N-CSRS 1 l12374anvcsrs.txt NEW COVENANT FUNDS N-CSRS ----------------------------------- OMB APPROVAL OMB Number: 3235-0570 Expires: September 30, 2007 Estimated average burden hours per response. . . . . . .19.4 ----------------------------------- 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 811-09025 ------------------------------------------ New Covenant Funds ----------------------------------------------------------------------------- (Exact name of registrant as specified in charter) 200 East Twelfth Street, Jeffersonville, IN 47130 ----------------------------------------------------------------------------- (Address of principal executive offices) (Zip code) BISYS Fund Services, 3435 Stelzer Road, Columbus, OH 43219 ----------------------------------------------------------------------------- (Name and address of agent for service) Registrant's telephone number, including area code: 614-470-8000 ----------------- Date of fiscal year end: June 30, 2005 --------------------- Date of reporting period: December 31, 2004 --------------------------- 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. Section 3507. ITEM 1. REPORTS TO STOCKHOLDERS. SEMI-ANNUAL REPORT New Covenant Growth Fund New Covenant Income Fund New Covenant Balanced Growth Fund New Covenant Balanced Income Fund December 31, 2004 [NEW COVENANT FUNDS, SEMI-ANNUAL REPORT IMAGE] TABLE OF CONTENTS Shareholder Letter ....................... 2 Portfolios of Investments ................ 4 Statements of Assets and Liabilities...... 16 Statements of Operations ................. 17 Statements of Changes in Net Assets....... 18 Financial Highlights ..................... 20 Notes to Financial Statements ............ 24 Trustees and Officers .................... 31
TO OUR SHAREHOLDERS NEW COVENANT FUNDS DECEMBER 31, 2004 Dear Shareholders: The six months through December 31, 2004 saw the economy shake off early uncertainty, resulting in a late stock-market surge. Bonds posted better-than expected returns during the period. The economy seemed shaky early in the period. Some observers feared that rising energy prices and halting employment growth would undermine consumer spending. Meanwhile, high federal budget and trade deficits led to a weaker dollar. That trend benefited export-oriented sectors of the economy, which saw their products become more competitive overseas, but also caused some economists to worry about the potential for a sizable and potentially destabilizing drop in the dollar. The Federal Reserve increased short-term interest rates four times during the six-month period, for a total increase of one percentage point. The Fed sought to curb inflation, which began to rise during 2004. The economy appeared to gain strength late in the period, as the rate of job growth climbed more than expected and energy prices receded. Stocks stagnated early on as investors tried to gauge the effects of various conflicting factors, including rising short-term rates, higher energy prices, strong corporate profits, increasing inflation, political uncertainty and conflict in the Middle East. Several positive factors occurred late in the period. The resolution of the presidential election removed political uncertainty, while the economy appeared to gain strength and energy prices declined. The market staged a powerful rally, and produced most of its 2004 gain during the fourth calendar quarter. Value stocks dramatically outperformed growth stocks for the period as a whole, across all market capitalizations. Small- and mid-cap stocks beat out larger shares, continuing a five-year trend of superior performance by smaller stocks. Stocks in the energy, industrials and basic materials sectors performed well. Technology stocks generally lagged the market, despite outstanding performance by certain technology shares. The weakness of the dollar helped international stocks outperform the domestic stock market. Yields on short-term bonds increased somewhat during this period, in line with the Fed's rate increases. Longer-term Treasuries outperformed most observers' expectations, as the yield on the 10-year Treasury bond declined slightly. Corporate bonds and mortgage-backed securities outperformed government issues, which offered relatively low yields. The New Covenant Funds hired new managers to run the Portfolios' growth allocations effective January 1, 2005. Santa Barbara Asset Management will assume management of the Funds' large-cap growth segment. Santa Barbara employs extensive fundamental and quantitative analysis to identify shares of firms that offer sustainable, above-average earnings growth over a long period of time. Mazama Capital Management, which will assume management of the Funds' small- and mid-cap growth allocation, uses bottom-up fundamentals-based stock analysis combined with many company visits to uncover stocks with the potential for significant long-term appreciation. THE NEW COVENANT GROWTH FUND The New Covenant Growth Fund gained 6.99% during the six-month period ended December 31, 2004. That compared to a 7.18% return for the Fund's benchmark, the Standard & Poor's 500 Index.(1) The Fund built a 65% position in its core style-neutral portfolio during the six-month period ending December 31, 2004, and then returned to a neutral 61% position at the end of the period. The remaining assets also were allocated neutrally as of the end of the period, with 13% allocated to each satellite style: growth, value and international.(2) The Fund's allocations to international and value stocks boosted performance relative to the benchmark.The core portfolio, which is managed by Wellington Capital Management, also helped returns against the benchmark. The Fund's growth allocation weighed on relative returns, however, as growth stocks lagged the market.(2) THE NEW COVENANT INCOME FUND The New Covenant Income Fund gained 3.77% during the six-month period through December 31, 2004, slightly lagging the 4.34% return of its benchmark, the Lehman Brothers Aggregate Bond Index.(3) The Income Fund emphasized mortgage-backed issues and high-quality corporate bonds. That strategy helped returns against the benchmark. Gradually rising interest-rate levels boosted mortgage-backed issues while corporate bonds benefited from a strengthening economy, strong corporate profits and balance sheets, and a sizable yield advantage over Treasuries. The Fund maintained a high average credit rating of between AA+ and AAA.(2) The Fund's duration during the period was shorter than the benchmark to protect from a potential rise in interest rates. Rates flattened during the second half of the period, so the move to a shorter duration proved to be somewhat premature, and weighed slightly on relative returns. 2 TO OUR SHAREHOLDERS NEW COVENANT FUNDS DECEMBER 31, 2004 THE NEW COVENANT BALANCED GROWTH FUND The New Covenant Balanced Growth Fund gained 5.67% during the six-month period ended December 31, 2004. That compared to a 6.04% return for its benchmark, a composite that is comprised of a 60% weighting in the S&P 500 Index and a 40% weighting in the Lehman Brothers Aggregate Bond Index. This Fund does not stray far from its neutral position of 60% of assets in stocks and 40% in bonds, because we believe diversification historically has been the best way to obtain solid investment returns while limiting volatility.The Fund began the period with approximately 61% of its assets in stocks, due to our belief that the outlook for stocks was more favorable than it was for bonds.That stake grew to 63% as stocks appreciated more rapidly than fixed-income securities. The Fund's emphasis on the stock market boosted relative returns. The Fund's allocation to growth stocks lagged the broad market, however, dragging on returns against the benchmark.(2) THE NEW COVENANT BALANCED INCOME FUND The New Covenant Balanced Income Fund gained 4.89% during the six-month period ended December 31, 2004. That compared to a 5.28% return for its benchmark, a composite index with a 35% allocation to the S&P 500 Index and a 65% allocation to the Lehman Brothers Aggregate Bond Index. Like the Balanced Growth Fund, this Fund does not stray far from its neutral asset allocation. The Balanced Income Fund began the period with roughly 36% of its assets in stocks, slightly higher than the benchmark. The overweight stock position grew throughout the period as stocks outperformed bonds, and ended the period at 39% of the portfolio. The Fund's overweight position in the stock market boosted returns against the benchmark. Its stake in growth stocks dragged on relative returns, as such shares lagged the overall market.(2) /s/ Dennis J. Murphy --------------------- Dennis J. Murphy Executive Vice President and Chief Investment Officer The New Covenant Funds Investment Department of New Covenant Trust Company, N.A.(4) PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. TOTAL RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS. THE INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. TO OBTAIN MORE CURRENT PERFORMANCE INFORMATION, PLEASE CALL 877-835-4531 OR VISIT OUR WEBSITE AT WWW.NEWCOVENANTFUNDS.COM. (1) The Standard & Poor's Composite Index of 500 stocks is an unmanaged, capitalization weighted index that measures the performance of 500 large- capitalization stocks representing all major industries. It is not possible to invest directly in any index. (2) Portfolio composition is subject to change. (3) The Lehman Brothers Aggregate Bond Index is an unmanaged index of U.S. bonds, which includes reinvestment of any earnings. It is widely used to measure the overall performance of the U.S. bond market. It is not possible to invest directly in any index. (4) A subsidiary of the Presbyterian Foundation. 3 PORTFOLIO OF INVESTMENTS NEW COVENANT GROWTH FUND DECEMBER 31, 2004 (UNAUDITED)
Value Shares (Note 2) -------------------------------------------------------------------------------- COMMON STOCKS (97.7%): Advertising (0.8%): 267,500 Interpublic Group of Cos., Inc. (b) ................ $ 3,584,500 39,500 Omnicom Group, Inc.................................. 3,330,640 ----------- 6,915,140 ----------- AEROSPACE (0.2%): 45,700 Rockwell Collins, Inc............................... 1,802,408 ----------- AUTOMOTIVE (1.4%): 5,500 Bayerische Motoren Werke AG ........................ 247,825 2,000 Bridgestone Corp. (L) .............................. 39,817 19,000 DaimlerChrysler AG ................................. 910,357 111,500 Dana Corp........................................... 1,932,295 148,000 Delphi Automotive Systems (L) ...................... 1,334,960 30,800 Genuine Parts Co.................................... 1,357,048 85,500 Honda Motor Co. Ltd................................. 2,228,130 111,000 Mitsubishi Motors Corp. (b) (L) .................... 126,740 86,600 Nissan Motors (L) .................................. 941,470 4,500 Renault SA (L) ..................................... 376,478 5,700 Reynolds & Reynolds Co.............................. 151,107 5,200 Scania AB - B Shares ............................... 205,796 37,000 Suzuki Motor Corp. (L) ............................. 675,944 20,400 Tenneco Automotive, Inc. (b) ....................... 351,696 16,100 Toyota Motor Co..................................... 655,187 18,000 TRW Automotive Holdings Corp. (b) .................. 372,600 4,300 Volkswagen AG ...................................... 194,923 ----------- 12,102,373 ----------- BANKING (7.3%): 59,083 ABN AMRO Holdings NV ............................... 1,565,214 21,020 Australia and New Zeland Banking Group Ltd.......... 339,273 1,300 BancFirst .......................................... 102,674 84,000 Banco Bilbao Vizcaya (L) ........................... 1,490,010 21,700 Banco Santander Central Hispano SA (L) ............. 269,296 268,180 Bank of America Corp................................ 12,601,777 23,900 Banque Nationale de Paris (L) ...................... 1,731,507 16,500 Barclays Plc........................................ 185,635 17,300 Bayerische Vereins Ag (b) .......................... 393,406 28,720 Cathay Bancorp, Inc................................. 1,077,000 7,800 Central Pacific Financial Corp. (L) ................ 282,126 99,700 Comerica, Inc....................................... 6,083,693 500 Community Bancorp (b) .............................. 15,300 19,248 Credit Suisse Group ................................ 809,124 65,200 Credito Italiano ................................... 374,876 4,300 Deutsche Bank AG (L) ............................... 381,664 33,000 DNB NOR ASA (L) .................................... 325,551 3,300 First Citizens Bancshares, Inc., Class A ........... 489,225 7,600 Flagstar Bancorp, Inc. (L) ......................... 171,760 200 ForeningsSparbanken AB ............................. 4,981 48,200 Golden West Financial Corp ......................... 2,960,444 13,700 Hang Seng Bank ..................................... 190,359 40,300 Hibernia Corp....................................... 1,189,253 18,370 Holderbank Financiere Glarus ....................... 1,106,627 57,700 HSBC Holdings Plc .................................. 973,742 3,800 Hudson United Bancorp .............................. 149,644 58,800 Huntington Bancshares, Inc.......................... 1,457,064 3,900 Irwin Financial Corp. (L) .......................... 110,721 110,506 J.R Morgan Chase & Co .............................. 4,310,838 75,800 KeyCorp............................................. 2,569,620 20,100 Lloyds TSB Group Plc ................................ 182,531 26,700 MBT Financial Corp.(L) ............................. 621,309 71 Mitsubishi Tokyo Financial Group, Inc............... 720,601 32 Mizuho Financial Group, Inc......................... 161,140 6,424 National Australia Bank Ltd......................... 145,131 4,500 National Bank of Canada (L) ........................ 186,137 109,700 National City Corp.................................. 4,119,235 11,200 R & G Financial Corp................................ 435,456 43,600 Royal Bank of Scotland Group Plc (R) ............... 1,466,559 3,600 Societe Generale (L) ............................... 364,306 31,200 Standard Chartered Plc ............................. 580,141 18,000 State Street Corp................................... 884,160 142 Sumitomo Mitsui Financial Group (L) ................ 1,032,400 27,400 SunTrust Banks, Inc................................. 2,024,312 43,610 Texas Capital Bane (b) ............................. 942,848 16,200 TriCo Bancshares ................................... 379,080 120,000 U.S. Bancorp ....................................... 3,758,400 254 UFJ Holdings, Inc................................... 1,539,319 12,700 Wells Fargo & Co.................................... 789,305 3,231 Wesbanco, Inc....................................... 103,295 2,980 Westamerica Bancorp ................................ 173,764 1,800 WFS Financial (b) .................................. 91,404 ----------- 64,413,237 ----------- BROADCASTING AND MEDIA (3.5%): 23,500 Clear Channel Communications, Inc................... 787,015 90,972 Comcast Corp. New CLA (b) .......................... 3,027,548 8,300 Comcast Corp. Spl A (b) ............................ 272,572 17,300 Cumulus Media, Inc. (b) (L) ........................ 260,884 172,000 DirecTV Group, Inc. (b) ............................ 2,879,280 38,200 Fox Entertainment Group, Inc. (b) .................. 1,194,132 47,300 Gannett Co., Inc.................................... 3,864,410 22,300 Insight Communications Company, Inc. (b) ........... 206,721 5,100 Journal Communications, Inc......................... 92,157 23,400 Knology, Inc. (b) (L) .............................. 91,494 13,900 L-3 Communications Holdings, Inc.................... 1,018,036 377,000 Liberty Media Corp. (b) ............................ 4,139,460 574,150 Time Warner, Inc. (b) .............................. 11,161,476 57,970 Viacom, Inc. - Cl. B ............................... 2,109,528 6,450 World Wrestling Entertainment, Inc.................. 78,239 ----------- 31,182,952 ----------- CHEMICALS (0.9%): 25,500 Air Products & Chemical, Inc........................ 1,478,235 3,700 Albemarle Corp...................................... 143,227 12,500 Cabot Corp.......................................... 483,500 4,900 Cad Potash Corporation Of Saskatchewan ............. 407,941 45,940 Dow Chemical Co..................................... 2,274,490 22,800 Du Pont (E.I.) De Nemours .......................... 1,118,340 9,000 Ferro Corp.......................................... 208,710 4,800 Nitto Denko Corp.................................... 263,258 2,700 Norsk Hydro ASA .................................... 212,642 7,800 Schulman, Inc. (L) ................................. 166,998 60,000 Sumitomo Chemical Co................................ 293,940 2,506 Syngenta AG ........................................ 266,225 6,500 Takeda Chemical Industries ......................... 327,315 ----------- 7,644,821 ----------- COMMERCIAL SERVICES (2.1%): 11,649 Aaron Rents, Inc.................................... 291,225 128,600 Accenture Ltd. (b) ................................. 3,472,199 35,570 Alliance Data Systems Corp. (b) .................... 1,688,864 21,680 Avocent Corp. (b) .................................. 878,474 10,600 Checkpoint Systems, Inc. (b) ....................... 191,330
See accompanying notes to financial statements. 4 PORTFOLIO OF INVESTMENTS NEW COVENANT GROWTH FUND DECEMBER 31, 2004 (UNAUDITED)
Value Shares (Note 2) -------------------------------------------------------------------------------- 13,100 Convergys Corp. (b) ................................ $ 196,369 22,000 Corillian Corp. (b) ................................ 108,240 11,990 CSG Systems International, Inc. (b) ................ 244,970 8,100 Cyberoptics Corp. (b) (L) .......................... 120,447 4,600 Geo Group, Inc. (b) ................................ 122,268 12,100 Gevity HR, Inc. (L) ................................ 248,776 5,500 Global Imaging Systems, Inc. (b) (L) ............... 217,250 23,250 Global Payments, Inc. .............................. 1,361,055 48,700 Ikon Office Solutions, Inc. ........................ 562,972 16,700 John H. Harland Co. (L) ............................ 602,870 46,010 Korn/Ferry International (b) ....................... 954,708 9,700 PDI, Inc. (b) ...................................... 216,116 64,500 Pitney Bowes, Inc. ................................. 2,985,060 37,800 TNS, Inc. (b) ...................................... 825,930 23,300 W.W. Grainger, Inc. ................................ 1,552,246 5,600 Watson Wyatt & Co. ................................. 150,920 70,900 Xerox Corp. (b) .................................... 1,206,009 ----------- 18,198,298 ----------- COMPUTER SERVICES AND SOFTWARE (7.9%): 48,915 Activision, Inc. (b) ............................... 987,105 34,420 Adobe Systems, Inc. ................................ 2,159,511 4,500 ANSYS, Inc. (b) .................................... 144,270 23,270 Automatic Data Processing, Inc. .................... 1,032,025 16,180 Avid Technology, Inc. (b) .......................... 999,115 537,380 Cisco Systems, Inc. (b) ............................ 10,371,434 2,700 Dassault Systemes SA (L) ........................... 136,156 240,950 Dell, Inc. (b) ..................................... 10,153,633 24,400 DST Systems, Inc. (b) .............................. 1,271,728 16,300 Electronic Arts, Inc. (b) .......................... 1,005,384 8,600 Epicor Software Corp. (b) (L) ...................... 121,174 87,600 Gartner Group, Inc. (b) (L) ........................ 1,091,496 118,050 Gateway, Inc. (b) .................................. 709,481 143,500 Hewlett Packard Co. ................................ 3,009,195 10,000 Hyperion Solutions Corp. (b) ....................... 466,200 600 Infosys Technologies Ltd. (L) ...................... 41,586 122,040 International Business Machines Corp. .............. 12,030,703 10,200 Intervideo, Inc. (b) ............................... 134,946 8,000 Intervoice, Inc. (b) (L) ........................... 106,800 8,400 Komag, Inc. (b) .................................... 157,752 523,800 Microsoft Corp ..................................... 13,990,697 5,100 Microstrategy, Inc. (b) ............................ 307,275 30,640 Niku Corp. (b) ..................................... 617,702 416,700 Oracle Corp. (b) ................................... 5,717,124 8,000 Progress Software Corp. (b) ........................ 186,800 3,800 Renanissance Learning, Inc. (L) .................... 70,528 48,450 RSA Security, Inc. (b) ............................. 971,907 1,700 SAP AG(L) .......................................... 303,167 4,875 SS&C Technologies, Inc. (L) ........................ 100,669 7,400 Sybase, Inc. (b) ................................... 147,630 6,200 Transaction Systems Architects, Inc. (b) ........... 123,070 38,700 United Online, Inc. (b) (L) ........................ 446,211 67,690 Wind River Systems, Inc. (b) ....................... 917,200 ----------- 70,029,674 ----------- CONSTRUCTION AND BUILDING MATERIALS (2.0%): 32,500 Bouygues SA (L) .................................... 1,501,971 7,100 Brookfield Homes Corp. ............................. 240,690 34,100 Centex Corp. ....................................... 2,031,678 18,581 CRH Plc ............................................ 497,162 80,250 D. R. Horton, Inc. ................................. 3,234,877 37,920 Dycom (b) .......................................... 1,157,318 4,600 Eagle Materials (L) ................................ 397,210 17,200 Hovnanian Enterprises - A (b) (L) .................. 851,744 35,380 Hughes Supply, Inc. ................................ 1,144,543 49,500 Lennar Corp. Class A ............................... 2,805,660 2,400 Quanex Corp. ....................................... 164,568 50,734 Rinker Group Ltd. .................................. 423,555 5,400 Ryland Group, Inc. ................................. 310,716 41,000 Sekisui House Ltd. (L) ............................. 477,740 25,700 Standard-Pacific Corp. (L) ......................... 1,648,398 19,700 The Stanley Works .................................. 965,103 3,500 USG Corp. (b) (L) .................................. 140,945 ----------- 17,993,878 ----------- CONSUMER PRODUCTS (4.4%): 37,100 Amcor Ltd. ......................................... 213,758 3,900 Bandag, Inc. (L) ................................... 194,259 15,000 Bps Associated British Foods Plc ................... 224,772 23,540 Estee Lauder Co., Inc. (The) - Class A ............. 1,077,426 34,860 Fossil, Inc. (b) ................................... 893,810 2,050 Genlyte Group (b) .................................. 175,644 159,380 Gillette Co. ....................................... 7,137,036 12,200 HNI Corp. .......................................... 525,210 22,600 Industria de Diseno Textil, SA (L) ................. 666,603 4,800 K-Swiss, Inc. (L) .................................. 139,776 6,400 Kenneth Cole Productions, Inc. (L) ................. 197,504 82,100 Kimberly-Clark Corp. ............................... 5,403,001 5,700 L'OREAL SA (L) ..................................... 432,710 258,000 Li & Fung Ltd. ..................................... 434,830 2,900 Michelin(L) ........................................ 186,015 6,200 Multimedia Games, Inc. (b) (L) ..................... 97,712 33,880 Nike, Inc. Class B ................................. 3,072,577 19,000 Nikon Corp. (L) .................................... 234,742 2,700 Nintendo Co. ....................................... 339,114 7,500 Nu Skin Enterprises, Inc. .......................... 190,350 24,400 Polaris Industries, Inc. (L) ....................... 1,659,688 21,300 Polo Ralph Lauren Corp ............................. 907,380 86,600 Procter & Gamble Co. ............................... 10,277,928 6,000 Reckitt & Colman ................................... 181,316 37,880 Sherwin-Williams Co. ............................... 1,690,584 2,300 Stanley Furniture Co., Inc. ........................ 103,385 16,400 Stewart Enterprises, Inc., Class A (b) ............. 114,636 14,600 Timberland Co., Class A (b) ........................ 914,982 11,600 Toro Co. ........................................... 943,660 5,200 Uni-Charm .......................................... 249,166 3,500 Unilever Plc (L) ................................... 234,681 10,700 Wolseley Plc ....................................... 199,986 ----------- 39,314,241 ----------- DIVERSIFIED OPERATIONS (4.9%): 77,880 3M Co. ............................................. 6,391,612 6,500 Acuity Brands, Inc. ................................ 206,700 44,480 Brambles Industries Ltd. (L) ....................... 242,332 133,700 Cendant Corp. ...................................... 3,125,906 16,100 Crane Co. .......................................... 464,324 130,828 First Data Corp. ................................... 5,565,423 362,000 General Electric Co. ............................... 13,213,000 15,610 Harsco Corp. ....................................... 870,101 68,050 Jacuzzi Brands, Inc. (b) ........................... 592,035 37,900 Mitsubishi Corp. (L) ............................... 489,700 23,000 Mitsui & Co. (L) ................................... 206,275 27,800 Rentokil Initial Plc ............................... 78,859 28,600 Smiths Industries Plc .............................. 451,354
See accompanying notes to financial statements. 5 PORTFOLIO OF INVESTMENTS NEW COVENANT GROWTH FUND DECEMBER 31, 2004 (UNAUDITED)
Value Shares (Note 2) -------------------------------------------------------------------------------- 79,000 SPX Corp. (L) ...................................... $ 3,164,740 20,900 Swire Pacific Ltd. ................................. 174,778 101,500 Thermo Electron Corp. (b) .......................... 3,064,285 139,790 Tyco International Ltd. ............................ 4,996,095 4,900 Wesfarmers Ltd. .................................... 152,876 ----------- 43,450,395 ----------- ELECTRONICS (3.2%): 3,100 Advantest Corp. (L) ................................ 265,922 22,900 Ameren Corp. ....................................... 1,148,206 90,900 Amphenol Corp.- Class A (b) ........................ 3,339,666 44,000 Applied Materials, Inc. (b) ........................ 752,400 70,500 Aquila, Inc. (b) (L) ............................... 260,145 12,600 ASML Holding N.V. (b) .............................. 202,265 3,800 Bei Technologies, Inc. ............................. 117,344 3,400 Bel Fuse, Inc., Class B (L) ........................ 114,886 26,700 Benchmark Electronics, Inc. (b) .................... 910,470 11,000 Brightpoint, Inc. (b) (L) .......................... 214,940 7,100 Cabot Microelectronics Corp. (b) (L) ............... 284,355 12,100 Cree Research, Inc. (b) (L) ........................ 484,968 26,330 Cymer, Inc. (b) .................................... 777,788 14,350 Diodes, Inc. (b) (L) ............................... 324,741 75,300 Emerson Electric Co. ............................... 5,278,529 26,300 Fairchild Semiconductor International, Inc. (b) .... 427,638 7,800 Fanuc Co. Ltd. ..................................... 510,003 51,000 Furukawa Electric Co. Ltd. (b) (L) ................. 282,697 3,000 Hirose Electric Co. Ltd. ........................... 350,737 19,549 Hon Hai Precision Industry Co. Ltd. ................ 181,364 10,900 Hubbell, Inc., Class B ............................. 570,070 1 7,800 Infineon Technologies AG (b) ....................... 191,380 800 Keyence Corp. ...................................... 179,252 36,000 Konica Corp. (L) ................................... 477,798 6,100 Koninklijke Philips Electronics NV ................. 161,766 1,000 Kyocera Corp. ...................................... 76,998 33,300 MEMC Electronic Materials, Inc. (b) ................ 441,225 5,100 MTS Systems Corp. (L) .............................. 172,431 3,700 Murata Manufacturing Co. Ltd. ...................... 206,900 35,000 NEC Corp. .......................................... 217,576 300 NEC Electronics Corp.(L)(R) ........................ 14,638 2,000 Nippon Electric Glass Co., Ltd. .................... 51,137 96 Nippon Telegraph & Telephone Corp. ................. 430,955 7,300 Omron Corp. ........................................ 174,183 101,200 On Semiconductor Corp. (b) (L) ..................... 459,448 2,600 Rohm Co. Ltd. ...................................... 268,957 6,674 Samsung Electornics - GDR .......................... 1,461,606 37,660 Semtech Corp. (b) .................................. 823,624 5,400 Siliconix, Inc. (b) ................................ 197,046 8,200 Sony Corp. (L) ..................................... 316,893 16,800 STMicroelectronics NV (L) .......................... 327,688 67,790 Taiwan Semiconductor ADR ........................... 575,537 3,600 Tdk Corp. .......................................... 266,654 54,000 Tektronix, Inc. .................................... 1,631,340 1 1,700 Tokyo Electron Ltd. ................................ 720,474 28,525 Trimble Navigation Ltd. (b) ........................ 942,466 16,000 Venture Corp. Ltd. ................................. 155,844 6,600 Yamada Denki Co., Ltd. (L) ......................... 282,756 ----------- 28,025,706 ----------- ENERGY (2.7%): 68,900 American Electric Power Co., Inc. .................. 2,366,026 1 7,200 Atmos Energy Corp. ................................. 470,420 63,600 Centerpoint Energy, Inc. ........................... 718,680 53,910 Centrica Plc ....................................... 244,523 2,800 Chubu Electric Power Co., Inc. (L) ................. 67,220 14,900 Cleco Corp. (L) .................................... 301,874 26,400 Edison International ............................... 845,592 335,000 El Paso Corp. ...................................... 3,484,000 6,400 Energy Partners Ltd. (b) (L) ....................... 129,728 121,374 Exelon Corp. ....................................... 5,348,953 34,900 Great Plains Energy, Inc. .......................... 1,056,772 11,900 Iberdrola SA (L) ................................... 302,474 17,100 Kansai Electric Power, Inc. ........................ 347,106 19,500 Oklahoma Gas & Electric Co ......................... 516,945 26,700 Pepco Holdings, Inc. ............................... 569,244 80,300 Sierra Pacific Resources (b) (L) ................... 843,150 78,000 Tokyo Gas Ltd. (L) ................................. 319,703 19,300 UGI Corp. .......................................... 789,563 53,900 Valero Energy ...................................... 2,447,060 6,700 Veba AG ............................................ 611,806 13,900 Westar Energy, Inc. ................................ 317,893 117,100 Xcel Energy, Inc. (L) .............................. 2,131,220 ----------- 24,229,952 ----------- ENTERTAINMENT AND LEISURE (0.3%): 25,000 Carnival Corp. ..................................... 1,440,750 26,000 Regal Entertainment Group (L) ...................... 539,500 29,500 Walt Disney Co. .................................... 820,100 ----------- 2,800,350 ----------- FINANCIAL SERVICES (8.0%): 9,300 Advanta, Class B ................................... 225,711 1,840 AlFUL Corp. ........................................ 202,369 40,000 Ambac Financial Group, Inc. ........................ 3,285,200 8,700 American Capital Strategies (L) .................... 290,145 7,050 American Home Mortgage Investment Corp. ............ 241,463 11,710 Bay View Capital Corp. ............................. 179,280 35,200 BISYS Group, Inc. (b) (c) .......................... 579,040 56,000 Capital One Financial Corp. ........................ 4,715,760 26,700 Charter Municipal Mortgage Acceptance .............. 652,548 22,600 CIT Group, Inc. .................................... 1,035,532 313,376 Citigroup, Inc. .................................... 15,098,457 17,800 Cohen & Steers, Inc. ............................... 289,250 8,100 CompuCredit Corp. (b) .............................. 221,454 135,798 Countrywide Credit Industries, Inc. ................ 5,025,884 5,373 Deutsche Boerse AG (L) ............................. 323,169 40,700 Equifax, Inc. ...................................... 1,143,670 151,900 Federal Home Loan Mortgage Corp. ................... 11,195,030 65,000 Federal National Mortgage Association .............. 4,628,650 25,136 Fidelity National Financial, Inc. .................. 1,147,961 27,100 Friedman, Billings, Ramsey Group, Inc. ............. 525,469 29,200 Goldman Sachs Group, Inc. .......................... 3,037,968 6,300 Greenhill & Co., Inc. (L) .......................... 180,810 61,100 H BOS Plc .......................................... 994,755 28,279 ING Groep NV ....................................... 855,635 30,100 Lehman Brothers Holdings, Inc. ..................... 2,633,148 4,305 Mainsource Financial Group, Inc. ................... 102,803 61,600 MBIA, Inc. ......................................... 3,898,048 77,400 MBNA Corp. ......................................... 2,181,906 16,000 Merrill Lynch & Co ................................. 956,320 47,700 Morgan Stanley Dean Witter & Co. ................... 2,648,304 3,342 Muenchener Rueckver (R) ............................ 410,152 2,900 National Financial Partners Corp. .................. 112,520
See accompanying notes to financial statements. 6 PORTFOLIO OF INVESTMENTS NEW COVENANT GROWTH FUND DECEMBER 31, 2004 (UNAUDITED)
Value Shares (Note 2) ---------------------------------------------------------------------------- 40,000 Nikko Securities Co., Ltd. ................... $ 211,964 5,450 Novastar Financial, Inc. (L) ................. 269,775 6,500 ORIX Corp. ................................... 882,990 8,600 State Financial Services Corp. ............... 258,860 8,305 UBS AG. ...................................... 696,405 7,200 World Acceptance Corp. (b) (L) ............... 198,072 ------------- 71,536,477 ------------- FOOD AND BEVERAGES (2.9%): 34,800 Aramark Corp. ................................ 922,548 3,800 Carrefour SA (L) ............................. 180,987 172,000 Coca-Cola Co. ................................ 7,160,360 51,700 Compass Group Pic ............................ 244,425 8,600 Groupe Danone (L) ............................ 794,305 26,400 Hormel Foods Corp. ........................... 827,640 9,700 Koninklijke Numico NV ........................ 349,791 5,850 Nash Finch Co. (L) ........................... 220,896 6,142 Nestle SA .................................... 1,606934 69,800 Pepsi Bottling Group, Inc. ................... 1,887,392 15,600 PepsiAmericas, Inc. .......................... 331,344 148,200 PepsiCo, Inc. ................................ 7,736,039 11,600 Ruddick Corp. ................................ 251,604 59,700 SUPERVALU, Inc. .............................. 2,060,844 100,400 Unilever Pic. ................................ 985,958 18,300 Woolworths Ltd. .............................. 215,324 ------------- 25,776,391 ------------- FOREST AND PAPER PRODUCTS (1.3%): 27,800 Abitibi-Consolidated, Inc. (L)................ 191,652 115,450 Georgia Pacific Corp. ........................ 4,327066 13,900 Glatfelter ................................... 212,392 8,200 Longview Fiber Co. ........................... 148,748 10,300 Pope & Talbot,Inc. ........................... 176,233 1,900 Potlatch Corp. ............................... 96,102 27,000 Sumitomo Forestry ............................ 271,133 29,900 Temple-Inland, Inc. .......................... 2,045,160 6,100 Upm-Kymmene Oyj............................... 135,648 19,900 Wausau-Mosinee Paper Corp. ................... 355,414 57,800 Weyerhaeuser Co. ............................. 3,885,316 ------------- 11,844,864 ------------- HEALTH SERVICES (2.1%): 36,100 Aetna, Inc. .................................. 4,503,474 8,500 Allscripts Healthcare Solution, Inc.(b) (L). ............................... 90,695 3,800 Amedisys Inc. (b) (L) ........................ 123,082 4,000 Genesis Healthcare (b) ....................... 140,120 3,760 HCA Inc. ..................................... 150,250 84,500 Humana Inc. (b) .............................. 2,508,805 25,290 Lifepoint Hospitals, Inc. (b) ................ 880,598 2,100 Molina Heathcare, Inc. (b) ................... 97,398 54,400 PacifiCare Health Systems Inc. (b) ........... 3,074,688 4,100 PolyMedica Corp. ............................. 152,889 17,460 Psychiatric Solutions, Inc. (b) .............. 638,338 6,200 Rehabcare Group, Inc. (b) .................... 173,538 1,600 RES-CARE, Inc. (b) ........................... 24,352 173,000 Schering-Plough Corporation .................. 3,612,240 27,200 Stryker Corp. ................................. 1,312,400 12,800 Symbion, Inc. (b) ............................ 282,624 10,350 UnitedHealth Group, Inc. ..................... 911,111 ------------- 18,676,602 ------------- HOTELS AND OTHER LODGING PLACES (0.2%): 6,800 Accor SA (L) ................................. 297,714 6,400 Lasalle Hotel Properties ..................... 203,712 20,160 Marriott International, Inc. Class A ......... 1,269,677 13,200 Strategic Hotel Capital, Inc. ................ 217,800 ------------- 1,988,903 ------------- INSURANCE (5.1%): 65,470 Aegon NV ..................................... 892,570 5,100 Allianz Ag (L) ............................... 673,461 68,579 American International Group, Inc. ........... 4,503,583 6,650 Arch Capital Group Ltd. (b) .................. 257,355 52 Berkshire Hathaway, Inc. Class A (b) ......... 4,570,799 43,000 Chubb Corp. .................................. 3,306,700 71,200 CIGNA Corp. .................................. 5,807,783 9,300 Great West Lifeco, Inc. (L) .................. 207,245 63,900 Hartford Financial Services Group,Inc ........ 4,428,909 54,200 Insurance Australia Group Ltd ................ 273,194 59 Millea Holdings, Inc. (L) .................... 875,183 61,000 Mitsui Marine And Fire (L) ................... 529,814 35,300 Montpelier RE Holdings Ltd. (L) .............. 1,357,285 38,000 Old Republic International Corp. ............. 961,400 13,000 Platinum Underwriter Holdings Ltd. ........... 404,300 61,700 Promina Group Ltd. ........................... 261,180 19,884 QBE Insurance Group Ltd. (L) ................. 239,261 28,000 Reinsurance Group of America, Inc. ........... 1,356,600 14,300 Renaissancere Holdings Ltd. - ADR ............ 744,744 4,000 Selective Insurance Group, Inc. (L) .......... 176,960 119,339 St. Paul Cos., Inc ........................... 4,423,897 2,050 Stewart Information Services Corp. ........... 85,383 15,061 Swiss Re ..................................... 1,074,177 20,600 Torchmark Corp. .............................. 1,177,084 4,800 United Fire & Casualty Co. (L) ............... 161,808 115,600 Unumorivident Corp.(L) ....................... 2,073 864 34,400 Wellpoint Inc. (b)............................ 3,956,000 29,300 Yasuda F & M Insurance........................ 298,519 ------------- 45,079,058 ------------- INTERNET SERVICES (0.5%); 119,250 CNET Networks, Inc. (b)....................... 1,339,177 4,100 J2 Global Communications, Inc. (b) (L) ....... 141,450 6,500 Softbank Corp. (L) ........................... 316,532 35,570 VeriSign, Inc. (b)............................ 1,192,306 12,550 WebEx Communications, Inc. (b) (L) ........... 298,439 24 Yahoo Japan Corp. (b) (L) .................... 115,234 35,300 Yahoo, Inc. (b) .............................. 1,330,104 ------------- 4,733,242 ------------- MACHINERY AND EQUIPMENT (1.6%): 3,450 Albany International Corp. Class A ........... 121,302 11,400 Briggs & Stratton Corp. ...................... 474,012 41,000 Caterpillar, Inc. ............................ 3,997,910 39,200 Deere & Co. .................................. 2,916,480 13,100 Eaton Corp. .................................. 947,916 116,650 Graco, Inc. .................................. 4,356,878 10,600 Lincoln Electric Holdings, Inc. (L) .......... 366,124 2,600 Nidec Corp. (L) .............................. 316,912 7,900 Schneider SA (L) ............................. 549,789 3,400 SMC Corp. (L) ................................ 389,207 ------------- 14,436,530 ------------- MANUFACTURING (0.2%): 3,600 Applied Industrial Tech, Inc. ................ 98,640 13,100 Assa Abloy AB Class B (L) .................... 223,741 6,700 Cummins, Inc. ................................ 561,393 8,100 Siemens AG (L) ............................... 686,579 ------------- 1,570,353 -------------
See accompanying notes to financial statements. 7 PORTFOLIO OF INVESTMENTS NEW COVENANT GROWTH FUND DECEMBER 31, 2004 (UNAUDITED)
Value Shares (Note 2) ---------------------------------------------------------------------------------------------------------- MEDICAL PRODUCTS (5.2%): 25,300 Advanced Medical Optics, Inc. (b)............................................... $ 1,040,842 107,780 Amgen, Inc. (b) ................................................................ 6,914,088 21,750 Applera Corp.-Celera Genomics Group (b) ........................................ 299,063 33,420 Arthrocare Corp. (b) ........................................................... 1,071,445 99,000 Baxter International, Inc. ..................................................... 3,419,460 22,900 Cerner Corp. (b) (L) ........................................................... 1,217,593 12,100 Cooper Cos., Inc. .............................................................. 854,139 11,100 Diagnostic Products Corp. ...................................................... 611,055 14,700 Edwards Lifesciences Corp. (b) ................................................. 606,522 4,000 Essilor International SA (L) ................................................... 313,443 16,500 Exelixis, Inc. (b) (L) ......................................................... 156,750 51,100 Forest Laboratories, Inc., Class A (b) ......................................... 2,292,346 22,680 Gen-Probe, Inc. (b) ............................................................ 1,025,363 70,864 Genzyme Corp. (b) .............................................................. 4,115,072 7,000 Haemonetics Corp. (b) .......................................................... 253,470 2,200 Hoya Corp. (L) ................................................................. 248,404 8,500 Immucor, Inc. (b) .............................................................. 199,835 89,600 Johnson & Johnson, Inc.......................................................... 5,682,432 8,600 Kensey Nash Corp.(b) (L) ....................................................... 296,958 67,500 Laboratory Corp. of America Holdings (b) ....................................... 3,362,850 4,300 Landauer, Inc................................................................... 196,510 7,500 Medical Action Industries (b) (L) .............................................. 147,750 101,000 Medtronic, Inc.................................................................. 5,016,670 4,300 Mine Safety Appliances ......................................................... 218,010 15,900 Per-Se Technologies, Inc. (b) (L) .............................................. 251,697 11,600 Respironics, Inc. (b) .......................................................... 630,576 40,100 Sanofi-Synthelabo SA (L) ....................................................... 3,204,948 14,200 Seattle Genetics, Inc. (b) (L) ................................................. 92,726 31,120 Serologicals Corp. (b) ......................................................... 688,374 6,800 Sola International, Inc. (b) ................................................... 187,272 2,060 Synthes-Stratec, Inc. (b) ...................................................... 230,982 14,690 Ventana Medical Systems (b) .................................................... 940,013 20,380 Zeneca Group Plc................................................................ 739,120 ----------- 46,525,778 ----------- METALS AND MINING (1.3%): 11,900 Alcan, Inc. (L) ................................................................ 584,000 8,100 Anglo American Plc. ............................................................ 191,591 14,023 Broken Hill Proprietary Co. Ltd. ............................................... 168,627 16,700 Cameco Corp. (L) ............................................................... 584,706 10,800 Carpenter Technology Corp....................................................... 631,368 5,700 Commercial Metals Co............................................................ 288,192 9,000 Companhia Vale do Rio Doce ADR ................................................. 219,420 9,000 Companhia Vale do Rio Doce ADR ................................................. 261,090 5,400 Compass Minerals International, Inc............................................. 130,842 1,900 Freeport-McMoran-Cooper Corp. (b) .............................................. 91,770 13,300 Inco Ltd. (b) .................................................................. 489,174 23,510 Joy Global, Inc................................................................. 1,021,039 19,910 Kaydon Corp..................................................................... 657,428 8,100 Kennametal, Inc................................................................. 403,137 7,000 NS Group, Inc. (b) ............................................................. 194,600 39,800 Phelps Dodge Corp .............................................................. 3,937,016 8,400 Repsol Ypf SA (L) .............................................................. 218,763 10,000 Rio Tinto Pic .................................................................. 294,321 27,900 Timken Co....................................................................... 725,958 4,800 Veritas DGC, Inc. (b) .......................................................... 107,568 55,000 WMC Resources Ltd .............................................................. 311,287 23,600 Xstrata Plc. ................................................................... 422,286 ----------- 11,934,183 ----------- OIL AND GAS (6.2%): 29,340 Airgas, Inc..................................................................... 777,803 90,200 BG Plc. ........................................................................ 613,040 26,146 Billiton Plc ................................................................... 306,457 19,400 Chesapeake Energy Corp.......................................................... 320,100 140,522 Chevron Texaco Corp............................................................. 7,378,810 78,319 ConocoPhillips ................................................................. 6,800,439 121,980 Devon Energy Corp............................................................... 4,747,462 26,150 Eni SpA (L) .................................................................... 654,727 230,600 Exxon Mobil Corp................................................................ 11,820,556 36,220 Grand Prideco, Inc. (b) ........................................................ 726,211 68,500 Halliburton Co.................................................................. 2,687,940 6,100 Houston Exploration Co. (b) .................................................... 343,491 25,400 Kerr-McGee Corp. ............................................................... 1,467,866 4,177 L'Air Liquide (L) .............................................................. 772,152 71,900 Marathon Oil Corp............................................................... 2,704,159 52,100 Occidental Petroleum Corp....................................................... 3,040,556 53,000 Royal Dutch Petroleum (L) ...................................................... 3,050,904 45,500 Royal Dutch Petroleum-ADR ...................................................... 2,610,790 2,500 Sasol LTD....................................................................... 53,694 18,200 Shell Transportation & Trading Co. Plc ......................................... 155,143 21,500 Statoil ASA (L) ................................................................ 337,233 11,100 Stone Energy Corp. (b) ......................................................... 500,499 5,900 Suncor Energy, Inc. (L) ........................................................ 208,789 8,000 Tesoro Petroleum Corp. (b) ..................................................... 254,880 37,100 Unocal Corp..................................................................... 1,604,204 31,100 Vintage Petroleum, Inc. (L) .................................................... 705,659 5,400 YUKOS ADR (L) .................................................................. 14,040 ----------- 54,657,604 ----------- PHARMACEUTICALS (5.2%): 158,100 Abbott Laboratories ............................................................ 7,375,365 17,600 Abgenix, Inc. (b) (L) .......................................................... 181,984 31,500 Amylin Pharmaceuticals (b) (L) ................................................. 735,840 35,570 Astrazeneca Plc. ............................................................... 1,292,647 38,650 BioMarin Pharmaceutical, Inc. (b) (L) .......................................... 246,974 15,940 Cephalon, Inc. (b) (L) ......................................................... 811,027 18,300 CV Therapeutics, Inc. (b) (L) .................................................. 420,900 7,700 Elan Corp. Plc (b) (L) ......................................................... 209,825 23,100 Eli Lilly & Co.................................................................. 1,310,925 13,500 Encysive Pharmaceuticals, Inc. (b) (L) ......................................... 134,055 100,600 Gilead Sciences, Inc. (b) ...................................................... 3,519,994 6,100 Glaxosmithkline Plc. ........................................................... 143,113 34,800 Human Genome Sciences, Inc. (b) ................................................ 418,296 26,900 ICOS Corp.(b) (L) .............................................................. 760,732 52,100 Incyte Pharmaceutical, Inc. (b) ................................................ 520,479 131,600 King Pharmaceuticals, Inc. (b) ................................................. 1,631,840 84,108 Medcohealth Solutions, Inc. (b) ................................................ 3,498,893 77,400 Millennium Pharmaceuticals, Inc. (b) ........................................... 938,088 12,700 Neurogen Corp. (b) (L) ......................................................... 118,872 34,944 Novartis AG .................................................................... 1,760,875 4,100 Novo-Nordisk AS (b) ............................................................ 224,009 25,550 NPS Pharmaceuticals, Inc. (b) (L) .............................................. 467,054 47,800 Perrigo Co...................................................................... 825,506 339,515 Pfizer, Inc..................................................................... 9,129,558 46,100 Regeneron Pharmaceuticals, Inc. (b) (L) ........................................ 424,581 2,784 Roche Holding AG ............................................................... 320,487 38,339 Salix Pharmaceuticals, Inc. (b) ................................................ 674,383 29,900 Sankyo Co....................................................................... 675,500 667 Sanofi-Aventis ................................................................. 53,400 307 Serono SA-B (L) ................................................................ 202,219
See accompanying notes to financial statements. 8 PORTFOLIO OF INVESTMENTS NEW COVENANT GROWTH FUND December 31, 2004 (Unaudited)
Value Shares (Note 2) ---------------------------------------------------------------------------------------------------------- 31,000 Shionogi & Co. (L) ........................................................... $ 428,682 6,100 UCB SA (L) ................................................................... 310,099 103,000 Watson Pharmaceutical, Inc. (b) .............................................. 3,379,430 48,500 Wyeth ........................................................................ 2,065,615 5,000 Yamanouchi Pharmaceutical Co. Ltd. (L) ....................................... 194,691 18,550 Zymogenetics, Inc. (b) (L) ................................................... 426,650 ----------- 45,832,588 ----------- PRINTING AND PUBLISHING (0.5%): 8,600 Advo, Inc. ................................................................... 306,590 8,700 McGraw-Hill Companies, Inc. .................................................. 796,398 74,100 Pearson Plc. ................................................................. 894,133 9,700 Reed Elsevier NV ............................................................. 132,243 69,800 Reed International Plc. ...................................................... 643,914 11,500 Thomson Corp. (L) ............................................................ 405,713 14,900 Thomson Corp. ................................................................ 525,821 14,015 VNU NV ....................................................................... 413,954 ----------- 4,118,766 ----------- REAL ESTATE (1.6%): 171,000 Amoy Properties Ltd. (L) ..................................................... 264,001 20,600 Anthracite Capital, Inc. ..................................................... 254,616 7,200 Arbor Realty Trust, Inc. ..................................................... 176,688 18,000 Bedford Property Investors, Inc. (L) ......................................... 511,380 25,800 Boston Properties, Inc. ...................................................... 1,668,486 48,700 CB Richard Ellis Group, Inc. (b) ............................................. 1,633,885 1,400 Daito Trust Construction Co. Ltd (L) ......................................... 66,537 56,620 General Growth Properties, Inc. .............................................. 2,047,379 5,600 Glenborough Realty Trust, Inc. ............................................... 119,168 10,000 IMPAC Mortgage Holdings (L) .................................................. 226,700 38,890 IndyMac Mortgage Holdings, Inc. .............................................. 1,339,761 25,600 iStar Financial, Inc. ........................................................ 1,158,656 86,000 Mitsubishi Estate Co. (L) .................................................... 1,007,124 26,000 Mitsui Fudosan (L) ........................................................... 315,897 15,100 Omega Healthcare Investors, Inc. ............................................. 178,180 27,100 Prologis Trust ............................................................... 1,174,243 25,500 Pulte Homes, Inc. ............................................................ 1,626,900 4,600 Redwood Trust, Inc. .......................................................... 285,614 5,900 Sovran Self Storage, Inc. .................................................... 248,626 3,900 Thornburg Mortgage Asset Corp. (L) ........................................... 112,944 ----------- 14,416,785 ----------- RESTAURANTS (1.0%): 12,025 CEC Entertainment, Inc. (b) .................................................. 480,639 6,100 Dave & Buster's, Inc. (b) (L) ................................................ 123,220 8,500 Landry's Seafood Restaurants, Inc. (L) ....................................... 247,010 250,400 McDonald's Corp. ............................................................. 8,027,824 ----------- 8,878,693 ----------- RETAIL (3.6%): 41,700 Abercrombie & Fitch Co., Class A ............................................. 1,957,815 32,500 Best Buy Co. ................................................................. 1,931,150 33,700 BJ's Wholesale Club, Inc. (b) ................................................ 981,681 46,485 Cache, Inc. (b) .............................................................. 837,660 43,140 Caremark Rx, Inc. (b) ........................................................ 1,701,010 7,400 Cato Corp. ................................................................... 213,268 50,900 Claire's Stores, Inc. ........................................................ 1,081,625 22,670 Costco Wholesale Corp. ....................................................... 1,097,455 30,200 Esprit Asia Holdings Ltd. (R) ................................................ 182,614 18,000 Gamestop Corp. (b) (L) ....................................................... 402,480 117,500 Gap, Inc. .................................................................... 2,481,600 5,300 Genesco, Inc. (b) (L) ........................................................ 165,042 26,000 Hollywood Entertainment Corp. (b) (L) ........................................ 340,340 12,200 Home Depot, Inc. ............................................................. 521,428 30,240 J.C. Penney Co. .............................................................. 1,251,936 35,400 Jos. A. Bank Clothiers, Inc. (b) ............................................. 1,001,820 43,100 Jusco Ltd.(L) ................................................................ 719,245 73,970 Limited Brands ............................................................... 1,702,789 3,800 Metro AG (L) ................................................................. 208,982 46,200 Michaels Stores, Inc. ........................................................ 1,384,614 8,100 Movie Gallery, Inc ........................................................... 154,467 28,770 New York & Co. (b) ........................................................... 475,280 14,100 Pacific Sunwear of California, Inc. (b) ...................................... 313,866 34,600 PetsMart, Inc. ............................................................... 1,229,338 2,000 Shimamura Co. Ltd. (L) ....................................................... 145,994 7,500 Stage Stores, Inc. (b) ....................................................... 311,400 66,010 Staples, Inc. ................................................................ 2,225,197 21,250 Target Corp. ................................................................. 1,103,513 41,510 The Warnaco Group, Inc. (b) .................................................. 896,616 7,800 Trans World Entertainment (b) (L) ............................................ 97,266 25,210 Tuesday Morning Corp. (b) .................................................... 772,182 79,500 Wal-Mart Stores, Inc. ........................................................ 4,199,189 ----------- 32,088,862 ----------- TECHNOLOGY (3.0%): 111,000 Agilent Technologies, Inc. (b) ............................................... 2,675,100 4,900 Black Box Corp. (L) .......................................................... 235,298 6,900 Canon, Inc. (L) .............................................................. 372,372 36,400 Citrix Systems, Inc. (b) ..................................................... 892,892 38,860 Commscope, Inc. (b) .......................................................... 734,454 84,100 Emc Corp. (b) ................................................................ 1,250,567 30,938 Freescale Semiconductor, Inc., Class B (b) ................................... 568,016 10,100 Hutchinson Technology, Inc. (b) (L) .......................................... 349,157 482,100 Intel Corp. .................................................................. 11,276,319 16,092 Lucent Tech Warrant .......................................................... 25,425 23,830 Macrovision Corp. (b) ........................................................ 612,908 7,700 Plantronics, Inc. ............................................................ 319,319 15,400 Qlogic Corp. (b) ............................................................. 565,642 8,000 RICOH Co. Ltd. ............................................................... 154,348 27,400 Storage Technology Corp. (b) ................................................. 866,114 119,600 Texas Instruments, Inc. ...................................................... 2,944,552 29,200 United Defense Inds, Inc. (b) ................................................ 1,379,700 79,770 Viisage Technology, Inc. (b) ................................................. 718,728 25,500 Western Digital Corp. (b) .................................................... 276,420 ----------- 26,217,331 ----------- TELECOMMUNICATIONS (4.8%): 24,300 Adtran, Inc. ................................................................. 465,102 9,300 America Movil ................................................................ 486,855 23,650 Aspect Communications Corp. (b) .............................................. 263,461 12,700 C-COR Electronics, Inc. (b) (L) .............................................. 118,110 157,200 CenturyTel, Inc. ............................................................. 5,575,885 50,000 China Telecom ................................................................ 169,504 78,800 Citizens Communications Co. .................................................. 1,086,652 3,300 Commonwealth Telephone Enterprise, Inc. (b) (L) .............................. 163,878 46,300 EchoStar Communications Corp., Class A. ...................................... 1,539,012 49,790 Ericsson ADR (b) ............................................................. 1,567,887 16,740 Jamdat Mobile, Inc. (b) ...................................................... 345,681 130,300 Koninklijke (Royal) KPN NV ................................................... 1,238,001 281,600 Motorola, Inc. ............................................................... 4,843,520 48,600 National Grid Group .......................................................... 462,804 89,400 Nextel Communications, Inc, Class A (b)... ................................... 2,682,000 56,900 Nextel Partners, Inc., Class A (b) ........................................... 1,111,826 28,500 Nokia Oyj - Class A .......................................................... 450,143 16,600 Portugal Telecom, Sgps, SA ................................................... 205,328
See accompanying notes to financial statements. 9 PORTFOLIO OF INVESTMENTS NEW CONVENANT GROWTH FUND DECEMBER 31, 2004 (UNAUDITED)
Value Shares (Note 2) -------------------------------------------------------------------- 115,420 PTEK Holdings, Inc. (b) ............... $ 1,236,148 24,900 Qualcomm, Inc. ........................ 1,055,760 46,050 Rural Cellular Corp. (b) (L) .......... 286,845 31,400 SBC Communications, Inc. .............. 809,178 36,800 Scientific-Atlanta, Inc. .............. 1,214,768 750,500 Singapore Telecommunications Ltd (R) .. 1,094,211 17,700 Societe Europeenne Satellite .......... 228,558 96,500 Sprint Corp. .......................... 2,398,025 3,036 Swisscom AG ........................... 1,196,138 67,520 Symmetricom, Inc. (b) ................. 655,619 5,600 Tele Danmark AS Class B ............... 237,147 147,000 Telefonaktiebolaget LM Ericsson (b) ... 468,956 72,830 Telefonica De Espana .................. 1,372,059 4,700 Telefonos de Mexico ADR ............... 180,104 3,610 Telekom Austria AG .................... 68,451 19,700 Telus Corp. ........................... 581,324 137,720 UnitedGlobalCom (b) (L) ............... 1,330,375 25,352 Verizon Communications, Inc. .......... 1,027,010 12,700 Vivendi Universal (b) (L) ............. 405,495 1,491,568 Vodafone Group Pic .................... 4,044,925 -------------- 42,666,745 -------------- TRANSPORTATION (1.1%): 3,100 Alexander & Baldwin ................... 131,502 14,950 Arkansas Best Corp. ................... 671,106 61,400 Burlington Northern Santa Fe Corp. .... 2,904,833 46,000 CSX Corp. ............................. 1,843,680 12,590 Fedex Corp. ........................... 1,239,989 3,500 Overnite Corp. ........................ 130,340 18,500 Ryder System, Inc. .................... 883,745 13,400 TNT Post Group NV ..................... 363,915 2,600 USF Corp. ............................. 98,670 12,240 UTIWorldwide, Inc. .................... 832,565 35,000 Yamato Transport ...................... 519,176 -------------- 9,619,521 WASTE MANAGEMENT (0.7%): -------------- 8,200 Duratek, Inc. (b) ..................... 204,262 205,100 Waste Management, Inc. ................ 6,140,694 6,344,956 -------------- TOTAL COMMON STOCKS ................... 867,047,657 --------------
Principal Amount ---------- CONVERTIBLE BONDS (0.1%): FINANCIAL SERVICES (0 1%): 33,000,000 SMFG Finance (Cayman) LTD.,2.25%, 7/11/05 (R) ........................... 767,440 -------------- TOTAL CONVERTIBLE BONDS ............... 767,440 --------------
Shares ---------- EXCHANGE GE TRADED FUNDS (0.1%): 8,000 S&P Depositary Receipt (b) (L) .......... $ 967,200 -------------- TOTAL EXCHANGE TRADED FUNDS ............. 967,200 --------------
Principal Amount ---------- REPURCHASE AGREEMENT (2.1%): 18,582,000 Repurchase Agreement with State Street Bank, 1.40%, 1/3/05 (Proceeds at maturity of $ 18,584, 168, collateralized by $3,708,375 Federal Home Loan Bank 6.50% due 11/13/09; $2,733,294 Fannie Mae 6.25% due 5/15/29; $7,265,703 Federal Home Loan Bank 1.625% due 6/17/05; $4,492,445 Freddie Mac 1.80% due 8/4/05; $766,875 Freddie Mac 0.00% due 1/30/14) .......... 18,582,000 -------------- TOTAL REPURCHASE AGREEMENT .............. 18,582,000 --------------
Value Shares (Note 2) ---------------------------------------------------------------------- INVESTMENTS HELD AS COLLATERAL FOR LOANED SECURITIES (6.6%): 58,358,094 State Street Navigator Securities Lending Prime Portfolio, 2.19%, 1/3/05 .......... 58,358,094 -------------- TOTAL INVESTMENTS HELD AS COLLATERAL FOR LOANED SECURITIES ................... 58,358,094 -------------- TOTAL (COST $817,616,930) (a) ........................ $ 945,722,391 ============== Percentages indicated are based on net assets of $887,142,418. a) Represents cost for financial reporting purposes and differs from cost basis for federal income tax purposes by the amount of losses recognized for federal reporting in excess of federal income tax reporting of $ 10,282,744 and by PFIC mark to market of $327,098. Cost for federal income tax differs from value by net unrealized appreciation (depreciation) of securities as follows: Unrealized appreciation ................. $ 138,908,947 Unrealized depreciation ................. (21,413,328) -------------- Net unrealized appreciation ............. $ 117,495,619 ============== (b) Non-income producing securities. (c) Investment in affiliate. (L) A portion or all of the Security is on loan. (R) Security exempt from registration under Rule 144A of the Securities Act of 1933. These Securities may be resold in transactions exempt from registration, normally for qualified buyers. The Advisor using procedures approved by the Board of Trustees has deemed these securities liquid. ADR - American Depository Receipt GDR - Global Depository Receipt As of December 31, 2004, country diversification for the Growth Fund was as follows: (Unaudited)
COUNTRY % OF MARKET VALUE VALUE ---------------------------------------------------------------------- United States 88.31 835,113,788 Japan 2.76 26,088,382 United Kingdom 1.82 17,198,050 Netherlands 1.28 12,071,727 France 1.19 11,301,376 Switzerland 1.01 9,597,880 Germany 0.59 5,536,872 Spain 0.46 4,319,205 Canada 0.41 3,883,328 Australia 0.32 2,985,797 Bermuda 0.27 2,506,329 Sweden 0.26 2,471,362 Korea 0.15 1,461,606 Hong Kong 0.15 1,416,085 Singapore 0.13 1,250,055 Italy 0.11 1,029,603 Norway 0.09 875,426 Virgin Islands 0.09 832,565 Cayman Islands 0.08 767,440 Taiwan 0.08 756,901 Ireland 0.07 706,987 Mexico 0.07 666,959 Finland 0.06 585,790 Brazil 0.05 480,510 Denmark 0.05 461,156 Puerto Rico 0.05 435,456 Belgium 0 03 310,099 Luxembourg 0.02 228,558 Portugal 0.02 205,328 Austria 0.01 68,451 South Africa 0.01 53,694 India 0.00 41,586 Russian Federation 0.00 14,040 ----------- ----------- Total Investments 100.00 945,722,391 =========== ===========
See accompanying notes to financial statements. 10 PORTFOLIO OF INVESTMENTS NEW COVENANT INCOME FUND DECEMBER 31, 2004 (UNAUDITED)
Principal Value Amount (Note 2) ---------------------------------------------------------------------- ASSET BACKED SECURITIES (20.7%): 4,234,181 Bear Stearns Commercial Mortgage Securities, 6.08%, 2/15/35............... $ 4,442,635 4,615,000 Bear Stearns Commercial Mortgage Securities, 5.47%, 6/11/41................. 4,840,695 1,100,000 Chase Funding Loan Acquistion Trust, 2.82%, 5/25/34............................. 1,100,308 4,170,000 Citigroup Commercial Mortgage Trust, 5.29%, 4/15/40............................. 4,357,597 1,195,000 Commercial Mortgage Pass-Through Certificate, 5.28%, 7/10/37................ 1,247,789 3,280,000 First Franklin Mortgage Loan, 2.82%, 12/25/32................................... 3,282,107 3,510,000 General Electric Capital Corp., 6.125%, 2/22/11.................................... 3,849,761 1,076,440 GMAC Commercial Mortgage Corp., 2.96%, 3/10/39............................. 1,055,131 4,000,000 GMAC Commercial Mortgage Securities, Inc., 5.30%, 8/10/38....................... 4,143,783 3,543,506 Indymac Indx Mortgage Loan Trust, 2.85%, 9/25/34.................................... 3,555,070 3,716,667 Indymac Indx Mortgage Loan Trust, 2.82%, 11/25/34................................... 3,719,338 985,000 Indymac Indx Mortgage Loan Trust, 2.65%, 1/25/35.................................... 983,129 4,213,531 Ixis Real Estate Capital Trust, 2.61%, 2/25/35.................................... 4,216,242 5,294,517 JP Morgan Chase Commercial Mortgage Securities Co., 4.28%, 5/15/41............. 5,345,499 5,225,816 LB Commercial Conduit Mortgage Trust, 6.41%, 6/15/31............................. 5,408,997 3,350,479 Lehman Brothers, 7.18%, 9/15/19, Series 2000-C4.................................... 3,603,699 3,933,178 Master Adjustable Rate Mortgages Trust, 3.79%, 11/21/34............................ 3,892,117 1,762,055 Master Adjustable Rate Mortgages Trust, 3.82%, 12/21/34........................... 1,759,513 4,020,052 Master Alternative Loans Trust, 4.50%, 7/25/19.................................... 4,013,086 812,099 Master Alternative Loans Trust, 4.75%, 7/25/19.................................... 819,324 4,651,386 Morgan Stanley Mortgage Loan Trust, 5.46%, 10/25/34............................ 4,720,953 4,590,351 Morgan Stanley Mortgage Loan Trust, 5.15%, 11/25/34............................ 4,675,522 3,047,175 Residential Asset Mortgage Product, 6.50%, 10/25/16................................... 3,131,928 5,865,000 Residential Asset Mortgage Products, 5.57%, 6/25/32, Series 2002-RS3, Class Al5 5,968,892 6,155,000 Structured Adjustable Rate Mortgage Loan Trust, 4.73%, 7/25/34...................... 6,137,507 5,220,000 UBS Commercial Mortgage Trust, 5.59%, 6/15/31.................................... 5,568,633 560,000 Washington Mutual, 4.28%, 1/25/35.......... 558,264 815,000 Washington Mutual, 3.81 %, 6/25/34......... 802,746 4,165,633 Washington Mutual, 2.36%, 7/25/44.......... 4,173,068 4,605,000 Wells Fargo Mortgage Backed Securities Trust, 3.54%, 9/25/34...................... 4,507,174 3,699,391 Wells Fargo Mortgage Backed Securities Trust, 4.605%, 12/25/34.................... 3,716,038 ----------- TOTAL ASSET BACKED SECURITIES.............. 109,596,545 ----------- CORPORATE BONDS (20.0%): 2,750,000 Alcan, Inc., 6.125%, 12/15/33.............. 2,920,698 1,520,000 Alco Capital, 6.50%, 6/15/18(L)............ 1,741,956 1 ,900,000 Alliance Capital Management, 5.625%, 8/15/06.................................... 1,964,366 3,120,000 American General Finance, 6.10%, 5/22/06... 3,237,776 1,000,000 American General Finance, 5.875%, 7/14/06(L)................................. 1,037,204 780,000 American General Finance, 4.50%, 11/15/07................................... 795,223 675,000 AOL Time Warner, Inc., 6.875%, 5/1/12...... 769,852 2,400,000 AOL Time Warner, Inc., 7.625%, 4/15/31..... 2,912,551 1,000,000 Bank of America Corp., 4.375%, 12/1/10..... 1,004,272 5,000,000 Bank of New York,4.14%, 8/2/07............. 5,042,121 1,500,000 Berkshire Hathaway, Inc., 3.375%, 10/15/08 1,484,139 3,780,000 Bottling Group Lie,5.00%, 11/15/13(L)...... 3,904,060 1,125,000 BRE Properties, Inc., 7.125%, 2/15/13...... 1,268,382 3,800,000 Burlington North Santa Fe, 6.75%, 7/15/11 4,301,699 2,500,000 Carolina Power & Light, 6.50%, 7/15/12..... 2,777,150 750,000 Carramerica Realty Corp., 5.125%, 9/1/11.... 756,531 1,500,000 Caterpillar Financial Services Corp.,3.70%, 8/15/08.................................... 1,494,366 10,000,000 Coca-Cola Enterprises, 0.00%, 6/20/20...... 4,351,760 1,265,000 Duke Realty Corp., 7.05%, 3/1/06........... 1,304,157 1,600,000 EOP Operating LP, 6.80%, 1/15/09........... 1,755,334 2,037,874 FedEx Corp., 6.72%, 1/15/22, Series 98-1A 2,292,801 1,950,000 Firstar Bank, 7.125%, 12/1/09(L)........... 2,215,968 2,000,000 Ford Motor Corp., 6.375%, 2/1/29........... 1,805,100 500,000 Ford Motor Credit Co., 7.375%, 10/28/09 539,881 3,350,000 General Mills, Inc., 6.00%, 2/15/12........ 3,640,505 2,695,000 General Motors Acceptance Corp., 6.875%, 9/15/11............................ 2,765,496 975,000 General Motors Corp., 7.20%, 1/15/11(L).... 1,001,213 615,000 General Motors Corp., 8.80%, 3/1/21........ 666,971 1,400,000 Georgia Power Co., 6.20%, 2/1/06(L)........ 1,445,203 1,750,000 Household Finance Corp., 6.40%, 6/17/08.... 1,889,503 600,000 Household Finance Corp., 4.75%, 5/15/09.... 615,858 1,500,000 Household Finance Corp., 4.125% 11/16/09................................... 1,493,562 1,070,000 International Paper Co., 6.50%,11/15/07.... 1,141,214 475,000 International Paper Co., 5.85%,10/30/12.... 506,919 675,000 May Department Stores Co., 7.45%, 9/15/11.................................... 770,593 4,000,000 Merrill Lynch & Co., 4.125%, 9/10/09(L).... 4,001,484 3,525,000 Morgan Stanley, 3.625%, 4/1/08............. 3,508,366 3,250,000 National City Corp., 6.875%, 5/15/19(L).... 3,722,797 2,500,000 Nationwide Life, 5.35%, 2/15/07(R)......... 2,589,778 1,445,000 Pacific Gas & Electric, 6.05%, 3/1/34...... 1,506,030 3,785,000 PNC Funding Corp., 6.125%, 21/15/09........ 4,053,436 2,975,000 SBC Communications, Inc., 4.125% 9/15/09.................................... 2,972,712 900,000 Sprint Capital Corp., 7.625%, 1/30/11...... 1,046,229 2,570,000 Sprint Capital Corp., 6.875%, 11/15/28..... 2,822,192 2,800,000 SunTrust Banks, Inc., 4.25%, 10/15/09(L)... 2,812,978 2,500,000 USAA Capital Corp., 5.59%, 12/20/06(R) 2,606,698 1,085,000 Washington Mutual, 3.96%, 7/25/34.......... 1,072,831 3,000,000 Washington Mutual Capital Inc, 4.20%, 1/15/10.................................... 2,991,528 2,500,000 Wells Fargo Corp., 4.20%, 1/15/10.......... 2,512,983 ----------- TOTAL CORPORATE BONDS...................... 105,834,426 -----------
11 PORTFOLIO OF INVESTMENTS NEW COVENANT INCOME FUND DECEMBER 31, 2004 (UNAUDITED)
Principal Value Amount (Note 2) ----------------------------------------------------------------------------- MORTGAGE-BACKED SECURITIES (41.7%): FANNIE MAE 5,649,214 7.07%, 11/1/06 .................................... $ 5,900,079 3,061,835 7.185%, 5/1/07 .................................... 3,230,778 2,261,132 7.74%, 6/1/07 .................................... 2,413,738 475,643 6.61%, 9/1/07 .................................... 502,774 2,154,442 6.23%, 1/1/08 .................................... 2,274,071 933,885 6.13%, 10/1/08 .................................... 992,916 1,431,868 7.01%, 11/1/08 .................................... 1,563,884 4,123,488 6.14%, 4/1/09 .................................... 4,409,905 5,294,159 7.32%, 12/1/10 .................................... 6,028,057 3,847,335 6.48%, 1/1/11 .................................... 4,229,387 958,692 6.09%, 5/1/11 .................................... 1,038,707 1,335,434 6.305%, 5/1/11 .................................... 1,460,854 6,046,184 3.95%, 7/1/13 .................................... 5,798,810 5,070,000 6.00%, 12/25/16, Series 01-71, Class QE ........... 5,299,159 5,305,000 4.50%, 3/25/17 .................................... 5,341,895 6,290,000 6.00%, 3/25/17 .................................... 6,575,734 503,526 6.50%, 6/1/17, FN 254343 .......................... 534,205 2,368,395 6.50%, 8/1/17 ..................................... 2,512,663 2,960,000 4.50%, 1/1/20 (b) ................................. 2,950,750 865,000 4.50%, 1/1/20 (b) ................................. 862,297 3,155,000 4.50%, 1/1/20 (b) ................................. 3,145,141 2,260,000 4.50%, 1/1/20 (b) ................................. 2,252,938 1,590,000 4.50%, 9/25/25 .................................... 1,618,063 263,958 7.50%, 5/1/27 ..................................... 283,342 47,247 6.50%, 6/25/27 .................................... 47,380 2,090,000 4.50%, 10/25/28 ................................... 1,960,630 254,480 7.50%, 4/1/29, Pool # 323645 ...................... 273,312 294,250 7.50%, 4/1/29 .................................... 316,025 18,855 7.50%, 8/1/29, Pool # 252712 ...................... 20,228 257,783 7.50%, 7/1/30 .................................... 276,859 953,924 7.50%, 12/1/30 .................................... 1,023,237 2,445,488 6.09%, 10/25/31 ................................... 2,499,565 1,411,412 7.00%, 6/1/32 ..................................... 1,496,642 4,135,910 6.50%, 7/1/32 ..................................... 4,342,426 960,000 4.50%, 7/25/33 .................................... 964,257 4,660,212 7.00%, 12/25/33 ................................... 4,930,388 9,180,000 5.00%, 1/1/35 (b) ................................. 9,108,286 1,660,000 5.00%, 1/1/35 (b) ................................. 1,647,032 1,195,000 5.00%, 1/1/35 (b) ................................. 1,185,665 2,465,000 5.00%, 1/1/35 (b) ................................. 2,445,743 875,000 2.49%, 4/25/35 .................................... 875,263 4,147,394 7.00%, 10/25/41 ................................... 4,397,523 5,230,000 5.50%, 7/25/42 .................................... 5,305,477 9,812,023 6.50%, 7/25/42 .................................... 10,265,828 2,946,127 7.00%, 7/25/42 .................................... 3,123,808 875,339 6.50%, 9/25/42 .................................... 915,823 7,645,000 5.50%, 11/25/43 ................................... 7,846,346 6,272,968 5.95%, 2/25/44 .................................... 6,522,589 638,105 7.00%, 2/25/44, Series 04-W2, Class 2A2 ........... 675,833 5,288,514 6.00%, 7/25/44 .................................... 5,514,616 4,200,000 6.00%, 8/25/44 .................................... 4,344,480 1,105,000 6.50%, 8/25/44 .................................... 1,158,151 1,858,523 7.00%, 1/25/48 .................................... 1,970,611 FREDDIE MAC 141 8.00%, 5/1/06, Pool #E30879 ....................... 145 5,617,324 6.98%, 10/l/10, Pool #W20024 ...................... 6,294,773 1,285,000 6.90%, 12/1/10 .................................... 1,447,424 1,490,000 4.50%, 8/15/13 .................................... 1,513,830 4,000,000 4.50%, 5/15/15 .................................... 4,056,231 4,775,000 6.00%, 5/15/17 .................................... 4,985,309 5,168,000 5.00%, 10/15/17 ................................... 5,275,144 5,305,000 4.00%, 8/15/19 .................................... 4,914,966 5,095,000 5.50%, 12/15/27 ................................... 5,219,576 1,425,000 5.50%, 1/15/28 .................................... 1,459,895 4,169,000 5.50%, 1/15/28 .................................... 4,268,924 5,240,000 5.00%, 2/15/28 .................................... 5,319,382 1,787,104 7.00%, 10/15/30 ................................... 1,837,223 4,225,000 4.50%, 1/1/35 (b) ................................. 4,081,088 11,540,000 5.00%, 1/1/35 (b) ................................. 11,460,664 2,820,268 7.00%, 2/25/43, Series T-54 Class 3A .............. 2,993,891 ------------ TOTAL MORTGAGE-BACKED SECURITIES ..................... 221,802,635 ------------ U.S. TREASURY OBLIGATIONS (12.9%): 3,675,000 U.S. Treasury Bonds, 7.50%, 11/15/16 (L) .......... 4,697,543 28,965,000 U.S. Treasury Bonds, 6.00%, 2/15/26 (L) ........... 33,188,706 14,110,000 U.S. Treasury Notes, 2.75%, 7/31/06 (L) ........... 14,068,671 4,260,000 U.S. Treasury Notes, 3.375%, 11/15/08 (L).......... 4,249,853 11,315,000 U.S. Treasury Notes, 5.00%, 8/15/11 (L) ........... 12,049,151 ------------ TOTAL U.S. TREASURY OBLIGATIONS ............................... 68,253,924 ------------ Shares ------- CLOSED END INVESTMENT COMPANIES (1.2%) 372,400 Blackrock Income Opportunity Trust................. 4,040,540 358,900 MFS Government Markets Income Trust (L)............ 2,383,096 ------------ TOTAL CLOSED END INVESTMENT COMPANIES ......................................... 6,423,636 ------------ Principal Amount ---------- REPURCHASE AGREEMENT (9.7%): 51,383,000 Repurchase Agreement with State Street Bank, 1.40%, 1/3/05 (Proceeds at maturity of $51,388,995, collateralized by $52,316,181 Federal Home Loan Bank 6.50% due 11/13/09; $100,969 Fannie Mae 000% due 2/1/11)(c) ........................................ 51,383,000 TOTAL REPURCHASE AGREEMENT ........................ 51,383,000 INVESTMENTS HELD AS COLLATERAL FOR LOANED SECURITIES (16.7%): 88,510,603 State Street Navigator Securities Lending Prime Portfolio, 2.19%, 1/3/05 ................... 88,510,603 ------------ TOTAL INVESTMENTS HELD AS COLLATERAL FOR LOANED SECURITIES ............................. 88,510,603 ------------ TOTAL (COST $642.509.155)(a) .................................. $651,804,769 ============
---------- Percentages indicated are based on net assets of $530,383,565. (a) Represents cost for financial reporting purposes and differs from cost basis for federal income tax purposes by the amount of losses recognized for federal reporting in excess of federal income tax reporting of $ 1 ,079,234. Cost for federal income tax differs from value by net unrealized appreciation (depreciation) of securities as follows: Unrealized appreciation ...................................... $ 9,933,785 Unrealized depreciation ...................................... (1,717,405) ------------ Net unrealized appreciation .................................. $ 8,216,380 ============
* Variable rate security.The interest rate shown reflects the rate in effect as of December 31, 2004. See accompanying notes to financial statements. 12 PORTFOLIO OF INVESTMENTS NEW COVENANT INCOME FUND DECEMBER 31, 2004 (UNAUDITED) (b) Security purchased on a when-issued or delayed delivery basis. (c) All or a portion of this security has been segregated as collateral for securities purchased on a when-issued or delayed delivery basis. (L) A portion or all of the security is on loan. (R) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The Advisor using procedures approved by the Board of Trustees has deemed these securities to be liquid. See accompanying notes to financial statements. 13 PORTFOLIO OF INVESTMENTS NEW COVENANT BALANCED GROWTH FUND DECEMBER 31, 2004 (UNAUDITED)
Value Shares (Note 2) -------------------------------------------- ------------ INVESTMENT COMPANIES (98.4%): 6,609,950 New Covenant Growth Fund....... $197,637,515 4,372,736 New Covenant Income Fund....... 111,635,952 ------------ TOTAL INVESTMENT COMPANIES..... 309,273,467 ------------ Principal Amount ----------- REPURCHASE AGREEMENT (l.6%): 4,901,000 Repurchase Agreement with State Street Bank, 1.40%, 1/3/05 (Proceeds at maturity of $4,901,572, collateralized by $5,001,688 Federal Home Loan Bank 5.00% due 2/15/18)......... 4,901,000 ------------ TOTAL REPURCHASE AGREEMENT...... 4,901,000 ------------ TOTAL INVESTMENTS (COST $300,618,769) (a)..................... $314,174,467 ============
Percentages indicated are based on net assets of $314,082,484. (a) Represents cost for financial reporting purposes and differs from cost basis for federal income tax purposes by the amount of losses recognized for federal reporting in excess of federal income tax reporting of $ 15,765,991 and by REIT cost adjustment of $937,717 and return of capital of $489,331. Cost for federal income tax differs from value by net unrealized appreciation (depreciation) of securities as follows: Unrealized appreciation...................... $ 5,932,975 Unrealized depreciation...................... (6,716,220) ----------- Net unrealized depreciation.................. $ (783,245) ===========
NEW COVENANT BALANCED INCOME FUND DECEMBER 31, 2004 (UNAUDITED)
Value Shares (Note 2) ---------------------------------------------- ------------ INVESTMENT COMPANIES (98.5%): 1,642,248 New Covenant Growth Fund........... $ 49,103,215 2,906,756 New Covenant Income Fund........... 74,209,493 ----------- TOTAL INVESTMENT COMPANIES......... 123,312,708 ----------- Principal Amount ----------- REPURCHASE AGREEMENT (1.5%): 1,866,000 Repurchase Agreement with State Street Bank, 1.40%, 1/3/05 (Proceeds at maturity of $ 1,866,217, collateralized by $ 1,907,309 Federal Home Loan Bank 1.625% due 6117/05)........... 1.866.000 ------------ TOTAL REPURCHASE AGREEMENT...... 1,866,000 ------------ TOTAL INVESTMENTS (COST $118,085,593) (a)...................... $125,178,708 ============
Percentages indicated are based on net assets of $ 125,139,387. (a) Represents cost for financial reporting purposes and differs from cost basis for federal income tax purposes by the amount of losses recognized for federal reporting in excess of federal income tax reporting of $3,120,811 and by REIT cost adjustment of 224,079 and return of capital of $333,050. Cost for federal income tax differs from value by net unrealized appreciation (depreciation) of securities as follows: Unrealized appreciation...................... $ 5,539,658 Unrealized depreciation...................... (1,010,225) ----------- Net unrealized appreciation.................. $ 4,529,433 ===========
See accompanying notes to financial statements. 14 This Page Intentionally Left Blank. 15 STATEMENTS OF ASSETS AND LIABILITIES NEW COVENANT FUNDS DECEMBER 31, 2004 (UNAUDITED)
BALANCED BALANCED GROWTH FUND INCOME FUND GROWTH FUND INCOME FUND -------------- --------------- -------------- -------------- ASSETS: Investments, at value (Cost $759,258,836, $553,998,552, $4,901,000 and $1,866,000, respectively)................. $ 887,364,297 $ 563,294,166 $ 4,901,000 $ 1,866,000 Investment in affiliates (Cost $0,$0, $295,717,769 and $116,219,593, respectively)............................. -- -- 309,273,467 123,312,708 Collateral for securities on loan (Cost $58,358,094, $88,5 1 0,603, $0 and $0, respectively)............................. 58,358,094 88,510,603 -- -- ------------- -------------- ------------- ------------- Total Investments .......................... 945,722,391 651,804,769 314,174,467 125,178,708 Cash ....................................... 2,054 182 914 581 Foreign currency, at value (Cost $72, 108, $0, $0 and $0, respectively) ............. 73,466 -- -- -- Interest and dividends receivable .......... 1,004,505 3,708,384 191 73 Receivable for investments sold ............ 732,985 11,451,988 -- -- Reclaims receivable ........................ 40,502 -- -- -- Prepaid expenses and other assets .......... 22,948 19,365 13,223 9,997 ------------- -------------- ------------- ------------- Total Assets: .............................. 947,598,851 666,984,688 314,188,795 125,189,359 ------------- -------------- ------------- ------------- LIABILITIES: Payable for investments purchased .......... 1,120,993 47,637,728 -- -- Payable for return of collateral received on securities loaned ...................... 58,358,094 88,510,603 -- -- Accrued expenses and other payables: Investment advisory fees ................. 546,500 225,315 -- -- Administration fees ...................... 18,042 11,045 6,436 2,582 Other .................................... 412,804 216,432 99,875 47,390 ------------- -------------- ------------- ------------- Total Liabilities: ......................... 60,456,433 136,601,123 106,311 49,972 ------------- -------------- ------------- ------------- NET ASSETS: .................................. $ 887,142,418 $ 530,383,565 $ 314,082,484 $ 125,139,387 ============= ============== ============= ============= NET ASSETS CONSIST OF: Paid-in Capital ............................ 918,294,049 521,892,043 320,147,944 123,014,512 Undistributed (distributions in excess of) net investment income .................... (175,128) (1,113,290) 497,304 337,237 Undistributed net realized gains/(losses) on investment and foreign currency transactions ............................. (159,088,023) 309,198 (20,118,462) (5,305,477) Unrealized appreciation on investment transactions and translation of assets and liabilities denominated in foreign currencies ............................... 128,111,520 9,295,614 13,555,698 7,093,115 ------------- -------------- ------------- ------------- Total Net Assets ............................. $ 887,142,418 $ 530,383,565 $ 314,082,484 $ 125,139,387 ============= ============== ============= ============= Shares outstanding ........................... 29,671,050 20,776,464 4,020,193 6,627,548 Net asset value, offering and redemption price per share ............................ $ 29.90 $ 25.53 $ 78.13 $ 18.88
See accompanying notes to financial statements. 16 STATEMENTS OF OPERATIONS NEW COVENANT FUNDS FOR THE SIX MONTHS ENDED DECEMBER 31, 2004 (UNAUDITED)
BALANCED BALANCED GROWTH FUND INCOME FUND GROWTH FUND INCOME FUND ------------- ------------- ------------- ------------- INVESTMENT INCOME: Interest .......................................... $ 117,158 $ 11,798,422 $ 30,098 $ 12,142 Dividend .......................................... 8,178,456 245,195 -- -- Dividend income from affiliates ................... -- -- 3,122,421 1,732,276 Foreign tax withholding ........................... (67,895) -- -- -- Income from securities lending .................... 61,674 19,663 -- -- ------------- ------------- ------------- ------------- Total Income: ..................................... 8,289,393 12,063,280 3,152,519 1,744,418 ------------- ------------- ------------- ------------- EXPENSES: Investment advisory fees .......................... 4,074,992 2,008,407 -- -- Administration fees ............................... 82,316 53,553 30,151 12,359 Shareholder service fees .......................... 1,029,038 669,469 -- -- Accounting fees ................................... 124,747 77,207 38,357 16,741 Audit fees ........................................ 18,002 12,420 7,231 3,285 Custodian fees .................................... 156,219 36,441 1,420 1,420 Insurance fees .................................... 16,167 10,384 5,768 2,426 Legal fees ........................................ 28,458 18,192 10,430 4,254 Registration and filing fees ...................... 9,884 10,097 9,683 8,862 Printing fees ..................................... 20,423 13,200 7,446 3,071 Chief compliance officer fees ..................... 33,369 21,936 12,281 5,063 Transfer agent fees ............................... 42,992 36,886 87,542 46,740 Other fees ........................................ 17,560 10,794 5,568 2,225 ------------- ------------- ------------- ------------- Total expenses before contractual fee reductions .. 5,654,167 2,978,986 215,877 106,446 Expenses contractually reduced .................... (1,029,038) (669,469) -- -- Expenses paid indirectly .......................... (66,513) -- -- -- ------------- ------------- ------------- ------------- Total Expenses .................................... 4,558,616 2,309,517 215,877 106,446 ------------- ------------- ------------- ------------- NET INVESTMENT INCOME ............................. 3,730,777 9,753,763 2,936,642 1,637,972 ------------- ------------- ------------- ------------- REALIZED AND UNREALIZED GAINS AND LOSSES FROM INVESTMENTS AND FOREIGN CURRENCY: Realized gains/(losses) on investment and foreign currency transactions............................ 6,120,934 3,437,473 (2,798,405) (1,215,383) Unrealized appreciation on investments and translation of assets and liabilities denominated in foreign currency.................. 48,047,380 6,390,008 16,646,605 5,451,408 ------------- ------------- ------------- ------------- Net realized/unrealized gains on investments and foreign currency................................. 54,168,314 9,827,481 13,848,200 4,236,025 ------------- ------------- ------------- ------------- Change in net assets resulting from operations .... $ 57,899,091 $ 19,581,244 $ 16,784,842 $ 5,873,997 ============= ============= ============= =============
See accompanying notes to financial statements. 17 STATEMENTS OF CHANGES IN NET ASSETS NEW COVENANT FUNDS
GROWTH FUND INCOME FUND ------------------------------- ------------------------------- FOR THE FOR THE SIX MONTHS SIX MONTHS ENDED DECEMBER FOR THE ENDED DECEMBER FOR THE 31, 2004 YEAR ENDED 31, 2004 YEAR ENDED (UNAUDITED) JUNE 30, 2004 (UNAUDITED) JUNE 30, 2004 -------------- ------------- -------------- ------------- OPERATIONS: Net investment income ................................... $ 3,730,777 $ 2,505,244 $ 9,753,763 $ 19,421,219 Realized gains/(losses) on investment and foreign currency transactions.................................. 6,120,934 49,605,122 3,437,473 (1,027,902) Unrealized appreciation/(depreciation) on investments and translation of assets and liabilities denominated in foreign currency....................................... 48,047,380 87,618,337 6,390,008 (18,444,921) ------------- ------------- ------------- ------------- Change in net assets resulting from operations .......... 57,899,09 1 1 39,728,703 19,581,244 (51 ,604) ------------- ------------- ------------- ------------- DIVIDENDS TO SHAREHOLDERS: From net investment income .............................. (3,735,416) (2,835,338) (10,867,053) (18,264,083) From net realized gain on investment .................... -- -- (1,303,165) (8,717,403) Tax Return of Capital ................................... -- -- -- (2,311,618) ------------- ------------- ------------- ------------- Change in net assets from shareholder distributions ..... (3,735,416) (2,835,338) (12,170,218) (29,293,104) ------------- ------------- ------------- ------------- CAPITAL TRANSACTIONS: Change in net assets from fund share transactions ....... (1,596,674) (11,202,779) (1,052,342) 27,635,785 ------------- ------------- ------------- ------------- Change in net assets .................................... 52,567,001 125,690,586 6,358,684 (1,708,923) ------------- ------------- ------------- ------------- NET ASSETS: Beginning of period ..................................... 834,575,417 708,884,831 524,024,881 525,733,804 ------------- ------------- ------------- ------------- End of period ........................................... $ 887,142,418 $ 834,575,417 $ 530,383,565 $ 524,024,881 ============= ============= ============= ============= Undistributed net investment income ..................... $ (175,128) $ (170,489) $ (1,113,290) $ -- ------------- ------------- ------------- -------------
See accompanying notes to financial statements. 18 STATEMENTS OF CHANGES IN NET ASSETS NEW COVENANT FUNDS
BALANCED GROWTH FUND BALANCED INCOME FUND ------------------------------- ------------------------------- FOR THE FOR THE SIX MONTHS SIX MONTHS ENDED DECEMBER FOR THE ENDED DECEMBER FOR THE 31, 2004 YEAR ENDED 31, 2004 YEAR ENDED (UNAUDITED) JUNE 30, 2004 (UNAUDITED) JUNE 30, 2004 -------------- ------------- -------------- ------------- OPERATIONS: Net investment income ............................... $ 2,936,642 $ 5,313,634 $ 1,637,972 $ 3,614,507 Realized losses on investment ....................... (2,798,405) (5,013,806) (1,215,383) (1,197,841) Unrealized appreciation on investments .............. 16,646,605 31,737,323 5,451,408 6,133,930 ------------- ------------- ------------- ------------- Change in net assets resulting from operations ...... 16,784,842 32,037,151 5,873,997 8,550,596 ------------- ------------- ------------- ------------- DIVIDENDS TO SHAREHOLDERS: From net investment income .......................... (2,936,832) (4,860,882) (1,638,083) (3,278,062) Tax Return of Capital ............................... -- (299,330) -- (233,142) ------------- ------------- ------------- ------------- Change in net assets from shareholder distributions.. (2,936,832) (5,160,212) (1,638,083) (3,511,204) ------------- ------------- ------------- ------------- CAPITAL TRANSACTIONS: Change in net assets from fund share transactions.... (2,211,754) 3,102,552 (4,011,887) (2,700,088) ------------- ------------- ------------- ------------- Change in net assets ................................ 11,636,256 29,979,491 224,027 2,339,304 ------------- ------------- ------------- ------------- NET ASSETS: Beginning of period ................................. 302,446,228 272,466,737 124,915,360 122,576,056 ------------- ------------- ------------- ------------- End of period ....................................... $ 314,082,484 $ 302,446,228 $ 125,139,387 $ 124,915,360 ============= ============= ============= ============= Undistributed net investment income ................. $ 497,304 $ (497,494) $ 337,237 $ (337,348) ------------- ------------- ------------- -------------
See accompanying notes to financial statements. 19 FINANCIAL HIGHLIGHTS NEW COVENANT FUNDS For a Share outstanding throughout each period.
GROWTH FUND ----------------------------------------------------------------------------------------- FOR THE SIX MONTHS ENDED FOR THE DECEMBER FOR THE FOR THE FOR THE FOR THE YEAR ENDED 31, 2004 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED JUNE 30, (UNAUDITED) JUNE 30, 2004 JUNE 30, 2003 JUNE 30, 2002 JUNE 30, 2001 2000 (a) ----------- ------------- ------------- ------------- ------------- ----------- Net Asset Value, Beginning of Period ........................ $ 28.07 $ 23.51 $ 24.13 $ 29.26 $ 42.07 $ 40.81(b) INVESTMENT ACTIVITIES: Net investment income ........... 0.13 0.07 0.10 0.04 0.10 0.15 Net realized and unrealized gain/(loss) from investments... 1.83 4.58 (0.63) (5.11) (4.86) 2.49 ----------- ----------- ----------- ----------- ----------- ----------- Total from Investment Activities .................... 1.96 4.65 (0.53) (5.07) (4.76) 2.64 ----------- ----------- ----------- ----------- ----------- ----------- DIVIDENDS: Net investment income ........... (0.13) (0.09) (0.09) (0.01) - (0.30) Net realized gains .............. -- -- -- -- (7.80) (1.08) Return of capital ............... -- -- -- (0.05) (0.25) -- ----------- ----------- ----------- ----------- ----------- ----------- Total Dividends ................. (0.13) (0.09) (0.09) (0.06) (8.05) (1.38) ----------- ----------- ----------- ----------- ----------- ----------- Change in net asset value per share ..................... 1.83 4.56 (0.62) (5.13) (12.81) 1.26 ----------- ----------- ----------- ----------- ----------- ----------- NET ASSET VALUE, END OF PERIOD .. $ 29.90 $ 28.07 $23.51 $ 24.13 $ 29.26 $ 42.07 =========== =========== =========== =========== =========== =========== Total Return .................... 6.99%(c) 19.81% (2.17%) (17.34%) (12.33%) 6.38% RATIOS/SUPPLEMENTARY DATA: Net Assets at end of period (000) .......................... $ 887,142 $ 834,575 $ 708,885 $ 695,622 $ 816,901 $ 905,086 Ratio of expenses to average net assets ........................ 1.11%(d) 1.13% 1.13% 1.11% 1.07% 1.07% Ratio of net investment income to average net assets .......... 0.90%(d) 0.32% 0.47% 0.15% 0.20% 0.37% Ratio of expenses to average net assets* .................... l.37%(d) 1.39% 1.13% 1.11% 1.07% 1.07% Portfolio turnover .............. 38% 94% 63% 79% 142% 152%
---------- * Ratios excluding waivers and expenses paid indirectly. (a) The Fund commenced investment operations on July 1, 1999. (b) Represents net asset value of predecessor Common Trust Fund. (c) Not Annualized. (d) Annualized. See accompanying notes to financial statements. 20 FINANCIAL HIGHLIGHTS NEW COVENANT FUNDS For a Share outstanding throughout each period.
INCOME FUND ------------------------------------------------------------------------------------- FOR THE SIX MONTHS ENDED FOR THE DECEMBER FOR THE FOR THE FOR THE FOR THE YEAR ENDED 31, 2004 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED JUNE 30, (UNAUDITED) JUNE 30, 2004 JUNE 30, 2003 JUNE 30, 2002 JUNE 30, 2001 2000 (a) ----------- ------------- ------------- ------------- ------------ ----------- Net Asset Value, Beginning of Period .... $ 25.17 $ 26.62 $ 25.54 $ 24.83 $ 23.89 $ 24.52(b) INVESTMENT ACTIVITIES: Net investment income ................. 0.48 0.96 1.00 1.21 1.50 1.47 Net realized and unrealized gain/(loss) from investments ................... 0.47 (0.96) 1.42 0.73 0.92 (0.63) ----------- ----------- ----------- ----------- ----------- ----------- Total from Investment Activities ...... 0.95 -- 2.42 1.94 2.42 0.84 ----------- ----------- ----------- ----------- ----------- ----------- DIVIDENDS: Net investment income ................ (0.53) (0.90) (1.06) (1.23) (1.48) (1.47) Net realized gains ................... (0.06) (0.44) (0.28) -- -- -- Return of capital .................... -- (0.11) -- -- -- -- ----------- ----------- ----------- ----------- ----------- ----------- Total Dividends ...................... (0.59) (1.45) (1.34) (1.23) (1.48) (1.47) ----------- ----------- ----------- ----------- ----------- ----------- Change in net asset value per share .. 0.36 (1.45) 1.08 0.71 0.94 (0.63) ----------- ----------- ----------- ----------- ----------- ----------- NET ASSET VALUE, END OF PERIOD ....... $ 25.53 $ 25.17 $ 26.62 $ 25.54 $ 24.83 $ 23.89 =========== =========== =========== =========== =========== =========== Total Return ......................... 3.77%(c) 0.00% 9.63% 7.97% 10.31% 3.55% RATIOS/SUPPLEMENTARY DATA: Net Assets at end of period (000) .... $ 530,384 $ 524,025 $ 525,734 $ 545,356 $ 559,286 $ 571,669 Ratio of expenses to average net assets ............................... 0.86%(d) 0.86% 0.85% 0.84% 0.82% 0.83% Ratio of net investment income to average net assets ................. 3.63%(d) 3.70% 3.79% 4.72% 5.99% 6.12% Ratio of expenses to average net assets* ............................ 1.11%(d) 1.11% 0.85% 0.84% 0.82% 0.83% Portfolio turnover ................... 1 12% 242% 226% 290% 191% 182%
---------- * Ratios excluding waivers. (a) The Fund commenced investment operations on July 1, 1999. (b) Represents net asset value of predecessor Common Trust Fund. (c) Not Annualized. (d) Annualized. See accompanying notes to financial statements. 21 FINANCIAL HIGHLIGHTS NEW COVENANT FUNDS For a Share outstanding throughout each period.
BALANCED GROWTH FUND ------------------------------------------------------------------------------------ FOR THE SIX MONTHS ENDED FOR THE DECEMBER FOR THE FOR THE FOR THE FOR THE YEAR ENDED 31, 2004 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED JUNE 30, (UNAUDITED) JUNE 30, 2004 JUNE 30, 2003 JUNE 30, 2002 JUNE 30, 2001 2000 (a) ----------- ------------- ------------- ------------- ------------- ------------ Net Asset Value, Beginning of Period ..... $ 74.65 $ 67.88 $ 67.25 $ 81.92 $ 91.84 $ 90.96(b) INVESTMENT ACTIVITIES: Net investment income ................. 0.73 1.34 1.27 1.52 2.33 3.18 Net realized and unrealized gain/(loss) from investments..................... 3.48 6.73 0.71 (7.44) (5.07) 1.48 ----------- ----------- ----------- ----------- ----------- ------------ Total from Investment Activities ...... 4.21 8.07 1.98 (5.92) (2.74) 4.66 ----------- ----------- ----------- ----------- ----------- ------------ DIVIDENDS: Net investment income ................. (0.73) (1.23) (1.27) (1.34) (5.68) (3.19) Net realized gains .................... -- -- (0.08) (7.00) (1.50) (0.59) Return of capital ..................... -- (0.07) -- (0.41) -- -- ----------- ----------- ----------- ----------- ----------- ------------ Total Dividends ....................... (0.73) (1.30) (1.35) (8.75) (7.18) (3.78) ----------- ----------- ----------- ----------- ----------- ------------ Change in net asset value per share ... 3.48 6.77 0.63 (14.67) (9.92) 0.88 ----------- ----------- ----------- ----------- ----------- ------------ NET ASSET VALUE, END OF PERIOD ........ $ 78.13 $ 74.65 $ 67.88 $ 67.25 $ 81.92 $ 91.84 =========== =========== =========== =========== =========== ============ Total Return .......................... 5.67%(c) 11.95% 3.10% (7.79%) (3.01%) 5.13% RATIOS/SUPPLEMENTARY DATA: Net Assets at end of period (000) ..... $ 314,082 $ 302,446 $ 272,467 $ 286,314 $ 314,873 $ 343,231 Ratio of expenses to average net assets ............................. 0.14%(d) 0.15% 0.14% 0.11% 0.09% 0.10% Ratio of net investment income to average net assets ................. l.94%(d) 1.52% 1.96% 2.02% 2.61% 3.50% Portfolio turnover .................... 2% 12% 15% 18% 18% 8%
---------- (a) The Fund commenced investment operations on July 1, 1999. (b) Represents net asset value of predecessor Common Trust Fund. (c) Not Annualized. (d) Annualized. See accompanying notes to financial statements. 22 FINANCIAL HIGHLIGHTS NEW COVENANT FUNDS For a Share outstanding throughout each period.
BALANCED INCOME FUND ------------------------------------------------------------------------------------ FOR THE SIX MONTHS ENDED FOR THE DECEMBER FOR THE FOR THE FOR THE FOR THE YEAR ENDED 31, 2004 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED JUNE 30, (UNAUDITED) JUNE 30, 2004 JUNE 30, 2003 JUNE 30, 2002 JUNE 30, 2001 2000 (a) ----------- ------------- ------------- ------------- ------------- ---------- Net Asset Value, Beginning of Period ..... $ 18.24 $ 17.52 $ 17.10 $ 18.88 $ 20.01 $ 20.l6(b) INVESTMENT ACTIVITIES: Net investment income ................. 0.25 0.53 0.52 0.57 0.78 0.89 Net realized and unrealized gain/(loss) from investments ................... 0.64 0.70 0.47 (0.84) (0.38) (0.02) -------- --------- ---------- --------- -------- ------- Total from Investment Activities ...... 0.89 1.23 0.99 (0.27) 0.40 0.87 -------- --------- ---------- --------- -------- ------- DIVIDENDS: Net investment income ................. (0.25) (0.48) (0.52) (0.54) (1.22) (0.89) Net realized gains .................... -- -- (0.05) (0.94) (0.31) (0.13) Return of capital ..................... -- (0.03) -- (0.03) -- -- -------- --------- ---------- --------- -------- ------- Total Dividends ....................... (0.25) (0.51) (0.57) (1.51) (1.53) (1.02) -------- --------- ---------- --------- -------- ------- Change in net asset value per share ... 0.64 0.72 0.42 (1.78) (1.13) (0.15) -------- --------- ---------- --------- -------- ------- NET ASSET VALUE, END OF PERIOD ........ $ 18.88 $ 18.24 $ 17.52 $ 17.10 $ 18.88 $ 20.01 ======== ========= ========== ========= ======== ======= Total Return .......................... 4.89%(c) 7.07% 6.00% (1.55%) 2.08% 4.40% RATIOS/SUPPLEMENTARY DATA: Net Assets at end of period (000) ..... $125,139 $ 124,915 $ 122,576 $ 114,013 $116,519 $ 124,809 Ratio of expenses to average net assets .............................. 0.17%(d) 0.18% 0.16% 0.14% 0.12% 0.14% Ratio of net investment income to average net assets .................. 2.64%(d) 2.34% 3.08% 3.13% 3.88% 4.46% Portfolio turnover .................... 2% 12% 18% 11% 20% 12%
---------- (a) The Fund commenced investment operations on July 1, 1999. (b) Represents net asset value of predecessor Common Trust Fund. (c) Not Annualized. (d) Annualized. See accompanying notes to financial statements. 23 NOTES TO FINANCIAL STATEMENTS NEW COVENANT FUNDS DECEMBER 31, 2004 (UNAUDITED) 1. ORGANIZATION New Covenant Funds (the "Trust"), an open-end, diversified management investment company, was organized as a Delaware business trust on September 30, 1998. It currently consists of four investment funds: New Covenant Growth Fund ("Growth Fund"), New Covenant Income Fund ("Income Fund"), New Covenant Balanced Growth Fund ("Balanced Growth"), and New Covenant Balanced Income Fund ("Balanced Income"), (individually, a "Fund," and collectively, the "Funds"). The Funds commenced operations on July 1, 1999. The Trust's authorized capital consists of an unlimited number of shares of beneficial interest of $0.001 par value. The Funds' investment advisor is the NCF Investment Department of New Covenant Trust Company, N.A., a wholly owned subsidiary of the Presbyterian Church (U.S.A.) Foundation (the "Advisor"). The objectives of the Funds are as follows: Growth Fund Long-term capital appreciation. Dividend income, if any, will be incidental. Income Fund High level of current income with preservation of capital. Balanced Growth Fund Capital appreciation with less risk than would be present in a portfolio of only common stocks. Balanced Income Fund Current income and long-term growth of capital. Under the Funds organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. In addition, in the normal course of business, the Funds enter into contracts with its vendors and others that provide general indemnification. Each Fund's maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against a Fund. However, based on experience, the Funds expect the risk of loss to be remote. 2. SIGNIFICANT ACCOUNTING POLICIES The preparation of financial statements in conformity with accounting principals generally accepted in the United States ("GAAP") requires management to make estimates and assumptions that effect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates. The following is a summary of the significant accounting policies consistently followed by the Funds in the preparation of its financial statements. The policies are in conformity with GAAP. PORTFOLIO VALUATION: Fund investments are recorded at market value. Portfolio securities listed on a domestic or foreign exchange are valued at the last sale price on the day of valuation or, if there was no sale that day, at the last reported bid price as of the close of trading. Equity securities traded on NASDAQ use the official closing price. Equity securities which are traded in the over-the-counter market only, but which are not included on NASDAQ, are valued at the mean between the last preceding bid and ask prices. Debt securities with a remaining maturity of sixty days or more are valued using a pricing service when such prices are believed to reflect fair market value. Debt securities with a remaining maturity of less than sixty days are valued at amortized cost, which approximates market value. Investment companies are valued at net asset value. All other securities and securities with no readily determinable market values are valued using procedures determined in good faith by the Board of Trustees. Factors used in determining fair value include but are not limited to: type of security or asset, fundamental analytical data relating to the investment in the security, evaluation of the forces that influence the market in which the security is purchased and sold, and information as to any transactions or offers with respect to the security. Foreign securities traded outside the United States are generally valued as of the time their trading is complete, which is usually different from the close of the New York Stock Exchange ("NYSE"). Occasionally, events affecting the value of such securities may occur between such times and the close of the NYSE that will not be reflected in the computation of a Fund's net asset value. If events materially affecting the value of such securities occur during such period, these securities will be valued at their fair value according to procedures decided upon in good faith by the Fund's Board of Trustees. All securities and other assets of a Fund initially expressed in foreign currencies will be converted to U.S. dollar values at the foreign exchange rate every business day, generally at 4:00PM EST. SECURITIES TRANSACTIONS AND INVESTMENT INCOME: Security transactions are accounted for no later than the first calculation on the first business day following the trade date. Interest income is recognized on the accrual basis and includes, where applicable, the amortization or premium or accretion of discount for both financial reporting and tax purposes. Dividend income is recorded on the ex-dividend date. Gains or losses realized on sales of securities are determined by comparing the identified cost of the security lot sold with the net sales proceeds. OPTIONS: The Income Fund may purchase or write options which are traded over the counter to hedge fluctuation risks in the prices of certain securities. When a Fund writes a call or put option, an amount equal to the premium received is reflected as a 24 NOTES TO FINANCIAL STATEMENTS NEW COVENANT FUNDS DECEMBER 31, 2004 (UNAUDITED) liability. The liability is subsequently "marked-to-market" to reflect the current market value of the option written. The premium paid by a Fund for the purchase of a call or put option is recorded as an investment and subsequently "marked-to-market" to reflect the current market value of the option purchased. The Fund is subject to the risk of an imperfect correlation between movement in the price of the instrument and the price of the underlying security or transaction. Risks may also arise due to illiquid secondary markets for the instruments. There were no options outstanding at December 31, 2004. FOREIGN CURRENCY TRANSLATION: The books and records of the Funds are maintained in U.S. dollars. Investment valuation and other assets and liabilities initially expressed in foreign currencies are converted each business day into U.S. dollars based upon current exchange rates. Purchases and sales of foreign investments and income and expenses are converted into U.S. dollars based upon exchange rates prevailing on the respective dates of such transactions. That portion of unrealized gains or losses on investments due to fluctuations in foreign currency exchange rates is not separately disclosed. Certain countries may also impose substantial restrictions on investments on their capital markets by foreign entities, including restriction on investment in issuers or industries deemed sensitive to the relevant nation's interests. These factors may limit the investment opportunities available or result in lack of liquidity and high price volatility with respect to securities of issuers from developing countries. The Funds do not isolate the portion of gains and losses on investments in securities that is due to changes in the foreign exchange rates from that which is due to changes in the market prices of such securities. The Funds report gains and losses on foreign currency related transactions as realized and unrealized gains and losses for financial reporting purposes, whereas such gains and losses are treated as ordinary income or loss for U.S. Federal income tax purposes. FORWARD FOREIGN CURRENCY CONTRACTS: Certain Funds enter into forward currency contracts as hedges against either specific transactions or portfolio positions. All commitments are "marked-to-market" daily at the applicable foreign exchange rate and any resulting unrealized gains or losses are recorded currently. The Fund realizes gains and losses at the time forward contracts are extinguished. There were no contracts outstanding at December 31, 2004. LOANS OF PORTFOLIO SECURITIES: The Growth Fund and Income Fund may lend their securities pursuant to a securities lending agreement ("Lending Agreement") with State Street Bank ("SSB"). Security loans made pursuant to the Lending Agreement are required at all times to be secured by collateral valued at least 102% of the market value of the securities loaned. Cash collateral received is invested by SSB pursuant to the terms of the Lending Agreement. All such investments are made at the risk of the Funds and, as such, the Funds are liable for investment losses. To the extent a loan is secured by non-cash collateral, the borrower is required to pay a loan premium. Non-cash collateral received can not be sold or repledged. Net income earned on the investment of cash collateral and loan premiums received on non-cash collateral are allocated between SSB and the Funds in accordance with the Lending Agreement. Income allocated to the Funds is included in interest income in the respective statements of operations. The cash collateral received by the Growth Fund and the Income Fund is pooled and at December 31, 2004 was invested in a bank note (with interest rate of 2.23% and maturity date of February 7, 2005), certificates of deposit (with interest rates ranging from 1.80% to 2.45% and maturity dates ranging from January 10, 2005 to February 17, 2005), commercial paper (with interest rates ranging from 1.74% to 2.44% and maturity dates ranging from January 6, 2005 to April 12, 2005), euro certificates of deposit (with interest rates ranging from 1.28% to 2.44% and maturity dates ranging from January 18, 2005 to March 30, 2005), U.S. Government Agencies (with interest rates ranging from 1.72% to 1.98% and maturity dates ranging from January 1, 2005 to February 15, 2005), medium term notes (with interest rates ranging from 1.38% to 1.88% and maturity dates ranging from January 15, 2005 to March 29, 2005), repurchase agreements (with interest rates ranging from 2.15% to 2.47% and maturity dates ranging from January 3, 2005 to March 30, 2005), and variable rate notes (with interest rates ranging from 2.19% to 2.69% and maturity dates ranging from January 4, 2005 to January 16, 2006). Information on the investment of cash collateral is shown in the Portfolio of Investments. The Growth Fund and the Income Fund receive payments from borrowers equivalent to the dividends and interest that would have been earned on the securities lent while simultaneously seeking to earn income on the investment cash collateral, a portion of which is retained by the Advisor. One of the risks in lending portfolio securities, as with other extensions of credit, is the possible delay in the recovery of the securities or possible loss of rights in the collateral should the borrower fail financially. There is also the risk that, when lending portfolio securities, the securities may not be available to a Fund on a timely basis and a Fund may, therefore, lose the opportunity to sell the securities at a desirable price. In addition, in the event that a borrower of securities would file for bankruptcy or become insolvent, disposition of the securities may be delayed pending court action. However, loans will be made only to borrowers deemed by the Advisor to be creditworthy under guidelines established by the Board of Directors and when, in the judgement of the Advisor, the consideration which can be earned currently from such securities loans justifies the attendant risks. Loans are subject to termination by the Funds or the borrower at any time, and are, therefore, not considered to be illiquid investments. In the event of bankruptcy of the borrower, realization/retention of the collateral may be subject to legal proceedings. 25 NOTES TO FINANCIAL STATEMENTS NEW COVENANT FUNDS DECEMBER 31, 2004 (UNAUDITED) The value of the loaned securities and related collateral at December 31, 2004, was as follows:
VALUE OF VALUE OF VALUE OF FUND SECURITIES LOANED CASH COLLATERAL NON-CASH COLLATERAL ---- ----------------- --------------- ------------------- Growth Fund $ 56,345,620 $ 58,358,094 $ 286,900 Income Fund 87,394,468 88,510,603 646,523
Cash collateral received for securities on loan was invested in the following:
GROWTH FUND INCOME FUND ------------ ------------ State Street Navigator Securities Lending Prime Portfolio, 2.19% due 1/3/05 $ 58,358,094 $ 88,510,603
REPURCHASE AGREEMENTS: The Funds may enter into repurchase agreements with a bank, broker-dealer or other financial institution, which are secured by obligations of the U.S. government. Each repurchase agreement is at least 102% collateralized and marked to market. However, in the event of default or bankruptcy by the counterparty to the agreement, realization of the collateral may by subject to certain costs, losses or delays. FORWARD COMMITMENTS, WHEN-ISSUED SECURITIES AND DELAYED DELIVERY TRANSACTIONS: The Growth Fund and the Income Fund may purchase or sell securities on a when-issued or delayed-delivery basis and make contracts to purchase or sell securities for a fixed price at a future date beyond customary settlement time. Debt securities are often issued on that basis. No income will accrue on securities purchased on a when-issued or delayed-delivery basis until the securities are delivered. The Funds will establish or will instruct their custodian to establish a segregated account in which it will maintain cash and U.S. Government securities or other liquid portfolio securities at least equal in value to commitments for when-issued securities. Securities purchased or sold on a when-issued, delayed-delivery of forward-commitment basis involve a risk of loss if the value of the security to be purchased declines prior to settlement date. Although the Funds would generally purchase securities on a when-issued, delayed-delivery or a forward-commitment basis with the intention of acquiring the securities, the Funds may dispose of such securities prior to settlement if the portfolio manager deems it appropriate to do so. The Funds may dispose of or renegotiate a when-issued or forward commitment. The Funds will normally realize a capital gain or loss in connection with these transactions. For purposes of determining the Income Fund's average dollar-weighted maturity, the maturity of when-issued or forward-commitment securities will be calculated from the commitment date. When the Funds purchase securities on a when-issued, delayed-delivery or forward-commitment basis, the Funds will maintain or will instruct their custodian to maintain in a segregated account cash, U.S. Government securities or other liquid portfolio securities having a value (determined daily) at least equal to the amount of the Funds' purchase commitments. In the case of a forward-commitment to sell portfolio securities, the custodian will hold the portfolio securities in a segregated account while the commitment is outstanding. These procedures are designed to ensure that the Funds will maintain sufficient assets at all times to cover their obligations under when-issued purchases, forward-commitments and delayed-delivery transactions. As of December 31, 2004 the Funds had outstanding when-issued or delayed delivery purchase commitments with corresponding assets segregated, as follows:
FUND AMOUNT ---- ------------- Income Fund.......................................... $ 51,383,000
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS: Dividends from net investment income of all Funds are declared and paid at least annually. For all Funds, all net realized long-term or short-term capital gains, if any, will be declared and distributed at least annually. Interest and dividend payments will normally be distributed as income dividends on a quarterly basis for each of the Funds. Income dividends and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. These differences are primarily due to differing treatments of income, gains and losses on various investment securities held by a Fund, timing differences in the recognition of income, gains and losses and differing characterizations of distributions made by the Fund. These "book/tax" differences are either considered temporary or permanent in nature. To the extent these differences are permanent in nature, such amounts reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences do not require reclassifications. To the extent they exceed net investment income and net realized gains for tax purposes, they are reported as distribution of capital. 26 NOTES TO FINANCIAL STATEMENTS NEW COVENANT FUNDS DECEMBER 31, 2004 (UNAUDITED) FEDERAL INCOME TAXES: It is the Funds' intention to qualify annually as a regulated investment company by complying with the appropriate provisions of the Internal Revenue Code of 1986, as amended. Accordingly, no provision for federal income tax has been made. ALLOCATION OF EXPENSES: Expenses directly attributable to a Fund are charged directly to that Fund, while expenses which are attributable to more than one Fund of the Trust are allocated among the respective Funds based upon relative net assets or some other reasonable method. EXPENSES PAID INDIRECTLY: The Growth Fund directs certain portfolio trades to brokers who pay a portion of their expenses. Under this arrangement, the Growth Fund had expenses reduced by $66,513, or 0.02% as a percentage of the average daily net assets of the Fund on an annualized basis for the six months ended December 31, 2004.
FUND AMOUNT RATIO ---- --------- ----- Growth Fund.......................................... $ 66,513 0.02%
3. INVESTMENT ADVISORY AND OTHER AGREEMENTS The Trust, on behalf of each Fund, has entered into an Investment Advisory Agreement with the NCF Investment Department of New Covenant Trust Company, N.A. (the "Advisor"). Under the Agreement, the Advisor is responsible for managing the Funds' investments as well as furnishing the Funds with certain administrative services. The Growth Fund pays the Advisor a monthly fee at the annual rate of 0.99% of the Growth Funds' average daily net assets and the Income Fund pays the Advisor a monthly fee at the annual rate of 0.75% of the value of the Income Fund's average daily net assets. The Advisor does not receive advisory fees for the Balanced Growth and the Balanced Income Funds. The Advisor has entered into Sub-Advisory Agreements with five Sub-Advisors to assist in the selection and management of the Growth Fund's and Income Fund's investment securities. It is the responsibility of the Sub-Advisors, under the direction of the Advisor, to make day-to-day investment decisions for these Funds. The Advisor pays each Sub-Advisor a quarterly fee for their services. The Advisor pays the Sub-Advisor's fee directly from its own advisory fees. The Sub-Advisory fees are based on the assets of a Fund to which the Sub-Advisor is responsible for making investment decisions. The following are the Sub-Advisors for the Growth Fund: Capital Guardian Trust Company, Seneca Capital Management, Sound Shore Management Inc., and Wellington Management Company, LLP. Tattersall Advisory Group is the Sub-Advisor for the Income Fund. The Funds employ a Chief Compliance Officer ("CCO") who receives compensation and reimbursement of out-of-pocket expenses as approved by the Board of Trustees. The Funds are each a party to a Shareholder Services Agreement pursuant to which each Fund is authorized to make payments to certain entities which may include investment advisors, banks, trust companies and other types of organizations ("Authorized Service Providers") for providing administrative services with respect to shares of the Funds attributable to or held in the name of the Authorized Service Provider for its clients or other parties with whom they have a servicing relationship. Under the terms of the Shareholder Services Agreement, each Fund is authorized to pay an Authorized Service Provider (which may include affiliates of the Funds) a shareholder services fee at the rate of 0.25% on an annual basis of the average daily net assets of the shares of the Fund attributable to or held in the name of the Authorized Service Provider for providing certain administrative services to Fund shareholders with whom the Authorized Service Provider has a servicing relationship. In connection with the implementation and operation of the Shareholder Services Agreement, the Advisor has agreed to waive the amount of the investment advisory fees payable to it by any Fund to the extent of the amount paid in fees by a Fund to any affiliated Authorized Service Provider under the Shareholder Services Agreement. The Trust has entered into servicing agreements with BISYS Fund Services Ohio, Inc. ("BISYS Ohio"), an indirect, wholly owned subsidiary of The BISYS Group, Inc. ("BISYS"). Under the Servicing Agreements, BISYS Ohio provides transfer agency, administrative and fund accounting services to the Funds. Under the fund accounting agreement BISYS Ohio is entitled to a fee computed at an annual rate of 0.03% of the Trust's average daily net assets for the first $500,000,000, 0.0225% for $500,000,001 to $5,000,000,000, and 0.01% over $5,000,000,000. Under the administration agreement BISYS is entitled to a fee computed at an annual rate of 0.02% of the Trusts average daily net assets subject to a minimum fee per annum of $45,000 per fund. The Trust has a Distribution Agreement with New Covenant Funds Distributor, Inc. (the "Distributor"), an indirect, wholly owned subsidiary of BISYS, to serve as the principal distributor of the Funds' shares. The Funds do not pay the Distributor in its capacity as principal distributor. The Trust has a Custodian Agreement with State Street Bank. 27 NOTES TO FINANCIAL STATEMENTS NEW COVENANT FUNDS DECEMBER 31, 2004 (UNAUDITED) No officer, director or employee of New Covenant Funds, BISYS, or any affiliate thereof, receives any compensation from the Company for serving as Director or officer of the Company. The Company also reimburses expenses incurred by the unaffiliated Trustees in attending Board and Committee meetings. 4. PURCHASES AND SALES OF SECURITIES The cost of purchases and proceeds from sales of securities, excluding short-term U.S. government and other short-term investments, for the six months ended December 31, 2004, were as follows:
FUND PURCHASES SALES ---- ------------- ------------- Growth Fund ....................................... $ 309,857,956 $ 316,405,381 Income Fund ....................................... 574,011,582 563,811,743 Balanced Growth Fund .............................. 6,566,386 9,332,442 Balanced Income Fund .............................. 2,844,913 7,044,388
5. SHARES OF BENEFICIAL INTEREST The Trust authorizes the issuance of an unlimited number of shares for each of the Funds, and each share has a par value of $0.001 per share. The Fund currently offers a single class of shares. Each issued and outstanding share of each Fund is entitled to participate equally in dividends and distributions declared by such Fund and in the net assets of such Fund upon liquidation or dissolution remaining after satisfaction of outstanding liabilities.
FOR THE SIX MONTHS ENDED YEAR ENDED DECEMBER 31, 2004 JUNE 30, 2004 ------------------------------- ------------------------------- SHARES AMOUNT SHARES AMOUNT ------------ ------------- ------------ ------------- GROWTH FUND: Issued 786,990 $ 21,903,835 2,170,262 $ 57,829,249 Reinvested 8,176 235,002 3,060 180,445 Redeemed (860,808) (23,735,511) (2,593,638) (69,212,473) ------------ ------------- ------------ ------------- Net decrease (65,642) $ (1,596,674) (420,316) $ (l1,202,779) ============ ============= ============ =============
FOR THE SIX MONTHS ENDED YEAR ENDED DECEMBER 31, 2004 JUNE 30, 2004 ------------------------------- ------------------------------- SHARES AMOUNT SHARES AMOUNT ------------ ------------- ------------ ------------- INCOME FUND: Issued 743,410 $ 19,038,284 2,606,939 $ 67,488,886 Reinvested 63,068 1,622,706 276,892 7,160,195 Redeemed (846,997) (21,713,332) (1,814,304) (47,013,296) ------------ ------------- ------------ ------------- Net increase (decrease) (40,519) $ (1,052,342) 1,069,527 $ 27,635,785 ============ ============= ============ =============
FOR THE SIX MONTHS ENDED YEAR ENDED DECEMBER 31, 2004 JUNE 30, 2004 ------------------------------- ------------------------------- SHARES AMOUNT SHARES AMOUNT ------------ ------------- ------------ ------------- BALANCED GROWTH FUND: Issued 143,894 $ 10,792,234 471,865 $ 34,471,118 Reinvested 28,492 2,163,003 51,451 3,764,861 Redeemed (203,684) (15,166,991) (485,890) (35,133,427) ------------ ------------- ------------ ------------- Net increase (decrease) (31,298) $ (2,211,754) 37,426 $ 3,102,552 ============ ============= ============ =============
FOR THE SIX MONTHS ENDED YEAR ENDED DECEMBER 31, 2004 JUNE 30, 2004 ------------------------------- ------------------------------- SHARES AMOUNT SHARES AMOUNT ------------ ------------- ------------ ------------- BALANCED INCOME FUND: Issued 197,966 $ 3,659,589 627,611 $ 11,370,210 Reinvested 53,005 983,397 113,907 2,066,329 Redeemed (471,117) (8,654,873) (891,041) (16,136,627) ------------ ------------- ------------ ------------- Net decrease (220,146) $ (4,011,887) (149,523) $ (2,700,088) ============ ============= ============ =============
28 NOTES TO FINANCIAL STATEMENTS NEW COVENANT FUNDS DECEMBER 31, 2004 (UNAUDITED) 6. RISK FACTORS The performance of a Fund's investments in non-U.S. companies and in companies operating internationally or in foreign countries will depend principally on economic conditions in their product markets, the securities markets where their securities are traded, and on currency exchange rates. These risks are present because of uncertainty in future exchange rates back into U.S. dollars and possible political instability, which could affect foreign financial markets and local economies. There are also risks related to social and economic developments abroad, as well as risks resulting from the differences between the regulations to which U.S. and foreign issuers and markets are subject. The Funds will not invest more than 15% of the value of their net assets that are illiquid because of restrictions on transferability or other reasons. Repurchase agreements with deemed maturities in excess of seven days and securities that are not registered under the Securities Act of 1933, as amended, but that may be purchased by institutional buyers pursuant to Rule 144A are subject to this 15% limit (unless such securities are variable-amount master-demand notes with maturities of nine months or less or unless the Board determines that a liquid trading market exists). The Funds may purchase securities which are not registered under the Securities Act but which can be sold to "qualified institutional buyers" in accordance with Rule 144A under the Securities Act. In some cases, such securities are classified as "illiquid securities"; however, any such security will not be considered illiquid so long as it is determined by the Advisor, under guidelines approved by the Board of Trustees, that an adequate trading market exists for that security. This investment practice could have the effect of increasing the level of illiquidity in a Fund during any period that qualified institutional buyers become uninterested in purchasing these restricted securities. The Income Fund may invest a limited amount of assets in debt securities which are rated below investment grade (hereinafter referred to as "lower-rated securities") or which are rated but deemed equivalent to those rated below investment grade by the portfolio managers. The lower the ratings of such debt securities, the greater their risks. These debt instruments generally offer a higher current yield than that available from higher-grade issues, and typically involve greater risks. The yields on high-yield/high-risk bonds will fluctuate over time. In general, prices of all bonds rise when interest rates fall and fall when interest rates rise. Lower-rated securities are subject to adverse changes in general economic conditions and to changes in the financial condition of their issuers. During periods of economic downturn or rising interest rates, issuers of these instruments may experience financial stress that could adversely affect their ability to make payments of principle and interest, and increase the possibility of default. The Balanced Funds invest their assets primarily in the Growth Fund and the Income Fund. By investing primarily in shares of these Funds, shareholders of the Balanced Funds indirectly pay a portion of the operating expenses, management expenses and brokerage costs of the underlying Funds as well as their own operating expenses. Thus, shareholders of the Balanced Funds may indirectly pay slightly higher total operating expenses and other costs than they would pay by directly owning shares of the Growth Fund and Income Fund. Total fees and expenses to be borne by investors in either Balanced Fund will depend on the portion of the Funds' assets invested in the Growth Fund and in the Income Fund. A change in the asset allocation of either Balanced Fund could increase or reduce the fees and expenses actually borne to investors in that Fund. The Balanced Funds are also subject to rebalancing risk. Rebalancing activities, while undertaken to maintain the Fund's investment risk-to-reward ratio, may cause the Fund to underperform other funds with similar investment objectives. For the Balanced Growth Fund, it is possible after rebalancing from equities into a greater percentage of fixed-income securities, that equities will outperform fixed-income investments. For the Balanced Income Fund, it is possible that after rebalancing from fixed-income securities into a greater percentage of equity securities, that fixed-income securities will outperform equity investments. The performance of the Balanced Growth Fund and the Balanced Income Fund depends on the performance of the underlying funds in which they invest. 7. PROXY VOTING POLICY A description of the policies and procedures that the Trust uses to determine how to vote proxies related to portfolio securities is available (i) without charge, upon request, by calling 800-858-6127 and (ii) on the Securities and Exchange Commission's website at http://www.sec.gov. 8. QUARTERLY HOLDINGS A portfolio holdings statement for the Funds for the quarter ended March 31, 2005, will be available, without charge, on the Securities and Exchange Commission's website at http://www.sec.gov by May 30, 2005. 9. SUBSEQUENT EVENT The Board of Trustees has approved the appointment of Mazama Capital Management, Inc. and Santa Barbara Asset Management Inc. to replace Seneca Capital Management as a sub-Advisor of the Growth Fund effective January 1, 2005. Capital Guardian Trust Company, Sound Shore Management, Inc. and Wellington Management Company, LLP remain as the other Sub-Advisors for the Fund. 29 NOTES TO FINANCIAL STATEMENTS NEW COVENANT FUNDS DECEMBER 31, 2004 (UNAUDITED) 10. ADDITIONAL FUND INFORMATION GROWTH FUND:
PERCENTAGE OF SECURITY ALLOCATION MARKET VALUE ------------------- ------------- Financials................ 17.9% Information Technology.... 15.5% Health Care............... 12.2% Consumer Discretionary.... 11.7% Foreign Stocks............ 11.4% Industrials............... 9.4% Energy.................... 5.9% Consumer Staples.......... 5.8% Telecommunications........ 3.1% Materials................. 2.8% Utilities................. 2.2% Cash Equivalents.......... 2.1% ----- Total..................... 100.0%
BALANCED GROWTH FUND:
PERCENTAGE OF SECURITY ALLOCATION MARKET VALUE ------------------- ------------- Investment Companies...... 98.4% Cash Equivalents.......... 1.6% ----- Total..................... 100.0%
INCOME FUND:
PERCENTAGE OF SECURITY ALLOCATION MARKET VALUE ------------------- ------------- Government Agency/MBS..... 39.4% Asset Backed.............. 19.5% Corporates................ 18.8% Treasuries................ 12.1% Cash...................... 9.1% Closed End................ 1.1% ----- Total..................... 100.0%
BALANCED INCOME FUND:
PERCENTAGE OF SECURITY ALLOCATION MARKET VALUE ------------------- ------------- Investment Companies...... 98.5% Cash Equivalents.......... 1.5% ----- Total..................... 100.0%
As a shareholder of the New Covenant Funds, you incur ongoing costs, including management fees; distribution fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the New Covenant Funds and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from July 1,2004 through December 31, 2004. ACTUAL EXPENSES The table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you 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 table under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period.
BEGINNING ENDING EXPENSE PAID EXPENSE RATIO ACCOUNT VALUE ACCOUNT VALUE DURING PERIOD* DURING PERIOD** 7/1/04 12/31/04 7/1/04 - 12/31/04 7/1/04 - 12/31/04 ------------- ------------- ----------------- ----------------- Growth Fund............. $ 1,000.00 $ 1,069.90 $ 5.79 1.11% Income Fund............. 1,000.00 1,037.70 4.42 0.86% Balanced Growth Fund.... 1,000.00 1,056.70 0.73 0.14% Balanced Income Fund.... 1,000.00 1,048.90 0.88 0.17%
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The table below provides information about hypothetical account values and hypothetical expenses based on each of the New Covenant Funds' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's 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 this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), or exchange fees. Therefore, the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
BEGINNING ENDING EXPENSE PAID EXPENSE RATIO ACCOUNT VALUE ACCOUNT VALUE DURING PERIOD* DURING PERIOD** 7/1/04 12/31/04 7/1/04 - 12/31/04 7/1/04 - 12/31/04 ------------- ------------- ----------------- ----------------- Growth Fund............. $ 1,000.00 $ 1,019.61 $ 5.65 1.11% Income Fund............. 1,000.00 1,020.87 4.38 0.86% Balanced Growth Fund.... 1,000.00 1,024.50 0.71 0.14% Balanced Income Fund.... 1,000.00 1,024.35 0.87 0.17%
-------------- * Expenses are equal to the average account value times the Fund's annualized expense ratio multiplied by the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year. **Annualized. 30 TRUSTEES AND OFFICERS NEW COVENANT FUNDS DECEMBER 31, 2004 (UNAUDITED) TRUSTEES AND OFFICERS OF THE NEW COVENANT FUNDS
NUMBER OF PORTFOLIOS IN OTHER POSITION(S) TERM OF OFFICE AND PRINCIPAL FUND COMPLEX TRUSTEESHIPS/ HELD WITH LENGTH OF TIME OCCUPATION(S) DURING PAST 5 OVERSEEN BY DIRECTORSHIPS HELD NAME AND AGE TRUST SERVED YEARS TRUSTEE BY TRUSTEE ---------------------- ----------- --------------- ------------------------------- ------------- ------------------ INDEPENDENT TRUSTEES Gail C. Duree Trustee Since inception Investment Consultant, 4 None Age: 58 Montview Boulevard Presbyterian Church (1994 to present); Women's Foundation of Colorado (1995 to present); Logan School (1996 to present) Rev. Donald B. Trustee Since inception Pastor, Sixth-Grace 4 None Register Presbyterian Church, Chicago, Age: 67 IL (1988 to present) John D. Stuart Trustee February 2002 Independent 4 None Age: 73 Financial Consultant INTERESTED TRUSTEES F. Kenneth Bateman President & Since inception Attorney, Gerber & Bateman, 4 None Age:64 Trustee P.A. (1999 to present); Attorney, Potter, Mills & Bateman, P.A. (1997 to 1999); Trustee, Presbyterian Church (U.S.A.) Foundation (1995 to 2001) Cynthia S. Gooch Trustee Since inception Retired; Trustee, 4 None Age: 72 Presbyterian Church (U.S.A.) Foundation (1997 to 2003) EXECUTIVE OFFICERS Dennis J. Murphy Vice November Executive Vice President and N/A N/A Age: 62 President 2001 Chief Investment Officer, Presbyterian Church (U.S.A.) Foundation and New Covenant Trust Company (2002-present); Senior Vice President and Chief Financial Officer, Presbyterian Church (U.S.A.) Foundation and New Covenant Trust Company (1982 to 2000). Anita J. Clemons Vice August 2003 Vice President and N/A N/A 200 E. Twelfth St. President Investment Officer, New Suite C Jeffersonville, Covenant Trust Company (2000 IN 47130 - present). Age: 50 Harry Harper Chief August 2004 Chief Compliance Officer, New N/A N/A 200 E. Twelfth St. Compliance Covenant Trust Company Suite C Jeffersonville, Officer (2002-present); Chief IN 47130 Compliance Officer Allegheny Age: 60 Financial Group (2000- 2002); Chief Compliance Officer Keystone Financial (1997-2000). Bryan Haft Treasurer November Vice President of Financial N/A N/A 3435 Stelzer Rd. 2004 Services, BISYS Fund Suite 1000 Services (1992 - present) Columbus, OH 43219 Age: 39 Charles J. Daly Secretary February 2004 Counsel, BISYS Fund Services N/A N/A 3435 Stelzer Rd. (November 2003-present); Suite 1000 Associate, Goodwin Proctor LLP Columbus, OH 43219 (2001 -2003) Age: 33 AlainaV. Metz Assistant February 2004 Vice President, Blue Sky N/A N/A 3435 Stelzer Rd., Secretary Compliance, BISYS Fund Services Suite 1000 (1995 - present) Columbus, OH 43219 Age: 36
31 This page intentionally left blank. 32 [NEW COVENANT FUNDS LOGO] SEMI-ANNUAL REPORT DECEMBER 31, 2004 NEW COVENANT FUNDS 200 East Twelfth Street, Suite C Jeffersonville, IN 47130 ITEM 2. CODE OF ETHICS. Disclose whether, as of the end of the period covered by the report, the registrant has adopted a code of ethics that applies to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. If the registrant has not adopted such a code of ethics, explain why it has not done so. NOT APPLICABLE - ONLY FOR ANNUAL REPORTS. The registrant must briefly describe the nature of any amendment, during the period covered by the report, to a provision of its code of ethics that applies to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics definition enumerated in paragraph (b) of this Item. The registrant must file a copy of any such amendment as an exhibit pursuant to Item 11(a)(1), unless the registrant has elected to satisfy paragraph (f) of this Item by posting its code of ethics on its website pursuant to paragraph (f)(2) of this Item, or by undertaking to provide its code of ethics to any person without charge, upon request, pursuant to paragraph (f)(3) of this Item. If the registrant has, during the period covered by the report, granted a waiver, including an implicit waiver, from a provision of the code of ethics that applies to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, that relates to one or more items set forth in paragraph (b) of this Item, the registrant must briefly describe the nature of the waiver, the name of the person to whom the waiver was granted, and the date of the waiver. During the period covered by the report, with respect to the registrant's code of ethics that applies to its principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions; there have been no amendments to, nor any waivers granted from, a provision that relates to any element of the code of ethics definition enumerated in paragraph (b) of this Item 2. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. (a) (1) Disclose that the registrant's board of directors has determined that the registrant either: (i) Has at least one audit committee financial expert serving on its audit committee; or (ii) Does not have an audit committee financial expert serving on its audit committee. (2) If the registrant provides the disclosure required by paragraph (a)(1)(i) of this Item, it must disclose the name of the audit committee financial expert and whether that person is "independent." In order to be considered "independent" for purposes of this Item, a member of an audit committee may not, other than in his or her capacity as a member of the audit committee, the board of directors, or any other board committee: (i) Accept directly or indirectly any consulting, advisory, or other compensatory fee from the issuer; or (ii) Be an "interested person" of the investment company as defined in Section 2(a)(19) of the Act (15 U.S.C. 80a- 2(a)(19)). (3) If the registrant provides the disclosure required by paragraph (a)(1)(ii) of this Item, it must explain why it does not have an audit committee financial expert. NOT APPLICABLE - ONLY FOR ANNUAL REPORTS. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. (a) Disclose, under the caption Audit Fees, the aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant's annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years. (b) Disclose, under the caption Audit-Related Fees, the aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant's financial statements and are not reported under paragraph (a) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category. (c) Disclose, under the caption Tax Fees, the aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning. Registrants shall describe the nature of the services comprising the fees disclosed under this category. (d) Disclose, under the caption All Other Fees, the aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category. (e) (1) Disclose the audit committee's pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X. (2) Disclose the percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X. (f) If greater than 50 percent, disclose the percentage of hours expended on the principal accountant's engagement to audit the registrant's financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant's full-time, permanent employees. (g) Disclose the aggregate non-audit fees billed by the registrant's accountant for services rendered to the registrant, and rendered to the registrant's investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant. (h) Disclose whether the registrant's audit committee of the board of directors has considered whether the provision of nonaudit services that were rendered to the registrant's investment adviser (not including any subadviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant's independence. NOT APPLICABLE - ONLY FOR ANNUAL REPORTS. ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS. (a) If the registrant is a listed issuer as defined in Rule 10A-3 under the Exchange Act (17CFR 240.10A-3), state whether or not the registrant has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Exchange Act (15 U.S.C. 78c(a)(58)(A)). If the registrant has such a committee, however designated, identify each committee member. If the entire board of directors is acting as the registrant's audit committee as specified in Section 3(a)(58)(B) of the Exchange Act (15 U.S.C. 78c(a)(58)(B)), so state. (b) If applicable, provide the disclosure required by Rule 10A-3(d) under the Exchange Act (17CFR 240.10A-3(d)) regarding an exemption from the listing standards for all audit committees. NOT APPLICABLE. ITEM 6. SCHEDULE OF INVESTMENTS. File Schedule I - Investments in securities of unaffiliated issuers as of the close of the reporting period as set forth in Section 210.12-12 of Regulation S-X, unless the schedule is included as part of the report to shareholders filed under Item 1 of this Form. NOT APPLICABLE. ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. A closed-end management investment company that is filing an annual report on this Form N-CSR must, unless it invests exclusively in non-voting securities, describe the policies and procedures that it uses to determine how to vote proxies relating to portfolio securities, including the procedures that the company uses when a vote presents a conflict between the interests of its shareholders, on the one hand, and those of the company's investment adviser; principal underwriter; or any affiliated person (as defined in Section 2(a)(3) of the Investment Company Act of 1940 (15 U.S.C. 80a-2(a)(3)) and the rules thereunder) of the company, its investment adviser, or its principal underwriter, on the other. Include any policies and procedures of the company's investment adviser, or any other third party, that the company uses, or that are used on the company's behalf, to determine how to vote proxies relating to portfolio securities. NOT APPLICABLE. ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. If the registrant is a closed-end management investment company that is filing an annual report on this Form N-CSR, provide the information specified in paragraphs (a) and (b) of this Item with respect to portfolio managers. NOT APPLICABLE. ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. If the registrant is a closed-end management investment company, provide the information specified in paragraph (b) of this Item with respect to any purchase made by or on behalf of the registrant or any "affiliated purchaser," as defined in Rule 10b-18(a)(3) under the Exchange Act (17 CFR 240.10b-18(a)(3)), of shares or other units of any class of the registrant's equity securities that is registered by the registrant pursuant to Section 12 of the Exchange Act (15 U.S.C. 781). NOT APPLICABLE. ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. Describe any material changes to the procedures by which shareholders may recommend nominees to the registrant's board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 7(d)(2)(ii)(G) of Schedule 14A (17 CFR 240.14a-101), or this Item. NOT APPLICABLE. ITEM 11. CONTROLS AND PROCEDURES. (a) Disclose the conclusions of the registrant's principal executive and principal financial officers, or persons performing similar functions, regarding the effectiveness of the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act (17 CFR 270.30a-3(c))) as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Exchange Act (17 CFR 240.13a-15(b) or 240.15d-15(b)). THE REGISTRANT'S PRINCIPAL EXECUTIVE OFFICER AND PRINCIPAL FINANCIAL OFFICER HAVE CONCLUDED, BASED ON THEIR EVALUATION OF THE REGISTRANT'S DISCLOSURE CONTROLS AND PROCEDURES AS CONDUCTED WITHIN 90 DAYS OF THE FILING DATE OF THIS REPORT, THAT THESE DISCLOSURE CONTROLS AND PROCEDURES ARE ADEQUATELY DESIGNED AND ARE OPERATING EFFECTIVELY TO ENSURE THAT INFORMATION REQUIRED TO BE DISCLOSED BY THE REGISTRANT ON FORM N-CSR IS (I) ACCUMULATED AND COMMUNICATED TO THE INVESTMENT COMPANY'S MANAGEMENT, INCLUDING ITS CERTIFYING OFFICERS, TO ALLOW TIMELY DECISIONS REGARDING REQUIRED DISCLOSURE; AND (II) RECORDED, PROCESSED, SUMMARIZED AND REPORTED WITHIN THE TIME PERIODS SPECIFIED IN THE SECURITIES AND EXCHANGE COMMISSION'S RULES AND FORMS. (b) Disclose any change in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d)) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting. THERE WERE NO CHANGES IN THE REGISTRANT'S INTERNAL CONTROL OVER FINANCIAL REPORTING THAT OCCURRED DURING THE SECOND FISCAL QUARTER OF THE PERIOD COVERED BY THIS REPORT THAT HAVE MATERIALLY AFFECTED OR ARE REASONABLY LIKELY TO MATERIALLY AFFECT, THE REGISTRANT'S INTERNAL CONTROL OVER FINANCIAL REPORTING. ITEM 12. EXHIBITS. (a) File the exhibits listed below as part of this Form. Letter or number the exhibits in the sequence indicated. (a)(1) Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit. NOT APPLICABLE - ONLY EFFECTIVE FOR ANNUAL REPORTS. (a)(2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2). CERTIFICATIONS PURSUANT TO RULE 30a-2(a) ARE ATTACHED HERETO. (a)(3) Any written solicitation to purchase securities under Rule 23c-1 under the Act (17 CFR 270.23c-1) sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons. NOT APPLICABLE. (b) If the report is filed under Section 13(a) or 15(d) of the Exchange Act, provide the certifications required by rule 30a-2(b) under the Act as an exhibit. A certification furnished pursuant to this paragraph will not be deemed "filed" for purposes of Section 18 of the Exchange Act, or otherwise subject to the liability of that section. Such certification will not be deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Exchange Act, except to the extent that the registrant incorporates it by reference. CERTIFICATIONS PURSUANT TO RULE 30a-2(b) ARE FURNISHED HEREWITH. 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. (Registrant) New Covenant Funds -------------------------------- By (Signature and Title)* /s/ Bryan Haft -------------------------------------- Bryan Haft, Treasurer Date March 7, 2005 ---------------------------- 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 (Signature and Title)* /s/ Bryan Haft -------------------------------- Bryan Haft, Treasurer Date March 7, 2005 ---------------------------- By (Signature and Title)* /s/ Robert E. Leech ------------------------------------- Robert E. Leech, President Date March 7, 2005 ---------------------------- * Print the name and title of each signing officer under his or her signature.