N-CSRS 1 fp0041417_ncsrs.htm

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UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

FORM N-CSR

 

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES

 

Investment Company Act file number 811-4417

 

Shelton Funds
(Exact name of registrant as specified in charter)

 

1875 Lawrence Street Suite 300 Denver CO 80202
(Address of principal executive offices) (Zip code)

 

 
(Name and address of agent for service)

 

Registrant's telephone number, including area code: (415) 398-2727

 

Date of fiscal year end: August 31

 

Date of reporting period: February 28, 2019

 

Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.

 

A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. ss. 3507.

 

 

 

 

 

SEMI-ANNUAL REPORT

 

February 28, 2019

 

Green 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

Nasdaq-100 Index Fund

Shelton Green Alpha Fund

 

This report is intended only for the information of shareholders or those who have received the offering prospectus covering shares of beneficial interest of the Shelton Funds (referred to collectively as the “Funds” or individually the “Fund”) which contains information about the management fee and other costs. Investments in shares of the funds of the Shelton Funds are neither insured nor guaranteed by the U.S. Government, and there is no assurance that any Fund, which is designated a Money Market Fund, will be able to maintain a stable net asset value of $1.00 per share.

 

Beginning on April 29, 2021, as permitted by regulations adopted by the U.S. Securities and Exchange Commission, paper copies of the Funds’ annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Funds’ website at www.sheltoncap.com and you will be notified by mail each time a report is posted and provided with a website link to access the report.

 

Beginning on April 29, 2019, you may, notwithstanding the availability of shareholder reports online, elect to receive all future shareholder reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports. If you invest directly with the Funds, you can call 800-955-9988 to let the Funds know you wish to continue receiving paper copies of your shareholder reports.

 

If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Funds electronically anytime by contacting your financial intermediary (such as a broker-dealer or bank) or, if you are a direct investor, by enrolling at www.sheltoncap.com.

 

 

Table of Contents

February 28, 2019

 

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

Statements of Changes in Net Assets

31

Financial Highlights

37

Notes to Financial Statements

47

Fund Holdings

54

Proxy Voting Policies, Procedures and Voting Records

54

Board of Trustees and Executive Officers

55

Board Considerations Regarding Approval of Investment Advisory Agreements

56

 

1

 

 

About Your Fund’s Expenses (Unaudited)

February 28, 2019

 

As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, or other distributions, redemption fees, and exchange fees; and (2) ongoing costs, including management fees, distribution fees and other Fund expenses. Operating expenses, which are deducted from the Funds’ gross income, directly reduce the investment return of the Funds. The Funds’ expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. This example is intended to help you understand your ongoing cost (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds. The examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period from September 1, 2018 to February 28, 2019.

 

Actual Expenses

 

The first line of the tables below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses you have paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

 

Hypothetical Example for Comparison Purposes

 

The second line of the table provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. The Funds do not charge any sales charges. Please note that the expenses shown in the tables are meant to highlight your ongoing costs only and do not reflect any transactional cost, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the second line of the tables are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher. The calculations assume no shares were bought or sold during the period.

 

 

Beginning
Account Value
September 1, 2018

Ending
Account Value
February 28, 2019

Expenses Paid
During Period
*

Net Annual
Expense Ratio

Green California Tax-Free Income Fund

Direct Shares

       

Based on Actual Fund Return

$ 1,000

$ 1,020

$ 3.81

0.76%

Based on Hypothetical 5% Return before expenses

$ 1,000

$ 1,021

$ 3.81

0.76%

U.S. Government Securities Fund

Direct Shares

       

Based on Actual Fund Return

$ 1,000

$ 1,015

$ 3.75

0.75%

Based on Hypothetical 5% Return before expenses

$ 1,000

$ 1,021

$ 3.76

0.75%

K Shares

       

Based on Actual Fund Return

$ 1,000

$ 1,013

$ 6.24

1.25%

Based on Hypothetical 5% Return before expenses

$ 1,000

$ 1,019

$ 6.26

1.25%

Short-Term U.S. Government Bond Fund

Direct Shares

       

Based on Actual Fund Return

$ 1,000

$ 1,011

$ 2.99

0.60%

Based on Hypothetical 5% Return before expenses

$ 1,000

$ 1,022

$ 3.01

0.60%

K Shares

       

Based on Actual Fund Return

$ 1,000

$ 1,009

$ 5.48

1.10%

Based on Hypothetical 5% Return before expenses

$ 1,000

$ 1,020

$ 5.51

1.10%

The United States Treasury Trust

Direct Shares

       

Based on Actual Fund Return

$ 1,000

$ 1,009

$ 2.64

0.53%

Based on Hypothetical 5% Return before expenses

$ 1,000

$ 1,022

$ 2.66

0.53%

K Shares

       

Based on Actual Fund Return

$ 1,000

$ 1,006

$ 5.12

1.03%

Based on Hypothetical 5% Return before expenses

$ 1,000

$ 1,020

$ 5.16

1.03%

S&P 500 Index Fund

Direct Shares

       

Based on Actual Fund Return

$ 1,000

$ 967

$ 2.44

0.50%

Based on Hypothetical 5% Return before expenses

$ 1,000

$ 1,023

$ 2.51

0.50%

K Shares

       

Based on Actual Fund Return

$ 1,000

$ 965

$ 4.87

1.00%

Based on Hypothetical 5% Return before expenses

$ 1,000

$ 1,020

$ 5.01

1.00%

S&P MidCap Index Fund

Direct Shares

       

Based on Actual Fund Return

$ 1,000

$ 942

$ 3.18

0.66%

Based on Hypothetical 5% Return before expenses

$ 1,000

$ 1,022

$ 3.31

0.66%

K Shares

       

Based on Actual Fund Return

$ 1,000

$ 940

$ 5.58

1.16%

Based on Hypothetical 5% Return before expenses

$ 1,000

$ 1,019

$ 5.81

1.16%

 

2

 

 

About Your Fund’s Expenses (Unaudited)

February 28, 2019 (Continued)

 

 

Beginning
Account Value
September 1, 2018

Ending
Account Value
February 28, 2019

Expenses Paid
During Period
*

Net Annual
Expense Ratio

S&P SmallCap Index Fund

Direct Shares

       

Based on Actual Fund Return

$ 1,000

$ 889

$ 3.75

0.80%

Based on Hypothetical 5% Return before expenses

$ 1,000

$ 1,021

$ 4.01

0.80%

K Shares

       

Based on Actual Fund Return

$ 1,000

$ 887

$ 6.13

1.31%

Based on Hypothetical 5% Return before expenses

$ 1,000

$ 1,019

$ 6.56

1.31%

Shelton Core Value Fund

Direct Shares

       

Based on Actual Fund Return

$ 1,000

$ 976

$ 3.82

0.78%

Based on Hypothetical 5% Return before expenses

$ 1,000

$ 1,021

$ 3.91

0.78%

K Shares

       

Based on Actual Fund Return

$ 1,000

$ 973

$ 6.26

1.28%

Based on Hypothetical 5% Return before expenses

$ 1,000

$ 1,019

$ 6.41

1.28%

Nasdaq-100 Index Fund

Direct Shares

       

Based on Actual Fund Return

$ 1,000

$ 945

$ 2.46

0.51%

Based on Hypothetical 5% Return before expenses

$ 1,000

$ 1,022

$ 2.56

0.51%

K Shares

       

Based on Actual Fund Return

$ 1,000

$ 942

$ 4.86

1.01%

Based on Hypothetical 5% Return before expenses

$ 1,000

$ 1,020

$ 5.06

1.01%

Shelton Green Alpha Fund

Direct Shares

       

Based on Actual Fund Return

$ 1,000

$ 1,037

$ 6.57

1.30%

Based on Hypothetical 5% Return before expenses

$ 1,000

$ 1,019

$ 6.51

1.30%

 

 

*

Expenses are equal to the Fund’s expense ratio annualized.

 

3

 

 

Top Holdings and Sector Breakdowns (Unaudited)

February 28, 2019

 

Green California Tax-Free Income Fund

 

Security

Description

Market
Value

Percentage
of Total
Investment

1

East Side Union High School District

General Obligation Refunding Bonds (2012 Crossover); 2006

$3,446,389

5.4%

2

California State Public Works Board

Lease Revenue Bonds; 2009 Series I-1

3,092,490

4.8%

3

Los Rios Community College District

General Obligation Bonds; 2008 Election, Series B

2,818,675

4.4%

4

San Francisco Bay Area Rapid Transit District

San Francisco BART District GO Bonds 2017 Refunding Series E (Green Bonds)

2,725,868

4.3%

5

William S Hart Union High School District

General Obligation Bonds; Election of 2008, Series 2013A

2,709,695

4.2%

6

Mount San Antonio Community College District

Revenue Bonds (University of Southern California); Series 2009A

2,654,517

4.2%

7

East Bay Municipal Utility District Water System Revenue

General Obligation Bonds; 2001 Election, Series B

2,463,403

3.9%

8

City of Los Angeles CA

Water System Revenue Bonds; 2015 Series B

2,173,740

3.4%

9

Los Angeles Department of Water

Tax-Exempt Various Purpose General Obligation Bonds

2,172,285

3.4%

10

California Health Facilities Financing Authority

General Obligation Refunding Bonds; Series 2012-A

2,122,756

3.3%

 

U.S. Government Securities Fund

 

Security

Maturity

Market
Value

Percentage
of Total
Investment

1

United States Treasury Note/Bond

05/15/2025

$ 2,141,305

11.5%

2

United States Treasury Note/Bond

02/15/2021

2,042,031

11.0%

3

United States Treasury Note/Bond

08/15/2023

1,998,945

10.8%

4

United States Treasury Note/Bond

02/15/2022

1,972,773

10.6%

5

United States Treasury Note/Bond

02/15/2020

1,879,070

10.1%

6

United States Treasury Note/Bond

08/15/2020

1,801,863

9.7%

7

United States Treasury Note/Bond

02/29/2024

1,275,574

6.9%

8

United States Treasury Note/Bond

11/15/2028

1,138,436

6.1%

9

United States Treasury Note/Bond

02/15/2026

971,172

5.2%

10

United States Treasury Note/Bond

08/15/2027

871,207

4.7%

 

Short-Term U.S. Government Bond Fund

 

Security

Maturity

Market
Value

Percentage
of Total
Investment

1

United States Treasury Note/Bond

01/31/2020

$ 1,088,484

16.9%

2

United States Treasury Note/Bond

01/31/2021

992,461

15.4%

3

United States Treasury Note/Bond

07/31/2020

992,402

15.4%

4

United States Treasury Note/Bond

06/30/2019

895,605

13.9%

5

United States Treasury Note/Bond

02/15/2020

890,086

13.8%

6

United States Treasury Note/Bond

07/31/2021

795,438

12.3%

7

United States Treasury Note/Bond

06/30/2022

395,359

6.1%

8

United States Treasury Note/Bond

06/30/2019

299,133

4.6%

9

Ginnie Mae II Pool

11/20/2034

61,589

1.0%

 

 

4

 

 

Top Holdings and Sector Breakdowns (Unaudited) (Continued)

February 28, 2019

 

The United States Treasury Trust

 

Security

Maturity

Market
Value

Percentage
of Total
Investment

1

United States Treasury Bill

04/11/2019

$ 7,180,438

13.6%

2

United States Treasury Bill

04/18/2019

7,176,994

13.6%

3

United States Treasury Bill

03/07/2019

6,297,596

11.9%

4

United States Treasury Bill

04/25/2019

5,579,710

10.5%

5

United States Treasury Bill

05/02/2019

4,979,580

9.4%

6

United States Treasury Bill

03/14/2019

4,895,912

9.2%

7

United States Treasury Bill

05/09/2019

4,678,623

8.8%

8

United States Treasury Bill

03/21/2019

4,094,685

7.7%

9

United States Treasury Bill

04/04/2019

3,592,012

6.8%

 

S&P 500 Index Fund

 

Security

Market
Value

Percentage
of Total
Investment

1

Microsoft Corp

$ 6,727,289

3.7%

2

Apple Inc

6,641,861

3.6%

3

Amazon.com Inc

5,157,265

2.8%

4

Berkshire Hathaway Inc

3,036,208

1.7%

5

Facebook Inc

3,027,833

1.7%

6

Johnson & Johnson

2,863,701

1.6%

7

JPMorgan Chase & Co

2,815,215

1.5%

8

Alphabet - Class C

2,694,528

1.5%

9

Exxon Mobil Corp

2,577,168

1.4%

10

Alphabet - Class A

2,575,293

1.4%

 

S&P MidCap Index Fund

 

Security

Market
Value

Percentage
of Total
Investment

1

IDEX Corp

$ 778,284

0.7%

2

Atmos Energy Corp

767,867

0.7%

3

Zebra Technologies Corp

753,918

0.7%

4

Domino's Pizza Inc

729,734

0.6%

5

Trimble Inc

712,138

0.6%

6

STERIS PLC

688,504

0.6%

7

Old Dominion Freight Line Inc

686,908

0.6%

8

PTC Inc

686,125

0.6%

9

Alleghany Corp

666,750

0.6%

10

The Ultimate Software Group Inc

664,989

0.6%

 

 

5

 

 

Top Holdings and Sector Breakdowns (Unaudited) (Continued)

February 28, 2019

 

S&P SmallCap Index Fund

 

Security

Market
Value

Percentage
of Total
Investment

1

Ingevity Corp

$ 486,574

0.7%

2

Trex Co Inc

442,655

0.6%

3

First Financial Bankshares Inc

440,007

0.6%

4

Spire Inc

400,725

0.5%

5

FirstCash Inc

399,467

0.5%

6

Selective Insurance Group Inc

388,834

0.5%

7

EastGroup Properties Inc

382,489

0.5%

8

Glacier Bancorp Inc

373,303

0.5%

9

Semtech Corp

365,521

0.5%

10

Amedisys Inc

356,865

0.5%

 

Shelton Core Value Fund

 

Security

Market
Value

Percentage
of Total
Investment

1

JPMorgan Chase & Co

$ 7,411,647

4.8%

2

Sprouts Farmers Market Inc

5,363,600

3.5%

3

Ford Motor Co

4,584,079

3.0%

4

Wells Fargo & Co

4,384,782

2.9%

5

Microsoft Corp

4,216,025

2.7%

6

Bank of America Corp

4,071,200

2.7%

7

Chevron Corp

3,506,564

2.3%

8

BP PLC

3,473,288

2.3%

9

Apple Inc

3,463,000

2.3%

10

Exxon Mobil Corp

3,416,941

2.2%

 

Nasdaq-100 Index Fund

 

Security

Market
Value

Percentage
of Total
Investment

1

Amazon.com Inc

$ 51,293,882

8.6%

2

Apple Inc

47,931,556

8.0%

3

Facebook Inc

32,948,393

5.5%

4

Microsoft Corp

31,295,468

5.2%

5

Alphabet - Class C

21,848,519

3.7%

6

Alphabet - Class A

21,637,646

3.6%

7

Intel Corp

21,387,049

3.6%

8

Cisco Systems Inc

21,323,079

3.6%

9

Comcast Corp

15,485,827

2.6%

10

PepsiCo Inc

14,323,980

2.4%

 

 

 

6

 

 

Top Holdings and Sector Breakdowns (Unaudited) (Continued)

February 28, 2019

 

Shelton Green Alpha Fund

 

Security

Market
Value

Percentage
of Total
Investment

1

Vestas Wind Systems A/S

$ 3,194,700

6.5%

2

Canadian Solar Inc

2,927,142

6.0%

3

Pattern Energy Group Inc

2,816,100

5.7%

4

First Solar Inc

2,343,730

4.8%

5

Sunrun Inc

2,171,400

4.4%

6

Applied Materials Inc

1,859,490

3.8%

7

JinkoSolar Holding Co Ltd

1,708,970

3.5%

8

International Business Machines Corp

1,588,495

3.2%

9

Hannon Armstrong Sustainable Infrastructure Capital Inc

1,575,680

3.2%

10

Alphabet - Class C

1,567,888

3.2%

 

 

7

 

 

Green California Tax-Free Income Fund

Portfolio of Investments (Unaudited)

2/28/19

 

Security Description

 

Par Value

   

Rate

   

Maturity

   

Value
(Note 1)

 

Municipal Bonds (97.60%)

 

BUTTE-GLENN COMMUNITY COLLEGE DISTRICT

Lease Revenue Bonds; 2009 Series I-1

  $ 1,000,000       4.000%       08/01/2026     $ 1,079,460  

CALIFORNIA DEPARTMENT OF PUBLIC WORKS BOARD

Lease Revenue Bonds; 2009 Series I-1

    3,000,000       6.125%       11/01/2029       3,092,490  

CALIFORNIA DEPARTMENT OF WATER RESOURCES

Power Supply Revenue Bonds; Series 2010L

    1,000,000       5.000%       05/01/2019       1,005,650  

CALIFORNIA HEALTH FACILITIES FINANCING AUTHORITY

Kaiser Permanente Revenue Bonds, Series 2017A-1

    1,700,000       5.000%       11/01/2027       2,122,756  

Kaiser Permanente Revenue Bonds, Series 2017A-1

    500,000       1.530%       11/15/2045       500,000  

CALIFORNIA INFRASTRUCTURE & ECONOMIC DEVELOPMENT BANK

Clean Water State Revolving Fund Revenue Bonds, Series 2016 (Green Bonds)

    200,000       2.000%       10/01/2019       200,672  

Clean Water State Revolving Fund Revenue Bonds, Series 2016 (Green Bonds)

    1,200,000       5.000%       10/01/2033       1,405,728  

CITY OF LOS ANGELES

General Obligation Refunding Bonds; Series 2012-A

    2,000,000       5.000%       09/01/2021       2,173,740  

EAST BAY MUNICIPAL UTILITY DISTRICT

Water System Revenue Bonds; 2015 Series B

    2,050,000       5.000%       06/01/2026       2,463,403  

EAST SIDE UNION HIGH SCHOOL DISTRICT

General Obligation Refunding Bonds (2012 Crossover); 2006

    2,975,000       5.250%       09/01/2023       3,446,389  

FOOTHILL-DE ANZA COMMUNITY COLLEGE DISTRICT

Election of 1999 General Obligation Bonds; Series C

    2,000,000       0.000%       08/01/2027       1,642,560  

HARBOR DEPARTMENT OF THE CITY OF LOS ANGELES

Revenue Bonds; 2014 Series C

    290,000       4.000%       08/01/2023       321,772  

LOS ANGELES CA WASTEWATER SYSTEM REVENUE

Los Angeles CA Wstwter System Revenue Bond

    500,000       5.000%       06/01/2044       564,325  

LOS ANGELES COMMUNITY COLLEGE DISTRICT

General Obligation Bonds; 2008 Election, Series G

    865,000       5.000%       08/01/2028       1,006,583  

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       1,081,650  

Proposition C Sales Tax Revenue Refunding Bonds; Senior Bonds; Series 2013-A

    1,500,000       5.000%       07/01/2023       1,724,340  

Propositin A First Tier Los Angeles County Met Transport

    500,000       4.000%       07/01/2028       559,855  

LOS ANGELES DEPARTMENT OF WATER AND POWER

Water System Revenue Bonds; 2012 Series A

    1,985,000       5.000%       07/01/2037       2,172,285  

LOS RIOS COMMUNITY COLLEGE DISTRICT

General Obligation Bonds; 2008 Election, Series B

    2,500,000       5.000%       08/01/2032       2,818,675  

METROPOLITAN WATER DISTRICT OF SOUTHERN CALIFORNIA

Water Revenue Bonds; 2008 Authorization, Series C

    1,000,000       5.000%       07/01/2035       1,009,800  

MIDPENINSULA REGIONAL OPEN SPACE DISTRICT

Midpeninsula Regional Open Space District

    200,000       4.000%       09/01/2021       212,648  

MT. DIABLO UNIFIED SCHOOL DISTRICT

General Obligation Refunding Bonds; Election Of 2002, Series B

    500,000       5.000%       07/01/2020       523,875  

MT. SAN ANTONIO COMMUNITY COLLEGE DISTRICT

General Obligation Bonds; Election of 2008, Series 2013A

    2,345,000       5.000%       08/01/2034       2,654,517  

RANCHO SANTIAGO COMMUNITY COLLEGE DISTRICT

General Obligation Refunding Bonds; 2012

    1,380,000       4.000%       09/01/2020       1,433,820  

REGENTS OF THE UNIVERSITY OF CALIFORNIA

General Revenue Bonds; 2014 Series AM

    925,000       5.000%       05/01/2029       1,066,988  

ROSEVILLE FINANCE AUTHORITY ELECTRIC SYSTEM REVENUE

Electric System Revenue Refunding Bonds; Series 2013

    750,000       5.000%       02/01/2025       854,108  

SACRAMENTO MUNICIPAL UTILITY DISTRICT

Electric Revenue Bonds; 1997 Series K

    1,000,000       5.250%       07/01/2024       1,139,360  

SAN DIEGO COMMUNITY COLLEGE DISTRICT

General Obligation Bonds; Election of 2002, Series 2013

    1,175,000       5.000%       08/01/2027       1,341,862  

San Francisco Bay Area Rapid Transit District

San Francisco BART District GO Bonds 2017 Series A-1 (Green Bonds)

    645,000       4.000%       08/01/2034       702,457  

San Francisco BART District GO Bonds 2017 Refunding Series E (Green Bonds)

    2,300,000       5.000%       08/01/2036       2,725,867  

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       1,038,970  

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       521,015  

 

See accompanying notes to financial statements.

 

8

 

 

Green California Tax-Free Income Fund

Portfolio of Investments (Unaudited) (Continued)

2/28/19

 

Security Description

 

Par Value

   

Rate

   

Maturity

   

Value
(Note 1)

 

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     $ 745,521  

San Francisco City & County Public Utilities Commission Wastewater Revenue

    1,000,000       5.000%       11/01/2034       1,184,390  

SAN FRANCISCO, PUBLIC UTILITIES COMMISSION WATER REVENUE

San Francisco City and Green Bond Series A

    680,000       5.000%       11/01/2030       795,573  

City of San Francisco CA Public Utilities Commission Water Revenue

    1,170,000       5.000%       11/01/2036       1,337,544  

SANTA CLARA VALLEY TRANSPORTATION AUTHORITY

2000 Measure A Sales Tax Revenue Refunding Bonds; 2015 Series A

    1,000,000       5.000%       04/01/2034       1,153,900  

SANTA MARIA JOINT UNION HIGH SCHOOL DISTRICT

General Obligation Bonds; Election of 2004, Series 2005

    2,500,000       0.000%       08/01/2029       1,848,125  

SOUTHERN CALIFORNIA PUBLIC POWER AUTHORITY

Windy Point/Windy Flats Project Revenue Bonds; 2010-1

    1,000,000       5.000%       07/01/2023       1,046,470  

Souther California Public Power Authority Windy Pt/Windy Flats Project 1

    1,400,000       5.000%       07/01/2026       1,461,670  

STATE OF CALIFORNIA

Tax-Exempt Various Purpose General Obligation Bonds

    900,000       3.000%       10/01/2028       926,406  

Tax-Exempt Various Purpose General Obligation Bonds

    1,700,000       1.250%       05/01/2034       1,700,000  

SUCCESSOR AGENCY TO THE LA MIRADA REDEVELOPMENT AGENCY

Subordinate Tax Allocation Refunding Bonds; 2014 Series A

    1,000,000       5.000%       08/01/2023       1,145,890  

TRUSTEES OF THE CALIFORNIA STATE UNIVERSITY

Systemwide Revenue Bonds; Series 2012A

    1,100,000       4.000%       11/01/2030       1,163,426  

TUOLUMNE WIND PROJECT AUTHORITY

Tuolumne Wind Project Authority

    1,000,000       5.000%       01/01/2020       1,029,490  

WILLIAM S. HART UNION HIGH SCHOOL DISTRICT

General Obligation Bonds; 2001 Election, Series B

    3,595,000       0.000%       09/01/2029       2,709,694  
                                 

Total Municipal Bonds (Cost $60,340,576)

    62,855,719  
 

Variable Rate Demand Notes (1.58%)

California Health Facilities Financing Authority**

    1,000,000       5.000%*       07/01/2043       1,019,310  
                                 

Total Variable Rate Demand Notes (Cost $1,019,310)

    1,019,310  
         

Total Investments (Cost $61,359,886)(a) (99.18%)

  $ 63,875,029  

Other Net Assets (0.82%)

    525,793  

Net Assets (100.00%)

  $ 64,400,822  

 

(a) Aggregate cost for federal income tax purposes is $61,339,842.

       
         

At February 28, 2019, unrealized appreciation/(depreciation) of securities for federal income tax purposes is as follows:

 

Unrealized appreciation

  $ 2,783,106  

Unrealized depreciation

    (297,918 )

Net unrealized appreciation

    2,535,187  

 

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.

         

* 

Rate Effective as of February 28, 2019

** 

In accordance with the offering documents, daily interest rates are determined by the Remarketing Agents.

     

 

See accompanying notes to financial statements.

 

9

 

 

U.S. Government Securities Fund

Portfolio of Investments (Unaudited)

2/28/19

 

Security Description

 

Par Value

   

Rate

   

Maturity

   

Value
(Note 1)

 

Government National Mortgage Association (5.04%)

    $ 12,427       5.000       07/15/2020     $ 12,671  
      35,353       5.500       01/15/2025       37,705  
      97,143       6.000       01/15/2026       105,007  
      137,520       5.500       04/15/2036       150,877  
      160,285       5.000       03/15/2038       171,710  
      69,811       6.000       06/15/2038       76,737  
      384,086       3.500       11/20/2044       388,265  

Total Government National Mortgage Association (Cost $911,663)

    942,972  
 

United States Treasury Bonds (13.45%)

      800,000       6.000       02/15/2026       971,172  
      400,000       6.375       08/15/2027       511,406  
      500,000       5.000       05/15/2037       652,529  
      400,000       2.750       08/15/2042       379,078  

Total United States Treasury Bonds (Cost $2,565,578)

    2,514,185  
 

United States Treasury Notes (80.87%)

      1,900,000       1.375       02/15/2020       1,879,070  
      1,800,000       2.625       08/15/2020       1,801,863  
      2,000,000       3.625       02/15/2021       2,042,031  
      2,000,000       2.000       02/15/2022       1,972,773  
      2,000,000       2.500       08/15/2023       1,998,946  
      1,300,000       2.125       02/29/2024       1,275,574  
      2,200,000       2.125       05/15/2025       2,141,305  
      900,000       2.250       08/15/2027       871,207  
      1,100,000       3.125       11/15/2028       1,138,436  

Total United States Treasury Notes (Cost $15,338,681)

    15,121,205  
         

Total Investments (Cost $18,815,921)(a) (99.36%)

  $ 18,578,362  

Other Net Assets (0.64%)

    120,001  

Net Assets (100.00%)

  $ 18,698,363  

 

(a) Aggregate cost for federal income tax purposes is $18,815,921.

       
         

At February 28, 2019, unrealized appreciation/(depreciation) of securities for federal income tax purposes is as follows:

 

Unrealized appreciation

  $ 63,079  

Unrealized depreciation

    (300,638 )

Net unrealized depreciation

  $ (237,559 )

 

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)

2/28/19

 

Security Description

 

Par Value

   

Rate

   

Maturity

   

Value
(Note 1)

 

Government National Mortgage Association (1.43%)

    $ 31,265       4.125       06/20/2034     $ 32,014  
      59,220       4.125       11/20/2034       61,589  

Total Government National Mortgage Association (Cost $90,895)

    93,603  
 

United States Treasury Notes (97.13%)

      300,000       1.625       06/30/2019       299,133  
      900,000       1.000       06/30/2019       895,605  
      1,100,000       1.375       01/31/2020       1,088,484  
      900,000       1.375       02/15/2020       890,086  
      1,000,000       2.000       07/31/2020       992,402  
      1,000,000       2.125       01/31/2021       992,461  
      800,000       2.250       07/31/2021       795,438  
      400,000       2.125       06/30/2022       395,359  

Total United States Treasury Notes (Cost $6,370,379)

    6,348,968  
         

Total Investments (Cost $6,461,274)(a) (98.56%)

  $ 6,442,571  

Other Net Assets (1.44%)

    94,091  

Net Assets (100.00%)

  $ 6,536,662  

 

(a) Aggregate cost for federal income tax purposes is $6,461,274.

       
         

At February 28, 2019, unrealized appreciation/(depreciation) of securities for federal income tax purposes is as follows:

 

Unrealized appreciation

  $ 8,414  

Unrealized depreciation

    (27,117 )

Net unrealized depreciation

  $ (18,703 )

 

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)

2/28/19

 

Security Description

 

Par Value

   

Maturity

   

Value
(Note 1)

 

United States Treasury Bills, DN(a) (99.96%)

    $ 6,300,000       03/07/2019     $ 6,297,596  
      4,900,000       03/14/2019       4,895,912  
      4,100,000       03/21/2019       4,094,685  
      3,600,000       04/04/2019       3,592,012  
      7,200,000       04/11/2019       7,180,438  
      7,200,000       04/18/2019       7,176,995  
      5,600,000       04/25/2019       5,579,710  
      5,000,000       05/02/2019       4,979,580  
      4,700,000       05/09/2019       4,678,623  
      2,500,000       05/30/2019       2,485,064  
      2,000,000       07/11/2019       1,982,055  

Total United States Treasury Bills, DN (Cost $52,942,670)

    52,942,670  
         

Total Investments (Cost $52,942,670)(b) (99.96%)

  $ 52,942,670  

Other Net Assets (0.04%)

    21,570  

Net Assets (100.00%)

  $ 52,964,240  

 

(a) Discount Note. Yield to maturity is between 0.00% - 1.59%

 

(b) Aggregate cost for federal income tax purposes is $52,942,670.

 

Because tax adjustments are calculated annually, the above tax figure reflects the tax adjustments outstanding at the Fund's previous fiscal year end. For the previous fiscal year’s federal income tax information, please refer to the Notes to Financial Statements section in the Fund’s most recent semi-annual and annual reports.

 

See accompanying notes to financial statements.

 

11

 

 

S&P 500 Index Fund

Portfolio of Investments (Unaudited)

2/28/19

 

Security Description

 

Shares

   

Value
(Note 1)

 

Common Stock (99.41%)

 

Basic Materials (2.03%)

Air Products & Chemicals Inc

    1,615     $ 292,606  

Albemarle Corp

    868       79,240  

Celanese Corp

    371       37,950  

CF Industries Holdings Inc

    1,795       75,749  

DowDuPont Inc

    17,485       930,726  

Eastman Chemical Co

    1,048       86,659  

FMC Corp

    1,102       98,629  

Freeport-McMoRan Inc

    6,887       88,842  

International Paper Co

    3,175       145,479  

International Flavors & Fragrances Inc

    683       87,083  

Linde PLC

    4,315       747,530  

LyondellBasell Industries NV - Class A

    2,532       216,537  

The Mosaic Co

    2,068       64,666  

Newmont Mining Corp

    3,766       128,496  

Nucor Corp

    2,404       145,610  

PPG Industries Inc

    2,102       235,360  

The Sherwin-Williams Co

    628       272,050  

Total Basic Materials

    3,733,212  
 

Communications (14.41%)

Alphabet Inc - Class A*

    2,286       2,575,293  

Alphabet Inc - Class C*

    2,406       2,694,528  

Amazon.com Inc*,(a)

    3,145       5,157,265  

Arista Networks Inc*

    162       46,211  

AT&T Inc

    56,729       1,765,406  

Booking Holdings Inc*

    361       612,631  

CBS Corp - Class B

    2,752       138,178  

CenturyLink Inc

    4,581       60,423  

Charter Communications Inc*

    1,463       504,603  

Cisco Systems Inc

    37,866       1,960,323  

Comcast Corp - Class A

    36,651       1,417,294  

Discovery Inc - Class A*

    1,878       54,274  

Discovery Inc - Class C*

    1,878       51,176  

DISH Network Corp*

    1,784       57,998  

eBay Inc

    8,321       309,125  

Expedia Group Inc

    689       84,961  

F5 Networks Inc*

    602       101,220  

Facebook Inc*,(a)

    18,754       3,027,834  

The Interpublic Group of Cos Inc

    3,241       74,640  

Juniper Networks Inc

    2,718       73,603  

Motorola Solutions Inc

    1,430       204,662  

Netflix Inc*

    3,319       1,188,534  

News Corp - Class A

    3,745       48,760  

News Corp - Class B

    910       12,112  

Omnicom Group Inc

    1,982       150,037  

Symantec Corp

    5,172       116,318  

TripAdvisor Inc*

    850       45,195  

Twenty-First Century Fox Inc

    3,726       186,896  

Twenty-First Century Fox Inc - Class A

    8,143       410,651  

Twitter Inc*

    5,110       157,286  

VeriSign Inc*

    689       122,670  

Verizon Communications Inc

    31,159       1,773,570  

Viacom Inc - Class B

    2,740       80,063  

The Walt Disney Co

    11,275       1,272,271  

Total Communications

    26,536,011  
 

Consumer, Cyclical (8.78%)

Advance Auto Parts Inc

    548       88,655  

Alaska Air Group Inc

    963       59,417  

American Airlines Group Inc

    4,021     143,268  

Aptiv PLC

    2,173       180,598  

AutoZone Inc*

    275       258,217  

Best Buy Co Inc

    1,956       134,651  

BorgWarner Inc

    1,664       67,575  

Capri Holdings Ltd*

    1,328       60,557  

CarMax Inc*

    1,689       104,887  

Carnival Corp

    3,334       192,572  

Chipotle Mexican Grill Inc*

    234       142,162  

Copart Inc*

    641       37,607  

Costco Wholesale Corp

    3,160       691,218  

Darden Restaurants Inc

    933       104,599  

Delta Air Lines Inc

    5,026       249,189  

Dollar General Corp

    1,932       228,865  

Dollar Tree Inc*

    1,907       183,701  

DR Horton Inc

    2,495       97,031  

Fastenal Co

    2,014       126,761  

Foot Locker Inc

    1,044       62,139  

Ford Motor Co

    27,615       242,184  

The Gap Inc

    2,194       55,728  

General Motors Co

    10,151       400,761  

Genuine Parts Co

    1,170       127,273  

The Goodyear Tire & Rubber Co

    1,847       36,534  

Hanesbrands Inc

    3,007       55,900  

Harley-Davidson Inc

    1,765       65,517  

Hasbro Inc

    950       80,655  

Hilton Worldwide Holdings Inc

    1,615       134,207  

The Home Depot Inc

    9,397       1,739,761  

Kohl’s Corp

    1,587       107,170  

L Brands Inc

    1,787       46,712  

Leggett & Platt Inc

    1,017       46,192  

Lennar Corp

    2,200       105,556  

LKQ Corp*

    2,347       65,012  

Lowe’s Cos Inc

    6,732       707,466  

Macy’s Inc

    2,961       73,403  

Marriott International Inc

    2,467       309,041  

Mattel Inc*

    2,508       36,165  

McDonald’s Corp

    6,382       1,173,267  

MGM Resorts International

    3,988       106,679  

Mohawk Industries Inc*

    459       62,479  

Newell Brands Inc

    3,701       60,067  

NIKE Inc - Class B

    10,668       914,568  

Nordstrom Inc

    1,123       53,095  

Norwegian Cruise Line Holdings Ltd*

    1,599       88,792  

O’Reilly Automotive Inc*

    665       247,353  

PACCAR Inc

    2,601       176,348  

PulteGroup Inc

    2,804       75,708  

PVH Corp

    574       65,918  

Ralph Lauren Corp

    449       56,201  

Ross Stores Inc

    3,322       315,025  

Royal Caribbean Cruises Ltd

    1,236       146,441  

Southwest Airlines Co

    4,671       261,763  

Starbucks Corp

    10,948       769,206  

Tapestry Inc

    2,156       75,331  

Target Corp

    4,818       349,980  

Tiffany & Co

    950       90,288  

The TJX Cos Inc

    10,832       555,573  

Tractor Supply Co

    1,050       100,118  

Ulta Beauty Inc*

    468       146,245  

Under Armour Inc - Class A*

    1,210       27,286  

Under Armour Inc - Class C*

    1,218       24,457  

United Continental Holdings Inc*

    2,214       194,411  

VF Corp

    2,588       226,088  

Walgreens Boots Alliance Inc

    6,346       451,772  

Walmart Inc

    11,851     1,173,130  

Whirlpool Corp

    570       80,661  

WW Grainger Inc

    441       134,404  

Wynn Resorts Ltd

    526       66,560  

Yum! Brands Inc

    2,700       255,150  

Total Consumer, Cyclical

    16,173,270  
 

Consumer, Non-Cyclical (22.25%)

Abbott Laboratories

    13,435       1,042,825  

AbbVie Inc

    12,821       1,015,935  

ABIOMED Inc*

    140       46,830  

Alexion Pharmaceuticals Inc*

    1,383       187,161  

Align Technology Inc*

    600       155,382  

Allergan PLC

    2,617       360,387  

Altria Group Inc

    14,863       778,970  

AmerisourceBergen Corp

    1,565       130,365  

Amgen Inc

    5,284       1,004,383  

Anthem Inc

    2,002       602,061  

Archer-Daniels-Midland Co

    4,902       208,335  

Automatic Data Processing Inc

    3,564       545,399  

Avery Dennison Corp

    891       96,264  

Baxter International Inc

    3,880       289,952  

Becton Dickinson and Co

    1,897       471,955  

Biogen Inc*

    1,739       570,409  

Boston Scientific Corp*

    11,526       462,423  

Bristol-Myers Squibb Co

    12,265       633,610  

Brown-Forman Corp - Class B

    1,728       85,519  

Campbell Soup Co

    1,449       52,193  

Cardinal Health Inc

    2,511       136,448  

Celgene Corp*

    6,007       499,302  

Centene Corp*

    2,584       157,340  

Church & Dwight Co Inc

    1,996       131,337  

Cigna Corp

    3,248       566,581  

Cintas Corp

    801       165,487  

The Clorox Co

    943       149,022  

The Coca-Cola Co

    30,037       1,361,877  

Colgate-Palmolive Co

    6,558       431,975  

Conagra Brands Inc

    2,987       69,806  

Constellation Brands Inc

    1,083       183,200  

The Cooper Cos Inc

    374       106,960  

Coty Inc

    3,684       40,524  

CVS Health Corp

    10,096       583,852  

Danaher Corp

    4,166       529,165  

DaVita Inc*

    1,224       69,646  

DENTSPLY SIRONA Inc

    1,160       48,442  

Ecolab Inc

    1,937       327,179  

Edwards Lifesciences Corp*

    1,716       290,502  

Eli Lilly & Co

    7,419       936,946  

Equifax Inc

    870       95,274  

The Estee Lauder Cos Inc

    1,800       282,492  

FleetCor Technologies Inc*

    699       163,063  

Gartner Inc*

    714       101,602  

General Mills Inc

    4,683       220,710  

Gilead Sciences Inc

    10,033       652,346  

Global Payments Inc

    1,172       152,805  

H&R Block Inc

    1,994       48,155  

HCA Healthcare Inc

    2,209       307,139  

Henry Schein Inc*

    1,256       74,481  

The Hershey Co

    1,114       123,298  

Hologic Inc*

    2,135       100,665  

Hormel Foods Corp

    2,128       92,270  

Humana Inc

    1,191       339,483  

IDEXX Laboratories Inc*

    691       145,822  

IHS Markit Ltd*

    2,494       132,606  

Illumina Inc*

    1,143       357,496  

Incyte Corp*

    1,363       117,531  

 

See accompanying notes to financial statements.

 

12

 

 

S&P 500 Index Fund

Portfolio of Investments (Unaudited) (Continued)

2/28/19

 

Security Description

 

Shares

   

Value
(Note 1)

 

Intuitive Surgical Inc*

    855     $ 468,207  

IQVIA Holdings Inc*

    1,146       160,555  

The JM Smucker Co

    823       87,164  

Johnson & Johnson(a)

    20,958       2,863,700  

Kellogg Co

    1,816       102,168  

Kimberly-Clark Corp

    2,926       341,845  

The Kraft Heinz Co

    4,282       142,120  

The Kroger Co

    8,014       235,051  

Laboratory Corp of America Holdings*

    705       104,509  

Lamb Weston Holdings Inc

    406       28,140  

McCormick & Co Inc

    975       132,581  

McKesson Corp

    1,736       220,750  

Medtronic PLC

    10,936       989,708  

Merck & Co Inc

    21,298       1,731,314  

Molson Coors Brewing Co

    1,200       73,992  

Mondelez International Inc

    11,909       561,628  

Monster Beverage Corp*

    3,387       216,192  

Moody’s Corp

    1,498       259,334  

Mylan NV*

    3,101       81,835  

Nektar Therapeutics*

    1,277       51,770  

Nielsen Holdings PLC

    1,879       49,230  

PayPal Holdings Inc*

    8,321       816,040  

PepsiCo Inc

    11,085       1,281,869  

Perrigo Co PLC

    677       32,970  

Pfizer Inc

    45,992       1,993,753  

Philip Morris International Inc

    11,608       1,009,200  

The Procter & Gamble Co

    20,266       1,997,214  

Quanta Services Inc

    1,601       57,060  

Quest Diagnostics Inc

    1,168       101,090  

Regeneron Pharmaceuticals Inc*

    562       242,076  

ResMed Inc

    1,127       115,439  

Robert Half International Inc

    1,032       70,372  

Rollins Inc

    462       18,323  

S&P Global Inc

    2,019       404,547  

Stryker Corp

    2,155       406,239  

Sysco Corp

    3,758       253,853  

Teleflex Inc

    127       36,810  

Thermo Fisher Scientific Inc

    3,062       794,803  

Total System Services Inc

    1,190       112,336  

Tyson Foods Inc - Class A

    2,328       143,544  

United Rentals Inc*

    724       97,443  

UnitedHealth Group Inc

    7,607       1,842,567  

Universal Health Services Inc

    683       94,821  

Varian Medical Systems Inc*

    875       117,565  

Verisk Analytics Inc

    1,197       151,337  

Vertex Pharmaceuticals Inc*

    1,731       326,726  

WellCare Health Plans Inc*

    156       39,558  

Zimmer Biomet Holdings Inc

    1,338       166,073  

Zoetis Inc

    3,718       350,347  

Total Consumer, Non-Cyclical

    41,008,955  
 

Energy (5.11%)

Anadarko Petroleum Corp

    3,750       163,125  

Apache Corp

    2,792       92,639  

Baker Hughes a GE Co

    3,384       89,270  

Cabot Oil & Gas Corp

    3,164       77,898  

Chevron Corp(a)

    14,364       1,717,646  

Cimarex Energy Co

    657       47,245  

Concho Resources Inc

    1,114       122,540  

ConocoPhillips

    8,936       606,308  

Devon Energy Corp

    2,767       81,654  

Diamondback Energy Inc

    428       44,054  

Encana Corp

    2,639       19,133  

EOG Resources Inc

    3,850       361,900  

Exxon Mobil Corp(a)

    32,610       2,577,167  

Halliburton Co

    6,883     211,239  

Helmerich & Payne Inc

    805       43,631  

Hess Corp

    1,823       105,461  

HollyFrontier Corp

    508       26,010  

Kinder Morgan Inc

    15,052       288,396  

Marathon Oil Corp

    5,187       86,104  

Marathon Petroleum Corp

    5,770       357,798  

National Oilwell Varco Inc

    3,192       89,823  

Noble Energy Inc

    2,616       57,944  

Occidental Petroleum Corp

    5,892       389,756  

ONEOK Inc

    3,307       212,508  

Phillips 66

    3,493       336,585  

Pioneer Natural Resources Co

    1,287       181,403  

Schlumberger Ltd

    11,025       485,762  

TechnipFMC PLC

    3,637       81,069  

Valero Energy Corp

    3,459       282,116  

The Williams Cos Inc

    6,307       168,334  

Total Energy

    9,404,518  
 

Financial (17.84%)

Affiliated Managers Group Inc

    409       44,830  

Aflac Inc

    6,890       338,575  

Alexandria Real Estate Equities Inc

    700       95,123  

Alliance Data Systems Corp

    400       69,200  

The Allstate Corp

    3,124       294,843  

American Express Co

    5,917       637,498  

American International Group Inc

    6,822       294,710  

American Tower Corp

    2,860       503,789  

Ameriprise Financial Inc

    1,369       180,201  

Aon PLC

    2,040       349,921  

Apartment Investment & Management Co

    1,037       50,740  

Arthur J Gallagher & Co

    1,374       110,305  

Assurant Inc

    596       61,382  

AvalonBay Communities Inc

    1,044       203,194  

Bank of America Corp

    74,761       2,174,050  

The Bank of New York Mellon Corp

    8,692       456,156  

BB&T Corp

    5,247       267,440  

Berkshire Hathaway Inc*

    15,083       3,036,207  

BlackRock Inc

    941       417,070  

Boston Properties Inc

    1,078       143,040  

Brighthouse Financial Inc*

    700       27,104  

Capital One Financial Corp

    4,021       336,075  

Cboe Global Markets Inc

    706       67,712  

CBRE Group Inc*

    2,058       102,406  

Chubb Ltd

    3,685       493,422  

Cincinnati Financial Corp

    1,179       102,361  

Citigroup Inc

    20,197       1,292,204  

Citizens Financial Group Inc

    3,885       143,512  

CME Group Inc

    2,250       409,298  

Comerica Inc

    1,331       115,943  

Crown Castle International Corp

    2,760       327,750  

Digital Realty Trust Inc

    1,218       137,780  

Discover Financial Services

    3,035       217,336  

Duke Realty Corp

    2,792       82,559  

E*TRADE Financial Corp

    1,181       57,857  

Equinix Inc

    434       183,799  

Equity Residential

    2,164       159,465  

Essex Property Trust Inc

    463       129,566  

Everest Re Group Ltd

    326       73,712  

Extra Space Storage Inc

    949       91,047  

Federal Realty Investment Trust

    548       73,207  

Fifth Third Bancorp

    5,427       149,677  

First Republic Bank

    454       47,661  

Franklin Resources Inc

    3,105     101,254  

The Goldman Sachs Group Inc

    2,819       554,497  

The Hartford Financial Services Group Inc

    2,922       144,230  

HCP Inc

    3,020       92,925  

Host Hotels & Resorts Inc

    5,173       101,443  

Huntington Bancshares Inc

    5,456       78,621  

Intercontinental Exchange Inc

    4,245       327,502  

Invesco Ltd

    3,410       65,984  

Iron Mountain Inc

    1,369       48,490  

Jefferies Financial Group Inc

    1,447       29,331  

JPMorgan Chase & Co

    26,976       2,815,214  

KeyCorp

    6,704       118,393  

Kimco Realty Corp

    2,994       52,664  

Lincoln National Corp

    2,305       144,109  

Loews Corp

    2,394       114,002  

M&T Bank Corp

    1,180       204,211  

The Macerich Co

    1,011       44,080  

Marsh & McLennan Cos Inc

    4,025       374,406  

Mastercard Inc

    7,325       1,646,440  

MetLife Inc

    7,704       348,144  

Mid-America Apartment Communities Inc

    858       88,872  

Morgan Stanley

    10,374       435,501  

Nasdaq Inc

    1,127       103,199  

Northern Trust Corp

    1,610       150,052  

People’s United Financial Inc

    2,887       51,273  

The PNC Financial Services Group Inc

    3,945       497,149  

Principal Financial Group Inc

    2,041       107,438  

The Progressive Corp

    4,123       300,567  

Prologis Inc

    3,315       232,249  

Prudential Financial Inc

    3,541       339,405  

Public Storage

    1,035       218,892  

Raymond James Financial Inc

    1,004       82,910  

Realty Income Corp

    1,688       116,742  

Regency Centers Corp

    1,109       72,362  

Regions Financial Corp

    9,066       148,682  

SBA Communications Corp*

    918       165,754  

The Charles Schwab Corp

    9,317       428,675  

Simon Property Group Inc

    2,175       394,023  

SL Green Realty Corp

    740       67,133  

State Street Corp

    3,093       222,294  

SunTrust Banks Inc

    3,809       247,090  

SVB Financial Group*

    411       101,583  

Synchrony Financial

    6,040       196,964  

T Rowe Price Group Inc

    1,965       197,345  

Torchmark Corp

    1,176       97,091  

The Travelers Cos Inc

    2,411       320,446  

UDR Inc

    2,033       90,306  

Unum Group

    2,266       84,658  

US Bancorp

    12,265       633,978  

Ventas Inc

    2,081       130,583  

Visa Inc - Class A

    14,101       2,088,640  

Vornado Realty Trust

    1,244       83,734  

Wells Fargo & Co(a)

    35,184       1,755,329  

Welltower Inc

    2,792       207,474  

The Western Union Co

    4,688       83,775  

Weyerhaeuser Co

    5,770       143,615  

Willis Towers Watson PLC

    996       171,332  

Zions Bancorporation

    1,054       53,859  

Total Financial

    32,866,641  
 

Industrial (9.92%)

3M Co

    4,679       970,378  

Agilent Technologies Inc

    2,633       209,166  

 

See accompanying notes to financial statements.

 

13

 

 

S&P 500 Index Fund

Portfolio of Investments (Unaudited) (Continued)

2/28/19

 

Security Description

 

Shares

   

Value
(Note 1)

 

Allegion PLC

    703     $ 63,242  

AMETEK Inc

    1,816       144,517  

Amphenol Corp - Class A

    2,372       222,897  

Arconic Inc

    2,478       45,818  

Ball Corp

    2,268       124,241  

The Boeing Co

    4,367       1,921,305  

CH Robinson Worldwide Inc

    1,280       115,686  

Caterpillar Inc

    4,752       652,640  

Corning Inc

    7,332       255,227  

CSX Corp

    7,645       555,562  

Cummins Inc

    1,302       200,625  

Deere & Co

    2,547       417,810  

Dover Corp

    1,334       120,767  

Eaton Corp PLC

    3,484       277,919  

Emerson Electric Co

    5,336       363,648  

Expeditors International of Washington Inc

    1,549       116,098  

FedEx Corp

    1,881       340,461  

FLIR Systems Inc

    1,158       59,579  

Flowserve Corp

    1,128       50,094  

Fluor Corp

    1,298       48,805  

Fortive Corp

    964       78,633  

Fortune Brands Home & Security Inc

    1,197       56,403  

Garmin Ltd

    806       67,680  

General Dynamics Corp

    2,204       375,165  

General Electric Co

    68,083       707,382  

Harris Corp

    833       137,387  

Honeywell International Inc

    5,633       867,876  

JB Hunt Transport Services Inc

    690       74,292  

Huntington Ingalls Industries Inc

    358       74,969  

Illinois Tool Works Inc

    2,619       377,346  

Ingersoll-Rand PLC

    2,109       222,626  

Jacobs Engineering Group Inc

    962       70,977  

Johnson Controls International plc

    7,221       254,685  

Kansas City Southern

    811       88,107  

Keysight Technologies Inc*

    520       43,893  

L3 Technologies Inc

    719       152,248  

Lockheed Martin Corp

    1,981       612,941  

Martin Marietta Materials Inc

    463       86,951  

Masco Corp

    2,627       98,670  

Mettler-Toledo International Inc*

    202       137,544  

Norfolk Southern Corp

    2,398       429,961  

Northrop Grumman Corp

    1,488       431,460  

Packaging Corp of America

    752       71,884  

Parker-Hannifin Corp

    1,096       193,071  

Pentair PLC

    1,542       65,597  

PerkinElmer Inc

    1,021       96,137  

Raytheon Co

    2,443       455,620  

Republic Services Inc

    2,203       172,781  

Rockwell Automation Inc

    1,085       193,738  

Roper Technologies Inc

    694       224,613  

Sealed Air Corp

    1,582       69,007  

AO Smith Corp

    1,152       59,823  

Snap-on Inc

    424       67,840  

Stanley Black & Decker Inc

    1,237       163,816  

TE Connectivity Ltd

    3,236       265,643  

Textron Inc

    2,069       112,347  

TransDigm Group Inc*

    370       160,613  

Union Pacific Corp

    6,161       1,033,200  

United Parcel Service Inc

    5,289       582,848  

United Technologies Corp

    6,201       779,280  

Vulcan Materials Co

    956       106,556  

Wabtec Corp

    366       26,789  

Waste Management Inc

    3,352       339,390  

Waters Corp*

    682     165,194  

Westrock Co

    996       37,230  

Xylem Inc

    1,498       113,174  

Total Industrial

    18,279,872  
 

Technology (16.24%)

Accenture PLC - Class A

    4,670       753,645  

Activision Blizzard Inc

    5,269       222,036  

Adobe Inc*

    3,587       941,588  

Advanced Micro Devices Inc*

    5,848       137,603  

Akamai Technologies Inc*

    1,400       97,524  

Analog Devices Inc

    2,620       280,235  

ANSYS Inc*

    680       120,537  

Apple Inc(a)

    38,359       6,641,860  

Applied Materials Inc

    9,105       349,086  

Autodesk Inc*

    1,669       272,064  

Broadcom Inc

    3,102       854,167  

Broadridge Financial Solutions Inc

    364       36,855  

Cadence Design Systems Inc*

    2,246       128,584  

Cerner Corp*

    2,120       118,614  

Citrix Systems Inc

    1,348       142,214  

Cognizant Technology Solutions Corp

    4,408       312,880  

Covetrus Inc*

    502       17,962  

DXC Technology Co

    2,234       147,131  

Electronic Arts Inc*

    2,629       251,806  

Fidelity National Information Services Inc

    2,517       272,214  

Fiserv Inc*

    3,330       282,018  

Fortinet Inc*

    450       39,056  

Hewlett Packard Enterprise Co

    14,359       235,200  

HP Inc

    14,359       283,303  

Intel Corp

    36,299       1,922,394  

International Business Machines Corp

    6,898       952,821  

Intuit Inc

    2,031       501,921  

IPG Photonics Corp*

    299       46,354  

Jack Henry & Associates Inc

    214       28,383  

KLA-Tencor Corp

    1,217       140,551  

Lam Research Corp

    1,341       236,137  

Maxim Integrated Products Inc

    768       41,802  

Microchip Technology Inc

    1,401       121,705  

Micron Technology Inc*

    9,109       372,376  

Microsoft Corp

    60,049       6,727,288  

MSCI Inc

    713       131,705  

NetApp Inc

    2,586       168,607  

NVIDIA Corp

    4,645       716,538  

Oracle Corp

    23,171       1,207,903  

Paychex Inc

    2,454       189,007  

Qorvo Inc*

    1,120       78,557  

QUALCOMM Inc

    11,465       612,116  

Red Hat Inc*

    1,433       261,666  

salesforce.com Inc*

    4,924       805,813  

Seagate Technology PLC

    2,601       121,103  

Skyworks Solutions Inc

    1,431       116,855  

Synopsys Inc*

    1,189       120,898  

Take-Two Interactive Software Inc*

    902       78,709  

Texas Instruments Inc

    7,795       824,555  

Western Digital Corp

    2,052       103,216  

Xerox Corp

    2,577       79,629  

Xilinx Inc

    2,112       264,634  

Total Technology

    29,911,425  
 

Utilities (2.83%)

AES Corp

    4,674       80,533  

Alliant Energy Corp

    1,758     80,639  

Ameren Corp

    1,808       128,802  

American Electric Power Co Inc

    3,645       295,792  

American Water Works Co Inc

    1,374       139,626  

CenterPoint Energy Inc

    2,979       89,788  

CMS Energy Corp

    2,062       112,173  

Consolidated Edison Inc

    2,227       183,616  

Dominion Energy Inc

    4,816       356,817  

DTE Energy Co

    1,258       155,438  

Duke Energy Corp

    5,180       464,439  

Edison International

    2,433       145,712  

Entergy Corp

    1,304       121,702  

Evergy Inc

    852       47,635  

Eversource Energy

    2,274       158,748  

Exelon Corp

    6,183       300,432  

FirstEnergy Corp

    3,123       127,263  

NextEra Energy Inc

    3,624       680,297  

NiSource Inc

    2,050       55,309  

NRG Energy Inc

    1,956       81,526  

Pinnacle West Capital Corp

    806       75,555  

PPL Corp

    4,208       135,371  

Public Service Enterprise Group Inc

    3,861       227,065  

Sempra Energy

    1,653       199,087  

The Southern Co

    7,566       375,955  

WEC Energy Group Inc

    2,388       182,157  

Xcel Energy Inc

    3,728       204,518  

Total Utilities

    5,205,995  
         

Total Common Stock (Cost $68,526,953)

    183,119,899  
         

Total Investments (Cost $68,526,953)(b) (99.41%)

  $ 183,119,899  

Other Net Assets (0.59%)

    1,083,811  

Net Assets (100.00%)

  $ 184,203,710  

 

Long Futures contracts at February 28, 2019:

 

S&P 500 E-MINI

 

Notional Amount

   

Value

   

Unrealized Appreciation

 

7 Contracts, expiring March 2019

  $ 960,331     $ 974,645     $ 14,314  

 

* 

Non-income producing security.

 

(a)

A portion of these shares have been pledged in connection with obligations for futures contracts.

 

(b)

Aggregate cost for federal income tax purpose is $68,579,499.

 

At February 28, 2019, unrealized appreciation/(depreciation) of securities for federal income tax purposes is as follows:

Unrealized appreciation

  $ 117,429,134  

Unrealized depreciation

    (2,888,734 )

Net unrealized appreciation

  $ 114,540,400  

 

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.

 

14

 

 

S&P MidCap Index Fund

Portfolio of Investments (Unaudited)

2/28/19

 

Security Description

 

Shares

   

Value
(Note 1)

 

Common Stock (98.95%)

 

Basic Materials (5.21%)

Allegheny Technologies Inc*

    8,230     $ 235,625  

Ashland Global Holdings Inc

    4,350       336,603  

Cabot Corp

    4,329       202,944  

Carpenter Technology Corp

    3,473       163,023  

The Chemours Co

    11,626       442,137  

Commercial Metals Co

    8,847       146,418  

Compass Minerals International Inc

    2,545       133,307  

Domtar Corp

    4,751       241,873  

Minerals Technologies Inc

    2,659       157,413  

NewMarket Corp

    620       272,180  

Olin Corp

    11,754       303,958  

PolyOne Corp

    5,712       186,325  

Reliance Steel & Aluminum Co

    5,155       460,084  

Royal Gold Inc

    4,689       414,554  

RPM International Inc

    9,440       546,293  

Sensient Technologies Corp

    3,071       198,694  

Steel Dynamics Inc

    16,752       625,185  

United States Steel Corp(a)

    11,778       263,945  

Valvoline Inc

    12,831       241,094  

Versum Materials Inc

    8,135       398,615  

Total Basic Materials

    5,970,270  
 

Communications (3.36%)

AMC Networks Inc*

    3,561       233,993  

ARRIS International PLC*

    11,774       373,000  

Cable One Inc

    349       331,198  

Cars.com Inc*

    5,567       131,047  

Ciena Corp*

    10,088       430,354  

InterDigital Inc

    2,605       181,647  

John Wiley & Sons Inc

    3,389       175,855  

LogMeIn Inc

    3,724       295,835  

Meredith Corp

    2,763       158,237  

Plantronics Inc

    2,393       120,224  

TEGNA Inc

    16,531       217,713  

Telephone & Data Systems Inc

    7,088       227,170  

The New York Times Co

    9,283       304,947  

ViaSat Inc*

    3,110       234,961  

World Wrestling Entertainment Inc

    2,835       237,290  

Yelp Inc*

    5,168       192,560  

Total Communications

    3,846,031  
 

Consumer, Cyclical (13.44%)

Adient PLC

    6,606       128,421  

American Eagle Outfitters Inc

    12,812       261,365  

AutoNation Inc*

    4,193       147,845  

Bed Bath & Beyond Inc

    8,029       134,325  

Big Lots Inc

    3,014       95,031  

Boyd Gaming Corp

    5,823       173,292  

Brinker International Inc

    2,681       122,709  

Brunswick Corp

    6,199       326,935  

Carter’s Inc

    3,345       325,937  

Casey’s General Stores Inc

    2,703       364,202  

The Cheesecake Factory Inc

    3,305       156,327  

Churchill Downs Inc

    2,520       236,376  

Cinemark Holdings Inc

    7,911       297,691  

Cracker Barrel Old Country Store Inc

    1,806       292,554  

Dana Inc

    9,921       195,940  

Deckers Outdoor Corp*

    2,088       308,920  

Delphi Technologies PLC

    6,288       137,141  

Dick’s Sporting Goods Inc

    5,846       228,345  

Dillard’s Inc - Class A

    1,485     116,632  

Domino’s Pizza Inc

    2,908       729,734  

Dunkin’ Brands Group Inc

    5,819       415,768  

Eldorado Resorts Inc*

    4,262       205,471  

Five Below Inc*

    3,925       472,374  

Herman Miller Inc

    4,423       162,236  

HNI Corp

    3,420       132,115  

International Speedway Corp - Class A

    1,729       74,779  

Jack in the Box Inc

    2,080       167,523  

JetBlue Airways Corp*

    22,669       378,572  

KB Home

    6,210       141,650  

Live Nation Entertainment Inc*

    9,472       535,736  

Marriott Vacations Worldwide Corp

    2,923       284,525  

The Michaels Cos Inc*

    8,103       114,576  

MSC Industrial Direct Co Inc

    3,322       280,410  

Nu Skin Enterprises Inc

    3,686       221,565  

NVR Inc*

    245       641,900  

Ollie’s Bargain Outlet Holdings Inc*

    3,572       315,122  

Papa John’s International Inc

    1,995       87,201  

Penn National Gaming Inc*

    6,066       150,740  

Polaris Industries Inc

    4,112       350,466  

Pool Corp

    2,978       475,110  

Sally Beauty Holdings Inc*

    8,063       145,698  

Scientific Games Corp*

    3,739       108,655  

The Scotts Miracle-Gro Co

    2,890       236,691  

Signet Jewelers Ltd

    3,605       101,337  

Six Flags Entertainment Corp

    4,962       276,433  

Skechers U.S.A. Inc - Class A*

    9,659       324,832  

Tempur Sealy International Inc*

    3,255       189,474  

Texas Roadhouse Inc

    4,276       270,714  

Thor Industries Inc

    3,464       223,670  

Toll Brothers Inc

    9,416       335,210  

The Toro Co

    7,736       530,534  

TRI Pointe Group Inc*

    11,036       139,054  

Tupperware Brands Corp

    3,537       106,499  

Urban Outfitters Inc*

    5,663       174,704  

Visteon Corp*

    2,116       181,257  

Watsco Inc

    1,930       277,708  

The Wendy’s Co

    12,842       222,552  

Williams-Sonoma Inc

    5,494       319,531  

World Fuel Services Corp

    5,338       147,809  

Wyndham Destinations Inc

    7,147       321,829  

Wyndham Hotels & Resorts Inc

    7,142       375,455  

Total Consumer, Cyclical

    15,397,207  
 

Consumer, Non-Cyclical (15.58%)

Aaron’s Inc

    4,816       261,461  

Acadia Healthcare Co Inc*

    5,855       153,928  

Adtalem Global Education Inc*

    4,267       205,669  

ASGN Inc*

    3,736       240,636  

Avanos Medical Inc*

    3,497       164,639  

Avis Budget Group Inc*

    5,065       181,428  

Bio-Rad Laboratories Inc*

    1,429       387,116  

Bio-Techne Corp

    2,648       513,446  

The Boston Beer Co Inc*

    612       191,287  

The Brink’s Co

    3,568       281,587  

Cantel Medical Corp

    2,540       186,741  

Catalent Inc*

    9,318       402,724  

Charles River Laboratories International Inc*

    3,442       489,349  

Chemed Corp

    1,141       375,960  

CoreLogic Inc*

    5,823       213,529  

Deluxe Corp

    3,624       168,625  

Edgewell Personal Care Co*

    3,960       175,666  

Encompass Health Corp

    6,827     431,057  

Exelixis Inc*

    12,500       279,875  

Flowers Foods Inc

    13,838       283,264  

Globus Medical Inc*

    5,432       264,484  

Graham Holdings Co

    327       223,573  

Green Dot Corp*

    3,207       207,012  

Haemonetics Corp*

    3,739       324,807  

The Hain Celestial Group Inc*

    6,209       122,131  

Healthcare Services Group Inc

    5,305       202,545  

HealthEquity Inc*

    3,845       309,446  

Helen of Troy Ltd*

    1,916       214,803  

Hill-Rom Holdings Inc

    4,543       481,784  

ICU Medical Inc*

    1,078       264,929  

Ingredion Inc

    5,080       469,646  

Inogen Inc*

    1,242       133,465  

Integra LifeSciences Holdings Corp*

    5,052       278,315  

Lancaster Colony Corp

    1,475       231,236  

Ligand Pharmaceuticals Inc*

    1,437       178,303  

LivaNova PLC*

    2,983       278,016  

LiveRamp Holdings Inc*

    4,622       248,433  

Mallinckrodt PLC*

    5,485       136,906  

ManpowerGroup Inc

    4,685       394,711  

MarketAxess Holdings Inc (a)

    2,724       664,328  

Masimo Corp*

    2,951       387,407  

MEDNAX Inc*

    6,702       220,563  

Molina Healthcare Inc*

    4,408       593,449  

NuVasive Inc*

    2,872       169,161  

Patterson Cos Inc

    5,856       132,053  

Post Holdings Inc*,(a)

    4,823       491,367  

PRA Health Sciences Inc*

    3,625       387,803  

Prestige Consumer Healthcare Inc*

    3,633       106,302  

Sabre Corp

    14,745       330,730  

Sanderson Farms Inc

    1,414       162,893  

Service Corp International

    12,527       517,866  

Sotheby’s*

    2,635       115,597  

Sprouts Farmers Market Inc*

    8,749       204,027  

STERIS PLC

    5,692       688,503  

Syneos Health Inc*

    4,220       176,269  

Tenet Healthcare Corp*

    5,708       163,135  

Tootsie Roll Industries Inc

    1,384       51,471  

TreeHouse Foods Inc*

    4,336       262,675  

United Therapeutics Corp*,(a)

    2,770       349,823  

Weight Watchers International Inc*

    2,743       55,491  

West Pharmaceutical Services Inc

    5,249       549,833  

WEX Inc*,(a)

    2,900       516,374  

Total Consumer, Non-Cyclical

    17,849,652  
 

Energy (3.77%)

Apergy Corp*

    5,543       232,695  

Callon Petroleum Co*

    14,269       109,158  

Chesapeake Energy Corp*

    66,369       196,452  

CNX Resources Corp*

    13,127       139,146  

Core Laboratories NV

    2,429       157,423  

Diamond Offshore Drilling Inc*

    4,925       47,034  

Ensco PLC - Class A

    30,826       126,387  

EQT Corp

    18,461       334,513  

First Solar Inc*,(a)

    5,241       275,415  

Matador Resources Co*

    7,147       132,934  

McDermott International Inc*

    12,878       109,205  

Murphy Oil Corp

    8,937       258,279  

Murphy USA Inc*

    2,287       177,860  

NOW Inc*

    7,894       113,910  

Oasis Petroleum Inc*

    19,091       106,719  

 

See accompanying notes to financial statements.

 

15

 

 

S&P MidCap Index Fund

Portfolio of Investments (Unaudited) (Continued)

2/28/19

 

Security Description

 

Shares

   

Value
(Note 1)

 

Oceaneering International Inc*

    7,433     $ 114,840  

Patterson-UTI Energy Inc

    12,375       164,093  

PBF Energy Inc - Class A

    7,881       244,863  

QEP Resources Inc*

    17,033       132,176  

Range Resources Corp

    16,245       173,822  

Rowan Cos Plc*

    8,032       90,842  

SM Energy Co

    7,260       118,628  

Southwestern Energy Co*

    35,965       152,132  

Transocean Ltd*

    31,902       260,639  

WPX Energy Inc*

    28,128       347,100  

Total Energy

    4,316,265  
 

Financial (25.53%)

Banks (7.73%)

Associated Banc-Corp

    11,169       260,014  

BancorpSouth Bank

    5,929       193,226  

Bank of Hawaii Corp

    3,004       247,019  

Bank OZK

    8,585       281,588  

Cathay General Bancorp

    5,662       219,912  

Chemical Financial Corp

    5,278       241,891  

Commerce Bancshares Inc(a)

    7,255       456,557  

Cullen

    4,063       421,252  

East West Bancorp Inc

    10,219       558,059  

First Horizon National Corp

    23,590       368,712  

FNB Corp

    22,852       279,708  

Fulton Financial Corp

    13,099       225,041  

Hancock Whitney Corp

    5,983       261,337  

Home BancShares Inc

    9,497       185,002  

International Bancshares Corp

    3,830       156,341  

MB Financial Inc

    5,441       246,314  

PacWest Bancorp(a)

    9,275       380,461  

Pinnacle Financial Partners Inc

    5,215       306,068  

Prosperity Bancshares Inc

    4,912       365,698  

Signature Bank

    3,795       515,209  

Synovus Financial Corp

    8,453       335,415  

TCF Financial Corp

    12,743       291,815  

Texas Capital Bancshares Inc*

    3,508       214,093  

Trustmark Corp

    5,160       183,077  

UMB Financial Corp

    3,300       227,073  

Umpqua Holdings Corp

    15,568       283,026  

United Bankshares Inc

    7,422       284,931  

Valley National Bancorp

    18,619       196,617  

Webster Financial Corp

    6,509       373,747  

Wintrust Financial Corp

    4,053       298,585  
      8,857,788  

Diversified Financial Service (2.70%)

Eaton Vance Corp(a)

    8,639       361,542  

Evercore Inc

    2,936       270,406  

Federated Investors Inc

    7,087       210,838  

Interactive Brokers Group Inc

    5,053       279,077  

Janus Henderson Group PLC

    12,689       310,881  

Legg Mason Inc

    6,044       176,787  

LendingTree Inc*

    548       174,785  

Navient Corp

    18,952       231,593  

SEI Investments Co

    9,240       487,410  

SLM Corp

    30,078       332,362  

Stifel Financial Corp

    4,809       261,754  
      3,097,435  

Insurance (4.80%)

Alleghany Corp*

    1,037       666,750  

American Financial Group Inc

    4,859       484,248  

Brown & Brown Inc

    16,360       484,583  

CNO Financial Group Inc

    11,860       201,976  

First American Financial Corp

    7,827       397,533  

Genworth Financial Inc*

    37,014       143,244  

The Hanover Insurance Group Inc

    3,007     356,961  

Kemper Corp

    3,706       307,969  

Mercury General Corp

    1,883       99,743  

Old Republic International Corp

    17,345       361,817  

Primerica Inc

    3,128       391,125  

Reinsurance Group of America Inc

    4,238       612,348  

RenaissanceRe Holdings Ltd

    2,830       416,152  

WR Berkley Corp

    6,802       569,055  
      5,493,504  

Real Estate (9.48%)

Alexander & Baldwin Inc

    4,965       113,847  

American Campus Communities Inc

    9,815       442,264  

Camden Property Trust(a)

    6,565       643,961  

CoreCivic Inc

    8,980       190,196  

CoreSite Realty Corp

    2,417       247,138  

Corporate Office Properties Trust

    7,042       183,022  

Cousins Properties Inc

    25,361       241,437  

CyrusOne Inc

    6,021       300,087  

Douglas Emmett Inc

    10,862       419,273  

EPR Properties

    4,422       324,929  

First Industrial Realty Trust Inc

    8,145       273,020  

The GEO Group Inc

    9,203       209,092  

Healthcare Realty Trust Inc

    7,860       248,769  

Highwoods Properties Inc

    7,529       348,668  

Hospitality Properties Trust

    11,619       314,526  

JBG SMITH Properties

    4,776       192,425  

Jones Lang LaSalle Inc

    3,207       529,540  

Kilroy Realty Corp

    6,874       506,683  

Lamar Advertising Co(a)

    6,070       470,850  

Liberty Property Trust

    10,422       493,273  

Life Storage Inc

    3,290       321,104  

Mack-Cali Realty Corp

    6,694       140,641  

Medical Properties Trust Inc

    25,745       469,331  

National Retail Properties Inc(a)

    10,988       572,475  

Omega Healthcare Investors Inc

    14,003       502,707  

Pebblebrook Hotel Trust

    9,312       298,077  

PotlatchDeltic Corp

    3,261       117,363  

Rayonier Inc

    9,442       278,256  

Realogy Holdings Corp

    8,805       119,748  

Sabra Health Care REIT Inc

    12,956       234,763  

Senior Housing Properties Trust

    16,800       217,560  

Tanger Factory Outlet Centers Inc

    6,683       144,286  

Taubman Centers Inc

    4,514       240,957  

Uniti Group Inc

    9,408       90,693  

Urban Edge Properties

    7,463       144,931  

Weingarten Realty Investors

    8,880       255,833  
      10,841,725  

Savings&Loans (0.82%)

New York Community Bancorp Inc

    34,575       432,533  

Sterling Bancorp

    15,886       322,962  

Washington Federal Inc

    6,164       189,112  
      944,607  
         

Total Financial

    29,235,059  
 

Industrial (19.03%)

Acuity Brands Inc

    2,936       382,032  

AECOM*

    11,143       344,987  

AGCO Corp

    4,662       315,058  

AptarGroup Inc

    4,404       448,019  

Arrow Electronics Inc*

    6,219       495,654  

Avnet Inc

    8,549       371,796  

Belden Inc

    3,213     198,531  

Bemis Co Inc

    6,419       339,565  

Carlisle Cos Inc

    4,382       539,337  

Clean Harbors Inc*

    3,961       269,348  

Cognex Corp

    12,243       653,776  

Coherent Inc*

    1,741       231,692  

Crane Co

    3,718       314,431  

Curtiss-Wright Corp(a)

    3,144       387,624  

Donaldson Co Inc

    9,184       473,803  

Dycom Industries Inc*

    2,187       98,590  

Eagle Materials Inc

    3,522       269,222  

EMCOR Group Inc

    4,158       299,917  

Energizer Holdings Inc

    4,614       211,690  

EnerSys

    2,978       219,836  

Esterline Technologies Corp*

    1,865       227,064  

GATX Corp

    2,707       215,207  

Genesee & Wyoming Inc*

    4,360       357,520  

Gentex Corp

    18,678       379,911  

Graco Inc

    11,905       559,059  

Granite Construction Inc

    2,975       138,516  

Greif Inc - Class A

    1,958       78,712  

Hubbell Inc(a)

    3,895       459,805  

IDEX Corp

    5,401       778,284  

ITT Inc

    6,221       359,325  

Jabil Inc

    10,646       302,346  

KBR Inc

    10,499       207,460  

Kennametal Inc

    5,634       212,345  

Kirby Corp*

    3,748       278,177  

Knight-Swift Transportation Holdings Inc

    9,041       304,049  

Landstar System Inc

    2,964       322,128  

Lennox International Inc

    2,516       617,049  

Lincoln Electric Holdings Inc

    4,369       377,569  

Littelfuse Inc

    1,717       331,536  

Louisiana-Pacific Corp

    10,742       271,450  

MasTec Inc*

    4,309       186,063  

MDU Resources Group Inc

    13,807       364,781  

MSA Safety Inc

    2,387       246,792  

National Instruments Corp

    7,974       372,705  

Nordson Corp

    3,589       487,243  

nVent Electric PLC

    11,628       319,537  

Old Dominion Freight Line Inc

    4,556       686,907  

Oshkosh Corp

    5,314       413,482  

Owens-Illinois Inc

    12,413       247,267  

Regal Beloit Corp

    3,089       258,735  

Resideo Technologies Inc*

    8,815       226,546  

Ryder System Inc

    3,743       232,665  

Silgan Holdings Inc

    5,828       164,991  

Sonoco Products Co

    7,027       406,793  

SYNNEX Corp

    2,962       290,631  

Tech Data Corp*

    2,618       267,612  

Teledyne Technologies Inc*

    2,505       591,280  

Terex Corp

    4,504       151,289  

The Timken Co

    4,828       209,487  

Trimble Inc*

    17,799       712,137  

Trinity Industries Inc

    10,731       251,213  

Valmont Industries Inc

    1,704       232,749  

Vishay Intertechnology Inc

    10,173       222,992  

Werner Enterprises Inc

    3,170       109,460  

Woodward Inc

    3,838       369,753  

Worthington Industries Inc

    3,368       132,396  

Total Industrial

    21,797,926  
 

Technology (8.84%)

ACI Worldwide Inc*

    8,804       280,583  

 

See accompanying notes to financial statements.

 

16

 

 

S&P MidCap Index Fund

Portfolio of Investments (Unaudited) (Continued)

2/28/19

 

Security Description

 

Shares

   

Value
(Note 1)

 

Allscripts Healthcare Solutions Inc*

    13,284     $ 142,404  

Blackbaud Inc

    2,675       206,617  

CDK Global Inc

    9,286       538,681  

Cirrus Logic Inc*

    4,718       189,333  

CommVault Systems Inc*

    2,668       179,797  

Cree Inc*

    6,918       376,408  

Cypress Semiconductor Corp(a)

    24,346       375,659  

Fair Isaac Corp*

    1,774       439,633  

Integrated Device Technology Inc*

    9,391       453,867  

j2 Global Inc

    3,256       276,793  

Lumentum Holdings Inc*

    4,462       221,985  

Manhattan Associates Inc*

    5,102       279,335  

MAXIMUS Inc

    4,622       326,683  

Medidata Solutions Inc*

    4,277       320,861  

MKS Instruments Inc

    3,838       318,055  

Monolithic Power Systems Inc

    2,786       373,630  

NCR Corp*

    8,611       241,280  

NetScout Systems Inc*

    5,034       137,781  

Perspecta Inc

    10,216       215,558  

Pitney Bowes Inc

    14,120       101,523  

PTC Inc*

    7,392       686,124  

Science Applications International Corp

    3,057       228,358  

Silicon Laboratories Inc*

    3,009       243,789  

Synaptics Inc*

    2,575       107,815  

Teradata Corp*

    8,554       413,757  

Teradyne Inc

    12,949       528,708  

Tyler Technologies Inc*

    2,470     505,831  

The Ultimate Software Group Inc*

    2,006       664,989  

Zebra Technologies Corp*

    3,760       753,918  

Total Technology

    10,129,755  
 

Utilities (4.18%)

ALLETE Inc

    3,628       294,049  

Aqua America Inc

    12,562       451,478  

Atmos Energy Corp

    7,768       767,867  

Black Hills Corp

    3,781       268,375  

Hawaiian Electric Industries Inc

    8,128       311,140  

IDACORP Inc

    3,500       344,435  

National Fuel Gas Co

    6,006       361,501  

New Jersey Resources Corp

    5,790       280,236  

NorthWestern Corp

    3,640       249,486  

OGE Energy Corp

    14,118       600,297  

ONE Gas Inc

    3,898       336,982  

PNM Resources Inc

    5,973       260,901  

Southwest Gas Holdings Inc

    3,218       263,683  

Total Utilities

    4,790,430  
         

Total Common Stock (Cost $78,869,768)

    113,332,595  
         

Total Investments (Cost $78,869,768)(a) (98.95%)

  $ 113,332,595  

Other Net Assets (1.05%)

    1,200,963  

Net Assets (100.00%)

  $ 114,533,558  

 

Long Futures contracts at February 28, 2019:

 

S&P MidCap E-MINI

 

Notional Amount

   

Value

   

Unrealized Appreciation

 

6 Contracts, expiring March 2019

  $ 1,116,107     $ 1,146,480     $ 30,373  

 

* 

Non-income producing security.

   

(a)

A portion of these shares have been pledged in connection with obligations for futures contracts.

   

(b)

Aggregate cost for federal income tax purpose is $79,151,339.

 

At February 28, 2019, unrealized appreciation/(depreciation) of securities for federal income tax purposes is as follows:

 

Unrealized appreciation

  $ 40,588,628  

Unrealized depreciation

    (6,407,372 )

Net unrealized appreciation

  $ 34,181,256  

 

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.

 

S&P SmallCap Index Fund

Portfolio of Investments (Unaudited)

2/28/19

 

Security Description

 

Shares

   

Value
(Note 1)

 

Common Stock (98.60%)

 

Basic Materials (4.40%)

A Schulman Inc - CVR

    1     $ 2,518  

AdvanSix Inc*

    3,060       100,215  

AK Steel Holding Corp*

    31,639       95,550  

American Vanguard Corp

    2,434       45,711  

Balchem Corp

    3,221       285,799  

Century Aluminum Co*

    4,940       42,632  

Clearwater Paper Corp*

    1,635       46,761  

PH Glatfelter Co

    4,384       58,965  

HB Fuller Co

    5,072       256,035  

Hawkins Inc

    889       36,645  

Ingevity Corp*,(a)

    4,223       486,573  

Innophos Holdings Inc

    1,960       65,072  

Innospec Inc

    2,391       195,727  

Kaiser Aluminum Corp

    1,681       184,036  

Koppers Holdings Inc*

    2,119       52,106  

Kraton Corp*

    3,201       113,892  

Materion Corp

    2,026       117,062  

Mercer International Inc

    4,141       59,299  

Neenah Inc

    1,669       112,791  

Quaker Chemical Corp

    1,336       279,211  

Rayonier Advanced Materials Inc

    4,999       70,436  

Rogers Corp*

    1,842       285,970  

Schweitzer-Mauduit International Inc

    3,051       117,647  

Stepan Co

    1,999       188,106  

Total Basic Materials

    3,298,759  
 

Communications (3.81%)

8x8 Inc*

    9,332     183,560  

ADTRAN Inc

    4,820       72,396  

ATN International Inc

    1,090       61,182  

CalAmp Corp*

    3,588       49,873  

Cincinnati Bell Inc*

    4,841       46,958  

Cogent Communications Holdings Inc

    4,180       203,608  

Consolidated Communications Holdings Inc

    7,218       71,675  

Digi International Inc*

    2,432       32,102  

ePlus Inc*

    1,374       122,891  

The EW Scripps Co

    5,565       117,700  

Extreme Networks Inc*

    11,197       92,039  

Finisar Corp*

    11,402       279,235  

Frontier Communications Corp*

    10,665       32,528  

Gannett Co Inc

    11,003       129,175  

Harmonic Inc*

    8,550       47,196  

HealthStream Inc*

    2,593       72,085  

Iridium Communications Inc*

    9,712       206,768  

Liquidity Services Inc*

    2,609       18,002  

NETGEAR Inc*

    3,121       111,888  

New Media Investment Group Inc

    5,837       77,749  

NIC Inc

    6,674       114,059  

Perficient Inc*

    3,355       95,987  

QuinStreet Inc*

    3,564       47,722  

Scholastic Corp

    2,754       116,522  

Shutterfly Inc*

    3,327       149,083  

Shutterstock Inc

    1,885       87,332  

Spok Holdings Inc

    1,924     26,570  

Stamps.com Inc*

    1,672       157,151  

TechTarget Inc*

    2,200       36,476  

Total Communications

    2,859,512  
 

Consumer, Cyclical (14.88%)

Abercrombie & Fitch Co

    6,810       149,480  

Allegiant Travel Co

    1,263       166,842  

American Axle & Manufacturing Holdings Inc*

    11,257       181,238  

Anixter International Inc*

    2,918       171,228  

Asbury Automotive Group Inc*

    2,051       147,241  

Ascena Retail Group Inc*

    16,548       36,737  

Barnes & Noble Education Inc*

    3,275       22,565  

Barnes & Noble Inc

    5,697       35,891  

Belmond Ltd - Class A*

    9,074       225,489  

BJ’s Restaurants Inc

    2,118       101,325  

The Buckle Inc

    2,729       52,370  

Caleres Inc

    4,288       133,357  

Callaway Golf Co

    9,474       163,048  

The Cato Corp - Class A

    2,492       39,224  

Cavco Industries Inc*

    839       116,143  

Chico’s FAS Inc

    12,960       75,686  

The Children’s Place Inc

    1,669       159,490  

Chuy’s Holdings Inc*

    1,589       35,546  

Conn’s Inc*

    2,348       55,389  

Cooper Tire & Rubber Co

    4,894       156,412  

Cooper-Standard Holdings Inc*

    1,609       96,717  

Core-Mark Holding Co Inc

    4,601       144,978  

Crocs Inc*

    7,321       188,003  

 

See accompanying notes to financial statements.

 

17

 

 

S&P SmallCap Index Fund

Portfolio of Investments (Unaudited) (Continued)

2/28/19

 

Security Description

 

Shares

   

Value
(Note 1)

 

Daktronics Inc

    3,984     $ 32,350  

Dave & Buster’s Entertainment Inc

    3,977       204,139  

Dine Brands Global Inc

    1,789       177,469  

Dorman Products Inc*

    2,929       236,956  

DSW Inc

    7,272       215,324  

El Pollo Loco Holdings Inc*

    2,051       31,032  

Ethan Allen Interiors Inc

    2,402       48,232  

Express Inc*

    7,585       39,442  

EZCORP Inc - Class A*

    4,843       47,316  

Fiesta Restaurant Group Inc*

    2,674       40,297  

FirstCash Inc(a)

    4,557       399,467  

Fossil Group Inc*

    4,397       68,769  

Fox Factory Holding Corp*

    3,780       239,576  

GameStop Corp - Class A

    10,222       119,597  

Garrett Motion Inc*

    7,461       124,897  

Genesco Inc*

    1,901       91,761  

Gentherm Inc*

    3,692       151,372  

G-III Apparel Group Ltd*

    4,287       152,660  

Group 1 Automotive Inc

    1,928       119,883  

Guess? Inc

    6,053       135,527  

Haverty Furniture Cos Inc

    1,917       46,698  

Hawaiian Holdings Inc

    5,094       151,547  

Hibbett Sports Inc*

    2,017       37,395  

Installed Building Products Inc*

    2,092       91,253  

Interface Inc

    6,070       107,743  

iRobot Corp*

    2,790       348,917  

JC Penney Co Inc*

    31,537       47,936  

Kirkland’s Inc*

    1,580       18,454  

La-Z-Boy Inc

    4,599       158,252  

LCI Industries

    2,530       206,144  

LGI Homes Inc*

    1,815       107,267  

Lithia Motors Inc - Class A

    2,402       216,829  

Lumber Liquidators Holdings Inc*

    2,806       33,139  

M/I Homes Inc*

    2,766       72,027  

The Marcus Corp

    1,880       79,693  

MarineMax Inc*

    2,374       46,602  

MDC Holdings Inc

    4,784       137,982  

Meritage Homes Corp*

    3,833       168,077  

Methode Electronics Inc

    3,654       102,531  

Mobile Mini Inc

    4,477       161,217  

Monarch Casino & Resort Inc*

    1,142       50,077  

Motorcar Parts of America Inc*

    1,857       38,421  

Movado Group Inc

    1,570       54,997  

Nautilus Inc*

    2,880       18,806  

Office Depot Inc

    56,169       194,906  

Oxford Industries Inc

    1,699       134,272  

PetMed Express Inc

    1,968       45,362  

Red Robin Gourmet Burgers Inc*

    1,277       38,834  

Regis Corp*

    3,353       60,656  

RH*

    1,921       295,046  

Ruth’s Hospitality Group Inc

    2,946       74,887  

ScanSource Inc*

    2,508       94,175  

Shake Shack Inc - Class A*

    2,591       142,868  

Shoe Carnival Inc

    1,254       47,828  

SkyWest Inc

    5,222       282,197  

Sleep Number Corp*

    3,948       172,330  

Sonic Automotive Inc

    2,552       38,357  

Standard Motor Products Inc

    2,030       100,079  

Steven Madden Ltd

    7,920       261,280  

Superior Industries International Inc

    2,154       13,333  

Tailored Brands Inc

    4,990       64,670  

Tile Shop Holdings Inc

    3,476       22,177  

Titan International Inc

    4,982       31,187  

Unifi Inc*

    1,711     37,847  

UniFirst Corp

    1,547       222,490  

Universal Electronics Inc*

    1,358       45,344  

Vera Bradley Inc*

    1,892       18,069  

Veritiv Corp*

    1,144       33,050  

Vista Outdoor Inc*

    5,502       49,023  

Vitamin Shoppe Inc*

    2,435       17,946  

Wabash National Corp

    5,957       88,402  

William Lyon Homes - Class A*

    2,798       39,592  

Wingstop Inc

    2,930       195,167  

Winnebago Industries Inc

    2,789       91,005  

Wolverine World Wide Inc

    9,508       340,005  

Zumiez Inc*

    1,661       41,027  

Total Consumer, Cyclical

    11,165,880  
 

Consumer, Non-Cyclical (17.71%)

ABM Industries Inc

    6,592       235,071  

Acorda Therapeutics Inc*

    4,722       69,602  

Addus HomeCare Corp*

    991       66,605  

Akorn Inc*

    9,531       38,601  

AMAG Pharmaceuticals Inc*

    3,411       50,790  

Amedisys Inc*,(a)

    2,871       356,864  

American Public Education Inc*

    1,645       53,150  

AMN Healthcare Services Inc*

    4,802       240,148  

Amphastar Pharmaceuticals Inc*

    3,566       88,615  

The Andersons Inc

    2,657       98,203  

AngioDynamics Inc*

    3,693       82,760  

ANI Pharmaceuticals Inc*

    910       59,869  

Anika Therapeutics Inc*

    1,454       47,444  

Arlo Technologies Inc*

    6,180       26,759  

Assertio Therapeutics Inc*

    5,860       24,260  

Avon Products Inc*

    43,298       133,791  

B&G Foods Inc

    6,682       164,511  

BioTelemetry Inc*

    3,315       247,697  

Calavo Growers Inc

    1,584       134,846  

Cal-Maine Foods Inc

    2,954       130,271  

Cambrex Corp*

    3,307       136,711  

Cardtronics PLC*

    4,527       133,592  

Care.com Inc*

    2,509       63,202  

Career Education Corp*

    6,635       110,274  

Central Garden & Pet Co*

    1,035       32,375  

Central Garden & Pet Co - Class A*

    4,012       111,734  

The Chefs’ Warehouse Inc*

    2,331       74,615  

Coca-Cola Consolidated Inc

    446       110,546  

Community Health Systems Inc*

    11,035       54,623  

CONMED Corp

    2,619       201,401  

Corcept Therapeutics Inc*

    10,698       133,404  

CorVel Corp*

    969       65,214  

Cross Country Healthcare Inc*

    3,652       31,918  

CryoLife Inc*

    3,262       96,490  

Cutera Inc*

    1,289       22,068  

Cytokinetics Inc*

    5,112       36,909  

Dean Foods Co

    9,166       36,756  

Diplomat Pharmacy Inc*

    5,700       36,765  

Eagle Pharmaceuticals Inc*

    1,123       56,229  

Emergent BioSolutions Inc*

    4,436       258,840  

Enanta Pharmaceuticals Inc*

    1,590       163,039  

Endo International PLC*

    20,210       222,108  

The Ensign Group Inc

    4,885       241,562  

EVERTEC Inc

    6,048       173,094  

Forrester Research Inc

    996       49,999  

FTI Consulting Inc*

    3,789       280,992  

Heidrick & Struggles International Inc

    1,846       79,581  

Heska Corp*

    673       55,045  

HMS Holdings Corp*

    8,301     286,052  

Innoviva Inc*

    6,708       105,316  

Integer Holdings Corp*

    2,997       272,607  

Inter Parfums Inc

    1,699       125,335  

Invacare Corp

    3,327       32,372  

J&J Snack Foods Corp

    1,501       233,075  

John B Sanfilippo & Son Inc

    861       59,822  

Kelly Services Inc

    3,086       74,465  

Korn Ferry

    5,672       276,737  

Lannett Co Inc*

    2,918       27,458  

Lantheus Holdings Inc*

    3,880       88,658  

LeMaitre Vascular Inc

    1,530       45,778  

LHC Group Inc*

    2,932       321,611  

LSC Communications Inc

    3,223       27,267  

Luminex Corp

    4,147       105,666  

Magellan Health Inc*

    2,471       168,300  

Matthews International Corp

    3,224       128,218  

The Medicines Co*

    6,505       160,478  

Medifast Inc

    1,204       153,426  

Meridian Bioscience Inc

    4,249       72,530  

Merit Medical Systems Inc*,(a)

    5,439       303,115  

MGP Ingredients Inc

    1,267       103,704  

Momenta Pharmaceuticals Inc*

    7,785       109,691  

Monro Inc

    3,235       246,863  

Myriad Genetics Inc*

    7,569       234,866  

Natus Medical Inc*

    3,265       90,212  

Navigant Consulting Inc

    4,384       90,267  

Neogen Corp*

    5,176       320,705  

Nutrisystem Inc

    2,981       129,018  

OraSure Technologies Inc*

    6,127       65,865  

Orthofix Medical Inc*

    1,892       115,601  

Owens & Minor Inc

    6,011       37,509  

Phibro Animal Health Corp

    1,987       58,219  

Progenics Pharmaceuticals Inc*

    7,397       32,695  

The Providence Service Corp*

    1,210       86,297  

Quanex Building Products Corp

    3,418       58,755  

Quorum Health Corp*

    2,753       7,681  

REGENXBIO Inc*

    2,935       151,828  

Rent-A-Center Inc*

    5,285       98,354  

Repligen Corp*

    3,949       235,044  

Resources Connection Inc

    2,990       51,936  

RR Donnelley & Sons Co

    6,596       35,486  

Select Medical Holdings Corp*

    10,762       159,493  

Seneca Foods Corp - Class A*

    660       19,483  

SpartanNash Co

    3,727       70,738  

Spectrum Pharmaceuticals Inc*

    9,397       101,582  

Strategic Education Inc

    2,179       284,970  

Supernus Pharmaceuticals Inc*

    5,197       212,245  

Surmodics Inc*

    1,330       77,606  

Tactile Systems Technology Inc*

    1,689       128,381  

Team Inc*

    2,930       45,767  

Tivity Health Inc*

    4,032       86,285  

Travelport Worldwide Ltd

    12,646       198,795  

TrueBlue Inc*

    3,979       91,597  

US Physical Therapy Inc

    1,244       137,139  

United Natural Foods Inc*

    5,088       76,371  

Universal Corp

    2,510       148,943  

Vanda Pharmaceuticals Inc*

    5,279       106,847  

Varex Imaging Corp*

    3,808       119,724  

Viad Corp

    2,054       118,927  

WD-40 Co

    1,396       249,842  

Total Consumer, Non-Cyclical

    13,282,560  
 

Energy (3.54%)

Archrock Inc

    12,975       126,636  

Bonanza Creek Energy Inc*

    2,055       47,203  

 

See accompanying notes to financial statements.

 

18

 

 

S&P SmallCap Index Fund

Portfolio of Investments (Unaudited) (Continued)

2/28/19

 

Security Description

 

Shares

   

Value
(Note 1)

 

Bristow Group Inc*

    3,244     $ 3,828  

C&J Energy Services Inc*

    6,383       110,234  

CARBO Ceramics Inc*

    2,228       9,090  

Carrizo Oil & Gas Inc*

    8,776       96,360  

CONSOL Energy Inc*

    2,836       107,626  

Denbury Resources Inc*

    46,431       89,148  

Era Group Inc*

    2,067       23,812  

Exterran Corp*

    3,227       55,085  

FutureFuel Corp

    2,258       41,638  

Geospace Technologies Corp*

    1,047       17,171  

Green Plains Inc

    3,903       60,887  

Gulf Island Fabrication Inc*

    900       8,820  

Gulfport Energy Corp*

    15,178       116,263  

Helix Energy Solutions Group Inc*

    13,968       103,363  

HighPoint Resources Corp*

    9,646       24,983  

KLX Energy Services Holdings Inc*

    2,045       53,906  

Laredo Petroleum Inc*

    15,407       52,846  

Matrix Service Co*

    2,446       51,097  

Nabors Industries Ltd

    32,902       106,602  

Newpark Resources Inc*

    8,961       79,215  

Noble Corp plc*

    24,763       74,537  

Oil States International Inc*

    6,072       104,074  

Par Pacific Holdings Inc*

    2,344       39,614  

Penn Virginia Corp*

    1,312       70,402  

Pioneer Energy Services Corp*

    7,129       12,618  

ProPetro Holding Corp*

    6,944       137,908  

Renewable Energy Group Inc*

    3,755       99,770  

REX American Resources Corp*

    531       42,326  

Ring Energy Inc*

    5,422       33,454  

SolarEdge Technologies Inc*

    4,311       182,183  

SRC Energy Inc*

    23,938       110,115  

SunCoke Energy Inc*

    6,488       64,361  

Superior Energy Services Inc*

    15,582       72,924  

TETRA Technologies Inc*

    12,600       30,114  

Unit Corp*

    5,423       84,328  

US Silica Holdings Inc

    7,460       111,154  

Total Energy

    2,655,695  
 

Financial (23.77%)

Acadia Realty Trust

    8,187       233,248  

Agree Realty Corp

    3,493       229,595  

Ambac Financial Group Inc*

    4,388       86,751  

American Assets Trust Inc

    4,059       176,323  

Ameris Bancorp

    4,070       165,934  

AMERISAFE Inc

    1,932       121,929  

Apollo Commercial Real Estate Finance Inc

    11,233       203,991  

Armada Hoffler Properties Inc

    4,539       69,447  

ARMOUR Residential REIT Inc

    4,204       84,290  

Axos Financial Inc*

    5,523       178,282  

Banc of California Inc

    4,101       71,029  

Banner Corp

    3,245       201,612  

Berkshire Hills Bancorp Inc

    4,061       127,191  

Blucora Inc*

    4,714       126,759  

Boston Private Financial Holdings Inc

    8,332       99,067  

Brookline Bancorp Inc

    8,059       128,783  

Capstead Mortgage Corp

    9,068       75,264  

CareTrust REIT Inc

    8,170       182,518  

CBL & Associates Properties Inc

    16,968       36,312  

Cedar Realty Trust Inc

    7,158       24,910  

Central Pacific Financial Corp

    3,057       89,203  

Chatham Lodging Trust

    4,440       88,711  

Chesapeake Lodging Trust

    5,971       179,847  

City Holding Co

    1,547       123,977  

Columbia Banking System Inc

    7,349     278,380  

Community Bank System Inc

    5,115       331,401  

Community Healthcare Trust Inc

    1,592       56,818  

Customers Bancorp Inc*

    2,828       60,491  

CVB Financial Corp

    10,289       234,486  

DiamondRock Hospitality Co

    20,125       215,136  

Dime Community Bancshares Inc

    2,890       57,742  

Eagle Bancorp Inc*

    3,182       188,343  

Easterly Government Properties Inc

    6,058       108,923  

EastGroup Properties Inc (a)

    3,620       382,489  

eHealth Inc*

    1,525       81,450  

Employers Holdings Inc

    3,193       133,020  

Encore Capital Group Inc*

    2,392       81,806  

Enova International Inc*

    3,399       86,742  

Fidelity Southern Corp

    2,224       72,458  

First BanCorp

    21,892       251,977  

First Commonwealth Financial Corp

    10,070       141,584  

First Financial Bancorp

    9,814       272,142  

First Financial Bankshares Inc(a)

    6,785       440,007  

First Midwest Bancorp Inc

    10,344       239,464  

Flagstar Bancorp Inc

    2,967       96,902  

Four Corners Property Trust Inc

    6,547       179,322  

Franklin Financial Network Inc

    1,168       38,310  

Franklin Street Properties Corp

    10,760       77,902  

Getty Realty Corp

    3,197       105,341  

Glacier Bancorp Inc (a)

    8,519       373,303  

Global Net Lease Inc

    6,756       120,527  

Granite Point Mortgage Trust Inc

    4,355       82,832  

Great Western Bancorp Inc

    5,909       221,883  

Greenhill & Co Inc

    2,575       60,616  

Hanmi Financial Corp

    3,211       74,110  

HCI Group Inc

    756       34,897  

Heritage Financial Corp

    3,361       110,644  

Hersha Hospitality Trust

    4,041       76,173  

HFF Inc - Class A

    3,728       168,506  

HomeStreet Inc*

    2,707       75,525  

Hope Bancorp Inc

    12,918       188,344  

Horace Mann Educators Corp

    4,007       157,034  

Independence Realty Trust Inc

    8,262       85,594  

Independent Bank Corp

    2,767       235,555  

INTL. FCStone Inc*

    1,498       65,163  

Invesco Mortgage Capital Inc

    11,202       178,336  

Investment Technology Group Inc

    3,137       94,832  

iStar Inc

    6,851       59,946  

James River Group Holdings Ltd

    2,891       118,791  

Kite Realty Group Trust

    8,396       132,153  

LegacyTexas Financial Group Inc

    4,555       190,080  

Lexington Realty Trust

    21,673       201,342  

LTC Properties Inc

    3,976       176,615  

Maiden Holdings Ltd

    6,878       8,460  

Marcus & Millichap Inc*

    2,142       82,724  

Meta Financial Group Inc

    2,742       64,026  

National Bank Holdings Corp - Class A

    2,643       95,492  

National Storage Affiliates Trust

    5,662       160,348  

NBT Bancorp Inc

    4,311       166,534  

New York Mortgage Trust Inc

    13,803       82,818  

NMI Holdings Inc - Class A*

    6,628       160,066  

Northfield Bancorp Inc

    4,483       66,842  

Northwest Bancshares Inc

    10,116       188,158  

Office Properties Income Trust

    2,487       75,878  

OFG Bancorp

    4,362       90,250  

Opus Bank

    2,188       49,821  

Oritani Financial Corp

    3,976     71,369  

Pacific Premier Bancorp Inc

    4,527       135,131  

Pennsylvania Real Estate Investment Trust

    7,059       43,413  

PennyMac Mortgage Investment Trust

    6,109       124,501  

Piper Jaffray Cos

    1,416       99,063  

PRA Group Inc*

    4,604       148,203  

Preferred Bank

    1,334       68,327  

ProAssurance Corp

    5,377       218,306  

Provident Financial Services Inc

    6,007       164,892  

PS Business Parks Inc

    2,001       294,487  

RE/MAX Holdings Inc - Class A

    1,780       69,829  

Redwood Trust Inc

    8,314       127,204  

Retail Opportunity Investments Corp

    11,310       194,193  

RLI Corp

    3,911       275,804  

RPT Realty

    7,667       97,218  

S&T Bancorp Inc

    3,468       143,506  

Safety Insurance Group Inc

    1,533       136,958  

Saul Centers Inc

    1,169       66,247  

Seacoast Banking Corp of Florida*

    5,182       150,382  

Selective Insurance Group Inc(a)

    5,895       388,834  

ServisFirst Bancshares Inc

    4,533       158,519  

Simmons First National Corp

    9,302       249,573  

Southside Bancshares Inc

    3,324       115,409  

Stewart Information Services Corp

    2,381       102,216  

Summit Hotel Properties Inc

    10,506       119,663  

The Navigators Group Inc

    2,352       164,123  

Third Point Reinsurance Ltd*

    8,095       86,536  

Tompkins Financial Corp

    1,219       98,020  

Triumph Bancorp Inc*

    2,315       78,409  

TrustCo Bank Corp NY

    9,676       81,956  

United Community Banks Inc

    7,977       220,883  

United Fire Group Inc

    2,126       103,621  

United Insurance Holdings Corp

    2,058       33,710  

Universal Health Realty Income Trust

    1,242       92,492  

Universal Insurance Holdings Inc

    3,272       127,739  

Urstadt Biddle Properties Inc - Class A

    2,991       62,572  

Veritex Holdings Inc

    4,539       127,137  

Virtus Investment Partners Inc

    724       74,072  

Waddell & Reed Financial Inc

    8,108       150,079  

WageWorks Inc*

    977       32,143  

Walker & Dunlop Inc

    2,755       153,729  

Washington Prime Group Inc

    18,663       107,872  

Westamerica Bancorporation

    2,609       167,707  

Whitestone REIT

    3,993       51,949  

WisdomTree Investments Inc

    11,401       88,700  

World Acceptance Corp*

    575       70,725  

Total Financial

    17,829,248  
 

Industrial (19.02%)

AAON Inc

    3,922       156,331  

AAR Corp

    3,171       115,837  

Actuant Corp

    6,089       148,876  

Advanced Energy Industries Inc*

    3,946       198,760  

Aegion Corp*

    3,357       58,278  

Aerojet Rocketdyne Holdings Inc*

    7,576       282,206  

Aerovironment Inc*

    2,383       189,854  

Alamo Group Inc

    937       89,989  

Alarm.com Holdings Inc*

    3,509       230,296  

Albany International Corp - Class A

    2,871       222,646  

American Woodmark Corp*

    1,586       135,127  

 

See accompanying notes to financial statements.

 

19

 

 

S&P SmallCap Index Fund

Portfolio of Investments (Unaudited) (Continued)

2/28/19

 

Security Description

 

Shares

   

Value
(Note 1)

 

Apogee Enterprises Inc

    2,845     $ 101,538  

Applied Industrial Technologies Inc

    3,882       225,699  

Applied Optoelectronics Inc*

    1,964       26,514  

ArcBest Corp

    2,482       86,448  

Arcosa Inc

    4,988       167,048  

Astec Industries Inc

    2,327       88,798  

Atlas Air Worldwide Holdings Inc*

    2,496       134,135  

Axon Enterprise Inc*

    5,768       310,491  

AZZ Inc

    2,578       118,640  

Badger Meter Inc

    2,921       171,872  

Barnes Group Inc

    4,855       281,930  

Bel Fuse Inc - Class B

    988       24,157  

Benchmark Electronics Inc

    4,930       135,082  

Boise Cascade Co

    3,900       108,771  

Brady Corp - Class A

    4,730       223,776  

Briggs & Stratton Corp

    4,252       55,744  

Chart Industries Inc*

    3,048       269,077  

CIRCOR International Inc*

    1,919       60,506  

Comfort Systems USA Inc

    3,696       198,180  

Comtech Telecommunications Corp

    2,370       62,805  

Control4 Corp*

    2,630       47,366  

DXP Enterprises Inc*

    1,585       56,061  

Echo Global Logistics Inc*

    2,538       60,963  

Encore Wire Corp

    2,060       122,034  

EnPro Industries Inc

    2,127       145,891  

ESCO Technologies Inc

    2,555       176,780  

Exponent Inc

    5,218       295,495  

Fabrinet*

    3,702       216,567  

FARO Technologies Inc*

    1,657       75,907  

Federal Signal Corp

    5,933       145,833  

Forward Air Corp

    2,951       190,782  

Franklin Electric Co Inc

    3,824       203,475  

Gibraltar Industries Inc*

    3,137       127,049  

The Greenbrier Cos Inc

    3,244       133,815  

Griffon Corp

    3,397       60,602  

Harsco Corp*

    8,085       180,942  

Haynes International Inc

    1,242       43,694  

Heartland Express Inc

    4,781       96,050  

Hillenbrand Inc

    6,272       277,787  

Hub Group Inc - Class A*

    3,325       142,909  

Ichor Holdings Ltd*

    2,457       51,523  

II-VI Inc*

    5,926       251,736  

Insteel Industries Inc

    1,735       39,471  

Itron Inc*

    3,461       183,468  

John Bean Technologies Corp

    3,184       298,341  

Kaman Corp

    2,801       172,486  

KEMET Corp

    5,811       110,118  

Knowles Corp*

    9,026       146,943  

Lindsay Corp

    1,030       95,244  

LSB Industries Inc*

    1,435       10,117  

Lydall Inc*

    1,743       49,065  

Marten Transport Ltd

    3,836       71,541  

Matson Inc

    4,283       154,659  

Moog Inc - Class A

    3,255       305,840  

Mueller Industries Inc

    5,776       190,897  

Multi-Color Corp

    1,395       69,541  

Myers Industries Inc

    3,548       67,696  

MYR Group Inc*

    1,615       54,167  

National Presto Industries Inc

    504       56,519  

Olympic Steel Inc

    881       17,109  

Orion Group Holdings Inc*

    2,840       12,070  

OSI Systems Inc*

    1,710       148,514  

Park Electrochemical Corp

    1,909       33,198  

Patrick Industries Inc*

    2,374       107,329  

PGT Innovations Inc*

    5,837       88,022  

Plexus Corp*

    3,292     203,314  

Powell Industries Inc

    838       26,891  

Proto Labs Inc*,(a)

    2,724       307,785  

Raven Industries Inc

    3,584       143,073  

Saia Inc*

    2,527       167,186  

Sanmina Corp*

    6,831       218,182  

SEACOR Holdings Inc*

    1,714       76,547  

Simpson Manufacturing Co Inc

    4,136       247,870  

SMART Global Holdings Inc*

    1,196       35,055  

SPX Corp*

    4,195       152,530  

SPX FLOW Inc*

    4,202       145,053  

Standex International Corp

    1,287       105,547  

Sturm Ruger & Co Inc

    1,780       101,371  

Tennant Co

    1,758       111,106  

Tetra Tech Inc

    5,580       334,912  

TimkenSteel Corp*

    3,932       48,993  

TopBuild Corp*

    3,577       212,832  

Tredegar Corp

    2,521       43,916  

Trex Co Inc*

    5,906       442,655  

Triumph Group Inc

    4,765       110,357  

TTM Technologies Inc*

    9,342       113,225  

Universal Forest Products Inc

    6,063       187,771  

US Concrete Inc*

    1,585       63,574  

US Ecology Inc

    2,200       126,236  

Vicor Corp*

    1,588       50,467  

Watts Water Technologies Inc

    2,791       224,787  

Total Industrial

    14,266,262  
 

Technology (9.04%)

3D Systems Corp*

    11,420       161,250  

Agilysys Inc*

    1,424       29,762  

Axcelis Technologies Inc*

    3,225       67,790  

Bottomline Technologies DE Inc*

    3,707       184,905  

Brooks Automation Inc

    7,078       227,275  

Cabot Microelectronics Corp

    2,577       291,459  

CEVA Inc*

    2,229       62,012  

Cohu Inc

    4,066       72,741  

Computer Programs & Systems Inc

    1,062       34,982  

Cray Inc*

    4,078       100,033  

CSG Systems International Inc

    3,263       135,578  

CTS Corp

    3,313       106,414  

Cubic Corp

    2,477       152,831  

Diebold Nixdorf Inc

    7,353       67,574  

Diodes Inc*

    3,881       156,521  

Donnelley Financial Solutions Inc*

    3,281       46,623  

DSP Group Inc*

    2,148       29,492  

Ebix Inc

    2,210       128,777  

Electronics For Imaging Inc*

    4,489       121,383  

ExlService Holdings Inc*

    3,451       211,891  

FormFactor Inc*

    7,104       112,598  

Insight Enterprises Inc*

    3,525       196,766  

Kopin Corp*

    6,036       9,235  

Kulicke & Soffa Industries Inc

    6,804       158,669  

LivePerson Inc*

    5,605       156,716  

ManTech International Corp

    2,644       143,701  

MaxLinear Inc*

    6,001       150,865  

Mercury Systems Inc*

    4,835       307,119  

MicroStrategy Inc - Class A*

    933       132,020  

Monotype Imaging Holdings Inc

    4,231       82,928  

MTS Systems Corp

    1,789       95,354  

Nanometrics Inc*

    2,280       64,889  

NextGen Healthcare Inc*

    4,741       82,968  

Omnicell Inc*

    3,901       331,389  

OneSpan Inc*

    2,814       59,938  

PDF Solutions Inc*

    2,557       30,454  

Photronics Inc*

    7,012       68,788  

Power Integrations Inc

    2,968     216,841  

Progress Software Corp

    4,672       171,836  

Qualys Inc*

    3,285       274,724  

Rambus Inc*

    11,045       113,432  

Rudolph Technologies Inc*

    3,191       72,053  

Semtech Corp* (a)

    6,641       365,521  

SPS Commerce Inc*

    1,706       182,167  

Sykes Enterprises Inc*

    3,994       118,182  

Tabula Rasa HealthCare Inc*

    1,693       93,301  

TiVo Corp

    12,338       123,750  

TTEC Holdings Inc

    1,570       53,788  

Ultra Clean Holdings Inc*

    3,885       41,375  

Unisys Corp*

    5,140       69,441  

Veeco Instruments Inc*

    4,630       52,875  

Virtusa Corp*

    2,769       139,751  

Xperi Corp

    4,873       116,952  

Total Technology

    6,779,679  
 

Utilities (2.45%)

American States Water Co

    3,685       262,114  

Avista Corp(a)

    6,589       266,261  

California Water Service Group

    4,824       250,944  

El Paso Electric Co

    4,080       219,504  

Northwest Natural Holding Co

    2,888       185,467  

South Jersey Industries Inc

    8,579       248,362  

Spire Inc(a)

    5,052       400,726  

Total Utilities

    1,833,378  
         

Total Common Stock (Cost $56,128,897)

    73,970,973  
         

Total Investments (Cost $56,128,897)(b) (98.60%)

  $ 73,970,973  

Other Net Assets (1.40%)

    1,048,511  

Net Assets (100.00%)

  $ 75,019,484  

 

Long Futures contracts at February 28, 2019:

 

Russell 2000 MINI

 

Notional Amount

   

Value

   

Unrealized Appreciation

 

13 Contracts, expiring March 2019

  $ 977,938     $ 1,024,075     $ 46,137  

 

* 

Non-income producing security.

   

(a)

A portion of these shares have been pledged in connection with obligations for futures contracts.

   

(b)

Aggregate cost for federal income tax purpose is $56,154,368.

 

At February 28, 2019, unrealized appreciation/(depreciation) of securities for federal income tax purposes is as follows:

 

Unrealized appreciation

  $ 23,974,039  

Unrealized depreciation

    (6,157,434 )

Net unrealized appreciation

  $ 17,816,605  

 

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.

 

20

 

 

Shelton Core Value Fund

Portfolio of Investments (Unaudited)

2/28/19

 

Security Description

 

Shares

   

Value
(Note 1)

 

Common Stock (97.20%)

 

Basic Materials (3.20%)

Linde PLC

    15,167     $ 2,627,531  

PPG Industries Inc

    16,000       1,791,520  

Sensient Technologies Corp(a)

    8,500       549,950  

Total Basic Materials

    4,969,001  
 

Communications (6.07%)

Alphabet Inc - Class A*

    1,600       1,802,480  

Alphabet Inc - Class C*

    1,600       1,791,872  

AT&T Inc

    57,669       1,794,659  

Facebook Inc*

    11,600       1,872,820  

Verizon Communications Inc

    37,842       2,153,967  

Total Communications

    9,415,798  
 

Consumer, Cyclical (8.57%)

DR Horton Inc

    55,200       2,146,728  

FirstEnergy Corp

    23,574       960,641  

Ford Motor Co

    522,700       4,584,079  

Lowe’s Cos Inc

    31,200       3,278,808  

Marriott International Inc

    13,000       1,628,510  

Target Corp

    9,639       700,177  

Total Consumer, Cyclical

    13,298,943  
 

Consumer, Non-Cyclical (17.30%)

Abbott Laboratories

    41,110       3,190,958  

AbbVie Inc

    33,610       2,663,256  

AmerisourceBergen Corp

    22,912       1,908,570  

Baxter International Inc

    27,700       2,070,021  

British American Tobacco PLC

    3,770       138,510  

Celgene Corp*,(a)

    7,500       623,400  

Centene Corp*

    27,800       1,692,742  

Colgate-Palmolive Co

    20,400       1,343,748  

Conagra Brands Inc(a)

    42,450       992,057  

Gilead Sciences Inc(a)

    31,200       2,028,623  

Merck & Co Inc

    35,200       2,861,408  

Sprouts Farmers Market Inc*

    230,000       5,363,600  

Takeda Pharmaceutical Co Ltd(a)

    35,665       715,440  

Tyson Foods Inc - Class A

    20,000       1,233,200  

Total Consumer, Non-Cyclical

    26,825,533  
 

Energy (11.22%)

Anadarko Petroleum Corp

    17,040       741,240  

Baker Hughes a GE Co(a)

    27,455       724,263  

BP PLC

    81,437       3,473,288  

Chevron Corp

    29,324       3,506,564  

ConocoPhillips

    19,648       1,333,117  

Devon Energy Corp

    7,352       216,958  

Exxon Mobil Corp

    43,236       3,416,941  

Royal Dutch Shell PLC

    36,500       2,270,665  

Schlumberger Ltd

    39,100       1,722,746  

Total Energy

    17,405,782  

Financial (25.01%)

Banks (17.37%)

Bank of America Corp

    140,000     4,071,200  

The Bank of New York Mellon Corp

    15,050       789,824  

Citigroup Inc

    21,300       1,362,774  

The Goldman Sachs Group Inc

    15,850       3,117,695  

JPMorgan Chase & Co

    71,020       7,411,647  

Morgan Stanley

    47,050       1,975,159  

State Street Corp

    9,600       689,952  

US Bancorp

    60,600       3,132,414  

Wells Fargo & Co

    87,889       4,384,782  
      26,935,447  

Diversified Financial Service (2.59%)

BlackRock Inc

    6,300       2,792,286  

Intercontinental Exchange Inc

    15,920       1,228,228  
      4,020,514  

Insurance (2.14%)

Arthur J Gallagher & Co

    32,400       2,601,072  

Principal Financial Group Inc

    13,650       718,536  
      3,319,608  

Real Estate (1.20%)

Digital Realty Trust Inc

    16,500       1,866,480  
                 

Savings&Loans (1.71%)

New York Community Bancorp Inc(a)

    211,900       2,650,869  
                 

Total Financial

    38,792,918  
 

Industrial (7.51%)

The Boeing Co

    2,900       1,275,884  

Caterpillar Inc

    21,442       2,944,844  

Masco Corp

    90,000       3,380,400  

Northrop Grumman Corp

    8,600       2,493,656  

Seaspan Corp(a)

    25,000       220,000  

United Technologies Corp

    10,625       1,335,244  

Total Industrial

    11,650,028  
 

Technology (16.71%)

Apple Inc

    20,000       3,463,000  

Applied Materials Inc

    66,000       2,530,440  

Dell Technologies Inc - Class C*

    5,983       333,971  

DXC Technology Co

    4,294       282,803  

Hewlett Packard Enterprise Co

    50,000       819,000  

Intel Corp

    61,000       3,230,560  

International Business Machines Corp

    18,560       2,563,693  

Micro Focus International PLC(a)

    6,865       170,115  

Microsoft Corp

    37,633       4,216,024  

Oracle Corp

    40,930       2,133,681  

Paychex Inc

    17,000       1,309,340  

Perspecta Inc (a)

    2,147       45,302  

Seagate Technology PLC

    38,000       1,769,280  

Taiwan Semiconductor Manufacturing Co Ltd

    30,000     1,171,500  

Texas Instruments Inc

    18,000       1,904,040  

Total Technology

    25,942,749  
 

Utilities (1.61%)

Consolidated Edison Inc

    21,200       1,747,940  

NextEra Energy Inc

    4,000       750,880  

Total Utilities

    2,498,820  
         

Total Common Stock (Cost $109,246,863)

    150,799,572  
 

Preferred Stock (0.58%)

Amerityre Corp*,**

    2,000,000       900,000  

Total Preferred Stock (Cost $2,000,000)

    900,000  

 

   

Maturity
Date

                 

United States Treasury Bills (2.00%)

0.00%

    03/26/2019       3,100,000       3,094,880  

Total United States Treasury Bills (Cost $3,094,880)

    3,094,880  
         

Total Investments (Cost $114,341,743)(b) (99.78%)

  $ 154,794,452  

Other Net Assets (0.22%)

    337,226  

Net Assets (100.00%)

  $ 155,131,678  

 

* 

Non-income producing security.

** 

This security has been fair valued and deemed to be illiquid by the Advisor. At February 28, 2019, the fair value was $900,000, or 0.58% of net assets.

   

(a)

A portion of these shares have been pledged in connection with obligations for options contracts.

 

(b)

Aggregate cost for federal income tax purpose is $113,660,825.

 

At February 28, 2019, unrealized appreciation/(depreciation) of securities for federal income tax purposes is as follows:

 

Unrealized appreciation

  $ 47,922,550  

Unrealized depreciation

    (6,788,923 )

Net unrealized appreciation

  $ 41,133,627  

 

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)

2/28/19

 

SCHEDULE OF SECURITIES SOLD SHORT
Written Call Options

 

Expiration
Date

   

Contracts

 

Strike
Price

   

Notional
Amount

   

Value  

Abbott Laboratories

    5/17/2019       (200)   $ 75.00     $ 1,500,000     $ (90,000)  

AbbVie Inc

    3/15/2019       (160)     85.00       1,360,000       (1,600)  

Alphabet Inc - Class A

    4/18/2019       (12)     1,180.00       1,416,000       (18,228)  

Alphabet Inc - Class C

    4/18/2019       (12)     1,180.00       1,416,000       (14,280)  

AmerisourceBergen Corp

    3/15/2019       (110)     85.00       935,000       (12,100)  

Anadarko Petroleum Corp

    3/15/2019       (60)     52.50       315,000       (90)  

Apple Inc

    3/15/2019       (50)     170.00       850,000       (24,700)  

Applied Materials Inc

    3/15/2019       (220)     43.00       946,000       (440)  

AT&T Inc

    3/15/2019       (200)     31.00       620,000       (9,600)  

Bank of America Corp

    3/15/2019       (475)     31.00       1,472,500       (1,900)  

Baxter International Inc

    5/17/2019       (240)     70.00       1,680,000       (148,800)  

BP PLC

    3/15/2019       (270)     42.00       1,134,000       (27,000)  

British American Tobacco PLC

    3/15/2019       (37)     35.00       129,500       (7,992)  

Caterpillar Inc

    4/18/2019       (107)     140.00       1,498,000       (41,195)  

Centene Corp

    3/15/2019       (100)     70.00       700,000       (250)  

Chevron Corp

    3/15/2019       (100)     120.00       1,200,000       (15,500)  

Citigroup Inc

    3/15/2019       (70)     67.50       472,500       (910)  

Colgate-Palmolive Co

    3/15/2019       (70)     67.50       472,500       (2,660)  

ConocoPhillips

    3/15/2019       (65)     70.00       455,000       (3,185)  

Consolidated Edison Inc

    3/15/2019       (70)     77.50       542,500       (35,700)  

Dell Technologies Inc

    4/18/2019       (59)     60.00       354,000       (7,493)  

Devon Energy Corp

    3/15/2019       (30)     30.00       90,000       (1,710)  

Digital Realty Trust Inc

    4/18/2019       (135)     115.00       1,552,500       (27,000)  

DR Horton Inc

    3/15/2019       (200)     40.00       800,000       (11,200)  

DXC Technology Co

    4/18/2019       (42)     70.00       294,000       (3,570)  

Exxon Mobil Corp

    3/15/2019       (150)     75.00       1,125,000       (66,000)  

Facebook Inc

    3/15/2019       (40)     160.00       640,000       (16,000)  

FirstEnergy Corp

    3/15/2019       (80)     40.00       320,000       (7,800)  

Ford Motor Co

    3/15/2019       (500)     9.00       450,000       (4,500)  

Hewlett Packard Enterprise Co

    3/15/2019       (150)     16.00       240,000       (7,500)  

Intel Corp

    4/18/2019       (450)     52.50       2,362,500       (86,400)  

Intercontinental Exchange Inc

    3/15/2019       (60)     80.00       480,000       (600)  

International Business Machines Corp

    3/15/2019       (185)     140.00       2,590,000       (18,870)  

JPMorgan Chase & Co

    3/15/2019       (240)     110.00       2,640,000       (2,400)  

Linde PLC

    4/18/2019       (50)     180.00       900,000       (13,625)  

Lowe's Cos Inc

    4/18/2019       (312)     105.00       3,276,000       (113,256)  

Marriott International Inc

    3/15/2019       (45)     120.00       540,000       (31,050)  

Masco Corp

    3/15/2019       (300)     34.00       1,020,000       (111,000)  

Merck & Co Inc

    4/18/2019       (90)     80.00       720,000       (21,690)  

Microsoft Corp

    3/15/2019       (130)     110.00       1,430,000       (37,700)  

Morgan Stanley

    3/15/2019       (160)     45.00       720,000       (1,440)  

NextEra Energy Inc

    3/15/2019       (1)     180.00       18,000       (870)  

Northrop Grumman Corp

    4/18/2019       (26)     300.00       780,000       (12,038)  

Oracle Corp

    4/18/2019       (250)     50.00       1,250,000       (81,500)  

Paychex Inc

    3/15/2019       (60)     72.50       435,000       (27,600)  

PPG Industries Inc

    4/18/2019       (55)     115.00       632,500       (12,100)  

Principal Financial Group Inc

    4/18/2019       (40)     55.00       220,000       (2,360)  

Royal Dutch Shell PLC

    4/18/2019       (146)     65.00       949,000       (6,570)  

Schlumberger Ltd

    3/15/2019       (140)     47.50       665,000       (840)  

Seagate Technology PLC

    4/18/2019       (360)     50.00       1,800,000       (24,840)  

Sprouts Farmers Market Inc

    3/15/2019       (230)     25.00       575,000       (1,840)  

State Street Corp

    3/15/2019       (32)     75.00       240,000       (704)  

Taiwan Semiconductor Manufacturing Co Ltd

    3/15/2019       (100)     39.00       390,000       (7,000)  

Target Corp

    3/15/2019       (45)     77.50       348,750       (3,600)  

Texas Instruments Inc

    4/18/2019       (110)     105.00       1,155,000       (43,010)  

The Bank of New York Mellon Corp

    3/15/2019       (50)     55.00       275,000       (400)  

The Goldman Sachs Group Inc

    3/15/2019       (60)     215.00       1,290,000       (660)  

Tyson Foods Inc

    3/15/2019       (70)     65.00       455,000       (700)  

United Technologies Corp

    3/15/2019       (40)     125.00       500,000       (10,800)  

US Bancorp

    3/15/2019       (202)     52.50       1,060,500       (5,555)  

Verizon Communications Inc

    3/15/2019       (130)     55.00       715,000       (28,340)  

Wells Fargo & Co

    3/15/2019       (275)     52.50       1,443,750       (1,925)  
                                           

Total Written Call Options

                              56,856,000       (1,320,186)  

Premiums Received $1,039,133

                                         

 

See accompanying notes to financial statements.

 

22

 

 

Nasdaq-100 Index Fund

Portfolio of Investments (Unaudited)

2/28/19

 

Security Description

 

Shares

   

Value
(Note 1)

 

Common Stock (99.65%)

 

Communications (37.75%)

Internet (27.52%)

Alphabet Inc - Class A*

    19,207     $ 21,637,646  

Alphabet Inc - Class C*

    19,509       21,848,519  

Amazon.com Inc*,(a)

    31,280       51,293,882  

Baidu Inc*

    24,344       3,956,874  

Booking Holdings Inc*

    4,157       7,054,595  

Ctrip.com International Ltd*

    40,186       1,371,548  

eBay Inc

    86,665       3,219,605  

Expedia Group Inc

    12,088       1,490,571  

Facebook Inc*,(a)

    204,078       32,948,393  

JD.com Inc*

    78,248       2,168,252  

MercadoLibre Inc*

    3,829       1,756,707  

Netflix Inc*

    38,137       13,656,860  

Symantec Corp

    52,618       1,183,379  

VeriSign Inc*

    5,011       892,158  
      164,478,989  

Media (5.77%)

Charter Communications Inc*

    20,306       7,003,742  

Comcast Corp

    400,461       15,485,827  

Liberty Global PLC - Class A*

    17,321       456,408  

Liberty Global PLC - Class C*

    50,158       1,273,512  

Sirius XM Holdings Inc

    390,050       2,312,997  

Twenty-First Century Fox Inc

    69,431       3,482,659  

Twenty-First Century Fox Inc - Class A

    89,454       4,511,165  
      34,526,310  

Telecommunicatoins (4.46%)

Cisco Systems Inc

    411,881       21,323,079  

T-Mobile US Inc*

    74,292       5,364,625  
      26,687,704  
         

Total Communications

    225,693,003  
 

Consumer, Cyclical (8.36%)

American Airlines Group Inc

    41,028       1,461,828  

Costco Wholesale Corp

    38,407       8,401,147  

Dollar Tree Inc*

    20,122       1,938,352  

Fastenal Co

    25,010       1,574,129  

Hasbro Inc

    10,768       914,203  

Lululemon Athletica Inc*

    5,082       764,434  

Marriott International Inc

    30,389       3,806,831  

O’Reilly Automotive Inc*

    7,055       2,624,179  

PACCAR Inc

    30,605       2,075,019  

Ross Stores Inc

    33,227       3,150,916  

Starbucks Corp

    118,154       8,301,500  

Tesla Inc*

    14,647       4,685,282  

Ulta Beauty Inc*

    5,303       1,657,134  

United Continental Holdings Inc*

    15,273       1,341,122  

Walgreens Boots Alliance Inc

    86,138       6,132,164  

Wynn Resorts Ltd

    8,957       1,133,419  

Total Consumer, Cyclical

    49,961,659  
 

Consumer, Non-Cyclical (16.88%)

Alexion Pharmaceuticals Inc*

    18,960       2,565,857  

Align Technology Inc*

    6,948       1,799,324  

Amgen Inc

    56,688       10,775,255  

Automatic Data Processing Inc

    37,716       5,771,679  

Biogen Inc*

    17,642       5,786,752  

BioMarin Pharmaceutical Inc*

    15,309       1,427,717  

Celgene Corp*

    61,600       5,120,192  

Cintas Corp

    9,259       1,912,909  

Gilead Sciences Inc

    85,707       5,572,669  

Henry Schein Inc*

    13,327     790,291  

IDEXX Laboratories Inc*

    7,575       1,598,552  

Illumina Inc*

    12,391       3,875,533  

Incyte Corp*

    18,354       1,582,665  

Intuitive Surgical Inc*

    9,509       5,207,223  

The Kraft Heinz Co

    78,991       2,621,711  

Mondelez International Inc

    127,091       5,993,612  

Monster Beverage Corp*

    47,863       3,055,095  

Mylan NV*

    45,153       1,191,588  

PayPal Holdings Inc*

    104,072       10,206,342  

PepsiCo Inc

    123,867       14,323,981  

Regeneron Pharmaceuticals Inc*

    8,956       3,857,707  

Verisk Analytics Inc

    14,348       1,814,018  

Vertex Pharmaceuticals Inc*

    21,464       4,051,330  

Total Consumer, Non-Cyclical

    100,902,002  
 

Financial (0.21%)

Willis Towers Watson PLC

    7,284       1,252,994  
 

Industrial (1.09%)

CSX Corp

    75,850       5,512,020  

JB Hunt Transport Services Inc

    9,517       1,024,695  

Total Industrial

    6,536,715  
 

Technology (34.95%)

Computers (9.22%)

Apple Inc(a)

    276,821       47,931,556  

Check Point Software Technologies Ltd*

    13,681       1,673,186  

Cognizant Technology Solutions Corp

    50,043       3,552,052  

NetApp Inc

    10,441       680,753  

Western Digital Corp

    25,103       1,262,681  
      55,100,228  

Semiconductors (13.68%)

Advanced Micro Devices Inc*

    56,024       1,318,245  

Analog Devices Inc

    31,286       3,346,351  

Applied Materials Inc

    86,090       3,300,692  

ASML Holding NV

    6,426       1,175,123  

Broadcom Inc

    37,806       10,410,260  

Intel Corp

    403,834       21,387,049  

KLA-Tencor Corp

    13,618       1,572,743  

Lam Research Corp

    13,800       2,430,042  

Maxim Integrated Products Inc

    24,385       1,327,276  

Microchip Technology Inc

    20,376       1,770,063  

Micron Technology Inc*

    100,270       4,099,038  

NVIDIA Corp

    53,249       8,214,191  

NXP Semiconductors NV

    30,157       2,753,937  

QUALCOMM Inc

    106,161       5,667,936  

Skyworks Solutions Inc

    15,824       1,292,188  

Texas Instruments Inc

    85,539       9,048,315  

Xilinx Inc

    21,298       2,668,639  
      81,782,088  

Software (12.05%)

Activision Blizzard Inc

    64,302       2,709,686  

Adobe Inc*

    42,884       11,257,050  

Autodesk Inc*

    18,603       3,032,475  

Cadence Design Systems Inc*

    24,529       1,404,285  

Cerner Corp*

    28,919       1,618,018  

Citrix Systems Inc

    11,806       1,245,533  

Covetrus Inc*

    5,331       190,743  

Electronic Arts Inc*

    26,133       2,503,019  

Fiserv Inc*

    35,928       3,042,742  

Intuit Inc

    21,697       5,361,980  

Microsoft Corp

    279,349       31,295,468  

NetEase Inc

    6,512       1,453,609  

Paychex Inc

    31,231     2,405,412  

Synopsys Inc*

    12,896       1,311,265  

Take-Two Interactive Software Inc*

    9,920       865,619  

Workday Inc - Class A*

    11,912       2,357,742  
      72,054,646  
         

Total Technology

    208,936,962  
 

Utilities (0.41%)

Xcel Energy Inc

    44,586       2,445,988  
                 

Total Common Stock (Cost $362,180,818)

    595,729,323  
 
   

Maturity
Date

                 

United States Treasury Bills (0.08%)

0.00%

    03/26/2019       500,000       499,174  

United States Treasury Bills (Cost $499,174)

    499,174  
         

Total Investments (Cost $362,679,992)(b) (99.72%)

  $ 596,228,497  

Other Net Assets (0.28%)

    1,644,264  

Net Assets (100.00%)

  $ 597,872,761  

 

Long Futures contracts at February 28, 2019:

 

Nasdaq 100 E-MINI

 

Notional Amount

   

Value

   

Unrealized Appreciation

 

16 Contracts, expiring March 2019

  $ 2,255,789     $ 2,272,800     $ 17,011  

 

* 

Non-income producing security.

   

(a)

A portion of these shares have been pledged in connection with obligations for futures contracts.

   

(b)

Aggregate cost for federal income tax purpose is $362,977,615.

 

At February 28, 2019, unrealized appreciation/(depreciation) of securities for federal income tax purposes is as follows:

 

Unrealized appreciation

  $ 242,370,852  

Unrealized depreciation

    (9,119,970 )

Net unrealized appreciation

  $ 233,250,882  

 

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.

 

23

 

 

Shelton Green Alpha Fund

Portfolio of Investments (Unaudited)

2/28/19

 

Security Description

 

Shares

   

Value
(Note 1)

 

Common Stock (97.64%)

 

Basic Materials (2.08%)

Daqo New Energy Corp*

    14,000     $ 509,320  

Schnitzer Steel Industries Inc

    22,000       534,600  

Total Basic Materials

    1,043,920  
 

Communications (6.25%)

Alphabet Inc - Class C*

    1,400       1,567,888  

Arista Networks Inc*

    1,000       285,250  

Palo Alto Networks Inc*

    1,500       369,405  

Sierra Wireless Inc*

    73,000       918,340  

Total Communications

    3,140,883  
 

Consumer, Cyclical (7.01%)

Herman Miller Inc

    31,000       1,137,080  

Interface Inc

    20,000       355,000  

Kandi Technologies Group Inc*

    117,500       849,525  

Tesla Inc*

    3,700       1,183,556  

Total Consumer, Cyclical

    3,525,161  
 

Consumer, Non-Cyclical (7.35%)

CRISPR Therapeutics AG*

    17,300       612,247  

Danone SA

    30,000       453,600  

Gilead Sciences Inc

    7,500       487,650  

The Hain Celestial Group Inc*

    28,000       550,760  

Illumina Inc*

    900       281,493  

Intellia Therapeutics Inc*

    13,000       197,990  

Invitae Corp*

    46,000       925,520  

OraSure Technologies Inc*

    17,500       188,125  

Total Consumer, Non-Cyclical

    3,697,385  
 

Energy (35.56%)

Canadian Solar Inc*

    118,700       2,927,142  

First Solar Inc*

    44,600       2,343,730  

JinkoSolar Holding Co Ltd*

    83,000       1,708,970  

Pattern Energy Group Inc

    135,000       2,816,100  

SolarEdge Technologies Inc*

    5,200       219,752  

Sunrun Inc*

    140,000       2,171,400  

TerraForm Power Inc

    110,000       1,376,100  

TPI Composites Inc*

    37,000       1,117,770  

Vestas Wind Systems A/S

    115,000       3,194,700  

Total Energy

    17,875,664  
 

Financial (7.10%)

Alexandria Real Estate Equities Inc

    4,900       665,861  

Hannon Armstrong Sustainable Infrastructure Capital Inc

    64,000       1,575,680  

Horizon Technology Finance Corp

    48,800       616,832  

Liberty Property Trust

    15,000       709,950  

Total Financial

    3,568,323  
 

Industrial (11.94%)

ABB Ltd

    41,600       819,936  

Advanced Energy Industries Inc*

    8,600       433,182  

Garmin Ltd

    8,000       671,760  

Ichor Holdings Ltd*

    30,000       629,100  

Itron Inc*

    6,200       328,662  

LG Display Co Ltd*

    54,000       510,300  

SunPower Corp*

    138,000       890,100  

Trex Co Inc*

    7,000       524,650  

Universal Display Corp

    8,000       1,193,920  

Total Industrial

    6,001,610  
 

Technology (18.04%)

Analog Devices Inc

    7,700     823,592  

Applied Materials Inc

    48,500       1,859,490  

Fortinet Inc*

    6,500       564,135  

International Business Machines Corp

    11,500       1,588,495  

Microchip Technology Inc

    3,000       260,610  

NVIDIA Corp

    3,100       478,206  

Omnicell Inc*

    6,400       543,680  

QUALCOMM Inc

    6,800       363,052  

Skyworks Solutions Inc

    12,500       1,020,750  

STMicroelectronics NV

    46,500       760,740  

Ultra Clean Holdings Inc*

    32,500       346,125  

Veeco Instruments Inc*

    40,600       463,652  

Total Technology

    9,072,527  
 

Utilities (2.31%)

Consolidated Water Co Ltd

    88,000       1,162,480  
                 

Total Common Stock (Cost $41,668,475)

    49,087,953  
         

Total Investments (Cost $41,668,475)(a) (97.64%)

  $ 49,087,953  

Other Net Assets (2.36%)

    1,184,991  

Net Assets (100.00%)

  $ 50,272,944  

 

* 

Non-income producing security.

   

(a)

Aggregate cost for federal income tax purpose is $41,249,152.

 

At February 28, 2019, unrealized appreciation/(depreciation) of securities for federal income tax purposes is as follows:

 

Unrealized appreciation

  $ 10,745,015  

Unrealized depreciation

    (3,354,534 )

Net unrealized appreciation

  $ 7,390,481  

 

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
February 28, 2019 (Unaudited)

 

   

Green
California
Tax-Free
Income Fund

   

U.S.
Government
Securities
Fund

   

Short-Term
U.S.
Government
Bond Fund

   

The United
States
Treasury
Trust

 

Assets

                               

Investments in securities

                               

Cost of investments

  $ 61,359,886     $ 18,815,921     $ 6,461,274     $ 52,942,670  

Market value of investments (Note 1)

    63,875,029       18,578,362       6,442,571       52,942,670  

Cash

    59,265       108,923       95,845       118,541  

Cash held at broker

                       

Variation Margin Receivable

                       

Interest receivable

    603,814       47,791       10,456        

Dividend receivable

                       

Receivable for fund shares sold

                       

Receivable for Investment Securities Sold

                       

Prepaid expenses

    7,792       2,799       3,067       2,118  

Total assets

  $ 64,545,900     $ 18,737,875     $ 6,551,939     $ 53,063,329  
                                 

Liabilities

                               

Written Options, at value

                       

Payable to investment advisor

    24,848       4,325       413       11,829  

Distributions payable

    101,845       21,069       6,831       75,192  

Accrued 12b-1 fees

          911       315       402  

Accrued shareholder service fees

          953       285       402  

Accrued administration fees

    4,352       1,294       438       3,630  

Accrued CCO fees

    1,899       455       150       473  

Accrued Custody fees

    1,479       366       165       1,054  

Accrued Fund Accounting Fees

    4,122       3,010       1,621       3,034  

Accrued Printing fees

    3,522       4,016       3,758       318  

Accrued State Registration fees

    297       570       572       1,183  

Accrued Transfer Agent fees

    1,925       2,055       307       1,089  

Accrued Trustee fees

    505       432       410       331  

Accrued expenses

    284       56       12       152  

Total liabilities

    145,078       39,512       15,277       99,089  
                                 

Net assets

  $ 64,400,822     $ 18,698,363     $ 6,536,662     $ 52,964,240  
                                 

Net assets at February 28, 2019 consist of

                               

Paid-in capital

  $ 61,822,725     $ 19,223,904     $ 6,557,571     $ 52,970,484  

Distributable earnings/(loss)

    2,578,097       (525,541 )     (20,909 )     (6,244 )

Total net assets

  $ 64,400,822     $ 18,698,363     $ 6,536,662     $ 52,964,240  
                                 

Net assets

                               

Direct Shares

  $ 64,400,822     $ 15,431,112     $ 5,297,822     $ 51,074,631  

K Shares

          $ 3,267,251     $ 1,238,840     $ 1,889,609  
                                 

Shares outstanding

                               

Direct Shares (no par value, unlimited shares authorized)

    5,656,567       1,535,542       525,008       51,101,685  

K Shares (no par value, unlimited shares authorized)

            323,696       124,728       1,888,514  
                                 

Net asset value per share

                               

Direct Shares

  $ 11.38     $ 10.06     $ 10.09     $ 1.00  

K Shares

          $ 10.09     $ 9.93     $ 1.00  

 

See accompanying notes to financial statements.

 

25

 

 

Statements of Assets & Liabilities
February 28, 2019 (Unaudited) (Continued)

 

   

S&P 500
Index Fund

   

S&P MidCap
Index Fund

   

S&P
SmallCap
Index Fund

   

Shelton
Core Value
Fund

 

Assets

                               

Investments in securities

                               

Cost of investments

  $ 68,526,953     $ 78,869,768     $ 56,128,897     $ 114,341,743  

Market value of investments (Note 1)

    183,119,899       113,332,595       73,970,973       154,794,452  

Cash

    508,059       930,121       846,672       259,732  

Cash held at broker

    250,000       200,000       200,000       946,272  

Interest receivable

                       

Dividend receivable

    387,811       126,214       41,826       529,799  

Receivable for fund shares sold

                       

Receivable for Investment Securities Sold

                       

Prepaid expenses

    18,115       11,530       16,244       26,603  

Total assets

  $ 184,283,884     $ 114,600,460     $ 75,075,715     $ 156,556,858  
                                 

Liabilities

                               

Written options, at value (proceeds $—, $—, $—, $1,039,133 repectively)

                      1,320,186  

Variation margin payable

    3,354       4,860       4,290        

Payable to investment advisor

    34,864       34,789       28,320       59,180  

Distributions payable

                       

Accrued 12b-1 fees

    1,906       1,172       1,905       1,118  

Accrued shareholder service fees

    2,822       1,146       2,068       1,345  

Accrued administration fees

    12,209       7,613       4,957       10,363  

Accrued CCO fees

    4,695       3,451       1,648       4,308  

Accrued Custody fees

    2,994       2,630       3,853       3,882  

Accrued Fund Accounting Fees

    8,071       6,006       3,361       7,405  

Accrued Printing fees

                590        

Accrued State Registration fees

    671       1,423       1,141       678  

Accrued Transfer Agent fees

    3,555       2,984       1,459       15,130  

Accrued Trustee fees

    422       434       364       500  

Accrued expenses

    4,611       394       2,275       1,085  

Total liabilities

    80,174       66,902       56,231       1,425,180  
                                 

Net assets

  $ 184,203,710     $ 114,533,558     $ 75,019,484     $ 155,131,678  
                                 

Net assets at February 28, 2019 consist of

                               

Paid-in capital

  $ 67,975,749     $ 77,475,359     $ 56,504,259     $ 113,784,244  

Distributable earnings/(loss)

    116,227,961       37,058,199       18,515,225       41,347,434  

Total net assets

  $ 184,203,710     $ 114,533,558     $ 75,019,484     $ 155,131,678  
                                 

Net assets

                               

Direct Shares

  $ 175,699,918     $ 109,496,458     $ 67,034,236     $ 150,545,182  

K Shares

  $ 8,503,792     $ 5,037,100     $ 7,985,248     $ 4,586,496  
                                 

Shares outstanding

                               

Direct Shares (no par value, unlimited shares authorized)

    3,292,095       4,514,655       3,082,847       7,640,394  

K Shares (no par value, unlimited shares authorized)

    159,633       210,929       377,326       236,038  
                                 

Net asset value per share

                               

Direct Shares

  $ 53.35     $ 24.25     $ 21.75     $ 19.71  

K Shares

  $ 53.25     $ 23.87     $ 21.16     $ 19.42  

 

See accompanying notes to financial statements.

 

26

 

 

Statements of Assets & Liabilities
February 28, 2019 (Unaudited) (Continued)

 

   

Nasdaq-100
Index Fund

   

Shelton Green
Alpha Fund

 

Assets

               

Investments in securities

               

Cost of investments

  $ 362,679,992     $ 41,668,475  

Market value of investments (Note 1)

    596,227,675       49,087,953  

Cash

    718,260       1,151,229  

Cash held at broker

    400,000        

Interest receivable

           

Dividend receivable

    624,743       85,094  

Receivable for fund shares sold

           

Receivable for Investment Securities Sold

           

Prepaid expenses

    142,269       3,983  

Total assets

  $ 598,112,947     $ 50,328,259  
                 

Liabilities

               

Written options, at value

           

Variation margin payable

    6,285        

Payable to investment advisor

    119,741       37,084  

Distributions payable

           

Accrued 12b-1 fees

    5,139        

Accrued shareholder service fees

    5,782        

Accrued administration fees

    39,738       3,249  

Accrued CCO fees

    13,821       1,081  

Accrued Custody fees

    8,479       746  

Accrued Fund Accounting Fees

    21,806       2,912  

Accrued Printing fees

          1,522  

Accrued State Registration fees

    665       6,602  

Accrued Transfer Agent fees

    15,069       1,134  

Accrued Trustee fees

    395       388  

Accrued expenses

    3,266       597  

Total liabilities

    240,186       55,315  
                 

Net assets

  $ 597,872,761     $ 50,272,944  
                 

Net assets at February 28, 2019 consist of

               

Paid-in capital

  $ 370,188,567     $ 42,849,677  

Distributable earnings/(loss)

    227,684,194       7,423,267  

Total net assets

  $ 597,872,761     $ 50,272,944  
                 

Net assets

               

Direct Shares

  $ 572,481,440     $ 50,272,944  

K Shares

  $ 25,391,321          
                 

Shares outstanding

               

Direct Shares (no par value, unlimited shares authorized)

    32,785,594       2,861,660  

K Shares (no par value, unlimited shares authorized)

    1,495,144          
                 

Net asset value per share

               

Direct Shares

  $ 17.46     $ 17.58  

K Shares

  $ 16.97          

 

See accompanying notes to financial statements.

 

27

 

 

Statements of Operations
February 28, 2019 (Unaudited)

 

   

Green
California
Tax-Free
Income Fund

   

U.S.
Government
Securities
Fund

   

Short-Term
U.S.
Government
Bond Fund

   

The United
States
Treasury
Trust

 

Investment income

                               

Interest income

  $ 925,768     $ 206,612     $ 58,856     $ 604,087  

Dividend income

                       

Total

    925,768       206,612       58,856       604,087  
                                 

Expenses

                               

Management fees (Note 2)

    164,257       46,832       15,902       135,741  

Administration fees (Note 2)

    29,078       8,196       2,767       23,865  

Transfer agent fees

    8,464       6,122       1,487       5,075  

Accounting services

    19,697       12,204       9,096       14,816  

Custodian fees

    2,801       1,046       415       2,690  

Broker Fees

                       

Legal and audit fees

    9,670       5,422       3,842       7,575  

CCO fees (Note 2)

    5,033       1,355       452       3,803  

Trustees fees

    2,618       2,546       2,523       2,444  

Insurance

    2,394       688       190       1,884  

Printing

    4,966       5,169       4,119       2,739  

Registration and dues

    1,232       3,126       685       2,076  

12b-1 fees Class K (Note 2)

          4,514       1,519       2,460  

Shareholder service fees Class K (Note 2)

          4,514       1,502       2,460  

Licensing fee

                       

Total expenses

    250,210       101,734       44,499       207,628  

Less class specific expenses waived

                (6,739 )      

Less reimbursement from manager (Note 2)

          (22,057 )     (15,588 )     (55,031 )

Net expenses

    250,210       79,677       22,172       152,597  

Net investment income

    675,558       126,935       36,684       451,490  
                                 

Realized and unrealized gain (loss) on investments

                               

Net realized gain/(loss) from security transactions and foreign currency

    86,434       (42,987 )     (46 )     (14 )

Net realized gain/(loss) from futures contracts

                       

Net realized gain/(loss) from written options contracts

                       

Change in unrealized appreciation/(depreciation) of investments

    562,108       203,655       28,734        

Change in unrealized appreciation/(depreciation) of futures

                       

Change in unrealized appreciation/(depreciation) of written options contracts

                       

Net realized and unrealized gain/(loss) on investments

    648,542       160,668       28,688       (14 )

Net increase/(decrease) in net assets resulting from operations

  $ 1,324,100     $ 287,603     $ 65,372     $ 451,476  

 

See accompanying notes to financial statements.

 

28

 

 

Statements of Operations
February 28, 2019 (Unaudited) (Continued)

 

   

S&P 500
Index Fund

   

S&P MidCap
Index Fund

   

S&P
SmallCap
Index Fund

   

Shelton
Core Value
Fund

 

Investment income

                               

Interest income

  $ 344     $ 1,426     $ 5,687     $ 72,014  

Dividend income (net of foreign tax withheld of $3,214, $401, $188 and $11,250, respectively)

    1,829,505       777,481       408,817       2,062,488  

Total

    1,829,849       778,907       414,504       2,134,502  
                                 

Expenses

                               

Management fees (Note 2)

    223,150       229,555       188,116       398,969  

Administration fees (Note 2)

    78,450       50,189       32,884       69,766  

Transfer agent fees

    12,933       9,907       8,792       70,922  

Accounting services

    35,899       26,971       23,322       29,941  

Custodian fees

    8,063       6,153       4,823       8,316  

Broker Fees

                      48  

Legal and audit fees

    18,124       12,702       6,659       16,264  

CCO fees (Note 2)

    13,371       8,925       5,270       11,813  

Trustees fees

    2,535       2,547       2,477       2,613  

Insurance

    5,533       3,967       2,276       5,962  

Printing

    8,250       7,381       5,860       14,540  

Registration and dues

    6,511       6,447       3,903       11,973  

12b-1 fees Class K (Note 2)

    11,299       6,812       10,587       6,194  

Shareholder service fees Class K (Note 2)

    11,231       6,812       10,586       6,194  

Licensing fee

    18,616       13,018       7,071        

Total expenses

    453,965       391,386       312,626       653,515  

Less class specific expenses waived

                       

Less reimbursement from manager (Note 2)

                       

Net expenses

    453,965       391,386       312,626       653,515  

Net investment income

    1,375,884       387,521       101,878       1,480,987  
                                 

Realized and unrealized gain (loss) on investments

                               

Net realized gain/(loss) from security transactions and foreign currency

    1,362,509       4,606,773       1,558,508       3,815,714  

Net realized gain/(loss) from futures contracts

    (14,394 )     (9,929 )     (248,831 )      

Net realized gain/(loss) from written options contracts

                      2,211,921  

Change in unrealized appreciation/(depreciation) of investments

    (9,073,461 )     (13,290,212 )     (11,724,765 )     (12,968,938 )

Change in unrealized appreciation/(depreciation) of futures

    591       15,443       4,042        

Change in unrealized appreciation/(depreciation) of written options contracts

                      287,774  

Net realized and unrealized gain/(loss) on investments

    (7,724,755 )     (8,677,925 )     (10,411,046 )     (6,653,529 )

Net increase/(decrease) in net assets resulting from operations

  $ (6,348,871 )   $ (8,290,404 )   $ (10,309,168 )   $ (5,172,542 )

 

See accompanying notes to financial statements.

 

29

 

 

Statements of Operations
February 28, 2019 (Unaudited) (Continued)

 

   

Nasdaq-100
Index Fund

   

Shelton Green
Alpha Fund

 

Investment income

               

Interest income

  $ 84,386     $  

Dividend income (net of foreign tax withheld of $808 and $9,804, respectively)

    3,516,098       269,541  

Total

    3,600,484       269,541  
                 

Expenses

               

Management fees (Note 2)

    1,481,084       221,063  

Administration fees (Note 2)

    260,606       19,324  

Transfer agent fees

    76,544       5,543  

Accounting services

    83,595       14,191  

Custodian fees

    23,761       2,402  

Broker Fees

           

Legal and audit fees

    51,049       7,451  

CCO fees (Note 2)

    42,853       3,218  

Trustees fees

    2,508       2,502  

Insurance

    16,968       1,393  

Printing

    31,798       7,573  

Registration and dues

    11,783       9,030  

12b-1 fees Class K (Note 2)

    31,984        

Shareholder service fees Class K (Note 2)

    32,146        

Licensing fee

    59,870        

Total expenses

    2,206,549       293,690  

Less class specific expenses waived

           

Less reimbursement from manager (Note 2)

    (649,112 )      

Net expenses

    1,557,437       293,690  

Net investment income

    2,043,047       (24,149 )
                 

Realized and unrealized gain (loss) on investments

               

Net realized gain/(loss) from security transactions and foreign currency

    5,296,540       495,595  

Net realized gain/(loss) from futures contracts

    (1,612,990 )      

Net realized gain/(loss) from written options contracts

           

Change in unrealized appreciation/(depreciation) of investments

    (45,020,818 )     1,220,029  

Change in unrealized appreciation/(depreciation) of futures

    (482,644 )      

Change in unrealized appreciation/(depreciation) of written options contracts

           

Net realized and unrealized gain/(loss) on investments

    (41,819,912 )     1,715,624  

Net increase/(decrease) in net assets resulting from operations

  $ (39,776,865 )   $ 1,691,475  

 

See accompanying notes to financial statements.

 

30

 

 

Statements of Changes in Net Assets

 

   

Green California Tax-Free
Income Fund

 
   

Six Months
Ended
February 28,
2019
(Unaudited)

   

Year
Ended
August 31,
2018

 

Operations

               

Net investment income/(loss)

  $ 675,558     $ 1,440,673  

Net realized gain/(loss) on investments and foreign currency

    86,434       98,984  

Net realized gain/(loss) on futures contracts

           

Net realized gain/(loss) on written option contracts

           

Change in unrealized appreciation/(depreciation) of investments

    562,108       (2,120,294 )

Change in unrealized appreciation/(depreciation) of written options contracts

           

Change in unrealized appreciation/(depreciation) of futures contracts

           

Net increase/(decrease) in net assets resulting from operations

    1,324,100       (580,637 )
                 

Distributions to shareholders

               

Distributions(a)

               

Direct shares

    (791,157 )      

K shares

           

Distributions from net investment income

               

Direct shares

          (1,471,475 )

K shares

           

Distributions from realized capital gains on investments

               

Direct shares

          (234,947 )

K shares

           
                 

Capital share transactions

               

Increase (decrease) in net assets resulting from capital share transactions

    (4,385,080 )     (4,769,961 )

Total increase (decrease)

    (3,852,137 )     (7,057,020 )
                 

Net assets

               

Beginning of year

  $ 68,252,959     $ 75,309,979  

End of year

  $ 64,400,822     $ 68,252,959  

 

 

(a)

The SEC eliminated the requirement to disclose components of distributuons paid to shareholders in September 2018.

 

 

See accompanying notes to financial statements.

 

31

 

 

Statements of Changes in Net Assets
(Continued)

 

   

U.S. Government
Securities Fund

   

Short-Term U.S.
Government Bond Fund

   

The United States
Treasury Trust

 
   

Six Months
Ended
February 28,
2019
(Unaudited)

   

Year
Ended
August 31,
2018

   

Six Months
Ended
February 28,
2019
(Unaudited)

   

Year
Ended
August 31,
2018

   

Six Months
Ended
February 28,
2019
(Unaudited)

   

Year
Ended
August 31,
2018

 

Operations

                                               

Net investment income/(loss)

  $ 126,935     $ 275,977     $ 36,684     $ 38,967     $ 451,490     $ 525,502  

Net realized gain/(loss) on investments and foreign currency

    (42,987 )     50,784       (46 )     (1,308 )     (14 )     (1 )

Net realized gain/(loss) on futures contracts

                                   

Net realized gain/(loss) on written option contracts

                                   

Change in unrealized appreciation/(depreciation) of investments

    203,655       (763,008 )     28,734       (47,606 )            

Change in unrealized appreciation/(depreciation) of written options contracts

                                   

Change in unrealized appreciation/(depreciation) of futures contracts

                                   

Net increase/(decrease) in net assets resulting from operations

    287,603       (436,247 )     65,372       (9,947 )     451,476       525,501  
                                                 

Distributions to shareholders

                                               

Distributions(a)

                                               

Direct shares

    (110,333 )           (32,057 )           (444,412 )      

K shares

    (17,345 )           (4,626 )           (11,758 )      

Distributions from net investment income

                                               

Direct shares

          (247,995 )           (35,380 )           (511,891 )

K shares

          (34,940 )           (3,512 )           (12,864 )

Distributions from realized capital gains on investments

                                               

Direct shares

                                   

K shares

                                   
                                                 

Capital share transactions

                                               

Increase (decrease) in net assets resulting from capital share transactions

    (820,871 )     (1,936,468 )     105,542       1,127,333       (1,966,896 )     (4,336,408 )

Total increase (decrease)

    (660,946 )     (2,655,650 )     134,231       1,078,494       (1,971,590 )     (4,335,662 )
                                                 

Net assets

                                               

Beginning of year

  $ 19,359,309     $ 22,014,959     $ 6,402,431     $ 5,323,937     $ 54,935,830     $ 59,271,492  

End of year

  $ 18,698,363     $ 19,359,309     $ 6,536,662     $ 6,402,431     $ 52,964,240     $ 54,935,830  

 

 

(a)

The SEC eliminated the requirement to disclose components of distributuons paid to shareholders in September 2018.

 

See accompanying notes to financial statements.

 

32

 

 

Statements of Changes in Net Assets
(Continued)

 

   

S&P 500 Index Fund

   

S&P MidCap Index Fund

   

S&P SmallCap Index Fund

 
   

Six Months
Ended
February 28,
2019
(Unaudited)

   

Year
Ended
August 31,
2018

   

Six Months
Ended
February 28,
2019
(Unaudited)

   

Year
Ended
August 31,
2018

   

Six Months
Ended
February 28,
2019
(Unaudited)

   

Year
Ended
August 31,
2018

 

Operations

                                               

Net investment income/(loss)

  $ 1,375,884     $ 2,775,317     $ 387,521     $ 1,136,376     $ 101,878     $ 372,943  

Net realized gain/(loss) on investments and foreign currency

    1,362,509       1,080,430       4,606,773       10,569,898       1,558,508       4,990,033  

Net realized gain/(loss) on futures contracts

    (14,394 )     15,399       (9,929 )     78,996       (248,831 )     125,810  

Net realized gain/(loss) on written option contracts

                                   

Change in unrealized appreciation/(depreciation) of investments

    (9,073,461 )     27,825,235       (13,290,212 )     10,333,330       (11,724,765 )     14,383,763  

Change in unrealized appreciation/(depreciation) of written options contracts

                                   

Change in unrealized appreciation/(depreciation) of futures contracts

    591       11,995       15,443       18,540       4,042       36,710  

Net increase/(decrease) in net assets resulting from operations

    (6,348,871 )     31,708,376       (8,290,404 )     22,137,140       (10,309,168 )     19,909,259  
                                                 

Distributions to shareholders

                                               

Distributions(a)

                                               

Direct shares

    (2,699,036 )           (11,843,414 )           (5,087,386 )      

K shares

    (130,189 )           (586,364 )           (640,567 )      

Distributions from net investment income

                                               

Direct shares

          (2,509,509 )           (964,222 )           (329,299 )

K shares

          (100,982 )           (24,370 )           (10,369 )

Distributions from realized capital gains on investments

                                               

Direct shares

          (2,439,715 )           (7,026,422 )           (5,770,141 )

K shares

          (131,049 )           (362,108 )           (847,867 )
                                                 

Capital share transactions

                                               

Increase (decrease) in net assets resulting from capital share transactions

    1,101,125       2,225,805       4,346,932       (1,444,057 )     2,304,293       11,559,832  

Total increase (decrease)

    (8,076,971 )     28,752,926       (16,373,250 )     12,315,961       (13,732,828 )     24,511,415  
                                                 

Net assets

                                               

Beginning of year

  $ 192,280,681     $ 163,527,755     $ 130,906,808     $ 118,590,847     $ 88,752,312     $ 64,240,897  

End of year

  $ 184,203,710     $ 192,280,681     $ 114,533,558     $ 130,906,808     $ 75,019,484     $ 88,752,312  

 

 

(a)

The SEC eliminated the requirement to disclose components of distributuons paid to shareholders in September 2018.

 

 

See accompanying notes to financial statements.

 

33

 

 

Statements of Changes in Net Assets
(Continued)

 

   

Shelton Core Value Fund

   

Nasdaq-100 Index Fund

   

Shelton Green Alpha Fund

 
   

Six Months
Ended
February 28,
2019
(Unaudited)

   

Year
Ended
August 31,
2018

   

Six Months
Ended
February 28,
2019
(Unaudited)

   

Year
Ended
August 31,
2018

   

Six Months
Ended
February 28,
2019
(Unaudited)

   

Year
Ended
August 31,
2018

 

Operations

                                               

Net investment income/(loss)

  $ 1,480,987     $ 2,806,914     $ 2,043,047     $ 3,132,933     $ (24,149 )   $ 138,285  

Net realized gain/(loss) on investments and foreign currency

    3,815,714       20,547,811       5,296,540       (1,391,150 )     495,595       225,352  

Net realized gain/(loss) on futures contracts

                (1,612,990 )     2,333,214              

Net realized gain/(loss) on written option contracts

    2,211,921       1,568,983                          

Change in unrealized appreciation/(depreciation) of investments

    (12,968,938 )     (5,065,257 )     (45,020,818 )     122,342,691       1,220,029       375,773  

Change in unrealized appreciation/(depreciation) of written options contracts

    287,774       36,246                          

Change in unrealized appreciation/(depreciation) of futures contracts

                (482,644 )     226,915              

Net increase/(decrease) in net assets resulting from operations

    (5,172,542 )     19,894,697       (39,776,865 )     126,644,603       1,691,475       739,410  
                                                 

Distributions to shareholders

                                               

Distributions(a)

                                               

Direct shares

    (27,228,935 )           (11,132,364 )           (626,757 )      

K shares

    (902,836 )           (431,446 )                  

Distributions from net investment income

                                               

Direct shares

          (2,706,462 )           (2,998,938 )           (123,102 )

K shares

          (63,142 )           (43,752 )            

Distributions from realized capital gains on investments

                                               

Direct shares

          (19,604,495 )           (4,963,602 )           (1,115,328 )

K shares

          (607,991 )           (257,353 )            
                                                 

Capital share transactions

                                               

Increase (decrease) in net assets resulting from capital share transactions

    7,046,690       2,178,723       (10,204,010 )     58,588,483       (157,518 )     9,608,699  

Total increase (decrease)

    (26,257,623 )     (908,670 )     (61,544,685 )     176,969,441       907,200       9,109,679  
                                                 

Net assets

                                               

Beginning of year

  $ 181,389,301     $ 182,297,971     $ 659,417,446     $ 482,448,005     $ 49,365,744     $ 40,256,065  

End of year

  $ 155,131,678     $ 181,389,301     $ 597,872,761     $ 659,417,446     $ 50,272,944     $ 49,365,744  

 

 

(a)

The SEC eliminated the requirement to disclose components of distributuons paid to shareholders in September 2018.

 

 

See accompanying notes to financial statements.

 

34

 

 

Statements of Changes in Net Assets
(Continued)

 

Green California Tax-Free Income Fund

 

Direct Shares

 
   

Six Months Ended
February 28, 2019
(Unaudited)

   

Year Ended
August 31, 2018

 
   

Shares

   

Value

   

Shares

   

Value

 

Shares sold

    82,663     $ 926,074       192,489     $ 2,198,940  

Shares issued in reinvestment of distributions

    46,427       521,381       114,416       1,299,956  

Shares repurchased

    (518,356 )     (5,832,535 )     (725,578 )     (8,268,857 )

Net increase (decrease)

    (389,266 )   $ (4,385,080 )     (418,673 )   $ (4,769,961 )

 

U.S. Government Securities Fund

 

Direct Shares

   

K Shares

 
   

Six Months Ended
February 28, 2019
(Unaudited)

   

Year Ended
August 31, 2018

   

Six Months Ended
February 28, 2019
(Unaudited)

   

Year Ended
August 31, 2018

 
   

Shares

   

Value

   

Shares

   

Value

   

Shares

   

Value

   

Shares

   

Value

 

Shares sold

    290,865     $ 2,909,888       410,925     $ 4,134,669       29,401     $ 294,243       64,564     $ 649,806  

Shares issued in reinvestment of distributions

    8,959       89,330       23,995       241,135       1,453       14,528       3,468       34,940  

Shares repurchased

    (336,110 )     (3,367,121 )     (639,618 )     (6,428,304 )     (75,772 )     (761,739 )     (56,637 )     (568,714 )

Net increase (decrease)

    (36,286 )   $ (367,903 )     (204,698 )   $ (2,052,500 )     (44,918 )   $ (452,968 )     11,395     $ 116,032  

 

Short-Term U.S. Government Bond Fund

 

Direct Shares

   

K Shares

 
   

Six Months Ended
February 28, 2019
(Unaudited)

   

Year Ended
August 31, 2018

   

Six Months Ended
February 28, 2019
(Unaudited)

   

Year Ended
August 31, 2018

 
   

Shares

   

Value

   

Shares

   

Value

   

Shares

   

Value

   

Shares

   

Value

 

Shares sold

    50,232     $ 505,914       168,773     $ 1,694,764       25,005     $ 247,692       37,617     $ 372,176  

Shares issued in reinvestment
of distributions

    2,556       25,694       3,453       34,707       377       3,728       355       3,512  

Shares repurchased

    (38,606 )     (388,415 )     (71,877 )     (722,778 )     (29,216 )     (289,071 )     (25,768 )     (255,048 )

Net increase (decrease)

    14,182     $ 143,193       100,349     $ 1,006,693       (3,834 )   $ (37,651 )     12,204     $ 120,640  

 

The United States Treasury Trust

 

Direct Shares

   

K Shares

 
   

Six Months
Ended
February 28,
2019
(Unaudited)

   

Year Ended
August 31,
2018

   

Six Months
Ended
February 28,
2019
(Unaudited)

   

Year Ended
August 31,
2018

 
   

Shares/
Value

   

Shares/
Value

   

Shares/
Value

   

Shares/
Value

 

Shares sold

  $ 14,665,180     $ 29,856,493     $ 442,604     $ 1,133,945  

Shares issued in reinvestment of distributions

    360,015       519,278       9,447       13,556  

Shares repurchased

    (17,017,358 )     (34,454,055 )     (426,784 )     (1,405,625 )

Net increase (decrease)

  $ (1,992,163 )   $ (4,078,284 )   $ 25,267     $ (258,124 )

 

S&P 500 Index Fund

 

Direct Shares

   

K Shares

 
   

Six Months Ended
February 28, 2019
(Unaudited)

   

Year Ended
August 31, 2018

   

Six Months Ended
February 28, 2019
(Unaudited)

   

Year Ended
August 31, 2018

 
   

Shares

   

Value

   

Shares

   

Value

   

Shares

   

Value

   

Shares

   

Value

 

Shares sold

    155,084     $ 8,072,839       316,665     $ 16,512,221       7,353     $ 384,337       34,811     $ 1,828,998  

Shares issued in reinvestment of distributions

    44,091       2,306,183       85,490       4,352,782       2,471       129,908       4,554       231,422  

Shares repurchased

    (160,478 )     (8,362,694 )     (359,933 )     (18,693,030 )     (27,363 )     (1,429,448 )     (38,443 )     (2,006,588 )

Net increase (decrease)

    38,697     $ 2,016,328       42,222     $ 2,171,973       (17,539 )   $ (915,203 )     922     $ 53,832  

 

See accompanying notes to financial statements.

 

35

 

 

Statements of Changes in Net Assets
(Continued)

 

S&P MidCap Index Fund

 

Direct Shares

   

K Shares

 
   

Six Months Ended
February 28, 2019
(Unaudited)

   

Year Ended
August 31, 2018

   

Six Months Ended
February 28, 2019
(Unaudited)

   

Year Ended
August 31, 2018

 
   

Shares

   

Value

   

Shares

   

Value

   

Shares

   

Value

   

Shares

      Value  

Shares sold

    181,681     $ 4,437,197       381,155     $ 10,344,473       9,175     $ 222,933       36,800     $ 976,786  

Shares issued in reinvestment of distributions

    469,229       11,148,061       280,625       7,493,527       25,049       586,230       14,653       385,802  

Shares repurchased

    (472,022 )     (11,074,034 )     (720,298 )     (19,367,998 )     (40,998 )     (973,455 )     (47,611 )     (1,276,647 )

Net increase (decrease)

    178,888     $ 4,511,224       (58,518 )   $ (1,529,998 )     (6,774 )   $ (164,292 )     3,842     $ 85,941  

 

S&P SmallCap Index Fund

 

Direct Shares

   

K Shares

 
   

Six Months Ended
February 28, 2019
(Unaudited)

   

Year Ended
August 31, 2018

   

Six Months Ended
February 28, 2019
(Unaudited)

   

Year Ended
August 31, 2018

 
   

Shares

   

Value

   

Shares

   

Value

   

Shares

   

Value

   

Shares

   

Value

 

Shares sold

    267,939     $ 5,799,214       742,607     $ 17,856,841       16,738     $ 364,429       45,402     $ 1,051,669  

Shares issued in reinvestment of distributions

    224,590       4,822,269       259,328       5,899,905       30,621       640,567       38,713       858,236  

Shares repurchased

    (396,469 )     (8,236,830 )     (527,057 )     (12,344,987 )     (52,225 )     (1,085,356 )     (75,529 )     (1,761,832 )

Net increase (decrease)

    96,060     $ 2,384,653       474,878     $ 11,411,759       (4,866 )   $ (80,360 )     8,586     $ 148,073  

 

Shelton Core Value Fund

 

Direct Shares

   

K Shares

 
   

Six Months Ended
February 28, 2019
(Unaudited)

   

Year Ended
August 31, 2018

   

Six Months Ended
February 28, 2019
(Unaudited)

   

Year Ended
August 31, 2018

 
   

Shares

   

Value

   

Shares

   

Value

   

Shares

   

Value

   

Shares

   

Value

 

Shares sold

    130,690     $ 2,645,889       215,616     $ 5,281,601       14,566     $ 292,371       23,399     $ 562,845  

Shares issued in reinvestment of distributions "

    1,365,064       26,672,918       913,658       21,786,702       46,898       902,836       28,485       671,133  

Shares repurchased

    (1,034,839 )     (22,545,071 )     (1,030,515 )     (24,996,066 )     (47,071 )     (922,253 )     (47,086 )     (1,127,492 )

Net increase (decrease)

    460,915     $ 6,773,736       98,759     $ 2,072,237       14,393     $ 272,954       4,798     $ 106,486  

 

Nasdaq-100 Index Fund

 

Direct Shares

   

K Shares

 
   

Six Months Ended
February 28, 2019
(Unaudited)

   

Year Ended
August 31, 2018

   

Six Months Ended
February 28, 2019
(Unaudited)

   

Year Ended
August 31, 2018

 
   

Shares

   

Value

   

Shares

   

Value

   

Shares

   

Value

   

Shares

   

Value

 

Shares sold

    5,088,749     $ 86,973,834       11,879,873     $ 200,200,836       160,963     $ 2,705,137       508,751     $ 8,345,968  

Shares issued in reinvestment of distributions

    634,827       10,689,353       472,251       7,596,615       26,073       431,440       19,452       301,104  

Shares repurchased

    (6,405,124 )     (106,871,662 )     (9,057,208 )     (149,920,159 )     (251,259 )     (4,132,112 )     (480,106 )     (7,935,881 )

Net increase (decrease)

    (681,548 )   $ (9,208,475 )     3,294,916     $ 57,877,292       (64,223 )   $ (995,535 )     48,097     $ 711,191  

 

Shelton Green Alpha Fund

 

Direct Shares

 
   

Six Months Ended
February 28, 2019
(Unaudited)

   

Year Ended
August 31, 2018

 
   

Shares

   

Value

   

Shares

   

Value

 

Shares sold

    350,467     $ 5,499,842       983,082     $ 17,109,553  

Shares issued in reinvestment of distributions

    38,850       611,891       68,362       1,209,178  

Shares repurchased

    (399,685 )     (6,269,251 )     (504,940 )     (8,710,032 )

Net increase (decrease)

    (10,368 )   $ (157,518 )     546,504     $ 9,608,699  

 

See accompanying notes to financial statements.

 

36

 

 

Financial Highlights

(For a Share Outstanding Throughout Each Period)

 

Green California Tax-Free Income Fund

Direct Shares

 

Six Months
Ended
February 28,
2019
(Unaudited)

   

Year Ended
August 31,
2018

   

Year Ended
August 31,
2017

   

Year Ended
August 31,
2016

   

Year Ended
August 31,
2015

   

Year Ended
August 31,
2014

 

Net asset value, beginning of year

  $ 11.29     $ 11.65     $ 11.93     $ 11.69     $ 11.81     $ 11.27  

INCOME FROM INVESTMENT OPERATIONS

                                               

Net investment income/(loss)(a)

    0.11       0.23       0.25       0.29       0.28       0.33  

Net gain/(loss) on securities (both realized and unrealized)

    0.12       (0.31 )     (0.20 )     0.24       (0.07 )     0.54  

Total from investment operations

    0.23       (0.08 )     0.05       0.53       0.21       0.87  

LESS DISTRIBUTIONS

                                               

Dividends from net investment income

    (0.12 )     (0.24 )     (0.27 )     (0.29 )     (0.28 )     (0.33 )

Distributions from capital gains

    (0.02 )     (0.04 )     (0.06 )           (0.05 )      

Total distributions

    (0.14 )     (0.28 )     (0.33 )     (0.29 )     (0.33 )     (0.33 )

Net asset value, end of year or period

  $ 11.38     $ 11.29     $ 11.65     $ 11.93     $ 11.69     $ 11.81  
                                                 

Total return

    2.01 %     (0.74 )%     0.43 %     4.60 %     1.78 %     7.80 %
                                                 

RATIOS / SUPPLEMENTAL DATA

                                               

Net assets, end of year or period (000s)

  $ 64,401     $ 68,253     $ 75,310     $ 84,422     $ 89,213     $ 97,111  

Ratio of expenses to average net assets

    0.38 %     0.76 %     0.69 %     0.69 %     0.71 %     0.73 %

Ratio of net investment income/(loss) to average net assets

    1.02 %     2.02 %     2.20 %     2.47 %     2.41 %     2.88 %

Portfolio turnover

    1 %     12 %     7 %     19 %     12 %     10 %

 

 

(a)

Calculated based upon average shares outstanding.

 

See accompanying notes to financial statements.

 

37

 

 

Financial Highlights

(For a Share Outstanding Throughout Each Period) (Continued)

 

U.S. Government Securities Fund

Direct Shares

 

Six Months
Ended
February 28,
2019
(Unaudited)

   

Year Ended
August 31,
2018

   

Year Ended
August 31,
2017

   

Year Ended
August 31,
2016

   

Year Ended
August 31,
2015

   

Year Ended
August 31,
2014

 

Net asset value, beginning of year

  $ 9.98     $ 10.32     $ 10.61     $ 10.42     $ 10.40     $ 10.38  

INCOME FROM INVESTMENT OPERATIONS

                                               

Net investment income/(loss)(a)

    0.07       0.14       0.14       0.14       0.14       0.19  

Net gain/(loss) on securities (both realized and unrealized)

    0.08       (0.33 )     (0.26 )     0.20       0.02       0.02  

Total from investment operations

    0.15       (0.19 )     (0.12 )     0.34       0.16       0.21  

LESS DISTRIBUTIONS

                                               

Dividends from net investment income

    (0.07 )     (0.15 )     (0.17 )     (0.15 )     (0.14 )     (0.19 )

Total distributions

    (0.07 )     (0.15 )     (0.17 )     (0.15 )     (0.14 )     (0.19 )

Net asset value, end of year or period

  $ 10.06     $ 9.98     $ 10.32     $ 10.61     $ 10.42     $ 10.40  
                                                 

Total return

    1.53 %     (1.88 )%     (1.14 )%     3.25 %     1.58 %     2.03 %
                                                 

RATIOS / SUPPLEMENTAL DATA

                                               

Net assets, end of year or period (000s)

  $ 15,431     $ 15,668     $ 18,316     $ 19,754     $ 19,855     $ 22,746  

Ratio of expenses to average net assets:

                                               

Before expense reimbursements

    0.49 %     0.89 %     0.81 %     0.82 %     0.83 %     0.86 %

After expense reimbursements

    0.37 %     0.75 %     0.74 %     0.74 %     0.74 %     0.72 %

Ratio of net investment income/(loss) to average net assets

                                               

Before expense reimbursements

    0.60 %     1.29 %     1.27 %     1.25 %     1.29 %     1.68 %

After expense reimbursements

    0.72 %     1.42 %     1.34 %     1.33 %     1.38 %     1.82 %

Portfolio turnover

    7 %     13 %     10 %     18 %     18 %     32 %

 

K Shares

 

Six Months
Ended
February 28,
2019
(Unaudited)

   

Year Ended
August 31,
2018

   

Year Ended
August 31,
2017

   

Year Ended
August 31,
2016

   

Year Ended
August 31,
2015

   

Year Ended
August 31,
2014

 

Net asset value, beginning of year

  $ 10.01     $ 10.35     $ 10.64     $ 10.43     $ 10.41     $ 10.40  

INCOME FROM INVESTMENT OPERATIONS

                                               

Net investment income/(loss)(a)

    0.05       0.09       0.09       0.09       0.09       0.14  

Net gain/(loss) on securities (both realized and unrealized)

    0.08       (0.33 )     (0.27 )     0.20       0.03       0.01  

Total from investment operations

    0.13       (0.24 )     (0.18 )     0.29       0.12       0.15  

LESS DISTRIBUTIONS

                                               

Dividends from net investment income

    (0.05 )     (0.10 )     (0.11 )     (0.08 )     (0.10 )     (0.14 )

Total distributions

    (0.05 )     (0.10 )     (0.11 )     (0.08 )     (0.10 )     (0.14 )

Net asset value, end of year or period

  $ 10.09     $ 10.01     $ 10.35     $ 10.64     $ 10.43     $ 10.41  
                                                 

Total return

    1.29 %     (2.37 )%     (1.67 )%     2.77 %     1.13 %     1.48 %
                                                 

RATIOS / SUPPLEMENTAL DATA

                                               

Net assets, end of year or period (000s)

  $ 3,267     $ 3,691     $ 3,699     $ 4,712     $ 5,349     $ 6,085  

Ratio of expenses to average net assets:

                                               

Before expense reimbursements

    0.74 %     1.39 %     1.31 %     1.32 %     1.33 %     1.36 %

After expense reimbursements

    0.59 %     1.25 %     1.24 %     1.24 %     1.24 %     1.22 %

Ratio of net investment income/(loss) to average net assets

                                               

Before expense reimbursements

    0.35 %     0.78 %     0.77 %     0.75 %     0.77 %     1.18 %

After expense reimbursements

    0.47 %     0.92 %     0.84 %     0.84 %     0.88 %     1.32 %

Portfolio turnover

    7 %     13 %     10 %     18 %     18 %     32 %

 

 

(a)

Calculated based upon average shares outstanding.

 

See accompanying notes to financial statements.

 

38

 

 

Financial Highlights

(For a Share Outstanding Throughout Each Period) (Continued)

 

Short-Term U.S. Government Bond Fund

Direct Shares

 

Six Months
Ended
February 28,
2019
(Unaudited)

   

Year Ended
August 31,
2018

   

Year Ended
August 31,
2017

   

Year Ended
August 31,
2016

   

Year Ended
August 31,
2015

   

Year Ended
August 31,
2014

 

Net asset value, beginning of year

  $ 10.04     $ 10.14     $ 10.18     $ 10.16     $ 10.17     $ 10.17  

INCOME FROM INVESTMENT OPERATIONS

                                               

Net investment income/(loss)(a)

    0.06       0.08       0.05       0.02       0.00       (0.01 )

Net gain/(loss) on securities (both realized and unrealized)

    0.05       (0.10 )     (0.05 )     0.02       (0.01 )     0.01  

Total from investment operations

    0.11       (0.02 )           0.04       (0.01 )      

LESS DISTRIBUTIONS

                                               

Dividends from net investment income

    (0.06 )     (0.08 )     (0.04 )     (0.02 )            

Distributions from capital gains

                             (b)      

Total distributions

    (0.06 )     (0.08 )     (0.04 )     (0.02 )            

Net asset value, end of year or period

  $ 10.09     $ 10.04     $ 10.14     $ 10.18     $ 10.16     $ 10.17  
                                                 

Total return

    1.12 %     (0.21 )%     0.09 %     0.38 %     (0.07 )%     0.00 %
                                                 

RATIOS / SUPPLEMENTAL DATA

                                               

Net assets, end of year or period (000s)

  $ 5,298     $ 5,131     $ 4,162     $ 4,148     $ 5,223     $ 5,789  

Ratio of expenses to average net assets:

                                               

Before expense reimbursements

    0.54 %     1.10 %     0.97 %     0.95 %     0.97 %     1.06 %

After expense reimbursements

    0.28 %     0.60 %     0.59 %     0.59 %     0.59 %     0.59 %

Ratio of net investment income/(loss) to average net assets

                                               

Before expense reimbursements

    0.38 %     0.15 %     0.08 %     (0.12 )%     (0.36 )%     (0.60 )%

After expense reimbursements

    0.62 %     0.81 %     0.46 %     0.24 %     0.02 %     (0.13 )%

Portfolio turnover

    15 %     28 %     27 %     47 %     33 %     28 %

 

K Shares

 

Six Months
Ended
February 28,
2019
(Unaudited)

   

Year Ended
August 31,
2018

   

Year Ended
August 31,
2017

   

Year Ended
August 31,
2016

   

Year Ended
August 31,
2015

   

Year Ended
August 31,
2014

 

Net asset value, beginning of year

  $ 9.88     $ 9.98     $ 10.02     $ 10.03     $ 10.10     $ 10.15  

INCOME FROM INVESTMENT OPERATIONS

                                               

Net investment income/(loss)(a)

    0.04       0.03       (0.01 )     (0.03 )     (0.05 )     (0.06 )

Net gain/(loss) on securities (both realized and unrealized)

    (0.03 )     (0.10 )     (0.03 )     0.02       (0.02 )     0.01  

Total from investment operations

    0.01       (0.07 )     (0.04 )     (0.01 )     (0.07 )     (0.05 )

LESS DISTRIBUTIONS

                                               

Dividends from net investment income

    0.04       (0.03 )                        

Distributions from capital gains

                 (b)            (b)      

Total distributions

    0.04       (0.03 )     (0.00 )                  

Net asset value, end of year or period

  $ 9.93     $ 9.88     $ 9.98     $ 10.02     $ 10.03     $ 10.10  
                                                 

Total return

    0.88 %     (0.72 )%     (0.35 )%     (0.10 )%     (0.66 )%     (0.49 )%
                                                 

RATIOS / SUPPLEMENTAL DATA

                                               

Net assets, end of year or period (000s)

  $ 1,239     $ 1,271     $ 1,162     $ 1,330     $ 1,503     $ 1,896  

Ratio of expenses to average net assets:

                                               

Before expense reimbursements

    0.79 %     1.76 %     1.47 %     1.45 %     1.47 %     1.56 %

After expense reimbursements

    0.46 %     1.10 %     1.09 %     1.09 %     1.09 %     1.09 %

Ratio of net investment income/(loss) to average net assets

                                               

Before expense reimbursements

    0.13 %     (0.36 )%     (0.44 )%     (0.61 )%     (0.86 )%     (1.10 )%

After expense reimbursements

    0.37 %     0.29 %     (0.06 )%     (0.26 )%     (0.48 )%     (0.63 )%

Portfolio turnover

    15 %     28 %     27 %     47 %     33 %     28 %

 

 

(a)

Calculated based upon average shares outstanding.

(b)

Less than $0.01 per share.

 

See accompanying notes to financial statements.

 

39

 

 

Financial Highlights

(For a Share Outstanding Throughout Each Period) (Continued)

 

The United States Treasury Trust

Direct Shares

 

Six Months
Ended
February 28,
2019
(Unaudited)

   

Year Ended
August 31,
2018

   

Year Ended
August 31,
2017

   

Year Ended
August 31,
2016

   

Year Ended
August 31,
2015

   

Year Ended
August 31,
2014

 

Net asset value, beginning of year

  $ 1.00     $ 1.00     $ 1.00     $ 1.00     $ 1.00     $ 1.00  

INCOME FROM INVESTMENT OPERATIONS

                                               

Net investment income/(loss)(a)

    0.01       0.01                          

Net gain/(loss) on securities (both realized and unrealized)

    (0.01 )      (d)                        

Total from investment operations

                                   

LESS DISTRIBUTIONS

                                               

Dividends from net investment income

          (0.01 )      (d)                  

Distributions from capital gains

                                   

Total distributions

          (0.01 )                        

Net asset value, end of year or period

  $ 1.000     $ 1.00     $ 1.00     $ 1.00     $ 1.00     $ 1.00  
                                                 

Total return

    0.91 %     0.98 %     0.03 %     0.00 %     0.00 %     0.00 %
                                                 

RATIOS / SUPPLEMENTAL DATA

                                               

Net assets, end of year or period (000s)

  $ 51,075     $ 53,079     $ 57,149     $ 72,482     $ 86,224     $ 105,897  

Ratio of expenses to average net assets:

                                               

Before expense reimbursements

    0.37 %     0.77 %     0.71 %     0.71 %     0.70 %     0.73 %

After expense reimbursements

    0.27 %     0.46 %(b)     0.52 %(b)     0.22 %     0.03 %(b)     0.03 %(b)

Ratio of net investment income/(loss) to average net assets

                                               

Before expense reimbursements

    0.73 %     0.65 %     (0.16 )%     (0.49 )%     (0.67 )%     (0.70 )%

After expense reimbursements

    0.83 %     0.96 %(b)     0.03 %(b)     0.00 %     0.00 %(b)     0.00 %(b)

 

K Shares(c)

 

Six Months
Ended
February 28,
2019
(Unaudited)

   

Year Ended
August 31,
2018

   

Year Ended
August 31,
2017

   

Year Ended
August 31,
2016

   

Year Ended
August 31,
2015

   

Year Ended
August 31,
2014

 

Net asset value, beginning of year

  $ 1.00     $ 1.00     $ 1.00     $ 1.00     $ 1.00     $ 1.00  

INCOME FROM INVESTMENT OPERATIONS

                                               

Net investment income/(loss)(a)

    0.01       0.01                          

Net gain/(loss) on securities (both realized and unrealized)

    (0.01 )      (d)                        

Total from investment operations

          0.01                          

LESS DISTRIBUTIONS

                                               

Dividends from net investment income

          (0.01 )      (d)                  

Distributions from capital gains

                                   

Total distributions

          (0.01 )                        

Net asset value, end of year or period

  $ 1.00     $ 1.00     $ 1.00     $ 1.00     $ 1.00     $ 1.00  
                                                 

Total return

    0.58 %     0.65 %     0.03 %     0.00 %     0.00 %     0.00 %
                                                 

RATIOS / SUPPLEMENTAL DATA

                                               

Net assets, end of year or period (000s)

  $ 1,890     $ 1,864     $ 2,122     $ 2,470     $ 2,651     $ 3,013  

Ratio of expenses to average net assets:

                                               

Before expense reimbursements

    0.62 %     1.27 %     1.21 %     0.71 %     0.70 %     0.73 %

After expense reimbursements

    0.46 %     0.78 %(b)     0.52 %(b)     0.22 %     0.03 %(b)     0.03 %(b)

Ratio of net investment income/(loss) to average net assets

                                               

Before expense reimbursements

    0.49 %     0.16 %     (0.13 )%     (0.49 )%     (0.67 )%     (0.70 )%

After expense reimbursements

    0.59 %     0.65 %(b)     0.03 %(b)     0.00 %     0.00 %(b)     0.00 %(b)

 

 

(a)

Calculated based upon average shares outstanding.

(b)

Includes negative yield waiver adjustment.

(c)

K Shares are not accruing 12B-1 or shareholder servicing fees.

(d)

Less than $0.01 per share.

 

See accompanying notes to financial statements.

 

40

 

 

Financial Highlights

(For a Share Outstanding Throughout Each Period) (Continued)

 

S&P 500 Index Fund

Direct Shares

 

Six Months
Ended
February 28,
2019
(Unaudited)

   

Year Ended
August 31,
2018

   

Year Ended
August 31,
2017

   

Year Ended
August 31,
2016

   

Year Ended
August 31,
2015

   

Year Ended
August 31,
2014

 

Net asset value, beginning of year

  $ 56.03     $ 48.26     $ 42.86     $ 39.88     $ 40.61     $ 33.59  

INCOME FROM INVESTMENT OPERATIONS

                                               

Net investment income/(loss)(a)

    0.42       0.82       0.78       0.76       0.72       0.62  

Net gain/(loss) on securities (both realized and unrealized)

    (2.27 )     8.48       5.89       3.99       (0.58 )     7.57  

Total from investment operations

    (1.85 )     9.30       6.67       4.75       0.14       8.19  

LESS DISTRIBUTIONS

                                               

Dividends from net investment income

    (0.42 )     (0.77 )     (0.83 )     (0.78 )     (0.70 )     (0.60 )

Distributions from capital gains

    (0.41 )     (0.76 )     (0.44 )     (0.99 )     (0.17 )     (0.57 )

Total distributions

    (0.83 )     (1.53 )     (1.27 )     (1.77 )     (0.87 )     (1.17 )

Net asset value, end of year or period

  $ 53.35     $ 56.03     $ 48.26     $ 42.86     $ 39.88     $ 40.61  
                                                 

Total return

    (3.27 )%     19.64 %     15.89 %     12.21 %     0.29 %     24.75 %
                                                 

RATIOS / SUPPLEMENTAL DATA

                                               

Net assets, end of year or period (000s)

  $ 175,700     $ 182,362     $ 155,022     $ 135,346     $ 123,138     $ 123,654  

Ratio of expenses to average net assets:

                                               

Before expense reimbursements

    0.24 %     0.50 %     0.46 %     0.47 %     0.47 %     0.50 %

After expense reimbursements

    0.24 %     0.45 %     0.36 %     0.36 %     0.36 %     0.36 %

Ratio of net investment income/(loss) to average net assets

                                               

Before expense reimbursements

    0.80 %     1.53 %     1.63 %     1.77 %     1.63 %     1.52 %

After expense reimbursements

    0.80 %     1.58 %     1.73 %     1.88 %     1.74 %     1.66 %

Portfolio turnover

    1 %     3 %     5 %     1 %     3 %     1 %

 

K Shares

 

Six Months
Ended
February 28,
2019
(Unaudited)

   

Year Ended
August 31,
2018

   

Year Ended
August 31,
2017

   

Year Ended
August 31,
2016

   

Year Ended
August 31,
2015

   

Year Ended
August 31,
2014

 

Net asset value, beginning of year

  $ 55.96     $ 48.24     $ 42.88     $ 39.87     $ 40.50     $ 33.63  

INCOME FROM INVESTMENT OPERATIONS

                                               

Net investment income/(loss)(a)

    0.29       0.56       0.55       0.56       0.51       0.43  

Net gain/(loss) on securities (both realized and unrealized)

    (2.26 )     8.48       5.89       3.99       (0.57 )     7.55  

Total from investment operations

    (1.97 )     9.04       6.44       4.55       (0.06 )     7.98  

LESS DISTRIBUTIONS

                                               

Dividends from net investment income

    (0.33 )     (0.56 )     (0.64 )     (0.55 )     (0.40 )     (0.54 )

Distributions from capital gains

    (0.41 )     (0.76 )     (0.44 )     (0.99 )     (0.17 )     (0.57 )

Total distributions

    (0.74 )     (1.32 )     (1.08 )     (1.54 )     (0.57 )     (1.11 )

Net asset value, end of year or period

  $ 53.25     $ 55.96     $ 48.24     $ 42.88     $ 39.87     $ 40.50  
                                                 

Total return

    (3.50 )%     19.05 %     15.31 %     11.65 %     (0.19 )%     24.08 %
                                                 

RATIOS / SUPPLEMENTAL DATA

                                               

Net assets, end of year or period (000s)

  $ 8,504     $ 9,919     $ 8,506     $ 7,981     $ 8,063     $ 11,236  

Ratio of expenses to average net assets:

                                               

Before expense reimbursements

    0.49 %     1.00 %     0.96 %     0.97 %     0.97 %     1.00 %

After expense reimbursements

    0.48 %     0.95 %     0.86 %     0.86 %     0.86 %     0.86 %

Ratio of net investment income/(loss) to average net assets

                                               

Before expense reimbursements

    0.55 %     1.03 %     1.13 %     1.26 %     1.13 %     1.01 %

After expense reimbursements

    0.55 %     1.08 %     1.23 %     1.37 %     1.24 %     1.15 %

Portfolio turnover

    1 %     3 %     5 %     1 %     3 %     1 %

 

 

(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 Midcap Index Fund

Direct Shares

 

Six Months
Ended
February 28,
2019
(Unaudited)

   

Year Ended
August 31,
2018

   

Year Ended
August 31,
2017

   

Year Ended
August 31,
2016

   

Year Ended
August 31,
2015

   

Year Ended
August 31,
2014

 

Net asset value, beginning of year

  $ 28.77     $ 25.75     $ 26.69     $ 28.41     $ 30.95     $ 26.54  

INCOME FROM INVESTMENT OPERATIONS

                                               

Net investment income/(loss)(a)

    0.13       0.25       0.23       0.26       0.25       0.24  

Net gain/(loss) on securities (both realized and unrealized)

    (1.88 )     4.61       2.95       2.73       (0.36 )     5.61  

Total from investment operations

    (1.75 )     4.86       3.18       2.99       (0.11 )     5.85  

LESS DISTRIBUTIONS

                                               

Dividends from net investment income

    (0.09 )     (0.22 )     (0.21 )     (0.24 )     (0.28 )     (0.24 )

Distributions from capital gains

    (2.68 )     (1.62 )     (3.91 )     (4.47 )     (2.15 )     (1.20 )

Total distributions

    (2.77 )     (1.84 )     (4.12 )     (4.71 )     (2.43 )     (1.44 )

Net asset value, end of year or period

  $ 24.25     $ 28.77     $ 25.75     $ 26.69     $ 28.41     $ 30.95  
                                                 

Total return

    (5.85 )%     19.48 %     13.01 %     11.86 %     (0.45 )%     22.63 %
                                                 

RATIOS / SUPPLEMENTAL DATA

                                               

Net assets, end of year or period (000s)

  $ 109,496     $ 124,728     $ 113,149     $ 136,371     $ 140,361     $ 169,020  

Ratio of expenses to average net assets:

                                               

Before expense reimbursements

    0.33 %     0.66 %     0.62 %     0.62 %     0.62 %     0.63 %

After expense reimbursements

    0.33 %     0.63 %     0.58 %     0.58 %     0.58 %     0.58 %

Ratio of net investment income/(loss) to average net assets

                                               

Before expense reimbursements

    0.54 %     0.89 %     0.85 %     0.98 %     0.81 %     0.76 %

After expense reimbursements

    0.54 %     0.92 %     0.89 %     1.02 %     0.85 %     0.81 %

Portfolio turnover

    4 %     12 %     34 %     11 %     15 %     10 %

 

K Shares

 

Six Months
Ended
February 28,
2019
(Unaudited)

   

Year Ended
August 31,
2018

   

Year Ended
August 31,
2017

   

Year Ended
August 31,
2016

   

Year Ended
August 31,
2015

   

Year Ended
August 31,
2014

 

Net asset value, beginning of year

  $ 28.37     $ 25.44     $ 26.43     $ 28.18     $ 30.69     $ 26.38  

INCOME FROM INVESTMENT OPERATIONS

                                               

Net investment income/(loss)(a)

    0.07       0.11       0.10       0.13       0.10       0.09  

Net gain/(loss) on securities (both realized and unrealized)

    (1.84 )     4.55       2.92       2.71       (0.35 )     5.58  

Total from investment operations

    (1.77 )     4.66       3.02       2.84       (0.25 )     5.67  

LESS DISTRIBUTIONS

                                               

Dividends from net investment income

    (0.05 )     (0.11 )     (0.10 )     (0.12 )     (0.11 )     (0.16 )

Distributions from capital gains

    (2.68 )     (1.62 )     (3.91 )     (4.47 )     (2.15 )     (1.20 )

Total distributions

    (2.73 )     (1.73 )     (4.01 )     (4.59 )     (2.26 )     (1.36 )

Net asset value, end of year or period

  $ 23.87     $ 28.37     $ 25.44     $ 26.43     $ 28.18     $ 30.69  
                                                 

Total return

    (6.05 )%     18.86 %     12.45 %     11.31 %     (0.93 )%     22.01 %
                                                 

RATIOS / SUPPLEMENTAL DATA

                                               

Net assets, end of year or period (000s)

  $ 5,037     $ 6,179     $ 5,442     $ 5,086     $ 5,244     $ 7,355  

Ratio of expenses to average net assets:

                                               

Before expense reimbursements

    0.57 %     1.16 %     1.12 %     1.12 %     1.12 %     1.13 %

After expense reimbursements

    0.56 %     1.13 %     1.08 %     1.08 %     1.08 %     1.08 %

Ratio of net investment income/(loss) to average net assets

                                               

Before expense reimbursements

    0.29 %     0.39 %     0.35 %     0.48 %     0.31 %     0.26 %

After expense reimbursements

    0.29 %     0.42 %     0.39 %     0.51 %     0.35 %     0.31 %

Portfolio turnover

    4 %     12 %     34 %     11 %     15 %     10 %

 

 

(a)

Calculated based upon average shares outstanding.

 

See accompanying notes to financial statements.

 

42

 

 

Financial Highlights

(For a Share Outstanding Throughout Each Period) (Continued)

 

S&P Smallcap Index Fund

Direct Shares

 

Six Months
Ended
February 28,
2019
(Unaudited)

   

Year Ended
August 31,
2018

   

Year Ended
August 31,
2017

   

Year Ended
August 31,
2016

   

Year Ended
August 31,
2015

   

Year Ended
August 31,
2014

 

Net asset value, beginning of year

  $ 26.43     $ 22.33     $ 20.87     $ 20.60     $ 21.55     $ 19.62  

INCOME FROM INVESTMENT OPERATIONS

                                               

Net investment income/(loss)(a)

    0.09       0.13       0.13       0.12       0.14       0.10  

Net gain/(loss) on securities (both realized and unrealized)

    (3.06 )     6.38       2.36       2.29       0.58       3.26  

Total from investment operations

    (2.97 )     6.51       2.49       2.41       0.72       3.36  

LESS DISTRIBUTIONS

                                               

Dividends from net investment income

    (0.07 )     (0.12 )     (0.12 )     (0.14 )     (0.13 )     (0.09 )

Distributions from capital gains

    (1.64 )     (2.29 )     (0.91 )     (2.00 )     (1.54 )     (1.34 )

Total distributions

    (1.71 )     (2.41 )     (1.03 )     (2.14 )     (1.67 )     (1.43 )

Net asset value, end of year or period

  $ 21.75     $ 26.43     $ 22.33     $ 20.87     $ 20.60     $ 21.55  
                                                 

Total return

    (11.11 )%     30.95 %     12.12 %     12.48 %     3.50 %     17.28 %
                                                 

RATIOS / SUPPLEMENTAL DATA

                                               

Net assets, end of year or period (000s)

  $ 67,034     $ 78,902     $ 56,076     $ 47,351     $ 40,823     $ 41,651  

Ratio of expenses to average net assets:

                                               

Before expense reimbursements

    0.38 %     0.80 %     0.78 %     0.77 %     0.78 %     0.82 %

After expense reimbursements

    0.38 %     0.77 %     0.74 %     0.74 %     0.74 %     0.74 %

Ratio of net investment income/(loss) to average net assets

                                               

Before expense reimbursements

    0.40 %     0.53 %     0.56 %     0.56 %     0.62 %     0.38 %

After expense reimbursements

    0.40 %     0.56 %     0.60 %     0.60 %     0.66 %     0.46 %

Portfolio turnover

    5 %     18 %     31 %     12 %     12 %     13 %

 

K Shares

 

Six Months
Ended
February 28,
2019
(Unaudited)

   

Year Ended
August 31,
2018

   

Year Ended
August 31,
2017

   

Year Ended
August 31,
2016

   

Year Ended
August 31,
2015

   

Year Ended
August 31,
2014

 

Net asset value, beginning of year

  $ 25.77     $ 21.85     $ 20.47     $ 20.24     $ 21.18     $ 19.36  

INCOME FROM INVESTMENT OPERATIONS

                                               

Net investment income/(loss)(a)

    0.03       0.01       0.02       0.02       0.03       (0.01 )

Net gain/(loss) on securities (both realized and unrealized)

    (2.97 )     6.23       2.31       2.25       0.59       3.21  

Total from investment operations

    (2.94 )     6.24       2.33       2.27       0.62       3.20  

LESS DISTRIBUTIONS

                                               

Dividends from net investment income

    (0.03 )     (0.03 )     (0.04 )     (0.04 )     (0.02 )     (0.03 )

Distributions from capital gains

    (1.64 )     (2.29 )     (0.91 )     (2.00 )     (1.54 )     (1.34 )

Total distributions

    (1.67 )     (2.32 )     (0.95 )     (2.04 )     (1.56 )     (1.37 )

Net asset value, end of year or period

  $ 21.16     $ 25.77     $ 21.85     $ 20.47     $ 20.24     $ 21.19  
                                                 

Total return

    (11.31 )%     30.26 %     11.59 %     11.89 %     3.03 %     16.64 %
                                                 

RATIOS / SUPPLEMENTAL DATA

                                               

Net assets, end of year or period (000s)

  $ 7,985     $ 9,851     $ 8,165     $ 9,279     $ 9,821     $ 11,448  

Ratio of expenses to average net assets:

                                               

Before expense reimbursements

    0.63 %     1.31 %     1.28 %     1.28 %     1.28 %     1.32 %

After expense reimbursements

    0.62 %     1.27 %     1.24 %     1.24 %     1.24 %     1.24 %

Ratio of net investment income/(loss) to average net assets

                                               

Before expense reimbursements

    0.15 %     0.03 %     0.06 %     0.06 %     0.12 %     (0.13 )%

After expense reimbursements

    0.15 %     0.06 %     0.10 %     0.10 %     0.16 %     (0.04 )%

Portfolio turnover

    5 %     18 %     31 %     12 %     12 %     13 %

 

 

(a)

Calculated based upon average shares outstanding.

 

See accompanying notes to financial statements.

 

43

 

 

Financial Highlights

(For a Share Outstanding Throughout Each Period) (Continued)

 

Shelton Core Value Fund

Direct Shares

 

Six Months
Ended
February 28,
2019
(Unaudited)

   

Year Ended
August 31,
2018

   

Year Ended
August 31,
2017

   

Year Ended
August 31,
2016

   

Year Ended
August 31,
2015

   

Year Ended
August 31,
2014

 

Net asset value, beginning of year

  $ 24.53     $ 25.00     $ 26.82     $ 25.26     $ 25.98     $ 21.58  

INCOME FROM INVESTMENT OPERATIONS

                                               

Net investment income/(loss)(a)

    0.20       0.37       0.43       0.48       0.48       0.38  

Net gain/(loss) on securities (both realized and unrealized)

    (0.92 )     2.33       1.81       1.94       (0.74 )     4.42  

Total from investment operations

    (0.72 )     2.70       2.24       2.42       (0.26 )     4.80  

LESS DISTRIBUTIONS

                                               

Dividends from net investment income

    (0.45 )     (0.38 )     (0.59 )     (0.50 )     (0.46 )     (0.40 )

Distributions from capital gains

    (3.65 )     (2.79 )     (3.47 )     (0.36 )            

Total distributions

    (4.10 )     (3.17 )     (4.06 )     (0.86 )     (0.46 )     (0.40 )

Net asset value, end of year or period

  $ 19.71     $ 24.53     $ 25.00     $ 26.82     $ 25.26     $ 25.98  
                                                 

Total return

    (2.44 )%     11.32 %     9.10 %     9.83 %     (1.07 )%     22.45 %
                                                 

RATIOS / SUPPLEMENTAL DATA

                                               

Net assets, end of year or period (000s)

  $ 150,545     $ 176,019     $ 176,929     $ 175,317     $ 180,408     $ 196,820  

Ratio of expenses to average net assets

    0.40 %     0.78 %     0.75 %     0.78 %     0.76 %     0.83 %

Ratio of net investment income/(loss) to average net assets

    0.93 %     1.52 %     1.71 %     1.90 %     1.80 %     1.58 %

Portfolio turnover

    5 %     35 %     9 %     20 %     3 %     3 %

 

K Shares

 

Six Months
Ended
February 28,
2019
(Unaudited)

   

Year Ended
August 31,
2018

   

Year Ended
August 31,
2017

   

Year Ended
August 31,
2016

   

Year Ended
August 31,
2015

   

Year Ended
August 31,
2014

 

Net asset value, beginning of year

  $ 24.22     $ 24.75     $ 26.61     $ 25.09     $ 25.76     $ 21.40  

INCOME FROM INVESTMENT OPERATIONS

                                               

Net investment income/(loss)(a)

    0.14       0.25       0.30       0.35       0.34       0.25  

Net gain/(loss) on securities (both realized and unrealized)

    (0.90 )     2.29       1.79       1.93       (0.73 )     4.39  

Total from investment operations

    (0.76 )     2.54       2.09       2.28       (0.39 )     4.64  

LESS DISTRIBUTIONS

                                               

Dividends from net investment income

    (0.39 )     (0.28 )     (0.48 )     (0.40 )     (0.28 )     (0.28 )

Distributions from capital gains

    (3.65 )     (2.79 )     (3.47 )     (0.36 )            

Total distributions

    (4.04 )     (3.07 )     (3.95 )     (0.76 )     (0.28 )     (0.28 )

Net asset value, end of year or period

  $ 19.42     $ 24.22     $ 24.75     $ 26.61     $ 25.09     $ 25.76  
                                                 

Total return

    (2.68 )%     10.75 %     8.57 %     9.30 %     (1.56 )%     21.81 %
                                                 

RATIOS / SUPPLEMENTAL DATA

                                               

Net assets, end of year or period (000s)

  $ 4,587     $ 5,370     $ 5,369     $ 5,897     $ 5,789     $ 7,413  

Ratio of expenses to average net assets

    0.65 %     1.28 %     1.25 %     1.28 %     1.26 %     1.33 %

Ratio of net investment income/(loss) to average net assets

    0.69 %     1.02 %     1.22 %     1.40 %     1.30 %     1.08 %

Portfolio turnover

    5 %     35 %     9 %     20 %     3 %     3 %

 

 

(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,
2019
(Unaudited)

   

Year Ended
August 31,
2018

   

Year Ended
August 31,
2017

   

Year Ended
August 31,
2016

   

Year Ended
August 31,
2015

   

Year Ended
August 31,
2014

 

Net asset value, beginning of year

  $ 18.85     $ 15.24     $ 12.25     $ 11.00     $ 10.47     $ 7.92  

INCOME FROM INVESTMENT OPERATIONS

                                               

Net investment income/(loss)(a)

    0.06       0.10       0.10       0.09       0.11       0.11  

Net gain/(loss) on securities (both realized and unrealized)

    (1.59 )     3.78       2.98       1.27       0.49       2.55  

Total from investment operations

    (1.53 )     3.88       3.08       1.36       0.60       2.66  

LESS DISTRIBUTIONS

                                               

Dividends from net investment income

    (0.10 )     (0.10 )     (0.09 )     (0.11 )     (0.07 )     (0.11 )

Distributions from capital gains

    0.24       (0.17 )                        

Total distributions

    0.14       (0.27 )     (0.09 )     (0.11 )     (0.07 )     (0.11 )

Net asset value, end of year or period

  $ 17.46     $ 18.85     $ 15.24     $ 12.25     $ 11.00     $ 10.47  
                                                 

Total return

    (5.53 )%     25.73 %     25.29 %     12.46 %     5.78 %     33.77 %
                                                 

RATIOS / SUPPLEMENTAL DATA

                                               

Net assets, end of year (000s)

  $ 572,481     $ 630,845     $ 460,021     $ 298,123     $ 231,322     $ 106,475  

Ratio of expenses to average net assets:

                                               

Before expense reimbursements

    0.36 %     0.74 %     0.70 %     0.74 %     0.75 %     0.79 %

After expense reimbursements

    0.25 %     0.51 %     0.49 %     0.49 %     0.49 %     0.49 %

Ratio of net investment income/(loss) to average net assets

                                               

Before expense reimbursements

    0.25 %     0.36 %     0.53 %     0.57 %     0.72 %     0.95 %

After expense reimbursements

    0.36 %     0.59 %     0.74 %     0.82 %     0.98 %     1.25 %

Portfolio turnover

    8 %     2 %     4 %     7 %     9 %     3 %

 

K Shares

 

Six Months
Ended
February 28,
2019
(Unaudited)

   

Year Ended
August 31,
2018

   

Year Ended
August 31,
2017

   

Year Ended
August 31,
2016

   

Year Ended
August 31,
2015

   

Year Ended
August 31,
2014

 

Net asset value, beginning of year

  $ 18.31     $ 14.83     $ 11.93     $ 10.69     $ 10.18     $ 7.71  

INCOME FROM INVESTMENT OPERATIONS

                                               

Net investment income/(loss)(a)

    0.02       0.01       0.03       0.03       0.05       0.06  

Net gain/(loss) on securities (both realized and unrealized)

    (1.56 )     3.67       2.91       1.24       0.48       2.48  

Total from investment operations

    (1.54 )     3.68       2.94       1.27       0.53       2.54  

LESS DISTRIBUTIONS

                                               

Dividends from net investment income

    (0.04 )     (0.03 )     (0.04 )     (0.03 )     (0.02 )     (0.07 )

Distributions from capital gains

    0.24       (0.17 )                        

Total distributions

    0.20       (0.20 )     (0.04 )     (0.03 )     (0.02 )     (0.07 )

Net asset value, end of year or period

  $ 16.97     $ 18.31     $ 14.83     $ 11.93     $ 10.69     $ 10.18  
                                                 

Total return

    (5.76 )%     25.03 %     24.70 %     11.96 %     5.25 %     33.11 %
                                                 

RATIOS / SUPPLEMENTAL DATA

                                               

Net assets, end of year (000s)

  $ 25,391     $ 28,573     $ 22,427     $ 15,500     $ 17,799     $ 12,214  

Ratio of expenses to average net assets:

                                               

Before expense reimbursements

    0.61 %     1.24 %     1.20 %     1.24 %     1.24 %     1.29 %

After expense reimbursements

    0.49 %     1.01 %     0.99 %     0.99 %     0.99 %     0.99 %

Ratio of net investment income/(loss) to average net assets

                                               

Before expense reimbursements

    0.00 %     (0.15 )%     0.03 %     0.05 %     0.22 %     0.39 %

After expense reimbursements

    0.11 %     0.08 %     0.24 %     0.30 %     0.48 %     0.69 %

Portfolio turnover

    8 %     2 %     4 %     7 %     10 %     3 %

 

 

(a)

Calculated based upon average shares outstanding.

 

 

 

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,
2019
(Unaudited)

   

Year Ended
August 31,
2018

   

Year Ended
August 31,
2017

   

Year Ended
August 31,
2016

   

Year Ended
August 31,
2015

   

Year Ended
August 31,
2014

 

Net asset value, beginning of year

  $ 17.20     $ 17.32     $ 14.53     $ 13.67     $ 15.90     $ 11.96  

INCOME FROM INVESTMENT OPERATIONS

                                               

Net investment income/(loss)(a)

    0.03       0.05       0.02       (0.03 )     (0.08 )     (0.08 )

Net gain/(loss) on securities (both realized and unrealized)

    0.12       0.34       2.77       0.89       (2.15 )     4.02  

Total from investment operations

    0.15       0.39       2.79       0.86       (2.23 )     3.94  

LESS DISTRIBUTIONS

                                               

Dividends from net investment income

          (0.05 )                        

Distributions from capital gains

    0.23       (0.46 )      (b)      (b)      (b)      

Total distributions

    0.23       (0.51 )                        

Net asset value, end of year or period

  $ 17.58     $ 17.20     $ 17.32     $ 14.53     $ 13.67     $ 15.90  
                                                 

Total return

    3.67 %     2.19 %     19.20 %     6.29 %     (14.02 )%     32.94 %
                                                 

RATIOS / SUPPLEMENTAL DATA

                                               

Net assets, end of year (000s)

  $ 50,273     $ 49,366     $ 40,256     $ 36,880     $ 29,596     $ 22,436  

Ratio of expenses to average net assets:

                                               

Before expense reimbursements

    0.66 %     1.30 %     1.30 %     1.31 %     1.34 %     1.54 %

After expense reimbursements

    0.66 %     1.30 %     1.30 %     1.31 %     1.34 %     1.31 %

Ratio of net investment income/(loss) to average net assets

                                               

Before expense reimbursements

    0.17 %     0.30 %     0.13 %     (0.22 )%     (0.53 )%     (0.78 )%

After expense reimbursements

    0.17 %     0.30 %     0.13 %     (0.22 )%     (0.53 )%     (0.55 )%

Portfolio turnover

    6 %     13 %     24 %     13 %     22 %     5 %

 

 

(a)

Calculated based upon average shares outstanding.

(b)

Less than $0.01 per share.

 

See accompanying notes to financial statements.

 

46

 

 

Shelton Funds

Notes to Financial Statements (Unaudited)

February 28, 2019

 

Note 1 - SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

 

Green 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, Nasdaq-100 Index Fund, and Shelton Green Alpha Fund (the “Funds”) are each a series of shares of beneficial interest of the Shelton Funds (the “Trust”). The Trust is registered under the Investment Company Act of 1940, as amended, as a diversified open-end management investment company. Each Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standard Codification Topic 946 “Financial Services – Investment Companies”. The Trust is organized as a Delaware statutory trust and is authorized to issue an unlimited number of no par value shares in one or more series. The Trust, originally organized as two separate Massachusetts business trusts formed by Declarations of Trust dated September 11, 1985, as subsequently amended, was reorganized into a single Delaware statutory trust after the close of trading on December 29, 2006. The investment objectives of the Funds are as follows: Green California Tax-Free Income Fund seeks high current tax-free income for California residents U.S. Government Securities Fund seeks liquidity, safety from credit risk and as high a level of income as is consistent with these objectives. 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. The United States Treasury Trust seeks high current income exempt from state income taxes while maintaining a stable net asset value of $1.00 per share. S&P 500 Index Fund’s objective is to attempt to replicate the total return of the U.S. stock market as measured by the S&P 500 Composite Stock Price Index. S&P MidCap Index Fund attempts to replicate the performance of medium-sized U.S. companies as measured by the S&P MidCap 400 Index. S&P SmallCap Index Fund attempts to replicate the performance of small-sized U.S. companies as measured by the S&P SmallCap 600 Stock Index. The Shelton Core Value Fund’s objective is to achieve a high level of income and capital appreciation (when consistent with high income) by investing primarily in income-producing U.S. equity securities. Shelton Green Alpha Fund seeks to achieve long-term capital appreciation by investing in stocks in the green economy. Nasdaq-100 Index Fund attempts to replicate the performance of the largest non-financial companies as measured by the Nasdaq-100 Index.

 

On July 25, 2018, a Special Meeting of Shareholders of the European Growth and Income Fund series of Shelton Funds approved a reorganization (the “Reorganization”) of the European Growth and Income Fund into Shelton International Select Equity Fund (the “International Fund”), a series of SCM Trust.

 

The Reorganization took place on August 24, 2018. Each shareholder of the European Growth and Income Fund received shares of the Shelton International Select Equity Fund, with no dilution in the dollar amount of his or her investment. Shareholders of the Class K and Direct Class shares of the European Growth and Income Fund received the same number of full and fractional shares of, respectively, the Investor Class and Institutional Class shares of the Shelton International Select Equity Fund, as they originally held in the European Growth and Income Fund. The Reorganization did not result in the recognition of taxable gain or loss for federal income tax purposes for the European Growth and Income Fund or its shareholders.

 

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. The Fund receives options pricing data from the Trust’s third party pricing service who use the last traded price to quote options positions.

 

Securities for which market quotes are not readily available from the Trust’s third party pricing service are valued at fair value, determined in good faith and in accordance with procedures adopted by the Board of Trustees. The Board has delegated to 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, Shelton Green Alpha Fund and Nasdaq-100 Index Fund may purchase or sell stock index futures to maintain cash reserves while remaining fully invested, to facilitate trading, to reduce transaction costs, or to seek higher investment returns when a futures contract is priced more attractively than the underlying equity security or index. Risks include the possibility of an illiquid market and an imperfect correlation between the change in market value of the stocks held by a Fund and the prices of futures contracts.

 

(c) Options – The Shelton Core Value Fund may write call options. When an option is written, the Fund receives a premium and becomes obligated to sell the underlying security at a fixed price, upon exercise of the option. Options can be traded through an exchange or through a privately negotiated arrangement with a dealer in an OTC transaction. Options traded through an exchange are generally cleared through a clearinghouse (such as the Options Clearing Corporation). The difference between the premium received or paid, and the market value of the option, is recorded as unrealized appreciation or depreciation. When an option is exercised, the proceeds of the security sold are adjusted by the amount of premium received. Upon the expiration of the option, a gain or loss is reported in the Statement of Operations. The risk in writing a call option is that the market price of the security increases and if the option is exercised, the Fund must either purchase the security at a higher price for delivery or give up the opportunity for profit.

 

(d) Federal Income Taxes – No provision is considered necessary for federal income taxes. The Funds intend to qualify for and elect the tax treatment applicable to regulated investment companies under the Internal Revenue Code and to distribute all of their taxable income to shareholders.

 

(e) Security Transactions, Investment Income and Distributions to Shareholders – Security transactions are recorded on the trade date. Interest income is recorded on the accrual basis. Dividend income is recorded on the ex-dividend date. Withholding taxes on foreign dividends have been provided for, in accordance with the Trust’s understanding of the applicable country’s tax rules and rates. Distributions to shareholders are recorded on the ex-dividend date for the Green California Tax-Free Income Fund, the U.S. Government Securities Fund, S&P 500 Index Fund, S&P MidCap Index Fund, S&P SmallCap Index Fund, Shelton Core Value Fund, Shelton Green Alpha Fund, 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 U.S. Treasury Trust intends to maintain a continuous net asset value per share of $1.00. If net asset value per share using available market information deviates from $1.00 by $.005 or more, the Board of Trustees would consider what steps, if any, should be taken to restore net asset value per share to $1.00.

 

(f) Concentration – The Green California Tax-Free Income Fund invests in debt instruments of municipal issuers. The issuers’ abilities to meet their obligations may be affected by economic developments in the state of California.

 

47

 

 

Shelton Funds

Notes to Financial Statements (Unaudited) (Continued)

February 28, 2019

 

(g) Use of Estimates in Financial Statements – In preparing financial statements in conformity with accounting principles generally accepted in the United States of America, management makes estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements, as well as the reported amounts of income and expense during the year. Actual results may differ from these estimates.

 

(h) Share Valuations – The net asset value (“NAV”) per share of each Fund is calculated by dividing the sum of the value of the securities held by the Fund, plus cash or other assets, minus all liabilities (including estimated accrued expenses) by the total number of shares outstanding of the Fund, rounded to the nearest cent. A Fund’s shares will not be priced on the days on which the NYSE is closed for trading. Bond and money market funds are closed on Columbus Day (observed) and Veteran’s Day (observed). The offering and redemption price per share of each Fund is equal to a Fund’s NAV per share.

 

(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 (2015-2017), or expected to be taken in the Fund’s 2018 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 not available, representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available.

 

The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.

 

The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety, is determined based on the lowest level input that is significant to the fair value measurement in its entirety.

 

The following table summarizes the valuation of the Trust’s securities at February 28, 2019 using fair value hierarchy:

 

 

 

Level 1(a)

   

Level 2(a)

   

Level 3(a)

           

Level 1(a)

   

Level 2(a)

 

Fund

 

Investments
in Securities
(b)

   

Investments
in Securities
(c)

   

Investments
in Securities

   

Total
Assets

   

Futures
Contracts -
Assets
(d)

   

Written
Options -
Liabilities

 

Green California Tax-Free Income Fund

  $     $ 63,875,029     $     $ 63,875,029     $     $  

U.S. Government Securities Fund

          18,578,362             18,578,362              

Short-Term U.S. Government Bond Fund

          6,442,571             6,442,571              

The United States Treasury Trust Fund

          52,942,670             52,942,670              

S&P 500 Index Fund

    183,119,899                   183,119,899       1,080        

S&P MidCap Index Fund

    113,332,595                     113,332,595       1,564        

S&P SmallCap Index Fund

    73,970,973                     73,970,973       3,510        

Shelton Core Value Fund

    150,799,572       3,094,880       900,000  (e)     154,794,452             1,320,186  

Nasdaq-100 Index Fund

    595,729,323       499,174               596,228,497       991        

Shelton Green Alpha Fund

    49,087,953                     49,087,953              

 

 

(a)

It is the Fund’s policy to recognize transfers between levels on the last day of the fiscal reporting period. There were no transfers in or out of Level 1, Level 2, and Level 3 as of FYE.

(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)

Preferred Stock.

Level 3 Securities

 

Shelton Core
Value Fund

 

Beginning Balance

  $ 2,000,000  

Net Purchases

     

Net Sales

     

Total Realized Gain/(Loss)

     

Change in Unrealized Appreciation (Depreciation)

  $ (1,100,000 )

Accrued Interest

     

Transfers into Level 3

     

Transfers out of Level 3

     

Ending Balance

  $ 900,000  

 

 

48

 

 

Shelton Funds

Notes to Financial Statements (Unaudited) (Continued)

February 28, 2019

 

   

Fair Value as
of 2/28/2019

 

Valuation Techniques

Unobservable Input

 

Input Values

 

Impact to valuation from
an increase to input

Amerityre Corp. 5% Preferred Conv.

  $ 900,000  

Market comparables and estimated recovery proceeds

*Market quotes, yield quotes and option valuation

  $ 0.45  

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.

 

(j) 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 and Shelton Green Alpha Fund and 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 August 31, 2018, 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 7, 5, 22, and 91, respectively. The Shelton Core Value Fund, and Shelton Green Alpha Fund held no futures contracts at August 31, 2018. Only current day’s variation margin is reported as an asset or liability within the statement of assets and liabilities.

 

The effect of derivative instruments on the Statements of Assets & Liabilities for the period ended February 28, 2019:

 

Derivatives Not Accounted for as Hedging Instruments

 

Variation Margin
Payable

 

S&P 500 Index Fund - Equity contracts

  $ 3,354  

S&P MidCap Index Fund - Equity contracts

    4,860  

S&P SmallCap Index Fund - Equity contracts

    4,290  

Nasdaq-100 Index Fund - Equity contracts

    6,285  

 

The effect of derivative instruments on the Statements of Operations for the period ended February 28, 2019:

 

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

  $ (14,394 )   $ 591  

S&P MidCap Index Fund - Equity contracts

    (9,929 )     15,443  

S&P SmallCap Index Fund - Equity contracts

    (248,831 )     4,042  

Nasdaq-100 Index Fund - Equity contracts

    (1,612,990 )     (482,644 )

 

The previously disclosed derivative instruments outstanding as of February 28, 2019, and their effect on the Statement of Operations for the period ending February 28, 2019, 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

  $ 1,097,742  

S&P MidCap Index Fund - Equity contracts

    818,395  

S&P SmallCap Index Fund - Equity contracts

    1,131,629  

Nasdaq-100 Index Fund - Equity contracts

    9,137,236  

 

 

49

 

 

Shelton Funds

Notes to Financial Statements (Unaudited) (Continued)

February 28, 2019

 

Note 2 - INVESTMENT MANAGEMENT FEE AND OTHER RELATED PARTY TRANSACTIONS

 

Shelton Capital Management (“Shelton Capital” or the “Advisor”), a California limited partnership, provides each Fund with management and administrative services pursuant to investment management and administration servicing agreements.

 

In accordance with the terms of the management agreement, the Advisor receives compensation at the following annual rates:

 

 

To $100 million
in net assets

$100 million to
$500 million
in net assets

$500 million
to $1 billion
in net assets

In excess of
$1 billion in
net assets

Green California Tax-Free Income Fund

0.50%

0.45%

0.40%

0.40%

U.S. Government Securities Fund

0.50%

0.45%

0.40%

0.40%

U.S. Treasury Trust

0.50%

0.45%

0.40%

0.40%

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%

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, 2020, 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, 2019 are as follows:

 

 

Voluntary Expense Limitation

Fund

Reimburse

Direct Shares

K Shares

Expiration

U.S. Government Securities Fund

0.14%

0.74%

1.24%

1/2/20

Short-Term U.S. Government Bond Fund

0.66%

0.59%

1.09%

1/2/20

The United States Treasury Trust

0.24%

0.53%

1.03%

1/2/20

Nasdaq-100 Index Fund

0.23%

0.49%

0.99%

1/2/20

 

At August 31, 2018, the remaining cumulative unreimbursed amount paid and/or waived by the Advisor on behalf of the Funds that may be reimbursed was $4,326,070. The Advisor may recapture a portion of the above amount no later than the dates as stated below. As of January 2, 2018, the S&P 500 Index fund, S&P MidCap Index Fund and S&P SmallCap Index Fund were no longer subject to contractual expense limitations.

 

Fund

 

Expires 8/31/19

   

Expires 8/31/20

   

Expires 8/31/21

   

Total

 

U.S. Government Securities Fund

  $ 20,081     $ 16,422     $ 27,929     $ 64,432  

Short-Term U.S. Government Bond Fund

    24,167       23,105       36,555       83,827  

The United States Treasury Trust

    362,655       120,514       170,178       653,347  

S&P 500 Index Fund

    145,091       155,984       88,195       389,270  

S&P MidCap Index Fund

    52,995       72,425       43,839       169,259  

S&P SmallCap Index Fund

    18,440       24,783       23,398       66,621  

Nasdaq-100 Index Fund

    705,792       918,243       1,275,279       2,899,314  

Total

  $ 1,329,221     $ 1,331,476     $ 1,665,373     $ 4,326,070  

 

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. Gregory T. Pusch has served as the Chief Compliance Officer (“CCO”) of the Trust since March 2017. Mr. Pusch is also employed by Shelton Capital, the Advisor and Administrator to the Trust. The Trust is responsible for the portion of his salary allocated to his duties as the CCO of the Trust during his employment, and Shelton Capital is reimbursed by the Trust for this portion of his salary. The level of reimbursement is reviewed and determined by the Board of Trustees at least annually.

 

Shelton Funds have adopted a Distribution Plan (the “Plan”), as amended August 1, 2012, pursuant to Rule 12b-1 under the Investment Company Act of 1940, whereby the Class K Shares of each Fund of the Shelton Funds pays the Distributor for expenses that relate to the promotion and distribution of shares. Under the Plan, the Class K Shares of the Funds will pay RFS Partners, the Funds’ distributor (the “Distributor”) a fee at an annual rate of 0.25%, payable monthly, of the daily net assets attributable to such Fund’s Class K Shares. The Plan was amended to eliminate the Class A Shares. All A Share accounts were liquidated effective December 6, 2013.

 

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. The United States Treasury Trust Fund is not charging its Shareholder Servicing Fee.

 

50

 

 

Shelton Funds

Notes to Financial Statements (Unaudited) (Continued)

February 28, 2019

 

For the period ended February 28, 2019, 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

  $ 4,514     $ 4,514  

Short-Term U.S. Government Bond Fund

    1,519       1,519  

S&P 500 Index Fund

    11,299       11,299  

S&P MidCap Index Fund

    6,812       6,812  

S&P SmallCap Index Fund

    10,587       10,587  

Shelton Core Value Fund

    6,194       6,194  

Nasdaq-100 Index fund

    31,984       31,984  

U.S. Treasury Trust Fund

    2,460       2,460  

 

Note 3 - PURCHASES AND SALES OF SECURITIES

 

Purchases and sales of securities other than short-term instruments for the period ended February 28, 2019 were as follows:

 

Fund

 

Purchases

   

Sales

   

Purchases
(Excluding U.S.
Government
Obligations)

   

Sales
(Excluding U.S.
Government
Obligations)

 

Green California Tax-Free Income Fund

  $ 349,140     $ 4,855,963     $ 349,140     $ 4,855,963  

U.S. Government Securities Fund

    1,133,945       2,649,212              

Short-Term U.S. Government Bond Fund

    1,086,395       905,830              

S&P 500 Index Fund

    1,685,086       1,931,930       1,685,086       1,901,241  

S&P MidCap Index Fund

    4,177,322       11,714,088       3,861,343       11,226,532  

S&P SmallCap Index Fund

    3,321,423       5,837,343       3,288,194       5,837,335  

Core Value Fund

    7,705,550       20,639,576       7,705,550       20,639,576  

Nasdaq-100 Index Fund

    45,215,752       55,453,298       45,215,752       53,709,959  

Green Alpha Fund

    2,525,793       3,184,808       1,908,358       2,829,035  

 

Note 4 – OPTIONS WRITTEN

 

Written Options Contracts. Certain Funds may write options to manage exposure to certain changes in the market. When a Fund writes an option, an amount equal to the premium received by the Fund is recorded as a liability, which is marked-to-market daily to reflect the current market value of the option written. If the option expires, the Fund realizes a gain from investments equal to the amount of the premium received. When a written call option is exercised, the difference between the premium and the amount for effecting a closing purchase transaction, including brokerage commission, is also treated as a realized gain or loss. When a written put option is exercised, the amount of the premium received reduces the cost of the security purchased by the Fund. A risk in writing a covered call option is that the Fund may forego the opportunity of profit if the market price of the underlying security increases and the option is exercised. The risk in writing a put option is that the Fund may incur a loss if the market price of the underlying security decreases and the option is exercised.

 

At February 28, 2019, the Core Value Fund had written option contracts outstanding:

 

Derivatives not
Accounted for as
Hedging Instruments

Liability Derivatives
Statement of Assets and
Liabilities Location

 

Fair Value

 

Equity Contracts (written option contracts)

Written options, at value

  $ 1,320,186  

 

The effect of derivative instruments on the Funds’ Statement of Operations for the period ended February 28, 2019, was as follows:

 

Derivatives not Accounted
for as Hedging Instruments

Location of Gains/(Loss) on
Derivatives Recognize In Income

 

Realized Gain/
(Loss) on Derivatives
Recognized in Income

   

Change in Unrealized
Gain/(Loss) On
Derivatives Recognized
In Income

 

Equity Contracts (written option contracts)

Net realized gains (losses) from: Written option contracts / Net change in unrealized appreciation (depreciation) on: Written option contracts

  $ 2,211,921     $ 287,774  

 

Volume of derivative instruments held by the Funds during the period ended February 28, 2019, was as follows:

 

Derivative Type

Unit Of Measurement

 

Average

 

Written Option Contracts

Contracts

  $ (982,348 )

 

 

51

 

 

Shelton Funds

Notes to Financial Statements (Unaudited) (Continued)

February 28, 2019

 

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, 2018, there are permanent differences resulting from different book and tax accounting for net operating losses, expiration of capital loss carryforwards, distribution reclassifications, and treatment of accretion of discount. The reclassifications were as follows:

 

   

Increase (Decrease)
Paid-In Capital

   

Increase (Decrease)
Undistributed
Net Investment
Income (Loss)

   

Increase (Decrease)
Accumulated Gain (Loss)

 

Green California Tax-Free Income Fund

  $     $ (20,602 )   $ 20,602  

U.S. Government Securities Fund

    (84,937 )     4,720       80,217  

Short-Term U.S. Government Bond Fund

          94       (94 )

S&P 500 Index Fund

          78       (78 )

S&P Mid Cap Index Fund

    2,500,983       (84,651 )     (2,416,332 )

S&P SmallCapp Index Fund

    865,827       (34,645 )     (831,182 )

Core Value Fund

    1,532,659       500       (1,533,159 )

Nasdaq-100 Index Fund

          (68,145 )     68,145  

 

Tax Basis of Distributable Earnings: The tax character of distributable earnings at August 31, 2018 was as follows:

 

   

Undistributed
Ordinary
Income

   

Undistributed
Long-Term
Capital Gain

   

Capital
Loss Carry
Forwards

   

Unrealized
Appreciation
(Depreciation)

   

Post October
and Other
Losses

   

Total
Distributable
Earnings

 

Green California Tax-Free Income Fund

  $ 1,631     $ 119,465     $     $ 1,954,262     $ (30,204 )   $ 2,045,154  

U.S. Government Securities Fund

    1,579             (245,271 )     (441,214 )     (562 )     (685,468 )

Short-Term U.S. Government Bond Fund

    251             (2,331 )     (47,437 )     (82 )     (49,599 )

The United States Treasury Trust

    1,372             (2,297 )           (626 )     (1,551 )

S&P 500 Index Fund

    796,172       1,039,289             123,613,866             125,449,327  

S&P Mid Cap Index Fund

    1,446,338       9,086,605             47,471,470             58,004,413  

S&P Small Cap Index Fund

    289,874       4,899,621             29,541,369             34,730,864  

Core Value Fund

    2,664,235       19,492,878             52,494,634             74,651,747  

Nasdaq-100 Index Fund

    738,946       37,022             278,272,213             279,048,181  

Green Alpha Fund

    96,000       193,003             6,170,452             6,459,455  

 

The difference between book basis and tax basis unrealized appreciation/(depreciation) is attributable primarily to the realization of unrealized gains/(losses) on future contracts for tax purposes, wash sales, the treatment of accretion of discounts, and certain other investments.

 

Elective Deferrals: The Funds have not elected to defer capital losses recognized during the period November 1, 2017-August 31, 2018 to the period ending August 31, 2019.

 

The Funds have not elected to defer ordinary losses to the period ending August 31, 2018.

 

Capital Losses: Capital loss carry forwards, as of August 31, 2018, available to offset future capital gains, if any, are as follows:

 

Expiring

 

Short-
Term U.S.
Government
Bond Fund

   

U.S.
Government
Securities Fund

   

United States
Treasury
Trust Fund

 

2019

  $     $ 245,271     $  

Long Term with No Expiration

    (2,329 )            

Short Term with No Expiration

    (2 )           2,297  

Total

  $ (2,331 )   $ 245,271     $ 2,297  

 

52

 

 

Shelton Funds

Notes to Financial Statements (Unaudited) (Continued)

February 28, 2019

 

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, 2018 and 2017 were as follows:

 

Fund

 

Year

   

Return of
Capital

   

Ordinary
Income

   

Long-Term
Capital
Gains
(a)

   

Exempt-
Interest
Dividends

   

Total
Distributions

 

Green California Tax-Free Income Fund

    2017     $     $     $ 382,825     $ 1,808,992     $ 2,191,817  
      2018                   234,947       1,471,475       1,706,422  

U.S. Government Securities Fund

    2017             351,966                   351,966  
      2018                         282,935       282,935  

Short-Term U.S. Government Bond Fund

    2017             22,223       1,286             23,509  
      2018             38,892                   38,892  

The United States Treasury Trust

    2017             16,585                   16,585  
      2018             524,755                   524,755  

S&P 500 Index Fund

    2017             3,026,980       1,261,699             4,288,679  
      2018             2,799,181       2,382,074             5,181,255  

S&P Mid Cap Index Fund

    2017             1,909,057       16,075,128             17,984,185  
      2018             1,191,336       7,185,786             8,377,122  

S&P Small Cap Index Fund

    2017             515,196       2,359,926             2,875,122  
      2018             1,056,028       5,901,648             6,957,676  

Shelton Core Value Fund

    2017             7,119,101       20,267,309             27,386,410  
      2018             3,972,866       19,009,224             22,982,090  

Nasdaq-100 Index Fund

    2017             2,574,293                   2,574,293  
      2018             4,586,520       3,677,125             8,263,645  

Green Alpha Fund

    2017                                
      2018             123,102       1,115,328             1,238,430  

 

 

(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, 2018.

 

Note 6 - OFFSETTING OF FINANCIAL INSTRUMENTS AND DERIVATIVE ASSETS AND LIABILITIES

 

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
Recognized in
the Statement
of Assets &
Liabilities

   

Gross Amounts
Offset in the
Statement
of Assets &
Liabilities

   

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

  $ 3,354     $     $ 3,354     $     $ (3,354 )   $  
        3,354             3,354             (3,354 )      

S&P MidCap Index Fund:

Assets

                                               
 

Futures Contracts

  $     $     $     $     $     $  
                                       
 

Liabilities

                                               
 

Future Contracts

  $ 4,860     $     $ 4,860     $     $ (4,860 )   $  
        4,860             4,860             (4,860 )      

S&P SmallCap Index Fund:

Assets

                                               
 

Futures Contracts

  $     $     $     $     $     $  
                                       
 

Liabilities

                                               
 

Future Contracts

  $ 4,290     $     $ 4,290     $     $ (4,290 )   $  
        4,290             4,290             (4,290 )      

Nasdaq-100 Index Fund:

Assets

                                               
 

Futures Contracts

  $     $     $     $     $     $  
                                       
 

Liabilities

                                               
 

Future Contracts

  $ 6,285     $     $ 6,285     $     $ (6,285 )   $  
        6,285             6,285             (6,285 )      

 

53

 

 

Shelton Funds

Notes to Financial Statements (Unaudited) (Continued)

February 28, 2019

 

Amounts relate to master netting agreements and collateral agreements which have been determined by the company to be legally enforceable in the event of default but where certain other criteria are not met in accordance with applicable offsetting accounting guidance. The collateral amounts may exceed the related net amounts of financial assets and liabilities presented in the statement of assets and liabilities. Where this is the case, the total amount reported is limited to the net amounts of financial assets and liabilities with that counterparty.

 

Note 7 – SUBSEQUENT EVENTS

 

In preparing the financial statements as of February 28, 2019, 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.

 

Fund Holdings (Unaudited)

 

The Fund holdings shown in this report are as of February 28, 2019. Holdings are subject to change at any time, so holdings shown in this report may not reflect current Fund holdings. The Fund files a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q or Form N-PORT (available for filings after March 31, 2019). The Fund’s Form N-Q or Form N-PORT is available on the SEC’s website at sec.gov. The Fund’s complete schedule of portfolio holdings, as filed on Form N-Q or Form N-PORT, can also be obtained without charge, upon request, 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, 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

1875 Lawrence Street,

Suite 300

Denver, CO,

80202

1966

Chairman of the Board,
Trustee,
President

Since August 1999,
Since August 1999,
Since August 1999

Kevin T. Kogler

1875 Lawrence Street,

Suite 300

Denver, CO,

80202

1966

Trustee

Since May 2006

Marco L. Quazzo

1875 Lawrence Street,

Suite 300

Denver, CO,

80202

1962

Trustee

Since August 2014

Stephen H. Sutro

1875 Lawrence Street,

Suite 300

Denver, CO,

80202

1969

Trustee

Since May 2006

William P. Mock

1875 Lawrence Street,

Suite 300

Denver, CO,

80202

1966

Treasurer

Since February 2010

Gregory T. Pusch

1875 Lawrence Street,

Suite 300

Denver, CO,

80202

1966

Chief Compliance Officer,
Secretary

Since March 2017

 

Each Trustee oversees the Trust’s ten 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 Considerations Regarding Approval of Investment Advisory Agreements

 

The Investment Company Act of 1940 (the “1940 Act”) requires that the full board of the Shelton Funds (the “Board”) and a majority of the Independent Trustees annually approve the continuation of:

 

●    the Investment Advisory Agreement dated January 1, 2007, as amended, between the Shelton Funds, on behalf of the funds listed below, and CCM Partners d/b/a Shelton Capital Management (“SCM”) (the “Shelton Funds Investment Advisory Agreement”);

 

 

o

Green California Tax-Free Income Fund;

 

 

o

Nasdaq-100 Index Fund;

 

 

o

S&P 500 Index Fund;

 

 

o

S&P MidCap Index Fund;

 

 

o

S&P SmallCap Index Fund;

 

 

o

Shelton Core Value Fund;

 

 

o

Short-Term U.S. Government Bond Fund; and

 

 

o

The United States Treasury Trust; and

 

 

o

U.S. Government Securities Fund;

 

●    the Investment Advisory Agreement, effective as of March 8, 2013, between Shelton Funds, on behalf of the Shelton Green Alpha Fund, and SCM (the "Green Alpha Investment Advisory Agreement"); and

 

●    the Discretionary Sub-Advisory Agreement effective as of March 8, 2013, between Green Alpha Advisors, LLC (“Green Alpha”) and SCM (the “Investment Sub-Advisory Agreement” and collectively with the Shelton Funds Investment Advisory Agreement and the Green Alpha Advisory Agreement, each an “Advisory Agreement” and collectively, the “Advisory Agreements”).

 

At a meeting held in-person on February 13-14, 2019, the Board, including a majority of the Independent Trustees, considered and approved the continuation of each Advisory Agreement for an additional one-year period ending March 31, 2020:

 

Prior to the meeting, the Independent Trustees requested information from SCM, Green Alpha, and third-party sources. This information, together with other information provided by SCM and Green Alpha, and the information provided to the Independent Trustees throughout the course of the year, formed the primary (but not exclusive) basis for the Board’s determinations, as summarized below. In addition to the information identified above, other material factors and conclusions that formed the basis for the Board’s subsequent approval are described below.

 

Board Determinations – Shelton Funds

 

Prior to the meeting, the Independent Trustees requested information from SCM, Green Alpha, and third-party sources. This information, together with other information provided by SCM and Green Alpha, and the information provided to the Independent Trustees throughout the course of the year, formed the primary (but not exclusive) basis for the Board’s determinations, as summarized below. In addition to the information identified above, other material factors and conclusions that formed the basis for the Board’s subsequent approval are described below.

 

Information Received

 

Materials Received. During the course of each year, the Independent Trustees receive a wide variety of materials relating to the services provided by SCM and Green Alpha, including reports on each applicable Fund’s investment results; portfolio composition; third party fund rankings; investment strategy; portfolio trading practices; shareholder services; and other information relating to the nature, extent and quality of services provided by SCM and Green Alpha to the applicable Funds. In addition, the Board requests and reviews supplementary information that includes materials regarding each Fund’s investment results, advisory fee and expense comparisons, the costs of operating the Funds and financial and profitability information regarding Shelton Capital (the principal business activity of which is managing the Funds) and Green Alpha, descriptions of various functions such as compliance monitoring and portfolio trading practices, and information about the personnel providing investment management services to each applicable Fund.

 

Review Process. The Board received assistance and advice regarding legal and industry standards from independent legal counsel to the Independent Trustees and fund counsel. The Board discussed the renewal of the Advisory Agreements with SCM and Green Alpha representatives, and in a private session with independent legal counsel at which representatives of SCM and Green Alpha were not present. In deciding to approve the renewal of the Advisory Agreements, the Independent Trustees considered the total mix of information requested by and made available to them and did not identify any single issue or particular information that, in isolation, was the controlling factor. This summary describes the most important, but not all, of the factors considered by the Board.

 

Nature, Extent and Quality of Services

 

SCM, its personnel and its resources. The Board considered the depth and quality of Shelton Capital’s investment management process; the experience, capability and integrity of its senior management and other personnel; operating performance and the overall financial strength and stability of its organization. The Board also considered that SCM made available to its investment professionals a variety of resources relating to investment management, compliance, trading, performance and portfolio accounting. The Board further considered SCM’s continuing need to attract and retain qualified personnel and, noting SCM’s additions over recent years, determined that SCM was adequately managing matters related to the Funds.

 

Green Alpha, its personnel and its resources. The Board considered the depth and quality of Green Alpha’s investment management process; the experience, capability and integrity of its management and other personnel; operating performance and the overall financial strength and stability of its organization. The Board also considered the operations and compliance environment at Green Alpha. The Board determined that Green Alpha was adequately managing matters related to the Green Alpha Fund.

 

Other Services. The Board considered, in connection with the performance of its investment management services to the Funds: SCM’s and Green Alpha’s policies, procedures and systems to ensure compliance with applicable laws and regulations and each of their commitment to these programs; each of their efforts to keep the Trustees informed; and each of their attention to matters that may involve conflicts of interest with the applicable Funds. As a point of comparison, the Board also considered the nature, extent, quality and cost of certain non-investment related administrative services provided by SCM to the Funds under the administration servicing agreements.

 

The Board concluded that SCM and Green Alpha had the quality and depth of personnel and investment methods essential to performing its duties under the applicable Advisory Agreements, and that the nature, extent and overall quality of such services provided by SCM and Green Alpha, respectively, were satisfactory and reliable.

 

56

 

 

Board Considerations Regarding Approval of Investment Advisory Agreements (Continued)

 

Investment Performance

 

The Board considered each Fund’s investment results in comparison to its stated investment objectives. The Trustees reviewed the short-term and long-term performance of each Fund on both an absolute basis and against its benchmark indices. The Trustees also reviewed performance rankings for each Fund as provided by an independent third-party service provider, 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 Green California Tax-Free Income Fund, it was noted that the Fund was in the third quartile over the 1-year, 3-year and 5-year and 10- year periods.

 

 

For the Nasdaq-100 Index Fund, it was noted that the performance of the Fund was in the first decile over the 3-year, 5-year and 10-year periods, and the second quartile for the 1-year period.

 

 

For the S&P 500 Index Fund, it was noted that the performance of the Fund was in the first quartile over the 3-year and 5-year period, and the second quartile over the 1-year and 10-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 3-year and 5-year periods, the second quartile for the 10-year period, and the fourth quartile over the 1-year period. The Trustees noted with approval that the Fund was tracking its benchmark very closely.

 

 

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 Shelton Green Alpha Fund, it was noted that the performance of the Fund was in the fourth quartile over the 1-year, 3-year and 5-year periods.

 

 

For the Shelton Core Value Fund, it was noted that the performance of the Fund was in the second quartile over the 10-year period, the third quartile over the 1-year and 5-year periods, and the fourth quartile for the 3-year period.

 

 

For the Short-Term U.S. Govt. Bond Fund, it was noted that the performance of the Fund was in the third quartile for the 1-year period and 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 below the standard index and category index over the 1-year, 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 5-year period, the third quartile over 10-year period, and the fourth third quartile over the 1-year and 3-year periods.

 

The Board received a satisfactory explanation of the reasons underlying the performance of the lower performing Funds and SCM articulated a strategy for improving performance of these Funds. The Board ultimately concluded that SCM’s and Green Alpha’s performance records in managing the applicable Fund was satisfactory, and in some cases excellent, supporting the determination that SCM’s and Green Alpha’s continued management under the applicable Advisory Agreement would be consistent with the best interests of each applicable Fund and its shareholders.

 

Management Fees and Total Annual Operating Expense Ratios

 

The Board reviewed the management fees and total operating expenses of each Fund and compared such amounts with the management fees and total operating expenses of other funds in the industry that are found within the same style category as defined by a third-party independent service provider. The Board considered the advisory fees and total fees and expenses of each Fund in comparison to the advisory fees and other fees and expenses of other funds in each Fund’s relevant category. The Trustees considered both the gross advisory fee rates, as well as the effective advisory rates charged by SCM after taking into consideration the expense limitation arrangements and voluntary fee waivers on certain Funds.

 

The Board noted that the actual management fees charged to half of the Funds were generally lower than the industry median for comparable funds, while the Short-Term U.S. Government Bond Fund, the U.S. Government Securities Fund, the Shelton Green Alpha Fund and the Green California Tax-Free Income Fund were above their respective peer group median.

 

The Board also observed that each Fund’s total annual operating expense ratios, after taking into account the expense limitations and waivers applicable to certain Funds, were generally below the industry median for other comparable funds, with the exception of the Green California Tax-Free Income Fund, The United States Treasury Trust, the U.S. Government Securities Fund, and the Shelton Green Alpha Fund, each of which was above median.

 

Comparable Accounts

 

The Board noted certain information provided by SCM and Green Alpha regarding fees charged to other clients utilizing a strategy similar to that employed by an applicable Fund. Green Alpha noted that there were no such comparable accounts. The Board determined that, bearing in mind the limitations of comparing different types of managed accounts and the different levels of service typically associated with such accounts, the fee structures applicable to SCM’s other clients employing a comparable strategy to each applicable Fund was not indicative of any unreasonableness with respect to the advisory fee payable by such Fund.

 

Cost Structure, Level of Profits, Economies of Scale and Ancillary Benefits

 

The Board reviewed information regarding SCM’s and Green Alpha’s costs of providing services to the applicable Funds. The Board also reviewed the resulting level of profits to SCM and Green Alpha, respectively, including the cost allocation methodologies used to calculate such profits. The Independent Trustees received financial and other information from SCM and Green Alpha.

 

The Board noted its intention to continue to monitor assets under management, and the resulting impact on SCM’s and Green Alpha’s profitability, in order to ensure that each has sufficient resources to continue to provide the services that shareholders in the applicable Funds require. The Board considered SCM’s and Green Alpha’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 and Green Alpha do not receive material indirect benefits from managing the applicable Funds. For example, neither SCM nor Green Alpha seeks to supplement its fees with “soft dollar” benefits.

 

Based on the foregoing, together with the other information provided to it at the Meeting and throughout the year, the Board concluded that each applicable Fund’s cost structure and level of profits for SCM and Green Alpha, respectively, were reasonable and that economies of scale and ancillary benefits, to the extent present with respect to a Fund, were not material.

 

57

 

 

Board Considerations Regarding Approval of Investment Advisory Agreements (Continued)

 

Conclusions

 

The Board indicated that the information presented and the discussion of the information were adequate for making a determination regarding the renewal of each Advisory Agreement. During the review process, the Board noted certain instances where clarification or follow-up was appropriate and others where the Board determined that further clarification or follow-up was not necessary. In those instances where clarification or follow-up was requested, the Board determined that in each case either information responsive to its requests had been provided, or where any request was outstanding in whole or in part, given the totality of the information provided with respect to each Advisory Agreements, the Board had received sufficient information to renew and approve the applicable Advisory Agreement.

 

Based on their review, including but not limited to their consideration of each of the factors referred to above, the Board concluded that each Advisory Agreement, taking into account the separate administration fees, is and would be fair and reasonable to each Fund and its shareholders, that each Fund’s shareholders received or should receive reasonable value in return for the advisory fees and other amounts paid to SCM and Green Alpha by the Funds, and that the renewal of the each Advisory Agreement was in the best interests of each Fund and its shareholders.

 

58

 

 

 

 

 

ITEM 2. CODE OF ETHICS.

 

  N/A for semi-annual reports.

 

ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.

 

  N/A for semi-annual reports.

 

ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.

 

  N/A for semi-annual reports.

 

ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.

 

  N/A

 

ITEM 6. SCHEDULE OF INVESTMENTS

 

  Included under Item 1.

 

ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

 

  N/A

 

ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

 

  N/A

 

ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.

 

  N/A

 

ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.

 

There have been no material changes to the procedures by which the shareholders may recommend nominees to the Registrant's board of trustees since the Registrant last provided disclosure in response to the requirements of Item 7(d)(2)(ii)(G) of Schedule 14A or this Item.


 

 

 

ITEM 11. CONTROLS AND PROCEDURES.

 

(a) The Registrant's principal executive and principal financial officers, or persons performing similar functions, have concluded that the Registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the "1940 Act") (17 CFR 270.30a-3(c)) are effective as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)).

 

(b) There were no changes in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act that occurred during the Registrant's last fiscal half-year (the Registrant's second fiscal half-year in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the Registrant's internal control over financial reporting.

 

ITEM 12. EXHIBITS

 

(a)(1) Code of Ethics not applicable for semi-annual report.

 

(a)(2) Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.

 

(b) Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto.

 

 

 

SIGNATURES

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

Shelton Funds  
   
By /s/ Stephen C. Rogers
  Stephen C. Rogers, Chairman
  Date: May 2, 2019

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.

 

By /s/ Stephen C. Rogers
  Stephen C. Rogers, Chairman
  Date: May 2, 2019
   
By /s/ William P. Mock
  William P. Mock, Treasurer
  Date: May 2, 2019