort I |
1,008 |
25,684 |
||||||
|
Motorcar Parts of America |
1,536 |
43,576 |
||||||
|
Movado Group Inc |
1,360 |
32,980 |
||||||
|
Nautilus Inc |
2,880 |
46,368 |
||||||
|
Ollie's Bargain Outlet Ho |
4,581 |
143,614 |
||||||
|
Oxford Industries Inc |
1,411 |
79,312 |
||||||
|
Perry Ellis International |
1,141 |
26,574 |
||||||
|
PetMed Express Inc |
1,968 |
41,446 |
||||||
|
Popeyes Louisiana Kitchen |
1,798 |
142,060 |
||||||
|
Red Robin Gourmet Burgers |
1,127 |
51,448 |
||||||
|
Regis Corp |
3,353 |
41,275 |
||||||
|
Ruby Tuesday Inc |
4,509 |
|
8,567 |
|||||
|
Ruth's Hospitality Group |
2,518 |
42,428 |
||||||
|
ScanSource Inc |
2,274 |
91,529 |
||||||
|
Scientific Games Corp |
4,712 |
97,303 |
||||||
|
Select Comfort Corp |
4,000 |
93,960 |
||||||
|
Shake Shack Inc |
1,691 |
60,589 |
||||||
|
Shoe Carnival Inc |
1,254 |
31,776 |
||||||
|
SkyWest Inc |
4,867 |
171,075 |
||||||
|
Sonic Automotive Inc |
2,552 |
55,378 |
||||||
|
Sonic Corp |
4,191 |
105,948 |
||||||
|
Stage Stores Inc |
2,517 |
5,865 |
||||||
|
Standard Motor Products I |
1,887 |
90,519 |
||||||
|
Stein Mart Inc |
2,099 |
7,556 |
||||||
|
Steven Madden Ltd |
5,154 |
192,502 |
||||||
|
Superior Industries Inter |
2,154 |
48,250 |
||||||
|
Tailored Brands Inc |
4,698 |
108,571 |
||||||
|
Tile Shop Holdings Inc |
2,791 |
49,122 |
||||||
|
Titan International Inc |
4,154 |
54,999 |
||||||
|
Tuesday Morning Corp |
2,971 |
10,844 |
||||||
|
Unifi Inc |
1,118 |
30,510 |
||||||
|
UniFirst Corp/MA |
1,446 |
192,463 |
||||||
|
Universal Electronics Inc |
1,358 |
93,295 |
||||||
|
Vera Bradley Inc |
1,892 |
19,790 |
||||||
|
Veritiv Corp |
881 |
49,028 |
||||||
|
Vitamin Shoppe Inc |
2,435 |
51,866 |
||||||
|
Wabash National Corp |
5,501 |
116,346 |
||||||
|
Wingstop Inc |
2,683 |
70,563 |
||||||
|
Winnebago Industries Inc |
2,474 |
81,642 |
||||||
|
Wolverine World Wide Inc |
9,450 |
237,857 |
||||||
|
XPERI CORP |
4,510 |
161,684 |
||||||
|
Zumiez Inc |
1,661 |
33,884 |
||||||
|
Total Consumer, Cyclical |
10,257,248 |
|||||||
|
Consumer, Non-Cyclical (17.79%) |
||||||||
|
Abaxis Inc |
2,079 |
103,638 |
||||||
|
ABM Industries Inc |
5,199 |
212,067 |
||||||
|
Acorda Therapeutics Inc |
4,239 |
112,122 |
||||||
|
Adeptus Health Inc |
1,004 |
6,777 |
||||||
|
Air Methods Corp |
3,098 |
117,259 |
||||||
|
Albany Molecular Research |
2,263 |
33,877 |
||||||
|
Almost Family Inc |
841 |
41,756 |
||||||
|
AMAG Pharmaceuticals Inc |
2,970 |
66,677 |
||||||
|
Amedisys Inc |
2,589 |
124,842 |
||||||
|
American Public Education |
1,343 |
32,433 |
||||||
|
AMN Healthcare Services I |
4,459 |
183,488 |
||||||
|
Amphastar Pharmaceuticals |
2,996 |
46,348 |
||||||
|
Analogic Corp |
1,042 |
85,809 |
||||||
|
Andersons Inc/The |
2,428 |
96,027 |
||||||
|
AngioDynamics Inc |
2,906 |
47,513 |
||||||
|
ANI Pharmaceuticals Inc |
638 |
37,687 |
||||||
|
Anika Therapeutics Inc |
1,228 |
57,458 |
||||||
|
B&G Foods Inc* |
6,277 |
266,773 |
||||||
|
BioTelemetry Inc |
2,681 |
68,231 |
||||||
|
Brink's Co/The |
4,167 |
222,726 |
||||||
|
Calavo Growers Inc |
1,434 |
80,878 |
||||||
|
Cal-Maine Foods Inc |
2,602 |
98,746 |
||||||
|
Cambrex Corp |
2,936 |
165,444 |
||||||
|
Cantel Medical Corp |
3,331 |
273,508 |
||||||
|
Capella Education Co |
1,059 |
80,590 |
||||||
|
Cardtronics PLC |
4,242 |
186,987 |
||||||
|
Career Education Corp |
5,984 |
49,847 |
||||||
|
CDI Corp |
1,083 |
9,909 |
||||||
|
Central Garden & Pet Co |
829 |
27,979 |
||||||
|
Central Garden & Pet Co |
3,166 |
101,154 |
||||||
|
Chemed Corp |
1,521 |
271,575 |
||||||
|
Community Health Systems |
11,035 |
107,591 |
||||||
|
CONMED Corp |
2,170 |
|
90,315 |
|||||
|
CorVel Corp |
665 |
26,866 |
||||||
|
Cross Country Healthcare |
2,732 |
42,264 |
||||||
|
CryoLife Inc |
2,477 |
39,632 |
||||||
|
Cynosure Inc |
2,227 |
146,982 |
||||||
|
Darling Ingredients Inc |
15,421 |
200,627 |
||||||
|
Depomed Inc |
5,699 |
93,407 |
||||||
|
Diplomat Pharmacy Inc |
3,580 |
48,509 |
||||||
|
Eagle Pharmaceuticals Inc |
683 |
52,379 |
||||||
|
Emergent BioSolutions Inc |
3,115 |
97,749 |
||||||
|
Enanta Pharmaceuticals In |
1,283 |
36,976 |
||||||
|
Ensign Group Inc/The |
4,002 |
75,398 |
||||||
|
Forrester Research Inc |
996 |
36,354 |
||||||
|
Green Dot Corp |
3,947 |
115,687 |
||||||
|
Haemonetics Corp |
4,772 |
178,139 |
||||||
|
Healthcare Services Group |
6,739 |
278,860 |
||||||
|
HealthEquity Inc |
3,985 |
174,145 |
||||||
|
Heidrick & Struggles Inte |
1,449 |
35,428 |
||||||
|
HMS Holdings Corp |
7,829 |
145,854 |
||||||
|
ICU Medical Inc |
1,366 |
205,446 |
||||||
|
Impax Laboratories Inc |
6,867 |
97,855 |
||||||
|
Innoviva Inc |
6,577 |
75,964 |
||||||
|
Inogen Inc |
1,471 |
100,940 |
||||||
|
Insperity Inc |
1,764 |
146,853 |
||||||
|
Integer Holdings Corp |
2,539 |
91,785 |
||||||
|
Integra LifeSciences Hold |
5,567 |
237,934 |
||||||
|
Inter Parfums Inc |
1,357 |
46,952 |
||||||
|
Invacare Corp |
2,936 |
35,526 |
||||||
|
J&J Snack Foods Corp |
1,404 |
187,855 |
||||||
|
Kelly Services Inc |
2,711 |
57,961 |
||||||
|
Kindred Healthcare Inc |
8,030 |
72,270 |
||||||
|
Korn/Ferry International |
5,401 |
166,945 |
||||||
|
Landauer Inc |
760 |
39,710 |
||||||
|
Lannett Co Inc |
2,208 |
48,576 |
||||||
|
LendingTree Inc |
663 |
78,499 |
||||||
|
LHC Group Inc |
1,403 |
67,372 |
||||||
|
Ligand Pharmaceuticals In |
1,739 |
181,952 |
||||||
|
LSC Communications Inc |
2,457 |
69,828 |
||||||
|
Luminex Corp |
3,649 |
67,798 |
||||||
|
Magellan Health Inc |
2,025 |
140,029 |
||||||
|
Masimo Corp |
4,130 |
373,187 |
||||||
|
Matthews International Co |
2,997 |
197,352 |
||||||
|
Medicines Co/The |
6,316 |
331,085 |
||||||
|
Medifast Inc |
932 |
41,791 |
||||||
|
Meridian Bioscience Inc |
3,910 |
50,244 |
||||||
|
Merit Medical Systems Inc |
4,138 |
127,450 |
||||||
|
MiMedx Group Inc |
9,191 |
78,767 |
||||||
|
Momenta Pharmaceuticals I |
5,728 |
88,498 |
||||||
|
Monro Muffler Brake Inc |
3,077 |
176,928 |
||||||
|
Natus Medical Inc |
3,019 |
111,778 |
||||||
|
Navigant Consulting Inc |
4,384 |
102,147 |
||||||
|
Nektar Therapeutics |
13,587 |
177,718 |
||||||
|
Neogen Corp |
3,465 |
224,740 |
||||||
|
Nutrisystem Inc |
2,854 |
132,711 |
||||||
|
On Assignment Inc |
4,519 |
213,252 |
||||||
|
PharMerica Corp |
2,861 |
70,381 |
||||||
|
Phibro Animal Health Corp |
1,518 |
42,276 |
||||||
|
Providence Service Corp/T |
925 |
37,574 |
||||||
|
Quorum Health Corp |
2,753 |
23,538 |
||||||
|
Rent-A-Center Inc/TX |
4,452 |
38,599 |
||||||
|
Repligen Corp |
3,105 |
97,839 |
||||||
|
Resources Connection Inc |
2,990 |
50,531 |
||||||
|
RR Donnelley & Sons Co |
6,596 |
110,615 |
||||||
|
Sanderson Farms Inc |
1,857 |
176,489 |
||||||
|
SciClone Pharmaceuticals |
4,692 |
46,451 |
||||||
|
Select Medical Holdings C |
10,042 |
144,605 |
||||||
See accompanying notes to financial statements.
18
|
S&P SmallCap Index Fund |
Portfolio of Investments (Unaudited) (Continued) |
2/28/2017 |
|
Security Description |
Shares |
Value |
||||||
|
Seneca Foods Corp |
660 |
$ |
24,783 |
|||||
|
SpartanNash Co |
3,520 |
122,848 |
||||||
|
Spectrum Pharmaceuticals |
6,375 |
40,800 |
||||||
|
Strayer Education Inc |
963 |
74,671 |
||||||
|
Supernus Pharmaceuticals |
4,379 |
112,540 |
||||||
|
SUPERVALU Inc |
25,986 |
98,227 |
||||||
|
Surgical Care Affiliates |
2,614 |
148,266 |
||||||
|
Surmodics Inc |
1,229 |
30,418 |
||||||
|
Team Inc |
2,474 |
84,982 |
||||||
|
TIVITY HEALTH INC |
2,801 |
80,949 |
||||||
|
TrueBlue Inc |
3,979 |
103,255 |
||||||
|
Universal Corp/VA |
2,224 |
150,565 |
||||||
|
US Physical Therapy Inc |
1,042 |
78,827 |
||||||
|
Viad Corp |
1,887 |
89,066 |
||||||
|
WD-40 Co |
1,342 |
147,486 |
||||||
|
Zeltiq Aesthetics Inc |
3,311 |
183,297 |
||||||
|
Total Consumer, Non-Cyclical |
12,388,859 |
|||||||
|
Energy (2.84%) |
||||||||
|
Archrock Inc |
6,587 |
89,913 |
||||||
|
Atwood Oceanics Inc |
6,906 |
72,582 |
||||||
|
Bill Barrett Corp |
7,117 |
39,215 |
||||||
|
Bristow Group Inc |
2,639 |
41,459 |
||||||
|
CARBO Ceramics Inc |
1,539 |
19,745 |
||||||
|
Carrizo Oil & Gas Inc |
5,724 |
186,316 |
||||||
|
Cloud Peak Energy Inc |
4,772 |
23,812 |
||||||
|
Contango Oil & Gas Co |
1,147 |
8,511 |
||||||
|
Era Group Inc |
1,546 |
21,304 |
||||||
|
Exterran Corp |
2,938 |
89,433 |
||||||
|
Flotek Industries Inc |
5,110 |
69,087 |
||||||
|
FutureFuel Corp |
1,732 |
22,914 |
||||||
|
Geospace Technologies Cor |
1,047 |
17,286 |
||||||
|
Green Plains Inc |
3,350 |
83,918 |
||||||
|
Gulf Island Fabrication I |
900 |
10,260 |
||||||
|
Helix Energy Solutions Gr |
12,478 |
103,068 |
||||||
|
Matrix Service Co |
2,446 |
39,625 |
||||||
|
Newpark Resources Inc |
7,931 |
61,069 |
||||||
|
Northern Oil and Gas Inc |
4,291 |
12,873 |
||||||
|
PDC Energy Inc* |
5,286 |
357,281 |
||||||
|
Pioneer Energy Services C |
7,129 |
37,427 |
||||||
|
REX American Resources Co |
531 |
44,190 |
||||||
|
SEACOR Holdings Inc |
1,507 |
103,757 |
||||||
|
SunCoke Energy Inc |
5,562 |
54,230 |
||||||
|
Synergy Resources Corp |
18,424 |
150,524 |
||||||
|
Tesco Corp |
4,255 |
35,529 |
||||||
|
TETRA Technologies Inc |
10,727 |
48,164 |
||||||
|
Unit Corp |
4,869 |
132,145 |
||||||
|
Total Energy |
1,975,636 |
|||||||
|
Financial (23.32%) |
||||||||
|
Acadia Realty Trust* |
7,637 |
244,613 |
||||||
|
Agree Realty Corp |
2,475 |
122,834 |
||||||
|
American Assets Trust Inc* |
3,791 |
166,804 |
||||||
|
American Equity Investmen |
7,937 |
213,585 |
||||||
|
Ameris Bancorp |
3,207 |
154,898 |
||||||
|
AMERISAFE Inc |
1,791 |
115,161 |
||||||
|
Astoria Financial Corp |
8,425 |
155,778 |
||||||
|
Banc of California Inc |
4,269 |
83,032 |
||||||
|
Bank Mutual Corp |
3,500 |
33,950 |
||||||
|
Banner Corp |
2,440 |
141,813 |
||||||
|
BofI Holding Inc |
5,309 |
167,446 |
||||||
|
Boston Private Financial |
7,622 |
131,098 |
||||||
|
Brookline Bancorp Inc |
6,504 |
103,088 |
||||||
|
Capstead Mortgage Corp |
9,068 |
95,939 |
||||||
|
Cardinal Financial Corp |
2,999 |
93,689 |
||||||
|
CareTrust REIT Inc |
6,063 |
95,674 |
||||||
|
Cedar Realty Trust Inc |
7,158 |
|
42,017 |
|||||
|
Central Pacific Financial |
2,628 |
82,992 |
||||||
|
Chesapeake Lodging Trust |
5,655 |
136,625 |
||||||
|
City Holding Co |
1,381 |
90,456 |
||||||
|
Columbia Banking System I |
5,344 |
213,172 |
||||||
|
Community Bank System Inc |
4,087 |
242,809 |
||||||
|
CoreSite Realty Corp |
3,213 |
289,395 |
||||||
|
Customers Bancorp Inc |
2,375 |
81,534 |
||||||
|
CVB Financial Corp |
9,231 |
219,236 |
||||||
|
DiamondRock Hospitality C |
18,866 |
205,073 |
||||||
|
Dime Community Bancshares |
2,890 |
62,135 |
||||||
|
EastGroup Properties Inc |
3,079 |
228,893 |
||||||
|
eHealth Inc |
1,639 |
17,963 |
||||||
|
Employers Holdings Inc |
2,978 |
111,973 |
||||||
|
Encore Capital Group Inc |
2,204 |
73,393 |
||||||
|
Enova International Inc |
1,954 |
28,040 |
||||||
|
Evercore Partners Inc |
3,608 |
287,016 |
||||||
|
Fidelity Southern Corp |
1,943 |
45,797 |
||||||
|
Financial Engines Inc |
4,970 |
220,171 |
||||||
|
First BanCorp/Puerto Rico |
12,235 |
78,059 |
||||||
|
First Commonwealth Financ |
7,457 |
103,876 |
||||||
|
First Financial Bancorp |
5,649 |
156,760 |
||||||
|
First Financial Bankshare |
6,027 |
265,188 |
||||||
|
First Midwest Bancorp Inc |
7,444 |
181,857 |
||||||
|
First NBC Bank Holding Co |
1,224 |
5,447 |
||||||
|
Forestar Group Inc |
2,556 |
33,995 |
||||||
|
Four Corners Property Tru |
5,684 |
126,071 |
||||||
|
Franklin Street Propertie |
10,054 |
124,569 |
||||||
|
GEO Group Inc/The* |
7,098 |
337,936 |
||||||
|
Getty Realty Corp |
2,158 |
56,950 |
||||||
|
Glacier Bancorp Inc |
7,032 |
259,621 |
||||||
|
Government Properties Inc |
6,718 |
138,458 |
||||||
|
Great Western Bancorp Inc |
5,359 |
229,044 |
||||||
|
Greenhill & Co Inc |
2,575 |
76,091 |
||||||
|
Hanmi Financial Corp |
2,943 |
98,296 |
||||||
|
HCI Group Inc |
756 |
37,271 |
||||||
|
HFF Inc |
3,262 |
96,718 |
||||||
|
Home BancShares Inc/AR* |
11,286 |
317,588 |
||||||
|
HomeStreet Inc |
2,104 |
57,439 |
||||||
|
Hope Bancorp Inc |
11,668 |
249,695 |
||||||
|
Horace Mann Educators Cor |
3,718 |
155,784 |
||||||
|
Independent Bank Corp/Roc |
2,472 |
160,680 |
||||||
|
Infinity Property & Casua |
1,035 |
97,549 |
||||||
|
Interactive Brokers Group |
6,290 |
230,906 |
||||||
|
INTL. FCStone Inc |
1,292 |
48,773 |
||||||
|
Investment Technology Gro |
2,751 |
55,075 |
||||||
|
Kite Realty Group Trust |
7,860 |
178,029 |
||||||
|
LegacyTexas Financial Gro |
3,676 |
156,561 |
||||||
|
Lexington Realty Trust |
20,139 |
224,751 |
||||||
|
LTC Properties Inc |
3,705 |
178,729 |
||||||
|
Maiden Holdings Ltd |
6,878 |
106,265 |
||||||
|
NATIONAL BANK HOLD-CL A |
2,391 |
78,879 |
||||||
|
Navigators Group Inc/The |
2,056 |
113,183 |
||||||
|
NBT Bancorp Inc |
3,936 |
158,936 |
||||||
|
Northfield Bancorp Inc |
3,623 |
67,967 |
||||||
|
Northwest Bancshares Inc |
9,315 |
168,974 |
||||||
|
OFG Bancorp |
3,471 |
44,776 |
||||||
|
Old National Bancorp/IN |
12,326 |
226,182 |
||||||
|
Opus Bank |
1,640 |
35,424 |
||||||
|
Oritani Financial Corp |
3,530 |
60,716 |
||||||
|
Parkway Inc |
4,126 |
86,563 |
||||||
|
Pennsylvania Real Estate |
6,532 |
107,778 |
||||||
|
Pinnacle Financial Partne |
3,956 |
274,546 |
||||||
|
Piper Jaffray Cos |
1,290 |
91,268 |
||||||
|
PRA Group Inc |
4,044 |
164,995 |
||||||
|
ProAssurance Corp |
5,002 |
|
295,618 |
|||||
|
Provident Financial Servi |
5,526 |
146,715 |
||||||
|
PS Business Parks Inc |
1,830 |
212,664 |
||||||
|
RE/MAX Holdings Inc |
1,645 |
94,588 |
||||||
|
Retail Opportunity Invest |
10,279 |
226,138 |
||||||
|
RLI Corp |
3,549 |
207,439 |
||||||
|
S&T Bancorp Inc |
3,187 |
113,425 |
||||||
|
Sabra Health Care REIT In |
6,147 |
167,198 |
||||||
|
Safety Insurance Group In |
1,334 |
94,714 |
||||||
|
Saul Centers Inc |
1,009 |
64,616 |
||||||
|
Selective Insurance Group |
5,381 |
238,378 |
||||||
|
ServisFirst Bancshares In |
4,023 |
167,236 |
||||||
|
Simmons First National Co |
2,719 |
156,343 |
||||||
|
Southside Bancshares Inc |
2,407 |
84,799 |
||||||
|
Sterling Bancorp/DE |
11,969 |
296,233 |
||||||
|
Stewart Information Servi |
2,175 |
96,592 |
||||||
|
Summit Hotel Properties I |
8,236 |
126,752 |
||||||
|
Texas Capital Bancshares* |
4,488 |
400,105 |
||||||
|
Tompkins Financial Corp |
1,025 |
91,963 |
||||||
|
TrustCo Bank Corp NY |
8,756 |
73,113 |
||||||
|
United Bankshares Inc/WV |
7,400 |
331,150 |
||||||
|
United Community Banks In |
6,502 |
187,843 |
||||||
|
United Fire Group Inc |
2,014 |
85,031 |
||||||
|
United Insurance Holdings |
1,293 |
21,878 |
||||||
|
Universal Health Realty I |
1,025 |
65,785 |
||||||
|
Universal Insurance Holdi |
3,014 |
81,227 |
||||||
|
Urstadt Biddle Properties |
2,716 |
60,512 |
||||||
|
Virtus Investment Partner |
559 |
61,294 |
||||||
|
WageWorks Inc |
3,383 |
260,491 |
||||||
|
Walker & Dunlop Inc |
2,575 |
104,674 |
||||||
|
Westamerica Bancorporatio |
2,357 |
136,352 |
||||||
|
Wintrust Financial Corp* |
4,756 |
350,517 |
||||||
|
World Acceptance Corp |
687 |
36,026 |
||||||
|
Total Financial |
16,239,723 |
|||||||
|
Industrial (16.89%) |
||||||||
|
AAON Inc |
3,650 |
122,823 |
||||||
|
AAR Corp |
2,924 |
100,644 |
||||||
|
Actuant Corp |
5,493 |
145,839 |
||||||
|
Advanced Energy Industrie |
3,617 |
224,616 |
||||||
|
Aegion Corp |
2,910 |
66,232 |
||||||
|
Aerojet Rocketdyne Holdin |
6,444 |
124,949 |
||||||
|
Aerovironment Inc |
1,924 |
51,986 |
||||||
|
Alamo Group Inc |
805 |
60,496 |
||||||
|
Albany International Corp |
2,693 |
122,128 |
||||||
|
Apogee Enterprises Inc |
2,685 |
153,528 |
||||||
|
Applied Industrial Techno |
3,657 |
230,574 |
||||||
|
ArcBest Corp |
2,196 |
64,453 |
||||||
|
Astec Industries Inc |
1,783 |
112,632 |
||||||
|
Atlas Air Worldwide Holdi |
2,307 |
131,153 |
||||||
|
AZZ Inc |
2,418 |
141,816 |
||||||
|
Badger Meter Inc |
2,727 |
99,808 |
||||||
|
Barnes Group Inc |
4,637 |
232,360 |
||||||
|
Bel Fuse Inc |
579 |
15,112 |
||||||
|
Benchmark Electronics Inc |
4,413 |
137,244 |
||||||
|
Boise Cascade Co |
3,579 |
96,991 |
||||||
|
Brady Corp |
4,411 |
168,721 |
||||||
|
Briggs & Stratton Corp |
3,633 |
77,746 |
||||||
|
Celadon Group Inc |
1,713 |
13,790 |
||||||
|
Chart Industries Inc |
2,843 |
101,182 |
||||||
|
CIRCOR International Inc |
1,405 |
87,265 |
||||||
|
Coherent Inc* |
2,288 |
417,743 |
||||||
|
Comfort Systems USA Inc |
3,402 |
129,786 |
||||||
|
CTS Corp |
3,041 |
66,598 |
||||||
|
Cubic Corp |
2,327 |
122,284 |
||||||
|
DXP Enterprises Inc/TX |
1,415 |
49,525 |
||||||
See accompanying notes to financial statements.
19
|
S&P SmallCap Index Fund |
Portfolio of Investments (Unaudited) (Continued) |
2/28/2017 |
|
Security Description |
Shares |
Value |
||||||
|
Echo Global Logistics Inc |
2,538 |
$ |
55,455 |
|||||
|
Electro Scientific Indust |
2,066 |
13,801 |
||||||
|
Encore Wire Corp |
1,733 |
82,318 |
||||||
|
EnPro Industries Inc |
1,995 |
130,234 |
||||||
|
ESCO Technologies Inc |
2,368 |
128,346 |
||||||
|
Exponent Inc |
2,373 |
136,329 |
||||||
|
Fabrinet |
3,546 |
147,336 |
||||||
|
FARO Technologies Inc |
1,287 |
44,402 |
||||||
|
Federal Signal Corp |
5,009 |
74,534 |
||||||
|
Forward Air Corp |
2,832 |
140,326 |
||||||
|
Franklin Electric Co Inc |
3,564 |
149,332 |
||||||
|
General Cable Corp |
4,571 |
76,336 |
||||||
|
Gibraltar Industries Inc |
2,899 |
120,164 |
||||||
|
Greenbrier Cos Inc/The |
2,646 |
111,264 |
||||||
|
Griffon Corp |
3,366 |
84,655 |
||||||
|
Harsco Corp |
7,483 |
105,510 |
||||||
|
Haynes International Inc |
988 |
38,591 |
||||||
|
Headwaters Inc |
6,941 |
159,643 |
||||||
|
Heartland Express Inc |
3,991 |
82,773 |
||||||
|
Hillenbrand Inc |
5,853 |
212,757 |
||||||
|
Hornbeck Offshore Service |
2,592 |
11,638 |
||||||
|
Hub Group Inc |
3,082 |
155,641 |
||||||
|
II-VI Inc |
5,021 |
178,748 |
||||||
|
Insteel Industries Inc |
1,459 |
52,699 |
||||||
|
Itron Inc |
2,970 |
192,159 |
||||||
|
John Bean Technologies Co |
2,693 |
240,754 |
||||||
|
Kaman Corp |
2,529 |
130,926 |
||||||
|
KapStone Paper and Packag |
8,099 |
183,037 |
||||||
|
Knight Transportation Inc |
6,196 |
202,609 |
||||||
|
Lindsay Corp |
1,030 |
82,472 |
||||||
|
LSB Industries Inc |
1,435 |
15,598 |
||||||
|
Lydall Inc |
1,587 |
80,461 |
||||||
|
Marten Transport Ltd |
1,841 |
45,197 |
||||||
|
Matson Inc |
4,021 |
136,433 |
||||||
|
Methode Electronics Inc |
3,227 |
133,921 |
||||||
|
Moog Inc |
2,988 |
201,929 |
||||||
|
Mueller Industries Inc |
5,306 |
221,897 |
||||||
|
Multi-Color Corp |
1,236 |
88,621 |
||||||
|
Myers Industries Inc |
1,890 |
26,555 |
||||||
|
MYR Group Inc |
1,615 |
60,579 |
||||||
|
National Presto Industrie |
461 |
45,916 |
||||||
|
Olympic Steel Inc |
500 |
12,090 |
||||||
|
Orion Group Holdings Inc |
1,870 |
17,503 |
||||||
|
OSI Systems Inc |
1,697 |
127,988 |
||||||
|
Park Electrochemical Corp |
1,665 |
31,835 |
||||||
|
Patrick Industries Inc |
1,301 |
103,885 |
||||||
|
PGT Innovations Inc |
4,081 |
41,014 |
||||||
|
Plexus Corp |
3,099 |
173,761 |
||||||
|
Powell Industries Inc |
737 |
24,056 |
||||||
|
Proto Labs Inc |
2,265 |
123,669 |
||||||
|
Quanex Building Products |
2,706 |
52,902 |
||||||
|
Raven Industries Inc |
3,078 |
90,955 |
||||||
|
Roadrunner Transportation |
1,931 |
14,560 |
||||||
|
Rogers Corp |
1,676 |
138,287 |
||||||
|
Saia Inc |
2,333 |
112,801 |
||||||
|
Sanmina Corp |
6,784 |
264,576 |
||||||
|
Simpson Manufacturing Co |
3,772 |
162,800 |
||||||
|
SPX Corp |
3,851 |
101,589 |
||||||
|
SPX FLOW Inc |
3,869 |
131,546 |
||||||
|
Standex International Cor |
1,191 |
113,741 |
||||||
|
Sturm Ruger & Co Inc |
1,780 |
88,733 |
||||||
|
TASER International Inc |
4,810 |
123,473 |
||||||
|
Tennant Co |
1,624 |
114,086 |
||||||
|
Tetra Tech Inc |
5,327 |
214,412 |
||||||
|
Tidewater Inc |
3,632 |
4,940 |
||||||
|
TimkenSteel Corp |
3,578 |
74,852 |
||||||
|
TopBuild Corp |
3,547 |
|
148,903 |
|||||
|
Tredegar Corp |
1,893 |
35,967 |
||||||
|
Trex Co Inc |
2,729 |
185,599 |
||||||
|
TTM Technologies Inc |
7,949 |
128,456 |
||||||
|
Universal Forest Products |
1,868 |
178,973 |
||||||
|
US Concrete Inc |
1,329 |
83,727 |
||||||
|
US Ecology Inc |
2,034 |
103,226 |
||||||
|
Vicor Corp |
1,051 |
17,079 |
||||||
|
Watts Water Technologies |
2,587 |
165,439 |
||||||
|
Total Industrial |
11,759,334 |
|||||||
|
Technology (8.45%) |
||||||||
|
Agilysys Inc |
1,424 |
12,958 |
||||||
|
Blackbaud Inc* |
4,424 |
316,404 |
||||||
|
Bottomline Technologies d |
3,395 |
84,705 |
||||||
|
Brooks Automation Inc |
6,365 |
132,774 |
||||||
|
Cabot Microelectronics Co |
2,239 |
154,984 |
||||||
|
CACI International Inc* |
2,275 |
285,285 |
||||||
|
CEVA Inc |
1,957 |
65,364 |
||||||
|
Ciber Inc |
5,122 |
1,671 |
||||||
|
Cohu Inc |
2,289 |
38,112 |
||||||
|
Computer Programs & Syste |
791 |
21,278 |
||||||
|
Cray Inc |
3,405 |
70,994 |
||||||
|
CSG Systems International |
3,008 |
118,545 |
||||||
|
Digi International Inc |
2,432 |
29,914 |
||||||
|
Diodes Inc |
3,601 |
85,956 |
||||||
|
Donnelley Financial Solut |
2,482 |
57,359 |
||||||
|
DSP Group Inc |
1,496 |
15,633 |
||||||
|
Ebix Inc |
2,228 |
139,250 |
||||||
|
Electronics For Imaging I |
4,321 |
199,068 |
||||||
|
Engility Holdings Inc |
1,374 |
43,020 |
||||||
|
Exar Corp |
3,573 |
37,374 |
||||||
|
ExlService Holdings Inc |
3,096 |
138,267 |
||||||
|
Insight Enterprises Inc |
3,311 |
140,254 |
||||||
|
Kopin Corp |
3,225 |
11,384 |
||||||
|
Kulicke & Soffa Industrie |
6,095 |
124,765 |
||||||
|
LivePerson Inc |
3,930 |
27,707 |
||||||
|
Lumentum Holdings Inc |
5,020 |
230,418 |
||||||
|
ManTech International Cor |
2,349 |
86,020 |
||||||
|
Medidata Solutions Inc* |
5,047 |
282,228 |
||||||
|
Mercury Systems Inc |
3,779 |
141,183 |
||||||
|
MicroStrategy Inc |
868 |
166,552 |
||||||
|
MKS Instruments Inc* |
4,916 |
322,490 |
||||||
|
Monotype Imaging Holdings |
3,836 |
77,295 |
||||||
|
MTS Systems Corp |
1,561 |
85,777 |
||||||
|
Nanometrics Inc |
2,280 |
62,039 |
||||||
|
Omnicell Inc |
3,395 |
129,095 |
||||||
|
Power Integrations Inc |
2,708 |
171,146 |
||||||
|
Progress Software Corp |
3,848 |
110,361 |
||||||
|
Quality Systems Inc |
4,286 |
65,404 |
||||||
|
Qualys Inc |
2,454 |
85,767 |
||||||
|
Rambus Inc |
9,776 |
122,787 |
||||||
|
Rudolph Technologies Inc |
2,887 |
62,071 |
||||||
|
Semtech Corp |
6,186 |
206,922 |
||||||
|
SPS Commerce Inc |
1,432 |
79,233 |
||||||
|
Super Micro Computer Inc |
3,069 |
79,794 |
||||||
|
Sykes Enterprises Inc |
3,693 |
100,523 |
||||||
|
Synchronoss Technologies |
3,896 |
105,504 |
||||||
|
Take-Two Interactive Soft* |
8,090 |
460,968 |
||||||
|
Tangoe Inc |
2,294 |
13,145 |
||||||
|
TeleTech Holdings Inc |
1,320 |
39,996 |
||||||
|
Ultratech Inc |
2,234 |
64,451 |
||||||
|
Veeco Instruments Inc |
3,755 |
102,699 |
||||||
|
Virtusa Corp |
2,554 |
79,200 |
||||||
|
Total Technology |
5,886,092 |
|||||||
|
Utilities (2.54%) |
||||||||
|
ALLETE Inc* |
4,681 |
|
314,610 |
|||||
|
American States Water Co |
3,428 |
153,300 |
||||||
|
Avista Corp |
6,060 |
241,612 |
||||||
|
California Water Service |
4,507 |
165,632 |
||||||
|
El Paso Electric Co |
3,812 |
186,216 |
||||||
|
Northwest Natural Gas Co |
2,701 |
162,330 |
||||||
|
South Jersey Industries I |
7,482 |
262,020 |
||||||
|
Spire Inc |
4,303 |
283,568 |
||||||
|
Total Utilities |
1,769,288 |
|||||||
|
Total Common Stock (Cost $47,714,321) |
66,719,921 |
|||||||
|
Total Investments (Cost $47,714,321) (a) (95.81%) |
|
66,719,921 |
||||||
|
Other Net Assets (4.19%) |
2,861,355 |
|||||||
|
Net Assets (100.00%) |
$ |
69,581,276 |
||||||
|
* |
Non-income producing security. |
|
(a) |
Aggregate cost for federal income tax purpose is $47,739,772. |
|
At February 28, 2017, unrealized appreciation (depreciation) of securities for federal income tax purposes is as follows: |
||||
|
Unrealized appreciation |
$ |
21,944,708 |
||
|
Unrealized depreciation |
(2,964,558 |
) |
||
|
Net unrealized appreciation |
$ |
18,980,150 |
||
Because tax adjustments are calculated annually, the above tax figures reflect the tax adjustments outstanding at the Fund’s previous fiscal year end. For the previous fiscal year’s federal income tax information, please refer to the Notes to Financial Statements section in the Fund’s most recent semi-annual and annual reports.
|
(b) |
Futures contracts at February 28, 2017: |
Contracts - $50 times premium / delivery month / commitment / exchange
|
Russell 2000 MINI |
Value at Trade Date |
Notional Value |
Unrealized Appreciation |
|||||||||
|
42 / MARCH 2017 / Long / ICE |
$ |
2,889,490 |
$ |
2,908,500 |
$ |
19,010 |
||||||
|
(c) |
A portion of these shares have been pledged in connection with obligations for futures contracts. |
See accompanying notes to financial statements.
20
|
Shelton Core Value Fund |
Portfolio of Investments (Unaudited) |
2/28/2017 |
|
Security Description |
Shares |
Value |
||||||
|
Common Stock (81.05%) |
||||||||
|
Basic Materials (3.76%) |
||||||||
|
EI du Pont de Nemours & C* |
9,386 |
$ |
737,176 |
|||||
|
PPG Industries Inc* |
37,600 |
3,851,368 |
||||||
|
Praxair Inc* |
15,167 |
1,800,475 |
||||||
|
Sensient Technologies Cor |
8,500 |
679,490 |
||||||
|
Total Basic Materials |
7,068,509 |
|||||||
|
Communications (2.48%) |
||||||||
|
AT&T Inc |
57,669 |
2,409,988 |
||||||
|
Verizon Communications In* |
45,542 |
2,260,249 |
||||||
|
Total Communications |
4,670,237 |
|||||||
|
Consumer, Cyclical (7.45%) |
||||||||
|
Ford Motor Co |
702,700 |
8,804,831 |
||||||
|
McDonald's Corp* |
20,868 |
2,663,800 |
||||||
|
Target Corp* |
43,339 |
2,547,033 |
||||||
|
Total Consumer, Cyclical |
14,015,664 |
|||||||
|
Consumer, Non-Cyclical (19.89%) |
||||||||
|
Abbott Laboratories |
27,810 |
1,253,675 |
||||||
|
AbbVie Inc |
29,310 |
1,812,530 |
||||||
|
Aetna Inc* |
14,084 |
1,813,456 |
||||||
|
AmerisourceBergen Corp |
22,912 |
2,096,677 |
||||||
|
Anthem Inc* |
32,300 |
5,323,686 |
||||||
|
Baxter International Inc* |
44,226 |
2,251,988 |
||||||
|
Celgene Corp |
35,214 |
4,349,281 |
||||||
|
Colgate-Palmolive Co* |
20,400 |
1,488,792 |
||||||
|
Conagra Brands Inc |
42,450 |
1,749,365 |
||||||
|
Danaher Corp* |
25,600 |
2,190,080 |
||||||
|
Gilead Sciences Inc |
51,200 |
3,608,576 |
||||||
|
Kimberly-Clark Corp |
1,800 |
238,590 |
||||||
|
Lamb Weston Holdings Inc |
14,149 |
554,499 |
||||||
|
Merck & Co Inc |
25,200 |
1,659,924 |
||||||
|
Moody's Corp |
992 |
110,479 |
||||||
|
Procter & Gamble Co/The |
4,580 |
417,101 |
||||||
|
Reynolds American Inc |
7,168 |
441,334 |
||||||
|
Shire PLC |
7,085 |
1,280,260 |
||||||
|
Sprouts Farmers Market In |
260,000 |
4,799,600 |
||||||
|
Total Consumer, Non-Cyclical |
37,439,892 |
|||||||
|
Energy (11.19%) |
||||||||
|
Anadarko Petroleum Corp |
21,340 |
1,379,631 |
||||||
|
Baker Hughes Inc |
27,455 |
1,654,987 |
||||||
|
BP PLC |
78,914 |
2,676,763 |
||||||
|
Chevron Corp |
36,724 |
4,131,450 |
||||||
|
ConocoPhillips |
19,648 |
934,655 |
||||||
|
Devon Energy Corp |
10,652 |
461,871 |
||||||
|
Enbridge Inc |
11,808 |
494,165 |
||||||
|
Exxon Mobil Corp |
43,236 |
3,515,952 |
||||||
|
Royal Dutch Shell PLC |
35,889 |
1,862,280 |
||||||
|
Schlumberger Ltd |
49,100 |
3,945,676 |
||||||
|
Total Energy |
21,057,430 |
|||||||
|
Financial (19.79%) |
||||||||
|
Arthur J Gallagher & Co |
32,400 |
|
1,845,180 |
|||||
|
Aspen Insurance Holdings |
26,315 |
1,474,956 |
||||||
|
Bank of America Corp* |
140,000 |
3,455,200 |
||||||
|
Bank of New York Mellon C |
21,450 |
1,011,153 |
||||||
|
BlackRock Inc* |
9,000 |
3,487,140 |
||||||
|
Citigroup Inc* |
30,000 |
1,794,300 |
||||||
|
Goldman Sachs Group Inc/T* |
15,850 |
3,931,751 |
||||||
|
Intercontinental Exchange* |
22,520 |
1,286,568 |
||||||
|
JPMorgan Chase & Co* |
71,020 |
6,435,832 |
||||||
|
Morgan Stanley* |
47,050 |
2,148,774 |
||||||
|
Principal Financial Group* |
18,850 |
1,178,879 |
||||||
|
State Street Corp* |
9,600 |
765,216 |
||||||
|
US Bancorp* |
60,600 |
3,333,000 |
||||||
|
Wells Fargo & Co* |
87,889 |
5,087,015 |
||||||
|
Total Financial |
37,234,964 |
|||||||
|
Industrial (6.33%) |
||||||||
|
Agilent Technologies Inc* |
6,670 |
342,171 |
||||||
|
Boeing Co/The |
12,000 |
2,162,760 |
||||||
|
Caterpillar Inc* |
19,742 |
1,908,262 |
||||||
|
Fortive Corp |
12,800 |
737,920 |
||||||
|
Northrop Grumman Corp |
8,600 |
2,124,974 |
||||||
|
Rockwell Collins Inc* |
12,400 |
1,185,316 |
||||||
|
Seaspan Corp |
25,000 |
196,000 |
||||||
|
Union Pacific Corp |
7,650 |
825,741 |
||||||
|
United Parcel Service Inc |
8,160 |
863,002 |
||||||
|
United Technologies Corp |
13,900 |
1,564,445 |
||||||
|
Total Industrial |
11,910,590 |
|||||||
|
Technology (6.92%) |
||||||||
|
Analog Devices Inc |
6,640 |
544,015 |
||||||
|
Dell Technologies Inc Cla |
3,312 |
210,279 |
||||||
|
Hewlett Packard Enterpris* |
50,000 |
1,141,000 |
||||||
|
International Business Ma |
4,760 |
855,943 |
||||||
|
Linear Technology Corp |
17,480 |
1,128,858 |
||||||
|
Microsoft Corp* |
37,133 |
2,375,769 |
||||||
|
Oracle Corp* |
64,130 |
2,731,297 |
||||||
|
Paychex Inc* |
34,000 |
2,088,280 |
||||||
|
QUALCOMM Inc* |
10,375 |
585,980 |
||||||
|
Taiwan Semiconductor Manu |
30,000 |
944,100 |
||||||
|
Texas Instruments Inc* |
5,500 |
421,410 |
||||||
|
Total Technology |
13,026,932 |
|||||||
|
Utilities (3.24%) |
||||||||
|
Consolidated Edison Inc |
21,200 |
1,633,248 |
||||||
|
DTE Energy Co |
4,700 |
476,486 |
||||||
|
Duke Energy Corp |
8,099 |
668,572 |
||||||
|
Exelon Corp |
18,746 |
688,166 |
||||||
|
FirstEnergy Corp |
23,574 |
764,505 |
||||||
|
NextEra Energy Inc |
7,500 |
982,500 |
||||||
|
Sempra Energy |
8,050 |
887,835 |
||||||
|
Total Utilities |
6,101,311 |
|||||||
|
Total Common Stock (Cost $79,767,182) |
152,525,529 |
|||||||
|
Preferred Stock (0.53%) |
||||||||
|
Amerityre Corp** |
2,000,000 |
$ |
1,000,000 |
|||||
|
Total Preferred Stock (Cost $2,000,000) |
1,000,000 |
|||||||
|
United States Treasury Bills (6.75%) |
||||||||
|
TREASURY BILL |
12,700,000 |
12,698,673 |
||||||
|
Total United States Treasury Bills |
12,698,673 |
|||||||
|
Total Investments (Cost $94,465,855) (a) (88.33%) |
166,224,202 |
|||||||
|
Other Net Assets (11.67%) |
21,975,033 |
|||||||
|
Net Assets (100.00%) |
$ |
188,199,235 |
||||||
|
* |
Non-income producing security. |
|
** |
This security has been fair valued and deemed to be illiquid by the Advisor. At February 28, 2017, the fair value was $1,000,000, or 0.53% of net assets. |
|
(a) |
Aggregate cost for federal income tax purpose is $95,485,192. |
|
At February 28, 2017, unrealized appreciation (depreciation) of securities for federal income tax purposes is as follows: |
||||
|
Unrealized appreciation |
$ |
74,241,654 |
||
|
Unrealized depreciation |
(3,502,644 |
) |
||
|
Net unrealized appreciation |
$ |
70,739,010 |
||
Because tax adjustments are calculated annually, the above tax figures reflect the tax adjustments outstanding at the Fund’s previous fiscal year end. For the previous fiscal year’s federal income tax information, please refer to the Notes to Financial Statements section in the Fund’s most recent semi-annual and annual reports.
See accompanying notes to financial statements.
21
|
Shelton Core Value Fund |
Portfolio of Investments (Unaudited) (Continued) |
2/28/2017 |
|
Written Call Options |
Expiration Date |
Exercise |
Contracts |
Value |
|||||||||
|
Aetna Inc |
3/17/2017 |
$ |
120.00 |
(121 |
) |
$ |
(109,807 |
) |
|||||
|
Agilent Technologies Inc |
5/19/2017 |
50.00 |
(58 |
) |
(17,400 |
) |
|||||||
|
Anthem Inc |
3/17/2017 |
150.00 |
(290 |
) |
(430,650 |
) |
|||||||
|
Bank of America Corp |
3/17/2017 |
23.00 |
(400 |
) |
(69,200 |
) |
|||||||
|
Bank of New York Mellon Corp/The |
3/17/2017 |
46.00 |
(64 |
) |
(9,024 |
) |
|||||||
|
Baxter International Inc |
3/17/2017 |
47.50 |
(442 |
) |
(164,645 |
) |
|||||||
|
BlackRock Inc |
3/17/2017 |
380.00 |
(27 |
) |
(26,244 |
) |
|||||||
|
Caterpillar Inc |
5/19/2017 |
97.50 |
(58 |
) |
(22,330 |
) |
|||||||
|
Citigroup Inc |
3/17/2017 |
57.50 |
(87 |
) |
(24,012 |
) |
|||||||
|
Colgate-Palmolive Co |
5/19/2017 |
70.00 |
(41 |
) |
(21,935 |
) |
|||||||
|
Danaher Corp |
3/17/2017 |
82.50 |
(213 |
) |
(73,698 |
) |
|||||||
|
EI du Pont de Nemours & Co |
3/17/2017 |
77.50 |
(71 |
) |
(13,312 |
) |
|||||||
|
Goldman Sachs Group Inc/The |
3/17/2017 |
240.00 |
(44 |
) |
(47,080 |
) |
|||||||
|
Hewlett Packard Enterprise Co |
3/17/2017 |
23.00 |
(450 |
) |
(15,750 |
) |
|||||||
|
Intercontinental Exchange Inc |
3/17/2017 |
60.00 |
(66 |
) |
(660 |
) |
|||||||
|
JPMorgan Chase & Co |
3/17/2017 |
87.50 |
(205 |
) |
(76,875 |
) |
|||||||
|
McDonald's Corp |
3/17/2017 |
120.00 |
(26 |
) |
(20,410 |
) |
|||||||
|
Microsoft Corp |
4/21/2017 |
65.00 |
(100 |
) |
(10,100 |
) |
|||||||
|
Morgan Stanley |
3/17/2017 |
44.00 |
(132 |
) |
(27,324 |
) |
|||||||
|
Oracle Corp |
4/21/2017 |
42.00 |
(190 |
) |
(28,500 |
) |
|||||||
|
Paychex Inc |
3/17/2017 |
62.50 |
(155 |
) |
(4,650 |
) |
|||||||
|
PPG Industries Inc |
5/19/2017 |
100.00 |
(102 |
) |
(52,020 |
) |
|||||||
|
Praxair Inc |
3/17/2017 |
120.00 |
(140 |
) |
(13,300 |
) |
|||||||
|
Principal Financial Group Inc |
3/17/2017 |
60.00 |
(52 |
) |
(13,520 |
) |
|||||||
|
QUALCOMM Inc |
3/17/2017 |
55.00 |
(26 |
) |
(5,096 |
) |
|||||||
|
Rockwell Collins Inc |
3/17/2017 |
95.00 |
(110 |
) |
(20,900 |
) |
|||||||
|
State Street Corp |
3/17/2017 |
80.00 |
(28 |
) |
(3,892 |
) |
|||||||
|
Target Corp |
3/17/2017 |
67.50 |
(390 |
) |
(1,560 |
) |
|||||||
|
Texas Instruments Inc |
3/17/2017 |
77.50 |
(20 |
) |
(1,520 |
) |
|||||||
|
US Bancorp |
3/17/2017 |
55.00 |
(184 |
) |
(14,352 |
) |
|||||||
|
Verizon Communications Inc |
3/17/2017 |
50.00 |
(383 |
) |
(18,384 |
) |
|||||||
|
Wells Fargo & Co |
3/17/2017 |
57.50 |
(263 |
) |
(35,242 |
) |
|||||||
|
Total Written Call Options |
(1,393,393 |
) |
|||||||||||
|
Premunims Received $658,757 |
|||||||||||||
|
(c) |
A portion of these shares have been pledged in connection with obligations for options contracts. |
|
European Growth & Income Fund |
Portfolio of Investments (Unaudited) |
2/28/2017 |
|
Security Description |
Shares |
Value |
||||||
|
Common Stock (97.95%) |
||||||||
|
Basic Materials (5.81%) |
||||||||
|
BASF SE |
3,488 |
$ |
325,047 |
|||||
|
BHP Billiton Ltd |
1,900 |
71,858 |
||||||
|
Rio Tinto PLC |
3,600 |
149,472 |
||||||
|
South32 Ltd |
760 |
7,243 |
||||||
|
Total Basic Materials |
553,620 |
|||||||
|
Communications (4.70%) |
||||||||
|
Deutsche Telekom AG |
11,525 |
198,979 |
||||||
|
Telefonica SA |
24,558 |
248,773 |
||||||
|
Total Communications |
447,752 |
|||||||
|
Consumer, Cyclical (6.84%) |
||||||||
|
Daimler AG |
3,835 |
278,498 |
||||||
|
LVMH Moet Hennessy Louis |
9,300 |
373,116 |
||||||
|
Total Consumer, Cyclical |
651,614 |
|||||||
|
Consumer, Non-Cyclical (43.35%) |
||||||||
|
Agriculture (4.16%) |
||||||||
|
British American Tobacco |
6,200 |
395,808 |
||||||
|
395,808 |
||||||||
|
Beverages (7.54%) |
||||||||
|
Anheuser-Busch InBev SA/N |
3,700 |
|
405,113 |
|||||
|
Diageo PLC |
2,735 |
312,638 |
||||||
|
717,751 |
||||||||
|
Cosmetics/Personal Care (3.24%) |
||||||||
|
Unilever NV |
6,508 |
308,024 |
||||||
|
308,024 |
||||||||
|
Food (5.81%) |
||||||||
|
Nestle SA |
7,512 |
553,559 |
||||||
|
553,559 |
||||||||
|
Pharmaceuticals (22.60%) |
||||||||
|
Bayer AG |
4,115 |
453,514 |
||||||
|
GlaxoSmithKline PLC |
8,050 |
333,914 |
||||||
|
Novartis AG |
7,157 |
559,463 |
||||||
|
Roche Holding AG |
15,564 |
473,457 |
||||||
|
Sanofi |
7,700 |
332,101 |
||||||
|
2,152,449 |
||||||||
|
Total Consumer, Non-Cyclical |
4,127,590 |
|||||||
|
Energy (10.20%) |
||||||||
|
Eni SpA |
7,482 |
|
231,493 |
|||||
|
Royal Dutch Shell PLC |
7,621 |
395,454 |
||||||
|
TOTAL SA |
6,884 |
343,993 |
||||||
|
Total Energy |
970,940 |
|||||||
|
Financial (18.36%) |
||||||||
|
Allianz SE |
18,157 |
316,113 |
||||||
|
AXA SA |
18,984 |
446,694 |
||||||
|
Banco Bilbao Vizcaya Arge |
15,551 |
101,704 |
||||||
|
Banco Santander SA |
51,573 |
279,010 |
||||||
|
BNP Paribas SA |
5,452 |
159,117 |
||||||
|
Deutsche Bank AG |
3,484 |
68,600 |
||||||
|
HSBC Holdings PLC |
2,476 |
99,783 |
||||||
|
ING Groep NV |
20,000 |
276,600 |
||||||
|
Total Financial |
1,747,620 |
|||||||
|
Industrial (5.10%) |
||||||||
|
Siemens AG |
3,735 |
485,550 |
||||||
|
Total Industrial |
485,550 |
|||||||
See accompanying notes to financial statements.
22
|
European Growth & Income Fund |
Portfolio of Investments (Unaudited) (Continued) |
2/28/2017 |
|
Security Description |
Shares |
Value |
||||||
|
Technology (3.59%) |
||||||||
|
SAP SE |
3,667 |
$ |
341,691 |
|||||
|
Total Technology |
341,691 |
|||||||
|
Total Common Stock (Cost $7,888,787) |
9,326,376 |
|||||||
|
Total Investments (Cost $7,888,787) (a) (97.95%) |
9,326,376 |
|||||||
|
Other Net Assets (2.04%) |
153,607 |
|||||||
|
Net Assets (100.00%) |
$ |
9,479,983 |
||||||
|
* |
Non-income producing security. |
|
(a) |
Aggregate cost for federal income tax purpose is $7,888,818. |
|
At February 28, 2017, unrealized appreciation (depreciation) of securities for federal income tax purposes is as follows: |
||||
|
Unrealized appreciation |
$ |
2,492,293 |
||
|
Unrealized depreciation |
(1,054,734 |
) |
||
|
Net unrealized appreciation |
$ |
1,437,558 |
||
Because tax adjustments are calculated annually, the above tax figures reflect the tax adjustments outstanding at the Fund’s previous fiscal year end. For the previous fiscal year’s federal income tax information, please refer to the Notes to Financial Statements section in the Fund’s most recent semi-annual and annual reports.
|
Nasdaq-100 Index Fund |
Portfolio of Investments (Unaudited) |
2/28/2017 |
|
Security Description |
Shares |
Value |
||||||
|
Common Stock (95.57%) |
||||||||
|
Communications (34.10%) |
||||||||
|
Internet (23.15%) |
||||||||
|
Alphabet Inc |
17,409 |
$ |
14,331,263 |
|||||
|
Alphabet Inc |
14,824 |
12,525,242 |
||||||
|
Amazon.com Inc* |
23,768 |
20,084,911 |
||||||
|
Baidu Inc |
16,478 |
2,869,314 |
||||||
|
Ctrip.com International L |
24,521 |
1,163,276 |
||||||
|
eBay Inc |
72,865 |
2,470,124 |
||||||
|
Expedia Inc |
7,561 |
900,061 |
||||||
|
Facebook Inc |
137,459 |
18,631,193 |
||||||
|
JD.com Inc |
53,925 |
1,648,487 |
||||||
|
Liberty Expedia Holdings |
3,208 |
138,842 |
||||||
|
Liberty Ventures |
4,813 |
211,098 |
||||||
|
Netflix Inc |
25,816 |
3,669,228 |
||||||
|
Priceline Group Inc/The |
3,035 |
5,232,735 |
||||||
|
Symantec Corp |
35,741 |
1,021,120 |
||||||
|
TripAdvisor Inc |
7,210 |
298,999 |
||||||
|
Yahoo! Inc |
58,728 |
2,681,520 |
||||||
|
87,877,414 |
||||||||
|
Media (7.16%) |
||||||||
|
Charter Communications In |
16,540 |
5,343,412 |
||||||
|
Comcast Corp |
324,202 |
12,131,639 |
||||||
|
Discovery Communications |
7,945 |
228,498 |
||||||
|
Discovery Communications |
15,060 |
422,734 |
||||||
|
DISH Network Corp |
12,336 |
764,832 |
||||||
|
Liberty Global PLC |
13,870 |
495,159 |
||||||
|
Liberty Global PLC |
35,918 |
1,260,363 |
||||||
|
Liberty Global Plc LiLAC |
2,316 |
56,626 |
||||||
|
Liberty Global Plc LiLAC |
6,079 |
149,483 |
||||||
|
Liberty Media Corp-Libert |
5,425 |
213,365 |
||||||
|
LIBERTY MEDIA CORP-LIBERT |
3,049 |
93,604 |
||||||
|
LIBERTY MEDIA CORP-LIBERT |
1,356 |
40,829 |
||||||
|
Liberty Media Corp-Libert |
1,219 |
26,806 |
||||||
|
Sirius XM Holdings Inc |
315,026 |
1,603,482 |
||||||
|
Twenty-First Century Fox |
69,202 |
2,070,524 |
||||||
|
Twenty-First Century Fox |
49,363 |
1,448,804 |
||||||
|
Viacom Inc |
19,051 |
827,766 |
||||||
|
27,177,927 |
||||||||
|
Telecommunications (3.79%) |
||||||||
|
Cisco Systems Inc |
308,245 |
10,535,814 |
||||||
|
LogMeIn Inc |
1,466 |
134,490 |
||||||
|
T-Mobile US Inc |
50,432 |
3,153,513 |
||||||
|
Vodafone Group PLC |
22,646 |
575,435 |
||||||
|
14,399,252 |
||||||||
|
Total Communications |
129,454,593 |
|||||||
|
Consumer, Cyclical (8.70%) |
||||||||
|
American Airlines Group I |
37,277 |
|
1,728,162 |
|||||
|
Bed Bath & Beyond Inc |
9,158 |
369,983 |
||||||
|
Costco Wholesale Corp |
28,223 |
5,000,551 |
||||||
|
Dollar Tree Inc |
14,514 |
1,112,934 |
||||||
|
Fastenal Co |
15,898 |
795,377 |
||||||
|
Hasbro Inc |
7,361 |
713,060 |
||||||
|
Liberty Interactive Corp |
25,661 |
484,480 |
||||||
|
Marriott International In |
22,827 |
1,985,721 |
||||||
|
Mattel Inc |
18,623 |
479,170 |
||||||
|
Norwegian Cruise Line Hol |
13,819 |
700,623 |
||||||
|
O'Reilly Automotive Inc |
6,008 |
1,632,434 |
||||||
|
PACCAR Inc |
21,720 |
1,451,113 |
||||||
|
Ross Stores Inc |
25,036 |
1,716,969 |
||||||
|
Starbucks Corp |
89,539 |
5,092,083 |
||||||
|
Tesla Motors Inc |
8,723 |
2,180,663 |
||||||
|
Tractor Supply Co |
7,372 |
522,749 |
||||||
|
Ulta Salon Cosmetics & Fr |
3,850 |
1,052,706 |
||||||
|
Walgreens Boots Alliance |
69,644 |
6,015,849 |
||||||
|
Total Consumer, Cyclical |
33,034,624 |
|||||||
|
Consumer, Non-Cyclical (17.01%) |
||||||||
|
Alexion Pharmaceuticals I |
13,927 |
1,827,919 |
||||||
|
Amgen Inc |
48,169 |
8,503,274 |
||||||
|
Automatic Data Processing |
27,966 |
2,869,871 |
||||||
|
Biogen Inc |
13,131 |
3,789,607 |
||||||
|
BioMarin Pharmaceutical I |
10,526 |
988,707 |
||||||
|
BIOVERATIV INC |
6,566 |
341,931 |
||||||
|
Celgene Corp |
50,064 |
6,183,405 |
||||||
|
Cintas Corp |
6,422 |
757,860 |
||||||
|
DENTSPLY SIRONA Inc |
13,528 |
859,299 |
||||||
|
Express Scripts Holding C |
40,380 |
2,852,847 |
||||||
|
Gilead Sciences Inc |
87,968 |
6,199,985 |
||||||
|
Henry Schein Inc |
4,550 |
780,598 |
||||||
|
Hologic Inc |
16,413 |
666,040 |
||||||
|
Illumina Inc |
9,050 |
1,514,970 |
||||||
|
Incyte Corp |
11,612 |
1,545,557 |
||||||
|
Intuitive Surgical Inc |
2,310 |
1,702,470 |
||||||
|
Kraft Heinz Co/The |
77,581 |
7,099,437 |
||||||
|
Mondelez International In |
96,099 |
4,220,668 |
||||||
|
Monster Beverage Corp |
37,632 |
1,559,470 |
||||||
|
Mylan NV |
30,333 |
1,269,436 |
||||||
|
PayPal Holdings Inc |
72,931 |
3,063,102 |
||||||
|
Regeneron Pharmaceuticals |
6,226 |
2,325,411 |
||||||
|
Shire PLC |
5,145 |
929,702 |
||||||
|
Verisk Analytics Inc |
9,297 |
770,907 |
||||||
|
Vertex Pharmaceuticals In |
15,231 |
1,380,233 |
||||||
|
Whole Foods Market Inc |
18,728 |
|
574,388 |
|||||
|
Total Consumer, Non-Cyclical |
64,577,092 |
|||||||
|
Financial (0.21%) |
||||||||
|
SBA COMMUNICATIONS CORP |
6,889 |
797,540 |
||||||
|
Total Financial |
797,540 |
|||||||
|
Industrial (1.04%) |
||||||||
|
CSX Corp |
59,540 |
2,891,262 |
||||||
|
JB Hunt Transport Service |
6,866 |
674,035 |
||||||
|
Stericycle Inc |
4,663 |
386,469 |
||||||
|
Total Industrial |
3,951,767 |
|||||||
|
Technology (34.50%) |
||||||||
|
Computers (11.67%) |
||||||||
|
APPLE INC* |
279,902 |
38,343,775 |
||||||
|
Check Point Software Tech |
9,925 |
981,682 |
||||||
|
Cognizant Technology Solu |
37,358 |
2,214,209 |
||||||
|
NetApp Inc |
16,183 |
676,935 |
||||||
|
Seagate Technology PLC |
16,891 |
813,977 |
||||||
|
Western Digital Corp |
16,616 |
1,277,438 |
||||||
|
44,308,016 |
||||||||
|
Semiconductors (11.25%) |
||||||||
|
Analog Devices Inc |
19,164 |
1,570,107 |
||||||
|
Applied Materials Inc |
69,899 |
2,531,742 |
||||||
|
BROADCOM LTD |
25,209 |
5,317,334 |
||||||
|
Intel Corp |
302,370 |
10,945,794 |
||||||
|
KLA-Tencor Corp |
9,567 |
862,178 |
||||||
|
Lam Research Corp |
9,965 |
1,181,251 |
||||||
|
Maxim Integrated Products |
17,117 |
758,283 |
||||||
|
Microchip Technology Inc |
12,499 |
906,427 |
||||||
|
Micron Technology Inc |
59,584 |
1,396,649 |
||||||
|
NVIDIA Corp |
33,258 |
3,375,022 |
||||||
|
NXP Semiconductors NV |
19,828 |
2,038,517 |
||||||
|
QUALCOMM Inc |
95,607 |
5,399,883 |
||||||
|
Skyworks Solutions Inc |
10,490 |
994,557 |
||||||
|
Texas Instruments Inc |
59,838 |
4,584,788 |
||||||
|
Xilinx Inc |
14,102 |
829,480 |
||||||
|
42,692,011 |
||||||||
|
Software (11.58%) |
||||||||
|
Activision Blizzard Inc |
45,436 |
2,050,527 |
||||||
|
Adobe Systems Inc |
30,037 |
3,554,579 |
||||||
|
Akamai Technologies Inc |
9,765 |
611,289 |
||||||
|
Autodesk Inc |
12,413 |
1,071,242 |
||||||
|
CA Inc |
24,077 |
776,965 |
||||||
|
Cerner Corp |
21,019 |
1,156,886 |
||||||
|
Citrix Systems Inc |
8,530 |
673,444 |
||||||
|
Electronic Arts Inc |
19,121 |
1,653,967 |
||||||
See accompanying notes to financial statements.
23
|
Nasdaq-100 Index Fund |
Portfolio of Investments (Unaudited) (Continued) |
2/28/2017 |
|
Security Description |
Shares |
Value |
||||||
|
Fiserv Inc |
13,781 |
$ |
1,590,327 |
|||||
|
Intuit Inc |
15,876 |
1,991,485 |
||||||
|
Microsoft Corp* |
408,520 |
26,137,110 |
||||||
|
NetEase Inc |
4,300 |
1,311,758 |
||||||
|
Paychex Inc |
22,313 |
1,370,464 |
||||||
|
43,950,042 |
||||||||
|
Total Technology |
130,950,069 |
|||||||
|
Total Common Stock (Cost $250,823,716) |
362,765,684 |
|||||||
|
Total Investments (Cost $250,823,716) (a) (95.57%) |
362,765,684 |
|||||||
|
Other Net Assets (4.43%) |
17,090,284 |
|||||||
|
Net Assets (100.00%) |
$ |
379,855,968 |
||||||
|
* |
Non-income producing security. |
|
(a) |
Aggregate cost for federal income tax purpose is $251,120,513. |
|
At February 28, 2017, unrealized appreciation (depreciation) of securities for federal income tax purposes is as follows: |
||||
|
Unrealized appreciation |
$ |
115,242,767 |
||
|
Unrealized depreciation |
(3,597,596 |
) |
||
|
Net unrealized appreciation |
$ |
111,645,171 |
||
Because tax adjustments are calculated annually, the above tax figures reflect the tax adjustments outstanding at the Fund’s previous fiscal year end. For the previous fiscal year’s federal income tax information, please refer to the Notes to Financial Statements section in the Fund’s most recent semi-annual and annual reports.
|
(b) |
Futures contracts at February 28, 2017: |
Contracts - $20 times premium / delivery month / commitment / exchange
|
Nasdaq 100 E-MINI |
Value at Trade Date |
Notional Value |
Unrealized Appreciation |
|||||||||
|
161 / MARCH 2017 / Long / CME |
$ |
16,509,575 |
$ |
17,169,845 |
$ |
660,270 |
||||||
|
(c) |
A portion of these shares have been pledged in connection with obligations for futures contracts. |
|
Shelton Green Alpha Fund |
Portfolio of Investments (Unaudited) |
2/28/2017 |
|
Company |
Shares |
Value |
||||||
|
Common Stock (96.16%) |
||||||||
|
Basic Materials (1.54%) |
||||||||
|
Schnitzer Steel Industrie |
22,000 |
$ |
523,600 |
|||||
|
Total Basic Materials |
523,600 |
|||||||
|
Communications (6.65%) |
||||||||
|
Alphabet Inc |
1,550 |
1,275,976 |
||||||
|
Sierra Wireless Inc |
35,000 |
988,750 |
||||||
|
Total Communications |
2,264,726 |
|||||||
|
Consumer, Cyclical (9.77%) |
||||||||
|
Herman Miller Inc |
21,000 |
625,800 |
||||||
|
Interface Inc |
40,000 |
756,000 |
||||||
|
Kandi Technologies Group |
105,000 |
430,500 |
||||||
|
Steelcase Inc |
26,000 |
416,000 |
||||||
|
Tesla Motors Inc |
4,400 |
1,099,956 |
||||||
|
Total Consumer, Cyclical |
3,328,256 |
|||||||
|
Consumer, Non-Cyclical (11.08%) |
||||||||
|
Exact Sciences Corp |
8,800 |
189,376 |
||||||
|
Gilead Sciences Inc |
2,500 |
176,200 |
||||||
|
Hain Celestial Group Inc/ |
19,300 |
682,834 |
||||||
|
OraSure Technologies Inc |
13,000 |
145,730 |
||||||
|
SunOpta Inc |
66,000 |
475,200 |
||||||
|
United Natural Foods Inc |
22,000 |
947,100 |
||||||
|
WhiteWave Foods Co/The |
21,000 |
1,156,680 |
||||||
|
Total Consumer, Non-Cyclical |
3,773,120 |
|||||||
|
Energy (24.95%) |
||||||||
|
Canadian Solar Inc |
97,000 |
1,427,840 |
||||||
|
First Solar Inc |
34,600 |
1,252,174 |
||||||
|
JA Solar Holdings Co Ltd |
50,000 |
255,000 |
||||||
|
JinkoSolar Holding Co Ltd |
28,000 |
472,640 |
||||||
|
Pattern Energy Group Inc |
67,000 |
1,392,930 |
||||||
|
Sunrun Inc |
32,000 |
182,080 |
||||||
|
Trina Solar Ltd |
180,000 |
1,890,000 |
||||||
|
Vestas Wind Systems A/S |
66,000 |
1,626,240 |
||||||
|
Total Energy |
8,498,904 |
|||||||
|
Financial (6.28%) |
||||||||
|
Alexandria Real Estate Eq |
4,000 |
|
477,240 |
|||||
|
Hannon Armstrong Sustaina |
33,000 |
653,070 |
||||||
|
Liberty Property Trust |
15,000 |
591,600 |
||||||
|
Muenchener Rueckversicher |
22,000 |
416,240 |
||||||
|
Total Financial |
2,138,150 |
|||||||
|
Industrial (15.95%) |
||||||||
|
ABB Ltd |
33,500 |
755,425 |
||||||
|
Acuity Brands Inc |
1,600 |
338,080 |
||||||
|
Advanced Energy Industrie |
8,200 |
509,220 |
||||||
|
AU Optronics Corp |
22,000 |
85,580 |
||||||
|
Garmin Ltd |
6,700 |
345,787 |
||||||
|
Itron Inc |
5,000 |
323,500 |
||||||
|
Kyocera Corp |
7,000 |
385,910 |
||||||
|
LG Display Co Ltd |
47,000 |
570,110 |
||||||
|
SunPower Corp |
63,200 |
553,632 |
||||||
|
Trex Co Inc |
8,700 |
591,687 |
||||||
|
Universal Display Corp |
8,000 |
678,800 |
||||||
|
Waters Corp |
1,900 |
294,481 |
||||||
|
Total Industrial |
5,432,212 |
|||||||
|
Technology (18.03%) |
||||||||
|
Analog Devices Inc |
2,500 |
204,825 |
||||||
|
ANSYS Inc |
4,400 |
469,744 |
||||||
|
APPLE INC |
3,500 |
479,465 |
||||||
|
Applied Materials Inc |
29,000 |
1,050,380 |
||||||
|
Autodesk Inc |
3,900 |
336,570 |
||||||
|
Fortinet Inc |
4,500 |
168,075 |
||||||
|
GEMALTO N.V. |
4,000 |
120,440 |
||||||
|
International Business Ma |
7,500 |
1,348,650 |
||||||
|
Omnicell Inc |
4,936 |
187,691 |
||||||
|
QUALCOMM Inc |
10,000 |
564,800 |
||||||
|
Silver Spring Networks In |
5,800 |
71,108 |
||||||
|
Skyworks Solutions Inc |
12,000 |
1,137,720 |
||||||
|
Total Technology |
6,139,468 |
|||||||
|
Utilities (1.91%) |
||||||||
|
Consolidated Water Co Ltd |
63,000 |
652,050 |
||||||
|
Total Utilities |
652,050 |
|||||||
|
Total Common Stock (Cost $30,022,406) |
32,750,486 |
|||||||
|
Limited Partnerships (2.03%) |
||||||||
|
8Point3 Energy Partners L |
52,000 |
|
692,120 |
|||||
|
Total Limited Partnerships (Cost $733,316) |
692,120 |
|||||||
|
Total Investments (Cost $30,755,722) (a) (98.19%) |
33,442,606 |
|||||||
|
Other Net Assets (1.81%) |
2,008,589 |
|||||||
|
Net Assets (100.00%) |
$ |
35,451,195 |
||||||
|
* |
Non-income producing security. |
|
(a) |
Aggregate cost for federal income tax purpose is $30,784,719. |
|
At February 28, 2017, unrealized appreciation (depreciation) of securities for federal income tax purposes is as follows: |
||||
|
Unrealized appreciation |
$ |
6,087,923 |
||
|
Unrealized depreciation |
(3,430,037 |
) |
||
|
Net unrealized appreciation |
$ |
2,657,887 |
||
Because tax adjustments are calculated annually, the above tax figures reflect the tax adjustments outstanding at the Fund’s previous fiscal year end. For the previous fiscal year’s federal income tax information, please refer to the Notes to Financial Statements section in the Fund’s most recent semi-annual and annual reports.
See accompanying notes to financial statements.
24
|
Statements of Assets & Liabilities |
|
California |
U.S. |
Short-Term U.S. |
The United |
|||||||||||||
|
Assets |
||||||||||||||||
|
Investments in securities |
||||||||||||||||
|
Cost of investments |
$ |
74,234,365 |
$ |
22,201,624 |
$ |
6,459,712 |
$ |
55,658,389 |
||||||||
|
Market value of investments (Note 1) |
77,129,351 |
22,415,930 |
6,453,877 |
55,658,389 |
||||||||||||
|
Cash |
79,929 |
108,448 |
5,826 |
103,081 |
||||||||||||
|
Interest receivable |
825,127 |
103,393 |
9,166 |
— |
||||||||||||
|
Receivable for fund shares sold |
103,336 |
38,122 |
4,465 |
562,431 |
||||||||||||
|
Prepaid expenses |
24,293 |
12,997 |
7,331 |
11,118 |
||||||||||||
|
Total assets |
78,162,036 |
22,678,890 |
6,480,665 |
56,335,019 |
||||||||||||
|
Liabilities |
||||||||||||||||
|
Payable for fund shares repurchased |
3,281 |
20,136 |
— |
598,360 |
||||||||||||
|
Payable to investment advisor |
29,793 |
8,048 |
886 |
10,530 |
||||||||||||
|
Distributions payable |
133,353 |
22,826 |
2,012 |
— |
||||||||||||
|
Accrued 12b-1 fees |
— |
1,082 |
353 |
49 |
||||||||||||
|
Accrued shareholder service fees |
— |
1,132 |
353 |
77 |
||||||||||||
|
Accrued administration fees |
5,285 |
1,540 |
442 |
3,763 |
||||||||||||
|
Accrued CCO fees |
— |
203 |
38 |
128 |
||||||||||||
|
Accrued expenses |
23,878 |
5,036 |
1,803 |
21,014 |
||||||||||||
|
Total liabilities |
195,590 |
60,003 |
5,887 |
633,921 |
||||||||||||
|
Net assets |
$ |
77,966,446 |
$ |
22,618,887 |
$ |
6,474,778 |
$ |
55,701,098 |
||||||||
|
Net assets at February 28, 2017 consist of |
||||||||||||||||
|
Paid-in capital |
74,959,937 |
22,846,242 |
6,480,592 |
55,703,303 |
||||||||||||
|
Undistributed net investment income |
51,183 |
896 |
78 |
— |
||||||||||||
|
Accumulated net realized gain (loss) |
60,340 |
(442,556 |
) |
(59 |
) |
(2,205 |
) |
|||||||||
|
Unrealized appreciation (depreciation) of investments |
2,894,986 |
214,305 |
(5,833 |
) |
— |
|||||||||||
|
Total net assets |
$ |
77,966,446 |
$ |
22,618,887 |
$ |
6,474,778 |
$ |
55,701,098 |
||||||||
|
Net assets |
||||||||||||||||
|
Direct Shares |
$ |
77,966,446 |
$ |
18,132,822 |
$ |
5,101,274 |
$ |
53,017,291 |
||||||||
|
K Shares |
$ |
— |
$ |
4,486,065 |
$ |
1,373,505 |
$ |
2,683,807 |
||||||||
|
Shares outstanding |
||||||||||||||||
|
Direct Shares (no par value, unlimited shares authorized) |
6,812,468 |
1,770,378 |
503,465 |
53,021,172 |
||||||||||||
|
K Shares (no par value, unlimited shares authorized) |
— |
436,997 |
137,784 |
2,682,160 |
||||||||||||
|
Net asset value per share |
||||||||||||||||
|
Direct Shares |
$ |
11.44 |
$ |
10.24 |
$ |
10.13 |
$ |
1.00 |
||||||||
|
K Shares |
$ |
— |
$ |
10.27 |
$ |
9.97 |
$ |
1.00 |
||||||||
See accompanying notes to financial statements.
25
|
Statements of Assets & Liabilities |
|
S&P 500 |
S&P MidCap |
S&P |
Shelton |
|||||||||||||
|
Assets |
||||||||||||||||
|
Investments in securities |
||||||||||||||||
|
Cost of investments |
$ |
62,537,640 |
$ |
84,788,006 |
$ |
47,714,321 |
$ |
94,465,855 |
||||||||
|
Market value of investments (Note 1) |
153,339,408 |
126,027,817 |
66,719,921 |
166,224,202 |
||||||||||||
|
Cash |
4,182,556 |
540,714 |
2,687,062 |
4,602,344 |
||||||||||||
|
Cash held at broker |
245,501 |
197,878 |
181,179 |
17,603,046 |
||||||||||||
|
Dividend receivable |
330,080 |
117,855 |
43,092 |
551,937 |
||||||||||||
|
Receivable for fund shares sold |
46,027 |
33,508 |
31,404 |
15,025 |
||||||||||||
|
Receivable for Investment Securities Sold |
737,470 |
|||||||||||||||
|
Prepaid expenses |
60,645 |
53,308 |
51,120 |
67,423 |
||||||||||||
|
Total assets |
158,204,217 |
126,971,080 |
69,713,778 |
189,801,447 |
||||||||||||
|
Liabilities |
||||||||||||||||
|
Written Options, at value (premiums received $658,757) |
1,393,393 |
|||||||||||||||
|
Payable for fund shares repurchased |
35,467 |
54,553 |
85,059 |
8,779 |
||||||||||||
|
Payable to investment advisor |
16,733 |
33,034 |
27,741 |
71,771 |
||||||||||||
|
Accrued 12b-1 fees |
1,927 |
1,343 |
2,288 |
1,358 |
||||||||||||
|
Accrued shareholder service fees |
2,918 |
1,321 |
2,465 |
1,597 |
||||||||||||
|
Accrued administration fees |
10,614 |
8,622 |
4,710 |
12,731 |
||||||||||||
|
Accrued CCO fees |
780 |
576 |
495 |
— |
||||||||||||
|
Accrued expenses |
34,985 |
34,934 |
9,744 |
112,581 |
||||||||||||
|
Total liabilities |
103,424 |
134,383 |
132,502 |
1,602,210 |
||||||||||||
|
Net assets |
$ |
158,100,793 |
$ |
126,836,697 |
$ |
69,581,276 |
$ |
188,199,235 |
||||||||
|
Net assets at February 28, 2017 consist of |
||||||||||||||||
|
Paid-in capital |
66,417,977 |
64,268,052 |
46,673,831 |
108,725,639 |
||||||||||||
|
Undistributed net investment income |
461,831 |
167,653 |
34,097 |
544,343 |
||||||||||||
|
Accumulated net realized gain (loss) |
200,071 |
21,161,663 |
3,848,833 |
7,905,541 |
||||||||||||
|
Unrealized appreciation (depreciation) of investments |
90,802,289 |
41,239,829 |
19,005,505 |
71,758,348 |
||||||||||||
|
Unrealized appreciation (depreciation) of futures |
218,625 |
(500 |
) |
19,010 |
— |
|||||||||||
|
Unrealized appreciation (depreciation) of options contracts |
(734,636 |
) |
||||||||||||||
|
Total net assets |
$ |
158,100,793 |
$ |
126,836,697 |
$ |
69,581,276 |
$ |
188,199,235 |
||||||||
|
Net assets |
||||||||||||||||
|
Direct Shares |
$ |
149,315,785 |
$ |
121,038,211 |
$ |
59,140,105 |
$ |
182,091,780 |
||||||||
|
K Shares |
$ |
8,785,008 |
$ |
5,798,486 |
$ |
10,441,171 |
$ |
6,107,455 |
||||||||
|
Shares outstanding |
||||||||||||||||
|
Direct Shares (no par value, unlimited shares authorized) |
3,234,466 |
4,722,186 |
2,635,957 |
7,275,826 |
||||||||||||
|
K Shares (no par value, unlimited shares authorized) |
190,374 |
228,973 |
475,595 |
246,501 |
||||||||||||
|
Net asset value per share |
||||||||||||||||
|
Direct Shares |
$ |
46.16 |
$ |
25.63 |
$ |
22.44 |
$ |
25.03 |
||||||||
|
K Shares |
$ |
46.15 |
$ |
25.32 |
$ |
21.95 |
$ |
24.78 |
||||||||
See accompanying notes to financial statements.
26
|
Statements of Assets & Liabilities |
|
European |
Nasdaq-100 |
Shelton Green Alpha Fund |
||||||||||
|
Assets |
||||||||||||
|
Investments in securities |
||||||||||||
|
Cost of investments |
$ |
7,888,787 |
$ |
250,823,716 |
$ |
30,755,722 |
||||||
|
Market value of investments (Note 1) |
9,326,376 |
362,765,684 |
33,442,606 |
|||||||||
|
Cash |
132,809 |
18,725,941 |
2,098,448 |
|||||||||
|
Cash held at broker |
— |
714,664 |
— |
|||||||||
|
Dividend receivable |
62,011 |
434,090 |
25,722 |
|||||||||
|
Receivable for fund shares sold |
6,227 |
690,394 |
32,536 |
|||||||||
|
Prepaid expenses |
10,094 |
115,459 |
10,227 |
|||||||||
|
Total assets |
9,537,517 |
383,446,232 |
35,609,539 |
|||||||||
|
Liabilities |
||||||||||||
|
Payable for fund shares repurchased |
47,038 |
3,380,439 |
100,646 |
|||||||||
|
Payable to investment advisor |
4,768 |
69,592 |
26,503 |
|||||||||
|
Accrued 12b-1 fees |
731 |
3,730 |
— |
|||||||||
|
Accrued shareholder service fees |
959 |
4,219 |
— |
|||||||||
|
Accrued administration fees |
647 |
25,091 |
2,178 |
|||||||||
|
Accrued CCO fees |
165 |
— |
558 |
|||||||||
|
Accrued expenses |
3,226 |
107,195 |
28,459 |
|||||||||
|
Total liabilities |
57,534 |
3,590,266 |
158,344 |
|||||||||
|
Net assets |
$ |
9,479,983 |
$ |
379,855,968 |
$ |
35,451,195 |
||||||
|
Net assets at February 28, 2017 consist of |
||||||||||||
|
Paid-in capital |
9,473,156 |
268,171,362 |
32,974,760 |
|||||||||
|
Undistributed net investment income |
25,313 |
529,476 |
(39,755 |
) |
||||||||
|
Accumulated net realized gain (loss) |
(1,455,969 |
) |
(1,446,208 |
) |
(170,694 |
) |
||||||
|
Unrealized appreciation (depreciation) of investments |
1,437,483 |
111,941,068 |
2,686,884 |
|||||||||
|
Unrealized appreciation (depreciation) of futures |
660,270 |
|||||||||||
|
Total net assets |
$ |
9,479,983 |
$ |
379,855,968 |
$ |
35,451,195 |
||||||
|
Net assets |
||||||||||||
|
Direct Shares |
$ |
5,625,519 |
$ |
361,402,292 |
$ |
35,451,195 |
||||||
|
K Shares |
$ |
3,854,465 |
$ |
18,453,676 |
$ |
— |
||||||
|
Shares outstanding |
||||||||||||
|
Direct Shares (no par value, unlimited shares authorized) |
674,964 |
26,531,824 |
2,313,548 |
|||||||||
|
K Shares (no par value, unlimited shares authorized) |
460,897 |
1,392,524 |
— |
|||||||||
|
Net asset value per share |
||||||||||||
|
Direct Shares |
$ |
8.33 |
$ |
13.62 |
$ |
15.32 |
||||||
|
K Shares |
$ |
8.36 |
$ |
13.25 |
$ |
— |
||||||
See accompanying notes to financial statements.
27
|
Statements of Operations |
|
California |
U.S. |
Short-Term U.S. |
The United |
|||||||||||||
|
Investment income |
||||||||||||||||
|
Interest income |
$ |
1,151,904 |
$ |
243,120 |
$ |
28,515 |
$ |
117,519 |
||||||||
|
Total |
1,151,904 |
243,120 |
28,515 |
117,519 |
||||||||||||
|
Expenses |
||||||||||||||||
|
Management fees (Note 2) |
198,952 |
57,630 |
14,592 |
164,339 |
||||||||||||
|
Administration fees (Note 2) |
35,472 |
10,275 |
2,616 |
29,358 |
||||||||||||
|
Transfer agent fees |
22,911 |
3,717 |
782 |
24,854 |
||||||||||||
|
Accounting services |
4,258 |
934 |
53 |
8,559 |
||||||||||||
|
Custodian fees |
955 |
288 |
— |
2,041 |
||||||||||||
|
Legal and audit fees |
5,946 |
2,982 |
2,963 |
5,976 |
||||||||||||
|
CCO fees (Note 2) |
835 |
1,003 |
236 |
2,436 |
||||||||||||
|
Trustees fees |
2,706 |
2,628 |
3,671 |
2,568 |
||||||||||||
|
Insurance |
1,273 |
334 |
126 |
1,185 |
||||||||||||
|
Printing |
128 |
323 |
131 |
1,942 |
||||||||||||
|
Registration and dues |
5,650 |
7,468 |
907 |
2,765 |
||||||||||||
|
12b-1 fees Class K (Note 2) |
— |
5,720 |
1,634 |
— |
||||||||||||
|
Shareholder service fees Class K (Note 2) |
— |
5,720 |
1,634 |
— |
||||||||||||
|
Total expenses |
279,086 |
99,022 |
29,345 |
246,023 |
||||||||||||
|
Less reimbursement from manager (Note 2) |
— |
(2,329 |
) |
(8,842 |
) |
(128,504 |
) |
|||||||||
|
Net expenses |
279,086 |
96,693 |
20,503 |
117,519 |
||||||||||||
|
Net investment income |
872,818 |
146,427 |
8,012 |
— |
||||||||||||
|
Realized and unrealized gain (loss) on investments |
||||||||||||||||
|
Net realized gain (loss) from security transactions |
208,466 |
7,153 |
(1 |
) |
(51 |
) |
||||||||||
|
Change in unrealized appreciation (depreciation) of investments |
(3,168,613 |
) |
(791,145 |
) |
(22,033 |
) |
— |
|||||||||
|
Net realized and unrealized gain (loss) on investments |
(2,960,147 |
) |
(783,992 |
) |
(22,034 |
) |
(51 |
) |
||||||||
|
Net increase (decrease) in net assets resulting from operations |
$ |
(2,087,329 |
) |
$ |
(637,565 |
) |
$ |
(14,022 |
) |
$ |
(51 |
) |
||||
See accompanying notes to financial statements.
28
|
Statements of Operations |
|
S&P 500 |
S&P MidCap |
S&P |
Shelton |
|||||||||||||
|
Investment income |
||||||||||||||||
|
Interest income |
$ |
1,439 |
$ |
— |
$ |
— |
$ |
18,773 |
||||||||
|
Dividend income (net of foreign tax witheld: $127, $142, $42, $5,513 respectively) |
1,534,148 |
1,019,868 |
432,468 |
1,971,205 |
||||||||||||
|
Total |
1,535,587 |
1,019,868 |
432,468 |
1,989,978 |
||||||||||||
|
Expenses |
||||||||||||||||
|
Management fees (Note 2) |
183,094 |
245,537 |
154,253 |
453,401 |
||||||||||||
|
Administration fees (Note 2) |
64,895 |
54,714 |
27,939 |
80,827 |
||||||||||||
|
Transfer agent fees |
25,267 |
24,334 |
13,482 |
57,333 |
||||||||||||
|
Accounting services |
11,205 |
10,558 |
924 |
20,675 |
||||||||||||
|
Custodian fees |
1,831 |
1,412 |
1,388 |
14,781 |
||||||||||||
|
Broker Fees |
— |
— |
— |
572 |
||||||||||||
|
Legal and audit fees |
8,283 |
7,847 |
4,797 |
11,139 |
||||||||||||
|
CCO fees (Note 2) |
5,786 |
4,911 |
2,591 |
2,086 |
||||||||||||
|
Trustees fees |
2,783 |
2,394 |
3,054 |
2,811 |
||||||||||||
|
Insurance |
1,977 |
2,026 |
864 |
2,993 |
||||||||||||
|
Printing |
3,735 |
2,455 |
2,838 |
5,350 |
||||||||||||
|
Registration and dues |
25,122 |
27,316 |
6,108 |
57,581 |
||||||||||||
|
12b-1 fees Class K (Note 2) |
10,207 |
6,659 |
12,176 |
7,491 |
||||||||||||
|
Shareholder service fees Class K (Note 2) |
10,207 |
6,659 |
12,176 |
7,491 |
||||||||||||
|
Licensing fee |
7,313 |
6,243 |
2,846 |
— |
||||||||||||
|
Total expenses |
361,705 |
403,065 |
245,436 |
724,531 |
||||||||||||
|
Less reimbursement from manager (Note 2) |
(77,474 |
) |
(33,917 |
) |
— |
— |
||||||||||
|
Net expenses |
284,231 |
369,148 |
245,436 |
724,531 |
||||||||||||
|
Net investment income |
1,251,356 |
650,720 |
187,032 |
1,265,447 |
||||||||||||
|
Realized and unrealized gain (loss) on investments |
||||||||||||||||
|
Net realized gain (loss) from security transactions |
564,755 |
28,112,373 |
3,888,980 |
10,915,627 |
||||||||||||
|
Net realized gain (loss) from futures contracts |
221,854 |
145,335 |
253,856 |
— |
||||||||||||
|
Net realized gain (loss) from options contracts |
— |
— |
— |
747,680 |
||||||||||||
|
Change in unrealized appreciation (depreciation) of investments |
12,132,114 |
(15,288,559 |
) |
2,954,292 |
1,481,589 |
|||||||||||
|
Change in unrealized appreciation (depreciation) of futures |
161,325 |
(9,390 |
) |
(42,820 |
) |
|||||||||||
|
Change in unrealized appreciation (depreciation) of options contracts |
— |
— |
— |
(704,590 |
) |
|||||||||||
|
Net realized and unrealized gain (loss) on investments |
13,080,048 |
12,959,759 |
7,054,308 |
12,440,306 |
||||||||||||
|
Net increase (decrease) in net assets resulting from operations |
$ |
14,331,404 |
$ |
13,610,479 |
$ |
7,241,340 |
$ |
13,705,753 |
||||||||
See accompanying notes to financial statements.
29
|
Statements of Operations |
|
European |
Nasdaq-100 |
Shelton Green Alpha Fund |
||||||||||
|
Investment income |
||||||||||||
|
Dividend income (net of foreign tax witheld: $2,973, $427, $4430 respectively) |
$ |
89,102 |
$ |
1,965,224 |
$ |
204,371 |
||||||
|
Total |
89,102 |
1,965,224 |
204,371 |
|||||||||
|
Expenses |
||||||||||||
|
Management fees (Note 2) |
38,503 |
827,075 |
174,309 |
|||||||||
|
Administration fees (Note 2) |
4,038 |
146,656 |
15,367 |
|||||||||
|
Transfer agent fees |
2,185 |
44,331 |
6,153 |
|||||||||
|
Accounting services |
79 |
44,166 |
3,295 |
|||||||||
|
Custodian fees |
— |
13,564 |
453 |
|||||||||
|
Legal and audit fees |
2,709 |
12,497 |
2,871 |
|||||||||
|
CCO fees (Note 2) |
476 |
9,263 |
1,604 |
|||||||||
|
Trustees fees |
3,048 |
2,812 |
2,597 |
|||||||||
|
Insurance |
177 |
3,805 |
453 |
|||||||||
|
Printing |
1,426 |
7,609 |
3,835 |
|||||||||
|
Registration and dues |
761 |
86,181 |
33,188 |
|||||||||
|
12b-1 fees Class K (Note 2) |
4,545 |
20,338 |
— |
|||||||||
|
Shareholder service fees Class K (Note 2) |
4,545 |
20,338 |
— |
|||||||||
|
Licensing fee |
— |
28,948 |
— |
|||||||||
|
Total expenses |
62,492 |
1,267,583 |
244,125 |
|||||||||
|
Less reimbursement from manager (Note 2) |
(8,088 |
) |
(415,431 |
) |
— |
|||||||
|
Net expenses |
54,404 |
852,152 |
244,125 |
|||||||||
|
Net investment income |
34,698 |
1,113,072 |
(39,755 |
) |
||||||||
|
Realized and unrealized gain (loss) on investments |
||||||||||||
|
Net realized gain (loss) from security transactions |
(4 |
) |
(130,942 |
) |
205,752 |
|||||||
|
Net realized gain (loss) from futures contracts |
— |
564,224 |
— |
|||||||||
|
Change in unrealized appreciation (depreciation) of investments |
452,763 |
35,750,338 |
1,554,192 |
|||||||||
|
Change in unrealized appreciation (depreciation) of futures |
— |
665,780 |
— |
|||||||||
|
Net realized and unrealized gain (loss) on investments |
452,759 |
36,849,400 |
1,759,944 |
|||||||||
|
Net increase (decrease) in net assets resulting from operations |
$ |
487,457 |
$ |
37,962,472 |
$ |
1,720,189 |
||||||
See accompanying notes to financial statements.
30
|
Statements of Changes in Net Assets |
|
California Tax-Free |
||||||||
|
Six Months Ended February 28, |
Year |
|||||||
|
Operations |
||||||||
|
Net investment income (loss) |
$ |
872,818 |
$ |
2,187,863 |
||||
|
Net realized gain (loss) on investments |
208,466 |
304,753 |
||||||
|
Net realized gain (loss) on futures contracts |
— |
— |
||||||
|
Change in unrealized appreciation (depreciation) of investments |
(3,168,613 |
) |
1,576,243 |
|||||
|
Change in unrealized appreciation (depreciation) of futures and options contracts |
— |
— |
||||||
|
Net increase (decrease) in net assets resulting from operations |
(2,087,329 |
) |
4,068,859 |
|||||
|
Distributions to shareholders |
||||||||
|
Distributions from net investment income |
||||||||
|
Direct shares |
(970,976 |
) |
(2,175,617 |
) |
||||
|
Distributions from realized capital gains on investments |
||||||||
|
Direct shares |
(382,825 |
) |
— |
|||||
|
Capital share transactions |
||||||||
|
Increase (decrease) in net assets resulting from capital share transactions |
(3,014,815 |
) |
(6,683,995 |
) |
||||
|
Total increase (decrease) |
(6,455,945 |
) |
(4,790,753 |
) |
||||
|
Net assets |
||||||||
|
Beginning of year |
84,422,391 |
89,213,144 |
||||||
|
End of year |
$ |
77,966,446 |
$ |
84,422,391 |
||||
|
Including undistributed net investment income (loss) of: |
$ |
51,183 |
$ |
149,312 |
||||
|
U.S. Government |
Short-Term U.S. |
The United States |
||||||||||||||||||||||
|
Six Months Ended February 28, |
Year |
Six Months Ended February 28, |
Year |
Six Months Ended February 28, |
Year |
|||||||||||||||||||
|
Operations |
||||||||||||||||||||||||
|
Net investment income (loss) |
$ |
146,427 |
$ |
298,077 |
$ |
8,012 |
$ |
9,035 |
$ |
— |
$ |
— |
||||||||||||
|
Net realized gain (loss) on investments |
7,153 |
72,421 |
(1 |
) |
2,540 |
(51 |
) |
280 |
||||||||||||||||
|
Net realized gain (loss) on futures contracts |
— |
— |
— |
— |
— |
— |
||||||||||||||||||
|
Change in unrealized appreciation (depreciation) of investments |
(791,145 |
) |
364,694 |
(22,033 |
) |
3,408 |
— |
— |
||||||||||||||||
|
Change in unrealized appreciation (depreciation) of futures and options contracts |
— |
— |
— |
— |
— |
— |
||||||||||||||||||
|
Net increase (decrease) in net assets resulting from operations |
(637,565 |
) |
735,192 |
(14,022 |
) |
14,983 |
(51 |
) |
280 |
|||||||||||||||
|
Distributions to shareholders |
||||||||||||||||||||||||
|
Distributions from net investment income |
||||||||||||||||||||||||
|
Direct shares |
(173,533 |
) |
(266,570 |
) |
(8,067 |
) |
(9,179 |
) |
— |
— |
||||||||||||||
|
K shares |
(31,578 |
) |
(37,994 |
) |
— |
— |
— |
— |
||||||||||||||||
|
Distributions from realized capital gains on investments |
||||||||||||||||||||||||
|
Direct shares |
— |
— |
(1,854 |
) |
— |
— |
— |
|||||||||||||||||
|
K shares |
— |
— |
(559 |
) |
— |
— |
— |
|||||||||||||||||
|
Capital share transactions |
||||||||||||||||||||||||
|
Increase (decrease) in net assets resulting from capital share transactions |
(1,004,360 |
) |
(1,169,137 |
) |
1,021,145 |
(1,254,546 |
) |
(19,251,118 |
) |
(13,923,127 |
) |
|||||||||||||
|
Total increase (decrease) |
(1,847,036 |
) |
(738,509 |
) |
996,643 |
(1,248,742 |
) |
(19,251,169 |
) |
(13,922,847 |
) |
|||||||||||||
|
Net assets |
||||||||||||||||||||||||
|
Beginning of year |
24,465,923 |
25,204,432 |
5,478,135 |
6,726,877 |
74,952,267 |
88,875,114 |
||||||||||||||||||
|
End of year |
$ |
22,618,887 |
$ |
24,465,923 |
$ |
6,474,778 |
$ |
5,478,135 |
$ |
55,701,098 |
$ |
74,952,267 |
||||||||||||
|
Including undistributed net investment income (loss) of: |
$ |
896 |
$ |
59,581 |
$ |
78 |
$ |
133 |
$ |
— |
$ |
— |
||||||||||||
See accompanying notes to financial statements.
31
|
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, |
Year |
Six Months Ended February 28, |
Year |
Six Months Ended February 28, |
Year |
|||||||||||||||||||
|
Operations |
||||||||||||||||||||||||
|
Net investment income (loss) |
$ |
1,251,356 |
$ |
2,514,160 |
$ |
650,720 |
$ |
1,373,661 |
$ |
187,032 |
$ |
259,915 |
||||||||||||
|
Net realized gain (loss) on investments |
564,755 |
1,490,887 |
28,112,373 |
11,311,946 |
3,888,980 |
2,363,853 |
||||||||||||||||||
|
Net realized gain (loss) on futures contracts |
221,854 |
135,938 |
145,335 |
(277,785 |
) |
253,856 |
12,852 |
|||||||||||||||||
|
Change in unrealized appreciation (depreciation) of investments |
12,132,114 |
11,501,497 |
(15,288,559 |
) |
2,386,098 |
2,954,292 |
3,549,714 |
|||||||||||||||||
|
Change in unrealized appreciation (depreciation) of futures and options contracts |
161,325 |
79,738 |
(9,390 |
) |
250,780 |
(42,820 |
) |
119,415 |
||||||||||||||||
|
Net increase (decrease) in net assets resulting from operations |
14,331,404 |
15,722,220 |
13,610,479 |
15,044,700 |
7,241,340 |
6,305,749 |
||||||||||||||||||
|
Distributions to shareholders |
||||||||||||||||||||||||
|
Distributions from net investment income |
||||||||||||||||||||||||
|
Direct shares |
(1,446,842 |
) |
(2,449,795 |
) |
(470,907 |
) |
(1,285,213 |
) |
(135,038 |
) |
(311,261 |
) |
||||||||||||
|
K shares |
(72,126 |
) |
(107,299 |
) |
(12,160 |
) |
(24,414 |
) |
(17,897 |
) |
(19,475 |
) |
||||||||||||
|
Distributions from realized capital gains on investments |
||||||||||||||||||||||||
|
Direct shares |
(1,405,105 |
) |
(3,080,771 |
) |
(16,224,622 |
) |
(21,413,287 |
) |
(2,153,007 |
) |
(3,975,481 |
) |
||||||||||||
|
K shares |
(83,044 |
) |
(193,578 |
) |
(762,705 |
) |
(782,857 |
) |
(414,019 |
) |
(944,574 |
) |
||||||||||||
|
Capital share transactions |
||||||||||||||||||||||||
|
Increase (decrease) in net assets resulting from capital share transactions |
3,449,781 |
2,234,800 |
(10,760,623 |
) |
4,313,548 |
8,430,101 |
4,930,461 |
|||||||||||||||||
|
Total increase (decrease) |
14,774,068 |
12,125,577 |
(14,620,538 |
) |
(4,147,523 |
) |
12,951,480 |
5,985,419 |
||||||||||||||||
|
Net assets |
||||||||||||||||||||||||
|
Beginning of year |
143,326,725 |
131,201,148 |
141,457,235 |
145,604,758 |
56,629,796 |
50,644,377 |
||||||||||||||||||
|
End of year |
$ |
158,100,793 |
$ |
143,326,725 |
$ |
126,836,697 |
$ |
141,457,235 |
$ |
69,581,276 |
$ |
56,629,796 |
||||||||||||
|
Including undistributed net investment income (loss) of: |
$ |
461,831 |
$ |
729,442 |
$ |
167,653 |
$ |
81,216 |
$ |
34,097 |
$ |
— |
||||||||||||
|
Shelton Core Value Fund |
European Growth |
Nasdaq-100 Index Fund |
||||||||||||||||||||||
|
Six Months Ended February 28, |
Year |
Six Months Ended February 28, |
Year |
Six Months Ended February 28, |
Year |
|||||||||||||||||||
|
Operations |
||||||||||||||||||||||||
|
Net investment income (loss) |
$ |
1,265,447 |
$ |
3,361,213 |
$ |
34,698 |
$ |
250,392 |
$ |
1,113,072 |
$ |
2,194,721 |
||||||||||||
|
Net realized gain (loss) on investments |
10,915,627 |
23,698,760 |
(4 |
) |
(54,902 |
) |
(130,942 |
) |
(546,193 |
) |
||||||||||||||
|
Net realized gain (loss) on futures contracts |
— |
— |
564,224 |
(3,917 |
) |
|||||||||||||||||||
|
Net realized gain (loss) on options contracts |
747,680 |
395,040 |
||||||||||||||||||||||
|
Change in unrealized appreciation (depreciation) of investments |
1,481,589 |
(10,421,053 |
) |
452,763 |
(562,539 |
) |
35,750,338 |
31,177,381 |
||||||||||||||||
|
Change in unrealized appreciation (depreciation) |
— |
— |
— |
— |
665,780 |
(55,630 |
) |
|||||||||||||||||
|
Change in unrealized appreciation (depreciation) |
(704,590 |
) |
(30,046 |
) |
— |
— |
— |
— |
||||||||||||||||
|
Net increase (decrease) in net assets resulting from operations |
13,705,753 |
17,003,914 |
487,457 |
(367,049 |
) |
37,962,472 |
32,766,362 |
|||||||||||||||||
|
Distributions to shareholders |
||||||||||||||||||||||||
|
Distributions from net investment income |
||||||||||||||||||||||||
|
Direct shares |
(1,674,516 |
) |
(3,442,257 |
) |
(34,685 |
) |
(150,036 |
) |
(1,086,930 |
) |
(2,491,488 |
) |
||||||||||||
|
K shares |
(48,091 |
) |
(92,200 |
) |
(17,343 |
) |
(84,936 |
) |
(32,332 |
) |
(53,742 |
) |
||||||||||||
|
Distributions from realized capital gains on investments |
||||||||||||||||||||||||
|
Direct shares |
(22,403,863 |
) |
(2,543,593 |
) |
— |
— |
— |
— |
||||||||||||||||
|
K shares |
(777,863 |
) |
(81,226 |
) |
— |
— |
— |
— |
||||||||||||||||
|
Capital share transactions |
||||||||||||||||||||||||
|
Increase (decrease) in net assets resulting from capital share transactions |
18,183,346 |
(15,826,727 |
) |
(9,414 |
) |
(503,964 |
) |
29,390,696 |
34,280,455 |
|||||||||||||||
|
Total increase (decrease) |
6,984,766 |
(4,982,089 |
) |
426,015 |
(1,105,985 |
) |
66,233,906 |
64,501,587 |
||||||||||||||||
|
Net assets |
||||||||||||||||||||||||
|
Beginning of year |
181,214,469 |
186,196,558 |
9,053,968 |
10,159,953 |
313,622,062 |
249,120,475 |
||||||||||||||||||
|
End of year |
$ |
188,199,235 |
$ |
181,214,469 |
$ |
9,479,983 |
$ |
9,053,968 |
$ |
379,855,968 |
$ |
313,622,062 |
||||||||||||
|
Including undistributed net investment income (loss) of: |
$ |
544,343 |
$ |
1,001,503 |
$ |
25,313 |
$ |
42,643 |
$ |
529,476 |
$ |
535,666 |
||||||||||||
See accompanying notes to financial statements.
32
|
Statements of Changes in Net Assets |
|
Shelton Green Alpha Fund |
||||||||
|
Six Months Ended February 28, |
Year |
|||||||
|
Operations |
||||||||
|
Net investment income (loss) |
$ |
(39,755 |
) |
$ |
(73,541 |
) |
||
|
Net realized gain (loss) on investments |
205,752 |
233,318 |
||||||
|
Net realized gain (loss) on futures contracts |
— |
— |
||||||
|
Change in unrealized appreciation (depreciation) of investments |
1,554,192 |
2,027,068 |
||||||
|
Change in unrealized appreciation (depreciation) of futures and options contracts |
— |
— |
||||||
|
Net increase (decrease) in net assets resulting from operations |
1,720,189 |
2,186,845 |
||||||
|
Capital share transactions |
||||||||
|
Increase (decrease) in net assets resulting from capital share transactions |
(3,148,521 |
) |
5,097,056 |
|||||
|
Total increase (decrease) |
(1,428,332 |
) |
7,283,901 |
|||||
|
Net assets |
||||||||
|
Beginning of year |
36,879,527 |
29,595,626 |
||||||
|
End of year |
$ |
35,451,195 |
$ |
36,879,527 |
||||
|
Including undistributed net investment income (loss) of: |
$ |
(39,755 |
) |
$ |
— |
|||
|
California Tax-Free Income Fund |
Direct Shares |
|||||||||||||||
|
Six Months Ended |
Year Ended |
|||||||||||||||
|
Shares |
Value |
Shares |
Value |
|||||||||||||
|
Shares sold |
114,332 |
$ |
1,320,762 |
523,322 |
$ |
6,197,158 |
||||||||||
|
Shares issued in reinvestment of distributions |
90,828 |
1,042,599 |
139,165 |
1,646,439 |
||||||||||||
|
Shares repurchased |
(466,937 |
) |
(5,378,176 |
) |
(1,222,216 |
) |
(14,527,592 |
) |
||||||||
|
Net increase (decrease) |
(261,777 |
) |
$ |
(3,014,815 |
) |
(559,729 |
) |
$ |
(6,683,995 |
) |
||||||
|
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 |
161,482 |
$ |
1,668,931 |
652,912 |
$ |
6,876,077 |
32,515 |
$ |
337,027 |
94,649 |
$ |
998,366 |
||||||||||||||||||||
|
Shares issued in reinvestment of distributions |
16,215 |
168,420 |
24,511 |
258,321 |
3,026 |
31,575 |
3,610 |
37,994 |
||||||||||||||||||||||||
|
Shares repurchased |
(268,423 |
) |
(2,782,307 |
) |
(721,453 |
) |
(7,565,684 |
) |
(41,420 |
) |
(428,006 |
) |
(168,243 |
) |
(1,774,211 |
) |
||||||||||||||||
|
Net increase (decrease) |
(90,726 |
) |
$ |
(944,956 |
) |
(44,030 |
) |
$ |
(431,286 |
) |
(5,879 |
) |
$ |
(59,404 |
) |
(69,984 |
) |
$ |
(737,851 |
) |
||||||||||||
|
Short-Term U.S. Government Bond 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 |
119,176 |
$ |
1,207,691 |
118,820 |
$ |
1,208,657 |
27,531 |
$ |
274,640 |
44,611 |
$ |
447,203 |
||||||||||||||||||||
|
Shares issued in reinvestment of distributions |
963 |
9,759 |
887 |
9,024 |
56 |
559 |
— |
— |
||||||||||||||||||||||||
|
Shares repurchased |
(24,268 |
) |
(246,127 |
) |
(226,249 |
) |
(2,300,719 |
) |
(22,568 |
) |
(225,377 |
) |
(61,691 |
) |
(618,711 |
) |
||||||||||||||||
|
Net increase (decrease) |
95,870 |
$ |
971,323 |
(106,542 |
) |
$ |
(1,083,038 |
) |
5,019 |
$ |
49,822 |
(17,080 |
) |
$ |
(171,508 |
) |
||||||||||||||||
See accompanying notes to financial statements.
33
|
Statements of Changes in Net Assets |
|
The United States Treasury Trust |
Direct Shares |
K Shares |
||||||||||||||
|
Six Months Ended |
Year Ended |
Six Months Ended |
Year Ended |
|||||||||||||
|
Shares/ |
Shares/ |
Shares/ |
Shares/ |
|||||||||||||
|
Shares sold |
15,715,582 |
40,928,958 |
600,187 |
991,258 |
||||||||||||
|
Shares issued in reinvestment of distributions |
— |
— |
— |
(1,172,457 |
) |
|||||||||||
|
Shares repurchased |
(35,180,644 |
) |
(54,670,886 |
) |
(386,243 |
) |
— |
|||||||||
|
Net increase (decrease) |
(19,465,062 |
) |
(13,741,928 |
) |
213,944 |
(181,199 |
) |
|||||||||
|
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 |
149,381 |
$ |
6,506,999 |
326,492 |
$ |
13,176,413 |
10,786 |
$ |
470,498 |
38,069 |
$ |
1,530,003 |
||||||||||||||||||||
|
Shares issued in reinvestment of distributions |
60,252 |
2,589,403 |
123,967 |
5,040,646 |
3,604 |
154,767 |
7,364 |
299,894 |
||||||||||||||||||||||||
|
Shares repurchased |
(133,127 |
) |
(5,824,897 |
) |
(380,563 |
) |
(15,315,397 |
) |
(10,147 |
) |
(446,990 |
) |
(61,550 |
) |
(2,496,759 |
) |
||||||||||||||||
|
Net increase (decrease) |
76,506 |
$ |
3,271,506 |
69,896 |
$ |
2,901,662 |
4,243 |
$ |
178,275 |
(16,117 |
) |
$ |
(666,862 |
) |
||||||||||||||||||
|
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 |
159,088 |
$ |
4,077,784 |
375,346 |
$ |
9,533,143 |
15,388 |
$ |
392,284 |
30,369 |
$ |
764,766 |
||||||||||||||||||||
|
Shares issued in reinvestment of distributions |
657,103 |
15,908,396 |
872,644 |
21,775,695 |
32,324 |
772,808 |
32,571 |
804,706 |
||||||||||||||||||||||||
|
Shares repurchased |
(1,203,750 |
) |
(31,627,844 |
) |
(1,078,306 |
) |
(27,097,754 |
) |
(11,189 |
) |
(284,053 |
) |
(56,563 |
) |
(1,467,008 |
) |
||||||||||||||||
|
Net increase (decrease) |
(387,559 |
) |
$ |
(11,641,662 |
) |
169,684 |
$ |
4,211,084 |
36,523 |
$ |
881,039 |
6,377 |
$ |
102,464 |
||||||||||||||||||
|
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 |
400,638 |
$ |
8,725,951 |
362,655 |
$ |
6,973,676 |
28,858 |
$ |
616,426 |
71,439 |
$ |
1,343,176 |
||||||||||||||||||||
|
Shares issued in reinvestment of distributions |
105,489 |
2,265,861 |
216,445 |
4,229,379 |
20,540 |
431,916 |
50,276 |
964,049 |
||||||||||||||||||||||||
|
Shares repurchased |
(139,058 |
) |
(3,036,754 |
) |
(291,983 |
) |
(5,644,316 |
) |
(27,018 |
) |
(573,299 |
) |
(153,843 |
) |
(2,935,503 |
) |
||||||||||||||||
|
Net increase (decrease) |
367,069 |
$ |
7,955,058 |
287,117 |
$ |
5,558,739 |
22,380 |
$ |
475,043 |
(32,128 |
) |
$ |
(628,278 |
) |
||||||||||||||||||
|
Shelton Core Value Fund |
Direct Shares |
K Shares |
||||||||||||||||||||||||||||||
|
Six Months Ended |
Year Ended |
Six Months Ended |
Year Ended |
|||||||||||||||||||||||||||||
|
Shares |
Value |
Shares |
Value |
Shares |
Value |
Shares |
Value |
|||||||||||||||||||||||||
|
Shares sold |
96,775 |
$ |
2,480,817 |
268,324 |
$ |
6,816,479 |
12,343 |
$ |
315,793 |
34,444 |
$ |
861,737 |
||||||||||||||||||||
|
Shares issued in reinvestment of distributions |
966,442 |
23,431,646 |
231,099 |
5,823,161 |
34,402 |
825,604 |
6,923 |
173,353 |
||||||||||||||||||||||||
|
Shares repurchased |
(324,468 |
) |
(8,323,359 |
) |
(1,104,753 |
) |
(28,213,953 |
) |
(21,859 |
) |
(547,155 |
) |
(50,432 |
) |
(1,287,504 |
) |
||||||||||||||||
|
Net increase (decrease) |
738,749 |
$ |
17,589,104 |
(605,330 |
) |
$ |
(15,574,313 |
) |
24,886 |
$ |
594,242 |
(9,065 |
) |
$ |
(252,414 |
) |
||||||||||||||||
See accompanying notes to financial statements.
34
|
Statements of Changes in Net Assets |
|
European Growth & 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 |
52,104 |
$ |
419,367 |
116,077 |
$ |
923,966 |
31,330 |
$ |
250,210 |
87,517 |
$ |
699,199 |
||||||||||||||||||||
|
Shares issued in reinvestment of distributions |
4,297 |
34,328 |
18,957 |
148,891 |
2,162 |
17,343 |
10,794 |
84,936 |
||||||||||||||||||||||||
|
Shares repurchased |
(66,309 |
) |
(533,696 |
) |
(147,754 |
) |
(1,178,800 |
) |
(24,586 |
) |
(196,966 |
) |
(146,934 |
) |
(1,182,156 |
) |
||||||||||||||||
|
Net increase (decrease) |
(9,908 |
) |
$ |
(80,001 |
) |
(12,720 |
) |
$ |
(105,943 |
) |
8,906 |
$ |
70,587 |
(48,623 |
) |
$ |
(398,021 |
) |
||||||||||||||
|
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 |
6,664,908 |
$ |
84,486,152 |
11,206,740 |
$ |
127,898,686 |
224,173 |
$ |
2,771,759 |
391,917 |
$ |
4,340,599 |
||||||||||||||||||||
|
Shares issued in reinvestment of distributions |
83,687 |
1,042,451 |
212,176 |
2,388,270 |
2,663 |
32,332 |
5,053 |
53,742 |
||||||||||||||||||||||||
|
Shares repurchased |
(4,556,091 |
) |
(57,301,669 |
) |
(8,115,814 |
) |
(91,802,273 |
) |
(133,698 |
) |
(1,640,329 |
) |
(762,296 |
) |
(8,598,569 |
) |
||||||||||||||||
|
Net increase (decrease) |
2,192,504 |
$ |
28,226,934 |
3,303,102 |
$ |
38,484,683 |
93,138 |
$ |
1,163,762 |
(365,326 |
) |
$ |
(4,204,228 |
) |
||||||||||||||||||
|
Shelton Green Alpha Fund |
Direct Shares |
|||||||||||||||
|
Six Months Ended |
Year Ended |
|||||||||||||||
|
Shares |
Value |
Shares |
Value |
|||||||||||||
|
Shares sold |
389,715 |
$ |
5,600,547 |
1,190,114 |
$ |
16,546,546 |
||||||||||
|
Shares issued in reinvestment of distributions |
— |
— |
— |
— |
||||||||||||
|
Shares repurchased |
(614,773 |
) |
(8,749,068 |
) |
(816,224 |
) |
(11,449,490 |
) |
||||||||
|
Net increase (decrease) |
(225,058 |
) |
$ |
(3,148,521 |
) |
373,890 |
$ |
5,097,056 |
||||||||
See accompanying notes to financial statements.
35
|
Financial Highlights (For a Share Outstanding Throughout Each Period) |
|
California Tax-Free Income Fund Direct Shares |
Six Months Ended February 28, |
Year Ended August 31, 2016 |
Year Ended August 31, 2015 |
Year Ended August 31, 2014 |
Year Ended August 31, 2013 |
Year Ended August 31, 2012 |
||||||||||||||||||
|
Net asset value, beginning of year |
$ |
11.93 |
$ |
11.69 |
$ |
11.81 |
$ |
11.27 |
$ |
11.89 |
$ |
11.38 |
||||||||||||
|
INCOME FROM INVESTMENT OPERATIONS |
||||||||||||||||||||||||
|
Net investment income (loss) (a) |
0.13 |
0.29 |
0.28 |
0.33 |
0.38 |
0.41 |
||||||||||||||||||
|
Net gain (loss) on securities (both realized and unrealized) |
(0.42 |
) |
0.24 |
(0.07 |
) |
0.54 |
(0.62 |
) |
0.51 |
|||||||||||||||
|
Total from investment operations |
(0.29 |
) |
0.53 |
0.21 |
0.87 |
(0.24 |
) |
0.92 |
||||||||||||||||
|
LESS DISTRIBUTIONS |
||||||||||||||||||||||||
|
Dividends from net investment income |
(0.14 |
) |
(0.29 |
) |
(0.28 |
) |
(0.33 |
) |
(0.38 |
) |
(0.41 |
) |
||||||||||||
|
Distributions from capital gains |
0.06 |
— |
(0.05 |
) |
— |
— |
— |
|||||||||||||||||
|
Total distributions |
(0.20 |
) |
(0.29 |
) |
(0.33 |
) |
(0.33 |
) |
(0.38 |
) |
(0.41 |
) |
||||||||||||
|
Net asset value, end of year |
$ |
11.44 |
$ |
11.93 |
$ |
11.69 |
$ |
11.81 |
$ |
11.27 |
$ |
11.89 |
||||||||||||
|
Total return |
(2.46 |
)% |
4.60 |
% |
1.78 |
% |
7.80 |
% |
(2.12 |
)% |
8.17 |
% |
||||||||||||
|
RATIOS / SUPPLEMENTAL DATA |
||||||||||||||||||||||||
|
Net assets, end of year (000s) |
$ |
77,966 |
$ |
84,422 |
$ |
89,213 |
$ |
97,111 |
$ |
100,233 |
$ |
105,786 |
||||||||||||
|
Ratio of expenses to average net assets |
0.35 |
% |
0.69 |
% |
0.71 |
% |
0.73 |
% |
0.71 |
% |
0.72 |
% |
||||||||||||
|
Ratio of net investment income (loss) to average net assets |
1.09 |
% |
2.47 |
% |
2.41 |
% |
2.88 |
% |
3.29 |
% |
3.50 |
% |
||||||||||||
|
Portfolio turnover |
3 |
% |
19 |
% |
12 |
% |
10 |
% |
11 |
% |
10 |
% |
||||||||||||
|
(a) |
Calculated based upon average shares outstanding. |
See accompanying notes to financial statements.
36
|
Financial Highlights (For a Share Outstanding Throughout Each Period) (Continued) |
|
U.S. Government Securities Fund Direct Shares |
Six Months Ended February 28, |
Year Ended August 31, 2016 |
Year Ended August 31, 2015 |
Year Ended August 31, 2014 |
Year Ended August 31, 2013 |
Year Ended August 31, 2012 |
||||||||||||||||||
|
Net asset value, beginning of year |
$ |
10.61 |
$ |
10.42 |
$ |
10.40 |
$ |
10.38 |
$ |
10.93 |
$ |
10.79 |
||||||||||||
|
INCOME FROM INVESTMENT OPERATIONS |
||||||||||||||||||||||||
|
Net investment income (loss) (a) |
0.07 |
0.14 |
0.14 |
0.19 |
0.19 |
0.20 |
||||||||||||||||||
|
Net gain (loss) on securities (both realized and unrealized) |
(0.34 |
) |
0.20 |
0.02 |
0.02 |
(0.56 |
) |
0.13 |
||||||||||||||||
|
Total from investment operations |
(0.27 |
) |
0.34 |
0.16 |
0.21 |
(0.37 |
) |
0.33 |
||||||||||||||||
|
LESS DISTRIBUTIONS |
||||||||||||||||||||||||
|
Dividends from net investment income |
(0.10 |
) |
(0.15 |
) |
(0.14 |
) |
(0.19 |
) |
(0.18 |
) |
(0.19 |
) |
||||||||||||
|
Distributions from capital gains |
— |
— |
— |
— |
— |
— |
||||||||||||||||||
|
Total distributions |
(0.10 |
) |
(0.15 |
) |
(0.14 |
) |
(0.19 |
) |
(0.18 |
) |
(0.19 |
) |
||||||||||||
|
Net asset value, end of year |
$ |
10.24 |
$ |
10.61 |
$ |
10.42 |
$ |
10.40 |
$ |
10.38 |
$ |
10.93 |
||||||||||||
|
Total return |
(2.59 |
)% |
3.25 |
% |
1.58 |
% |
2.03 |
% |
(3.38 |
)% |
3.13 |
% |
||||||||||||
|
RATIOS / SUPPLEMENTAL DATA |
||||||||||||||||||||||||
|
Net assets, end of year (000s) |
$ |
18,133 |
$ |
19,754 |
$ |
19,855 |
$ |
22,746 |
$ |
22,968 |
$ |
26,927 |
||||||||||||
|
Ratio of expenses to average net assets: |
||||||||||||||||||||||||
|
Before expense reimbursements |
0.38 |
% |
0.82 |
% |
0.83 |
% |
0.86 |
% |
0.86 |
% |
0.87 |
% |
||||||||||||
|
After expense reimbursements |
0.37 |
% |
0.74 |
% |
0.74 |
% |
0.72 |
% |
0.74 |
% |
0.74 |
% |
||||||||||||
|
Ratio of net investment income (loss) to average net assets |
||||||||||||||||||||||||
|
Before expense reimbursements |
0.64 |
% |
1.25 |
% |
1.29 |
% |
1.68 |
% |
1.62 |
% |
1.69 |
% |
||||||||||||
|
After expense reimbursements |
0.65 |
% |
1.33 |
% |
1.38 |
% |
1.82 |
% |
1.76 |
% |
1.82 |
% |
||||||||||||
|
Portfolio turnover |
1 |
% |
18 |
% |
18 |
% |
32 |
% |
6 |
% |
9 |
% |
||||||||||||
|
K Shares |
Six Months Ended February 28, |
Year Ended August 31, 2016 |
Year Ended August 31, 2015 |
Year Ended August 31, 2014 |
Year Ended August 31, 2013 |
Year Ended August 31, 2012 |
||||||||||||||||||
|
Net asset value, beginning of year |
$ |
10.64 |
$ |
10.43 |
$ |
10.41 |
$ |
10.40 |
$ |
10.96 |
$ |
10.82 |
||||||||||||
|
INCOME FROM INVESTMENT OPERATIONS |
||||||||||||||||||||||||
|
Net investment income (loss) (a) |
0.04 |
0.09 |
0.09 |
0.14 |
0.13 |
0.14 |
||||||||||||||||||
|
Net gain (loss) on securities (both realized and unrealized) |
(0.34 |
) |
0.20 |
0.03 |
0.01 |
(0.55 |
) |
0.14 |
||||||||||||||||
|
Total from investment operations |
(0.30 |
) |
0.29 |
0.12 |
0.15 |
(0.42 |
) |
0.28 |
||||||||||||||||
|
LESS DISTRIBUTIONS |
||||||||||||||||||||||||
|
Dividends from net investment income |
(0.07 |
) |
(0.08 |
) |
(0.10 |
) |
(0.14 |
) |
(0.14 |
) |
(0.14 |
) |
||||||||||||
|
Distributions from capital gains |
— |
— |
— |
— |
— |
— |
||||||||||||||||||
|
Total distributions |
(0.07 |
) |
(0.08 |
) |
(0.10 |
) |
(0.14 |
) |
(0.14 |
) |
(0.14 |
) |
||||||||||||
|
Net asset value, end of year |
$ |
10.27 |
$ |
10.64 |
$ |
10.43 |
$ |
10.41 |
$ |
10.40 |
$ |
10.96 |
||||||||||||
|
Total return |
(2.82 |
)% |
2.77 |
% |
1.13 |
% |
1.48 |
% |
(3.88 |
)% |
2.60 |
% |
||||||||||||
|
RATIOS / SUPPLEMENTAL DATA |
||||||||||||||||||||||||
|
Net assets, end of year (000s) |
$ |
4,486 |
$ |
4,712 |
$ |
5,349 |
$ |
6,085 |
$ |
7,103 |
$ |
8,202 |
||||||||||||
|
Ratio of expenses to average net assets: |
||||||||||||||||||||||||
|
Before expense reimbursements |
0.62 |
% |
1.32 |
% |
1.33 |
% |
1.36 |
% |
1.36 |
% |
1.37 |
% |
||||||||||||
|
After expense reimbursements |
0.61 |
% |
1.24 |
% |
1.24 |
% |
1.22 |
% |
1.24 |
% |
1.24 |
% |
||||||||||||
|
Ratio of net investment income (loss) to average net assets |
||||||||||||||||||||||||
|
Before expense reimbursements |
0.39 |
% |
0.75 |
% |
0.77 |
% |
1.18 |
% |
1.12 |
% |
1.19 |
% |
||||||||||||
|
After expense reimbursements |
0.40 |
% |
0.84 |
% |
0.88 |
% |
1.32 |
% |
1.24 |
% |
1.32 |
% |
||||||||||||
|
Portfolio turnover |
1 |
% |
18 |
% |
18 |
% |
32 |
% |
6 |
% |
9 |
% |
||||||||||||
|
(a) |
Calculated based upon average shares outstanding. |
See accompanying notes to financial statements.
37
|
Financial Highlights (For a Share Outstanding Throughout Each Period) (Continued) |
|
Short-Term U.S. Government Bond Fund Direct Shares |
Six Months Ended February 28, |
Year Ended August 31, 2016 |
Year Ended August 31, 2015 |
Year Ended August 31, 2014 |
Year Ended August 31, 2013 |
Year Ended August 31, 2012 |
||||||||||||||||||
|
Net asset value, beginning of year |
$ |
10.18 |
$ |
10.16 |
$ |
10.17 |
$ |
10.17 |
$ |
10.23 |
$ |
10.32 |
||||||||||||
|
INCOME FROM INVESTMENT OPERATIONS |
||||||||||||||||||||||||
|
Net investment income (loss) (a) |
0.02 |
0.02 |
0.00 |
(0.01 |
) |
(0.01 |
) |
0.05 |
||||||||||||||||
|
Net gain (loss) on securities (both realized and unrealized) |
(0.05 |
) |
0.02 |
(0.01 |
) |
0.01 |
(0.04 |
) |
(0.07 |
) |
||||||||||||||
|
Total from investment operations |
(0.03 |
) |
0.04 |
(0.01 |
) |
— |
(0.05 |
) |
(0.02 |
) |
||||||||||||||
|
LESS DISTRIBUTIONS |
||||||||||||||||||||||||
|
Dividends from net investment income |
(0.02 |
) |
(0.02 |
) |
— |
— |
— |
(0.05 |
) |
|||||||||||||||
|
Distributions from capital gains |
— |
(b) |
— |
(0.00 |
)(b) |
— |
(0.01 |
) |
(0.02 |
) |
||||||||||||||
|
Total distributions |
(0.02 |
) |
(0.02 |
) |
(0.00 |
) |
— |
(0.01 |
) |
(0.07 |
) |
|||||||||||||
|
Net asset value, end of year |
$ |
10.13 |
$ |
10.18 |
$ |
10.16 |
$ |
10.17 |
$ |
10.17 |
$ |
10.23 |
||||||||||||
|
Total return |
(0.28 |
)% |
0.38 |
% |
(0.07 |
)% |
0.00 |
% |
(0.43 |
)% |
(0.20 |
)% |
||||||||||||
|
RATIOS / SUPPLEMENTAL DATA |
||||||||||||||||||||||||
|
Net assets, end of year (000s) |
$ |
5,101 |
$ |
4,148 |
$ |
5,223 |
$ |
5,789 |
$ |
6,819 |
$ |
9,021 |
||||||||||||
|
Ratio of expenses to average net assets: |
||||||||||||||||||||||||
|
Before expense reimbursements |
0.44 |
% |
0.95 |
% |
0.97 |
% |
1.06 |
% |
1.07 |
% |
0.98 |
% |
||||||||||||
|
After expense reimbursements |
0.29 |
% |
0.59 |
% |
0.59 |
% |
0.59 |
% |
0.59 |
% |
0.59 |
% |
||||||||||||
|
Ratio of net investment income (loss) to average net assets |
||||||||||||||||||||||||
|
Before expense reimbursements |
0.04 |
% |
(0.12 |
)% |
(0.36 |
)% |
(0.60 |
)% |
(0.53 |
)% |
0.10 |
% |
||||||||||||
|
After expense reimbursements |
0.19 |
% |
0.24 |
% |
0.02 |
% |
(0.13 |
)% |
(0.05 |
)% |
0.49 |
% |
||||||||||||
|
Portfolio turnover |
0 |
% |
47 |
% |
33 |
% |
28 |
% |
50 |
% |
13 |
% |
||||||||||||
|
K Shares |
Six Months Ended February 28, |
Year Ended August 31, 2016 |
Year Ended August 31, 2015 |
Year Ended August 31, 2014 |
Year Ended August 31, 2013 |
Year Ended August 31, 2012 |
||||||||||||||||||
|
Net asset value, beginning of year |
$ |
10.02 |
$ |
10.03 |
$ |
10.10 |
$ |
10.15 |
$ |
10.25 |
$ |
10.34 |
||||||||||||
|
INCOME FROM INVESTMENT OPERATIONS |
||||||||||||||||||||||||
|
Net investment income (loss) (a) |
(0.01 |
) |
(0.03 |
) |
(0.05 |
) |
(0.06 |
) |
(0.06 |
) |
(0.00 |
) |
||||||||||||
|
Net gain (loss) on securities (both realized and unrealized) |
(0.04 |
) |
0.02 |
(0.02 |
) |
0.01 |
(0.03 |
) |
(0.07 |
) |
||||||||||||||
|
Total from investment operations |
(0.05 |
) |
(0.01 |
) |
(0.07 |
) |
(0.05 |
) |
(0.09 |
) |
(0.07 |
) |
||||||||||||
|
LESS DISTRIBUTIONS |
||||||||||||||||||||||||
|
Dividends from net investment income |
— |
— |
— |
— |
— |
— |
||||||||||||||||||
|
Distributions from capital gains |
— |
(b) |
— |
(b) |
(0.00 |
)(b) |
— |
(0.01 |
) |
(0.02 |
) |
|||||||||||||
|
Total distributions |
— |
— |
(0.00 |
— |
(0.01 |
) |
(0.02 |
) |
||||||||||||||||
|
Net asset value, end of year |
$ |
9.97 |
$ |
10.02 |
$ |
10.03 |
$ |
10.10 |
$ |
10.15 |
$ |
10.25 |
||||||||||||
|
Total return |
(0.45 |
)% |
(0.10 |
)% |
(0.66 |
) |
(0.49 |
)% |
(0.85 |
)% |
(0.66 |
)% |
||||||||||||
|
RATIOS / SUPPLEMENTAL DATA |
||||||||||||||||||||||||
|
Net assets, end of year (000s) |
$ |
1,374 |
$ |
1,330 |
$ |
1,503 |
$ |
1,896 |
$ |
1,898 |
$ |
2,060 |
||||||||||||
|
Ratio of expenses to average net assets: |
||||||||||||||||||||||||
|
Before expense reimbursements |
0.69 |
% |
1.45 |
% |
1.47 |
% |
1.56 |
% |
1.57 |
% |
1.48 |
% |
||||||||||||
|
After expense reimbursements |
0.54 |
% |
1.09 |
% |
1.09 |
% |
1.09 |
% |
1.09 |
% |
1.09 |
% |
||||||||||||
|
Ratio of net investment income (loss) to average net assets |
||||||||||||||||||||||||
|
Before expense reimbursements |
(0.21 |
)% |
(0.61 |
)% |
(0.86 |
)% |
(1.10 |
)% |
(1.04 |
)% |
(0.40 |
)% |
||||||||||||
|
After expense reimbursements |
(0.06 |
)% |
(0.26 |
)% |
(0.48 |
)% |
(0.63 |
)% |
(0.56 |
)% |
(0.01 |
)% |
||||||||||||
|
Portfolio turnover |
0 |
% |
47 |
% |
33 |
% |
28 |
% |
50 |
% |
13 |
% |
||||||||||||
|
(a) |
Calculated based upon average shares outstanding. |
|
(b) |
Less than $0.01 per share. |
See accompanying notes to financial statements.
38
|
Financial Highlights (For a Share Outstanding Throughout Each Period) (Continued) |
|
The United States Treasury Trust Direct Shares |
Six Months Ended February 28, |
Year Ended August 31, 2016 |
Year Ended August 31, 2015 |
Year Ended August 31, 2014 |
Year Ended August 31, 2013 |
Year Ended August 31, 2012 |
||||||||||||||||||
|
Net asset value, beginning of year |
$ |
1.00 |
$ |
1.000 |
$ |
1.000 |
$ |
1.000 |
$ |
1.000 |
$ |
1.000 |
||||||||||||
|
INCOME FROM INVESTMENT OPERATIONS |
||||||||||||||||||||||||
|
Net investment income (loss) (a) |
— |
— |
— |
— |
— |
— |
||||||||||||||||||
|
Net gain (loss) on securities (both realized and unrealized) |
— |
— |
— |
— |
— |
— |
||||||||||||||||||
|
Total from investment operations |
— |
— |
— |
— |
— |
— |
||||||||||||||||||
|
LESS DISTRIBUTIONS |
||||||||||||||||||||||||
|
Dividends from net investment income |
— |
— |
— |
— |
— |
— |
||||||||||||||||||
|
Distributions from capital gains |
— |
— |
— |
— |
— |
— |
||||||||||||||||||
|
Total distributions |
— |
— |
— |
— |
— |
— |
||||||||||||||||||
|
Net asset value, end of year |
$ |
1.00 |
$ |
1.000 |
$ |
1.000 |
$ |
1.000 |
$ |
1.000 |
$ |
1.000 |
||||||||||||
|
Total return |
0.00 |
% |
0.00 |
% |
0.00 |
% |
0.00 |
% |
0.00 |
% |
0.00 |
% |
||||||||||||
|
RATIOS / SUPPLEMENTAL DATA |
||||||||||||||||||||||||
|
Net assets, end of year (000s) |
$ |
53,017 |
$ |
72,482 |
$ |
86,224 |
$ |
105,897 |
$ |
69,479 |
$ |
74,617 |
||||||||||||
|
Ratio of expenses to average net assets: |
||||||||||||||||||||||||
|
Before expense reimbursements |
0.37 |
% |
0.71 |
% |
0.70 |
% |
0.73 |
% |
0.76 |
% |
0.78 |
% |
||||||||||||
|
After expense reimbursements |
0.18 |
%(c) |
0.22 |
%(c) |
0.03 |
%(c) |
0.03 |
%(c) |
0.07 |
% |
0.05 |
% |
||||||||||||
|
Ratio of net investment income (loss) to average net assets |
||||||||||||||||||||||||
|
Before expense reimbursements |
(0.19 |
)% |
(0.49 |
)% |
(0.67 |
)% |
(0.70 |
)% |
(0.69 |
)% |
(0.73 |
)% |
||||||||||||
|
After expense reimbursements |
0.00 |
%(c) |
0.00 |
%(c) |
0.00 |
%(c) |
0.00 |
%(c) |
0.00 |
% |
0.00 |
% |
||||||||||||
|
K Shares |
Six Months Ended February 28, |
Year Ended August 31, 2016 |
Year Ended August 31, 2015 |
Year Ended August 31, 2014 |
Year Ended August 31, 2013 |
Year Ended August 31, 2012 |
||||||||||||||||||
|
Net asset value, beginning of year |
$ |
1.00 |
$ |
1.000 |
$ |
1.000 |
$ |
1.000 |
$ |
1.000 |
$ |
1.000 |
||||||||||||
|
INCOME FROM INVESTMENT OPERATIONS |
||||||||||||||||||||||||
|
Net investment income (loss) (a) |
— |
— |
— |
— |
— |
— |
||||||||||||||||||
|
Net gain (loss) on securities (both realized and unrealized) |
— |
— |
— |
— |
— |
— |
||||||||||||||||||
|
Total from investment operations |
— |
— |
— |
— |
— |
— |
||||||||||||||||||
|
LESS DISTRIBUTIONS |
||||||||||||||||||||||||
|
Dividends from net investment income |
— |
— |
— |
— |
— |
— |
||||||||||||||||||
|
Distributions from capital gains |
— |
— |
— |
— |
— |
— |
||||||||||||||||||
|
Total distributions |
— |
— |
— |
— |
— |
— |
||||||||||||||||||
|
Net asset value, end of year |
$ |
1.00 |
$ |
1.000 |
$ |
1.000 |
$ |
1.000 |
$ |
1.000 |
$ |
1.000 |
||||||||||||
|
Total return |
0.00 |
% |
0.00 |
% |
0.00 |
% |
0.00 |
% |
0.00 |
% |
0.00 |
% |
||||||||||||
|
RATIOS / SUPPLEMENTAL DATA |
||||||||||||||||||||||||
|
Net assets, end of year (000s) |
$ |
2,682 |
$ |
2,470 |
$ |
2,651 |
$ |
3,013 |
$ |
3,150 |
$ |
2,508 |
||||||||||||
|
Ratio of expenses to average net assets: |
||||||||||||||||||||||||
|
Before expense reimbursements |
0.37 |
% |
0.71 |
% |
0.70 |
% |
0.73 |
% |
0.76 |
% |
0.77 |
% |
||||||||||||
|
After expense reimbursements |
0.18 |
%(c) |
0.22 |
%(c) |
0.03 |
%(c) |
0.03 |
%(c) |
0.07 |
% |
0.05 |
% |
||||||||||||
|
Ratio of net investment income (loss) to average net assets |
||||||||||||||||||||||||
|
Before expense reimbursements |
(0.19 |
)% |
(0.49 |
)% |
(0.67 |
)% |
(0.70 |
)% |
(0.69 |
)% |
(0.73 |
)% |
||||||||||||
|
After expense reimbursements |
0.00 |
%(c) |
0.00 |
%(c) |
0.00 |
%(c) |
0.00 |
%(c) |
0.00 |
% |
0.00 |
% |
||||||||||||
|
(a) |
Calculated based upon average shares outstanding. |
|
(b) |
Less than $0.01 per share. |
|
(c) |
Includes negative yield waiver adjustment. |
See accompanying notes to financial statements.
39
|
Financial Highlights (For a Share Outstanding Throughout Each Period) (Continued) |
|
S&P 500 Index Fund Direct Shares |
Six Months Ended February 28, |
Year Ended August 31, 2016 |
Year Ended August 31, 2015 |
Year Ended August 31, 2014 |
Year Ended August 31, 2013 |
Year Ended August 31, 2012 |
||||||||||||||||||
|
Net asset value, beginning of year |
$ |
42.86 |
$ |
39.88 |
$ |
40.61 |
$ |
33.59 |
$ |
28.78 |
$ |
24.91 |
||||||||||||
|
INCOME FROM INVESTMENT OPERATIONS |
||||||||||||||||||||||||
|
Net investment income (loss) (a) |
0.35 |
0.76 |
0.72 |
0.62 |
0.57 |
0.50 |
||||||||||||||||||
|
Net gain (loss) on securities (both realized and unrealized) |
3.84 |
3.99 |
(0.58 |
) |
7.57 |
4.71 |
3.85 |
|||||||||||||||||
|
Total from investment operations |
4.19 |
4.75 |
0.14 |
8.19 |
5.28 |
4.35 |
||||||||||||||||||
|
LESS DISTRIBUTIONS |
||||||||||||||||||||||||
|
Dividends from net investment income |
(0.45 |
) |
(0.78 |
) |
(0.70 |
) |
(0.60 |
) |
(0.47 |
) |
(0.48 |
) |
||||||||||||
|
Distributions from capital gains |
(0.44 |
) |
(0.99 |
) |
(0.17 |
) |
(0.57 |
) |
— |
— |
||||||||||||||
|
Total distributions |
(0.89 |
) |
(1.77 |
) |
(0.87 |
) |
(1.17 |
) |
(0.47 |
) |
(0.48 |
) |
||||||||||||
|
Net asset value, end of year |
$ |
46.16 |
$ |
42.86 |
$ |
39.88 |
$ |
40.61 |
$ |
33.59 |
$ |
28.78 |
||||||||||||
|
Total return |
9.95 |
% |
12.21 |
% |
0.29 |
% |
24.75 |
% |
18.50 |
% |
17.68 |
% |
||||||||||||
|
RATIOS / SUPPLEMENTAL DATA |
||||||||||||||||||||||||
|
Net assets, end of year (000s) |
$ |
149,316 |
$ |
135,346 |
$ |
123,138 |
$ |
123,654 |
$ |
101,124 |
$ |
85,269 |
||||||||||||
|
Ratio of expenses to average net assets: |
||||||||||||||||||||||||
|
Before expense reimbursements |
0.23 |
% |
0.47 |
% |
0.47 |
% |
0.50 |
% |
0.52 |
% |
0.54 |
% |
||||||||||||
|
After expense reimbursements |
0.18 |
% |
0.36 |
% |
0.36 |
% |
0.36 |
% |
0.36 |
% |
0.36 |
% |
||||||||||||
|
Ratio of net investment income (loss) to average net assets |
||||||||||||||||||||||||
|
Before expense reimbursements |
0.76 |
% |
1.77 |
% |
1.63 |
% |
1.52 |
% |
1.65 |
% |
1.70 |
% |
||||||||||||
|
After expense reimbursements |
0.81 |
% |
1.88 |
% |
1.74 |
% |
1.66 |
% |
1.81 |
% |
1.88 |
% |
||||||||||||
|
Portfolio turnover |
0 |
% |
1 |
% |
3 |
% |
1 |
% |
3 |
% |
3 |
% |
||||||||||||
|
K Shares |
Six Months Ended February 28, |
Year Ended August 31, 2016 |
Year Ended August 31, 2015 |
Year Ended August 31, 2014 |
Year Ended August 31, 2013 |
Year Ended August 31, 2012 |
||||||||||||||||||
|
Net asset value, beginning of year |
$ |
42.88 |
$ |
39.87 |
$ |
40.50 |
$ |
33.63 |
$ |
28.83 |
$ |
24.95 |
||||||||||||
|
INCOME FROM INVESTMENT OPERATIONS |
||||||||||||||||||||||||
|
Net investment income (loss) (a) |
0.25 |
0.56 |
0.51 |
0.43 |
0.41 |
0.37 |
||||||||||||||||||
|
Net gain (loss) on securities (both realized and unrealized) |
3.84 |
3.99 |
(0.57 |
) |
7.55 |
4.74 |
3.86 |
|||||||||||||||||
|
Total from investment operations |
4.09 |
4.55 |
(0.06 |
) |
7.98 |
5.15 |
4.23 |
|||||||||||||||||
|
LESS DISTRIBUTIONS |
||||||||||||||||||||||||
|
Dividends from net investment income |
(0.38 |
) |
(0.55 |
) |
(0.40 |
) |
(0.54 |
) |
(0.35 |
) |
(0.35 |
) |
||||||||||||
|
Distributions from capital gains |
(0.44 |
) |
(0.99 |
) |
(0.17 |
) |
(0.57 |
) |
— |
— |
||||||||||||||
|
Total distributions |
(0.82 |
) |
(1.54 |
) |
(0.57 |
) |
(1.11 |
) |
(0.35 |
) |
(0.35 |
) |
||||||||||||
|
Net asset value, end of year |
$ |
46.15 |
$ |
42.88 |
$ |
39.87 |
$ |
40.50 |
$ |
33.63 |
$ |
28.83 |
||||||||||||
|
Total return |
9.70 |
% |
11.65 |
% |
(0.19 |
)% |
24.08 |
% |
17.95 |
% |
17.08 |
% |
||||||||||||
|
RATIOS / SUPPLEMENTAL DATA |
||||||||||||||||||||||||
|
Net assets, end of year (000s) |
$ |
8,785 |
$ |
7,981 |
$ |
8,063 |
$ |
11,236 |
$ |
10,093 |
$ |
8,166 |
||||||||||||
|
Ratio of expenses to average net assets: |
||||||||||||||||||||||||
|
Before expense reimbursements |
0.48 |
% |
0.97 |
% |
0.97 |
% |
1.00 |
% |
1.02 |
% |
1.04 |
% |
||||||||||||
|
After expense reimbursements |
0.43 |
% |
0.86 |
% |
0.86 |
% |
0.86 |
% |
0.86 |
% |
0.86 |
% |
||||||||||||
|
Ratio of net investment income (loss) to average net assets |
||||||||||||||||||||||||
|
Before expense reimbursements |
0.51 |
% |
1.26 |
% |
1.13 |
% |
1.01 |
% |
1.15 |
% |
1.20 |
% |
||||||||||||
|
After expense reimbursements |
0.56 |
% |
1.37 |
% |
1.24 |
% |
1.15 |
% |
1.31 |
% |
1.38 |
% |
||||||||||||
|
Portfolio turnover |
0 |
% |
1 |
% |
3 |
% |
1 |
% |
3 |
% |
3 |
% |
||||||||||||
|
(a) |
Calculated based upon average shares outstanding. |
See accompanying notes to financial statements.
40
|
Financial Highlights (For a Share Outstanding Throughout Each Period) (Continued) |
|
S&P Midcap Index Fund Direct Shares |
Six Months Ended February 28, |
Year Ended August 31, 2016 |
Year Ended August 31, 2015 |
Year Ended August 31, 2014 |
Year Ended August 31, 2013 |
Year Ended August 31, 2012 |
||||||||||||||||||
|
Net asset value, beginning of year |
$ |
26.69 |
$ |
28.41 |
$ |
30.95 |
$ |
26.54 |
$ |
23.11 |
$ |
21.68 |
||||||||||||
|
INCOME FROM INVESTMENT OPERATIONS |
||||||||||||||||||||||||
|
Net investment income (loss) (a) |
0.09 |
0.26 |
0.25 |
0.24 |
0.30 |
0.18 |
||||||||||||||||||
|
Net gain (loss) on securities (both realized and unrealized) |
2.86 |
2.73 |
(0.36 |
) |
5.61 |
4.81 |
2.35 |
|||||||||||||||||
|
Total from investment operations |
2.95 |
2.99 |
(0.11 |
) |
5.85 |
5.11 |
2.53 |
|||||||||||||||||
|
LESS DISTRIBUTIONS |
||||||||||||||||||||||||
|
Dividends from net investment income |
(0.10 |
) |
(0.24 |
) |
(0.28 |
) |
(0.24 |
) |
(0.27 |
) |
(0.15 |
) |
||||||||||||
|
Distributions from capital gains |
(3.91 |
) |
(4.47 |
) |
(2.15 |
) |
(1.20 |
) |
(1.41 |
) |
(0.95 |
) |
||||||||||||
|
Total distributions |
(4.01 |
) |
(4.71 |
) |
(2.43 |
) |
(1.44 |
) |
(1.68 |
) |
(1.10 |
) |
||||||||||||
|
Net asset value, end of year |
$ |
25.63 |
$ |
26.69 |
$ |
28.41 |
$ |
30.95 |
$ |
26.54 |
$ |
23.11 |
||||||||||||
|
Total return |
12.02 |
% |
11.86 |
% |
(0.45 |
)% |
22.63 |
% |
23.39 |
% |
12.22 |
% |
||||||||||||
|
RATIOS / SUPPLEMENTAL DATA |
||||||||||||||||||||||||
|
Net assets, end of year (000s) |
$ |
121,038 |
$ |
136,371 |
$ |
140,361 |
$ |
169,020 |
$ |
143,699 |
$ |
123,478 |
||||||||||||
|
Ratio of expenses to average net assets: |
||||||||||||||||||||||||
|
Before expense reimbursements |
0.32 |
% |
0.62 |
% |
0.62 |
% |
0.63 |
% |
0.64 |
% |
0.65 |
% |
||||||||||||
|
After expense reimbursements |
0.29 |
% |
0.58 |
% |
0.58 |
% |
0.58 |
% |
0.58 |
% |
0.58 |
% |
||||||||||||
|
Ratio of net investment income (loss) to average net assets |
||||||||||||||||||||||||
|
Before expense reimbursements |
0.32 |
% |
0.98 |
% |
0.81 |
% |
0.76 |
% |
1.04 |
% |
0.72 |
% |
||||||||||||
|
After expense reimbursements |
0.35 |
% |
1.02 |
% |
0.85 |
% |
0.81 |
% |
1.10 |
% |
0.80 |
% |
||||||||||||
|
Portfolio turnover |
24 |
% |
11 |
% |
15 |
% |
10 |
% |
8 |
% |
11 |
% |
||||||||||||
|
K Shares |
Six Months Ended February 28, |
Year Ended August 31, 2016 |
Year Ended August 31, 2015 |
Year Ended August 31, 2014 |
Year Ended August 31, 2013 |
Year Ended August 31, 2012 |
||||||||||||||||||
|
Net asset value, beginning of year |
$ |
26.43 |
$ |
28.18 |
$ |
30.69 |
$ |
26.38 |
$ |
23.00 |
$ |
21.57 |
||||||||||||
|
INCOME FROM INVESTMENT OPERATIONS |
||||||||||||||||||||||||
|
Net investment income (loss) (a) |
0.02 |
0.13 |
0.10 |
0.09 |
0.18 |
0.06 |
||||||||||||||||||
|
Net gain (loss) on securities (both realized and unrealized) |
2.84 |
2.71 |
(0.35 |
) |
5.58 |
4.77 |
2.36 |
|||||||||||||||||
|
Total from investment operations |
2.86 |
2.84 |
(0.25 |
) |
5.67 |
4.95 |
2.42 |
|||||||||||||||||
|
LESS DISTRIBUTIONS |
||||||||||||||||||||||||
|
Dividends from net investment income |
(0.06 |
) |
(0.12 |
) |
(0.11 |
) |
(0.16 |
) |
(0.16 |
) |
(0.04 |
) |
||||||||||||
|
Distributions from capital gains |
(3.91 |
) |
(4.47 |
) |
(2.15 |
) |
(1.20 |
) |
(1.41 |
) |
(0.95 |
) |
||||||||||||
|
Total distributions |
(3.97 |
) |
(4.59 |
) |
(2.26 |
) |
(1.36 |
) |
(1.57 |
) |
(0.99 |
) |
||||||||||||
|
Net asset value, end of year |
$ |
25.32 |
$ |
26.43 |
$ |
28.18 |
$ |
30.69 |
$ |
26.38 |
$ |
23.00 |
||||||||||||
|
Total return |
11.74 |
% |
11.31 |
% |
(0.93 |
)% |
22.01 |
% |
22.75 |
% |
11.69 |
% |
||||||||||||
|
RATIOS / SUPPLEMENTAL DATA |
||||||||||||||||||||||||
|
Net assets, end of year (000s) |
$ |
5,798 |
$ |
5,086 |
$ |
5,244 |
$ |
7,355 |
$ |
7,587 |
$ |
6,417 |
||||||||||||
|
Ratio of expenses to average net assets: |
||||||||||||||||||||||||
|
Before expense reimbursements |
0.56 |
% |
1.12 |
% |
1.12 |
% |
1.13 |
% |
1.14 |
% |
1.15 |
% |
||||||||||||
|
After expense reimbursements |
0.54 |
% |
1.08 |
% |
1.08 |
% |
1.08 |
% |
1.08 |
% |
1.08 |
% |
||||||||||||
|
Ratio of net investment income (loss) to average net assets |
||||||||||||||||||||||||
|
Before expense reimbursements |
0.07 |
% |
0.48 |
% |
0.31 |
% |
0.26 |
% |
0.54 |
% |
0.22 |
% |
||||||||||||
|
After expense reimbursements |
0.09 |
% |
0.51 |
% |
0.35 |
% |
0.31 |
% |
0.61 |
% |
0.29 |
% |
||||||||||||
|
Portfolio turnover |
24 |
% |
11 |
% |
15 |
% |
10 |
% |
8 |
% |
11 |
% |
||||||||||||
|
(a) |
Calculated based upon average shares outstanding. |
See accompanying notes to financial statements.
41
|
Financial Highlights (For a Share Outstanding Throughout Each Period) (Continued) |
|
S&P Smallcap Index Fund Direct Shares |
Six Months Ended February 28, |
Year Ended August 31, 2016 |
Year Ended August 31, 2015 |
Year Ended August 31, 2014 |
Year Ended August 31, 2013 |
Year Ended August 31, 2012 |
||||||||||||||||||
|
Net asset value, beginning of year |
$ |
20.87 |
$ |
20.60 |
$ |
21.55 |
$ |
19.62 |
$ |
15.71 |
$ |
14.59 |
||||||||||||
|
INCOME FROM INVESTMENT OPERATIONS |
||||||||||||||||||||||||
|
Net investment income (loss) (a) |
0.04 |
0.12 |
0.14 |
0.10 |
0.14 |
0.09 |
||||||||||||||||||
|
Net gain (loss) on securities (both realized and unrealized) |
2.50 |
2.29 |
0.58 |
3.26 |
3.94 |
2.28 |
||||||||||||||||||
|
Total from investment operations |
2.54 |
2.41 |
0.72 |
3.36 |
4.08 |
2.37 |
||||||||||||||||||
|
LESS DISTRIBUTIONS |
||||||||||||||||||||||||
|
Dividends from net investment income |
(0.06 |
) |
(0.14 |
) |
(0.13 |
) |
(0.09 |
) |
(0.14 |
) |
(0.08 |
) |
||||||||||||
|
Distributions from capital gains |
(0.91 |
) |
(2.00 |
) |
(1.54 |
) |
(1.34 |
) |
(0.03 |
) |
(1.17 |
) |
||||||||||||
|
Total distributions |
(0.97 |
) |
(2.14 |
) |
(1.67 |
) |
(1.43 |
) |
(0.17 |
) |
(1.25 |
) |
||||||||||||
|
Net asset value, end of year |
$ |
22.44 |
$ |
20.87 |
$ |
20.60 |
$ |
21.55 |
$ |
19.62 |
$ |
15.71 |
||||||||||||
|
Total return |
12.38 |
% |
12.48 |
% |
3.50 |
% |
17.28 |
% |
26.14 |
% |
17.35 |
% |
||||||||||||
|
RATIOS / SUPPLEMENTAL DATA |
||||||||||||||||||||||||
|
Net assets, end of year (000s) |
$ |
59,140 |
$ |
47,351 |
$ |
40,823 |
$ |
41,651 |
$ |
34,838 |
$ |
26,325 |
||||||||||||
|
Ratio of expenses to average net assets: |
||||||||||||||||||||||||
|
Before expense reimbursements |
0.35 |
% |
0.77 |
% |
0.78 |
% |
0.82 |
% |
0.89 |
% |
0.92 |
% |
||||||||||||
|
After expense reimbursements |
0.35 |
% |
0.74 |
% |
0.74 |
% |
0.74 |
% |
0.74 |
% |
0.74 |
% |
||||||||||||
|
Ratio of net investment income (loss) to average net assets |
||||||||||||||||||||||||
|
Before expense reimbursements |
0.20 |
% |
0.56 |
% |
0.62 |
% |
0.38 |
% |
0.57 |
% |
0.45 |
% |
||||||||||||
|
After expense reimbursements |
0.20 |
% |
0.60 |
% |
0.66 |
% |
0.46 |
% |
0.72 |
% |
0.63 |
% |
||||||||||||
|
Portfolio turnover |
14 |
% |
12 |
% |
12 |
% |
13 |
% |
15 |
% |
0 |
% |
||||||||||||
|
K Shares |
Six Months Ended February 28, |
Year Ended August 31, 2016 |
Year Ended August 31, 2015 |
Year Ended August 31, 2014 |
Year Ended August 31, 2013 |
Year Ended August 31, 2012 |
||||||||||||||||||
|
Net asset value, beginning of year |
$ |
20.47 |
$ |
20.24 |
$ |
21.18 |
$ |
19.36 |
$ |
15.52 |
$ |
14.42 |
||||||||||||
|
INCOME FROM INVESTMENT OPERATIONS |
||||||||||||||||||||||||
|
Net investment income (loss) (a) |
(0.01 |
) |
0.02 |
0.03 |
(0.01 |
) |
0.06 |
0.02 |
||||||||||||||||
|
Net gain (loss) on securities (both realized and unrealized) |
2.44 |
2.25 |
0.59 |
3.21 |
3.87 |
2.26 |
||||||||||||||||||
|
Total from investment operations |
2.43 |
2.27 |
0.62 |
3.20 |
3.93 |
2.28 |
||||||||||||||||||
|
LESS DISTRIBUTIONS |
||||||||||||||||||||||||
|
Dividends from net investment income |
(0.04 |
) |
(0.04 |
) |
(0.02 |
) |
(0.03 |
) |
(0.06 |
) |
(0.01 |
) |
||||||||||||
|
Distributions from capital gains |
(0.91 |
) |
(2.00 |
) |
(1.54 |
) |
(1.34 |
) |
(0.03 |
) |
(1.17 |
) |
||||||||||||
|
Total distributions |
(0.95 |
) |
(2.04 |
) |
(1.56 |
) |
(1.37 |
) |
(0.09 |
) |
(1.18 |
) |
||||||||||||
|
Net asset value, end of year |
$ |
21.95 |
$ |
20.47 |
$ |
20.24 |
$ |
21.19 |
$ |
19.36 |
$ |
15.52 |
||||||||||||
|
Total return |
12.08 |
% |
11.89 |
% |
3.03 |
% |
16.64 |
% |
25.47 |
% |
16.83 |
% |
||||||||||||
|
RATIOS / SUPPLEMENTAL DATA |
||||||||||||||||||||||||
|
Net assets, end of year (000s) |
$ |
10,441 |
$ |
9,279 |
$ |
9,821 |
$ |
11,448 |
$ |
11,402 |
$ |
9,505 |
||||||||||||
|
Ratio of expenses to average net assets: |
||||||||||||||||||||||||
|
Before expense reimbursements |
0.60 |
% |
1.28 |
% |
1.28 |
% |
1.32 |
% |
1.39 |
% |
1.42 |
% |
||||||||||||
|
After expense reimbursements |
0.60 |
% |
1.24 |
% |
1.24 |
% |
1.24 |
% |
1.24 |
% |
1.24 |
% |
||||||||||||
|
Ratio of net investment income (loss) to average net assets |
||||||||||||||||||||||||
|
Before expense reimbursements |
(0.04 |
)% |
0.06 |
% |
0.12 |
% |
(0.13 |
)% |
0.10 |
% |
(0.05 |
)% |
||||||||||||
|
After expense reimbursements |
(0.04 |
)% |
0.10 |
% |
0.16 |
% |
(0.04 |
)% |
0.25 |
% |
0.13 |
% |
||||||||||||
|
Portfolio turnover |
14 |
% |
12 |
% |
12 |
% |
13 |
% |
15 |
% |
0 |
% |
||||||||||||
|
(a) |
Calculated based upon average shares outstanding. |
See accompanying notes to financial statements.
42
|
Financial Highlights (For a Share Outstanding Throughout Each Period) (Continued) |
|
Shelton Core Value Fund Direct Shares |
Six Months Ended February 28, |
Year Ended August 31, 2016 |
Year Ended August 31, 2015 |
Year Ended August 31, 2014 |
Year Ended August 31, 2013 |
Year Ended August 31, 2012 |
||||||||||||||||||
|
Net asset value, beginning of year |
$ |
26.82 |
$ |
25.26 |
$ |
25.98 |
$ |
21.58 |
$ |
18.13 |
$ |
16.17 |
||||||||||||
|
INCOME FROM INVESTMENT OPERATIONS |
||||||||||||||||||||||||
|
Net investment income (loss) (a) |
0.18 |
0.48 |
0.48 |
0.38 |
0.37 |
0.32 |
||||||||||||||||||
|
Net gain (loss) on securities (both realized and unrealized) |
1.75 |
1.94 |
(0.74 |
) |
4.42 |
3.37 |
1.95 |
|||||||||||||||||
|
Total from investment operations |
1.93 |
2.42 |
(0.26 |
) |
4.80 |
3.74 |
2.27 |
|||||||||||||||||
|
LESS DISTRIBUTIONS |
||||||||||||||||||||||||
|
Dividends from net investment income |
(0.25 |
) |
(0.50 |
) |
(0.46 |
) |
(0.40 |
) |
(0.29 |
) |
(0.31 |
) |
||||||||||||
|
Distributions from capital gains |
(3.47 |
) |
(0.36 |
) |
— |
— |
— |
— |
||||||||||||||||
|
Total distributions |
(3.72 |
) |
(0.86 |
) |
(0.46 |
) |
(0.40 |
) |
(0.29 |
) |
(0.31 |
) |
||||||||||||
|
Net asset value, end of year |
$ |
25.03 |
$ |
26.82 |
$ |
25.26 |
$ |
25.98 |
$ |
21.58 |
$ |
18.13 |
||||||||||||
|
Total return |
7.75 |
% |
9.83 |
% |
(1.07 |
)% |
22.45 |
% |
20.80 |
% |
14.20 |
% |
||||||||||||
|
RATIOS / SUPPLEMENTAL DATA |
||||||||||||||||||||||||
|
Net assets, end of year (000s) |
$ |
182,092 |
$ |
175,317 |
$ |
180,408 |
$ |
196,820 |
$ |
157,350 |
$ |
140,741 |
||||||||||||
|
Ratio of expenses to average net assets: |
0.39 |
% |
0.78 |
% |
0.76 |
% |
0.83 |
% |
0.84 |
% |
0.88 |
% |
||||||||||||
|
Ratio of net investment income (loss) to average net assets |
0.70 |
% |
1.90 |
% |
1.80 |
% |
1.58 |
% |
1.83 |
% |
1.85 |
% |
||||||||||||
|
Portfolio turnover |
2 |
% |
20 |
% |
3 |
% |
3 |
% |
5 |
% |
4 |
% |
||||||||||||
|
K Shares |
Six Months Ended February 28, |
Year Ended August 31, 2016 |
Year Ended August 31, 2015 |
Year Ended August 31, 2014 |
Year Ended August 31, 2013 |
Year Ended August 31, 2012 |
||||||||||||||||||
|
Net asset value, beginning of year |
$ |
26.61 |
$ |
25.09 |
$ |
25.76 |
$ |
21.40 |
$ |
18.00 |
$ |
16.06 |
||||||||||||
|
INCOME FROM INVESTMENT OPERATIONS |
||||||||||||||||||||||||
|
Net investment income (loss) (a) |
0.11 |
0.35 |
0.34 |
0.25 |
0.27 |
0.23 |
||||||||||||||||||
|
Net gain (loss) on securities (both realized and unrealized) |
1.74 |
1.93 |
(0.73 |
) |
4.39 |
3.34 |
1.93 |
|||||||||||||||||
|
Total from investment operations |
1.85 |
2.28 |
(0.39 |
) |
4.64 |
3.61 |
2.16 |
|||||||||||||||||
|
LESS DISTRIBUTIONS |
||||||||||||||||||||||||
|
Dividends from net investment income |
(0.21 |
) |
(0.40 |
) |
(0.28 |
) |
(0.28 |
) |
(0.21 |
) |
(0.22 |
) |
||||||||||||
|
Distributions from capital gains |
(3.47 |
) |
(0.36 |
) |
— |
— |
— |
— |
||||||||||||||||
|
Total distributions |
(3.68 |
) |
(0.76 |
) |
(0.28 |
) |
(0.28 |
) |
(0.21 |
) |
(0.22 |
) |
||||||||||||
|
Net asset value, end of year |
$ |
24.78 |
$ |
26.61 |
$ |
25.09 |
$ |
25.76 |
$ |
21.40 |
$ |
18.00 |
||||||||||||
|
Total return |
7.49 |
% |
9.30 |
% |
(1.56 |
)% |
21.81 |
% |
20.20 |
% |
13.59 |
% |
||||||||||||
|
RATIOS / SUPPLEMENTAL DATA |
||||||||||||||||||||||||
|
Net assets, end of year (000s) |
$ |
6,107 |
$ |
5,897 |
$ |
5,789 |
$ |
7,413 |
$ |
7,924 |
$ |
6,640 |
||||||||||||
|
Ratio of expenses to average net assets: |
0.64 |
% |
1.28 |
% |
1.26 |
% |
1.33 |
% |
1.34 |
% |
1.38 |
% |
||||||||||||
|
Ratio of net investment income (loss) to average net assets |
0.45 |
% |
1.40 |
% |
1.30 |
% |
1.08 |
% |
1.33 |
% |
1.35 |
% |
||||||||||||
|
Portfolio turnover |
2 |
% |
20 |
% |
3 |
% |
3 |
% |
5 |
% |
4 |
% |
||||||||||||
|
(a) |
Calculated based upon average shares outstanding. |
See accompanying notes to financial statements.
43
|
Financial Highlights (For a Share Outstanding Throughout Each Period) (Continued) |
|
European Growth & Income Fund Direct Shares |
Six Months Ended February 28, |
Year Ended August 31, 2016 |
Year Ended August 31, 2015 |
Year Ended August 31, 2014 |
Year Ended August 31, 2013 |
Year Ended August 31, 2012 |
||||||||||||||||||
|
Net asset value, beginning of year |
$ |
7.95 |
$ |
8.47 |
$ |
9.64 |
$ |
8.37 |
$ |
7.40 |
$ |
7.62 |
||||||||||||
|
INCOME FROM INVESTMENT OPERATIONS |
||||||||||||||||||||||||
|
Net investment income (loss) (a) |
0.04 |
0.23 |
0.22 |
0.20 |
0.23 |
0.22 |
||||||||||||||||||
|
Net gain (loss) on securities (both realized and unrealized) |
0.39 |
(0.53 |
) |
(1.17 |
) |
1.30 |
0.94 |
(0.21 |
) |
|||||||||||||||
|
Total from investment operations |
0.43 |
(0.30 |
) |
(0.95 |
) |
1.50 |
1.17 |
0.01 |
||||||||||||||||
|
LESS DISTRIBUTIONS |
||||||||||||||||||||||||
|
Dividends from net investment income |
(0.05 |
) |
(0.22 |
) |
(0.22 |
) |
(0.23 |
) |
(0.20 |
) |
(0.23 |
) |
||||||||||||
|
Distributions from capital gains |
— |
— |
— |
— |
— |
— |
||||||||||||||||||
|
Total distributions |
(0.05 |
) |
(0.22 |
) |
(0.22 |
) |
(0.23 |
) |
(0.20 |
) |
(0.23 |
) |
||||||||||||
|
Net asset value, end of year |
$ |
8.33 |
$ |
7.95 |
$ |
8.47 |
$ |
9.64 |
$ |
8.37 |
$ |
7.40 |
||||||||||||
|
Total return |
5.44 |
% |
(3.49 |
)% |
(9.91 |
)% |
17.92 |
% |
15.96 |
% |
0.20 |
% |
||||||||||||
|
RATIOS / SUPPLEMENTAL DATA |
||||||||||||||||||||||||
|
Net assets, end of year (000s) |
$ |
5,626 |
$ |
5,445 |
$ |
5,906 |
$ |
8,452 |
$ |
7,306 |
$ |
6,314 |
||||||||||||
|
Ratio of expenses to average net assets: |
||||||||||||||||||||||||
|
Before expense reimbursements |
0.58 |
% |
1.30 |
% |
1.26 |
% |
1.29 |
% |
1.38 |
% |
1.43 |
% |
||||||||||||
|
After expense reimbursements |
0.50 |
% |
1.00 |
% |
1.00 |
% |
1.00 |
% |
1.00 |
% |
1.00 |
% |
||||||||||||
|
Ratio of net investment income (loss) to average net assets |
||||||||||||||||||||||||
|
Before expense reimbursements |
0.39 |
% |
2.58 |
% |
2.17 |
% |
1.81 |
% |
2.46 |
% |
2.58 |
% |
||||||||||||
|
After expense reimbursements |
0.48 |
% |
2.88 |
% |
2.43 |
% |
2.10 |
% |
2.84 |
% |
3.01 |
% |
||||||||||||
|
Portfolio turnover |
0 |
% |
0 |
% |
0 |
% |
15 |
% |
3 |
% |
0 |
% |
||||||||||||
|
K Shares |
Six Months Ended February 28, |
Year Ended August 31, 2016 |
Year Ended August 31, 2015 |
Year Ended August 31, 2014 |
Year Ended August 31, 2013 |
Year Ended August 31, 2012 |
||||||||||||||||||
|
Net asset value, beginning of year |
$ |
7.98 |
$ |
8.50 |
$ |
9.68 |
$ |
8.38 |
$ |
7.41 |
$ |
7.63 |
||||||||||||
|
INCOME FROM INVESTMENT OPERATIONS |
||||||||||||||||||||||||
|
Net investment income (loss) (a) |
0.02 |
0.19 |
0.18 |
0.14 |
0.19 |
0.19 |
||||||||||||||||||
|
Net gain (loss) on securities (both realized and unrealized) |
0.40 |
(0.53 |
) |
(1.17 |
) |
1.30 |
0.95 |
(0.22 |
) |
|||||||||||||||
|
Total from investment operations |
0.42 |
(0.34 |
) |
(0.99 |
) |
1.44 |
1.14 |
(0.03 |
) |
|||||||||||||||
|
LESS DISTRIBUTIONS |
||||||||||||||||||||||||
|
Dividends from net investment income |
(0.04 |
) |
(0.18 |
) |
(0.19 |
) |
(0.14 |
) |
(0.17 |
) |
(0.19 |
) |
||||||||||||
|
Distributions from capital gains |
— |
— |
— |
— |
— |
— |
||||||||||||||||||
|
Total distributions |
(0.04 |
) |
(0.18 |
) |
(0.19 |
) |
(0.14 |
) |
(0.17 |
) |
(0.19 |
) |
||||||||||||
|
Net asset value, end of year |
$ |
8.36 |
$ |
7.98 |
$ |
8.50 |
$ |
9.68 |
$ |
8.38 |
$ |
7.41 |
||||||||||||
|
Total return |
5.26 |
% |
(3.99 |
)% |
(10.34 |
)% |
17.19 |
% |
15.47 |
% |
(0.33 |
)% |
||||||||||||
|
RATIOS / SUPPLEMENTAL DATA |
||||||||||||||||||||||||
|
Net assets, end of year (000s) |
$ |
3,854 |
$ |
3,609 |
$ |
4,254 |
$ |
5,535 |
$ |
5,795 |
$ |
5,169 |
||||||||||||
|
Ratio of expenses to average net assets: |
||||||||||||||||||||||||
|
Before expense reimbursements |
0.83 |
% |
1.80 |
% |
1.76 |
% |
1.79 |
% |
1.88 |
% |
1.93 |
% |
||||||||||||
|
After expense reimbursements |
0.74 |
% |
1.50 |
% |
1.50 |
% |
1.49 |
% |
1.50 |
% |
1.50 |
% |
||||||||||||
|
Ratio of net investment income (loss) to average net assets |
||||||||||||||||||||||||
|
Before expense reimbursements |
0.14 |
% |
2.09 |
% |
1.70 |
% |
1.22 |
% |
1.92 |
% |
2.13 |
% |
||||||||||||
|
After expense reimbursements |
0.23 |
% |
2.39 |
% |
1.96 |
% |
1.51 |
% |
2.31 |
% |
2.56 |
% |
||||||||||||
|
Portfolio turnover |
0 |
% |
0 |
% |
0 |
% |
15 |
% |
3 |
% |
0 |
% |
||||||||||||
|
(a) |
Calculated based upon average shares outstanding. |
See accompanying notes to financial statements.
44
|
Financial Highlights (For a Share Outstanding Throughout Each Period) (Continued) |
|
Nasdaq-100 Index Fund Direct Shares |
Six Months Ended February 28, |
Year Ended August 31, 2016 |
Year Ended August 31, 2015 |
Year Ended August 31, 2014 |
Year Ended August 31, 2013 |
Year Ended August 31, 2012 |
||||||||||||||||||
|
Net asset value, beginning of year |
$ |
12.25 |
$ |
11.00 |
$ |
10.47 |
$ |
7.92 |
$ |
7.04 |
$ |
5.67 |
||||||||||||
|
INCOME FROM INVESTMENT OPERATIONS |
||||||||||||||||||||||||
|
Net investment income (loss) (a) |
0.04 |
0.09 |
0.11 |
0.11 |
0.08 |
0.04 |
||||||||||||||||||
|
Net gain (loss) on securities (both realized and unrealized) |
1.37 |
1.27 |
0.49 |
2.55 |
0.86 |
1.36 |
||||||||||||||||||
|
Total from investment operations |
1.41 |
1.36 |
0.60 |
2.66 |
0.94 |
1.40 |
||||||||||||||||||
|
LESS DISTRIBUTIONS |
||||||||||||||||||||||||
|
Dividends from net investment income |
(0.04 |
) |
(0.11 |
) |
(0.07 |
) |
(0.11 |
) |
(0.06 |
) |
(0.03 |
) |
||||||||||||
|
Distributions from capital gains |
— |
— |
— |
— |
— |
— |
||||||||||||||||||
|
Total distributions |
(0.04 |
) |
(0.11 |
) |
(0.07 |
) |
(0.11 |
) |
(0.06 |
) |
(0.03 |
) |
||||||||||||
|
Net asset value, end of year |
$ |
13.62 |
$ |
12.25 |
$ |
11.00 |
$ |
10.47 |
$ |
7.92 |
$ |
7.04 |
||||||||||||
|
Total return |
11.58 |
% |
12.46 |
% |
5.78 |
% |
33.77 |
% |
13.46 |
% |
24.78 |
% |
||||||||||||
|
RATIOS / SUPPLEMENTAL DATA |
||||||||||||||||||||||||
|
Net assets, end of year (000s) |
$ |
361,402 |
$ |
298,123 |
$ |
231,322 |
$ |
106,475 |
$ |
54,259 |
$ |
36,220 |
||||||||||||
|
Ratio of expenses to average net assets: |
||||||||||||||||||||||||
|
Before expense reimbursements |
0.37 |
% |
0.74 |
% |
0.75 |
% |
0.79 |
% |
0.83 |
% |
0.88 |
% |
||||||||||||
|
After expense reimbursements |
0.24 |
% |
0.49 |
% |
0.49 |
% |
0.49 |
% |
0.49 |
% |
0.49 |
% |
||||||||||||
|
Ratio of net investment income (loss) to average net assets |
||||||||||||||||||||||||
|
Before expense reimbursements |
0.19 |
% |
0.57 |
% |
0.72 |
% |
0.95 |
% |
0.73 |
% |
0.27 |
% |
||||||||||||
|
After expense reimbursements |
0.32 |
% |
0.82 |
% |
0.98 |
% |
1.25 |
% |
1.08 |
% |
0.66 |
% |
||||||||||||
|
Portfolio turnover |
0 |
% |
7 |
% |
9 |
% |
3 |
% |
13 |
% |
24 |
% |
||||||||||||
|
K Shares |
Six Months Ended February 28, |
Year Ended August 31, 2016 |
Year Ended August 31, 2015 |
Year Ended August 31, 2014 |
Year Ended August 31, 2013 |
Year Ended August 31, 2012 |
||||||||||||||||||
|
Net asset value, beginning of year |
$ |
11.93 |
$ |
10.69 |
$ |
10.18 |
$ |
7.71 |
$ |
6.85 |
$ |
5.53 |
||||||||||||
|
INCOME FROM INVESTMENT OPERATIONS |
||||||||||||||||||||||||
|
Net investment (loss) (a) |
0.01 |
0.03 |
0.05 |
0.06 |
0.04 |
0.01 |
||||||||||||||||||
|
Net gain (loss) on securities (both realized and unrealized) |
1.33 |
1.24 |
0.48 |
2.48 |
0.84 |
1.31 |
||||||||||||||||||
|
Total from investment operations |
1.34 |
1.27 |
0.53 |
2.54 |
0.88 |
1.32 |
||||||||||||||||||
|
LESS DISTRIBUTIONS |
||||||||||||||||||||||||
|
Dividends from net investment income |
(0.02 |
) |
(0.03 |
) |
(0.02 |
) |
(0.07 |
) |
(0.02 |
) |
(0.00 |
) |
||||||||||||
|
Distributions from capital gains |
— |
— |
— |
— |
— |
— |
||||||||||||||||||
|
Total distributions |
(0.02 |
) |
(0.03 |
) |
(0.02 |
) |
(0.07 |
) |
(0.02 |
) |
— |
|||||||||||||
|
Net asset value, end of year |
$ |
13.25 |
$ |
11.93 |
$ |
10.69 |
$ |
10.18 |
$ |
7.71 |
$ |
6.85 |
||||||||||||
|
Total return |
11.29 |
% |
11.96 |
% |
5.25 |
% |
33.11 |
% |
12.95 |
% |
23.94 |
% |
||||||||||||
|
RATIOS / SUPPLEMENTAL DATA |
||||||||||||||||||||||||
|
Net assets, end of year (000s) |
$ |
18,454 |
$ |
15,500 |
$ |
17,799 |
$ |
12,214 |
$ |
9,700 |
$ |
9,473 |
||||||||||||
|
Ratio of expenses to average net assets: |
||||||||||||||||||||||||
|
Before expense reimbursements |
0.62 |
% |
1.24 |
% |
1.24 |
% |
1.29 |
% |
1.33 |
% |
1.38 |
% |
||||||||||||
|
After expense reimbursements |
0.49 |
% |
0.99 |
% |
0.99 |
% |
0.99 |
% |
0.99 |
% |
0.99 |
% |
||||||||||||
|
Ratio of net investment income (loss) to average net assets |
||||||||||||||||||||||||
|
Before expense reimbursements |
(0.05 |
)% |
0.05 |
% |
0.22 |
% |
0.39 |
% |
0.24 |
% |
(0.28 |
)% |
||||||||||||
|
After expense reimbursements |
0.07 |
% |
0.30 |
% |
0.48 |
% |
0.69 |
% |
0.58 |
% |
0.11 |
% |
||||||||||||
|
Portfolio turnover |
0 |
% |
7 |
% |
10 |
% |
3 |
% |
13 |
% |
24 |
% |
||||||||||||
|
(a) |
Calculated based upon average shares outstanding. |
|
(b) |
Less than $0.01 per share. |
See accompanying notes to financial statements.
45
|
Financial Highlights (For a Share Outstanding Throughout Each Period) (Continued) |
|
Shelton Green Alpha Fund Direct Shares |
Six Months Ended February 28, |
Year Ended August 31, 2016 |
Year Ended August 31, 2015 |
Year Ended August 31, 2014 |
March 12, 2013(d) to August 31, 2013 |
|||||||||||||||
|
Net asset value, beginning of year |
$ |
14.53 |
$ |
13.67 |
$ |
15.90 |
$ |
11.96 |
$ |
10.00 |
||||||||||
|
INCOME FROM INVESTMENT OPERATIONS |
||||||||||||||||||||
|
Net investment income (loss) (a) |
(0.02 |
) |
(0.03 |
) |
(0.08 |
) |
(0.08 |
) |
(0.01 |
) |
||||||||||
|
Net gain (loss) on securities (both realized and unrealized) |
0.81 |
0.89 |
(2.15 |
) |
4.02 |
1.97 |
||||||||||||||
|
Total from investment operations |
0.79 |
0.86 |
(2.23 |
) |
3.94 |
1.96 |
||||||||||||||
|
LESS DISTRIBUTIONS |
||||||||||||||||||||
|
Dividends from net investment income |
— |
— |
— |
— |
— |
|||||||||||||||
|
Distributions from capital gains |
— |
— |
— |
(b) |
— |
— |
||||||||||||||
|
Total distributions |
— |
— |
— |
— |
— |
|||||||||||||||
|
Net asset value, end of year |
$ |
15.32 |
$ |
14.53 |
$ |
13.67 |
$ |
15.90 |
$ |
11.96 |
||||||||||
|
Total return |
5.44 |
% |
6.29 |
% |
(14.02 |
)% |
32.94 |
% |
19.60 |
% |
||||||||||
|
RATIOS / SUPPLEMENTAL DATA |
||||||||||||||||||||
|
Net assets, end of year (000s) |
$ |
35,451 |
$ |
36,880 |
$ |
29,596 |
$ |
22,436 |
$ |
4,623 |
||||||||||
|
Ratio of expenses to average net assets: |
||||||||||||||||||||
|
Before expense reimbursements |
0.69 |
% |
1.31 |
% |
1.34 |
% |
1.54 |
% |
5.16 |
% |
||||||||||
|
After expense reimbursements |
0.69 |
% |
1.31 |
% |
1.34 |
% |
1.31 |
% |
1.24 |
% |
||||||||||
|
Ratio of net investment income (loss) to average net assets |
||||||||||||||||||||
|
Before expense reimbursements |
(0.17 |
)% |
(0.22 |
)% |
(0.53 |
)% |
(0.78 |
)% |
(4.11 |
)% |
||||||||||
|
After expense reimbursements |
(0.17 |
)% |
(0.22 |
)% |
(0.53 |
)% |
(0.55 |
)% |
(0.19 |
)% |
||||||||||
|
Portfolio turnover |
8 |
% |
13 |
% |
22 |
% |
5 |
% |
12 |
% |
||||||||||
|
(a) |
Calculated based upon average shares outstanding. |
|
(b) |
Less than $0.01 per share. |
|
(d) |
Commencement of operations. |
|
(e) |
Not annualized. |
See accompanying notes to financial statements.
46
|
Shelton Funds |
Notes to Financial Statements (Unaudited) |
February 28, 2017 |
Note 1 - SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
California Tax-Free Income Fund, U.S. Government Securities Fund, Short-Term U.S. Government Bond Fund, The United States Treasury Trust, S&P 500 Index Fund, S&P MidCap Index Fund, S&P SmallCap Index Fund, Shelton Core Value Fund, European Growth & Income Fund, Shelton Green Alpha Fund and Nasdaq-100 Index 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: California Tax-Free Income Fund seeks as high a level of income, exempt from regular federal and California personal income taxes, as is consistent with prudent investment management and safety of capital. U.S. Government Securities Fund seeks liquidity, safety from credit risk and as high a level of income as is consistent with these objectives by investing in full faith and credit obligations of the U.S. Government and its agencies or instrumentalities, primarily in U.S. Treasury Securities and Government National Mortgage Association Certificates. Short-Term U.S. Government Bond Fund seeks liquidity, safety from credit risk, preservation of investors’ principal and as high a level of income as is consistent with these objectives by investing in mainly U.S. government securities. The United States Treasury Trust seeks capital preservation, safety, liquidity, and consistent with these objectives, the highest attainable current income exempt from state income taxes. S&P 500 Index Fund, S&P MidCap Index Fund and S&P SmallCap Index Fund are diversified mutual funds that seek to provide investment results that correspond to the total return of publicly traded common stocks represented in the Standard & Poor’s 500 Composite Stock Price Index, the Standard & Poor’s MidCap 400 Index and the Standard & Poor’s SmallCap 600 Index, respectively. The Shelton Core Value Fund seeks a high level of income and capital appreciation (when consistent with high income) by investing primarily in income-producing U.S. equity securities. European Growth & Income Fund seeks to provide long-term capital appreciation and income by investing in large-sized European companies. Shelton Green Alpha Fund seeks to achieve long-term capital appreciation by investing in stocks in the green economy by investing in common stocks of companies believed to be leaders in managing environmental risks and opportunities. Nasdaq-100 Index Fund attempts to replicate the performance of the largest non-financial companies as measured by the Nasdaq-100 Index.
The Shelton Funds began offering additional classes of shares, Class K, on October 16, 2003. Income, expenses (other than the expenses attributable to a specific class), realized and unrealized gains or losses on investments of the Funds are allocated proportionately to the two classes of shares offered based on the daily net assets, except for Rule 12b-1 distribution fees and shareholder service fees, which are charged only to K Shares. The following is a summary of significant accounting policies followed by the Funds.
(a) Security Valuation – Equity securities listed on a national exchange are valued at the last reported sales price. Futures contracts are valued at the settle price, depending on the exchange the contract trades on, typically as of 4:15 p.m., Eastern Time. Municipal securities are valued by an independent pricing service at a price determined by a matrix pricing method. This technique generally considers such factors as yields or prices of bonds of comparable quality, type of issue, coupon, maturity, ratings and general market conditions. U.S. government securities for which market quotations are readily available are valued at the mean between the closing bid and asked prices provided by an independent pricing service. U.S. agency securities consisting of mortgage pass-through certificates are valued using dealer quotations provided by an independent pricing service. U.S. Treasury Bills are valued at amortized cost which approximates market value. Securities with remaining maturities of 60 days or less are valued on the amortized cost basis as reflecting fair value. The United States Treasury Trust securities are valued at amortized cost, in accordance with procedures adopted by the Board of Trustees and which the Board of Trustees has determined in good faith reflects the market-based net asset value per share. 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 its Pricing Committee the responsibility for determining the fair value, subject to the Board oversight and the review of the pricing decisions at its quarterly meetings.
(b) Futures Contracts – Initial margin deposits required upon entering into futures contracts are satisfied by the segregation of cash, as collateral, for the account of the broker (a Fund’s agent in acquiring the futures position). During the period the futures contract is open, changes in the value of the contract are recognized as unrealized gains or losses by “marking to market” on a daily basis to reflect the market value of the contract at the end of each day’s trading. Variation margin payments are made or received depending upon whether unrealized gains or losses are incurred. When the contract is closed, a Fund records a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Fund’s basis in the contract. The S&P 500 Index Fund, S&P MidCap Index Fund, S&P SmallCap Index Fund, Shelton Core Value Fund, European Growth & 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 Core Value Fund may write call options. When an option is written, the Fund receives a premium and becomes obligated to sell the underlying security at a fixed price, upon exercise of the option. Options can be traded through an exchange or through a privately negotiated arrangement with a dealer in an OTC transaction. Options traded through an exchange are generally cleared through a clearinghouse (such as the Options Clearing Corporation). The difference between the premium received or paid, and the market value of the option, is recorded as unrealized appreciation or depreciation. When an option is exercised, the proceeds of the security sold are adjusted by the amount of premium received. Upon the expiration of the option, a gain or loss is reported in the Statement of Operations. The risk in writing a call option is that the market price of the security increases and if the option is exercised, the Fund must either purchase the security at a higher price for delivery or give up the opportunity for profit.
(d) Federal Income Taxes – No provision is considered necessary for federal income taxes. The Funds intend to qualify for and elect the tax treatment applicable to regulated investment companies under the Internal Revenue Code and to distribute all of their taxable income to shareholders.
(e) Security Transactions, Investment Income and Distributions to Shareholders – Security transactions are recorded on the trade date. Interest income is recorded on the accrual basis. Dividend income is recorded on the ex-dividend date. Withholding taxes on foreign dividends have been provided for, in accordance with the Trust’s understanding of the applicable country’s tax rules and rates. Distributions to shareholders are recorded on the ex-dividend date for the California Tax-Free Income Fund, the U.S. Government Securities Fund, S&P 500 Index Fund, S&P MidCap Index Fund, S&P SmallCap Index Fund, Shelton Core Value Fund, European Growth & Income Fund, Shelton Green Alpha Fund, Nasdaq-100 Index Fund and Short-Term U.S. Government Bond 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 Fund 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 California Tax-Free Income Fund invests in debt instruments of municipal issuers. The issuers’ abilities to meet their obligations may be affected by economic developments in the state of California.
(g) Use of Estimates in Financial Statements – In preparing financial statements in conformity with accounting principles generally accepted in the United States of America, management makes estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements, as well as the reported amounts of income and expense during the year. Actual results may differ from these estimates.
47
|
Shelton Funds |
Notes to Financial Statements (Unaudited) (Continued) |
February 28, 2017 |
(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 (2013-2015), or expected to be taken in the Fund’s 2016 tax returns. The Fund identifies its major tax jurisdictions as U.S. Federal, however the Fund is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months.
(j) Fair Value Measurements – The Funds utilize various methods to measure the fair value of most of its 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 company 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 unavailable, 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, 2017 using fair value hierarchy:
|
Level 1(a) |
Level 2(a) |
Level 3(a) |
Level 1(a) |
Level 1(a) |
||||||||||||||||||||||||
|
Fund |
Investments in Securities(b) |
Investments in Securities(c) |
Investments in Securities |
Total |
Futures Contracts - Liabilities(d) |
Written Options |
Total |
|||||||||||||||||||||
|
California Tax-Free Income Fund |
$ |
— |
$ |
77,129,351 |
$ |
— |
$ |
77,129,351 |
$ |
— |
$ |
— |
$ |
— |
||||||||||||||
|
U.S. Government Securities Fund |
— |
22,415,930 |
— |
22,415,930 |
— |
— |
— |
|||||||||||||||||||||
|
Short-Term U.S. Government Bond Fund |
— |
6,453,877 |
— |
6,453,877 |
— |
— |
— |
|||||||||||||||||||||
|
The United States Treasury Trust Fund |
— |
55,658,389 |
— |
55,658,389 |
— |
— |
— |
|||||||||||||||||||||
|
S&P 500 Index Fund |
153,337,551 |
— |
1,857 |
(e) |
153,339,408 |
(6,601 |
) |
— |
(6,601 |
) |
||||||||||||||||||
|
S&P MidCap Index Fund |
126,027,817 |
— |
— |
126,027,817 |
(3,638 |
) |
— |
(3,638 |
) |
|||||||||||||||||||
|
S&P SmallCap Index Fund |
66,719,921 |
— |
— |
66,719,921 |
(25,909 |
) |
— |
(25,909 |
) |
|||||||||||||||||||
|
Shelton Core Value Fund |
152,525,529 |
12,698,673 |
1,000,000 |
(f) |
166,224,202 |
— |
(1,393,393 |
) |
(1,393,393 |
) |
||||||||||||||||||
|
European Growth & Income Fund |
9,326,376 |
— |
9,326,376 |
— |
— |
|||||||||||||||||||||||
|
Nasdaq-100 Index Fund |
362,765,584 |
— |
— |
362,765,584 |
(12,655 |
) |
(12,655 |
) |
||||||||||||||||||||
|
Shelton Green Alpha Fund |
33,442,606 |
— |
— |
33,442,606 |
— |
— |
— |
|||||||||||||||||||||
|
(a) |
It is the Fund’s policy to recognize transfers between levels on the last day of the fiscal reporting period. There were no transfers in or out of Level 1, Level 2, and Level 3 for the six months ended February 28, 2017. |
|
(b) |
All publicly traded common stocks and preferred stocks held in the Funds are Level 1 securities. For a detailed break-out of equity securities by major industry classification, please refer to the Portfolio of Investments. |
|
(c) |
All fixed income securities held in the Funds are Level 2 securities. For a detailed break-out of fixed income securities by type, please refer to the Portfolio of Investments. |
|
(d) |
Represents variation margin on the last day of the reporting period. |
|
(e) |
Rights |
|
(f) |
Preferred Stock |
|
Level 3 Securities |
S&P 500 Index Fund |
Shelton Core Value Fund |
||||||
|
Beginning Balance |
$ |
1,857 |
$ |
1,600,000 |
||||
|
Net Purchases |
— |
— |
||||||
|
Net Sales |
— |
— |
||||||
|
Total Realized Gain (Loss) |
— |
— |
||||||
|
Change in Unrealized Appreciation (Depreciation) |
— |
(600,000 |
) |
|||||
|
Accrued Interest |
— |
— |
||||||
|
Transfers into Level 3 |
— |
— |
||||||
|
Transfers out of Level 3 |
— |
— |
||||||
|
Ending Balance |
$ |
1,857 |
$ |
1,000,000 |
||||
48
|
Shelton Funds |
Notes to Financial Statements (Unaudited) (Continued) |
February 28, 2017 |
|
Fair Value as of 2/28/17 |
Valuation Techniques |
Unobservable Input* |
Input Values |
Impact to valuation from an increase to input** |
|
|
Safeway, Inc. CVR-Non Tradeable |
$1,857 |
Market comparables and estimated recovery proceeds |
Based on independent valuation firm assessment of fair market value |
$.05-1.01 |
Changes in the market quotes and option valuation will result in direct and proportional changes in the value of the security |
|
Amerityre Corp. 5% Preferred Conv. |
$1,000,000 |
Market comparables and estimated recovery proceeds |
*Market quotes, yield quotes and option valuation |
50% |
Changes in the market quotes and option valuation will result in direct and proportional changes in the value of the security |
|
* |
Market quote on Amerityre common stock, five-year treasury yield and the option value of the conversion of preferred stock to common stock. |
|
** |
Should the common stock rise over ten cents per share or fall over ten cents per share and maintain that level for a one-week period, a Pricing Committee meeting would be reconvened to evaluate the price valuation. |
(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 Core Value Fund, Nasdaq-100 Index Fund, Shelton Green Alpha Fund and European Growth & Income 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 the Funds 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 29, 2017, 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 was 40, 3, 42 and 161, respectively. The Shelton Core Value Fund, European Growth & Income Fund and Shelton Green Alpha Fund held no futures contracts at February 28, 2017. 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 six months ended February 28, 2017:
|
Derivatives Not Accounted for as Hedging Instruments |
Variation Margin |
|||
|
S&P 500 Index Fund – Equity contracts |
$ |
6,601 |
||
|
S&P MidCap Index Fund – Equity contracts |
$ |
3,638 |
||
|
S&P SmallCap Index Fund – Equity contracts |
$ |
25,909 |
||
|
Nasdaq-100 Index Fund – Equity contracts |
$ |
12,655 |
||
The effect of derivative instruments on the Statements of Operations for the six months ended February 28, 2017:
|
Derivatives Not Accounted for as Hedging Instruments |
Realized Gain (Loss) on Futures Recognized in Income |
Changes in Unrealized Appreciation (Depreciation) on Futures Recognized in Income |
||||||
|
S&P 500 Index Fund – Equity contracts |
$ |
221,854 |
$ |
161,325 |
||||
|
S&P MidCap Index Fund – Equity contracts |
$ |
145,335 |
$ |
(9,390 |
) |
|||
|
S&P SmallCap Index Fund – Equity contracts |
$ |
253,856 |
$ |
(42,820 |
) |
|||
|
Nasdaq-100 Index Fund – Equity contracts |
$ |
564,224 |
$ |
665,780 |
||||
The previously disclosed derivative instruments outstanding as of February 28, 2017, and their effect on the Statement of Operations for the period ending February 28, 2017, 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 |
$ |
3,666,220 |
||
|
S&P MidCap Index Fund – Equity contracts |
$ |
1,637,673 |
||
|
S&P SmallCap Index Fund – Equity contracts |
$ |
2,073,903 |
||
|
Nasdaq-100 Index Fund – Equity contracts |
$ |
9,864,126 |
||
Note 2 - INVESTMENT MANAGEMENT FEE AND OTHER RELATED PARTY TRANSACTIONS
Shelton Capital Management, a dba of CCM Partners (“Shelton Capital” or the “Advisor”), a California limited partnership, provides each Fund with management and limited administrative services pursuant to a management agreement.
49
|
Shelton Funds |
Notes to Financial Statements (Unaudited) (Continued) |
February 28, 2017 |
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 in net assets |
$500 million to $1 billion in net assets |
In excess of $1 billion in net assets |
|
|
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% |
|
Short-Term U.S. Government Bond Fund |
0.50% |
0.50% |
0.45% |
0.40% |
|
S&P 500 Index Fund |
0.25% |
0.25% |
0.25% |
0.25% |
|
S&P MidCap Index Fund |
0.40% |
0.40% |
0.40% |
0.40% |
|
S&P SmallCap Index Fund |
0.50% |
0.50% |
0.45% |
0.40% |
|
Shelton Core Value Fund |
0.50% |
0.50% |
0.45% |
0.40% |
|
European Growth & Income Fund |
0.85% |
0.85% |
0.85% |
0.85% |
|
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, 2018, 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 voluntary expense limits, for the period ended February 28, 2017 are as follows:
|
Voluntary Expense Limitation |
||||
|
Fund |
Reimburse |
Direct Shares |
K Shares |
Expiration |
|
U.S. Government Securities Fund |
0.01% |
0.74% |
1.24% |
1/2/18 |
|
Short-Term U.S. Government Bond Fund |
0.15% |
0.59% |
1.09% |
1/2/18 |
|
The United States Treasury Trust(a) |
0.19% |
0.53% |
0.96% |
1/2/18 |
|
S&P 500 Index Fund |
0.05% |
0.36% |
0.86% |
1/2/18 |
|
S&P MidCap Index Fund |
0.03% |
0.58% |
1.08% |
1/2/18 |
|
S&P SmallCap Index Fund |
0.00% |
0.74% |
1.24% |
1/2/18 |
|
European Growth & Income Fund |
0.08% |
1.00% |
1.50% |
1/2/18 |
|
Nasdaq-100 Index Fund |
0.09% |
0.49% |
0.99% |
1/2/18 |
|
(a) |
The Advisor is waiving fees to keep the yield non-negative for the United States Treasury Trust. |
At August 31, 2016, the remaining cumulative unreimbursed amount paid and/or waived by the Advisor on behalf of the Funds that may be reimbursed was $4,269,595. The Advisor may recapture a portion of the above amount no later than the dates as stated below.
|
Fund |
Expires 8/31/17 |
Expires 8/31/18 |
Expires 8/31/19 |
Total |
||||||||||||
|
U.S. Government Securities Fund |
$ |
40,772 |
$ |
24,827 |
$ |
20,081 |
$ |
85,680 |
||||||||
|
Short-Term U.S. Government Bond Fund |
38,985 |
26,812 |
24,167 |
89,964 |
||||||||||||
|
The United States Treasury Trust |
698,141 |
665,667 |
362,655 |
1,726,463 |
||||||||||||
|
S&P 500 Index Fund |
173,213 |
155,206 |
145,091 |
473,510 |
||||||||||||
|
S&P MidCap Index Fund |
84,423 |
62,001 |
52,995 |
199,419 |
||||||||||||
|
S&P SmallCap Index Fund |
42,358 |
20,187 |
18,440 |
80,985 |
||||||||||||
|
European Growth & Income Fund |
43,289 |
31,088 |
27,667 |
102,044 |
||||||||||||
|
Nasdaq-100 Index Fund |
258,331 |
517,857 |
705,792 |
1,481,980 |
||||||||||||
|
Green Alpha Fund |
29,550 |
— |
— |
29,550 |
||||||||||||
|
Total |
$ |
1,409,062 |
$ |
1,503,645 |
$ |
1,356,888 |
$ |
4,269,595 |
||||||||
A Fund must pay its current ordinary operating expenses before the Advisor is entitled to any reimbursement of fees and/or expenses. Any such reimbursement is contingent upon Board of trustee review and approval prior to the time the reimbursement is initiated.
As compensation for administrative duties not covered by the management agreement, Shelton Capital receives an administration fee, which was revised on January 1, 2011. The administration fee is based on assets held, in aggregate, by the Shelton Funds. The fee rates are 0.10% on the first $500 million, 0.08% on the next $500 million, and 0.06% on combined assets over $1 billion. Administration fees are disclosed on the Statement of Operations.
Certain officers and trustees of the Trust are also partners of Shelton Capital. Teresa Axelson served as the Chief Compliance Officer (“CCO”) of the Trust since November 2011 until her retirement on February 28, 2017. Ms. Axelson was also employed by Shelton Capital, the Advisor and Administrator to the Trust. The Trust was responsible for the portion of her salary allocated to her duties as the CCO of the Trust during her employment, and Shelton Capital was reimbursed by the Trust for this portion of her salary. The level of reimbursement is reviewed and determined by the Board of Trustees at least annually. Gregory T. Pusch currently serves as CCO of the Trust under similar arrangements.
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 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. The Plan was amended to eliminate the Class A Shares. All A Share accounts were liquidated effective December 6, 2013.
50
|
Shelton Funds |
Notes to Financial Statements (Unaudited) (Continued) |
February 28, 2017 |
Shelton Funds adopted a Shareholder Services Plan (the “Services Plan”), whereby the K Shares of each Fund of the Shelton Funds pay RFS Partners, the Funds’ Distributor or other service providers, an annual rate of 0.25% of the average daily net assets of Class K Shares. Such amounts are compensation for providing certain services to clients owning K Shares, including processing purchase and redemption transactions, assisting in other administrative details and providing other information with respect to each Fund.
For the six months ended February 28, 2017, the following were paid by the Class K Shares of each Fund of the Trust:
|
Fund |
Class K 12b-1 Fees |
Class K Shareholder Service Fees |
||||||
|
U.S. Government Securities Fund |
$ |
5,720 |
$ |
5,720 |
||||
|
Short-Term U.S. Government Bond Fund |
1,634 |
1,634 |
||||||
|
S&P 500 Index Fund |
10,207 |
10,207 |
||||||
|
S&P MidCap Index Fund |
6,659 |
6,659 |
||||||
|
S&P SmallCap Index Fund |
12,176 |
12,176 |
||||||
|
Shelton Core Value Fund |
7,491 |
7,491 |
||||||
|
European Growth & Income Fund |
4,545 |
4,545 |
||||||
|
Nasdaq-100 Index fund |
20,338 |
20,338 |
||||||
Note 3 - PURCHASES AND SALES OF SECURITIES
Purchases and sales of securities other than short-term instruments for the six-months ended February 28, 2017 were as follows:
|
Fund |
Purchases |
Sales |
Purchases (Excluding U.S. Government Obligations) |
Sales (Excluding U.S. Government Obligations) |
||||||||||||
|
California Tax-Free Income Fund |
$ |
2,014,894 |
$ |
9,048,120 |
$ |
2,014,894 |
$ |
9,048,120 |
||||||||
|
U.S. Government Securities Fund |
298,309 |
1,287,170 |
— |
— |
||||||||||||
|
Short-Term U.S. Government Bond Fund |
1,705,707 |
13,401 |
— |
— |
||||||||||||
|
S&P 500 Index Fund |
158,115 |
834,172 |
158,115 |
834,172 |
||||||||||||
|
S&P MidCap Index Fund |
29,340,827 |
55,857,939 |
29,340,827 |
55,857,939 |
||||||||||||
|
S&P SmallCap Index Fund |
13,750,936 |
8,609,625 |
13,750,936 |
8,609,625 |
||||||||||||
|
Shelton Core Value Fund |
3,906,681 |
24,476,616 |
3,906,681 |
24,476,616 |
||||||||||||
|
European Growth & Income Fund |
10,595 |
28 |
10,595 |
28 |
||||||||||||
|
Nasdaq-100 Index Fund |
18,811,950 |
1,501,829 |
18,811,950 |
1,501,829 |
||||||||||||
|
Shelton Green Alpha Fund |
2,646,892 |
7,345,311 |
2,646,892 |
7,345,311 |
||||||||||||
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.
Fair Value of Derivative Instruments — The fair value of derivative instruments for the Funds as of the year ended February 28, 2017, was as follows:
|
Derivatives not Accounted for as Hedging Instruments |
Liability Derivatives Statement of Assets and Liabilities Location |
Fair Value |
|
Equity Contracts |
Written options, at value |
$ 1,393,393 |
The effect of derivative instruments on the Funds’ Statement of Operations for the year ended August 31, 2016, was as follows:
|
Derivatives not Accounted for as Hedging Instruments |
Location of Gains/(Loss) on |
Realized Gain/ (Loss) on Derivatives Recognized in Income |
Change in Unrealized Gain/ (Loss) On Derivatives Recognized In Income |
|
Equity Contracts |
Net realized gains (losses) from: Written option contracts / Net change in unrealized appreciation (depreciation) on: Written option contracts |
$ 747,680 |
$ (704,590) |
51
|
Shelton Funds |
Notes to Financial Statements (Unaudited) (Continued) |
February 28, 2017 |
Volume of derivative instruments held by the Funds during the year ended February 28, 2017, was as follows:
|
Derivative Type |
Unit Of Measurement |
Average** |
|
Written Option Contracts |
Contracts |
$ (605,786) |
A summary of option contracts written by the Shelton Core Value Fund during the fiscal year ended February 28, 2017 was as follows:
|
Written option activity for the period was as follows: |
Number of Contracts |
Amount of Premiums |
||||||
|
Options outstanding as of August 31, 2016 |
(2,414 |
) |
$ |
(382,713 |
) |
|||
|
Options written |
(18,774 |
) |
(2,543,061 |
) |
||||
|
Options closed or expired |
11,987 |
1,612,592.84 |
||||||
|
Options exercised |
4,263 |
654,424.00 |
||||||
|
Options outstanding as of Feb 28, 2017 |
(4,938 |
) |
(658,757 |
) |
||||
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, 2016, permanent differences resulting from different book and tax accounting for net operating losses, expiration of capital loss carryforwards and treatment of accretion of discount have been reclassified to paid-in capital. The reclassifications were as follows:
|
Increase (Decrease) Paid-In Capital |
Increase (Decrease) Undistributed Net Investment Income (Loss) |
Increase (Decrease) Accumulated |
||||||||||
|
U.S. Government Securities Fund |
$ |
— |
$ |
9,589 |
$ |
(9,589 |
) |
|||||
|
Short-Term U.S. Government Bond Fund |
(2,311 |
) |
2,588 |
(277 |
) |
|||||||
|
S&P 500 Index Fund |
— |
(248 |
) |
248 |
||||||||
|
S&P Mid Cap Index Fund |
1,268,508 |
(81,632 |
) |
(1,186,876 |
) |
|||||||
|
S&P Small Cap Index Fund |
— |
55,621 |
(55,621 |
) |
||||||||
|
European Growth & Income Fund |
(9,647 |
) |
9,656 |
(9 |
) |
|||||||
|
Shelton Green Alpha Fund |
(73,541 |
) |
73,541 |
— |
||||||||
The Shelton Green Alpha Fund offset net operating losses of $73,541 to Paid-In-Capital in the amounts reclassed above.
Tax Basis of Distributable Earnings: The tax character of distributable earnings at August 31, 2016 was as follows:
|
Undistributed Ordinary Income |
Undistributed Long-Term Capital Gain |
Capital Loss Carry Forwards |
Unrealized Appreciation (Depreciation) |
Post October and Other Losses (b) |
Total Distributable Earnings |
|||||||||||||||||||
|
California Tax-Free Income Fund |
$ |
106,084 |
$ |
234,699 |
$ |
— |
$ |
6,106,827 |
$ |
— |
$ |
6,447,610 |
||||||||||||
|
U.S. Government Securities Fund |
59,581 |
— |
(449,708 |
) |
1,005,450 |
— |
615,323 |
|||||||||||||||||
|
Short-Term U.S. Government Bond Fund |
1,250 |
1,237 |
— |
16,200 |
— |
18,687 |
||||||||||||||||||
|
The United States Treasury Trust |
— |
— |
(2,154 |
) |
— |
(2,154 |
) |
|||||||||||||||||
|
S&P 500 Index Fund |
955,739 |
1,037,025 |
— |
78,365,764 |
— |
80,358,528 |
||||||||||||||||||
|
S&P Mid Cap Index Fund |
24,965 |
10,145,474 |
— |
56,258,121 |
66,428,560 |
|||||||||||||||||||
|
S&P Small Cap Index Fund |
206,917 |
2,153,388 |
— |
16,025,762 |
— |
18,386,067 |
||||||||||||||||||
|
Shelton Core Value Fund |
1,202,248 |
19,583,795 |
— |
69,886,133 |
— |
90,672,176 |
||||||||||||||||||
|
European Growth & Income Fund |
42,643 |
— |
(1,455,934 |
) |
984,689 |
— |
(428,602 |
) |
||||||||||||||||
|
Nasdaq-100 Index Fund |
535,666 |
— |
(1,588,203 |
) |
75,893,933 |
— |
74,841,396 |
|||||||||||||||||
|
Green Alpha Fund |
— |
— |
(347,449 |
) |
1,103,695 |
— |
756,246 |
|||||||||||||||||
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, tax equalization, and certain other investments.
Elective Deferrals: The Funds have not elected to defer capital losses recognized during the period November 1, 2015-August 31, 2016 to the period ending August 31, 2017. The Funds have not elected to defer ordinary losses to the period ending August 31, 2017.
52
|
Shelton Funds |
Notes to Financial Statements (Unaudited) (Continued) |
February 28, 2017 |
Capital Losses: Capital loss carry forwards, as of August 31, 2016, available to offset future capital gains, if any, are as follows:
|
Expiring |
U.S. Government Securities Fund |
United States Treasury Trust Fund |
European Growth & Income Fund |
Nasdaq-100 Index Fund |
Shelton Green Alpha Fund |
|||||||||||||||
|
2017 |
$ |
62,570 |
$ |
— |
$ |
— |
$ |
385,355 |
$ |
— |
||||||||||
|
2018 |
141,867 |
124,746 |
596,391 |
|||||||||||||||||
|
2019 |
245,271 |
205,587 |
||||||||||||||||||
|
Long Term with No Expiration |
— |
1,123,707 |
606,457 |
|||||||||||||||||
|
Short Term with No Expiration |
— |
2,154 |
1,894 |
347,449 |
||||||||||||||||
|
Total |
$ |
449,708 |
$ |
2,154 |
$ |
1,455,934 |
$ |
1,588,203 |
$ |
347,449 |
||||||||||
$9,647 of capital loss carry forwards expired at August 31, 2016 for European Growth & Income Fund.
Distributions to Shareholders: Income distributions and capital gain distributions are determined in accordance with income tax regulations, which may differ from U.S. generally accepted accounting principles. These differences are primarily due to differing treatments of income and gains on various investment securities held by each Fund, timing differences and differing characterization of distributions made by each Fund. The tax character of distributions paid during the years ended August 31, 2016 and 2015 was as follows:
|
Return of Capital |
Ordinary |
Long-Term Capital Gains (a) |
Exempt-Interest Dividends |
Total Distributions |
|||||||||||||||||
|
California Tax-Free Income Fund |
2015 |
$ |
— |
$ |
27,789 |
$ |
339,803 |
$ |
2,263,713 |
$ |
2,631,305 |
||||||||||
|
|
2016 |
— |
— |
— |
— |
— |
|||||||||||||||
|
U.S. Government Securities Fund |
2015 |
— |
339,710 |
— |
— |
339,710 |
|||||||||||||||
|
|
2016 |
— |
304,564 |
— |
— |
304,564 |
|||||||||||||||
|
Short-Term U.S. Government Bond Fund |
2015 |
— |
— |
2,313 |
— |
2,313 |
|||||||||||||||
|
|
2016 |
— |
9,179 |
— |
— |
9,179 |
|||||||||||||||
|
The United States Treasury Trust |
2015 |
— |
— |
— |
— |
— |
|||||||||||||||
|
|
2016 |
— |
— |
— |
— |
— |
|||||||||||||||
|
S&P 500 Index Fund |
2015 |
— |
2,575,228 |
260,414 |
— |
2,835,642 |
|||||||||||||||
|
|
2016 |
— |
2,597,816 |
3,233,627 |
— |
5,831,443 |
|||||||||||||||
|
S&P Mid Cap Index Fund |
2015 |
— |
1,781,040 |
11,622,126 |
— |
13,403,166 |
|||||||||||||||
|
|
2016 |
— |
1,309,627 |
22,196,144 |
— |
23,505,771 |
|||||||||||||||
|
S&P Small Cap Index Fund |
2015 |
— |
455,642 |
3,613,614 |
— |
4,069,256 |
|||||||||||||||
|
|
2016 |
— |
408,132 |
4,842,659 |
— |
5,250,791 |
|||||||||||||||
|
Shelton Core Value Fund |
2015 |
— |
3,470,591 |
— |
— |
3,470,591 |
|||||||||||||||
|
|
2016 |
— |
3,534,457 |
— |
2,624,819 |
6,159,276 |
|||||||||||||||
|
European Growth & Income Fund |
2015 |
— |
264,097 |
— |
— |
264,097 |
|||||||||||||||
|
|
2016 |
— |
234,972 |
— |
— |
234,972 |
|||||||||||||||
|
Nasdaq-100 Index Fund |
2015 |
— |
1,245,482 |
— |
— |
1,245,482 |
|||||||||||||||
|
|
2016 |
— |
2,545,230 |
— |
— |
2,545,230 |
|||||||||||||||
|
Green Alpha Fund |
2015 |
— |
— |
783 |
— |
783 |
|||||||||||||||
|
|
2016 |
— |
— |
— |
— |
— |
|||||||||||||||
|
(a) |
The Funds designate Long-Term Capital Gain dividends pursuant to Section 852(b)(3) of the Internal Revenue Code for the year ended August 31, 2016. |
Note 6 - OFFSETTING OF FINANCIAL INSTRUMENTS AND DERIVATIVE
The following is a summary of financial and derivative instruments and collateral received and pledged in connection with such arrangements:
|
Gross Amounts Not Offset in the Statement of Assets & Liabilities |
|||||||||||||||||||||||||
|
Gross Amounts of Recognized Assets |
Gross Amounts |
Net Amounts Presented in the Statement of Assets & Liabilities |
Financial Instruments |
Collateral Pledged/Received |
Net Amount |
||||||||||||||||||||
|
S&P 500 Index Fund: |
Assets |
||||||||||||||||||||||||
|
Futures Contracts |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
|||||||||||||
|
— |
— |
— |
— |
— |
— |
||||||||||||||||||||
|
|
Liabilities | ||||||||||||||||||||||||
|
|
Future Contracts
|
$ |
6,601 |
$ |
— |
$ |
6,601 |
$ |
— |
$ |
6,601 |
$ |
— |
||||||||||||
|
6,601 |
— |
6,601 |
— |
6,601 |
— |
||||||||||||||||||||
53
|
Shelton Funds |
Notes to Financial Statements (Unaudited) (Continued) |
February 28, 2017 |
|
Gross Amounts Not Offset in the Statement of Assets & Liabilities |
|||||||||||||||||||||||||
|
Gross Amounts of Recognized Assets |
Gross Amounts |
Net Amounts Presented in the Statement of Assets & Liabilities |
Financial Instruments |
Collateral Pledged/Received |
Net Amount |
||||||||||||||||||||
|
S&P MidCap Index Fund: |
Assets |
||||||||||||||||||||||||
|
Futures Contracts |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
|||||||||||||
|
— |
— |
— |
— |
— |
— |
||||||||||||||||||||
|
|
Liabilities |
||||||||||||||||||||||||
|
|
Future Contracts
|
$ |
3,638 |
$ |
— |
$ |
3,638 |
$ |
— |
$ |
3,638 |
$ |
— |
||||||||||||
|
3,638 |
— |
3,638 |
— |
3,638 |
— |
||||||||||||||||||||
|
S&P SmallCap Index Fund: |
Assets |
||||||||||||||||||||||||
|
Futures Contracts |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
|||||||||||||
|
— |
— |
— |
— |
— |
— |
||||||||||||||||||||
|
|
Liabilities | ||||||||||||||||||||||||
|
|
Future Contracts
|
$ |
25,909 |
$ |
— |
$ |
25,909 |
$ |
— |
$ |
25,909 |
$ |
— |
||||||||||||
|
25,909 |
— |
25,909 |
— |
25,909 |
— |
||||||||||||||||||||
|
Nasdaq-100 Index Fund: |
Assets |
||||||||||||||||||||||||
|
Futures Contracts |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
|||||||||||||
|
— |
— |
— |
— |
— |
— |
||||||||||||||||||||
|
|
Liabilities | ||||||||||||||||||||||||
|
|
Future Contracts
|
$ |
12,655 |
$ |
— |
$ |
12,655 |
$ |
— |
$ |
12,655 |
$ |
— |
||||||||||||
|
12,655 |
— |
12,655 |
— |
12,655 |
— |
||||||||||||||||||||
Note 7 - SUBSEQUENT EVENTS
In preparing the financial statements as of February 28, 2017, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements through the date of issuance of the financial statements, and has determined that there were no subsequent events requiring recognition or disclosure with the exception of Teresa Axelson retiring as Chief Compliance Officer of the Trust on February 28, 2017.
|
Fund Holdings (Unaudited) |
The Fund holdings shown in this report are as of February 28, 2017. Holdings are subject to change at any time, so holdings shown in this report may not reflect current Fund holdings. The Funds file complete schedules of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Form N-Q is available on the SEC’s website at www.sec.gov and may be reviewed and copied at the Commission’s Public Reference Room, 100 F. Street N.E., Room 1580, Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling (800) SEC- 0330. The information filed in the form N-Q also may be obtained by calling (800) 955-9988.
|
Proxy Voting Policies, Procedures and Voting Records (Unaudited) |
The Funds’ Statement of Additional Information (“SAI”) containing a description of the policies and procedures that the Shelton Funds use to determine how to vote proxies relating to portfolio securities, along with each Fund’s proxy voting record relating to portfolio securities held during the 12-month period ended June 30, 2016, is available upon request, at no charge, at the phone number below, or on the SEC’s website at www.sec.gov.
This report is submitted for the general information of the shareholders of the Shelton Funds. It is authorized for distribution only if preceded or accompanied by a current Shelton Funds prospectus. Additional copies of the prospectus may be obtained by calling (800) 955-9988 or can be downloaded from the Funds’ website at www.sheltoncap.com. Please read the prospectus carefully before you invest or send money, as it explains the risks, fees and expenses of investing in the Funds.
54
|
Board of Trustees and Executive Officers (Unaudited) |
Overall responsibility for management of the Funds rests with the Board of Trustees. The Trustees serve during the lifetime of the Trust and until its termination, or until death, resignation, retirement or removal. The Trustees, in turn, elect the officers of the Fund to actively supervise its day-to-day operations. The officers have been elected for an annual term. The following are the Trustees and Executive Officers of the Funds:
|
Name |
Address |
Year of Birth |
Position Held with the Trust |
Length of Time Served |
|
Stephen C. Rogers |
1050 17th Street, Denver, CO |
1966 |
Chairman and Trustee |
Since August, 1998 |
|
Kevin T. Kogler |
1050 17th Street, Denver, CO |
1966 |
Trustee |
Since May, 2006 |
|
Marco L. Quazzo |
1050 17th Street, Denver, CO |
1962 |
Trustee |
Since August, 2014 |
|
Stephen H. Sutro |
1050 17th Street, Denver, CO |
1969 |
Trustee |
Since May, 2006 |
|
William P. Mock |
1050 17th Street, Denver, CO |
1966 |
Treasurer |
Since February, 2010 |
|
Gregory T. Pusch |
1050 17th Street, Denver, CO |
1966 |
Chief Compliance Officer, |
Since March, 2017 |
Each Trustee oversees the Trust’s eleven Funds. The principal occupations of the Trustees and Executive Officers of the Funds during the past five years and public directorships held by the Trustees are set forth below:
|
Stephen C. Rogers* |
Chief Executive Officer, Shelton Capital Management, 1999 to present. |
|
Kevin T. Kogler |
President & Founder of MicroBiz, LLC, 2012 to present; Principal, Robertson Piper Software Group, 2006 to 2012; Senior Vice President, Investment Banking, Friedman, Billings Ramsey, 2003 to 2006. |
|
Marco L. Quazzo |
Principal, Bartko Zankel Bunzel & Miller, March 2015-Present; Partner, Barg Coffin Lewis & Trapp LLP (law firm), 2008 to March 2015. |
|
Stephen H. Sutro |
Managing Partner, Duane Morris, LLP (law firm) 2014 to present; Partner, Duane Morris LLP (law firm), 2003 to present. |
|
William P. Mock |
Portfolio Manager, Shelton Capital Management, 2010 to present; Portfolio Manager, ETSpreads, 2007 to present. |
|
Gregory T. Pusch |
Principal Occupations Past five years: Global Head of Risk & Compliance, Matthews Asia 2015-2016; Head of Legal & Regulatory Compliance / CCO, HarbourVest Partners 2012-2015. |
|
Additional information about the Trustees may be found in the SAI, which is available without charge by calling (800) 955-9988. |
|
* |
Trustee deemed to be an “interested person” of the Trust, as defined in the Investment Company Act of 1940. Mr. Rogers is an interested person because he is the CEO of Shelton Capital Management, the Trust’s Advisor and Administrator. |
55
|
Board Approval of the Investment Advisory Agreements (Unaudited) |
The 1940 Act requires that the full Board and a majority of the Independent Trustees annually approve the continuation of the Investment Advisory Agreements dated January 1, 2007 between Shelton Funds and Shelton Capital (the “Investment Advisory Agreement”), and the Investment Advisory Agreement dated March 1, 2013, between Shelton Green Alpha Fund and Shelton Capital. At a meeting held in-person on February 9, 2017, the Board, including a majority of the Independent Trustees on behalf of the Trusts’ California Tax-Free Income Fund, S&P 500 Index Fund, S&P MidCap Index Fund, S&P SmallCap Index Fund, Shelton Core Value Fund, Nasdaq-100 Index Fund, European Growth & Income Fund, U.S. Government Securities Fund, Short-Term U.S. Government Bond Fund and The United States Treasury Trust (each a “Fund”), considered and approved the continuation of the Investment Advisory Agreement with respect to each Fund with CCM Partners D/B.A. Shelton Capital Management (“SCM”) for an additional one-year period ending March 31, 2018.
Prior to the meeting, the Independent Trustees requested information from Shelton Capital. This information, together with other information provided by Shelton Capital, and the information provided to the Independent Trustees throughout the course of the year, formed the primary (but not exclusive) basis for the Board’s determinations, as summarized below. In addition to the information identified above, other material factors and conclusions that formed the basis for the Board’s subsequent approval are described below.
Information Received
Materials Received. During the course of each year, the Independent Trustees receive a wide variety of materials relating to the services provided by Shelton Capital, including reports on each Fund’s investment results; portfolio composition; third party fund rankings; investment strategy; portfolio trading practices; shareholder services; and other information relating to the nature, extent and quality of services provided by Shelton Capital to the Funds. In addition, the Board requests and reviews supplementary information that includes materials regarding each Fund’s investment results, advisory fee and expense comparisons, the costs of operating the Funds and financial and profitability information regarding Shelton Capital (the principal business activity of which is managing the Funds), description of various functions such as compliance monitoring and portfolio trading practices, and information about the personnel providing investment management services to each Fund.
Review Process. The Board received assistance and advice regarding legal and industry standards from independent legal counsel to the Independent Trustees. The Board discussed the renewal of the Investment Advisory Agreements both with Shelton Capital representatives and in a private session with independent legal counsel at which representatives of Shelton Capital were not present. In deciding to approve the renewal of the Investment Advisory Agreements, the Independent Trustees considered the total mix of information requested by and made available to them and did not identify any single issue or particular information that, in isolation, was the controlling factor. This summary describes the most important, but not all, of the factors considered by the Board.
Nature, Extent and Quality of Services
SCM, its personnel and its resources. The Board considered the depth and quality of Shelton Capital’s investment management process; the experience, capability and integrity of its senior management and other personnel; operating performance and the overall financial strength and stability of its organization. The Board also considered that SCM made available to its investment professionals a variety of resources relating to investment management, compliance, trading, performance and portfolio accounting. The Board further considered Shelton Capital’s continuing need to attract and retain qualified personnel and, noting Shelton Capital’s additions over recent years, determined that SCM was adequately managing matters related to the Funds.
Other Services. The Board considered, in connection with the performance of its investment management services to the Funds, the following: Shelton Capital’s policies, procedures and systems to ensure compliance with applicable laws and regulations and its commitment to these programs; its efforts to keep the Trustees informed; and its attention to matters that may involve conflicts of interest with the Funds. As a point of comparison, the Board also considered the nature, extent, quality and cost of certain non-investment related administrative services provided by Shelton Capital to the Funds under the administration servicing agreements.
The Board concluded that Shelton Capital had the quality and depth of personnel and investment methods essential to performing its duties under the Investment Advisory Agreements, and that the nature, extent and overall quality of such services are satisfactory and reliable.
Investment Performance
The Board considered each Fund’s investment results in comparison to its stated investment objectives. The Trustees reviewed the short-term and long-term performance of each of the funds on both an absolute basis and in comparison to benchmark indices. The Trustees also reviewed Morningstar rankings for each of the Funds, as applicable. In assessing performance of certain Funds, the Trustees took into consideration the fact that Fund performance is expected to mirror the appropriate benchmarks as closely as possible given certain practical constraints imposed by the 1940 Act, the Fund’s investment restrictions, the Fund’s size and similar factors. Among the factors considered in this regard, were the following:
|
● |
For the S&P 500 Index Fund, it was noted that the performance of the Fund was in the first quartile over the 10-year period, and the second quartile over the 1-year, 3-year and 5-year periods. The Trustees noted with approval that the Fund was tracking its benchmark very closely. |
|
● |
For the S&P MidCap Index Fund, it was noted that the performance of the Fund was in the first quartile over the 10-year period, the second quartile over the 3-year and 5-year periods and the third quartile over the 1-year period. The Trustees noted with approval that the Fund was tracking its benchmark very closely. |
|
● |
For the Shelton Core Value Fund, it was noted that the performance of the Fund was in the first quartile over the 5-year, and 10-year periods, and the third quartile over the 1-year and 3-year periods. |
|
● |
For the S&P SmallCap Index Fund, it was noted that the performance of the Fund was in the first quartile over the 1-year, 3-year 5-year and 10-year periods. The Trustees noted with approval that the Fund was tracking its benchmark very closely. |
|
● |
For the Nasdaq-100 Index Fund, it was noted that the performance of the Fund was in the first quartile over the 1-year, 3-year, 5-year and 10-year periods. The Trustees noted with approval that the Fund was tracking its benchmark very closely. |
|
● |
For the European Growth & Income Fund, it was noted that the performance of the Fund was in the third quartile over the 1-year period, and in the fourth quartile over the 3-year, 5-year and 10-year periods. |
|
● |
For the United States Treasury Trust, it was noted that the performance of the Fund was in the fourth quartile over the 1-year, 3-year, 5-year and 10-year periods. |
|
● |
For the Short-Term U.S. Govt. Bond Fund, it was noted that the performance of the Fund was in the second quartile for the 1-year period and the fourth quartile over the 3-year, 5-year and 10-year periods. |
|
● |
For the U.S. Government Securities Fund, it was noted that the performance of the Fund was in the first quartile over the 3-year period, the second quartile over the 5-year and 10-year periods, and the fourth quartile over the 1-year period. |
|
● |
For the California Tax-Free Income Fund, it was noted that, in the California Municipal Intermediate Morningstar category, the Fund was in the third quartile over the 1-year period, the second quartile over the 3-year and 5-year periods, and the fourth quartile over the 10-year period. |
56
|
Board Approval of the Investment Advisory Agreements (Unaudited) (Continued) |
The Board received a satisfactory explanation of the reasons underlying the performance of the lower performing Funds and SCM articulated a strategy for improving performance of these Funds. The Board ultimately concluded that SCM’s performance record in managing each Fund was satisfactory, and in some cases excellent, supporting the determination that SCM’s continued management under the Investment Advisory Agreement would be consistent with the best interests of each Fund and its shareholders.
Management Fees and Total Operating Expenses
The Board reviewed the management fees and total operating expenses of each Fund and compared such amounts with the management fees and total operating expenses of other funds in the industry that are found within the same style category, or peer group, as defined by Bloomberg. The Board considered the advisory fees and total fees and expenses of each Fund in comparison to the advisory fees and other fees and expenses of other funds in each Fund’s relevant peer group. The Trustees considered both the gross advisory fee rates, as well as the effective advisory rates charged by SCM after taking into consideration the expense limitation arrangements and voluntary fee waivers. The Board noted that the total net management fees charged to each Fund, after taking into account these expense limitations and voluntary waivers, were significantly lower (by 10 basis points or more) than the industry averages for comparable funds. The Board also observed that each Fund’s total operating expenses were well below the industry average for other comparable funds. The Board also noted the voluntary advisory fee limitation that SCM had put into effect during 2005 with respect to all but two of the Shelton Funds. The Trustees noted the Funds are now paying for certain administrative services that were previously provided to the Funds by SCM at its own expense under the fund administration servicing agreements that took effect during February of 2005 for the Shelton.
Adviser, Costs, Level of Profits, Economies of Scale and Ancillary Benefits
The Board reviewed information regarding SCM’s costs of providing services to the Funds, as well as the resulting level of profits to SCM. The Independent Trustees received financial and other information from SCM, in addition to a representation from SCM that its profits were not excessive and that SCM’s profitability was low by industry standards. The Board noted the reduction in advisory fees received by SCM as a result of the reduction in assets under management in recent years due to market events, but also took note of the increase in assets under management (and corresponding increase in advisory fees received by SCM) as a result of the fund merger in 2010 that brought additional assets to the Shelton Core Value Fund. The Board noted its intention to continue to monitor assets under management, and the resulting impact on SCM’s profitability, in order to ensure that SCM has sufficient resources to continue to provide the services that shareholders in the Funds require. The Board considered SCM’s need to invest in technology, data services, infrastructure and staff to provide the expected quality of investment advisory services to the Funds. They further considered that breakpoints in the advisory fee structure of certain Funds provide for reductions in the level of fees charged by SCM to such Fund as Fund assets increase, reflecting the fact that economies of scale in the cost of operations will be shared with such Fund’s shareholders. The Trustees also noted that SCM has contractually agreed to limit its advisory fees on certain Funds so that those Funds do not exceed their respective specified operating expense limitations, and that in the case of certain other Funds, SCM has imposed a voluntary fee limitation. Such voluntary contractual fee limitations may only be terminated with the approval of the Board of Trustees of the Funds. The Board also considered that SCM does not receive substantial indirect benefits from managing the Funds (one example of an indirect benefit is research paid for by Fund brokerage commissions – SCM currently does not seek to supplement its fees with such “soft dollar” benefits). On the basis of the foregoing, together with the other information provided to it at the February 13, 2014 meeting and throughout the year, the Board concluded that each Fund’s cost structure was reasonable.
Conclusions
Based on their review, including but not limited to their consideration of each of the factors referred to above, the Board concluded that the Investment Advisory Agreement, taking into account the separate administration fees, is and would be fair and reasonable to each Fund and its shareholders, that each Fund’s shareholders received or should receive reasonable value in return for the advisory fees and other amounts paid to SCM by the Funds, and that the renewal of the Investment Advisory Agreement was in the best interests of each Fund and its shareholders.
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1050 17th St, Ste 1710
Denver, CO 80265
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ITEM 2.
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CODE OF ETHICS.
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N/A for semi-annual reports.
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ITEM 3.
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AUDIT COMMITTEE FINANCIAL EXPERT.
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N/A for semi-annual reports.
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ITEM 4.
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PRINCIPAL ACCOUNTANT FEES AND SERVICES.
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N/A for semi-annual reports.
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ITEM 5.
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AUDIT COMMITTEE OF LISTED REGISTRANTS.
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N/A
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ITEM 6.
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SCHEDULE OF INVESTMENTS
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Included under Item 1.
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ITEM 7.
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DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
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N/A
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ITEM 8.
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PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
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N/A
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ITEM 9.
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PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.
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N/A
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ITEM 10.
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SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
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ITEM 11.
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CONTROLS AND PROCEDURES.
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(a)
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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)).
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(b)
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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.
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ITEM 12.
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EXHIBITS
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(a)(1)
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Code of Ethics not applicable for semi-annual report.
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(a)(2)
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Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.
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(b)
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Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto.
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Shelton Funds
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By
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/s/ Stephen C. Rogers
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Stephen C. Rogers, Chairman
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Date: April 27, 2017
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By
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/s/ Stephen C. Rogers
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Stephen C. Rogers, Chairman
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Date: April 27, 2017
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By
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/s/ William P. Mock
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William P. Mock, Treasurer
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Date: April 27, 2017
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