New Covenant Funds

New Covenant Funds

/s/ Robert A. Nesher

Robert A. Nesher

President & CEO

The Trust files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The Trust’s Form N-PORT reports are available on the Commission’s website at http://www.sec.gov.

A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to portfolio securities, as well as information relating to how a Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, is available (i) without charge, upon request, by calling 1-877-835-4531; and (ii) on the Commission’s website at http://www.sec.gov.

The fiscal year ending June 30, 2020 began with strong returns in the equity markets over the final half of 2019. After hitting all-time highs in February, concerns about the international spread of a novel coronavirus (COVID-19) dominated investor concerns, and by the end of March most equity indexes had fallen into bear-market territory. Plans to reopen economic activity and developments in the race for COVID-19 treatments encouraged investors in April and May; global financial markets rallied sharply amid renewed “risk-on” sentiment but still finished below their peaks from earlier in the year. Despite tension around a U.S.-China trade deal and ongoing Brexit concerns in late 2019, the lingering effects of COVID-19 demanded plenty of attention from investors.

The Federal Reserve (Fed) cut interest rates three times prior to March. The Fed’s accommodative turn in monetary policy midway through the reporting period included an early conclusion in August to its balance-sheet reduction program that came amid below-target inflation and uncertainty about trade developments. Two off-cycle moves in the final month brought the federal-funds rate to near zero and were designed to bolster the economy in response to the economic threat posed by the coronavirus outbreak; the emergency actions were the first since the global financial crisis. Additionally, the Fed committed to purchasing unlimited amounts of Treasurys and established or renewed multiple facilities designed to support the economy.

The European Central Bank (ECB) sought to provide fresh stimulus following its mid-September meeting by reducing its deposit rate from -0.40% to a record low of -0.50%—and adopting a new system to offset possible consequent bank-reserve losses. Christine Lagarde succeeded Mario Draghi as ECB President in November. The ECB restarted its asset-purchase program in November with a monthly pace of €20 billion and stated it intends to continue to fully reinvest the principal payments from maturing securities purchased under the program. In response to COVID-19, the ECB announced a new quantitative easing (QE) package in March—the Pandemic Emergency Purchase Programme—amounting to €750 billion, which should bring total QE-related asset purchases to more than €1.3 trillion in 2020.

The Japanese yen, typically viewed as a “safe-haven” asset in “risk-off” environments, finished the period 0.2% higher against the U.S. dollar, while the Bank of Japan held monetary policy stable and signaled it did not intend to raise rates before 2023. The Chinese yuan finished the fiscal year down 3.0% against the U.S. dollar as trade-related tensions initially drove the exchange rate to an 11-year low in September. The currency rebounded some after confidence grew that a limited U.S.-China trade agreement would be reached but faltered again as COVID-19 worries grew early in 2020.

West Texas Intermediate crude-oil prices stayed mostly range-bound over the first half of the reporting period. From January onward, the commodity became a victim of an oil-production impasse between Saudi Arabia and Russia and travel restrictions that sapped usage due to the coronavirus pandemic. Between the high toward the end of 2019 and the April lows, crude-oil prices fell over 80%. Record supply cuts and a pickup in global fuel demand toward the end of the reporting period helped drive a partial price recovery, and oil finished down about 32% for the 12-month period.

Market volatility accelerated in the first quarter of 2020 following concerns about COVID-19 and its eventual economic effect: A deadly strain originated in Wuhan, China, and began spreading at an exponential pace. As the outbreak spread to other countries, governments issued stay-at-home orders, and public health leaders preached “social distancing” in order to “flatten the curve” (that is, slow the rate of transmission in order to provide health systems time to manage the viral outbreak). Beyond the threat to public health, the outbreak and resulting containment measures evoked concerns about the potential halt to global economic activity. April saw the official infection rate more than triple to over three-million cases worldwide, while in the U.S., the total recorded number of COVID-19-related deaths neared 130,000 by late June—out of about 500,000 total worldwide. Nevertheless, stocks advanced globally almost without exception over the last three months of the period as forward-looking investors attempted to spot sources of encouragement.

The United States-Mexico-Canada trade agreement was ratified by all three countries in December and officially replaced the North American Free Trade Agreement just after the reporting period ended on July 1. President Trump and France’s President Emmanuel Macron successfully walked back threats of tariffs that originated with French

plans for a digital tax that would have targeted US-based multi-national technology companies. The prospect of a digital tax re-surfaced in other countries—including the U.K., Italy, Austria and Turkey—which prompted more threats of retailiatory tariffs by Treasury Secretary Steven Mnuchin. Sajid Javid, the UK’s former Chancellor of the Exchequer, disappointed Secretary Mnuchin by explaining during a joint interview in late January at the World Economic Forum that the U.K. would prioritize trade negotiations with the EU over a deal with the U.S.

China and the U.S. formalized a “phase one” trade deal in mid-January that offered tariff relief to China (via the reduction of existing tariffs and the delay of additional scheduled tariffs). In exchange, China committed to purchasing $200 billion in U.S. products over a two-year period; addressing its long-standing practice of forcing the transfer of intellectual property and technology to Chinese counterparts in exchange for access to the Chinese market; and promising to continue opening its financial-services industry to foreign investors. The tense U.S.-China relationship was stressed in May by a U.S. push for more transparency in the ownership of U.S.-listed Chinese companies and the U.S. government’s barring of certain Chinese holdings from its retirement plans.

President Trump’s impeachment trial ended with an acquittal by the U.S. Senate in February—even as the U.S. media surfaced corroborating first-hand accounts of President Trump directing underlying events central to the articles of impeachment. The Democratic presidential primary process neared completion with Joe Biden, considered to represent the more moderate wing of the Democratic Party, as the likely nominee.

Boris Johnson succeeded Theresa May as prime minister in the U.K. early in the fiscal year but faced sharp resistance from the outset of his tenure; however, the UK’s Conservative Party consolidated its power in a mid-December election—winning a majority of seats in the House of Commons and gaining approval for Prime Minister Boris Johnson’s EU departure deal. The country officially left the EU at the end of January 2020, giving way to an 11-month transition period to negotiate terms of the future U.K.-EU relationship. Johnson emerged from his personal battle with COVID-19 in April, having been hospitalized in intensive care and temporarily deputizing Foreign Secretary Dominic Raab to fulfil his role while incapacitated.

Elsewhere, after months of demonstrations, protesters in Hong Kong saw some success when a proposed law that would have allowed for extradition to mainland China was withdrawn. Protests continued, however, amid a reported increase in China’s police presence and undercover activity, although coronavirus concerns put an end to most large-scale demonstrations. China passed a new national security law for Hong Kong in June, categorizing an array of subversive activities as criminal behavior and carrying sentences as steep as life imprisonment. The ruling also enables Beijing to supervise and intervene in the policing of these activities, as well as the final word on interpreting the law, marking a significant dilution of the “one country, two systems” governance ethos that has defined the relationship since the U.K.’s handoff of Hong Kong to China in 1997.

The U.S. economy grew by a seasonally-adjusted annualized 2.0% in the second quarter of 2019 as a decline in exports and inventory builds countered robust consumer spending. The third quarter saw a slight increase in annualized growth at 2.1%, as the robust U.S. labor market helped to support the moderate pace of activity, allowing the 10-year expansion to continue despite decelerating global trends. Economic growth again registered 2.1% in the fourth quarter, driven by an increase in net trade but weakened by a sharp slowdown in consumer spending. The third estimate for gross domestic product (GDP) in the first quarter of 2020 saw a decline of 5.0%, the largest decline since the global financial crisis. GDPNow, not an official forecast but a model of real GDP growth by the Federal Reserve Bank of Atlanta, estimated an almost 35% drop for the second quarter at the end of the reporting period. The abrupt halt to the 10-year economic expansion came amid mandated lockdowns throughout most of the country.

The U.S. unemployment rate touched a 50-year low of 3.5% during the fiscal year before jumping as high as 14.7% in April and settling at 11.1% in the final reading; the number of Americans filing for initial unemployment benefits hit record numbers as many non-essential businesses were forced to close in the wake of the pandemic. The labor-force participation rate ended at 61.5%, down from 63.0% a year earlier. Average hourly earnings gained 5.0% over the year, as the increase in unemployment tended to hit lower-wage workers hardest.

Broad economic growth in the eurozone slowed to its weakest pace since records began in 1995 during the first quarter of 2020; the 14.4% annualized decline far exceeded that in the U.S. as measures imposed to limit the spread

of COVID-19 reflected the closing of everything from restaurants to factories. The magnitude and speed of the contraction solidified the case for continued accommodative policy by the ECB for some time.

The Bank of England’s Monetary Policy Committee cut the Bank Rate to 0.1%, the lowest in the 325-year history of its lending rate, during the fiscal year. It also announced a £200 billion asset-purchase program, mostly of government bonds, to be conducted at a monthly pace that will eclipse previous rounds of QE. Additionally, it launched a so-called funding-for-lending scheme to spur banks to lend to small- and medium-sized enterprises as well as a commercial paper facility with no cap limit, both to be financed by central-bank reserves. Following its mid-June meeting, the central bank announced that it would expand its stock of asset purchases (from an initial £200 billion increase announced in March) by another £100 billion, to £745 billion. The U.K. economy shrank 1.6% seasonally-adjusted at annual rates through the first quarter of 2020, its weakest level in over 10 years.

Japanese GDP contracted 7.1% in seasonally-adjusted annualized terms in the fourth quarter of 2019 as the country’s sales tax hike weakened consumer and business spending; an additional 2.2% decline in the first quarter of 2020 confirmed that Japan had fallen into recession for the first time in over four years. The Bank of Japan expanded monetary stimulus as pandemic pain worsened late in the period. Meanwhile, GDP in China shrank by 6.8% year-on-year and seasonally-adjusted in the first quarter of 2020, its worst pace in several decades, as consumer spending, exports and fixed-asset investments all were affected by the lockdowns in January and early February.

The S&P 500 Index finished the fiscal year up 7.51%, despite falling over 30% from peak to trough in February and March. Prior to the coronavirus onset, investors enjoyed the continuation of the modest U.S. economic expansion, reasonably strong corporate profitability and accommodative Fed monetary policy. Over the full reporting period, mega-large-cap stocks, a narrow group of companies with unusually large weights in the broad equity index, outperformed, and growth companies in the information technology sector generally led, while many value stocks underperformed. Commodity-sensitive stocks, particularly those within the energy sector, lagged the most.

U.S. large-cap stocks (Russell 1000 Index) finished the reporting period up 7.48%; small-cap stocks (Russell 2000 Index) were hit harder in the coronavirus-driven selloff toward the end of the year, as investors tended to avoid smaller companies with lesser financial strength, and finished the period down 6.63%.

Despite continued accommodative monetary policy from the ECB, European equities lagged, as fears over trade wars and COVID-19 grew. The MSCI Europe Index (Net) fell 6.78% in U.S. dollar terms and was 5.71% lower in euros; the euro finished down 1.14% versus the U.S. dollar for the period. The MSCI ACWI Index (Net), a proxy for global equities in both developed and emerging markets, climbed 2.11% in U.S. dollar terms.

The FTSE UK Series All-Share Index was hit hard in the second half of the year; the index lost 15.55% in U.S. dollar terms over the full reporting period, while it fell 12.99% in sterling.

Emerging-market equities were down. Despite gaining 18.08% in the final quarter, the MSCI Emerging Markets Index (Net) finished the reporting period down 3.39% in U.S. dollar terms. U.S.-China trade news generally drove performance for the first six months; however, a mid-period rally after the U.S. and China agreed to a “phase-one” trade deal was wiped out after COVID-19 concerns accelerated.

Global government bonds outperformed global high-yield bonds as the rapid worldwide escalation of COVID-19 at the end of the period hit the bond market’s most economically sensitive sectors the hardest. The U.S. high-yield market, as measured by the ICE BofA US High Yield Constrained Index, was off 1.17% during the reporting period, while global fixed income, as measured by the Bloomberg Barclays Global Treasury Index, did better and climbed 3.75%.

A continuing theme for U.S. fixed-income markets was the inverted yield curve. In August, the spread between

2-year and 5-year Treasurys yields inverted, as did the spread between 3-year and 5-year Treasurys. Notably, the spread between 3-month and 10-year rates inverted for only the second time in about 12 years early in the reporting period, a signal of impending recession to some market watchers. The differential reverted in October, turned negative again for a short time in February, and then stayed in positive territory from March onward.

Yields for 10-year U.S. government bonds ended the period down 134 basis points at 0.66%, after hitting an all-time low of 0.54% in March as investors rushed to “safe-haven” securities; 2-year yields declined during the fiscal year to finish down 159 basis points at 0.16%.

Inflation-sensitive assets, such as commodities and Treasury inflation-protected securities, were mixed. The Bloomberg Commodity Total Return Index (which represents the broad commodity market) finished down 17.38% over the full one-year period, after an oil-production impasse between Saudi Arabia and Russia created a downdraft in the oil market around the same time that demand contracted due to the coronavirus pandemic; the Bloomberg Barclays 1-10 Year US TIPS Index (USD) moved 5.75% higher during the reporting period.

U.S. investment-grade corporate debt was higher; the Bloomberg Barclays US Corporate Investment Grade Index returned 9.50% as investors remained eager to buy higher-yielding securities. U.S. asset- and mortgage-backed securities also managed to rise during the fiscal year.

Despite coronavirus concerns and the steep drop in global oil prices, which led to a declining outlook for economic growth in the region, the J.P. Morgan Global Bond Index-Emerging Markets (GBI-EM) Global Diversified Index, which tracks local-currency-denominated EM bonds, declined 2.82% in U.S. dollar terms. The J.P. Morgan Emerging Markets Bond Index (EMBI) Global Diversified Index, which tracks EMD denominated in external currencies (such as the U.S. dollar), eked out a 0.49% gain for the fiscal year.

Despite mounting infections, hospitalizations and deaths from the pandemic—as well as the unprecedented stoppage of global economic activity—stock markets around the world managed to mount a resounding comeback over the final quarter of the fiscal year.

Our working assumption is that there will likely be another significant wave of infections going into the fall-to-winter flu season. The question is, how disruptive will it be to the global economy?

Investors seem to be ignoring the possibility that, even if a sustainable recovery gets under way, it may be a long time before most companies achieve previous levels of profitability. The after-tax profit margins of U.S. domestic businesses were already on a declining trend before the onset of the virus and shelter-in-place orders.

Margins will likely remain well below their previous peaks around the globe as long as the COVID-19 is a severe health threat. Most businesses, to one degree or another, are expected to endure lower sales, higher costs and a decline in productivity. There also will probably be a deadweight loss for industries needing extra inventory on hand in order to guard against future shortages and supply-chain disruptions caused by periodic flare-ups of the virus. “Just-in-time” inventory management will turn into “just-in-case” inventory management, tying up cash. Supply chains will likely be diversified over time, a process that was already under way as a result of the trade war between China and the US.

The extraordinary March-to-April lockdown in the U.S. necessitated fiscal measures unparalleled in scope and speed of implementation. The result has been a tsunami of red ink. The Congressional Budget Office projected the deficit will reach nearly 18% of U.S. gross domestic product (GDP) in 2020 and improve to only 10% of GDP in 2021. U.S. debt relative to GDP is forecast to rise to 108% by the end of fiscal year 2021 versus 79% at the end of fiscal year 2019.

These are unsettling numbers. Many investors wonder whether such a surge in government debt will provoke an economic crisis even after the pandemic runs its course. We don’t think that it will. The U.S. has a large, dynamic economy and deep capital markets. If investors were truly concerned about the long-run fiscal viability of the U.S., the value of its currency would have been falling more convincingly and long-term U.S. interest rates would have been going up (not down).

The policies pursued by the Fed have also served to keep interest rates low. Its balance sheet has ballooned this year, far exceeding the increases logged by the ECB or the BOJ.

The U.S. certainly is not alone in engaging in a huge fiscal response that is then monetized by the central bank. In our opinion, governments are treating the fight against COVID-19 like they would a war. As many resources as possible are being thrown into the fight, supported by debt issuance that is absorbed primarily by the central banks.

Those who remember the 1970s are understandably worried by the inflationary potential of such extraordinary debt monetization. If it does lead to inflation, it probably won’t be any time soon, in our opinion. Given our view that the economy will remain below full utilization of labor or productive capacity for the next few years, we believe inflation is unlikely to break out of the 0%-to-3% range it has been in for much of the past decade.

Investors do not seem too concerned about the speed of Europe’s economic recovery or the impact of the health crisis on countries’ fiscal positions. The bond yields of the most economically-fragile European countries remain close to those of German bund yields, although spreads have widened from pre-pandemic levels. The ECB has been quite successful in short-circuiting the liquidity crisis and flight-to-safety that threatened the euro area’s financial structure.

This laid-back view would be severely challenged if the 27 members of the EU fail to approve a €750 billion emergency fund when the EU’s leaders meet again in July. Although Germany has joined forces with France to push the package forward, there is still resistance from the likes of the Netherlands, Sweden, Denmark and Austria. There is disagreement, for example, over the split between grants and loans. Italy and Spain would be the biggest beneficiaries of grants to help offset their current fiscal dilemmas, while the remainder of the package would be distributed as conditional loans. Paying for the grants is an even greater source of contention. The European Commission (EC) would be empowered to issue long-term bonds, which would be paid down by giving the EC taxation authority (a power it currently does not have). The only alternative would be to increase contributions from member states (a bigger problem now that the U.K. is leaving the EU) or enact spending cuts in other parts of the EU budget.

Speaking of the U.K., the COVID-19 crisis has pushed Brexit concerns off the front pages. As the 31 December transition deadline nears, it could become an economic factor nearly as important as a second wave of the virus. If a deal on the UK-EU trading relationship is to be delivered before year-end, it probably should be concluded by the end of October so that countries have time to approve the treaty into law. Any free-trade agreement would require the U.K. to agree to permanently align its rules and regulations to those of the EU on an array of matters. The U.K. would essentially bear much of the EU membership cost without having a voice at the table that sets the rules. It is becoming increasingly likely that there either will be a modest agreement that includes tariffs or, in the worst-case scenario, a no-deal result that falls back on the World Trade Organization’s most-favored-nation rules.

While many factors determine equity performance, in the emerging-market space it has correlated with the extent of economic disruption caused by the virus. Asian and central European countries have pulled back the most on their mandates to restrict movement and social interaction. Latin America and India have eased some of those constraints, but not nearly as much as the other two regions. We continue to keep close tabs on China, as it was the first to lock down and first to unlock activity. We expect recovery patterns elsewhere in the world to follow that of China.

Central banks in the emerging world are also doing their part to help restore their economies. Interest rates have come down in almost every country in recent months to record-low levels in many cases. In addition, a dozen emerging-country central banks—including those with shakier reputations, such as South Africa and Turkey—are either buying or planning to purchase their government’s debt. We think this debt-monetization may lead to an inflation problem in the future.

It’s been said many times that bull markets climb a wall of worry. Maybe now they must learn to swim through waves of worry that include:

We believe that an ebb and flow of assorted concerns in the coming months will continue to spark volatility across financial markets. Such periods of instability are expected in any long-term investing plan; as such, SEI is just as prepared as always to navigate the current wave of deep uncertainty.

I. Objective

The New Covenant Growth Fund’s (the “Fund”) investment objective is long-term capital appreciation. A modest amount of dividend income may be provided by the Fund’s equity securities.

II. Investment Approach

The Fund uses a sub-adviser to manage the Fund under the supervision of SEI Investments Management Corporation (SIMC). The sole sub-adviser as of June 30, 2020, was Parametric Portfolio Associates LLC (Parametric). There were no sub-adviser changes during the fiscal period.

III. Return vs. Benchmark

For the one-year period ending June 30, 2020, the Fund returned 7.18%. In order to provide broader exposure to U.S. equity markets, the Fund changed its investment strategy during the reporting period. In connection with this strategy change, the Fund’s primary benchmark was changed from the Russell 1000^® Index to the Russell 3000^® Index, effective December 18, 2019. The Russell 1000^® Index returned 9.19% for the period from July

1, 2019 through December 18, 2019, while the Russell 3000^® Index returned -2.29% for the period from December 18, 2019 through June 30, 2020. Over the full fiscal year, the Russell 3000^® Index returned 6.53%.

IV. Fund Attribution

The fiscal year ended up producing positive returns for equity investors after a year full of volatility as investors struggled to account for the economic effects of the COVID-19 pandemic. While the initial reaction to the virus in March 2020 resulted in a sharp drop in equities, markets recovered most of the losses over the next three months as monetary and fiscal stimulus actions taken by the U.S. government to help the economy were viewed positively by investors.

Information technology and consumer discretionary were the best-performing sectors during the full fiscal year. Both sectors especially benefited over the final quarter of the period as investors perceived them to provide a solution to the problems caused by the pandemic. Information technology led as a large portion of the domestic workforce began working from home during the lockdowns; consumer discretionary also outperformed as the sector benefited from stay-at-home orders and an increase in online shopping. Energy was the worst-performing sector as global fossil-fuel consumption plummeted due to a sharp

decrease in global travel as the virus spread; financials also underperformed as lower rates impacted the profit margins of banks.

In this environment, the Fund outperformed as its ESG tilt had a positive effect on performance. Sectors that held up better in the downturn—such as information technology, health care and consumer staples—typically were not prohibited by the Fund’s ESG guidelines; as a result, the Fund was overweight those names during the period. Underweights to real estate and industrials—as a result of their ESG screens—were also beneficial as both sectors underperformed due to the effects of the pandemic.



AVERAGE ANNUAL TOTAL RETURN ¹
	One Year Return		Annualized 3 Year Return		Annualized 5 Year Return		Annualized 10 Year Return		Annualized Inception to Date
New Covenant Growth Fund		7.18%		9.65%		8.45%		11.71%		4.86%
Russell 3000^® Index		6.53%		10.04%		10.03%		13.72%		11.68%
Russell 1000^® Index		7.48%		10.64%		10.47%		13.97%		11.76%

I. Objective

The New Covenant Income Fund’s (the “Fund”) investment objective is a high level of current income with preservation of capital.

II. Investment Approach

The Fund uses a multi-manager approach, relying on a number of sub-advisers with different investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (SIMC). The Fund utilized the following sub-advisers as of June 30, 2020: Income Research & Management, Western Asset Management Company and Western Asset Management Company Limited. There were no sub-adviser changes during the fiscal period.

III. Return vs. Benchmark

For the one-year period ending June 30, 2020, the Fund returned 5.91%. The Fund’s primary benchmark—the Bloomberg Barclays Intermediate US Aggregate Bond Index—returned 6.60%.

IV. Fund Attribution

An escalation of trade tensions between the U.S. and China early in the fiscal year created uncertainty in the market. Soon after the signing of a “phase one” trade deal in January appeared to calm investor concerns, market volatility escalated as the COVID-19 virus began to spread rapidly from China around the globe, resulting in a global pandemic. As noted in the shareholder letter, governments induced economic shutdowns and shelter-in-place orders, caused a severe contraction of economic activity. The Federal Reserve (Fed) lowered rates three times in 25-basis-point increments prior to the virus outbreak; the central bank then helped support markets as the virus impact magnified, with two emergency meetings in March that lowered the federal-funds target rate by 150 basis points to 0-0.25%. Credit spreads narrowed through the reporting period before widening dramatically in March to nearly 375 basis points, although spreads retraced over three quarters of the widening by the end of the reporting period. All non-Treasury sectors suffered losses during the March selloff. For the fiscal year, only agency mortgage-backed securities (MBS) and asset-backed securities (ABS) produced positive excess returns. As a result of Fed action and the flight to safety, Treasury yields declined sharply throughout the year, with 2-year yields declining 160 basis points, 10-year yields falling 135 basis points and 30-year yields off 112 basis points.

With the sharp decline in overall yields during the reporting period, the Fund’s absolute returns were strong, although it underperformed its primary benchmark. An overweight to and selection within commercial mortgage-backed securities (CMBS) detracted as economic concerns developed late in the period. Security selection within student loans also detracted, while selection within agency MBS through specified pools added to relative performance. An overweight to investment-grade corporates enhanced performance, especially within financials and industrials. An overweight to ABS was positive. The Fund’s yield-curve posture, which oscillated between long and short during the period, contributed to relative outperformance.

Western Asset Management outperformed primarily due to its corporate overweight, as well as strong selection within agency MBS through specified pools. Income Research & Management underperformed the benchmark and was hurt by its overweight to CMBS; selection within financials contributed to performance.

The Fund used Treasury futures, eurodollar futures and to-be-announced (TBA) forward contracts to effectively manage duration (a measure of a bond’s price sensitivity to changes in interest rates), yield-curve and market exposures. (TBA contracts confer the obligation to buy or sell future debt obligations of the three U.S. government-sponsored agencies that issue or guarantee MBS—Fannie Mae, Freddie Mac and Ginnie Mae.) None of these had a meaningful impact on the Fund’s performance.


AVERAGE ANNUAL TOTAL RETURN ¹
	One Year Return		Annualized 3 Year Return		Annualized 5 Year Return		Annualized 10 Year Return		Annualized Inception to Date
New Covenant Income Fund		5.91%		3.90%		3.18%		2.95%		3.63%
Bloomberg Barclays U.S. Intermediate Aggregate Bond Index		6.60%		4.28%		3.40%		3.14%		7.09%

I. Objective

The Balanced Growth Fund’s (the “Fund”) investment objective is to produce capital appreciation with less risk than would be present in a portfolio of only common stocks.

II. Investment Approach

The Fund’s assets are managed under the direction of SEI Investments Management Corporation (“SIMC”), which manages the Fund’s assets in a way that it believes will achieve the Fund’s investment objective. In order to achieve its investment objective, SIMC allocates the Fund’s assets primarily in shares of the New Covenant Growth Fund (the “Growth Fund”) and the New Covenant Income Fund (the “Income Fund”), with a majority of its assets generally invested in shares of the Growth Fund. Between 45% and 75% of the Fund’s net assets (with a neutral position of approximately 60% of the Fund’s net assets) are invested in shares of the Growth Fund, with the balance of its assets invested in shares of the Income Fund. The Growth and Income Funds, in turn, invest directly in securities in accordance with their own varying investment objectives and policies.

III. Return vs. Benchmark

For the one-year period ending June 30, 2020, the Fund returned 7.57%. During the fiscal year, the Fund’s primary benchmark was changed from the Russell 1000^® Index to the Russell 3000^® Index, effective January 24, 2020. The Russell 1000^® Index returned 13.02% for the period from July 1, 2019 through January, 24, 2020, while the Russell 3000^® Index returned -5.40% for the period from January, 24, 2020 through June 30, 2020. Over the full fiscal year, the Russell 3000^® Index returned 6.53%.

IV. Fund Attribution

Equity and fixed-income markets both provided positive returns over the fiscal period after a year full of volatility as investors struggled to account for the economic effects of the COVID-19 pandemic and U.S. long-term interest rates declined.

outperformed as the sector benefited from stay-at-home orders and an increase in online shopping. Energy was the worst-performing sector as global fossil-fuel consumption plummeted due to a sharp decrease in global travel; financials also underperformed as lower rates impacted the profit margins of banks.

As noted in the shareholder letter, governments induced economic shutdowns and shelter-in-place orders, caused a severe contraction of economic activity. The Federal Reserve (Fed) lowered rates three times in 25-basis-point increments prior to the virus outbreak; the central bank then helped support markets as the virus impact magnified, with two emergency meetings in March that lowered the federal-funds target rate by 150 basis points to 0-0.25%. Credit spreads narrowed through the reporting period before widening dramatically in March to nearly 375 basis points, although spreads retraced over three quarters of the widening by the end of the reporting period. All non-Treasury sectors suffered losses during the March selloff. For the fiscal year, only agency mortgage-backed securities (MBS) and asset-backed securities (ABS) produced positive excess returns. As a result of Fed action and the flight to safety, Treasury yields declined sharply throughout the year, with 2-year yields declining 160 basis points, 10-year yields falling 135 basis points and 30-year yields off 112 basis points.

In the Growth Fund, outperformance was driven by its environmental, social and governance (ESG) tilt, which had a positive effect on performance. Sectors that held up better in the downturn—such as information technology, health care and consumer staples—typically were not prohibited by the Fund’s ESG guidelines; as a result, the Fund was overweight those names during the period. Underweights to real estate and industrials—as a result of their ESG screens—were also beneficial as both sectors underperformed due to the effects of the pandemic.

With the sharp decline in overall yields during the reporting period, the Income Fund’s absolute returns were strong, although it underperformed its primary benchmark. An overweight to and selection within commercial mortgage-backed securities (CMBS) detracted as economic concerns developed late in the period. Security selection within student loans also detracted, while selection within agency MBS through specified pools added to relative performance. An overweight to investment-grade corporates enhanced performance, especially within financials and industrials. An overweight to ABS was positive. The Fund’s yield-curve posture, which oscillated between long

and short during the period, contributed to relative outperformance.

The Income Fund used Treasury futures, eurodollar futures and to-be-announced (TBA) forward contracts to effectively manage duration (a measure of a bond’s price sensitivity to changes in interest rates), yield-curve and market exposures. (TBA contracts confer the obligation to buy or sell future debt obligations of the three U.S. government-sponsored agencies that issue or guarantee MBS—Fannie Mae, Freddie Mac and Ginnie Mae.) None of these had a meaningful impact on the Fund’s performance.


AVERAGE ANNUAL TOTAL RETURN ^1,2

	One Year Return		Annualized 3 Year Return		Annualized 5 Year Return		Annualized 10 Year Return		Annualized Inception to Date
New Covenant Balanced Growth Fund		7.57%		7.71%		6.58%		8.34%		5.33%
Russell 3000^® Index		6.53%		10.04%		10.03%		13.72%		11.68%
Russell 1000^® Index		7.48%		10.64%		10.47%		13.97%		11.76%
Bloomberg Barclays U.S. Intermediate Aggregate Bond Index		6.60%		4.28%		3.40%		3.14%		7.09%
Blended 60% Russell 3000^® Index/40% Bloomberg Barclays U.S. Intermediate Aggregate Bond Index		7.22%		8.13%		7.65%		9.64%		5.98%
Blended 60% Russell 1000^® Index/40% Bloomberg Barclays U.S. Intermediate Aggregate Bond Index		7.69%		8.44%		7.89%		9.77%		8.77%

Comparison of Change in the Value of a $10,000 Investment in the New Covenant Balanced Growth Fund versus the Russell 3000^® Index, the Russell 1000^® Index, Bloomberg Barclays U.S. Intermediate Aggregate Bond Index , Blended 60% Russell 3000^® Index/40% Bloomberg Barclays U.S. Intermediate Aggregate Bond Index and Blended 60% Russell 1000^® Index/40% Bloomberg Barclays U.S. Intermediate Aggregate Bond Index.

LOGO

For the periods ended June 30, 2020. Past performance is not an indication of future performance. Fund Shares were offered beginning 7/1/99. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that year; absent fee waivers and reimbursements, performance would have been lower.

This table compares the Fund’s average annual total returns to those of a broad based index and the Fund’s 60/40 Blended Benchmark, which consists of the Russell 3000^® Index and the Bloomberg Barclays U.S. Intermediate Aggregate Bond Index. The Fund’s Blended Benchmark is designed to provide a useful comparison to the Fund’s overall performance and more accurately reflects the Fund’s investment strategy than the broad-based index.

I. Objective

The Balanced Income Fund’s (the “Fund”) investment objective is to produce current income and long-term growth of capital.

II. Investment Approach

The Fund’s assets are managed under the direction of SEI Investments Management Corporation (“SIMC”), which manages the Fund’s assets in a way that it believes will achieve the Fund’s investment objective. In order to achieve its investment objective, SIMC allocates the Fund’s assets primarily in shares of the New Covenant Growth Fund (the “Growth Fund”) and the New Covenant Income Fund (the “Income Fund”), with a majority of its assets generally invested in shares of the Income Fund. Between fifty percent and seventy-five percent of the Fund’s net assets (with a neutral position of approximately 65%) are invested in shares of the Income Fund, with the balance of its net assets invested in shares of the Growth Fund. The Growth and Income Funds, in turn, invest directly in securities in accordance with their own varying investment objectives and policies.

III. Return vs. Benchmark

For the one-year period ending June 30, 2020, the Fund returned 7.14%. During the fiscal year, the Fund’s primary benchmark was changed from the Russell 1000^® Index to the Russell 3000^® Index, effective January 24, 2020. The Russell 1000^® Index returned 13.02% for the period from July 1, 2019 through January, 24, 2020, while the Russell 3000^® Index return -5.40% for the period from January, 24, 2020 through June 30, 2020. Over the full fiscal year, the Russell 3000^® Index returned 6.53%.

IV. Fund Attribution

the reporting period before widening dramatically in March to nearly 375 basis points, although spreads retraced over three quarters of the widening by the end of the reporting period. All non-Treasury sectors suffered losses during the March selloff. For the fiscal year, only agency mortgage-backed securities (MBS) and asset-backed securities (ABS) produced positive excess returns. As a result of Fed action and the flight to safety, Treasury yields declined sharply throughout the year, with 2-year yields declining 160 basis points, 10-year yields falling 135 basis points and 30-year yields off 112 basis points.

While the initial reaction to the virus in March 2020 resulted in a sharp drop in equities, markets recovered most of the losses over the next three months as monetary and fiscal stimulus actions taken by the U.S. government to help the economy were viewed positively by investors.

The best-performing sectors during the year were those that investors perceived to provide a solution to the problems caused by the pandemic. Information technology led as a large portion of the domestic workforce began working from home during the lockdowns; consumer discretionary also outperformed as the sector benefited from stay-at-home orders and an increase in online shopping. Energy was the worst-performing sector as global fossil-fuel consumption plummeted due to a sharp decrease in global travel; financials also underperformed as lower rates impacted the profit margins of banks.

were not prohibited by the Fund’s ESG guidelines; as a result, the Fund was overweight those names during the period. Underweights to real estate and industrials—as a result of their ESG screens—were also beneficial as both sectors underperformed due to the effects of the pandemic.


AVERAGE ANNUAL TOTAL RETURN ^1,2

	One Year Return		Annualized 3 Year Return		Annualized 5 Year Return		Annualized 10 Year Return		Annualized Inception to Date
New Covenant Balanced Income Fund		7.14%		6.15%		5.18%		6.06%		4.17%
Russell 3000^® Index		6.53%		10.04%		10.03%		13.72%		11.68%
Russell 1000^® Index		7.48%		10.64%		10.47%		13.97%		11.76%
Bloomberg Barclays U.S. Intermediate Aggregate Bond Index		6.60%		4.28%		3.40%		3.14%		7.09%
Blended 35% Russell 3000^® Index/65% Bloomberg Barclays U.S. Intermediate Aggregate Bond Index		7.20%		6.66%		5.97%		6.99%		5.55%
Blended 35% Russell 1000^® Index/65% Bloomberg Barclays U.S. Intermediate Aggregate Bond Index		7.51%		6.85%		6.11%		7.06%		7.38%

Comparison of Change in the Value of a $10,000 Investment in the New Covenant Balanced Income Fund, versus the Russell 3000^® Index, Russell 1000^® Index, Bloomberg Barclays U.S. Intermediate Aggregate Bond Index, Blended 35% Russell 3000^® Index/65% Bloomberg Barclays U.S. Intermediate Aggregate Bond Index and Blended 35% Russell 1000^® Index/65% Bloomberg Barclays U.S. Intermediate Aggregate Bond Index.

LOGO

This table compares the Fund’s average annual total returns to those of a broad-based index and the Fund’s 35/65 Blended Benchmark, which consists of the Russell 3000^® Index and the Bloomberg Barclays U.S. Intermediate Aggregate Bond Index. The Fund’s Blended Benchmark is designed to provide a useful comparison to the Fund’s overall performance and more accurately reflects the Fund’s investment strategy than the broad-based index.

Sector Weightings (Unaudited)^†:

LOGO

^†Percentages are based on total investments.



Description	Shares		Market Value ($ Thousands)
COMMON STOCK — 98.0%
Bosnia and Herzegovina — 0.0%
RenaissanceRe Holdings Ltd		248	$	42


Canada — 0.1%
Lululemon Athletica Inc *		1,171		365


Cayman Islands — 0.0%
Herbalife Nutrition Ltd *		1,088		49


Ireland — 1.0%
Accenture PLC, Cl A		11,297		2,426
Jazz Pharmaceuticals PLC *		616		68
Medtronic PLC		19,976		1,832
NortonLifeLock Inc		13,065		259
Perrigo Co PLC		211		11

				4,596


Puerto Rico — 0.0%
Popular Inc		1,507		56


Switzerland — 0.0%
Garmin Ltd		1,092		107


United Kingdom — 0.1%
Healthpeak Properties Inc		9,384		259


United States — 96.8%

Communication Services — 8.2%
Activision Blizzard Inc		8,807		668
Alphabet Inc, Cl A *		4,332		6,143
Alphabet Inc, Cl C *		4,333		6,125
AT&T Inc		124,429		3,761
Bandwidth Inc, Cl A *		821		104
Cardlytics Inc *		1,255		88
Cargurus Inc, Cl A *		1,369		35
Cars.com Inc *		4,178		24
CenturyLink Inc		872		9
Charter Communications Inc, Cl A *		1,859		948
Cinemark Holdings Inc		2,104		24



Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Cogent Communications Holdings Inc		807	$	62
Comcast Corp, Cl A		62,118		2,421
DISH Network Corp, Cl A *		1,451		50
Electronic Arts Inc *		2,676		353
Emerald Holding Inc		4,781		15
Eventbrite Inc, Cl A *		2,537		22
EverQuote Inc, Cl A *		1,468		85
EW Scripps Co/The, Cl A		3,299		29
Facebook Inc, Cl A *		34,781		7,898
Fox Corp, Cl A		1,372		37
IMAX Corp *		2,244		25
Interpublic Group of Cos Inc/The		8,487		146
Iridium Communications Inc *		366		9
John Wiley & Sons Inc, Cl A		236		9
Liberty Broadband Corp, Cl A *		113		14
Liberty Broadband Corp, Cl C *		405		50
Liberty Media Corp-Liberty Formula One, Cl C *		1,355		43
Live Nation Entertainment Inc *		181		8
Madison Square Garden Entertainment Corp *		39		3
Match Group *		703		75
Meredith Corp		1,401		20
MSG Networks Inc *		2,988		30
New York Times Co/The, Cl A		1,515		64
Nexstar Media Group Inc, Cl A		455		38
Omnicom Group Inc		10,137		553
Scholastic Corp		1,266		38
Shenandoah Telecommunications Co		1,286		63
Sirius XM Holdings Inc		7,153		42
Spotify Technology SA *		1,084		280
Take-Two Interactive Software Inc *		830		116
TechTarget Inc *		1,986		60
TEGNA Inc		3,052		34
T-Mobile US Inc *		4,039		421
Twitter Inc *		7,369		220
Verizon Communications Inc		57,853		3,189
ViacomCBS Inc, Cl B		1,000		23
Walt Disney Co/The		26,709		2,978
World Wrestling Entertainment Inc, Cl A		780		34
Yelp Inc, Cl A *		1,470		34
Zillow Group Inc, Cl C *		230		13
Zynga Inc, Cl A *		14,448		138

				37,671

Consumer Discretionary — 11.7%
1-800-Flowers.com Inc, Cl A *		3,668		73
Aaron’s Inc		832		38
Abercrombie & Fitch Co, Cl A		2,970		32
Adient PLC *		2,126		35
Adtalem Global Education Inc *		1,460		45
Advance Auto Parts Inc		317		45
Amazon.com Inc *		6,217		17,152



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
AMC Networks Inc, Cl A *		1,349	$	32
American Eagle Outfitters Inc		3,416		37
American Public Education Inc *		1,831		54
Aptiv PLC		3,490		272
Aramark		260		6
Asbury Automotive Group Inc *		425		33
At Home Group Inc *		6,757		44
AutoNation Inc *		970		36
AutoZone Inc *		235		265
Bed Bath & Beyond Inc		2,963		31
Best Buy Co Inc		14,724		1,285
Big Lots Inc		1,758		74
Bloomin’ Brands Inc		2,259		24
Booking Holdings Inc *		563		896
Boot Barn Holdings Inc *		1,181		25
BorgWarner Inc		2,278		80
Bright Horizons Family Solutions Inc *		76		9
Brinker International Inc		1,180		28
Brunswick Corp/DE		839		54
Buckle Inc/The		1,885		30
Burlington Stores Inc *		482		95
Cable One Inc		79		140
Callaway Golf Co		2,383		42
Camping World Holdings Inc, Cl A		1,968		53
Capri Holdings Ltd *		1,319		21
CarMax Inc *		1,086		97
Carnival Corp		15,800		259
Carter’s Inc		471		38
Carvana Co, Cl A *		1,196		144
Cavco Industries Inc *		255		49
Century Communities Inc *		1,662		51
Cheesecake Factory Inc/The		1,236		28
Chegg Inc *		2,422		163
Children’s Place Inc/The		812		30
Chipotle Mexican Grill Inc, Cl A *		232		244
Choice Hotels International Inc		113		9
Columbia Sportswear Co		891		72
Cooper Tire & Rubber Co		1,668		46
Cracker Barrel Old Country Store Inc		323		36
Dana Inc		2,660		32
Darden Restaurants Inc		705		53
Dave & Buster’s Entertainment Inc		1,283		17
Deckers Outdoor Corp *		306		60
Denny’s Corp *		2,500		25
Designer Brands Inc, Cl A		3,316		22
Dick’s Sporting Goods Inc		1,054		43
Dillard’s Inc, Cl A		726		19
Dine Brands Global Inc		1,227		52
Discovery Inc, Cl C *		354		7
Dollar General Corp		2,783		530
Dollar Tree Inc *		1,707		158
Domino’s Pizza Inc		309		114



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Dorman Products Inc *		677	$	45
DR Horton Inc		1,973		109
Dunkin’ Brands Group Inc		2,803		183
eBay Inc		24,197		1,269
Etsy Inc *		1,162		123
Expedia Group Inc		103		8
Five Below Inc *		410		44
Floor & Decor Holdings Inc, Cl A *		232		13
Foot Locker Inc		1,308		38
Ford Motor Co		36,252		220
Fox Factory Holding Corp *		749		62
frontdoor Inc *		251		11
Gap Inc/The		11,382		144
General Motors Co		11,713		296
Gentex Corp		3,795		98
Gentherm Inc *		1,113		43
Genuine Parts Co		109		9
Goodyear Tire & Rubber Co/The		690		6
Graham Holdings Co, Cl B		78		27
Grand Canyon Education Inc *		121		11
Group 1 Automotive Inc		479		32
Grubhub Inc *		1,289		91
Guess? Inc		2,341		23
H&R Block Inc		3,157		45
Hanesbrands Inc		13,319		150
Harley-Davidson Inc		306		7
Hasbro Inc		2,632		197
Helen of Troy Ltd *		304		57
Hilton Grand Vacations Inc *		3,016		59
Hilton Worldwide Holdings Inc		4,365		321
Home Depot Inc/The		16,979		4,253
Hyatt Hotels Corp, Cl A		135		7
Installed Building Products Inc *		694		48
iRobot Corp *		1,013		85
Jack in the Box Inc		658		49
Johnson Outdoors Inc, Cl A		659		60
K12 Inc *		2,452		67
KB Home		4,733		145
Kohl’s Corp		1,859		39
Kontoor Brands Inc		1,282		23
L Brands Inc		638		10
Laureate Education Inc, Cl A *		2,881		29
La-Z-Boy Inc, Cl Z		1,597		43
LCI Industries		483		56
Lear Corp		6,486		707
Leggett & Platt Inc		222		8
Lennar Corp, Cl B		728		34
LGI Homes Inc *		127		11
Liberty Media Corp-Liberty SiriusXM, Cl C *		234		8
LKQ Corp *		317		8
Lowe’s Cos Inc		15,716		2,124
M/I Homes Inc *		1,195		41



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Macy’s Inc		4,042	$	28
Madison Square Garden Sports Corp *		39		6
Malibu Boats Inc, Cl A *		1,232		64
Marriott International Inc/MD, Cl A		3,599		309
Marriott Vacations Worldwide Corp		394		32
Mattel Inc *		14,805		143
McDonald’s Corp		11,361		2,096
MDC Holdings Inc		1,302		46
Meritage Homes Corp *		794		60
Michaels Cos Inc/The *		7,530		53
Mohawk Industries Inc *		127		13
Monro Inc		626		34
Murphy USA Inc *		422		48
National Vision Holdings Inc *		1,563		48
Netflix Inc *		6,295		2,864
Newell Brands Inc		605		10
News Corp, Cl A		829		10
NIKE Inc, Cl B		17,693		1,735
Nordstrom Inc		3,866		60
Norwegian Cruise Line Holdings Ltd *		14,956		246
NVR Inc *		13		42
Office Depot		19,011		45
Ollie’s Bargain Outlet Holdings Inc *		746		73
OneSpaWorld Holdings Ltd		3,063		15
O’Reilly Automotive Inc *		677		285
Oxford Industries Inc		665		29
Papa John’s International Inc		806		64
Penske Automotive Group Inc		957		37
PetMed Express Inc		2,172		77
Planet Fitness Inc, Cl A *		3,228		196
Polaris Inc		966		89
Pool Corp		54		15
PulteGroup Inc		5,125		174
PVH Corp		108		5
Quotient Technology Inc *		4,484		33
Qurate Retail Inc *		1,412		13
Ralph Lauren Corp, Cl A		690		50
RealReal Inc/The *		2,868		37
Rent-A-Center Inc/TX, Cl A		1,764		49
RH *		224		56
Roku Inc, Cl A *		1,351		157
Ross Stores Inc		3,209		274
Royal Caribbean Cruises Ltd		8,804		443
Rubicon Project *		1,140		8
Sally Beauty Holdings Inc *		2,794		35
SeaWorld Entertainment Inc *		1,594		24
Service Corp International/US		250		10
ServiceMaster Global Holdings Inc *		1,327		47
Shake Shack Inc, Cl A *		157		8
Shutterstock Inc		1,176		41
Signet Jewelers Ltd		2,402		25
Six Flags Entertainment Corp		248		5



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Sleep Number Corp *		1,033	$	43
Stamps.com Inc *		630		116
Standard Motor Products Inc		943		39
Starbucks Corp		16,902		1,244
Steven Madden Ltd		1,178		29
Stitch Fix Inc, Cl A *		1,950		49
Strategic Education Inc		331		51
Tapestry Inc		2,803		37
Target Corp		6,577		789
Taylor Morrison Home Corp, Cl A *		12,743		246
Tempur Sealy International Inc *		568		41
Tenneco Inc, Cl A *		3,599		27
Tesla Inc *		2,039		2,202
Texas Roadhouse Inc, Cl A		889		47
Thor Industries Inc		721		77
Tiffany & Co		483		59
TJX Cos Inc/The		14,736		745
Toll Brothers Inc		2,246		73
TopBuild Corp *		476		54
Tractor Supply Co		2,377		313
TRI Pointe Group Inc *		3,236		48
TripAdvisor Inc		1,712		33
Ulta Beauty Inc *		279		57
Under Armour Inc, Cl C *		556		5
Urban Outfitters Inc *		417		6
Vail Resorts Inc		46		8
VF Corp		4,023		245
Visteon Corp *		551		38
Wayfair Inc, Cl A *		882		174
Wendy’s Co/The		11,419		249
Whirlpool Corp		638		83
Williams-Sonoma Inc		160		13
Wingstop Inc		582		81
Winnebago Industries Inc		191		13
Wolverine World Wide Inc		1,511		36
WW International Inc *		1,262		32
Wyndham Destinations Inc		4,669		132
Wyndham Hotels & Resorts Inc		189		8
Yum China Holdings Inc		1,913		92
Yum! Brands Inc		8,356		726
Zumiez Inc *		1,593		44

				53,850


Consumer Staples — 6.2%
Andersons Inc/The		1,960		27
Archer-Daniels-Midland Co		4,581		183
B&G Foods Inc		2,907		71
Beyond Meat Inc *		535		72
BJ’s Wholesale Club Holdings Inc *		2,099		78
Bunge Ltd		1,596		66
Calavo Growers Inc		571		36
Campbell Soup Co		10,354		514
Casey’s General Stores Inc		319		48



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Chefs’ Warehouse Inc/The *		1,366	$	19
Church & Dwight Co Inc		1,714		132
Clorox Co/The		3,366		738
Coca-Cola Co/The		65,159		2,911
Colgate-Palmolive Co		14,526		1,064
Conagra Brands Inc		14,479		509
Costco Wholesale Corp		6,288		1,907
Coty Inc, Cl A		1,026		5
Darling Ingredients Inc *		1,847		45
Edgewell Personal Care Co *		1,589		50
Energizer Holdings Inc		231		11
Estee Lauder Cos Inc/The, Cl A		2,390		451
Flowers Foods Inc		9,872		221
Fresh Del Monte Produce Inc		1,442		36
General Mills Inc		13,887		856
Grocery Outlet Holding Corp *		1,603		65
Hain Celestial Group Inc/The *		461		15
Hershey Co/The		2,295		297
HF Foods Group Inc *		2,213		20
Hormel Foods Corp		4,797		232
Hostess Brands Inc, Cl A *		3,470		42
Ingredion Inc		1,110		92
J & J Snack Foods Corp		274		35
J M Smucker Co/The		7,294		772
John B Sanfilippo & Son Inc		544		46
Kellogg Co		6,713		443
Keurig Dr Pepper Inc		18,064		513
Kimberly-Clark Corp		6,484		917
Kraft Heinz Co/The		4,224		135
Kroger Co/The		25,293		856
Lamb Weston Holdings Inc		594		38
Lancaster Colony Corp		319		49
McCormick & Co Inc/MD		2,916		523
Medifast Inc		533		74
Mondelez International Inc, Cl A		17,402		890
Monster Beverage Corp *		2,682		186
National Beverage Corp *		975		59
New Age Beverages Corp *		27,322		42
PepsiCo Inc		28,780		3,806
Performance Food Group Co *		1,023		30
Pilgrim’s Pride Corp *		355		6
Post Holdings Inc *		108		9
PriceSmart Inc		690		42
Procter & Gamble Co/The		34,144		4,083
Sanderson Farms Inc		297		34
SpartanNash Co		1,252		27
Spectrum Brands Holdings Inc		183		8
Sprouts Farmers Market Inc *		6,575		168
Sysco Corp		19,266		1,053
Tootsie Roll Industries Inc		1,504		52
TreeHouse Foods Inc *		237		10
Tyson Foods Inc, Cl A		2,073		124



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
US Foods Holding Corp *		2,211	$	44
Walgreens Boots Alliance Inc		8,946		379
Walmart Inc		18,551		2,222
WD-40 Co		259		51

				28,539


Energy — 2.4%
Antero Midstream Corp		7,912		40
Apache Corp		7,933		107
Baker Hughes Co, Cl A		4,496		69
Cabot Oil & Gas Corp		3,306		57
Cactus Inc, Cl A		1,525		31
ChampionX Corp *		383		4
Cheniere Energy Inc *		1,265		61
Chesapeake Energy Corp *		164		1
Chevron Corp		26,616		2,375
Cimarex Energy Co		995		27
CNX Resources Corp *		6,091		53
Concho Resources Inc		142		7
ConocoPhillips		28,755		1,208
Continental Resources Inc/OK		337		6
Devon Energy Corp		8,276		94
Diamond S Shipping Inc *		3,276		26
Diamondback Energy Inc		133		6
Dril-Quip Inc *		1,072		32
EOG Resources Inc		6,126		310
EQT Corp		2,732		33
Equitrans Midstream Corp		2,185		18
Exxon Mobil Corp		59,127		2,644
Frank’s International NV *		9,174		20
Golar LNG Ltd		3,888		28
Halliburton Co		4,450		58
Helmerich & Payne Inc		1,494		29
Hess Corp		4,195		217
HollyFrontier Corp		3,119		91
International Seaways Inc		1,773		29
Kinder Morgan Inc		21,442		325
Kosmos Energy Ltd		2,007		3
Magnolia Oil & Gas Corp *		3,984		24
Marathon Oil Corp		5,472		33
Marathon Petroleum Corp		7,000		262
Murphy Oil Corp		449		6
Nabors Industries Ltd		367		14
National Oilwell Varco Inc		482		6
Noble Energy Inc		6,179		55
Occidental Petroleum Corp		8,202		150
Oceaneering International Inc *		3,376		22
ONEOK Inc		3,505		116
Parsley Energy Inc, Cl A		2,802		30
Patterson-UTI Energy Inc		4,952		17
PBF Energy Inc, Cl A		363		4
Phillips 66		5,367		386
Pioneer Natural Resources Co		1,910		187



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Range Resources Corp		2,413	$	14
RPC Inc		10,482		32
Schlumberger Ltd		41,175		757
Southwestern Energy Co *		21,739		56
Targa Resources Corp		11,252		226
Transocean Ltd *		8,264		15
Valero Energy Corp		4,715		277
Williams Cos Inc/The		11,002		209
WPX Energy Inc *		3,940		25

				10,932


Financials — 10.6%
Affiliated Managers Group Inc		910		68
Aflac Inc		6,398		231
AGNC Investment Corp		2,838		37
Alleghany Corp		15		7
Allegiance Bancshares Inc		1,318		33
Allstate Corp/The		3,458		335
Ally Financial Inc		1,575		31
American Express Co		9,360		891
American Financial Group Inc/OH		449		28
American Homes 4 Rent, Cl A ‡		1,974		53
American International Group Inc		8,217		256
American National Insurance		421		30
Ameriprise Financial Inc		1,250		188
Ameris Bancorp		1,129		27
AMERISAFE Inc		743		45
Annaly Capital Management Inc ‡		8,922		59
Aon PLC, Cl A		2,921		563
Apollo Commercial Real Estate Finance Inc		2,686		26
Arch Capital Group Ltd *		2,404		69
Argo Group International Holdings Ltd		750		26
ARMOUR Residential REIT Inc		2,854		27
Arthur J Gallagher & Co		743		72
Artisan Partners Asset Management Inc, Cl A		1,589		52
Assetmark Financial Holdings Inc *		1,796		49
Associated Banc-Corp		4,274		58
Assurant Inc		87		9
Assured Guaranty Ltd		994		24
Athene Holding Ltd, Cl A *		1,071		33
Atlantic Union Bankshares Corp		1,302		30
Axis Capital Holdings Ltd		825		33
Axos Financial Inc *		1,657		37
Banc of California Inc		2,959		32
BancorpSouth Bank		1,525		35
Bank of America Corp		115,778		2,750
Bank of Hawaii Corp		1,051		65
Bank of Marin Bancorp		1,079		36
Bank of New York Mellon Corp/The		12,656		489
Bank of NT Butterfield & Son Ltd/The		1,324		32
Bank OZK		366		9
BankUnited Inc		2,418		49
Banner Corp		851		32



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Berkshire Hathaway Inc, Cl B *		28,456	$	5,080
Berkshire Hills Bancorp Inc		1,501		17
BGC Partners Inc, Cl A		8,389		23
BlackRock Inc, Cl A		1,878		1,022
Blackstone Mortgage Trust Inc, Cl A		1,347		32
BOK Financial Corp		568		32
Boston Private Financial Holdings Inc		4,112		28
Bridge Bancorp Inc		1,467		34
Brighthouse Financial Inc *		268		7
Brown & Brown Inc		290		12
Bryn Mawr Bank Corp		1,221		34
Camden National Corp		1,097		38
Capital One Financial Corp		4,592		287
Capitol Federal Financial Inc		3,529		39
Capstead Mortgage Corp		6,235		34
Cathay General Bancorp		1,291		34
Cboe Global Markets Inc		99		9
Central Pacific Financial Corp		1,651		26
Charles Schwab Corp/The		13,043		440
Chimera Investment Corp		2,402		23
Chubb Ltd		6,169		781
Cincinnati Financial Corp		891		57
CIT Group Inc		1,060		22
Citigroup Inc		29,852		1,525
Citizens Financial Group Inc		2,381		60
City Holding Co		607		40
CME Group Inc, Cl A		4,726		768
CNA Financial Corp		253		8
Cohen & Steers Inc		764		52
Colony Credit Real Estate Inc		3,608		25
Columbia Banking System Inc		1,223		35
Comerica Inc		1,232		47
Commerce Bancshares Inc/MO		1,488		88
Community Bank System Inc		710		40
ConnectOne Bancorp Inc		1,891		30
Credit Acceptance Corp *		177		74
Cullen/Frost Bankers Inc		850		64
CVB Financial Corp		2,268		43
Discover Financial Services		26,226		1,314
E*TRADE Financial Corp		1,729		86
Eagle Bancorp Inc		1,035		34
East West Bancorp Inc		1,710		62
eHealth Inc *		512		50
Ellington Financial Inc		2,748		32
Enterprise Financial Services Corp		1,063		33
Equitable Holdings Inc		432		8
Erie Indemnity Co, Cl A		433		83
Essent Group Ltd *		970		35
Evercore Inc, Cl A		659		39
Everest Re Group Ltd		179		37
FactSet Research Systems Inc		306		101
FB Financial Corp		1,250		31



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Federal Agricultural Mortgage Corp, Cl C		597	$	38
Federated Hermes Inc, Cl B		1,492		35
Fidelity National Financial Inc		1,063		33
Fifth Third Bancorp		4,599		89
First American Financial Corp		814		39
First BanCorp/Puerto Rico		4,571		26
First Busey Corp		1,790		33
First Citizens BancShares Inc/NC, Cl A		94		38
First Commonwealth Financial Corp		3,365		28
First Financial Bancorp		1,921		27
First Financial Bankshares Inc		1,378		40
First Hawaiian Inc		3,126		54
First Horizon National Corp		3,007		30
First Merchants Corp		1,182		33
First Midwest Bancorp Inc/IL		2,129		28
First Republic Bank/CA		831		88
FirstCash Inc		612		41
FNB Corp/PA		3,907		29
Franklin Resources Inc		6,856		144
Fulton Financial Corp		2,789		29
Genworth Financial Inc, Cl A *		10,439		24
German American Bancorp Inc		1,414		44
Globe Life Inc		108		8
Goldman Sachs Group Inc/The		3,960		783
Goosehead Insurance Inc, Cl A *		215		16
Great Western Bancorp Inc		1,390		19
Hancock Whitney Corp		1,142		24
Hannon Armstrong Sustainable
Infrastructure Capital Inc		30,657		873
Hanover Insurance Group Inc/The		694		70
HarborOne Bancorp Inc *		4,621		39
Hartford Financial Services Group Inc/The		4,042		156
Heartland Financial USA Inc		1,003		34
Heritage Financial Corp/WA		1,744		35
Home BancShares Inc/AR		2,523		39
HomeStreet Inc		1,465		36
Hope Bancorp Inc		3,233		30
Horace Mann Educators Corp		1,125		41
Houlihan Lokey Inc, Cl A		1,032		57
Huntington Bancshares Inc/OH		6,282		57
IBERIABANK Corp		662		30
Independent Bank Corp		580		39
Independent Bank Group Inc		846		34
Intercontinental Exchange Inc		6,879		630
International Bancshares Corp		1,137		36
Invesco Ltd		18,276		197
Invesco Mortgage Capital Inc		2,946		11
Investors Bancorp Inc		4,061		35
James River Group Holdings Ltd		1,180		53
Jefferies Financial Group Inc		2,313		36
JPMorgan Chase & Co		52,401		4,929
KeyCorp		12,904		157



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Kinsale Capital Group Inc		488	$	76
KKR Real Estate Finance Trust Inc		2,440		40
Lakeland Bancorp Inc		2,890		33
Lazard Ltd, Cl A (A)		2,316		66
Legg Mason Inc		1,356		67
LendingTree Inc *		175		51
Lincoln National Corp		3,621		133
Loews Corp		222		8
LPL Financial Holdings Inc		1,036		81
M&T Bank Corp		929		97
Markel Corp *		48		44
MarketAxess Holdings Inc		305		153
Marsh & McLennan Cos Inc		16,703		1,793
Mercury General Corp		233		9
Meta Financial Group Inc		1,407		26
MetLife Inc		7,024		257
MFA Financial Inc		6,337		16
MGIC Investment Corp		3,455		28
Moelis & Co, Cl A		1,564		49
Moody’s Corp		1,782		490
Morgan Stanley		35,755		1,727
Morningstar Inc		1,261		178
Mr Cooper Group Inc *		3,903		49
MSCI Inc, Cl A		1,669		557
Nasdaq Inc		2,378		284
Navient Corp		3,513		25
NBT Bancorp Inc		1,213		37
Nelnet Inc, Cl A		793		38
New Residential Investment Corp		14,139		105
New York Community Bancorp Inc		951		10
New York Mortgage Trust Inc		7,776		20
NMI Holdings Inc, Cl A *		1,470		24
Northern Trust Corp		7,549		599
Northfield Bancorp Inc		2,868		33
OFG Bancorp		2,119		28
Old National Bancorp/IN		2,680		37
Old Republic International Corp		2,203		36
OneMain Holdings Inc, Cl A		258		6
Pacific Premier Bancorp Inc		3,188		69
PacWest Bancorp		1,283		25
Palomar Holdings Inc, Cl A *		929		80
PennyMac Mortgage Investment Trust		5,185		91
People’s United Financial Inc		5,001		58
Pinnacle Financial Partners Inc		1,489		63
PNC Financial Services Group Inc/The		5,690		599
PRA Group Inc *		1,320		51
Preferred Bank/Los Angeles CA		845		36
Primerica Inc		365		43
Principal Financial Group Inc		662		28
ProAssurance Corp		1,351		20
Progressive Corp/The		6,981		559
ProSight Global Inc *		2,999		27



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Prosperity Bancshares Inc		1,192	$	71
Provident Financial Services Inc		1,988		29
Prudential Financial Inc		16,015		975
PS Business Parks Inc ‡		306		41
Radian Group Inc		1,924		30
Raymond James Financial Inc		980		67
Redwood Trust Inc		2,992		21
Regions Financial Corp		72,286		804
Reinsurance Group of America Inc, Cl A		578		45
Renasant Corp		1,366		34
RLI Corp		545		45
S&P Global Inc		7,309		2,408
S&T Bancorp Inc		1,247		29
Sandy Spring Bancorp Inc		1,350		33
Santander Consumer USA Holdings Inc		476		9
Seacoast Banking Corp of Florida *		1,616		33
Selective Insurance Group Inc		739		39
ServisFirst Bancshares Inc		1,306		47
Signature Bank/New York NY		676		72
Simmons First National Corp, Cl A		1,836		31
SLM Corp		8,316		58
South State Corp		1,155		55
Starwood Property Trust Inc ‡		2,000		30
State Street Corp		9,970		634
Sterling Bancorp/DE		2,321		27
Stifel Financial Corp		807		38
SVB Financial Group *		346		75
Synchrony Financial		4,720		105
Synovus Financial Corp		1,267		26
T Rowe Price Group Inc		2,711		335
TCF Financial Corp		1,085		32
TD Ameritrade Holding Corp		221		8
Texas Capital Bancshares Inc *		822		25
TFS Financial Corp		573		8
Tompkins Financial Corp		549		36
TPG RE Finance Trust Inc		2,439		21
Travelers Cos Inc/The		2,743		313
TriCo Bancshares		1,219		37
TriState Capital Holdings Inc *		1,917		30
Triumph Bancorp Inc *		1,296		31
Truist Financial Corp		16,871		634
Trustmark Corp		1,410		35
Two Harbors Investment Corp		6,390		32
UMB Financial Corp		715		37
Umpqua Holdings Corp		2,753		29
United Bankshares Inc/WV		1,306		36
Universal Insurance Holdings Inc		1,696		30
Univest Financial Corp		1,820		29
Unum Group		1,638		27
US Bancorp		20,106		740
Valley National Bancorp		4,269		33
Veritex Holdings Inc		1,729		31



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Virtu Financial Inc, Cl A		3,026	$	71
Voya Financial Inc		4,001		187
W R Berkley Corp		165		9
Waddell & Reed Financial Inc, Cl A		2,974		46
Walker & Dunlop Inc		749		38
Washington Federal Inc		1,337		36
Washington Trust Bancorp Inc		924		30
Watford Holdings Ltd *		1,869		31
Webster Financial Corp		934		27
Wells Fargo & Co		50,687		1,298
Westamerica BanCorp		731		42
Western Alliance Bancorp		1,801		68
White Mountains Insurance Group Ltd		44		39
Willis Towers Watson PLC		907		179
Wintrust Financial Corp		708		31
Zions Bancorp NA		1,771		60


				49,116


Health Care — 14.4%
Abbott Laboratories		35,040		3,204
AbbVie Inc		25,124		2,467
ABIOMED Inc *		332		80
Acadia Healthcare Co Inc *		1,517		38
Acceleron Pharma Inc *		123		12
Adaptive Biotechnologies Corp *		1,704		82
Addus HomeCare Corp *		545		50
Adverum Biotechnologies Inc *		4,537		95
Aerie Pharmaceuticals Inc *		2,282		34
Agilent Technologies Inc		7,874		696
Agios Pharmaceuticals Inc *		1,062		57
Aimmune Therapeutics Inc *		1,579		26
Akebia Therapeutics Inc *		7,149		97
Alector Inc *		2,628		64
Alexion Pharmaceuticals Inc *		1,593		179
Align Technology Inc *		602		165
Alkermes PLC *		2,433		47
Allakos Inc *		378		27
Allogene Therapeutics Inc *		1,838		79
Alnylam Pharmaceuticals Inc *		1,202		178
Amedisys Inc *		309		61
AmerisourceBergen Corp, Cl A		759		76
Amgen Inc		11,116		2,622
Amicus Therapeutics Inc *		5,193		78
AMN Healthcare Services Inc *		832		38
Anika Therapeutics Inc *		920		35
Anthem Inc		3,134		824
Apellis Pharmaceuticals Inc *		1,618		53
Apollo Medical Holdings Inc *		2,730		45
Arcus Biosciences Inc *		2,371		59
Arena Pharmaceuticals Inc *		1,077		68
Arrowhead Pharmaceuticals Inc *		2,046		88
Arvinas Inc *		1,559		52
Assembly Biosciences Inc *		2,159		50



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Atara Biotherapeutics Inc *		3,254	$	47
Atrion Corp		71		45
Avanos Medical Inc *		1,561		46
Avantor Inc *		2,699		46
Axonics Modulation Technologies Inc *		351		12
Axsome Therapeutics Inc *		618		51
Baxter International Inc		12,373		1,065
Becton Dickinson and Co		4,437		1,062
BioCryst Pharmaceuticals Inc *		26,852		128
BioDelivery Sciences International Inc *		7,746		34
Biogen Inc *		3,113		833
Biohaven Pharmaceutical Holding Co Ltd *		941		69
BioMarin Pharmaceutical Inc *		1,042		129
Bio-Rad Laboratories Inc, Cl A *		32		14
BioSpecifics Technologies Corp *		871		53
Bio-Techne Corp		53		14
BioTelemetry Inc *		1,100		50
Bluebird Bio Inc *		645		39
Boston Scientific Corp *		16,399		576
Bridgebio Pharma Inc *		1,432		47
Bristol-Myers Squibb Co		38,732		2,277
Brookdale Senior Living Inc *		7,397		22
Bruker Corp		233		9
Cantel Medical Corp		163		7
Cara Therapeutics Inc *		2,942		50
Cardinal Health Inc		2,213		115
Catalent Inc *		949		70
Catalyst Pharmaceuticals Inc *		11,416		53
Centene Corp *		5,875		373
Cerner Corp		16,243		1,113
Change Healthcare Inc *		3,522		39
Charles River Laboratories International Inc *		77		13
Chemed Corp		114		51
ChemoCentryx Inc *		2,278		131
Cigna Corp		4,819		904
CONMED Corp		450		32
Constellation Pharmaceuticals Inc *		1,060		32
Cooper Cos Inc/The		236		67
Corbus Pharmaceuticals Holdings Inc *		9,057		76
Corcept Therapeutics Inc *		3,878		65
CorVel Corp *		606		43
Covetrus Inc *		1,045		19
Crinetics Pharmaceuticals Inc *		2,310		40
Cue Biopharma Inc *		2,087		51
CVS Health Corp		28,143		1,828
Cytokinetics Inc *		7,134		168
Danaher Corp		8,116		1,435
DaVita Inc *		160		13
Deciphera Pharmaceuticals Inc *		716		43
Denali Therapeutics Inc *		2,631		64
DENTSPLY SIRONA Inc		3,113		137
DexCom Inc *		847		343



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Dicerna Pharmaceuticals Inc *		1,898	$	48
Dynavax Technologies Corp *		8,733		77
Eagle Pharmaceuticals Inc/DE *		828		40
Editas Medicine Inc *		1,596		47
Edwards Lifesciences Corp *		8,484		586
Eidos Therapeutics Inc *		786		37
Elanco Animal Health Inc *		398		9
Eli Lilly and Co		11,942		1,961
Emergent BioSolutions Inc *		950		75
Enanta Pharmaceuticals Inc *		785		39
Encompass Health Corp		164		10
Envista Holdings Corp *		1,731		37
Epizyme Inc *		2,749		44
Esperion Therapeutics Inc *		962		49
Evofem Biosciences Inc *		1,811		5
Exact Sciences Corp *		930		81
Exelixis Inc *		4,344		103
Fate Therapeutics Inc *		3,277		112
FibroGen Inc *		1,053		43
Flexion Therapeutics Inc *		2,711		36
G1 Therapeutics Inc *		1,715		42
Gilead Sciences Inc		18,126		1,395
Glaukos Corp *		167		6
Global Blood Therapeutics Inc *		643		41
Globus Medical Inc, Cl A *		851		41
Gossamer Bio Inc *		3,279		43
Guardant Health Inc *		615		50
Halozyme Therapeutics Inc *		2,641		71
Hanger Inc *		1,891		31
Harpoon Therapeutics Inc *		2,825		47
HCA Healthcare Inc		2,314		225
Health Catalyst Inc *		1,594		46
HealthEquity Inc *		673		39
Henry Schein Inc *		2,612		153
Heron Therapeutics Inc *		1,977		29
Heska Corp *		532		50
Hill-Rom Holdings Inc		825		91
HMS Holdings Corp *		1,707		55
Hologic Inc *		216		12
Horizon Therapeutics Plc *		1,437		80
Humana Inc		1,529		593
ICU Medical Inc *		62		11
IDEXX Laboratories Inc *		707		233
Illumina Inc *		3,200		1,185
ImmunoGen Inc *		11,173		51
Immunomedics Inc *		2,499		89
Incyte Corp *		1,063		111
Innoviva Inc *		3,557		50
Inogen Inc *		706		25
Inovalon Holdings Inc, Cl A *		2,733		53
Inovio Pharmaceuticals Inc *		2,095		56
Insmed Inc *		2,129		59



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Inspire Medical Systems Inc *		715	$	62
Insulet Corp *		65		13
Integer Holdings Corp *		625		46
Integra LifeSciences Holdings Corp *		188		9
Intercept Pharmaceuticals Inc *		417		20
Intra-Cellular Therapies Inc *		3,894		100
Intuitive Surgical Inc *		1,403		799
Invitae Corp *		2,884		87
Ionis Pharmaceuticals Inc *		782		46
Iovance Biotherapeutics Inc *		1,782		49
IQVIA Holdings Inc *		1,378		196
Ironwood Pharmaceuticals Inc, Cl A *		3,844		40
Johnson & Johnson		40,148		5,646
Kala Pharmaceuticals Inc *		7,142		75
Karuna Therapeutics Inc *		717		80
Karyopharm Therapeutics Inc *		2,929		55
Kiniksa Pharmaceuticals Ltd, Cl A *		4,016		102
Kodiak Sciences Inc *		702		38
Krystal Biotech Inc *		823		34
Kura Oncology Inc *		3,438		56
Laboratory Corp of America Holdings *		515		86
Lantheus Holdings Inc *		2,408		34
LHC Group Inc *		383		67
Ligand Pharmaceuticals Inc *		462		52
LivaNova PLC *		657		32
Livongo Health Inc *		1,898		143
Luminex Corp		2,284		74
MacroGenics Inc *		1,782		50
Madrigal Pharmaceuticals Inc *		531		60
McKesson Corp		1,288		198
MEDNAX Inc *		417		7
Merck & Co Inc		39,446		3,050
Meridian Bioscience Inc *		5,130		119
Mettler-Toledo International Inc *		1,565		1,261
Mirati Therapeutics Inc *		429		49
Moderna Inc *		4,368		280
Mylan NV *		607		10
MyoKardia Inc *		751		73
Myriad Genetics Inc *		1,860		21
Natera Inc *		1,361		68
National Research Corp		779		45
Natus Medical Inc *		1,614		35
Nektar Therapeutics, Cl A *		2,328		54
Neogen Corp *		721		56
Neurocrine Biosciences Inc *		1,089		133
Nevro Corp *		83		10
NextCure Inc *		952		20
NextGen Healthcare Inc *		3,392		37
Novavax Inc *		1,079		90
NuVasive Inc *		653		36
Ocular Therapeutix Inc *		5,747		48
Omeros Corp *		3,345		49



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Option Care Health Inc *		648	$	9
OraSure Technologies Inc *		6,042		70
Pennant Group Inc/The *		1,609		36
Penumbra Inc *		72		13
PerkinElmer Inc		120		12
Pfizer Inc		86,529		2,829
Phreesia Inc *		361		10
Portola Pharmaceuticals Inc *		1,960		35
PRA Health Sciences Inc *		108		11
Premier Inc, Cl A *		2,266		78
Principia Biopharma Inc *		925		55
PTC Therapeutics Inc *		1,021		52
Puma Biotechnology Inc *		5,574		58
QIAGEN NV *		2,338		100
Quest Diagnostics Inc		865		99
Quidel Corp *		249		56
Radius Health Inc *		2,352		32
Reata Pharmaceuticals Inc, Cl A *		235		37
Regeneron Pharmaceuticals Inc *		1,105		689
Repligen Corp *		553		68
ResMed Inc		2,930		563
Retrophin Inc *		3,434		70
Revance Therapeutics Inc *		3,056		75
Rhythm Pharmaceuticals Inc *		2,112		47
Rubius Therapeutics Inc *		3,679		22
Sage Therapeutics Inc *		516		21
Sangamo Therapeutics Inc *		5,482		49
Sarepta Therapeutics Inc *		87		14
Scholar Rock Holding Corp *		2,520		46
Seattle Genetics Inc *		750		127
Shockwave Medical Inc *		1,114		53
Simulations Plus Inc		1,477		88
Sorrento Therapeutics Inc *		12,406		78
STAAR Surgical Co *		1,343		83
STERIS PLC		1,661		255
Stryker Corp		4,213		759
Supernus Pharmaceuticals Inc *		2,174		52
Surgery Partners Inc *		4,621		53
Surmodics Inc *		1,169		51
Syndax Pharmaceuticals Inc *		3,272		48
Syros Pharmaceuticals Inc *		1,610		17
Tactile Systems Technology Inc *		728		30
Tandem Diabetes Care Inc *		144		14
Teladoc Health Inc *		430		82
Teleflex Inc		742		270
TG Therapeutics Inc *		4,916		96
Theravance Biopharma Inc *		2,200		46
Thermo Fisher Scientific Inc		5,343		1,936
Translate Bio Inc *		2,224		40
Turning Point Therapeutics Inc *		828		53
Twist Bioscience Corp *		1,681		76
Ultragenyx Pharmaceutical Inc *		1,143		89



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
United Therapeutics Corp *		559	$	68
UnitedHealth Group Inc		17,164		5,062
Universal Health Services Inc, Cl B		80		7
UroGen Pharma Ltd *		1,543		40
US Physical Therapy Inc		428		35
Vapotherm Inc *		1,281		53
Varex Imaging Corp *		1,631		25
Varian Medical Systems Inc *		1,773		217
Veeva Systems Inc, Cl A *		1,157		271
Vertex Pharmaceuticals Inc *		3,305		959
Viking Therapeutics Inc *		6,150		44
Waters Corp *		395		71
West Pharmaceutical Services Inc		1,875		426
Wright Medical Group NV *		1,682		50
Zimmer Biomet Holdings Inc		3,501		418
Zoetis Inc, Cl A		6,022		825
Zogenix Inc *		947		26


				66,520


Industrials — 8.2%
3M Co		10,841		1,691
A O Smith Corp		1,708		80
AAON Inc		997		54
AAR Corp		1,101		23
ABM Industries Inc		1,349		49
ACCO Brands Corp		5,214		37
Acuity Brands Inc		84		8
ADT Inc		6,039		48
Advanced Disposal Services Inc *		1,523		46
AECOM *		6,633		249
AGCO Corp		149		8
Air Lease Corp, Cl A		1,053		31
Alamo Group Inc		424		44
Alaska Air Group Inc		10,133		367
Albany International Corp, Cl A		636		37
Allegiant Travel Co, Cl A		281		31
Allegion plc		855		87
Allison Transmission Holdings Inc		1,870		69
Altra Industrial Motion Corp		1,437		46
AMERCO		136		41
American Airlines Group Inc		405		5
American Woodmark Corp *		461		35
AMETEK Inc		3,390		303
Apogee Enterprises Inc		1,229		28
Applied Industrial Technologies Inc		745		46
ArcBest Corp		1,766		47
Arcosa Inc		1,128		48
Argan Inc		1,315		62
Armstrong World Industries Inc		979		76
ASGN Inc *		723		48
Astec Industries Inc		1,175		54
Atkore International Group Inc *		1,234		34
Avis Budget Group Inc *		2,276		52



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Axon Enterprise Inc *		1,934	$	190
AZZ Inc		1,071		37
Barnes Group Inc		807		32
Bloom Energy Corp, Cl A *		2,773		30
Brady Corp, Cl A		873		41
Brink’s Co/The		540		25
Carlisle Cos Inc		311		37
Carrier Global Corp		2,809		62
Casella Waste Systems Inc, Cl A *		1,080		56
CBIZ Inc *		1,805		43
CH Robinson Worldwide Inc		148		12
Chart Industries Inc *		807		39
Cimpress PLC *		398		30
Cintas Corp		1,907		508
CIRCOR International Inc *		1,110		28
Clean Harbors Inc *		137		8
Colfax Corp *		1,455		41
Comfort Systems USA Inc		988		40
Construction Partners Inc, Cl A *		2,838		50
Copa Holdings SA, Cl A		469		24
Copart Inc *		1,284		107
CoStar Group Inc *		266		189
Covanta Holding Corp		3,388		32
Crane Co		135		8
CSW Industrials Inc		645		45
CSX Corp		9,694		676
Cummins Inc		3,179		551
Curtiss-Wright Corp		1,789		160
Deere & Co		4,735		744
Delta Air Lines Inc		39,597		1,111
Deluxe Corp		981		23
Donaldson Co Inc		202		9
Douglas Dynamics Inc		918		32
Dover Corp		2,207		213
Dycom Industries Inc *		1,064		44
Eaton Corp PLC		13,217		1,156
EMCOR Group Inc		565		37
Emerson Electric Co		6,592		409
EnerSys		664		43
EnPro Industries Inc		738		36
Equifax Inc		691		119
ESCO Technologies Inc		568		48
Expeditors International of Washington Inc		1,163		88
Exponent Inc		727		59
Fastenal Co		6,120		262
Federal Signal Corp		1,560		46
FedEx Corp		3,239		454
Flowserve Corp		239		7
Fluor Corp		4,373		53
Forrester Research Inc *		1,169		37
Fortune Brands Home & Security Inc		174		11
Forward Air Corp		727		36



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Franklin Electric Co Inc		897	$	47
FTI Consulting Inc *		443		51
Gates Industrial Corp PLC *		886		9
GATX Corp		603		37
Generac Holdings Inc *		496		60
General Electric Co		121,638		831
Gibraltar Industries Inc *		959		46
Graco Inc		223		11
GrafTech International Ltd		954		8
Granite Construction Inc		1,780		34
Great Lakes Dredge & Dock Corp *		4,289		40
Greenbrier Cos Inc/The		1,583		36
Hawaiian Holdings Inc		1,619		23
HD Supply Holdings Inc *		1,986		69
Healthcare Services Group Inc		2,050		50
Heartland Express Inc		2,380		50
HEICO Corp		4,884		487
HEICO Corp, Cl A		4,197		341
Helios Technologies Inc		1,091		41
Herc Holdings Inc *		1,012		31
Herman Miller Inc		1,053		25
Hexcel Corp		4,105		186
Hillenbrand Inc		1,501		41
HNI Corp		1,268		39
Honeywell International Inc		10,659		1,541
Howmet Aerospace Inc		7,379		117
Hub Group Inc, Cl A *		976		47
Hubbell Inc, Cl B		682		85
IAA Inc *		253		10
ICF International Inc		545		35
IDEX Corp		68		11
IHS Markit Ltd		3,910		295
Illinois Tool Works Inc		10,512		1,838
Ingersoll Rand Inc *		6,701		188
Insperity Inc		592		38
Interface Inc, Cl A		2,949		24
ITT Inc		1,404		82
Jacobs Engineering Group Inc		1,091		93
JB Hunt Transport Services Inc		437		53
JetBlue Airways Corp *		4,688		51
John Bean Technologies Corp		439		38
Johnson Controls International plc		22,116		755
Kadant Inc		475		47
Kaman Corp		743		31
Kansas City Southern		1,741		260
KAR Auction Services Inc		2,303		32
Kelly Services Inc, Cl A		2,214		35
Kennametal Inc		1,343		39
Kforce Inc		1,239		36
Kirby Corp *		1,032		55
Knight-Swift Transportation Holdings Inc, Cl A		1,357		57



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Knoll Inc		1,853	$	23
Korn Ferry		1,193		37
Landstar System Inc		432		49
Lennox International Inc		44		10
Lincoln Electric Holdings Inc		1,027		87
Lindsay Corp		523		48
Lyft Inc, Cl A *		240		8
Macquarie Infrastructure Corp		266		8
ManpowerGroup Inc		3,586		247
Marten Transport Ltd		2,313		58
Masco Corp		6,315		317
MasTec Inc *		795		36
Matson Inc		1,273		37
Maxar Technologies Inc		6,794		122
McGrath RentCorp		666		36
Mercury Systems Inc *		2,386		188
Meritor Inc *		2,088		41
Middleby Corp/The *		103		8
Mobile Mini Inc		1,315		39
Moog Inc, Cl A		580		31
MRC Global Inc *		3,597		21
MSA Safety Inc		392		45
MSC Industrial Direct Co Inc, Cl A		1,115		81
Nielsen Holdings PLC		7,584		113
Nordson Corp		600		114
Norfolk Southern Corp		3,218		565
NOW Inc *		4,359		38
NV5 Global Inc *		1,080		55
nVent Electric PLC		457		9
Old Dominion Freight Line Inc		400		68
Omega Flex Inc		448		47
Oshkosh Corp		2,762		198
Otis Worldwide Corp		2,746		156
Owens Corning		4,958		276
PACCAR Inc		5,034		377
Parker-Hannifin Corp		1,231		226
Parsons Corp *		1,198		43
Pentair PLC		4,928		187
Pitney Bowes Inc		11,792		31
Plug Power Inc *		10,246		84
Proto Labs Inc *		491		55
Quanex Building Products Corp		2,637		37
Quanta Services Inc		2,291		90
Raven Industries Inc		1,437		31
RBC Bearings Inc *		320		43
Regal Beloit Corp		1,068		93
Republic Services Inc, Cl A		1,046		86
Resideo Technologies Inc *		448		5
Rexnord Corp		1,539		45
Robert Half International Inc		806		43
Rockwell Automation Inc		1,620		345
Rollins Inc		2,355		100



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Roper Technologies Inc		1,565	$	608
Ryder System Inc		1,425		53
Saia Inc *		547		61
Schneider National Inc, Cl B		521		13
Sensata Technologies Holding PLC *		4,273		159
Shyft Group Inc/The		2,836		48
Simpson Manufacturing Co Inc		643		54
Snap-on Inc		318		44
Southwest Airlines Co		3,131		107
SP Plus Corp *		1,169		24
Spirit AeroSystems Holdings Inc, Cl A		9,098		218
Spirit Airlines Inc *		1,221		22
SPX Corp *		999		41
SPX FLOW Inc *		1,044		39
Stanley Black & Decker Inc		1,349		188
Steelcase Inc, Cl A		2,620		32
Stericycle Inc *		179		10
Teledyne Technologies Inc *		878		273
Tennant Co		639		42
Terex Corp		1,651		31
Tetra Tech Inc		564		45
Timken Co/The		204		9
Toro Co/The		1,175		78
TPI Composites Inc *		472		11
Trane Technologies PLC		7,234		644
TransDigm Group Inc		1,732		766
TransUnion		2,713		236
Trex Co Inc *		567		74
TriMas Corp *		1,583		38
TriNet Group Inc *		898		55
Trinity Industries Inc		511		11
Triumph Group Inc		1,853		17
TrueBlue Inc *		2,106		32
Uber Technologies Inc *		12,223		380
UFP Industries Inc		1,033		51
UniFirst Corp/MA		235		42
Union Pacific Corp		12,488		2,111
United Airlines Holdings Inc *		2,850		99
United Parcel Service Inc, Cl B		9,414		1,047
United Rentals Inc *		1,692		252
Univar Solutions Inc *		476		8
US Ecology Inc		900		30
Valmont Industries Inc		76		9
Vectrus Inc *		984		48
Verisk Analytics Inc, Cl A		1,729		294
Vivint Solar Inc *		4,980		49
Wabash National Corp		3,217		34
Waste Management Inc		6,467		685
Watsco Inc		537		95
Watts Water Technologies Inc, Cl A		507		41
Welbilt Inc *		3,137		19
Werner Enterprises Inc		1,360		59



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
WESCO International Inc *		3,661	$	129
Westinghouse Air Brake Technologies Corp		465		27
Woodward Inc		769		60
WW Grainger Inc		4,161		1,307
XPO Logistics Inc *		1,396		108
Xylem Inc/NY		16,416		1,066


				37,818


Information Technology — 25.8%
2U Inc *		2,061		78
8x8 Inc *		2,725		44
Acacia Communications Inc *		744		50
ACI Worldwide Inc *		1,373		37
Adobe Inc *		9,813		4,272
ADTRAN Inc		5,303		58
Advanced Energy Industries Inc *		725		49
Advanced Micro Devices Inc *		12,867		677
Agilysys Inc *		323		6
Akamai Technologies Inc *		7,949		851
Akoustis Technologies Inc *		6,091		50
Alarm.com Holdings Inc *		1,192		77
Alliance Data Systems Corp		1,335		60
Altair Engineering Inc, Cl A *		1,454		58
Alteryx Inc, Cl A *		1,551		255
Ambarella Inc *		160		7
Amdocs Ltd		3,632		221
Amkor Technology Inc *		3,864		48
Amphenol Corp, Cl A		2,558		245
Analog Devices Inc		4,564		560
Anaplan Inc *		217		10
ANSYS Inc *		683		199
Appian Corp, Cl A *		1,246		64
Apple Inc		62,732		22,885
Applied Materials Inc		10,761		651
Arista Networks Inc *		768		161
Arrow Electronics Inc *		2,550		175
Aspen Technology Inc *		413		43
Atlassian Corp PLC, Cl A *		665		120
Autodesk Inc *		3,559		851
Automatic Data Processing Inc		12,646		1,883
Avaya Holdings Corp *		4,140		51
Avnet Inc		1,892		53
Axcelis Technologies Inc *		2,104		59
Badger Meter Inc		775		49
Belden Inc		900		29
Benchmark Electronics Inc		1,447		31
Black Knight Inc *		1,569		114
Blackbaud Inc		629		36
Blackline Inc *		185		15
Booz Allen Hamilton Holding Corp, Cl A		1,402		109
Bottomline Technologies DE Inc *		943		48
Box Inc, Cl A *		2,984		62
Broadcom Inc		6,023		1,901



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Broadridge Financial Solutions Inc		720	$	91
Brooks Automation Inc		1,150		51
Cabot Microelectronics Corp		373		52
Cadence Design Systems Inc *		2,046		196
Cardtronics PLC *		1,198		29
Cass Information Systems Inc		865		34
CDK Global Inc		1,636		68
CDW Corp/DE		806		94
Cerence Inc *		493		20
Ceridian HCM Holding Inc *		792		63
Ciena Corp *		1,223		66
Cirrus Logic Inc *		640		40
Cisco Systems Inc		68,588		3,199
Citrix Systems Inc		1,980		293
Cloudera Inc *		4,481		57
Cognex Corp		203		12
Cognizant Technology Solutions Corp, Cl A		8,315		472
Coherent Inc *		626		82
Cohu Inc		2,351		41
CommScope Holding Co Inc *		7,086		59
CommVault Systems Inc *		1,095		42
CoreLogic Inc/United States		271		18
Cornerstone OnDemand Inc *		862		33
Corning Inc		6,104		158
Coupa Software Inc *		970		269
Cree Inc *		248		15
CSG Systems International Inc		965		40
CTS Corp		1,735		35
Dell Technologies Inc, Cl C *		4,108		226
Diebold Nixdorf Inc *		4,695		28
Digital Turbine Inc *		6,346		80
DocuSign Inc, Cl A *		1,618		279
Dolby Laboratories Inc, Cl A		731		48
Domo Inc, Cl B *		1,639		53
Dropbox Inc, Cl A *		2,914		63
DXC Technology Co		5,395		89
Dynatrace Inc *		465		19
Ebix Inc		1,517		34
EchoStar Corp, Cl A *		1,124		31
Elastic NV *		183		17
Enphase Energy Inc *		2,127		101
Entegris Inc		980		58
Envestnet Inc *		717		53
EPAM Systems Inc *		1,434		361
ePlus Inc *		592		42
Euronet Worldwide Inc *		74		7
Everbridge Inc *		1,814		251
EVERTEC Inc		1,569		44
ExlService Holdings Inc *		711		45
Extreme Networks Inc *		6,878		30
F5 Networks Inc *		578		81
Fair Isaac Corp *		299		125



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Fidelity National Information Services Inc		7,874	$	1,056
FireEye Inc *		5,502		67
First Solar Inc *		3,538		175
Fiserv Inc *		6,758		660
Fitbit Inc, Cl A *		7,553		49
Five9 Inc *		751		83
FleetCor Technologies Inc *		729		183
FLIR Systems Inc		1,671		68
ForeScout Technologies Inc *		1,454		31
FormFactor Inc *		1,939		57
Fortinet Inc *		928		127
Genpact Ltd		6,870		251
Global Payments Inc		3,359		570
GoDaddy Inc, Cl A *		1,102		81
Guidewire Software Inc *		109		12
Hackett Group Inc/The		3,129		42
HubSpot Inc *		322		72
IAC/InterActiveCorp *		376		122
Ichor Holdings Ltd *		1,480		39
II-VI Inc *		1,509		71
Infinera Corp *		6,579		39
Inphi Corp *		680		80
Inseego Corp *		7,132		83
Insight Enterprises Inc *		754		37
Intel Corp		67,438		4,035
Intelligent Systems Corp *		1,128		38
InterDigital Inc		917		52
International Business Machines Corp		13,123		1,585
Intuit Inc		3,714		1,100
IPG Photonics Corp *		558		89
Itron Inc *		588		39
J2 Global Inc *		540		34
Jabil Inc		6,948		223
Jack Henry & Associates Inc		636		117
Juniper Networks Inc		7,826		179
KBR Inc		1,640		37
Keysight Technologies Inc *		12,701		1,280
KLA Corp		1,904		370
Knowles Corp *		2,314		35
Lam Research Corp		3,493		1,130
Lattice Semiconductor Corp *		2,475		70
Littelfuse Inc		60		10
LivePerson Inc *		1,299		54
LogMeIn Inc		1,076		91
Lumentum Holdings Inc *		660		54
Manhattan Associates Inc *		1,278		120
Marvell Technology Group Ltd		4,705		165
Mastercard Inc, Cl A		13,112		3,877
Maxim Integrated Products Inc		3,740		227
MAXIMUS Inc		682		48
Medallia Inc *		1,562		39
Microchip Technology Inc		1,615		170



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Micron Technology Inc *		13,124	$	676
Microsoft Corp		112,888		22,974
MicroStrategy Inc, Cl A *		339		40
MKS Instruments Inc		103		12
Model N Inc *		1,438		50
MongoDB Inc, Cl A *		574		130
Monolithic Power Systems Inc		64		15
National Instruments Corp		2,353		91
NCR Corp *		334		6
NetApp Inc		2,936		130
NetScout Systems Inc *		2,073		53
New Relic Inc *		749		52
NIC Inc		2,268		52
Novanta Inc *		547		58
Nuance Communications Inc *		2,832		72
Nutanix Inc, Cl A *		359		9
NVIDIA Corp		9,892		3,758
Okta Inc, Cl A *		812		163
ON Semiconductor Corp *		9,649		191
Oracle Corp		34,708		1,918
OSI Systems Inc *		497		37
PagerDuty Inc *		1,821		52
Palo Alto Networks Inc *		541		124
Paychex Inc		2,612		198
Paycom Software Inc *		194		60
Paylocity Holding Corp *		417		61
PayPal Holdings Inc *		18,658		3,251
Paysign Inc *		4,721		46
Pegasystems Inc		150		15
Perficient Inc *		1,142		41
Perspecta Inc		1,895		44
Photronics Inc *		3,197		36
Plantronics Inc		1,930		28
Plexus Corp *		633		45
Pluralsight Inc, Cl A *		2,621		47
Power Integrations Inc		531		63
Progress Software Corp		1,206		47
Proofpoint Inc *		98		11
PROS Holdings Inc *		818		36
PTC Inc *		677		53
Pure Storage Inc, Cl A *		685		12
Q2 Holdings Inc *		633		54
Qorvo Inc *		100		11
QUALCOMM Inc		17,833		1,627
Qualys Inc *		591		61
Rambus Inc *		3,633		55
Rapid7 Inc *		892		46
RealPage Inc *		211		14
RingCentral Inc, Cl A *		699		199
Rogers Corp *		392		49
Sabre Corp		506		4
Sailpoint Technologies Holdings Inc *		2,129		56



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
salesforce.com *		17,861	$	3,346
Sanmina Corp *		1,459		37
ScanSource Inc *		1,292		31
Semtech Corp *		1,000		52
ServiceNow Inc *		2,349		951
Silicon Laboratories Inc *		437		44
Skyworks Solutions Inc		2,779		355
Smartsheet Inc, Cl A *		266		14
SolarWinds Corp *		634		11
Splunk Inc *		1,357		270
SPS Commerce Inc *		882		66
Square Inc, Cl A *		3,587		376
SS&C Technologies Holdings Inc		831		47
Switch Inc, Cl A		779		14
Synaptics Inc *		142		9
SYNNEX Corp		387		46
Synopsys Inc *		1,083		211
Teradata Corp *		4,437		92
Teradyne Inc		4,784		404
Texas Instruments Inc		13,483		1,712
Trade Desk Inc/The, Cl A *		829		337
Trimble Inc *		2,035		88
TTEC Holdings Inc		1,378		64
TTM Technologies Inc *		3,357		40
Tucows Inc, Cl A *		834		48
Twilio Inc, Cl A *		2,168		476
Tyler Technologies Inc *		393		136
Ubiquiti Inc		263		46
Unisys Corp *		689		8
Universal Display Corp		521		78
Upland Software Inc *		1,378		48
Varonis Systems Inc *		653		58
Verint Systems Inc *		947		43
VeriSign Inc *		802		166
Verra Mobility Corp, Cl A *		3,479		36
ViaSat Inc *		693		27
Viavi Solutions Inc *		3,355		43
Virtusa Corp *		1,123		36
Visa Inc, Cl A		29,770		5,751
VMware Inc, Cl A *		1,343		208
Western Digital Corp		2,423		107
Western Union Co/The		425		9
WEX Inc *		55		9
Workday Inc, Cl A *		2,079		390
Workiva Inc, Cl A *		1,224		65
Xerox Holdings Corp		7,073		108
Xilinx Inc		2,632		259
Xperi Holding Corp		2,351		35
Zebra Technologies Corp, Cl A *		438		112
Zendesk Inc *		152		13
Zoom Video Communications Inc, Cl A *		1,700		431
Zscaler Inc *		681		75



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Zuora Inc, Cl A *		3,498	$	45


				118,835


Materials — 3.0%
Air Products and Chemicals Inc		4,688		1,132
Albemarle Corp		167		13
Alcoa Corp *		5,657		64
Allegheny Technologies Inc *		2,362		24
AptarGroup Inc		1,944		218
Arconic Corp *		1,844		26
Ashland Global Holdings Inc		152		11
Avery Dennison Corp		88		10
Axalta Coating Systems Ltd *		7,963		180
Balchem Corp		488		46
Ball Corp		14,154		984
Berry Global Group Inc *		4,123		183
Cabot Corp		238		9
Carpenter Technology Corp		1,006		24
Celanese Corp, Cl A		93		8
CF Industries Holdings Inc		1,066		30
Chase Corp		421		43
Chemours Co/The		2,832		43
Cleveland-Cliffs Inc		11,888		66
Coeur Mining Inc *		6,945		35
Commercial Metals Co		2,280		47
Compass Minerals International Inc		851		41
Corteva Inc		4,112		110
Crown Holdings Inc *		6,925		451
Domtar Corp		298		6
Dow Inc		6,685		272
DuPont de Nemours Inc		7,322		389
Eagle Materials Inc		126		9
Eastman Chemical Co		9,101		634
Ecolab Inc		3,153		627
Element Solutions Inc *		1,023		11
FMC Corp		2,400		239
Freeport-McMoRan Inc		31,087		360
GCP Applied Technologies Inc *		2,199		41
Graphic Packaging Holding Co		681		10
Greif Inc, Cl A		1,122		39
HB Fuller Co		976		44
Huntsman Corp		475		9
Ingevity Corp *		563		30
Innospec Inc		499		39
International Flavors & Fragrances Inc		2,307		283
International Paper Co		785		28
Kraton Corp *		2,033		35
Linde PLC		8,150		1,729
Livent Corp *		5,807		36
Louisiana-Pacific Corp		1,740		45
LyondellBasell Industries NV, Cl A		2,182		143
Martin Marietta Materials Inc		397		82
Minerals Technologies Inc		880		41



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Mosaic Co/The		3,590	$	45
Neenah Inc		693		34
NewMarket Corp		102		41
Newmont Corp		29,273		1,807
Novagold Resources Inc *		6,675		61
Nucor Corp		1,510		63
P H Glatfelter Co		2,740		44
Packaging Corp of America		101		10
PPG Industries Inc		2,274		241
Quaker Chemical Corp		309		57
Reliance Steel & Aluminum Co		412		39
Royal Gold Inc		437		54
RPM International Inc		664		50
Scotts Miracle-Gro Co/The		482		65
Sealed Air Corp		293		10
Sensient Technologies Corp		779		41
Sherwin-Williams Co/The		2,451		1,416
Silgan Holdings Inc		1,635		53
Sonoco Products Co		185		10
Southern Copper Corp		272		11
Steel Dynamics Inc		2,648		69
Stepan Co		510		50
Summit Materials Inc, Cl A *		2,136		34
Trinseo SA		1,345		30
Tronox Holdings PLC		4,385		32
United States Lime & Minerals Inc		581		49
United States Steel Corp		3,709		27
Valvoline Inc		11,216		217
Verso Corp		2,760		33
Vulcan Materials Co		665		77
W R Grace & Co		733		37
Warrior Met Coal Inc		2,378		37
Westlake Chemical Corp		718		39
Westrock Co		3,989		113
Worthington Industries Inc		1,149		43


				14,018


Real Estate — 3.5%
Acadia Realty Trust ‡		1,946		25
Agree Realty Corp ‡		736		48
Alexander & Baldwin Inc ‡		2,342		29
Alexandria Real Estate Equities Inc ‡		1,497		243
American Assets Trust Inc ‡		1,128		31
American Campus Communities Inc ‡		252		9
American Finance Trust Inc ‡		3,743		30
American Tower Corp, Cl A ‡		6,167		1,594
Americold Realty Trust ‡		346		13
Apartment Investment and Management Co, Cl A ‡		1,721		65
Apple Hospitality REIT Inc ‡		718		7
AvalonBay Communities Inc ‡		3,261		504
Boston Properties Inc ‡		1,468		133
Brandywine Realty Trust ‡		14,492		158



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Brixmor Property Group Inc ‡		4,703	$	60
Brookfield Property REIT Inc, Cl A ‡		622		6
Camden Property Trust ‡		850		78
CareTrust REIT Inc ‡		2,438		42
CBRE Group Inc, Cl A *		29,020		1,312
Colony Capital Inc ‡		41,643		100
Columbia Property Trust Inc ‡		565		7
Community Healthcare Trust Inc ‡		1,136		46
Corporate Office Properties Trust ‡		7,752		196
Cousins Properties Inc ‡		289		9
Crown Castle International Corp ‡		5,046		844
CubeSmart ‡		377		10
Cushman & Wakefield PLC *‡		2,593		32
CyrusOne Inc ‡		181		13
DiamondRock Hospitality Co ‡		4,575		25
Digital Realty Trust Inc ‡		2,674		380
Diversified Healthcare Trust ‡		6,702		30
Douglas Emmett Inc ‡		2,338		72
Duke Realty Corp ‡		2,798		99
EastGroup Properties Inc ‡		379		45
Empire State Realty Trust Inc, Cl A ‡		5,592		39
EPR Properties ‡		735		24
Equinix Inc ‡		1,035		727
Equity Commonwealth ‡		2,677		86
Equity LifeStyle Properties Inc ‡		167		10
Equity Residential ‡		3,485		205
Essential Properties Realty Trust Inc ‡		2,028		30
Essex Property Trust Inc ‡		454		104
Extra Space Storage Inc ‡		811		75
Federal Realty Investment Trust ‡		664		57
First Industrial Realty Trust Inc ‡		1,226		47
Four Corners Property Trust Inc ‡		1,848		45
Franklin Street Properties Corp ‡		5,897		30
Gaming and Leisure Properties Inc ‡		278		10
Global Net Lease Inc ‡		2,484		42
Healthcare Realty Trust Inc ‡		1,555		46
Healthcare Trust of America Inc, Cl A ‡		392		10
Highwoods Properties Inc ‡		247		9
Host Hotels & Resorts Inc ‡		17,568		190
Howard Hughes Corp/The *		795		41
Hudson Pacific Properties Inc ‡		2,475		62
Independence Realty Trust Inc ‡		3,625		42
Industrial Logistics Properties Trust ‡		2,389		49
Invitation Homes Inc ‡		398		11
Iron Mountain Inc ‡		5,996		156
JBG SMITH Properties ‡		2,065		61
Jones Lang LaSalle Inc		1,270		131
Kennedy-Wilson Holdings Inc ‡		2,254		34
Kilroy Realty Corp ‡		4,516		265
Kimco Realty Corp ‡		4,679		60
Kite Realty Group Trust ‡		2,741		32
Lamar Advertising Co, Cl A ‡		1,059		71



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Lexington Realty Trust, Cl B ‡		4,761	$	50
Life Storage Inc ‡		110		10
LTC Properties Inc ‡		1,142		43
Macerich Co/The ‡		5,508		49
Marcus & Millichap Inc *‡		1,380		40
Medical Properties Trust Inc ‡		2,513		47
Mid-America Apartment Communities Inc ‡		772		89
Monmouth Real Estate Investment Corp ‡		3,365		49
National Health Investors Inc ‡		635		39
National Retail Properties Inc ‡		975		35
National Storage Affiliates Trust ‡		1,534		44
Newmark Group Inc, Cl A ‡		3,753		18
Office Properties Income Trust ‡		1,618		42
Omega Healthcare Investors Inc ‡		1,229		37
Outfront Media Inc ‡		1,951		28
Paramount Group Inc ‡		5,922		46
Park Hotels & Resorts Inc ‡		1,996		20
Pebblebrook Hotel Trust ‡		1,899		26
Physicians Realty Trust ‡		2,753		48
Piedmont Office Realty Trust Inc, Cl A ‡		2,333		39
PotlatchDeltic Corp ‡		1,174		45
Prologis Inc ‡		20,608		1,923
Public Storage ‡		1,626		312
QTS Realty Trust Inc, Cl A ‡		981		63
Rayonier Inc ‡		1,593		39
RE/MAX Holdings Inc, Cl A		1,292		41
Realogy Holdings Corp		4,621		34
Realty Income Corp ‡		2,296		137
Redfin Corp *		458		19
Regency Centers Corp ‡		28,376		1,302
Retail Opportunity Investments Corp ‡		2,907		33
Retail Properties of America Inc, Cl A ‡		876		6
Rexford Industrial Realty Inc ‡		1,114		46
RLJ Lodging Trust		2,849		27
RMR Group Inc/The, Cl A ‡		1,095		32
RPT Realty ‡		3,429		24
Ryman Hospitality Properties Inc ‡		577		20
Sabra Health Care REIT Inc ‡		2,410		35
Safehold Inc ‡		226		13
SBA Communications Corp, Cl A ‡		994		296
Service Properties Trust ‡		483		3
Simon Property Group Inc ‡		3,706		253
SITE Centers Corp ‡		3,734		30
SL Green Realty Corp ‡		2,476		122
Spirit Realty Capital Inc ‡		237		8
St Joe Co/The *‡		2,464		48
STAG Industrial Inc ‡		1,647		48
STORE Capital Corp ‡		2,555		61
Summit Hotel Properties Inc ‡		4,173		25
Sunstone Hotel Investors Inc ‡		3,516		29
Tanger Factory Outlet Centers Inc ‡		3,357		24
Taubman Centers Inc ‡		1,690		64



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Terreno Realty Corp ‡		941	$	50
UDR Inc ‡		250		9
Uniti Group Inc ‡		6,587		62
Universal Health Realty Income Trust ‡		439		35
Urban Edge Properties ‡		2,679		32
Urstadt Biddle Properties Inc, Cl A ‡		2,126		25
Ventas Inc ‡		3,279		120
VEREIT Inc ‡		10,217		66
VICI Properties Inc ‡		2,012		41
Vornado Realty Trust ‡		2,903		111
Washington Real Estate Investment Trust ‡		1,705		38
Weingarten Realty Investors ‡		2,933		56
Welltower Inc ‡		4,270		221
Weyerhaeuser Co ‡		17,005		382
WP Carey Inc ‡		149		10
Xenia Hotels & Resorts Inc ‡		2,347		22


				16,337


Utilities — 2.8%
AES Corp/The		5,282		77
ALLETE Inc		620		34
Alliant Energy Corp		213		10
Ameren Corp		1,172		82
American Electric Power Co Inc		5,930		472
American States Water Co		580		46
American Water Works Co Inc		2,717		350
Atmos Energy Corp		461		46
Avangrid Inc		1,720		72
Black Hills Corp		641		36
California Water Service Group		978		47
CenterPoint Energy Inc		434		8
Clearway Energy Inc, Cl C		2,583		60
CMS Energy Corp		20,708		1,210
Consolidated Edison Inc		3,086		222
Dominion Energy Inc		9,854		800
DTE Energy Co		9,809		1,054
Duke Energy Corp		9,540		762
Edison International		3,288		179
El Paso Electric Co		742		50
Entergy Corp		2,276		214
Essential Utilities Inc		331		14
Evergy Inc		180		11
Eversource Energy		10,983		915
Exelon Corp		11,090		402
FirstEnergy Corp		4,900		190
Hawaiian Electric Industries Inc		249		9
IDACORP Inc		108		9
MDU Resources Group Inc		386		9
MGE Energy Inc		631		41
Middlesex Water Co		790		53
National Fuel Gas Co		245		10
New Jersey Resources Corp		1,111		36
NextEra Energy Inc		6,768		1,625



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
NiSource Inc		419	$	10
Northwest Natural Holding Co		699		39
NRG Energy Inc		2,300		75
OGE Energy Corp		261		8
ONE Gas Inc		534		41
Ormat Technologies Inc		644		41
PG&E Corp *		692		6
Pinnacle West Capital Corp		2,640		193
PNM Resources Inc		975		37
Portland General Electric Co		894		37
PPL Corp		7,025		182
Public Service Enterprise Group Inc		5,257		258
Sempra Energy		3,086		362
SJW Group		716		44
South Jersey Industries Inc		1,556		39
Southern Co/The		13,370		693
Sunnova Energy International Inc *		717		12
UGI Corp		253		8
Unitil Corp		794		36
Vistra Energy Corp		2,088		39
WEC Energy Group Inc		2,560		224
Xcel Energy Inc		21,147		1,322


				12,861

				446,497

Total Common Stock
(Cost $326,434) ($ Thousands)				451,971


PREFERRED STOCK — 0.0%
WESCO International, 10.625%		356		10

Total Preferred Stock
(Cost $9) ($ Thousands)				10


	Number of Rights
RIGHT — 0.0%
T-Mobile US Inc, Expires 07/30/2020		3,577		1


Total Right
(Cost $—) ($ Thousands)				1

A list of the open futures contracts held by the Fund at June 30, 2020 are as follows:

The futures contracts are considered to have interest rate risk associated with them.

Percentages are based on Net Assets of $461,493 ($ Thousands).

^‡

Real Estate Investment Trust.

Non-income producing security.

The rate reported is the 7-day effective yield as of June 30, 2020.

^†

Investment in Affiliated Security (see Note 3).

(A)

Security is a Master Limited Partnership. At June 30, 2020, such securities amounted to $66 ($ Thousands), or 0.0% of the net assets (see Note 2).

Cl — Class

Ltd. — Limited

MSCI — Morgan Stanley Capital International

PLC — Public Limited Company

REIT— Real Estate investment Trust

S&P — Standard & Poor’s

The following is a list of the levels of inputs used as of June 30, 2020 in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):



Investments in Securities	Level 1 ($)		Level 2 ($)		Level 3 ($)		Total ($)
Common Stock		451,971		–		–		451,971
Preferred Stock		–		10		–		10
Right		1		–		–		1
Cash Equivalent		6,613		–		–		6,613

Total Investments in Securities		458,585		10		–		458,595



Other Financial Instruments	Level 1 ($)		Level 2 ($)		Level 3 ($)		Total ($)
Futures Contracts*
Unrealized Appreciation		122		—		—		122

Total Other Financial Instruments		122		—		—		122

* Futures contracts are valued at the unrealized appreciation on the instrument.

For the year ended June 30, 2020, there were no transfers in or out of Level 3.

Amounts designated as “—” are either $0 or have been rounded to $0.

For more information on valuation inputs, see Note 2 – Significant Accounting Policies in Notes to Financial Statements.

The following is a summary of the Fund’s transactions with affiliates for the year ended June 30, 2020 ($ Thousands):

Sector Weightings (Unaudited)^†:

LOGO

^†Percentages based on total investments.



Description	Face Amount (Thousands)		Market Value ($ Thousands)
MORTGAGE-BACKED SECURITIES — 38.0%
Agency Mortgage-Backed Obligations — 29.6%
FHLMC
6.500%, 09/01/2039	$	30	$	34
5.500%, 12/01/2036 to 12/01/2038		245		280
5.000%, 12/01/2020 to 03/01/2050		1,306		1,467
4.500%, 06/01/2038 to 04/01/2050		7,013		7,633
4.000%, 07/01/2037 to 03/01/2050		3,033		3,284
3.500%, 11/01/2042 to 03/01/2050		3,923		4,205
3.000%, 08/01/2046 to 03/01/2050		5,882		6,283
2.500%, 08/01/2030 to 06/01/2050		2,853		3,004
FHLMC CMO, Ser 2011-3947, Cl SG, IO
5.765%, VAR LIBOR USD 1 Month+5.950%, 10/15/2041		217		38
FHLMC CMO, Ser 2012-4057, Cl UI, IO
3.000%, 05/15/2027		124		7
FHLMC CMO, Ser 2012-4085, Cl IO, IO
3.000%, 06/15/2027		255		14
FHLMC CMO, Ser 2012-4099, Cl ST, IO
5.815%, VAR LIBOR USD 1 Month+6.000%, 08/15/2042		109		19
FHLMC CMO, Ser 2013-4194, Cl BI, IO
3.500%, 04/15/2043		126		13
FHLMC CMO, Ser 2013-4203, Cl PS, IO
6.065%, VAR LIBOR USD 1 Month+6.250%, 09/15/2042		153		26
FHLMC CMO, Ser 2014-4310, Cl SA, IO
5.765%, VAR LIBOR USD 1 Month+5.950%, 02/15/2044		44		7



Description	Face Amount (Thousands)		Market Value ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
FHLMC CMO, Ser 2014-4335, Cl SW, IO
5.295%, VAR LIBOR USD 1 Month+6.000%, 05/15/2044	$	91	$	18
FHLMC CMO, Ser 2014-4415, Cl IO, IO
3.371%, 04/15/2041 (A)		44		3
FHLMC Multifamily Structured Pass Through Certificates, Ser K091, Cl A2
3.505%, 03/25/2029		120		142
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2016-DNA1, Cl M3
5.718%, VAR ICE LIBOR USD 1 Month+5.550%, 07/25/2028		349		364
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2017-DNA1, Cl M1
1.385%, VAR ICE LIBOR USD 1 Month+1.200%, 07/25/2029		23		23
FHLMC, Ser 2016-353, Cl S1, IO
5.815%, VAR LIBOR USD 1 Month+6.000%, 12/15/2046		136		28
FHLMC, Ser 2018-4813, Cl CJ
3.000%, 08/15/2048		145		150
FNMA
7.000%, 11/01/2037 to 11/01/2038		28		33
6.500%, 01/01/2038 to 05/01/2040		187		217
6.000%, 07/01/2037 to 11/01/2038		141		159
5.500%, 02/01/2035		112		128
5.000%, 01/01/2021 to 12/01/2049		6,196		6,835
4.893%, VAR US Treas Yield Curve Rate T Note Const Mat 1 Yr+2.268%, 01/01/2036		24		24
4.500%, 02/01/2035 to 04/01/2056		7,365		8,083
4.174%, VAR ICE LIBOR USD 12 Month+1.700%, 03/01/2036		21		21
4.075%, VAR ICE LIBOR USD 12 Month+1.435%, 05/01/2043		217		225
4.000%, 06/01/2025 to 03/01/2050		11,561		12,563
3.500%, 04/01/2033 to 03/01/2057		11,037		11,925
3.000%, 08/01/2046 to 06/01/2050		4,308		4,575
2.850%, 08/01/2031		100		113
2.790%, 08/01/2029		200		224
2.770%, 08/01/2031		100		112
2.765%, 08/01/2031		100		112
2.260%, 04/01/2030		100		108
2.240%, 09/01/2026		139		149
FNMA CMO, Ser 2003-W2, Cl 2A9
5.900%, 07/25/2042		419		489
FNMA CMO, Ser 2012-93, Cl UI, IO
3.000%, 09/25/2027		344		20
FNMA CMO, Ser 2014-47, Cl AI, IO
2.212%, 08/25/2044 (A)		109		7
FNMA CMO, Ser 2015-55, Cl IO, IO
1.900%, 08/25/2055 (A)		27		1



Description	Face Amount (Thousands)		Market Value ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
FNMA CMO, Ser 2015-56, Cl AS, IO
5.203%, VAR LIBOR USD 1 Month+6.150%, 08/25/2045	$	54	$	14
FNMA Connecticut Avenue Securities, Ser 2014-C04, Cl 1M2
5.085%, VAR ICE LIBOR USD 1 Month+4.900%, 11/25/2024		233		239
FNMA TBA
2.500%, 07/25/2043		2,300		2,398
FNMA, Ser 2005-29, Cl ZA
5.500%, 04/25/2035		133		158
FNMA, Ser 2012-101, Cl BI, IO
4.000%, 09/25/2027		12		1
FNMA, Ser 2013-54, Cl BS, IO
5.966%, VAR LIBOR USD 1 Month+6.150%, 06/25/2043		43		11
FNMA, Ser 2017-76, Cl SB, IO
5.916%, VAR LIBOR USD 1 Month+6.100%, 10/25/2057		245		46
FNMA, Ser 2017-85, Cl SC, IO
5.253%, VAR LIBOR USD 1 Month+6.200%, 11/25/2047		61		12
FNMA, Ser 2020-47, Cl GZ
2.000%, 07/25/2050		100		99
FNMA, Ser M19, Cl A2
2.560%, 09/25/2029		389		428
FNMA, Ser M23, Cl 3A3
2.720%, 10/25/2031 (A)		100		108
FNMA, Ser M4, Cl A2
3.610%, 02/25/2031		80		95
FNMA, Ser M6, Cl A2
3.450%, 01/01/2029		170		196
FRESB Mortgage Trust, Ser SB48, Cl A10F
3.370%, 02/25/2028 (A)		696		751
FRESB Mortgage Trust, Ser SB58, Cl A10F
3.610%, 10/25/2028 (A)		1,043		1,129
GNMA
5.500%, 02/20/2037 to 01/15/2039		108		123
5.000%, 12/20/2038 to 01/20/2049		1,034		1,154
4.600%, 09/15/2034		1,844		2,055
4.500%, 07/20/2038 to 03/20/2050		4,021		4,372
4.000%, 01/15/2041 to 11/20/2049		2,896		3,134
3.500%, 06/20/2044 to 05/15/2050		1,793		1,916
3.000%, 09/15/2042 to 01/20/2050		653		692
2.500%, 02/20/2027		543		568
GNMA CMO, Ser 186, Cl IO, IO
0.700%, 08/16/2054 (A)		973		35
GNMA CMO, Ser 2012-34, Cl SA, IO
5.860%, VAR LIBOR USD 1 Month+6.050%, 03/20/2042		32		7
GNMA CMO, Ser 2012-66, Cl CI, IO
3.500%, 02/20/2038		50		2



Description	Face Amount (Thousands)		Market Value ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
GNMA CMO, Ser 2012-H18, Cl NA
0.823%, VAR ICE LIBOR USD 1 Month+0.520%, 08/20/2062	$	153	$	153
GNMA CMO, Ser 2012-H30, Cl GA
0.653%, VAR ICE LIBOR USD 1 Month+0.350%, 12/20/2062		706		703
GNMA CMO, Ser 2013-H01, Cl TA
0.803%, VAR ICE LIBOR USD 1 Month+0.500%, 01/20/2063		6		6
GNMA CMO, Ser 2013-H08, Cl BF
0.703%, VAR ICE LIBOR USD 1 Month+0.400%, 03/20/2063		662		660
GNMA CMO, Ser 2014-105, Cl IO, IO
0.921%, 06/16/2054 (A)		1,091		44
GNMA CMO, Ser 2015-H20, Cl FA
0.773%, VAR ICE LIBOR USD 1 Month+0.470%, 08/20/2065		257		256
GNMA CMO, Ser 85, Cl IA, IO
0.685%, 03/16/2047 (A)		2,693		79
GNMA CMO, Ser 95, Cl IO, IO
0.547%, 04/16/2047 (A)		1,357		40
GNMA TBA
2.500%, 07/01/2045		100		105
GNMA, Ser 107, Cl AD
2.694%, 11/16/2047 (A)		94		99
GNMA, Ser 2013-H21, Cl FB
1.003%, VAR ICE LIBOR USD 1 Month+0.700%, 09/20/2063		477		478
GNMA, Ser 2015-167, Cl OI, IO
4.000%, 04/16/2045		96		15
GNMA, Ser 2020-H04, Cl FP
0.803%, VAR ICE LIBOR USD 1 Month+0.500%, 06/20/2069		196		196
GNMA, Ser 2020-H09, Cl FL
1.340%, VAR ICE LIBOR USD 1 Month+1.150%, 05/20/2070		100		104
GNMA, Ser 28, Cl AB
3.150%, 06/16/2060		77		81
UMBS TBA
2.000%, 07/14/2169 to 07/16/2169		3,300		3,391

				99,318

Non-Agency Mortgage-Backed Obligations — 8.4%
280 Park Avenue Mortgage Trust, Ser 280P, Cl A
1.065%, VAR ICE LIBOR USD 1 Month+0.880%, 09/15/2034 (B)		130		129
BX Commercial Mortgage Trust, Ser XL, Cl A
1.625%, VAR ICE LIBOR USD 1 Month+0.920%, 10/15/2036 (B)		1,056		1,048
Citigroup Commercial Mortgage Trust, Ser 2014-GC25, Cl AS
4.017%, 10/10/2047		100		107



Description	Face Amount (Thousands)		Market Value ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
Citigroup Commercial Mortgage Trust, Ser 2016-P6, Cl AAB
3.512%, 12/10/2049	$	810	$	872
Citigroup Commercial Mortgage Trust, Ser 375P, Cl A
3.251%, 05/10/2035 (B)		190		198
COMM Mortgage Trust, Ser CR5, Cl A4
2.771%, 12/10/2045		700		713
COMM Mortgage Trust, Ser CR5, Cl AM
3.223%, 12/10/2045 (B)		590		600
COMM Mortgage Trust, Ser CR8, Cl A4
3.334%, 06/10/2046		565		595
Commercial Mortgage Trust, Ser 2013-CR12, Cl C
5.240%, 10/10/2046 (A)		10		9
Commercial Mortgage Trust, Ser 2013-CR12, Cl B
4.762%, 10/10/2046 (A)		20		21
Commercial Mortgage Trust, Ser 2013-CR12, Cl AM
4.300%, 10/10/2046		20		21
Credit Suisse Mortgage Trust, Ser 2019- NQM1, Cl A3
3.064%, 10/25/2059 (B)		356		362
CSMC Trust, Ser 2018-J1, Cl A2
3.500%, 02/25/2048 (A)(B)		999		1,035
CSMC, Ser USA, Cl B
4.185%, 09/15/2037 (B)		470		430
DBUBS Mortgage Trust, Ser LC2A, Cl A4
4.537%, 07/10/2044 (B)		1,009		1,025
DRB Prime Student Loan Trust, Ser 2015-B, Cl A1
2.085%, VAR ICE LIBOR USD 1 Month+1.900%, 10/27/2031 (B)		78		79
Flagstar Mortgage Trust, Ser 2018-2, Cl A4
3.500%, 04/25/2048 (A)(B)		191		197
GS Mortage-Backed Securities Trust, Ser 2020-PJ1, Cl A6
3.500%, 05/25/2050 (A)(B)		678		682
GS Mortgage Securities Trust, Ser 2013- GC16, Cl B
5.161%, 11/10/2046 (A)		80		85
GS Mortgage Securities Trust, Ser 2018- SRP5, Cl A
3.281%, 06/09/2021		620		593
GS Mortgage Securities Trust, Ser 2018- SRP5, Cl B
4.481%, 06/09/2021		430		406
GS Mortgage-Backed Securities Trust, Ser 2018-RPL1, Cl A1A
3.750%, 10/25/2057 (B)		331		348



Description	Face Amount (Thousands)		Market Value ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
GS Mortgage-Backed Securities Trust, Ser 2020-INV1, Cl A14
3.000%, 08/25/2050 (A)(B)	$	850	$	877
JPMBB Commercial Mortgage Securities Trust, Ser 2013-C15, Cl B
4.927%, 11/15/2045 (A)		210		216
JPMBB Commercial Mortgage Securities Trust, Ser 2013-C17, Cl B
5.053%, 01/15/2047 (A)		30		31
JPMBB Commercial Mortgage Securities Trust, Ser 2014-C22, Cl C
4.706%, 09/15/2047 (A)		80		66
JPMorgan Chase Commercial Mortgage Securities Trust, Ser C6, Cl A3
3.507%, 05/15/2045		1,071		1,105
JPMorgan Chase Commercial Mortgage Securities Trust, Ser FL7, Cl D
4.455%, VAR ICE LIBOR USD 1 Month+3.750%, 05/15/2028 (B)		129		126
JPMorgan Chase Commercial Mortgage Securities Trust, Ser LC9, Cl AS
3.353%, 12/15/2047 (B)		380		388
JPMorgan Mortgage Trust, Ser 2015-5, Cl A9
2.755%, 05/25/2045 (A)(B)		72		73
JPMorgan Mortgage Trust, Ser 2016-1, Cl A5
3.500%, 05/25/2046 (A)(B)		269		271
JPMorgan Mortgage Trust, Ser 2018-3, Cl A1
3.500%, 09/25/2048 (A)(B)		523		536
JPMorgan Mortgage Trust, Ser 2018-4, Cl A1
3.500%, 10/25/2048 (A)(B)		193		198
JPMorgan Mortgage Trust, Ser 2018-5, Cl A1
3.500%, 10/25/2048 (A)(B)		360		367
JPMorgan Mortgage Trust, Ser 2018-6, Cl 1A4
3.500%, 12/25/2048 (A)(B)		138		138
Lanark Master Issuer, Ser 2018-1A, Cl 1A
0.778%, VAR ICE LIBOR USD 3 Month+0.420%, 12/22/2069 (B)		518		518
MAD Mortgage Trust, Ser 330M, Cl A
3.082%, 08/15/2034 (A)(B)		220		231
Morgan Stanley Bank of America Merrill Lynch Trust, Ser C34, Cl ASB
3.354%, 11/15/2052		615		660
Morgan Stanley Bank of America Merrill Lynch Trust, Ser C5, Cl A4
3.176%, 08/15/2045		1,475		1,507
Morgan Stanley Bank of America Merrill Lynch Trust, Ser C9, Cl A4
3.102%, 05/15/2046		714		741
Morgan Stanley Capital I Trust, Ser 2012-C4, Cl A4
3.244%, 03/15/2045		220		224



Description	Face Amount (Thousands)		Market Value ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
Morgan Stanley Capital I Trust, Ser BPR, Cl A
2.105%, VAR ICE LIBOR USD 1 Month+1.400%, 05/15/2036 (B)	$	320	$	284
MSCG Trust, Ser 2016-SNR, Cl C
5.205%, 11/15/2034 (B)		128		125
MSCG Trust, Ser ALDR, Cl A2
3.577%, 06/07/2035 (A)(B)		410		403
Natixis Commercial Mortgage Securities Trust, Ser FAME, Cl B
3.655%, 08/15/2036 (B)		410		382
New Residential Mortgage Loan Trust, Ser 2019-4A, Cl A1B
3.500%, 12/25/2058 (A)(B)		344		364
New Residential Mortgage Loan Trust, Ser 2019-NQM4, Cl A1
2.492%, 09/25/2059 (A)(B)		496		499
Residential Mortgage Loan Trust, Ser 2019- 3, Cl A2
2.941%, 09/25/2059 (A)(B)		344		343
Residential Mortgage Loan Trust, Ser 2019- 3, Cl A3
3.044%, 09/25/2059 (A)(B)		344		340
Residential Mortgage Loan Trust, Ser 2020- 2, Cl A1
1.654%, 05/25/2060 (A)(B)		550		550
Seasoned Credit Risk Transfer Trust, Ser 2019-4, Cl MA
3.000%, 02/25/2059		522		556
Seasoned Credit Risk Transfer Trust, Ser 2019-1, Cl MA
3.500%, 07/25/2058		871		948
Seasoned Credit Risk Transfer Trust, Ser 2019-2, Cl MA
3.500%, 08/25/2058		736		801
Sequoia Mortgage Trust, Ser 2017-1, Cl A4
3.500%, 02/25/2047 (A)(B)		536		550
Sequoia Mortgage Trust, Ser 2017-5, Cl A4
3.500%, 08/25/2047 (A)(B)		490		497
Sequoia Mortgage Trust, Ser 2017-6, Cl A4
3.500%, 09/25/2047 (A)(B)		239		243
Towd Point Mortgage Trust, Ser 2015-5, Cl A1B
2.750%, 05/25/2055 (A)(B)		142		143
UBS-BAMLL Trust, Ser 2012-WRM, Cl A
3.663%, 06/10/2030 (B)		116		117
UBS-Barclays Commercial Mortgage Trust, Ser 2012-C2, Cl A4
3.525%, 05/10/2063		73		75
UBS-Barclays Commercial Mortgage Trust, Ser 2012-CN, Cl XA, IO
1.456%, 05/10/2063 (A)(B)		327		7



Description	Face Amount (Thousands)		Market Value ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
Wells Fargo Commercial Mortgage Trust, Ser 2015-NXS3, Cl NXS3
3.371%, 09/15/2057	$	160	$	168
WF-RBS Commercial Mortgage Trust, Ser 2012-C7, Cl XA, IO
1.480%, 06/15/2045 (A)(B)		1,064		19
WFRBS Commercial Mortgage Trust, Ser 2013-C13, Cl XA, IO
1.329%, 05/15/2045 (A)(B)		1,057		29
WFRBS Commercial Mortgage Trust, Ser 2014-C23, Cl XA, IO
0.712%, 10/15/2057 (A)		1,047		21
WFRBS Commercial Mortgage Trust, Ser 2014-C23, Cl B
4.526%, 10/15/2057 (A)		270		281
WFRBS Commercial Mortgage Trust, Ser C11, Cl AS
3.311%, 03/15/2045		160		165
WFRBS Commercial Mortgage Trust, Ser C2, Cl A4
4.869%, 02/15/2044 (A)(B)		770		779
WFRBS Commercial Mortgage Trust, Ser C4, Cl A4
4.902%, 06/15/2044 (A)(B)		1,796		1,824

				28,341

Total Mortgage-Backed Securities (Cost $124,429) ($ Thousands)				127,659


CORPORATE OBLIGATIONS — 35.2%
Communication Services — 3.2%
AT&T
4.250%, 03/01/2027		150		171
4.125%, 02/17/2026		408		465
3.849%, 11/27/2022 (B)(C)		2,000		1,957
3.000%, 06/30/2022		10		10
2.300%, 06/01/2027		120		124
Charter Communications Operating
5.050%, 03/30/2029		20		24
4.908%, 07/23/2025		310		355
4.800%, 03/01/2050		40		44
3.750%, 02/15/2028		20		22
Comcast
4.700%, 10/15/2048		20		27
4.150%, 10/15/2028		80		96
3.950%, 10/15/2025		210		241
3.750%, 04/01/2040		20		23
3.450%, 02/01/2050		70		80
3.400%, 04/01/2030		40		46
3.300%, 04/01/2027		30		34
3.250%, 11/01/2039		30		33



Description	Face Amount (Thousands)		Market Value ($ Thousands)
CORPORATE OBLIGATIONS (continued)
3.150%, 03/01/2026	$	30	$	33
3.100%, 04/01/2025		10		11
Comcast Cable Communications Holdings
9.455%, 11/15/2022		1,116		1,355
Cox Communications
3.250%, 12/15/2022 (B)		859		905
Fox
4.709%, 01/25/2029		40		48
Sprint Spectrum
3.360%, 09/20/2021 (B)		241		244
TCI Communications
7.875%, 02/15/2026		240		328
Telefonica Emisiones SAU
4.895%, 03/06/2048		340		410
Tencent Holdings MTN
3.595%, 01/19/2028 (B)		250		272
T-Mobile USA
3.875%, 04/15/2030 (B)		170		189
3.750%, 04/15/2027 (B)		20		22
3.500%, 04/15/2025 (B)		289		315
Verizon Communications
4.862%, 08/21/2046		40		54
4.329%, 09/21/2028		435		524
4.125%, 08/15/2046		40		50
4.000%, 03/22/2050		40		51
3.875%, 02/08/2029		30		36
3.850%, 11/01/2042		10		12
3.376%, 02/15/2025		282		314
3.000%, 03/22/2027		20		22
2.625%, 08/15/2026		513		558
Viacom
3.875%, 04/01/2024		20		21
Vodafone Group PLC
3.750%, 01/16/2024		410		448
Walt Disney
3.350%, 03/24/2025		469		520
3.000%, 09/15/2022		30		32

				10,526

Consumer Discretionary — 1.5%
Amazon.com
4.250%, 08/22/2057		10		13
3.150%, 08/22/2027		470		538
1.200%, 06/03/2027		20		20
BMW US Capital
1.850%, 09/15/2021 (B)		20		20
Cargill
1.375%, 07/23/2023 (B)		70		71
Dollar General
3.250%, 04/15/2023		10		11
General Motors
5.400%, 10/02/2023		576		623



Description	Face Amount (Thousands)		Market Value ($ Thousands)
CORPORATE OBLIGATIONS (continued)
General Motors Financial
4.150%, 06/19/2023	$	600	$	627
3.700%, 11/24/2020		80		80
3.700%, 05/09/2023		190		195
2.450%, 11/06/2020		30		30
Home Depot
3.900%, 12/06/2028		10		12
3.900%, 06/15/2047		10		12
3.350%, 04/15/2050		140		160
3.300%, 04/15/2040		40		45
2.500%, 04/15/2027		450		493
KazMunayGas National JSC
5.375%, 04/24/2030 (B)		400		452
Lowe’s
5.125%, 04/15/2050		100		136
5.000%, 04/15/2040		30		39
4.500%, 04/15/2030		30		37
McDonald’s MTN
4.200%, 04/01/2050		70		85
3.700%, 01/30/2026		20		23
3.625%, 09/01/2049		10		11
3.500%, 03/01/2027		20		23
3.350%, 04/01/2023		280		300
3.300%, 07/01/2025		50		56
1.450%, 09/01/2025		10		10
Newell Brands
4.350%, 04/01/2023		53		55
NIKE
3.375%, 03/27/2050		90		104
2.750%, 03/27/2027		40		44
2.400%, 03/27/2025		355		382
Starbucks
2.000%, 03/12/2027		136		142
Target
2.650%, 09/15/2030		100		110
2.250%, 04/15/2025		80		86
TJX
3.500%, 04/15/2025		50		56

				5,101

Consumer Staples — 0.8%
Coca-Cola
4.200%, 03/25/2050		190		248
4.125%, 03/25/2040		20		25
3.375%, 03/25/2027		30		34
2.950%, 03/25/2025		50		55
2.600%, 06/01/2050		20		20
1.450%, 06/01/2027		80		82
Costco Wholesale
1.600%, 04/20/2030		90		91
1.375%, 06/20/2027		120		123



Description	Face Amount (Thousands)		Market Value ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Hershey
0.900%, 06/01/2025	$	20	$	20
Kimberly-Clark
3.100%, 03/26/2030		20		23
Mars
3.200%, 04/01/2030 (B)		30		34
2.700%, 04/01/2025 (B)		60		64
Mondelez International
2.125%, 04/13/2023		30		31
1.500%, 05/04/2025		80		82
PepsiCo
3.875%, 03/19/2060		20		25
3.625%, 03/19/2050		30		36
3.000%, 08/25/2021		290		298
2.875%, 10/15/2049		20		22
2.750%, 03/05/2022		80		83
2.625%, 03/19/2027		10		11
2.250%, 03/19/2025		331		354
1.625%, 05/01/2030		70		71
0.750%, 05/01/2023		80		81
Procter & Gamble
3.600%, 03/25/2050		50		63
3.550%, 03/25/2040		50		60
3.000%, 03/25/2030		40		46
2.800%, 03/25/2027		10		11
2.450%, 03/25/2025		339		368
Walmart
3.550%, 06/26/2025		20		23
3.400%, 06/26/2023		30		33
3.050%, 07/08/2026		100		113

				2,630

Energy — 3.6%
Apache
3.250%, 04/15/2022		616		596
Berkshire Hathaway Energy
3.700%, 07/15/2030 (B)		140		164
BP Capital Markets America
3.790%, 02/06/2024		80		87
3.633%, 04/06/2030		50		57
3.410%, 02/11/2026		40		44
3.216%, 11/28/2023		90		97
3.119%, 05/04/2026		170		186
2.937%, 04/06/2023		281		297
BP Capital Markets PLC
3.535%, 11/04/2024		20		22
Cameron LNG
2.902%, 07/15/2031 (B)		60		64
Chevron
3.078%, 05/11/2050		10		11
2.100%, 05/16/2021		130		132
1.995%, 05/11/2027		40		42



Description	Face Amount (Thousands)		Market Value ($ Thousands)
CORPORATE OBLIGATIONS (continued)
1.554%, 05/11/2025	$	70	$	72
Cimarex Energy
4.375%, 06/01/2024		50		53
4.375%, 03/15/2029		50		51
3.900%, 05/15/2027		160		162
Concho Resources
4.375%, 01/15/2025		455		470
4.300%, 08/15/2028		30		33
3.750%, 10/01/2027		160		170
Continental Resources
5.000%, 09/15/2022		120		118
4.500%, 04/15/2023		150		144
4.375%, 01/15/2028		20		18
3.800%, 06/01/2024		190		178
Devon Energy
5.850%, 12/15/2025		210		232
Diamondback Energy
5.375%, 05/31/2025		50		51
3.250%, 12/01/2026		30		30
2.875%, 12/01/2024		290		290
Energy Transfer Operating
4.950%, 06/15/2028		10		11
3.750%, 05/15/2030		160		159
2.900%, 05/15/2025		40		41
Energy Transfer Partners
4.500%, 11/01/2023		60		64
Enterprise Products Operating
4.150%, 10/16/2028		140		160
3.900%, 02/15/2024		457		501
3.750%, 02/15/2025		100		111
3.125%, 07/31/2029		60		64
2.800%, 01/31/2030		170		177
EOG Resources
4.375%, 04/15/2030		30		36
4.150%, 01/15/2026		160		184
Exxon Mobil
4.327%, 03/19/2050		30		37
3.043%, 03/01/2026		150		165
2.992%, 03/19/2025		758		823
1.571%, 04/15/2023		717		736
Halliburton
3.250%, 11/15/2021		180		184
Kinder Morgan
4.300%, 06/01/2025		60		67
Kinder Morgan Energy Partners
3.500%, 03/01/2021		30		30
MidAmerican Energy
3.650%, 04/15/2029		140		167
MPLX
4.800%, 02/15/2029		50		56
4.125%, 03/01/2027		110		117
4.000%, 03/15/2028		40		42



Description	Face Amount (Thousands)		Market Value ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Noble Energy
3.850%, 01/15/2028	$	30	$	29
3.250%, 10/15/2029		80		73
Occidental Petroleum
5.550%, 03/15/2026		180		164
4.476%, 10/10/2036 (C)		2,000		840
4.100%, 02/01/2021		50		50
3.400%, 04/15/2026		80		65
3.200%, 08/15/2026		130		106
3.125%, 02/15/2022		100		96
3.000%, 02/15/2027		130		101
2.600%, 08/13/2021		250		244
Phillips 66
3.700%, 04/06/2023		582		622
Phillips 66 Partners
2.450%, 12/15/2024		413		425
Schlumberger Holdings
3.900%, 05/17/2028 (B)		456		492
Sinopec Group Overseas Development
4.375%, 04/10/2024 (B)		290		320
Tennessee Gas Pipeline
2.900%, 03/01/2030 (B)		160		164
Western Midstream Operating
4.050%, 02/01/2030		120		115
3.100%, 02/01/2025		30		28
2.161%, VAR ICE LIBOR USD 3 Month+0.850%, 01/13/2023		20		18
Williams
3.750%, 06/15/2027		390		417

				12,172

Financials — 14.9%
American Express
3.400%, 02/27/2023		972		1,040
2.650%, 12/02/2022		264		276
American International Group
2.500%, 06/30/2025		40		42
Anglo American Capital
3.625%, 09/11/2024 (B)		200		210
Banco Santander
4.379%, 04/12/2028		200		223
2.746%, 05/28/2025		200		207
2.431%, VAR ICE LIBOR USD 3 Month+1.120%, 04/12/2023		200		197
Bank of America
3.419%, VAR ICE LIBOR USD 3 Month+1.040%, 12/20/2028		234		261
3.004%, VAR ICE LIBOR USD 3 Month+0.790%, 12/20/2023		258		271
2.592%, VAR United States Secured Overnight Financing Rate+2.150%, 04/29/2031		80		85



Description	Face Amount (Thousands)		Market Value ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Bank of America MTN
4.450%, 03/03/2026	$	678	$	781
4.250%, 10/22/2026		10		11
4.200%, 08/26/2024		210		233
4.125%, 01/22/2024		370		411
4.100%, 07/24/2023		280		308
4.083%, 03/20/2051 (A)		190		238
4.000%, 04/01/2024		440		488
4.000%, 01/22/2025		80		88
3.974%, VAR ICE LIBOR USD 3 Month+1.210%, 02/07/2030		80		93
3.593%, VAR ICE LIBOR USD 3 Month+1.370%, 07/21/2028		210		235
3.550%, VAR ICE LIBOR USD 3 Month+0.780%, 03/05/2024		80		86
3.500%, 04/19/2026		130		146
3.300%, 01/11/2023		60		64
Bank of Montreal MTN
1.850%, 05/01/2025		130		135
Bank of New York Mellon MTN
3.300%, 08/23/2029		790		888
1.600%, 04/24/2025		40		41
Bank of Nova Scotia
1.625%, 05/01/2023		584		598
1.300%, 06/11/2025		70		70
Barclays Bank
2.650%, 01/11/2021		1,199		1,211
1.700%, 05/12/2022		200		204
BNP Paribas
5.198%, VAR ICE LIBOR USD 3 Month+2.567%, 01/10/2030 (B)		200		245
4.705%, VAR ICE LIBOR USD 3 Month+2.235%, 01/10/2025 (B)		270		299
4.400%, 08/14/2028 (B)		200		231
BPCE MTN
3.000%, 05/22/2022 (B)		640		662
Capital One Financial
3.300%, 10/30/2024		480		516
Charles Schwab
3.850%, 05/21/2025		110		125
Citigroup
8.125%, 07/15/2039		12		21
5.500%, 09/13/2025		150		178
5.300%, 05/06/2044		31		41
4.650%, 07/30/2045		28		36
4.450%, 09/29/2027		120		137
4.412%, VAR United States Secured Overnight Financing Rate+3.914%, 03/31/2031		100		119
4.400%, 06/10/2025		160		179
4.300%, 11/20/2026		40		45
4.125%, 07/25/2028		40		45



Description	Face Amount (Thousands)		Market Value ($ Thousands)
CORPORATE OBLIGATIONS (continued)
4.075%, VAR ICE LIBOR USD 3 Month+1.192%, 04/23/2029	$	240	$	274
4.050%, 07/30/2022		40		42
3.668%, VAR ICE LIBOR USD 3 Month+1.390%, 07/24/2028		340		379
3.500%, 05/15/2023		100		107
3.400%, 05/01/2026		354		392
3.200%, 10/21/2026		287		315
3.106%, VAR United States Secured Overnight Financing Rate+2.750%, 04/08/2026		50		54
2.572%, VAR United States Secured Overnight Financing Rate+2.107%, 06/03/2031		200		207
1.678%, VAR United States Secured Overnight Financing Rate+1.667%, 05/15/2024		903		921
Cooperatieve Rabobank UA
3.950%, 11/09/2022		670		709
3.875%, 09/26/2023 (B)		595		650
Credit Suisse Group
4.194%, VAR United States Secured Overnight Financing Rate+3.730%, 04/01/2031 (B)		250		285
Credit Suisse NY
2.950%, 04/09/2025		250		271
Daiwa Securities Group
3.129%, 04/19/2022 (B)		50		52
Danske Bank
5.000%, 01/12/2022 (B)		200		210
3.001%, VAR ICE LIBOR USD 3 Month+1.249%, 09/20/2022 (B)		200		203
1.226%, 06/22/2024 (B)		200		201
Equitable Financial Life Global Funding
1.400%, 07/07/2025 (B)		673		674
Ferguson Finance
4.500%, 10/24/2028 (B)		459		510
Goldman Sachs Group
5.750%, 01/24/2022		662		714
5.150%, 05/22/2045		20		26
4.750%, 10/21/2045		40		52
4.250%, 10/21/2025		90		101
4.223%, VAR ICE LIBOR USD 3 Month+1.301%, 05/01/2029		550		640
3.800%, 03/15/2030		530		602
3.691%, VAR ICE LIBOR USD 3 Month+1.510%, 06/05/2028		300		336
3.500%, 04/01/2025		80		88
3.500%, 11/16/2026		90		99
Goldman Sachs Group MTN
4.000%, 03/03/2024		420		465
Guardian Life Global Funding
1.100%, 06/23/2025 (B)		30		30



Description	Face Amount (Thousands)		Market Value ($ Thousands)
CORPORATE OBLIGATIONS (continued)
HSBC Holdings
4.950%, 03/31/2030	$	200	$	240
2.099%, VAR United States Secured Overnight Financing Rate+1.929%, 06/04/2026		200		202
HSBC Holdings PLC
4.583%, VAR ICE LIBOR USD 3 Month+1.535%, 06/19/2029		400		462
2.950%, 05/25/2021		380		388
Intesa Sanpaolo
3.375%, 01/12/2023 (B)		200		206
JPMorgan Chase
4.500%, 01/24/2022		786		834
4.452%, VAR ICE LIBOR USD 3 Month+1.330%, 12/05/2029		200		240
4.203%, VAR ICE LIBOR USD 3 Month+1.260%, 07/23/2029		773		906
4.023%, VAR ICE LIBOR USD 3 Month+1.000%, 12/05/2024		230		253
4.005%, VAR ICE LIBOR USD 3 Month+1.120%, 04/23/2029		100		115
3.875%, 09/10/2024		290		322
2.550%, 03/01/2021		30		30
2.522%, VAR United States Secured Overnight Financing Rate+2.040%, 04/22/2031		110		116
2.083%, VAR United States Secured Overnight Financing Rate+1.850%, 04/22/2026		130		135
1.514%, VAR United States Secured Overnight Financing Rate+1.455%, 06/01/2024		210		214
KKR Group Finance VI
3.750%, 07/01/2029 (B)		1,149		1,319
Liberty Mutual Group
4.569%, 02/01/2029 (B)		321		376
4.250%, 06/15/2023 (B)		91		99
Lincoln National
3.400%, 01/15/2031		451		490
Lloyds Banking Group
2.858%, VAR ICE LIBOR USD 3 Month+1.249%, 03/17/2023		434		447
1.326%, VAR US Treas Yield Curve Rate T Note Const Mat 1 Yr+1.100%, 06/15/2023		360		362
Macquarie Bank
2.300%, 01/22/2025 (B)		1,188		1,244
MassMutual Global Funding II MTN
0.850%, 06/09/2023 (B)		220		221
Mitsubishi UFJ Financial Group
3.407%, 03/07/2024		510		551
Morgan Stanley MTN
5.597%, 03/24/2051 (A)		30		46



Description	Face Amount (Thousands)		Market Value ($ Thousands)
CORPORATE OBLIGATIONS (continued)
3.772%, VAR ICE LIBOR USD 3 Month+1.140%, 01/24/2029	$	150	$	171
3.750%, 02/25/2023		1,110		1,198
3.622%, VAR United States Secured Overnight Financing Rate+3.120%, 04/01/2031		475		542
2.699%, VAR United States Secured Overnight Financing Rate+1.143%, 01/22/2031		100		106
2.188%, VAR United States Secured Overnight Financing Rate+1.990%, 04/28/2026		200		208
National Rural Utilities Cooperative Finance
2.850%, 01/27/2025		1,060		1,164
National Securities Clearing
1.500%, 04/23/2025 (B)		1,046		1,070
1.200%, 04/23/2023 (B)		250		253
New York Life Global Funding
0.950%, 06/24/2025 (B)		60		60
ORIX
4.050%, 01/16/2024		365		401
Peachtree Corners Funding Trust
3.976%, 02/15/2025 (B)		944		1,031
Penske Truck Leasing Lp
3.900%, 02/01/2024 (B)		965		1,029
Principal Life Global Funding II
2.625%, 11/19/2020 (B)		570		575
1.250%, 06/23/2025 (B)		20		20
Royal Bank of Canada MTN
2.150%, 10/26/2020		70		70
1.600%, 04/17/2023		120		123
1.150%, 06/10/2025		70		70
Royal Bank of Scotland Group
4.269%, VAR ICE LIBOR USD 3 Month+1.762%, 03/22/2025		200		218
Royal Bank of Scotland Group PLC
4.519%, VAR ICE LIBOR USD 3 Month+1.550%, 06/25/2024		290		315
Santander UK Group Holdings PLC
3.571%, 01/10/2023		200		208
SMBC Aviation Capital Finance DAC
4.125%, 07/15/2023 (B)		200		208
State Street
3.152%, VAR United States Secured Overnight Financing Rate+2.650%, 03/30/2031 (B)		50		56
SunTrust Bank
2.800%, 05/17/2022		1,146		1,193
Svenska Handelsbanken MTN
3.350%, 05/24/2021		250		256
Swedbank
1.300%, 06/02/2023 (B)		200		202



Description	Face Amount (Thousands)		Market Value ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Toronto-Dominion Bank MTN
1.150%, 06/12/2025	$	918	$	929
0.750%, 06/12/2023		130		131
UBS
1.750%, 04/21/2022 (B)		611		623
UBS Group Funding Jersey
4.125%, 04/15/2026 (B)		634		721
UBS Group Funding Switzerland
4.253%, 03/23/2028 (B)		250		284
3.491%, 05/23/2023 (B)		390		408
US Bancorp
3.375%, 02/05/2024		540		590
1.450%, 05/12/2025		160		165
USAA Capital
2.125%, 05/01/2030 (B)		150		154
USAA Capital MTN
2.625%, 06/01/2021 (B)		350		357
Wells Fargo
3.069%, 01/24/2023		808		837
3.000%, 10/23/2026		190		207
2.188%, VAR United States Secured Overnight Financing Rate+2.000%, 04/30/2026		130		134
Wells Fargo MTN
5.013%, 04/04/2051 (A)		440		611
4.900%, 11/17/2045		30		39
4.600%, 04/01/2021		480		495
4.478%, VAR ICE LIBOR USD 3 Month+3.770%, 04/04/2031		50		60
4.300%, 07/22/2027		200		230
3.750%, 01/24/2024		540		590
3.450%, 02/13/2023		120		127
2.393%, VAR United States Secured Overnight Financing Rate+2.100%, 06/02/2028		90		93
1.654%, VAR United States Secured Overnight Financing Rate+1.600%, 06/02/2024		160		163

				50,142

Health Care — 3.2%
Abbott Laboratories
3.400%, 11/30/2023		175		191
AbbVie
4.250%, 11/21/2049 (B)		30		36
3.800%, 03/15/2025 (B)		40		44
3.750%, 11/14/2023		20		22
3.600%, 05/14/2025		10		11
3.450%, 03/15/2022 (B)		120		125
3.200%, 11/21/2029 (B)		40		44
2.950%, 11/21/2026 (B)		20		22
2.600%, 11/21/2024 (B)		140		149



Description	Face Amount (Thousands)		Market Value ($ Thousands)
CORPORATE OBLIGATIONS (continued)
2.300%, 11/21/2022 (B)	$	1,046	$	1,082
Adventist Health System
2.433%, 09/01/2024		431		447
Aetna
2.800%, 06/15/2023		20		21
Anthem
3.125%, 05/15/2022		340		356
Baylor Scott & White Holdings
1.947%, 11/15/2021		1,226		1,229
Becton Dickinson
4.685%, 12/15/2044		40		49
3.734%, 12/15/2024		24		26
3.363%, 06/06/2024		210		227
Bristol-Myers Squibb
3.875%, 08/15/2025 (B)		150		171
3.550%, 08/15/2022 (B)		60		64
3.400%, 07/26/2029 (B)		50		58
3.200%, 06/15/2026 (B)		120		135
2.900%, 07/26/2024 (B)		240		260
2.600%, 05/16/2022 (B)		80		83
2.250%, 08/15/2021 (B)		70		71
Cigna
4.375%, 10/15/2028		120		142
4.125%, 11/15/2025		50		57
3.750%, 07/15/2023		30		33
3.500%, 06/15/2024 (B)		160		175
3.400%, 09/17/2021		60		62
CommonSpirit Health
4.200%, 08/01/2023		473		504
CVS Health
5.050%, 03/25/2048		60		79
4.300%, 03/25/2028		80		94
3.875%, 07/20/2025		95		107
3.625%, 04/01/2027		180		202
3.350%, 03/09/2021		32		33
2.800%, 07/20/2020		190		190
CVS Pass-Through Trust
7.507%, 01/10/2032 (B)		1,123		1,400
Eli Lilly
2.350%, 05/15/2022		170		177
Gilead Sciences
2.550%, 09/01/2020		20		20
2.500%, 09/01/2023		50		53
Humana
4.500%, 04/01/2025		10		11
3.150%, 12/01/2022		240		251
2.900%, 12/15/2022		290		303
Merck
1.450%, 06/24/2030		50		50
0.750%, 02/24/2026		80		80
Pfizer
2.625%, 04/01/2030		100		110



Description	Face Amount (Thousands)		Market Value ($ Thousands)
CORPORATE OBLIGATIONS (continued)
1.700%, 05/28/2030	$	50	$	51
0.800%, 05/28/2025		110		110
SSM Health Care
3.688%, 06/01/2023		644		691
Teva Pharmaceutical Finance BV
2.950%, 12/18/2022		30		29
Thermo Fisher Scientific
4.133%, 03/25/2025		463		528
Unitedhealth
3.125%, 05/15/2060		10		11
UnitedHealth Group
4.450%, 12/15/2048		10		13
4.250%, 06/15/2048		10		13
3.875%, 12/15/2028		30		36
3.750%, 07/15/2025		30		34
3.500%, 06/15/2023		20		22
2.875%, 12/15/2021		50		52
2.700%, 07/15/2020		70		70
2.375%, 10/15/2022		10		10
2.000%, 05/15/2030		30		31
1.250%, 01/15/2026		20		20

				10,777

Industrials — 2.7%
3M
3.700%, 04/15/2050		180		214
2.375%, 08/26/2029		30		32
AerCap Ireland Capital DAC
4.625%, 10/30/2020		730		733
4.500%, 05/15/2021		310		312
American Airlines, Ser 2016-3, Cl A
3.250%, 10/15/2028		1,056		863
American Airlines Pass-Through Trust, Ser 2013-2, Cl A
4.950%, 01/15/2023		271		220
Aviation Capital Group
4.125%, 08/01/2025 (B)		160		143
Burlington Northern and Santa Fe Railway Pass-Through Trust, Ser 2002-2
5.140%, 01/15/2021		—		—
Burlington Northern Santa Fe
4.550%, 09/01/2044		10		13
Carrier Global
2.700%, 02/15/2031 (B)		20		20
Continental Airlines Pass-Through Trust, Ser 2012-2, Cl A
4.000%, 10/29/2024		612		559
Deere
3.750%, 04/15/2050		60		74
3.100%, 04/15/2030		10		11



Description	Face Amount (Thousands)		Market Value ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Delta Air Lines Pass-Through Trust, Ser 2015- 1, Cl AA
3.625%, 07/30/2027	$	530	$	524
Delta Air Lines Pass-Through Trust, Ser 2019- 1, Cl AA
3.204%, 04/25/2024		621		622
Eaton
2.750%, 11/02/2022		450		473
FedEx
3.800%, 05/15/2025		722		803
General Electric
4.350%, 05/01/2050		40		39
4.250%, 05/01/2040		30		30
3.625%, 05/01/2030		30		30
3.450%, 05/01/2027		20		20
General Electric MTN
6.875%, 01/10/2039		30		37
Honeywell International
1.350%, 06/01/2025		50		51
International Lease Finance
5.875%, 08/15/2022		400		421
Nutrien
1.900%, 05/13/2023		501		517
Republic Services
3.200%, 03/15/2025		180		197
Ryder System MTN
3.350%, 09/01/2025		836		891
Union Pacific
3.950%, 09/10/2028		20		24
3.750%, 07/15/2025		20		23
United Airlines Pass-Through Trust, Ser 2014- 1, Cl A
4.000%, 04/11/2026		682		625
United Parcel Service
3.900%, 04/01/2025		398		452
Waste Management
3.500%, 05/15/2024		120		131
3.450%, 06/15/2029		30		31
3.200%, 06/15/2026		30		31

				9,166

Information Technology — 2.3%
Adobe
2.300%, 02/01/2030		210		227
Apple
3.350%, 02/09/2027		210		239
2.900%, 09/12/2027		110		123
2.450%, 08/04/2026		70		76
2.000%, 11/13/2020		80		81
1.125%, 05/11/2025		130		133
Broadcom
4.700%, 04/15/2025 (B)		180		203



Description	Face Amount (Thousands)		Market Value ($ Thousands)
CORPORATE OBLIGATIONS (continued)
4.110%, 09/15/2028 (B)	$	515	$	561
3.150%, 11/15/2025 (B)		140		149
2.250%, 11/15/2023 (B)		100		103
Diamond 1 Finance
4.420%, 06/15/2021 (B)		430		442
Intel
4.950%, 03/25/2060		30		44
4.750%, 03/25/2050		160		226
4.600%, 03/25/2040		10		13
3.700%, 07/29/2025		30		34
Mastercard
3.850%, 03/26/2050		10		12
3.375%, 04/01/2024		190		210
Micron Technology
2.497%, 04/24/2023		70		73
Microsoft
3.300%, 02/06/2027		90		103
2.400%, 02/06/2022		150		155
1.550%, 08/08/2021		110		112
NVIDIA
3.700%, 04/01/2060		90		107
3.500%, 04/01/2040		130		152
3.500%, 04/01/2050		330		377
2.850%, 04/01/2030		40		44
NXP BV
4.625%, 06/01/2023 (B)		479		525
2.700%, 05/01/2025 (B)		40		42
Oracle
2.500%, 10/15/2022		130		136
2.500%, 04/01/2025		738		790
PayPal Holdings
1.650%, 06/01/2025		60		62
1.350%, 06/01/2023		571		582
salesforce.com
3.700%, 04/11/2028		150		175
3.250%, 04/11/2023		70		75
Texas Instruments
1.750%, 05/04/2030		40		41
Visa
4.300%, 12/14/2045		10		13
3.150%, 12/14/2025		110		123
2.200%, 12/14/2020		300		302
1.900%, 04/15/2027		879		919

				7,784

Materials — 0.6%
ArcelorMittal
4.550%, 03/11/2026		100		101
3.600%, 07/16/2024		180		178
Equate Petrochemical BV MTN
4.250%, 11/03/2026 (B)		200		211



Description	Face Amount (Thousands)		Market Value ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Glencore Funding
4.125%, 05/30/2023 (B)	$	890	$	952
4.125%, 03/12/2024 (B)		110		118
4.000%, 03/27/2027 (B)		110		118
Southern Copper
3.500%, 11/08/2022		130		136
Vale Overseas
6.250%, 08/10/2026		140		165

				1,979

Real Estate — 0.6%
American Tower Trust, Ser 2013-13, Cl 2A
3.070%, 03/15/2048 (B)		620		634
Digital Realty Trust
3.600%, 07/01/2029		815		936
Ventas Realty
3.500%, 02/01/2025		488		504

				2,074

Utilities — 1.8%
Aquarion
4.000%, 08/15/2024 (B)		227		250
Commonwealth Edison
3.700%, 08/15/2028		468		542
Dominion Energy
2.579%, 07/01/2020		260		260
Duke Energy
3.550%, 09/15/2021		170		175
2.400%, 08/15/2022		150		156
Duke Energy Florida
3.200%, 01/15/2027		440		491
FirstEnergy
4.250%, 03/15/2023		380		411
2.850%, 07/15/2022		330		342
1.600%, 01/15/2026		30		30
NextEra Energy Capital Holdings
2.403%, 09/01/2021		513		525
Northern States Power
7.125%, 07/01/2025		1,190		1,518
Pacific Gas and Electric
2.100%, 08/01/2027		130		129
1.750%, 06/16/2022		100		100
Perusahaan Listrik Negara MTN
5.450%, 05/21/2028 (B)		370		426
Public Service Enterprise Group
2.875%, 06/15/2024		713		761

				6,116

Total Corporate Obligations (Cost $111,799) ($ Thousands)				118,467



Description	Face Amount (Thousands)		Market Value ($ Thousands)
U.S. TREASURY OBLIGATIONS — 8.4%
U.S. Treasury Bills
0.180%, 10/15/2020 (C)	$	1,510	$	1,509
0.166%, 10/08/2020 (C)		310		310
0.155%, 10/22/2020 (C)		2,450		2,449
0.135%, 08/18/2020 (C)		1,170		1,170
U.S. Treasury Bonds
2.000%, 02/15/2050		730		836
1.250%, 05/15/2050		810		778
U.S. Treasury Inflation-Protected Securities
2.375%, 01/15/2025		177		203
1.750%, 01/15/2028		86		102
1.375%, 02/15/2044		539		735
1.000%, 02/15/2046		390		504
1.000%, 02/15/2048		457		604
1.000%, 02/15/2049		2,160		2,825
0.750%, 02/15/2042		465		557
0.250%, 02/15/2050		768		861
0.125%, 10/15/2024		3,005		3,147
0.125%, 01/15/2030		764		826
U.S. Treasury Notes
0.625%, 05/15/2030		1,292		1,288
0.500%, 03/15/2023		976		985
0.500%, 04/30/2027		10		10
0.375%, 03/31/2022		2,923		2,933
0.375%, 04/30/2025		2,097		2,107
0.250%, 05/31/2025		1,030		1,029
0.125%, 04/30/2022		2,442		2,440

Total U.S. Treasury Obligations (Cost $26,921) ($ Thousands)				28,208


ASSET-BACKED SECURITIES — 8.3%
Automotive — 1.9%
Avis Budget Rental Car Funding AESOP, Ser 2017-2A, Cl A
2.970%, 03/20/2024 (B)		310		311
Avis Budget Rental Car Funding AESOP, Ser 2019-2A, Cl A
3.350%, 09/22/2025 (B)		320		324
Capital One Prime Auto Receivables Trust, Ser 2019-2, Cl A4
1.960%, 02/18/2025		1,662		1,719
Hertz Vehicle Financing II, Ser 2018-1A, Cl A
3.290%, 02/25/2024 (B)		201		200
Honda Auto Receivables Owner Trust, Ser 2019-2, Cl A3
2.520%, 06/21/2023		572		589
NextGear Floorplan Master Owner Trust, Ser 2019-1A, Cl A2
3.210%, 02/15/2024 (B)		1,182		1,193



Description	Face Amount (Thousands)		Market Value ($ Thousands)
ASSET-BACKED SECURITIES (continued)
NextGear Floorplan Master Owner Trust, Ser 2019-2A, Cl A2
2.070%, 10/15/2024 (B)	$	556	$	548
World Omni Auto Receivables Trust, Ser 2019-B, Cl A3
2.590%, 07/15/2024		1,299		1,334

				6,218

Home — 0.3%
Citifinancial Mortgage Securities, Ser 2004- 1, Cl AF4
5.070%, 04/25/2034		194		201
Lake Country Mortgage Loan Trust, Ser 2006-HE1, Cl M5
2.185%, VAR ICE LIBOR USD 1 Month+2.000%, 07/25/2034 (B)		390		398
Master Asset-Backed Securities Trust, Ser 2007-NCW, Cl A1
0.485%, VAR ICE LIBOR USD 1 Month+0.300%, 05/25/2037 (B)		206		184
New Century Home Equity Loan Trust, Ser 2003-A, Cl A
0.905%, VAR ICE LIBOR USD 1 Month+0.720%, 10/25/2033 (B)		82		78
Tricon American Homes Trust, Ser 2019- SFR1, Cl A
2.750%, 03/17/2038 (B)		272		283

				1,144

Other Asset-Backed Securities — 6.1%
AEP Texas Restoration Funding, Ser 2019-1, Cl A2
2.294%, 08/01/2031		1,646		1,723
Ameriquest Mortgage Securities Asset- Backed Pass-Through Certificates, Ser 2005-R7, Cl M2
0.685%, VAR ICE LIBOR USD 1 Month+0.500%, 09/25/2035		267		266
Applebee’s Funding, Ser 2019-1A, Cl A2I
4.194%, 06/07/2049 (B)		300		266
Atrium Hotel Portfolio Trust, Ser ATRM, Cl C
2.355%, VAR ICE LIBOR USD 1 Month+1.650%, 12/15/2036 (B)		410		356
Citigroup Mortgage Loan Trust, Ser 2007- WFH3, Cl A3
0.435%, VAR ICE LIBOR USD 1 Month+0.250%, 06/25/2037		209		207
Countrywide Asset-Backed Certificates, Ser 2007-13, Cl 2A2M
1.435%, VAR ICE LIBOR USD 1 Month+1.250%, 10/25/2047		147		140



Description	Face Amount (Thousands)		Market Value ($ Thousands)
ASSET-BACKED SECURITIES (continued)
Countrywide Home Equity Loan Trust, Ser 2006-F, Cl 2A1A
0.325%, VAR ICE LIBOR USD 1 Month+0.140%, 07/15/2036	$	297	$	266
DB Master Finance, Ser 2017-1A, Cl A2I
3.629%, 11/20/2047 (B)		429		443
Domino’s Pizza Master Issuer, Ser 2017-1A, Cl A2I
2.241%, VAR ICE LIBOR USD 3 Month+1.250%, 07/25/2047 (B)		693		687
Education Loan Asset-Backed Trust, Ser 2013-1, Cl A2
0.985%, VAR ICE LIBOR USD 1 Month+0.800%, 04/26/2032 (B)		500		489
Invitation Homes Trust, Ser 2018-SFR1, Cl A
0.894%, VAR ICE LIBOR USD 1 Month+0.700%, 03/17/2037 (B)		1,342		1,318
MMAF Equipment Finance, Ser 2018-A, Cl A3
3.200%, 09/12/2022 (B)		1,255		1,276
Morgan Stanley ABS Capital I Trust, Ser 2004-NC7, Cl M1
1.040%, VAR ICE LIBOR USD 1 Month+0.855%, 07/25/2034		465		439
Navient Student Loan Trust, Ser 2016-6A, Cl A3
1.485%, VAR ICE LIBOR USD 1 Month+1.300%, 03/25/2066 (B)		900		871
Progress Residential Trust, Ser 2018-SFR3, Cl A
3.880%, 10/17/2035 (B)		640		660
Progress Residential Trust, Ser 2019-SFR2, Cl A
3.147%, 05/17/2036 (B)		302		312
RAAC Series Trust, Ser 2005-SP3, Cl M2
0.985%, VAR ICE LIBOR USD 1 Month+0.800%, 12/25/2035		390		385
Sabey Data Center Issuer, Ser 2020-1, Cl A2
3.812%, 04/20/2045 (B)		339		344
SBA Small Business Investment, Ser 2019- 10A, Cl 1
3.113%, 03/10/2029		181		193
Shops at Crystals Trust, Ser CSTL, Cl A
3.126%, 07/05/2036 (B)		100		95
SLC Student Loan Trust, Ser 2010-1, Cl A
1.235%, VAR ICE LIBOR USD 3 Month+0.875%, 11/25/2042		248		247
SLM Private Credit Student Loan Trust, Ser 2006-A, Cl A5
0.603%, VAR ICE LIBOR USD 3 Month+0.290%, 06/15/2039		261		242
SLM Student Loan Trust, Ser 2003-7A, Cl A5A
1.513%, VAR ICE LIBOR USD 3 Month+1.200%, 12/15/2033 (B)		134		129



Description	Face Amount (Thousands)		Market Value ($ Thousands)
ASSET-BACKED SECURITIES (continued)
Stack Infrastructure Issuer, Ser 2019-1A, Cl A2
4.540%, 02/25/2044 (B)	$	467	$	489
Store Master Funding I-VII, Ser 2018-1A, Cl A1
3.960%, 10/20/2048 (B)		378		379
Store Master Funding I-VII, Ser 2019-1, Cl A1
2.820%, 11/20/2049 (B)		327		328
United States Small Business Administration, Ser 2010-20H, Cl 1
3.520%, 08/01/2030		263		280
United States Small Business Administration, Ser 2011-20B, Cl 1
4.220%, 02/01/2031		267		294
United States Small Business Administration, Ser 2011-20J, Cl 1
2.760%, 10/01/2031		155		164
United States Small Business Administration, Ser 2013-20K, Cl 1
3.380%, 11/01/2033		706		757
United States Small Business Administration, Ser 2014-20F, Cl 1
2.990%, 06/01/2034		800		848
United States Small Business Administration, Ser 2015-20C, Cl 1
2.720%, 03/01/2035		805		842
United States Small Business Administration, Ser 2015-20E, Cl 1
2.770%, 05/01/2035		451		483
United States Small Business Administration, Ser 2015-20K, Cl 1
2.700%, 11/01/2035		468		495
United States Small Business Administration, Ser 2017-20J, Cl 1
2.850%, 10/01/2037		623		664
United States Small Business Administration, Ser 2018-20E, Cl 1
3.500%, 05/01/2038		1,211		1,330
United States Small Business Administration, Ser 2018-20J, Cl 1
3.770%, 10/01/2038		616		689
United States Small Business Administration, Ser 2019-25G, Cl 1
2.690%, 07/01/2044		59		63
Verizon Owner Trust, Ser 2019-B, Cl A1A
2.330%, 12/20/2023		624		640
Wendy’s Funding, Ser 2019-1A, Cl A2I
3.783%, 06/15/2049 (B)		333		352

				20,451

Total Asset-Backed Securities (Cost $27,329) ($ Thousands)				27,813



Description	Face Amount (Thousands)		Market Value ($ Thousands)
U.S. GOVERNMENT AGENCY OBLIGATIONS — 3.0%
FHLB DN
0.150%, 08/17/2020 (C)	$	320	$	320
FHLMC
6.500%, 12/01/2035		669		755
6.000%, 03/01/2035		1,060		1,239
5.000%, 10/01/2048		51		56
4.000%, 04/01/2048		5		5
4.000%, 05/01/2048		43		46
3.000%, 11/01/2043		587		627
2.375%, 01/13/2022		1,090		1,126
FNMA
4.500%, 09/01/2057		211		236
4.000%, 02/01/2056		64		71
4.000%, 06/01/2057		70		77
3.500%, 10/01/2047		1,036		1,095
3.500%, 07/01/2048		352		373
3.500%, 02/01/2049		82		89
3.000%, 03/01/2046		1,161		1,260
3.000%, 05/01/2046		78		84
3.000%, 07/01/2046		134		143
3.000%, 10/01/2046		208		225
3.000%, 11/01/2046		832		880
3.000%, 09/01/2047		317		339
FNMA, Ser M1, Cl A2
3.673%, 09/25/2028 (A)		300		351
Tennessee Valley Authority
3.875%, 02/15/2021		790		808

Total U.S. Government Agency Obligations (Cost $9,612) ($ Thousands)				10,205


SOVEREIGN DEBT — 3.0%
Abu Dhabi Government International Bond
2.500%, 10/11/2022 (B)		490		506
Colombia Government International Bond
5.625%, 02/26/2044		280		336
5.200%, 05/15/2049		310		364
4.500%, 03/15/2029		200		220
Indonesia Government International Bond MTN
5.125%, 01/15/2045 (B)		200		245
3.850%, 07/18/2027 (B)		200		216
3.750%, 04/25/2022		370		384
Kuwait International Government Bond
3.500%, 03/20/2027 (B)		210		234
Mexico Government International Bond
4.000%, 10/02/2023		610		651
3.600%, 01/30/2025		380		403
Panama Government International Bond
6.700%, 01/26/2036		190		273



Description	Face Amount (Thousands)		Market Value ($ Thousands)
SOVEREIGN DEBT (continued)
4.300%, 04/29/2053	$	300	$	357
Peruvian Government International Bond
6.550%, 03/14/2037		250		380
5.625%, 11/18/2050		310		489
Poland Government International Bond
5.125%, 04/21/2021		440		457
4.000%, 01/22/2024		450		499
Province of Quebec Canada
2.625%, 02/13/2023		500		528
Province of Quebec Canada, Ser A MTN
6.350%, 01/30/2026		1,010		1,302
Qatar Government International Bond
3.250%, 06/02/2026		370		401
Russian Foreign Bond—Eurobond
7.500%, 03/31/2030		132		151
5.875%, 09/16/2043		400		562
5.625%, 04/04/2042		400		542
Uruguay Government International Bond
4.375%, 01/23/2031		390		456

Total Sovereign Debt (Cost $8,845) ($ Thousands)				9,956


FOREIGN BONDS — 1.9%
Banco Santander
3.125%, 02/23/2023		200		208
Banco Santander Chile
2.500%, 12/15/2020 (B)		240		241
Barclays Bank
10.179%, 06/12/2021 (B)		370		400
BHP Billiton Finance USA
2.875%, 02/24/2022		10		10
BP Capital Markets
3.062%, 03/17/2022		20		21
BP Capital Markets PLC
3.561%, 11/01/2021		230		239
CNOOC Finance
3.500%, 05/05/2025		330		360
Cooperatieve Rabobank UA
4.375%, 08/04/2025		500		563
Ecopetrol
5.375%, 06/26/2026		140		147
HSBC Holdings PLC
4.250%, 08/18/2025		230		251
Intesa Sanpaolo
5.017%, 06/26/2024 (B)		200		205
3.125%, 07/14/2022 (B)		200		204
OCP
4.500%, 10/22/2025 (B)		400		416
Petrobras Global Finance BV
6.850%, 06/05/2115		150		149



Description	Face Amount (Thousands)		Market Value ($ Thousands)
FOREIGN BONDS (continued)
Petroleos del Peru
4.750%, 06/19/2032 (B)	$	400	$	444
Petroleos Mexicanos
4.875%, 01/18/2024		190		182
Shell International Finance BV
3.250%, 05/11/2025		150		166
3.250%, 04/06/2050		160		170
2.875%, 05/10/2026		40		44
2.750%, 04/06/2030		40		43
2.375%, 04/06/2025		548		582
2.250%, 11/10/2020		360		363
1.750%, 09/12/2021		690		700
Teva Pharmaceutical Finance Netherlands III BV
2.200%, 07/21/2021		227		222
Vale Overseas
6.875%, 11/21/2036		48		63

Total Foreign Bonds (Cost $6,024) ($ Thousands)				6,393


MUNICIPAL BONDS — 1.1%
Florida — 0.1%
Florida State, Board of Administration Finance, Ser A, RB
2.638%, 07/01/2021		420		429

Michigan — 0.2%
Michigan State, Finance Authority, RB Callable 03/01/2024 @ 100
2.988%, 09/01/2049 (D)		755		761

Missouri — 0.2%
University of Missouri, System Facilities, RB Callable 10/01/2025 @ 100
1.714%, 11/01/2025		725		752

New Jersey — 0.1%
New Jersey State, Transportation Trust Fund Authority, RB
2.551%, 06/15/2023		125		120

New York — 0.2%
New York State, Urban Development, RB
3.350%, 03/15/2026		665		731



Description	Face Amount (Thousands)		Market Value ($ Thousands)
MUNICIPAL BONDS (continued)
Wisconsin — 0.3%
Wisconsin State, Ser A, RB, AGM
5.700%, 05/01/2026	$	795	$	914

Total Municipal Bonds (Cost $3,574) ($ Thousands)				3,707


	Shares
CASH EQUIVALENT — 2.9%
SEI Daily Income Trust, Government Fund, Cl F
0.030%**^†		9,706,589		9,707

Total Cash Equivalent (Cost $9,707) ($ Thousands)				9,707

Total Investments in Securities — 101.8% (Cost $328,240) ($ Thousands)			$	342,115

A list of the open futures contracts held by the Fund at June 30, 2020 are as follows:

The futures contracts are considered to have interest rate risk associated with them.

Percentages are based on Net Assets of $336,213 ($ Thousands).

The rate reported is the 7-day effective yield as of June 30, 2020.

^†

Investment in Affiliated Security (see Note 3).

(A)

Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets.

(B)

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 institutions. On June 30, 2020, the value of these securities amounted to $62,321 ($ Thousands), representing 18.5% of the Net Assets of the Fund.

(C)

Zero coupon security. The rate shown on the Schedule of Investments is the security’s effective yield at the time of purchase.

(D)

Variable or floating rate security, the interest rate of which adjusts periodically based on prevailing interest rates.

AGM – Assured Guaranty Municipal

Cl – Class

CMO – Collateralized Mortgage Obligation

DAC – Designated Activity Company

DN – Discount Note

FHLB – Federal Home Loan Bank

FHLMC – Federal Home Loan Mortgage Corporation

FNMA – Federal National Mortgage Association

GNMA – Government National Mortgage Association

ICE – Intercontinental Exchange

IO – Interest Only - face amount represents notional amount.

LIBOR – London Interbank Offered Rate

MTN – Medium Term Note

PLC – Public Limited Company

RB – Revenue Bond

Ser – Series

TBA – To Be Announced

UMBS – Uniform Mortgage Backed Securities

USD – United States Dollar

VAR – Variable Rate

The following is a list of the levels of inputs used as of June 30, 2020 in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):

Investments in Securities

Level 1

($)

Level 2

($)

Level 3

($)

Total

($)

Mortgage-Backed Securities

–

127,659

–

127,659

Corporate Obligations

–

118,467

–

118,467

U.S. Treasury Obligations

–

28,208

–

28,208

Asset-Backed Securities

–

27,813

–

27,813

U.S. Government Agency Obligations

–

10,205

–

10,205

Sovereign Debt

–

9,956

–

9,956

Foreign Bonds

–

6,393

–

6,393

Municipal Bonds

–

3,707

–

3,707

Cash Equivalent

9,707

–

9,707

Total Investments in Securities

9,707

332,408

–

342,115



Other Financial Instruments	Level 1 ($)			Level 2 ($)		Level 3 ($)		Total ($)
Futures Contracts *
Unrealized Appreciation		410			—		—		410
Unrealized Depreciation		(573	)		—		—		(573	)

Total Other Financial Instruments		(163	)		—		—		(163	)

* Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument.

For the year ended June 30, 2020, there were no transfers in or out of Level 3.

Amounts designated as “-” are either $0 or have been rounded to $0.

For more information on valuation inputs, see Note 2 – Significant Accounting Policies in Notes to Financial Statements.

The following is a summary of the transactions with affiliates for the year ended June 30, 2020 ($ Thousands):

Sector Weightings (Unaudited)^†:

LOGO

^†Percentages are based on total investments.



Description	Shares		Market Value ($ Thousands)
AFFILIATED INVESTMENT FUNDS — 98.9%
Equity Fund — 60.4%
New Covenant Growth Fund ^†		4,108,347	$	178,467


Total Equity Fund (Cost $109,831) ($ Thousands)				178,467


Fixed Income Fund — 38.5%
New Covenant Income Fund ^†		4,672,368		113,632


Total Fixed Income Fund (Cost $107,138) ($ Thousands)				113,632



Description	Shares		Market Value ($ Thousands)

CASH EQUIVALENT — 1.1%
SEI Daily Income Trust, Government Fund, Cl F 0.030%**^†		3,298,407	$	3,298


Total Cash Equivalent (Cost $3,298) ($ Thousands)				3,298


Total Investments in Securities — 100.0% (Cost $220,267) ($ Thousands)			$	295,397

Percentages are based on a Net Assets of $295,481 ($ Thousands).

^†

Investment in Affiliated Security (see Note 3).

The rate reported is the 7-day effective yield as of June 30, 2020.

Cl — Class

As of June 30, 2020, all of the Fund’s investments were considered level 1, in accordance with the authoritative guidance on fair value measurements and disclosure under U.S. GAAP.

For the year ended June 30, 2020, there were no transfers in or out of Level 3.

For more information on valuation inputs, see Note 2 – Significant Accounting Policies in Notes to Financial Statements.

The following is a summary of the transactions with affiliates for the year ended June 30, 2020 ($ Thousands):

Sector Weightings (Unaudited)^†:

LOGO

^†Percentages are based on total investments.



Description	Shares		Market Value ($ Thousands)
AFFILIATED INVESTMENT FUNDS — 98.9%
Fixed Income Fund — 63.5%
New Covenant Income Fund ^†		2,057,178	$	50,030

Total Fixed Income Fund (Cost $47,344) ($ Thousands)				50,030


Equity Fund — 35.5%
New Covenant Growth Fund ^†		643,112		27,937


Total Equity Fund (Cost $14,497) ($ Thousands)				27,937



Description	Shares		Market Value ($ Thousands)

CASH EQUIVALENT — 0.9%
SEI Daily Income Trust, Government Fund, Cl F 0.030%**^†		753,743	$	754


Total Cash Equivalent (Cost $754) ($ Thousands)				754


Total Investments in Securities — 99.9% (Cost $62,595) ($ Thousands)			$	78,721

Percentages are based on Net Assets of $78,790 ($ Thousands).

Rate shown is the 7-day effective yield as of June 30, 2020.

^†

Investment in Affiliated Security (see Note 3).

Cl — Class

As of June 30, 2020, all of the Fund’s investments were considered level 1, in accordance with the authoritative guidance on fair value measurements and disclosure under U.S. GAAP.

For the year ended June 30, 2020, there were no transfers in or out of Level 3.

For more information on valuation inputs, see Note 2 – Significant Accounting Policies in Notes to Financial Statements.

The following is a summary of the transactions with affiliates for the year ended June 30, 2020 ($ Thousands):

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 Fund”), and New Covenant Balanced Income Fund (“Balanced Income Fund”), (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. Effective February 20, 2012, the Funds’ investment adviser is SEI Investments Management Corporation (the “Adviser”). Prior to February 20, 2012, the Funds’ investment adviser was One Compass Advisors, a wholly owned subsidiary of the Presbyterian Church (U.S.A.) Foundation.

The following are significant accounting policies, which are consistently followed in the preparation of its financial statements by the Funds. The Funds are investment companies that apply the accounting and reporting guidance issued in Topic 946 by the U.S. Financial Accounting Standards Board (“FASB”).

Use of Estimates — The preparation of financial statements, in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”), requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities as of the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

Security Valuation — Securities listed on a securities exchange, market or automated quotation system for which quotations are readily available (except for securities traded on NASDAQ) are valued at the last quoted sale price on the primary exchange or market (foreign or domestic) on which they are traded, or, if there is no such reported sale, at the most recent quoted bid price. For securities traded on NASDAQ, the NASDAQ Official Closing Price will be used. Debt securities are priced based upon valuations provided by independent, third-party pricing agents, if available. Such values generally reflect the last reported sales price if the security is actively traded. The third-party pricing agents may also value debt securities at an evaluated bid price by employing methodologies that utilize actual market transactions, broker-supplied valuations, or other methodologies designed to identify the market value for such securities. Debt obligations acquired with remaining maturities of sixty days or less may be valued at their amortized cost, which approximates market value. The prices for foreign securities are reported in local currency and converted to U.S. dollars using currency exchange rates. Prices for most securities held in the Funds are provided daily by recognized independent pricing agents. If a security price cannot be obtained from an independent, third-party pricing agent, the Funds seek to obtain a bid price from at least one independent broker.

Securities for which market prices are not “readily available” are valued in accordance with fair value procedures established by the Trust’s Board of Trustees. The Trust’s fair value procedures are implemented through a Fair Value Committee (the “Committee”) designated by the Trust’s Board of Trustees. Some of the more common reasons that may necessitate that a security be valued using fair value procedures include: the security’s trading has been halted or suspended; the security has been de-listed from a national exchange; the security’s primary trading market is temporarily closed at a time when under normal conditions it would be open; or the security’s primary pricing source is not able or willing to provide a price. When a security is valued in accordance with the fair value procedures, the Committee will determine the value after taking into consideration relevant information reasonably available to the Committee.

For securities that principally trade on a foreign market or exchange, a significant gap in time can exist between the time of a particular security’s last trade and the time at which a Fund calculates its net asset value. The closing prices of such securities may no longer reflect their market value at the time a Fund calculates net asset value if an event that could materially affect the value of those securities (a “Significant Event”) has occurred between the time of the security’s last close and the time that a Fund calculates net asset value. A Significant Event may relate to a single issuer or to an entire market sector. If the adviser or sub-adviser of a Fund becomes aware of a Significant Event that has occurred with respect to a security or group of securities after the closing of the exchange or market on which the security or securities principally trade, but before the time at which a Fund calculates net asset value, the adviser or sub-adviser may request that a Committee Meeting be called. In addition, the Trust’s administrator monitors price movements among certain selected indices, securities and/or baskets of securities that may be an indicator that the closing prices received earlier from foreign exchanges or markets may not reflect market value at the time a Fund calculates net asset value. If price movements in a monitored index or security exceed levels established by the administrator, the administrator notifies the adviser or sub-adviser for any Fund holding the relevant securities that such limits have been exceeded. In such event, the adviser or sub-adviser makes the determination whether a Committee Meeting should be called based on the information provided.

The Growth Fund holds international securities that also use a third-party fair valuation vendor. The vendor provides a fair value for foreign securities held by this Fund based on certain factors and methodologies (involving, generally, tracking valuation correlations between the U.S. market and each non-U.S. security). Values from the fair value vendor are applied in the event that there is a movement in the U.S. market that exceeds a specific threshold that has been established by the Committee. The Committee has also established a “confidence interval” which is used to determine the level of historical correlation between the value of a specific foreign security and movements in the U.S. market before a particular security will be fair valued when the threshold is exceeded. In the event that the threshold established by the Committee is exceeded on a specific day, the Growth Fund will value the non-U.S. securities that exceed the applicable “confidence interval” based upon the adjusted prices provided by the fair valuation vendor.

Options for which the primary market is a national securities exchange are valued at the last sale price on the exchange on which they are traded, or, in the absence of any sale, at the closing bid price. Options not traded on a national securities exchange are valued at the last quoted bid price.

Futures cleared through a central clearing house (“centrally cleared futures”) are valued at the settlement price established each day by the board of exchange on which they are traded. The daily settlement prices for financial futures is provided by an independent source. On days when there is excessive volume, market volatility or the future does not end trading by the time a Fund calculates its NAV, the settlement price may not be available at the time at which the Fund calculates its NAV. On such days, the best available price (which is typically the last sales price) may be used to value a Fund’s futures position.

The assets of the Balanced Growth Fund and the Balanced Income Fund (the “Balanced Funds”) consist primarily of investments in underlying affiliated investment companies, which are valued at their respective daily net asset values in accordance with the established NAV of each fund.

In accordance with U.S. GAAP, fair value is defined as the price that a Fund would receive upon selling an investment in an orderly transaction to an independent buyer in the principal or most advantageous market of the investment. A three tier hierarchy has been established to maximize the use of observable and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing an asset. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability based on the best information available in the circumstances.

The three-tier hierarchy of inputs is summarized in the three broad Levels listed below:

Level 2 — other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risks, etc.)

Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

The valuation techniques used by the Funds to measure fair value during the year ended June 30, 2020 maximized the use of observable inputs and minimized the use of unobservable inputs.

For the year ended June 30, 2020, there have been no significant changes to the Trust’s fair valuation methodologies. For details of the investment classifications reference the Schedules of Investments.

Securities Transactions and Investment Income — Security transactions are recorded on the trade date. Cost used in determining net realized capital gains and losses on the sale of securities is determined on the basis of specific identification. Dividend income and expense is recognized on the ex-dividend date, and interest income or expense is recognized using the accrual basis of accounting.

Distributions received on securities that represent a return of capital or capital gains are recorded as a reduction of cost of investments and/or as a realized gain. The Trust estimates the components of distributions received that may be considered nontaxable distributions or capital gain distributions.

Amortization and accretion is calculated using the scientific interest method, which approximates the effective interest method over the holding period of the security. Amortization of premiums and discounts is included in interest income.

Cash and Cash Equivalents — Idle cash and currency balances may be swept into various overnight sweep accounts and are classified as cash equivalents on the Statement of Assets and Liabilities. These amounts, at times, may exceed United States federally insured limits. Amounts swept are available on the next business day.

Expenses — Expenses that are directly related to a Fund are charged directly to that Fund. Other operating expenses of the Funds are prorated to the Funds on the basis of relative net assets.

Foreign Currency Translation — The books and records of the Funds investing in international securities are maintained in U.S. dollars on the following basis:

(I) market value of investment securities, assets and liabilities at the current rate of exchange; and

(II) purchases and sales of investment securities, income and expenses at the relevant rates of exchange prevailing on the respective dates of such transactions.

The Funds do not isolate that portion of gains and losses on investments in equity securities that is due to changes in the foreign exchange rates from that which is due to changes in market prices of equity securities.

The Funds report certain foreign-currency-related transactions as components of realized gains for financial reporting purposes, whereas such components are treated as ordinary income for Federal income tax purposes.

Repurchase Agreements — To the extent consistent with its investment objective and strategies, a Fund may enter into repurchase agreements which are secured by obligations of the U.S. Government with a bank, broker-dealer or other financial institution. 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 repurchase agreement, realization of the collateral may by subject to certain costs, losses or delays.

Futures Contracts — To the extent consistent with its investment objective and strategies, a Fund may use futures contracts for tactical hedging purposes as well as to enhance the Fund’s returns. These Funds’ investments in futures contracts are designed to enable the Funds to more closely approximate the performance of their benchmark indices. Initial margin deposits of cash or securities are made upon entering into futures contracts. The contracts are marked-to-market daily and the resulting changes in value are accounted for as unrealized gains and losses. Variation margin payments are paid or received, depending upon whether unrealized gains or losses are incurred. When contracts are closed, the Funds record a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the amount invested in the contract.

Risks of entering into futures contracts include the possibility that there will be an imperfect price correlation between the futures and the underlying securities. Second, it is possible that a lack of liquidity for futures contracts could exist in the secondary market, resulting in an inability to close a position prior to its maturity date. Third, futures contracts involve the risk that a Fund could lose more than the original margin deposit required to initiate a futures transaction.

Finally, the risk exists that losses could exceed amounts disclosed on the Statements of Assets and Liabilities. Refer to each Fund’s Schedule of Investments for details regarding open futures contracts as of June 30, 2020, if applicable.

Options Writing/Purchasing — To the extent consistent with its investment objective and strategies, a Fund may invest in financial options contracts for the purpose of hedging its existing portfolio securities, or securities that a Fund intends to purchase, against fluctuations in fair market value caused by changes in prevailing market interest rates. A Fund may also invest in financial option contracts to enhance its returns. When the Fund writes or purchases an option, an amount equal to the premium received or paid by the Fund is recorded as a liability or an asset and is subsequently adjusted to the current market value of the option written or purchased. Premiums received or paid from writing or purchasing options which expire unexercised are treated by the Fund on the expiration date as realized gains or losses. The difference between the premium and the amount paid or received on affecting a closing purchase or sale transaction, including brokerage commissions, is also treated as a realized gain or loss. If an option is exercised, the premium paid or received is added to the cost of the purchase or proceeds from the sale in determining whether the Fund has realized a gain or a loss.

The risk in writing a call option is a Fund may give up the opportunity for profit if the market price of the security increases. The risk in writing a put option is a Fund may incur a loss if the market price of the security decreases and the option is exercised. The risk in purchasing an option is a Fund may pay a premium whether or not the option is exercised. The Funds also have the additional risk of being unable to enter into a closing transaction at an acceptable price if a liquid secondary market does not exist. Option contracts also involve the risk that they may not work as intended due to unanticipated developments in market conditions or other causes.

Forward Treasury Commitments — To the extent consistent with its investment objective and strategies, the Growth Fund and Income Fund may invest in commitments to purchase U.S. Treasury securities on an extended settlement basis. Such transactions involve the commitment to purchase a security with payment and delivery taking place in the future, sometimes a month or more after the transaction date. The Funds account for such transactions as purchases and sales and record an unrealized gain or loss each day equal to the difference between the cost of the purchase commitment and the current market value. Realized gains or losses are recorded upon closure or settlement of such commitments. No interest is earned prior to settlement of the transaction. These instruments are subject to market fluctuation due to changes in interest rates and the market value at the time of settlement could be higher or lower than the purchase price. A Fund may incur losses due to changes in the value of the underlying treasury securities from interest rate fluctuations or as a result of counterparty nonperformance. These transactions may increase the overall investment exposure for a Fund (and so may also create investment leverage) and involve a risk of loss if the value of the securities declines prior to the settlement date.

Master Limited Partnerships — To the extent consistent with its investment objective and strategies, a Fund may invest in entities commonly referred to as “MLPs” that are generally organized under state law as limited partnerships or limited liability companies. The Funds intend to primarily invest in MLPs receiving partnership taxation treatment under the Internal Revenue Code of 1986 (the “Code”), and whose interests or “units” are traded on securities exchanges like shares of corporate stock. To be treated as a partnership for U.S. federal income tax purposes, an MLP whose units are traded on a securities exchange must receive at least 90% of its income from qualifying sources such as interest, dividends, real estate rents, gain from the sale or disposition of real property, income and gain from mineral or natural resources activities, income and gain from the transportation or storage of certain fuels, and, in certain circumstances, income and gain from commodities or futures, for- wards and options with respect to commodities. Mineral or natural resources activities include exploration, development, production, processing, mining, refining, marketing and transportation (including pipelines) of oil and gas, minerals, geothermal energy, fertilizer, timber or industrial source carbon dioxide. An MLP consists of a general partner and limited partners (or in the case of MLPs organized as limited liability companies, a managing member and members). The general partner or managing member typically controls the operations and management of the MLP and has an ownership stake in the partnership. The limited partners or members, through their ownership of limited partner or member interests, provide capital to the entity, are intended to have no role in the operation and management of the entity and receive cash distributions. The MLPs themselves generally do not pay U.S. Federal income taxes. Thus, unlike investors in corporate securities, direct MLP investors are generally not subject to double taxation (i.e., corporate level tax and tax on corporate dividends). Currently, most MLPs operate in the energy and/or natural resources sector.

Delayed Delivery Transactions — To the extent consistent with its investment objective and strategies, the Growth Fund and Income Fund may purchase or sell securities on a when-issued or delayed delivery basis. These

transactions involve a commitment by those Funds to purchase or sell securities for a predetermined price or yield, with payment and delivery taking place beyond the customary settlement period. When delayed delivery purchases are outstanding, the Funds will set aside liquid assets in an amount sufficient to meet the purchase price. When purchasing a security on a delayed delivery basis, that Fund assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations, and takes such fluctuations into account when determining its net asset value. Those Funds may dispose of or renegotiate a delayed delivery transaction after it is entered into, and may sell when-issued securities before they are delivered, which may result in a capital gain or loss. When those Funds have sold a security on a delayed delivery basis, that Fund does not participate in future gains and losses with respect to the security.

Dividends and Distributions to Shareholders — Dividends from net investment income are declared and paid to shareholders quarterly for the Growth Fund, Balanced Growth Fund and Balanced Income Fund; declared and paid monthly for the Income Fund. Dividends and distributions are recorded on the ex-dividend date. Any net realized capital gains will be distributed at least annually by the Funds.

Illiquid Securities — A security is considered illiquid if it cannot be sold or disposed of in the ordinary course of business within seven days or less for its approximate carrying value on the books of a Fund. Valuations of illiquid securities may differ significantly from the values that would have been used had an active market value for these securities existed. As of June 30, 2020, the Funds did not own any illiquid securities.

Investments in Real Estate Investment Trusts (“REITs”) — Dividend income is recorded based on the income included in distributions received from the REIT investments using published REIT reclassifications including some management estimates when actual amounts are not available. Distributions received in excess of this estimated amount are recorded as a reduction of the cost of investments or reclassified to capital gains. The actual amounts of income, return of capital, and capital gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts.

Administration Agreement — The Trust entered into an Administration Agreement with SEI Investments Global Funds Services (the “Administrator”). Under the Administration Agreement, the Administrator provides administrative and accounting services to the Funds. The Administrator has voluntarily agreed to waive a portion of its fee so that the total annual expenses of the Balanced Growth Fund and the Balanced Income Fund, exclusive of acquired fund fees and expenses, will not exceed certain voluntary expense limitations adopted by the Adviser. Accordingly, effective April 1, 2017, the voluntary expense limitations are 0.13% and 0.15% for the Balanced Growth Fund and the Balanced Income Fund, respectively. These voluntary waivers may be terminated by the adviser at any time. The following is a summary of annual fees payable to the Administrator:

Transfer Agent Servicing Agreement — In 2008, the Trust entered into a transfer agent servicing agreement (“Agreement”) with U.S. Bancorp Fund Services, LLC (“USBFS”), an indirect, wholly-owned subsidiary of U.S. Bancorp. Under the terms of the Agreement, USBFS is entitled to account based fees and annual fund level fees, as well as reimbursement of out-of-pocket expenses incurred in providing transfer agency services.

Investment Advisory Agreement — The Trust, on behalf of each Fund, entered into an Investment Advisory Agreement (“Agreement”) with SEI Investments Management Corporation (the “Adviser”). Under the Agreement, the Adviser is responsible for the investment management of the Funds and receives an annual advisory fee of 0.47% for the Growth Fund and 0.42% for the Income Fund. The Adviser does not receive an advisory fee for the Balanced Growth Fund and Balanced Income Fund. The Adviser has voluntarily agreed to waive a portion of its fee so that the total annual expenses of the Growth and Income Funds, exclusive of acquired fund fees and expenses, will not exceed certain voluntary expense limitations adopted by the Adviser. Accordingly, effective April 1, 2017, the

voluntary expense limitation is 0.80% for the Income Fund. The voluntary expense limitation for the Growth Fund was 0.87% until May 13, 2019 when the voluntary expense limitation was changed to 0.72%.

The Adviser has entered into sub-advisory agreements to assist in the selection and management of investment securities in the Growth Fund and the Income Fund. It is the responsibility of the sub-advisers, under the direction of the Adviser, to make day-to-day investment decisions for these Funds. The Adviser, not the Funds, pays each sub-adviser a quarterly fee, in arrears, for their services. The Adviser pays sub-advisory fees directly from its own advisory fee. The sub-advisory fees are based on the assets of the Fund allocated to the sub-adviser for which the sub- adviser is responsible for making investment decisions.

The following is the sub-adviser for the Growth Fund: Parametric Portfolio Associates LLC.

The following are the sub-advisers for the Income Fund: Income Research & Management, Western Asset Management Company and Western Asset Management Company Limited.

Shareholder Service Plan and Agreement — The Trust entered into a Shareholder Service Plan and Agreement (the “Agreement”) with the Distributor. Per the Agreement, a 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 Providers for its clients or other parties with whom they have a servicing relationship. Under the terms of the Agreement, the Growth Fund and the Income Funds are authorized to pay an Authorized Service Provider a shareholder servicing fee at an annual rate of up to 0.10% of the average daily net asset value of the Growth Fund and Income Fund, respectively, which fee will be computed daily and paid monthly, for providing certain administrative services to Fund shareholders with whom the Authorized Service Provider has a servicing relationship.

Distribution Agreement — The Trust issues shares of the Funds pursuant to a Distribution Agreement with SEI Investments Distribution Co. (the “Distributor”), a wholly-owned subsidiary of SEI Investments Company (“SEI”). The Funds do not compensate the Distributor in its capacity as principal distributor.

Social Witness Services and License Agreement — The Trust retained New Covenant Trust Company (“NCTC”) to ensure that each Fund continues to invest consistent with social witness principles adopted by the General Assembly of the Presbyterian Church (U.S.A.). No less than annually, NCTC will provide the Trust with an updated list of issuers in which the Funds will be prohibited from investing.

NCTC will distribute to the Trust proxy voting guidelines and shareholder advocacy services for the Funds that NCTC deems to be consistent with social witness principles adopted by the General Assembly of the Presbyterian Church (U.S.A.). The Trust also engages NCTC to vote Fund proxies consistent with such proxy voting guidelines. NCTC shall monitor and review and, as necessary, amend the Proxy Voting Guidelines periodically to ensure that they remain consistent with the social witness principles.

NCTC also grants to the Trust a non-exclusive right and license to use and refer to the trade name, trademark and/ or service mark rights to the name “New Covenant Funds” and the phrase “Funds with a Mission”, in the name of the Trust and each Fund, and in connection with the offering, marketing, promotion, management and operation of the Trust and the Funds.

In consideration of the services provided by NCTC, the Growth Fund and the Income Fund will each pay to NCTC a fee at an annual rate of 0.15% of the average daily net asset value of the shares of such Fund, which fee will be computed daily and paid monthly.

Payment to Affiliates — Certain officers and/or interested trustees of the Trust are also officers of the Distributor, the Adviser, the Administrator or NCTC. The Trust pays each unaffiliated Trustee an annual fee for attendance at quarterly and interim board meetings. Compensation of officers and affiliated Trustees of the Trust is paid by the Adviser, the Administrator or NCTC.

A portion of the services provided by the Chief Compliance Officer (“CCO”) and his staff, whom are employees of the Administrator, are paid for by the Trust as incurred. The services include regulatory oversight of the Trust’s Adviser, sub-advisers and service providers as required by SEC regulations. The CCO’s services have been approved by and are reviewed annually by the Board.

Investment in Affiliated Security — The Funds may invest excess cash in the SEI Daily Income Trust (SDIT) Government Fund, an affiliated money market fund. The Balanced Funds invest in the Growth Fund and Income Fund.

Interfund Lending — The SEC has granted an exemption that permits the Trust to participate in an interfund lending program (the ‘‘Program’’) with existing or future investment companies registered under the 1940 Act that are advised by SIMC (the ‘‘SEI Funds’’). The Program allows the SEI Funds to lend money to and borrow money from each other for temporary or emergency purposes. Participation in the Program is voluntary for both borrowing and lending funds. Interfund loans may be made only when the rate of interest to be charged is more favorable to the lending fund than an investment in overnight repurchase agreements (‘‘Repo Rate’’), and more favorable to the borrowing fund than the rate of interest that would be charged by a bank for short-term borrowings (‘‘Bank Loan Rate’’). The Bank Loan Rate will be determined using a formula reviewed annually by the SEI Funds’ Board of Trustees. The interest rate imposed on interfund loans is the average of the Repo Rate and the Bank Loan Rate. During the year ended June 30, 2020, the Trust did not participate in interfund lending.

The International Swaps and Derivatives Association, Inc. Master Agreements and Credit Support Annexes (“ISDA Master Agreements”) maintain provisions for general obligations, representations, agreements, collateral, and events of default or termination. The occurrence of a specified event of termination may give a counterparty the right to terminate all of its contracts and affect settlement of all outstanding transactions under the applicable ISDA Master Agreement.

To reduce counterparty risk with respect to Over The Counter (“OTC”) transactions, the Funds have entered into master netting arrangements, established within the Funds’ ISDA master agreements, which allow the Funds to make (or to have an entitlement to receive) a single net payment in the event of default (close-out netting) for outstanding payables and receivables with respect to certain OTC positions in swaps for each individual counterparty. In addition, the Funds may require that certain counterparties post cash and/or securities in collateral accounts to cover their net payment obligations for those derivative contracts subject to ISDA Master Agreements. If the counterparty fails to perform under these contracts and agreements, the cash and/or securities will be made available to the Funds.

For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities and therefore disclose these derivative assets and derivative liabilities on a gross basis. Bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events.

Collateral terms are contract specific for OTC derivatives. For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark to market amount of each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Funds or the counterparty. For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Funds, if any, is reported separately on the Statement of Assets and Liabilities as cash pledged as collateral. Non-cash collateral pledged by the Funds, if any, is noted in the Schedules of Investments. Generally, the amount of collateral due from or to a party must exceed a minimum transfer amount threshold before a transfer has to be made. To the extent amounts due to the Funds from its counterparties are not fully collateralized, contractually or otherwise, the Funds bear the risk of loss from counterparty nonperformance.

The following is a summary of the variation margin of exchange-traded financial derivative instruments of the Funds as of June 30, 2020 ($Thousands):

Cash with a total market value of $569 and 825 ($Thousands) for the Growth Fund and Income Fund, respectively, has been pledged as collateral for exchange-traded derivative instruments as of June 30, 2020.

The following table discloses the volume of the Fund’s futures contracts activity during the year ended June 30, 2020 ($Thousands):

For the year ended June 30, 2020, the Funds held only interest rate risk derivatives. Additional information can be found on the Schedules of Investments, Statements of Assets and Liabilities, and Statements of Operations.

The cost of security purchases and the proceeds from the sale and maturities of securities, excluding U.S. government and other short-term investments, for the year ended June 30, 2020, were as follows:

It is each Fund’s intention to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code and distribute all of its taxable income (including net capital gains). Accordingly, no provision for federal income tax is required.

Dividends from net investment income and distributions from net realized capital gains are determined in accordance with U.S. Federal income tax regulations, which may differ from those amounts determined under U.S. GAAP. These book/tax differences are either temporary or permanent in nature. To the extent these differences are permanent, they are charged or credited to paid-in capital or distributable earnings (loss), as appropriate, in the period that the differences arise.

The permanent differences primarily consist of reclassification of capital gain distribution on REITs and RICs, investments in publicly traded partnerships, and gains and losses on paydowns of mortgage and asset-backed securities for tax purposes. There are no permanent difference that are credited or charged to Paid-in Capital and Distributable Earnings as of June 30, 2020.

The tax character of dividends and distributions paid during the last two years ended June 30 were as follows:

As of June 30, 2020, the components of distributable earnings (accumulated losses) were as follows:

During the year ended June 30, 2020, the Income Fund utilized capital loss carryforwards to offset capital gains of $1,950 ($Thousands).

For Federal income tax purposes, the cost of securities owned at June 30, 2020, and the net realized gains or losses on securities sold for the period were not materially different from amounts reported for financial reporting purposes. These differences are primarily due to wash sales, MLP basis adjustments and basis adjustments from investments in registered investment companies which cannot be used for Federal income tax purposes in the current year and have been deferred for use in future years.

The aggregate gross unrealized appreciation and depreciation on total investments held by the Funds at June 30, 2020 was as follows:

Management has analyzed the Funds’ tax positions taken on Federal income tax returns for all open tax years and has concluded that as of June 30, 2020, no provision for income tax would be required in the Funds’ financial statements. The Funds’ Federal and state income and Federal excise tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue.

In the normal course of business, the Trust enters into contracts that provide general indemnifications by the Trust to the counterparty to the contract. The Trust’s maximum exposure under these arrangements is dependent on future

claims that may be made against the Trust and, therefore, cannot be estimated; however, management believes that, based on experience, the risk of loss from such claims is considered remote.

Asset Allocation Risk — The risk that SIMC’s decisions regarding the allocation of Fund assets to the Growth Fund and Income Fund will not anticipate market trends successfully.

Asset-Backed Securities Risk — Payment of principal and interest on asset-backed securities is dependent largely on the cash flows generated by the assets backing the securities. Securitization trusts generally do not have any assets or sources of funds other than the receivables and related property they own, and asset-backed securities are generally not insured or guaranteed by the related sponsor or any other entity. Asset-backed securities may be more illiquid than more conventional types of fixed income securities that the Fund may acquire.

Below Investment Grade Securities (Junk Bonds) Risk — Fixed income securities rated below investment grade (junk bonds) involve greater risks of default or downgrade and are generally more volatile than investment grade securities because the prospect for repayment of principal and interest of many of these securities is speculative. Because these securities typically offer a higher rate of return to compensate investors for these risks, they are sometimes referred to as “high yield bonds,” but there is no guarantee that an investment in these securities will result in a high rate of return. These risks may be increased in foreign and emerging markets.

Corporate Fixed Income Securities Risk — Corporate fixed income securities respond to economic developments, especially changes in interest rates, as well as perceptions of the creditworthiness and business prospects of individual issuers.

Credit Risk — The risk that the issuer of a security or the counterparty to a contract will default or otherwise become unable to honor a financial obligation.

Duration Risk — The longer-term securities in which the Fund may invest are more volatile. A portfolio with a longer average portfolio duration is more sensitive to changes in interest rates than a portfolio with a shorter average portfolio duration.

Economic Risks of Global Health Events — Global health events and pandemics, such as COVID-19, have the ability to affect—quickly, drastically and substantially the economies of many nations, states, individual companies and the markets in general and can cause disruptions that cannot necessarily be foreseen. The spread of COVID-19 around the world in 2020 resulted in a substantial number of nations implementing social distancing measures, quarantines, and the shutdown of non-essential businesses and governmental services. Further, it has caused significant volatility in U.S. and international markets. The impact of the outbreak may be short term or may last for an extended period of time.

Equity Market Risk — The risk that the market value of a security may move up and down, sometimes rapidly and unpredictably. Market risk may affect a single issuer, an industry, a sector or the equity or bond market as a whole.

Extension Risk — The risk that rising interest rates may extend the duration of a fixed income security, typically reducing the security’s value.

Fixed Income Market Risk — The prices of the Fund’s fixed income securities respond to economic developments, particularly interest rate changes, as well as to perceptions about the creditworthiness of individual issuers, including governments and their agencies. Generally, the Fund’s fixed income securities will decrease in value if interest rates rise and vice versa. In a low interest rate environment, risks associated with rising rates are heightened. In the case of foreign securities, price fluctuations will reflect international economic and political events, as well as changes in currency valuations relative to the U.S. dollar.

Foreign Investment/Emerging Markets Risk — The risk that non-U.S. securities may be subject to additional risks due to, among other things, political, social and economic developments abroad, currency movements and different legal, regulatory and tax environments. These additional risks may be heightened with respect to emerging market countries because political turmoil and rapid changes in economic conditions are more likely to occur in these countries.

Foreign Sovereign Debt Securities Risk — The risks that (i) the governmental entity that controls the repayment of sovereign debt may not be willing or able to repay the principal and/or interest when it becomes due because of factors such as debt service burden, political constraints, cash flow problems and other national economic factors; (ii) governments may default on their debt securities, which may require holders of such securities to participate in debt

rescheduling or additional lending to defaulting governments; and (iii) there is no bankruptcy proceeding by which defaulted sovereign debt may be collected in whole or in part.

Interest Rate Risk — The risk that a rise in interest rates will cause a fall in the value of fixed income securities, including U.S. Government securities, in which the Fund invests. A low interest rate environment may present greater interest rate risk, because there may be a greater likelihood of rates increasing and rates may increase more rapidly.

Investment Style Risk — The risk that the equity securities in which the Fund invests may underperform other segments of the equity markets or the equity markets as a whole.

Liquidity Risk — The risk that certain securities may be difficult or impossible to sell at the time and the price that the Fund would like. The Fund may have to accept a lower price to sell a security, sell other securities to raise cash or give up an investment opportunity, any of which could have a negative effect on Fund management or performance.

Mortgage-Backed Securities Risk — Mortgage-backed securities are affected significantly by the rate of prepayments and modifications of the mortgage loans backing those securities, as well as by other factors such as borrower defaults, delinquencies, realized or liquidation losses and other shortfalls. Mortgage-backed securities are particularly sensitive to prepayment risk, which is described below, given that the term to maturity for mortgage loans is generally substantially longer than the expected lives of those securities; however, the timing and amount of prepayments cannot be accurately predicted. The timing of changes in the rate of prepayments of the mortgage loans may significantly affect the Fund’s actual yield to maturity on any mortgage-backed securities, even if the average rate of principal payments is consistent with the Fund’s expectation. Along with prepayment risk, mortgage-backed securities are significantly affected by interest rate risk, which is described above. In a low interest rate environment, mortgage loan prepayments would generally be expected to increase due to factors such as refinancings and loan modifications at lower interest rates. In contrast, if prevailing interest rates rise, prepayments of mortgage loans would generally be expected to decline and therefore extend the weighted average lives of mortgage-backed securities held or acquired by the Fund.

Opportunity Risk — The risk of missing out on an investment opportunity because the assets necessary to take advantage of it are tied up in other investments.

Portfolio Turnover Risk — Due to its investment strategy, the Fund may buy and sell securities frequently. This may result in higher transaction costs and additional capital gains tax liabilities, which may affect the Fund’s performance.

Prepayment Risk — The risk that, in a declining interest rate environment, fixed income securities with stated interest rates may have the principal paid earlier than expected, requiring the Fund to invest the proceeds at generally lower interest rates.

Repurchase Agreement Risk — Although repurchase agreement transactions must be fully collateralized at all times, they generally create leverage and involve some counterparty risk to the Fund whereby a defaulting counterparty could delay or prevent the Fund’s recovery of collateral.

Small Capitalization Risk — Smaller capitalization companies in which the Fund may invest may be more vulnerable to adverse business or economic events than larger, more established companies. In particular, small capitalization companies may have limited product lines, markets and financial resources and may depend upon a relatively small management group. Therefore, small capitalization stocks may be more volatile than those of larger companies. Small capitalization stocks may be traded over-the-counter or listed on an exchange.

Social-Witness Principles/Socially Responsible Investing Risk — The Fund considers various social- witness principles and other socially responsible investing principles in its investment process and may choose not to purchase, or may sell, otherwise profitable investments in companies which have been identified as being in conflict with its established social-witness principles and other socially responsible investing principles. This means that the Fund may underperform other similar mutual funds that do not consider social-witness principles and other socially responsible investing principles in their investing.

U.S. Government Securities Risk — Although U.S. Government securities are considered to be among the safest investments, they are not guaranteed against price movements due to changing interest rates. Obligations issued by some U.S. Government agencies are backed by the U.S. Treasury, while others are backed solely by the ability of the agency to borrow from the U.S. Treasury or by the agency’s own resources.

The Balanced Growth Fund and Balanced Income Fund 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 fees 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. A change in the asset allocation of either Balanced Fund could increase or reduce the fees and expenses actually borne by investors in that Fund. The Balanced Funds are also subject to rebalancing risk. Rebalancing activities, while undertaken to maintain a Fund’s investment risk-to- reward ratio, may cause the Fund to under-perform 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.

On June 30, 2020, the number of shareholders below held the following percentage of the outstanding shares of the Funds. These shareholders are affiliated with the Funds.

In August 2018, The FASB issued Accounting Standards Update 2018-13, Fair Value Measurement (Topic 820). The new guidance includes additions and modifications to disclosures requirements for fair value measurements. For public entities, the amendments are effective for financial statements issued for fiscal years beginning after December 15, 2019, and interim periods within those fiscal years. Management elected to early adopt the removal and modifications of certain disclosures and delay the adoption of additional disclosures until the effective date.

Management has evaluated the need for disclosures and/or adjustments resulting from subsequent events through the date the financial statements were issued. Based on this evaluation, no disclosures and/or adjustments were required to the financial statements as of June 30, 2020.

We have audited the accompanying statements of assets and liabilities of New Covenant Funds (the “Trust”), comprised of the New Covenant Growth Fund, New Covenant Income Fund, New Covenant Balanced Growth Fund, and New Covenant Balanced Income Fund (collectively, the “Funds”), including the schedules of investments, as of June 30, 2020, the related statements of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the related notes (collectively, the financial statements) and the financial highlights for each of the years in the five-year period then ended. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Funds as of June 30, 2020, the results of their operations for the year then ended, the changes in their net assets for each of the years in the two year period then ended, and the financial highlights for each of the years in the five-year period then ended, in conformity with U.S. generally accepted accounting principles.

These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Such procedures also included confirmation of securities owned as of June 30, 2020, by correspondence with the custodians, transfer agents, and brokers or by other appropriate auditing procedures when replies from brokers were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. We believe that our audits provide a reasonable basis for our opinion.

We have served as the auditor of one or more SEI Funds investment companies since 2005.

Set forth below are the names, addresses, ages, position with the Trust, Term of Office and Length of Time Served, the principal occupations for the last five years, number of positions in fund complex overseen by trustee, and other directorships outside the fund complex of each of the persons currently serving as Trustees and Officers of the Trust. The Trust’s Statement of Additional Information (“SAI”) includes additional information about the Trustees and Officers. The SAI may be obtained without charge by calling 1-877-835-4531.

All mutual funds have operating expenses. As a shareholder of a mutual fund, your investment is affected by these ongoing costs, which include (among others) costs for portfolio management, administrative services, and shareholder reports like this one. It is important for you to understand the impact of these costs on your investment returns.

Operating expenses such as these are deducted from the mutual fund‘s gross income and directly reduce its final investment return. These expenses are expressed as a percentage of the mutual fund’s average net assets; this percentage is known as the mutual fund’s expense ratio.

The following examples use the expense ratio and are intended to help you understand the ongoing costs (in dollars) of investing in your Fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period (December 31, 2019 to June 30, 2020).

Actual Fund Return: This section helps you to estimate the actual expenses after fee waivers that your Fund incurred over the period. The “Expenses Paid During Period” column shows the actual dollar expense cost incurred by a $1,000 investment in the Fund, and the “Ending Account Value” number is derived from deducting that expense cost from the Fund’s gross investment return.

You can use this information, together with the actual amount you invested in your Fund, to estimate the expenses you paid over that period. Simply divide your actual starting account value by $1,000 to arrive at a ratio (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply that ratio by the number shown for your Fund under “Expenses Paid During Period.”

Hypothetical 5% Return: This section helps you compare your Fund’s costs with those of other mutual funds. It assumes that your Fund had an annual 5% return before expenses during the year, but that the expense ratio (Column 3) is unchanged. This example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to make this 5% calculation. You can assess your Fund’s comparative cost by comparing the hypothetical result for your Fund in the “Expenses Paid During Period” column with those that appear in the same charts in the shareholder reports for other mutual funds.

NOTE: Because the return is set at 5% for comparison purposes — NOT your Fund’s actual return — the account values shown do not apply to your specific investment.

Pursuant to Rule 22e-4 under the 1940 Act, the Trust, on behalf of the Funds, has adopted a liquidity risk management program (the “Program”) to govern the Trust’s approach to managing liquidity risk. The Program is overseen by the SIMC Liquidity Risk Oversight Committee, and the Program’s principal objectives include assessing, managing and periodically reviewing each Fund’s liquidity risk, based on factors specific to the circumstances of the Fund.

At a meeting of the Board held on March 24, 2020, the Trustees received a report from the SIMC Liquidity Risk Oversight Committee addressing the operations of the Program and assessing its adequacy and effectiveness of implementation. The SIMC Liquidity Risk Oversight Committee determined, and reported to the Board, that the Program is reasonably designed to assess and manage each Fund’s liquidity risk and has operated adequately and effectively to manage each Fund’s liquidity risk since the Program was implemented on December 1, 2018. The SIMC Liquidity Risk Oversight Committee reported that during the period covered by the report, there were no liquidity events that impacted the Funds or their ability to timely meet redemptions without dilution to existing shareholders. The SIMC Liquidity Risk Oversight Committee further noted that no material changes have been made to the Program since its implementation.

There can be no assurance that the Program will achieve its objectives in the future. Please refer to the prospectus for more information regarding a Fund’s exposure to liquidity risk and other principal risks to which an investment in the Funds may be subject.

BOARD OF TRUSTEES CONSIDERATIONS IN APPROVING THE ADVISORY AND SUB-ADVISORY AGREEMENTS (UNAUDITED)

New Covenant Funds (the “Trust”) and SEI Investments Management Corporation (“SIMC”) have entered into an investment advisory agreement (the “Advisory Agreement”), pursuant to which SIMC provides investment advisory services to the series of the Trust (the “Funds”). Pursuant to separate sub-advisory agreements with SIMC (the “Sub-Advisory Agreements” and, together with the Advisory Agreement, the “Investment Advisory Agreements”), and under the supervision of SIMC and the Trust’s Board of Trustees (the “Board”), the sub-advisers (each, a “Sub-Adviser” and collectively, the “Sub-Advisers”) provide security selection and certain other advisory services with respect to all or a discrete portion of the assets of the Funds. The Sub-Advisers are also responsible for managing their employees who provide services to the Funds. The Sub-Advisers are selected based primarily upon the research and recommendations of SIMC, which evaluates quantitatively and qualitatively the Sub-Advisers’ skills and investment results in managing assets for specific asset classes, investment styles and strategies.

The Investment Company Act of 1940, as amended (the “1940 Act”), requires that the initial approval of a Fund’s Investment Advisory Agreements be specifically approved by the vote of a majority of the outstanding shareholders of the Funds and the vote of a majority of the Trustees who are not parties to the Investment Advisory Agreements or “interested persons” of any party (the “Independent Trustees”) cast in person at a meeting called for such purpose. In addition, the 1940 Act requires that the continuation or renewal of any Investment Advisory Agreement be approved at least annually (after an initial period of up to two years), which also requires the vote of a majority of the Board, including a majority of the Independent Trustees. In the case of the initial approval of a Sub-Advisory Agreement, only the approval of a majority of the Board, including a majority of the Independent Trustees, is required, pursuant to an exemptive order that has been granted to the Trust by the Securities and Exchange Commission. In connection with their consideration of such initial approvals and renewals, the Funds’ Trustees must request and evaluate, and SIMC and the Sub-Advisers are required to furnish, such information as may be reasonably necessary to evaluate the terms of the Investment Advisory Agreements. In addition, the Securities and Exchange Commission takes the position that, as part of their fiduciary duties with respect to a mutual fund’s fees, mutual fund boards are required to evaluate the material factors applicable to a decision to approve an investment advisory agreement.

Consistent with these responsibilities, the Board calls and holds meetings each year to consider whether to approve new and/or renew existing Investment Advisory Agreements between the Trust and SIMC and SIMC and the Sub-Advisers with respect to the Funds of the Trust. In preparation for these meetings, the Board requests and reviews a wide variety of materials provided by SIMC and the Sub-Advisers, including information about SIMC’s and the Sub-Advisers’ affiliates, personnel and operations and the services provided pursuant to the Investment Advisory Agreements. The Board also receives data from third parties. This information is provided in addition to the detailed information about the Funds that the Board reviews during the course of each year, including information that relates to Fund operations and Fund performance. The Trustees also receive a memorandum from counsel regarding the responsibilities of Trustees in connection with their consideration of whether to approve the Trust’s Investment Advisory Agreements. Finally, the Independent Trustees receive advice from independent counsel to the Independent Trustees, meet in executive sessions outside the presence of Fund management and participate in question and answer sessions with representatives of SIMC and the Sub-Advisers.

Specifically, during the course of the Trust’s fiscal year, the Board requested and received written materials from SIMC and the Sub-Advisers regarding: (i) the quality of SIMC’s and the Sub-Advisers’ investment management and other services; (ii) SIMC’s and the Sub-Advisers’ investment management personnel; (iii) SIMC’s and the Sub-Advisers’ operations and financial condition; (iv) SIMC’s and the Sub-Advisers’ brokerage practices (including any soft dollar arrangements) and investment strategies; (v) the level of the advisory fees that SIMC charges the Funds and the level of the sub-advisory fees that SIMC pays the Sub-Advisers, compared with fees each charge to comparable accounts; (vi) the advisory fees charged by SIMC and the Funds’ overall fees and operating expenses compared with peer groups of mutual funds prepared by Broadridge, an independent provider of investment company data; (vii) the level of SIMC’s and the Sub-Advisers’ profitability from their Fund-related operations; (viii) SIMC’s and the Sub-Advisers’ compliance program, including a description of material compliance matters and material compliance violations; (ix) SIMC’s potential economies of scale; (x) SIMC’s and the Sub-Advisers’ policies on and compliance procedures for personal securities transactions; (xi) SIMC’s and the Sub-Advisers’ expertise and resources in domestic and/or international financial markets; and (xii) the Funds’ performance over various periods of time compared with peer groups of mutual funds prepared by Broadridge and the Funds’ benchmark indexes.

At the March 23-25, 2020 meeting of the Board, the Trustees, including a majority of the Independent Trustees, approved the renewal of the Advisory Agreement. Also, each Sub-Advisory Agreement was either initially approved

or, if the Sub-Advisory Agreement was already in effect (unless operating under an initial two-year term), renewed at meetings of the Board held during the course of the Trust’s fiscal year on September 10-11, 2019, December 3-4, 2019 and June 23-24, 2020. In each case, the Board’s approval (or renewal) was based on its consideration and evaluation of the factors described above, as discussed at the meetings and at prior meetings. The following discusses some, but not all, of the factors that were considered by the Board in connection with its assessment of the Investment Advisory Agreements.

Nature, Extent and Quality of Services. The Board considered the nature, extent and quality of the services provided by SIMC and the Sub-Advisers to the Funds and the resources of SIMC and the Sub-Advisers and their affiliates dedicated to the Funds. In this regard, the Trustees evaluated, among other things, SIMC’s and each Sub-Adviser’s personnel, experience, track record and compliance program. Following evaluation, the Board concluded that, within the context of its full deliberations, the nature, extent and quality of services provided by SIMC and the Sub-Advisers to the Funds and the resources of SIMC and the Sub-Advisers and their affiliates dedicated to the Funds were sufficient to support the renewal of the Investment Advisory Agreements. In addition to advisory services, the Board considered the nature and quality of certain administrative, transfer agency and other non-investment advisory services provided to the Funds by SIMC and/or its affiliates.

Performance. In determining whether to renew SIMC’s Advisory Agreement, the Trustees considered the Funds’ performance relative to their peer groups and appropriate indexes/benchmarks. The Trustees reviewed performance information for each Fund, noting that they receive performance reports that permit them to monitor each Fund’s performance at board meetings throughout the year. As part of this review, the Trustees considered the composition of each peer group and selection criteria. In assessing Fund performance, the Trustees considered a report compiled by Broadridge, an independent third-party that was engaged to prepare an assessment of the Funds in connection with the renewal of the Advisory Agreement (the “Broadridge Report”). The Broadridge Report included metrics on risk analysis, volatility versus total return, net total return and performance consistency for the Funds and a universe of comparable funds. Based on the materials considered and discussed at the meetings, the Trustees found Fund performance satisfactory, or, where performance was materially below the benchmark and/or peer group, the Trustees were satisfied with the reasons provided to explain such performance. In connection with the approval or renewal of Sub-Advisory Agreements, the Board considered the performance of the Sub-Adviser relative to appropriate indexes/benchmarks. Following evaluation, the Board concluded that, within the context of its full deliberations, the performance of the Funds was sufficient to support renewal of SIMC’s Advisory Agreement, and the performance of each Sub-Adviser was sufficient to support approval or renewal of the Sub-Advisory Agreement.

Fees. With respect to the Funds’ expenses under the Investment Advisory Agreements, the Trustees considered the rate of compensation called for by the Investment Advisory Agreements and the Funds’ net operating expense ratios in comparison to those of the Funds’ respective peer groups. In assessing Fund expenses, the Trustees considered the information in the Broadridge Report, which included various metrics related to fund expenses, including, but not limited to, contractual management fees at various asset levels, actual management fees (including transfer agent expenses), and actual total expenses (including underlying fund expenses) for the Funds and a universe of comparable funds. Based on the materials considered and discussion at the meetings, the Trustees further determined that fees were either shown to be below the peer average in the comparative fee analysis, or that there was a reasonable basis for the fee level. The Trustees also considered the effects of SIMC’s and its affiliates voluntary waivers of management and other fees to prevent total Fund operating expenses from exceeding any applicable cap and concluded that SIMC, through waivers, has maintained the Funds’ net operating expenses at competitive levels for its distribution channels. In determining the appropriateness of fees, the Board also took into consideration the impact of fees incurred indirectly by the Funds as a result of investments into underlying funds, including funds from which SIMC or its affiliates earn fees. The Board also took into consideration compensation earned from the Funds by SIMC or its affiliates for non-advisory services, such as administration, transfer agency, shareholder services or brokerage, and considered whether SIMC and its affiliates may have realized other benefits from their relationship with the Funds, such as any research and brokerage services received under soft dollar arrangements. When considering fees paid to Sub-Advisers, the Board took into account the fact that the Sub-Advisers are compensated by SIMC and not by the Funds directly, and that such compensation with respect to any unaffiliated Sub-Adviser reflects an arms-length negotiation between the Sub-Adviser and SIMC. Following evaluation, the Board concluded that, within the context of its full deliberations, the expenses of the Funds are reasonable and supported renewal of the Investment Advisory Agreements. The Board also considered whether the Sub-Advisers and their affiliates may have realized other benefits from their relationship with the Funds, such as any research and brokerage services received under soft dollar arrangements.

BOARD OF TRUSTEES CONSIDERATIONS IN APPROVING THE ADVISORY AND SUB-ADVISORY AGREEMENTS (UNAUDITED) (Concluded)

Profitability. With regard to profitability, the Trustees considered compensation flowing to SIMC and the Sub-Advisers and their affiliates, directly or indirectly. The Trustees considered whether the levels of compensation and profitability were reasonable. As with the fee levels, when considering the profitability of the Sub-Advisers, the Board took into account the fact that compensation with respect to any unaffiliated Sub-Adviser reflects an arms-length negotiation between the Sub-Adviser and SIMC. In connection with the approval or renewal of each Sub-Advisory Agreement, the Board also took into consideration the impact that the fees paid to the Sub-Adviser have on SIMC’s advisory fee margin and profitability. Based on this evaluation, the Board concluded that, within the context of its full deliberations, the profitability of each of SIMC and the Sub-Advisers is reasonable and supported renewal of the Investment Advisory Agreements.

Economies of Scale. With respect to the Advisory Agreement, the Trustees considered whether any economies of scale were being realized by SIMC and its affiliates and, if so, whether the benefits of such economies of scale were passed along to the Funds’ shareholders through a graduated investment advisory fee schedule or other means, including any fee waivers by SIMC and its affiliates. The Trustees recognized that economies of scale are difficult to identify and quantify and are rarely identifiable on a fund-by-fund basis. Based on this evaluation, the Board determined that the fees were reasonable in light of the information that was provided by SIMC with respect to economies of scale.

Based on the Trustees’ deliberation and their evaluation of the information described above, the Board, including all of the Independent Trustees, with the assistance of Fund counsel and Independent Trustees’ counsel, unanimously approved the approval or renewal, as applicable, of the Investment Advisory Agreements and concluded that the compensation under the Investment Advisory Agreements is fair and reasonable in light of such services and expenses and such other matters as the Trustees considered to be relevant in the exercise of their reasonable judgment. In the course of its deliberations, the Board did not identify any particular factor (or conclusion with respect thereto) or single piece of information that was all-important, controlling or determinative of its decision, but considered all of the factors together, and each Trustee may have attributed different weights to the various factors (and conclusions with respect thereto) and information.

For shareholders who do not have a June 30, 2020 taxable year end, this notice is for information purposes only. For shareholders with a June 30, 2020 taxable year end, please consult your tax adviser as to the pertinence of this notice.

For the fiscal year ended June 30, 2020, the Funds are designating long term and qualifying dividend income with regard to distributions paid during the year as follows:

Items (A) and (B) are based on the percentage of each Fund’s total distribution.

Items (C) and (D) are based on the percentage of ordinary income distributions of each Fund. Item (E) is based on the percentage of gross income of each Fund.

Please consult your tax adviser for proper treatment of this information. This notification should be kept with your permanent tax records.

Robert A. Nesher, Chairman

Trustees

William M. Doran

George J. Sullivan, Jr.

Nina Lesavoy

James M. Williams

Mitchell A. Johnson

Hubert L. Harris, Jr.

Susan C. Cote

James B. Taylor

Christine Reynolds

Officers

Robert A. Nesher

President and Chief Executive Officer

Peter A. Rodriguez

Controller and Chief Financial Officer

Glenn R. Kurdziel

Assistant Controller

Russell Emery

Chief Compliance Officer

Timothy D. Barto

Vice President, Secretary

Aaron Buser

Vice President, Assistant Secretary

David F. McCann

Vice President, Assistant Secretary

Stephen G. MacRae

Vice President

Bridget E. Sudall

Anti-Money Laundering Compliance Officer

Privacy Officer

Investment Adviser

SEI Investments Management Corporation

Administrator

SEI Investments Global Funds Services

Distributor

SEI Investments Distribution Co.

Legal Counsel

Morgan, Lewis & Bockius LLP

Independent Registered Public Accounting Firm

KPMG LLP

This report and the financial statements contained herein are submitted for the general information of the shareholders of the Trust and must be preceded or accompanied by a current prospectus. Shares of the Funds are not deposits or obligations of, or guaranteed or endorsed by, any bank. The shares are not federally insured by the Federal Deposit Insurance Corporation (FDIC), the Federal Reserve Board, or any other government agency. Investment in the shares involves risk, including the possible loss of principal.

For more information call

New Covenant Fund

877-835-4531

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.

(a) (1) The Registrant’s Board of Trustees has determined that the Registrant has three audit committee financial experts serving on the audit committee.

(a) (2) The audit committee financial experts are Susan Cote, George J. Sullivan, Jr. and Hubert L. Harris. Ms. Cote and Messrs. Sullivan and Harris are independent as defined in Form N-CSR Item 3 (a) (2).

KPMG billed the Registrant aggregate fees for services rendered to the Registrant for the fiscal years 2020 and 2019 as follows:

(e)(1) The Registrant’s Audit Committee has adopted and the Board of Trustees has ratified an Audit and Non-Audit Services Pre-Approval Policy (the “Policy”), which sets forth the procedures and the conditions pursuant to which services proposed to be performed by the independent auditor of the Registrant may be pre-approved. In any instance where services require pre-approval, the Audit Committee will consider

whether such services are consistent with SEC’s rules on auditor independence and whether the provision of such services would compromise the auditor’s independence.

The Policy provides that all requests or applications for proposed services to be provided by the independent auditor must be submitted to the Registrant’s Chief Financial Officer (“CFO”) and must include a detailed description of the services proposed to be rendered. The CFO will determine whether such services: (1) require specific pre-approval; (2) are included within the list of services that have received the general pre-approval of the Audit Committee pursuant to the Policy; or (3) have been previously pre-approved in connection with the independent auditor’s annual engagement letter for the applicable year or otherwise.

Requests or applications to provide services that require specific pre-approval by the Audit Committee will be submitted to the Audit Committee by the CFO. The Audit Committee has delegated specific pre-approval authority to either the Audit Committee Chair or financial experts, provided that the estimated fee for any such proposed pre-approved service does not exceed $100,000 and any pre-approval decisions are reported to the Audit Committee at its next regularly scheduled meeting.

Services that have received the general pre-approval of the Audit Committee are identified and described in the Policy. In addition, the Policy sets forth a maximum fee per engagement with respect to each identified service that has received general pre-approval. The Audit Committee will annually review and pre-approve the services that may be provided by the independent auditor during the following twelve months without obtaining specific pre-approval from the Audit Committee.

The Audit Committee will be informed by the CFO on a quarterly basis of all services rendered by the independent auditor.

All services to be provided by the independent auditor shall be provided pursuant to a signed written engagement letter with the Registrant, the investment advisor or applicable control affiliate (except that matters as to which an engagement letter would be impractical because of timing issues or because the matter is small may not be the subject of an engagement letter) that sets forth both the services to be provided by the independent auditor and the total fees (or the manner of their determination) to be paid to the independent auditor for those services.

In addition, the Audit Committee has determined to take additional measures on an annual basis to meet its responsibility to oversee the work of the independent auditor and to assure the auditor’s independence from the Registrant, such as reviewing a formal written statement from the independent auditor delineating all relationships between the independent auditor and the Registrant, and discussing with the independent auditor its methods and procedures for ensuring independence.

(e)(2) Percentage of fees billed applicable to non-audit services pursuant to waiver of pre-approval requirement were as follows:

(g)(1) The aggregate non-audit fees and services billed by KPMG for the fiscal years 2020 and 2019 were $417,252 and $273,762, respectively. Non-audit fees consist of a service organization controls report review of fund accounting and administration operations and an attestation report in accordance with Rule 17Ad-13.

(h) During the past fiscal year, the Registrant’s principal accountant provided certain non-audit services to the Registrant’s investment adviser or to entities controlling, controlled by, or under common control with the Registrant’s investment adviser that provide ongoing services to the Registrant that were not subject to pre-approval pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X. The Audit Committee of the Registrant’s Board of Trustees reviewed and considered these non-audit services provided by the Registrant’s principal accountant to the Registrant’s affiliates, including whether the provision of these non-audit services is compatible with maintaining the principal accountant’s independence.

(a) The Schedules of Investments are included as part of the report to shareholders filed under Item 1 of this form.

There have been no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board of Trustees (the “Board”). The Registrant has a standing Governance Committee (the “Committee”) currently consisting of the Independent Trustees. The Committee is responsible for evaluating and recommending nominees for election to the Board. Pursuant to the Committee’s Charter, adopted on February 22, 2012, the Committee will review all shareholder recommendations for nominations to fill vacancies on the Board if such recommendations are submitted in writing and addressed to the Committee at the Registrant’s office.

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

(b) There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

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.

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.



Type of Contract	Number of Contracts Long		Expiration Date		Notional Amount (Thousands)		Value (Thousands)		Unrealized Appreciation (Thousands)
Russell 2000 Index E-MINI		11		Sep-2020	$	777	$	791	$	14
S&P 500 Index E-MINI		42		Sep-2020		6,382		6,490		108

					$	7,159	$	7,281	$	122



Security Description	Value 6/30/19			Purchases at Cost			Proceeds from Sales			Realized Gain/ (Loss)			Change in Unrealized Appreciation (Depreciation)			Value 6/30/2020			Shares		Dividend Income			Capital Gains
SEI Daily Income Trust, Government Fund, Cl F		$	8,829		$	85,535		$	(87,751)		$	—		$	—		$	6,613		6,613,241		$	90		$	—



Letter to Shareholders			1

Management’s Discussion and Analysis of Fund Performance			7

Schedules of Investments			15

Statements of Assets and Liabilities			52

Statements of Operations			53

Statements of Changes in Net Assets			54

Financial Highlights			56

Notes to Financial Statements			60

Report of Independent Registered Public Accounting Firm			72

Trustees and Officers of the Trust			73

Disclosure of Fund Expenses			76

Review of Liquidity Risk Management Program			77

Board of Trustees Considerations in Approving the Advisory and Sub-Advisory Agreements			78

Notice to Shareholders			81



Type of Contract	Number of Contracts Long (Short)			Expiration Date		Notional Amount (Thousands)			Value (Thousands)			Unrealized Appreciation/ (Depreciation) (Thousands)
90-Day Euro$		(265	)		Mar-2021	$	(66,035	)	$	(66,117	)	$	(82	)
90-Day Euro$		(108	)		Dec-2021		(26,770	)		(26,946	)		(176	)
90-Day Euro$		33			Dec-2020		8,085			8,226			141
U.S. 2-Year Treasury Note		142			Oct-2020		31,354			31,358			4
U.S. 5-Year Treasury Note		510			Oct-2020		63,966			64,128			162
U.S. 10-Year Treasury Note		(88	)		Sep-2020		(12,136	)		(12,247	)		(111	)
U.S. Long Treasury Bond		(183	)		Sep-2020		(32,473	)		(32,677	)		(204	)
U.S. Ultra Long Treasury Bond		15			Sep-2020		3,178			3,273			95
Ultra 10-Year U.S. Treasury Note		14			Sep-2020		2,196			2,204			8

						$	(28,635	)	$	(28,798	)	$	(163	)



Security Description	Value 6/30/19		Purchases at Cost		Proceeds from Sales		Realized Gain/ (Loss)		Change in Unrealized Appreciation/ (Depreciation)		Value 6/30/20		Shares		Dividend Income		Capital Gains
SEI Daily Income Trust, Government Fund, Cl F	$	11,031	$	164,299	$	(165,623)	$	—	$	—	$	9,707		9,706,589	$	70	$	—



Security Description	Value 6/30/2019		Purchases at Cost		Proceeds from Sales		Realized Gain		Change in Unrealized Appreciation		Value 6/30/2020		Shares		Dividend Income		Capital Gains
New Covenant Growth Fund		$178,591		$36,525		$(42,130)		$4,552		$929		$178,467		4,108,347		$2,046		$7,788
New Covenant Income Fund		112,871		26,790		(29,796)		211		3,556		113,632		4,672,368		2,621		—
SEI Daily Income Trust, Government Fund, Cl F		2,176		26,461		(25,339)		—		—		3,298		3,298,407		33		—

Totals		$293,638		$89,776		$(97,265)		$ 4,763		$4,485		$295,397				$4,700		$7,788



	Growth Fund			Income Fund			Balanced Growth Fund			Balanced Income Fund
Assets:
Investments, at value^†	$	451,982		$	332,408		$	—		$	—
Affiliated investments, at value^††		6,613			9,707			295,397			78,721
Cash and cash equivalents		1,805			—			—			—
Cash pledged as collateral for futures contracts		569			825			—			—
Dividends and interest receivable		338			1,658			187			82
Receivable for fund shares sold		310			371			6			2
Receivable for variation margin		96			102			—			—
Foreign tax reclaim receivable		88			33			—			—
Receivable for investment securities sold		—			5,821			—			—
Prepaid expenses		14			11			9			2
Total Assets		461,815			350,936			295,599			78,807
Liabilities:
Investment advisory fees payable		91			79			—			—
Administration fees payable		59			43			10			3
Social witness and licensing fees payable		57			39			—			—
Shareholder servicing fees payable		37			27			—			—
Payable for fund shares redeemed		8			—			64			3
Trustees’ fees payable		3			2			2			—
CCO fees payable		1			—			—			—
Payable for investment securities purchased		—			13,931			—			—
Income distribution payable		—			489			—			—
Payable to custodian		—			2			—			—
Payable for variation margin		—			38			—			—
Accrued expense payable		66			73			42			11
Total Liabilities		322			14,723			118			17
Net Assets	$	461,493		$	336,213		$	295,481		$	78,790
^† Cost of investments	$	326,443		$	318,533		$	—		$	—
^†† Cost of affiliated investments		6,613			9,707			220,267			62,595
Net Assets:
Paid-in Capital — (unlimited authorization — par value $0.001)	$	325,977		$	320,854		$	220,405		$	63,432
Total distributable earnings		135,516			15,359			75,076			15,358
Net Assets	$	461,493		$	336,213		$	295,481		$	78,790
Net Asset Value, Offering and Redemption Price Per Share	$	43.44		$	24.32		$	104.95		$	22.01
		(461,493,155 ÷ 10,623,827 shares	)		(336,213,359 ÷ 13,825,205 shares	)		(295,480,573 ÷ 2,815,436 shares	)		(78,789,517 ÷ 3,579,291 shares	)



	Growth Fund			Income Fund			Balanced Growth Fund			Balanced Income Fund
Investment Income:
Dividend income	$	8,365		$	—		$	—		$	—
Dividend income from affiliated registered investment company		90			70			4,700			1,468
Interest income		24			9,267			—			—
Total Investment Income		8,479			9,337			4,700			1,468
Expenses:
Investment advisory fees		2,084			1,396			—			—
Administration fees		887			665			436			116
Social witness and licensing fees		665			499			—			—
Shareholder servicing fees		443			332			—			—
Trustee fees		9			6			6			1
Chief compliance officer fees		3			2			2			—
Transfer agent fees		88			67			58			15
Professional fees		68			49			44			12
Printing fees		40			30			27			7
Registration fees		37			27			24			7
Custodian fees		22			16			13			4
Other expenses		28			98			3			1
Total Expenses		4,374			3,187			613			163
Less:
Waiver of investment advisory fees		(1,058	)		(478	)		—			—
Waiver of administration fees		(114	)		(46	)		(228	)		(46	)
Net Expenses		3,202			2,663			385			117
Net Investment Income		5,277			6,674			4,315			1,351
Net Realized and Change in Unrealized Gain (Loss) on Investments:
Net Realized Gain (Loss) on:
Investments		13,740			5,525			—			—
Affiliated investments		—			—			4,763			466
Written and purchased options		—			591			—			—
Capital gain distributions received from affiliated investment		—			—			7,788			1,204
Futures contracts		(673	)		(724	)		—			—
Net Change in Unrealized Appreciation (Depreciation) on:
Investments		17,808			6,906			—			—
Affiliated investments		—			—			4,485			2,374
Written and purchased options		—			(31	)		—			—
Futures contracts		(35	)		(100	)		—			—
Net Increase in Net Assets Resulting from Operations	$	36,117		$	18,841		$	21,351		$	5,395


	Growth Fund						Income Fund
	2020			2019			2020			2019
Operations:
Net investment income	$	5,277		$	5,146		$	6,674		$	7,267
Net realized gain from investments, affiliated investments, written and purchased options and futures contracts		13,067			22,515			5,392			701
Net change in unrealized appreciation on investments, affiliated investments, written and purchased options and futures contracts		17,773			3,899			6,775			11,913
Net change in unrealized depreciation on foreign currency transactions and translation of other assets and liabilities denominated in foreign currency		—			(1	)		—			—
Net increase in net assets resulting from operations		36,117			31,559			18,841			19,881
Distributions:
Total distributions		(25,032	)		(31,095	)		(7,695	)		(7,780	)
Capital Share Transactions:
Proceeds from shares issued		57,107			41,305			54,297			40,669
Reinvestment of dividends & distributions		19,985			25,807			775			749
Cost of shares redeemed		(75,642	)		(47,292	)		(60,503	)		(41,976	)
Increase (decrease) in net assets derived from capital share transactions		1,450			19,820			(5,431	)		(558	)
Net increase in net assets		12,535			20,284			5,715			11,543
Net Assets:
Beginning of Year		448,958			428,674			330,498			318,955
End of Year	$	461,493		$	448,958		$	336,213		$	330,498
Share Transactions:
Shares issued		1,471			1,019			2,282			1,781
Shares issued in lieu of dividends and distributions		453			665			33			33
Shares redeemed		(1,776	)		(1,139	)		(2,551	)		(1,852	)
Increase (decrease) in net assets derived from share transactions		148			545			(236)			(38)


	Balanced Growth Fund						Balanced Income Fund
	2020			2019			2020			2019
Operations:
Net investment income	$	4,315		$	4,518		$	1,351		$	1,406
Net realized gain from affiliated investments		4,763			862			466			344
Capital gain distributions received from affiliated investments		7,788			10,539			1,204			1,618
Net change in unrealized appreciation on affiliated investments		4,485			4,138			2,374			1,640
Net increase in net assets resulting from operations		21,351			20,057			5,395			5,008
Distributions:
Total distributions		(17,049	)		(17,635	)		(3,179	)		(4,160	)
Capital Share Transactions:
Proceeds from shares issued		12,711			16,016			5,066			3,589
Reinvestment of dividends & distributions		15,444			16,007			2,578			3,509
Cost of shares redeemed		(30,798	)		(31,067	)		(9,518	)		(6,827	)
Increase (decrease) in net assets derived from capital share transactions		(2,643	)		956			(1,874	)		271
Net increase in net assets		1,659			3,378			342			1,119
Net Assets:
Beginning of Year		293,822			290,444			78,448			77,329
End of Year	$	295,481		$	293,822		$	78,790		$	78,448
Share Transactions:
Shares issued		122			163			237			173
Shares issued in lieu of dividends and distributions		150			166			120			174
Shares redeemed		(297	)		(310	)		(442	)		(325	)
Increase (decrease) in net assets derived from share transactions		(25	)		19			(85	)		22


	Growth Fund
	2020			2019			2018			2017			2016
Net Asset Value, Beginning of Year	$	42.86		$	43.17		$	40.15		$	34.23		$	38.28
Investment Activities:
Net investment income⁽¹⁾		0.51			0.50			0.46			0.27			0.27
Net realized and unrealized gains (losses) on securities ⁽¹⁾		2.56			2.28			5.34			5.91			(1.67	)
Total from investment activities		3.07			2.78			5.80			6.18			(1.40	)
Dividends and Distributions from:
Net investment income		(0.50	)		(0.50	)		(0.39	)		(0.26	)		(0.21	)
Net realized gains		(1.99	)		(2.59	)		(2.39	)		–			(2.44	)
Total dividends and distributions		(2.49	)		(3.09	)		(2.78	)		(0.26	)		(2.65	)
Net Asset Value, End of Year	$	43.44		$	42.86		$	43.17		$	40.15		$	34.23
Total Return^†		7.18%			7.21	%		14.74	%		18.12	%		(3.68	)%
Supplemental Data and Ratios:
Net assets, end of year ($ Thousands)	$	461,493		$	448,958		$	428,674		$	412,229		$	394,943
Ratio of net expenses to average net assets		0.72	%		0.85	%		0.87	%		0.95	%		1.02	%
Ratio of expenses to average net assets, excluding waivers		0.99	%		1.12	%		1.12	%		1.13	%		1.14	%
Ratio of net investment income to average net assets		1.19	%		1.19	%		1.08	%		0.73	%		0.76	%
Portfolio turnover rate		19	%		47	%		24	%		50	%		103	%


Growth Fund		Long-term capital appreciation. A modest amount of dividend income may be produced by the Fund’s equity securities.

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.


	First $2.5 Billion	Next $500 Million	Over $3 Billion
Growth Fund	0.2000%	0.1650%	0.1200%

	First $1.5 Billion	Next $500 Million	Next $500 Million	Next $500 Million	Over $3 Billion
Income Fund	0.2000%	0.1775%	0.1550%	0.1325%	0.1100%
Balanced Growth Fund	0.1500%	0.1375%	0.1250%	0.1125%	0.1000%
Balanced Income Fund	0.1500%	0.1375%	0.1250%	0.1125%	0.1000%


	Financial Derivative Asset	Financial Derivative Liability
	Variation Margin Asset	Variation Margin Liability
Fund	Futures	Futures
Growth Fund	$96	$—
Income Fund	$102	$38


	Growth Fund		Income Fund
Futures Contracts:
Equity Contracts
Average Notional Balance Long	$	9,077	$	111,600
Average Notional Balance Short		—		81,986
Ending Notional Balance Long		7,158		108,779
Ending Notional Balance Short		—		137,415
Options:
Equity Contracts
Average Notional Balance Long	$	—	$	24
Average Notional Balance Short		—		61
Ending Notional Balance Long		—		—
Ending Notional Balance Short		—		—


Fund	Purchases (excluding Short-Term Investments & U.S. Government Securities) ($ Thousands)		Sales (excluding Short-Term Investments & U.S. Government Securities) ($ Thousands)		Purchases of U.S. Government Securities ($ Thousands)		Sales of U.S. Government Securities ($ Thousands)
Growth Fund		$80,097		$97,374		$ —		$ —
Income Fund		62,455		49,974		416,835		446,430
Balanced Growth Fund		63,315		71,926		—		—
Balanced Income Fund		14,690		17,145		—		—



		Ordinary Income ($ Thousands)		Long Term Capital Gains ($ Thousands)		Total Taxable Deductions ($ Thousands)		Total Distributions Paid ($ Thousands)
Growth Fund	2020		$ 5,915		$ 19,117		$ 25,032		$ 25,032
	2019		5,700		25,395		31,095		31,095
Income Fund	2020		7,695		—		7,695		7,695
	2019		7,780		—		7,780		7,780
Balanced Growth Fund	2020		7,282		9,767		17,049		17,049
	2019		5,632		12,003		17,635		17,635
Balanced Income Fund	2020		1,809		1,370		3,179		3,179
	2019		1,606		2,554		4,160		4,160


		Undistributed Ordinary Income ($ Thousands)			Undistributed Long-Term Capital Gain ($ Thousands)			Capital Loss Carryforwards ($ Thousands)			Post- October Losses ($ Thousands)			Unrealized Appreciation (Depreciation) ($ Thousands)			Other Temporary Differences ($ Thousands)				Total Distributable Earnings (Accumulated Losses) ($ Thousands)
Growth Fund	$		2,663	$		8,820	$		—	$		—	$		124,030	$		3		$		135,516
Income Fund			3,377			—			—			—			13,840			(1,858	)			15,359
Balanced Growth Fund			617			11,699			—			—			62,761			(1	)			75,076
Balanced Income Fund			394			1,178			—			—			13,784			2				15,358


	Federal Tax Cost ($ Thousands)		Appreciated Securities ($ Thousands)		Depreciated Securities ($ Thousands)			Net Unrealized Appreciation (Depreciation) ($ Thousands)
Growth Fund		$ 334,555		$ 157,940	$	(33,908	)		$ 124,032
Income Fund		328,278		15,666		(1,829)			13,837
Balanced Growth Fund		232,636		62,761		—			62,761
Balanced Income Fund		64,937		13,784		—			13,784



	# of Shareholders	% of Outstanding Shares
Growth Fund	3	77.78%
Income Fund	3	82.29%
Balanced Growth Fund	1	0.00%
Balanced Income Fund	1	0.61%


Name, Address, and Age	Position(s) Held with Trusts	Term of Office and Length of Time Served¹	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen by Trustee²	Other Directorships Held by Trustee
INTERESTED TRUSTEES
Robert A. Nesher One Freedom Valley Drive Oaks, PA 19456 73 yrs. old	Chairman of the Board of Trustees*	since 1995	Currently performs various services on behalf of SEI for which Mr. Nesher is compensated.	98	President and Director of SEI Structured Credit Fund, LP. Director of SEI Global Master Fund plc, SEI Global Assets Fund plc, SEI Global Investments Fund plc, SEI Investments—Global Funds Services, Limited, SEI Investments Global, Limited, SEI Investments (Europe) Ltd., SEI Multi-Strategy Funds PLC, SEI Global Nominee Ltd and SEI Investments—Unit Trust Management (UK) Limited. President, Director and Chief Executive Officer of SEI Alpha Strategy Portfolios, LP from 2007 to 2013. Trustee of SEI Liquid Asset Trust from 1989 to 2016. Vice Chairman of O’Connor EQUUS (closed-end investment company) from 2014 to 2016. Vice Chairman of Winton Series Trust from 2014 to 2017. Vice Chairman of The Advisors’ Inner Circle Fund III and Winton Diversified Opportunities Fund (closed-end investment company) from 2014 to 2018. Vice Chairman of Gallery Trust, Schroder Series Trust and Schroder Global Series Trust from 2015 to 2018. Trustee of The Advisors’ Inner Circle Fund, The Advisors’ Inner Circle Fund II, Bishop Street Funds, and the KP Funds. President, Chief Executive Officer and Trustee of SEI Asset Allocation Trust, SEI Daily Income Trust, SEI Institutional Managed Trust, SEI Institutional International Trust, SEI Institutional Investments Trust, SEI Tax Exempt Trust, SEI Insurance Products Trust, Adviser Managed Trust, The New Covenant Funds and SEI Catholic Values Trust.
William M. Doran One Freedom Valley Drive Oaks, PA 19456 80 yrs. old	Trustee*	since 1995	Self-employed consultant since 2003.Partner, Morgan, Lewis & Bockius LLP (law firm) from 1976 to 2003, counsel to the Trust, SEI, SIMC, the Administrator and the Distributor.	98	Director of SEI since 1974; Secretary of SEI since 1978. Director of SEI Investments Distribution Co. since 2003. Director of SEI Investments—Global Funds Services, Limited, SEI Investments Global, Limited, SEI Investments (Europe), Limited, SEI Investments (Asia) Limited, SEI Global Nominee Ltd. and SEI Investments—Unit Trust Management (UK) Limited. Trustee of SEI Liquid Asset Trust from 1982 to 2016. Trustee of O’Connor EQUUS from 2014 to 2016. Director of SEI Alpha Strategy Portfolios, LP from 2007 to 2013. Trustee of The Advisors’ Inner Circle Fund, The Advisors’ Inner Circle Fund II, The Advisors’ Inner Circle Fund III, Winton Series Trust, Winton Diversified Opportunities Fund, Gallery Trust, Bishop Street Funds, SEI Asset Allocation Trust, SEI Daily Income Trust, SEI Institutional Managed Trust, SEI Institutional International Trust, SEI Institutional Investments Trust, SEI Tax Exempt Trust, SEI Insurance Products Trust, Adviser Managed Trust, New Covenant Funds, The KP Funds and SEI Catholic Values Trust.
TRUSTEES
George J. Sullivan Jr. One Freedom Valley Drive, Oaks, PA 19456 77 yrs. old	Trustee	since 1996	Retired since January 2012. Self-Employed Consultant, Newfound Consultants Inc. April 1997-December 2011.	98	Member of the independent review committee for SEI’s Canadian-registered mutual funds. Director of SEI Opportunity Fund, L.P. to 2010. Director of SEI Alpha Strategy Portfolios, LP from 2007 to 2013. Trustee of SEI Liquid Asset Trust from 1996 to 2016. Trustee/Director of State Street Navigator Securities Lending Trust, The Advisors’ Inner Circle Fund, The Advisors’ Inner Circle Fund II, Bishop Street Funds, SEI Structured Credit Fund, LP, SEI Asset Allocation Trust, SEI Daily Income Trust, SEI Institutional Managed Trust, SEI Institutional International Trust, SEI Institutional Investments Trust, SEI Tax Exempt Trust, SEI Insurance Products Trust, Adviser Managed Trust, New Covenant Funds, The KP Funds and SEI Catholic Values Trust.


Name Address, and Age	Position(s) Held with Trusts	Term of Office and Length of Time Served¹	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen by Trustee²	Other Directorships Held by Trustee
TRUSTEES (continued)
Nina Lesavoy One Freedom Valley Drive, Oaks, PA 19456 62 yrs. old	Trustee	since 2003	Founder and Managing Director, Avec Capital (strategic fundraising firm) since 2008. Managing Director, Cue Capital (strategic fundraising firm) from March 2002-March 2008.	98	Director of SEI Alpha Strategy Portfolios, LP from 2007 to 2013. Trustee of SEI Liquid Asset Trust from 2003 to 2016. Trustee/Director of SEI Structured Credit Fund, L.P., SEI Asset Allocation Trust, SEI Daily Income Trust, SEI Institutional Managed Trust, SEI Institutional International Trust, SEI Institutional Investments Trust, SEI Tax Exempt Trust, SEI Insurance Products Trust, New Covenant Funds, Adviser Managed Trust and SEI Catholic Values Trust.
James M. Williams One Freedom Valley Drive, Oaks, PA 19456 72 yrs. old	Trustee	since 2004	Vice President and Chief Investment Officer, J. Paul Getty Trust, Non-Profit Foundation for Visual Arts, since December 2002. President, Harbor Capital Advisors and Harbor Mutual Funds, 2000-2002. Director of SEI Alpha Strategy Portfolios, L.P. from 2007 to 2013. Manager, Pension Asset Management, Ford Motor Company, 1997-1999.	98	Director of SEI Alpha Strategy Portfolios, LP from 2007 to 2013, Trustee of SEI Liquid Asset Trust from 2004 to 2016. Trustee/Director of Ariel Mutual Funds, SEI Structured Credit Fund, LP, SEI Asset Allocation Trust, SEI Daily Income Trust, SEI Institutional Managed Trust, SEI Institutional International Trust, SEI Institutional Investments Trust, SEI Tax Exempt Trust, New Covenant Funds, SEI Insurance Products Trust, Adviser Managed Trust and SEI Catholic Values Trust.
Mitchell A. Johnson One Freedom Valley Drive, Oaks, PA 19456 78 yrs. old	Trustee	since 2007	Retired Private Investor since 1994.	98	Director, Federal Agricultural Mortgage Corporation (Farmer Mac) since 1997. Director of SEI Alpha Strategy Portfolios, LP from 2007 to 2013. Trustee of SEI Liquid Asset Trust from 2007 to 2016. Trustee of the Advisors’ Inner Circle Fund, The Advisors’ Inner Circle Fund II, Bishop Street Funds, SEI Asset Allocation Trust, SEI Daily Income Trust, SEI Institutional Managed Trust, SEI Institutional International Trust, SEI Institutional Investments Trust, SEI Tax Exempt Trust, SEI Insurance Products Trust, Adviser Managed Trust, The KP Funds and SEI Catholic Values Trust.
Hubert L. Harris, Jr. One Freedom Valley Drive, Oaks, PA 19456 76 yrs. old	Trustee	since 2008	Retired since December 2005. Owner of Harris Plantation, Inc. since 1995. Chief Executive Officer of Harris CAPM, a consulting asset and property management entity. Chief Executive Officer, INVESCO North America, August 2003-December 2005. Chief Executive Officer and Chair of the Board of Directors, AMVESCAP Retirement, Inc., January 1998- August 2003.	98	Director of AMVESCAP PLC from 1993-2004. Served as a director of a bank holding company, 2003-2009. Director, Aaron’s Inc., 2012-present. President and CEO of Oasis Ornamentals LLC since 2011. Member of the Board of Councilors of the Carter Center (nonprofit corporation) and served on the board of other non-profit organizations. Director of SEI Alpha Strategy Portfolios, LP from 2008 to 2013. Trustee of Liquid Asset Trust from 2008 to 2016. Trustee of SEI Asset Allocation Trust, SEI Daily Income Trust, SEI Institutional Managed Trust, SEI Institutional International Trust, SEI Institutional Investments Trust, SEI Tax Exempt Trust, SEI Insurance Products Trust, New Covenant Funds, Adviser Managed Trust and SEI Catholic Values Trust.
Susan C. Cote One Freedom Valley Drive Oaks, PA 19456 65 years old	Trustee	since 2016	Retired since July 2015. Americas Director of Asset Management, Ernst & Young LLP from 2006-2013. Global Asset Management Assurance Leader, Ernest & Young LLP from 2006- 2015. Partner Ernest & Young LLP from 1997-2015. Prudential, 1983-1997. Member of the Ernst & Young LLP Retirement Investment Committee, Treasurer and Chair of Finance, Investment and Audit Committee of the New York Women’s Foundation.	98	Trustee of SEI Tax Exempt Trust, SEI Daily Income Trust, SEI Institutional International Trust, SEI Institutional Managed Trust, SEI Asset Allocation Trust, SEI Institutional Investments Trust, SEI Insurance Products Trust, New Covenant Funds, Adviser Managed Trust and SEI Catholic Values Trust.
James B. Taylor One Freedom Valley Drive Oaks, PA 19456 69 years old	Trustee	since 2018	Retired since December 2017. Chief Investment Officer at Georgia Teach Foundation from 2008 to 2017. Chief Investment Officer at Delta Air Lines from 1983 to 2007. Member of the Investment Committee at the Institute of Electrical and Electronic Engineers from 1999 to 2004. President, Vice President and Treasurer at Southern Benefits Conference from 1998 to 2000.	98	Trustee of SEI Daily Income Trust, SEI Tax Exempt Trust, SEI Institutional Managed Trust, SEI Institutional International Trust, SEI Institutional Investments Trust, SEI Asset Allocation Trust, Adviser Managed Trust, New Covenant Funds, SEI Insurance Products Trust and SEI Catholic Values Trust.
Christine Reynolds One Freedom Valley Drive Oaks, PA 19456 61 years old	Trustee	since 2019	Retired since December 2016. Executive Vice President, Fidelity Investments from 2014-2016. President, Fidelity Pricing and Cash Management Services and Chief Financial Officer of Fidelity Funds from 2008-2014. Chief Operating Officer, Fidelity Pricing and Cash Management Services from 2007-2018. President and Treasurer, Fidelity Funds from 2004-2007. Anti-Money Laundering Officer, Fidelity Funds in 2004. Executive Vice President, Fidelity Funds from 2002-2004. Audit Partner, PricewaterhouseCoopers from 1992-2002.	98	Trustee of SEI Daily Income Trust, SEI Tax Exempt Trust, SEI Institutional Managed Trust, SEI Institutional International Trust, SEI Institutional Investments Trust, SEI Asset Allocation Trust, Adviser Managed Trust, New Covenant Funds, SEI Insurance Products Trust and SEI Catholic Values Trust.


	Beginning Account Value 1/1/2020		Ending Account Value 6/30/20		Annualized Expense Ratios			Expenses Paid During Period*
Growth Fund
Actual Fund Return		$1,000.00		$968.80		0.72	%		$3.52
Hypothetical 5% Return		$1,000.00		$1,021.28		0.72	%		$3.62
Income Fund
Actual Fund Return		$1,000.00		$1,039.90		0.80	%		$4.06
Hypothetical 5% Return		$1,000.00		$1,020.89		0.80	%		$4.02
Balanced Growth Fund
Actual Fund Return		$1,000.00		$1,004.90		0.13	%		$0.65
Hypothetical 5% Return		$1,000.00		$1,024.22		0.13	%		$0.65
Balanced Income Fund
Actual Fund Return		$1,000.00		$1,021.50		0.15	%		$0.75
Hypothetical 5% Return		$1,000.00		$1,024.12		0.15	%		$0.75



Fund	(A) Long Term Capital Gains Distributions (Tax Basis)	(B) Ordinary Income	Total Distributions (Tax Basis)	(C) Dividends Qualifying for Corporate Dividends Rec. Deduction (1)	(D) Qualifying Dividend Income (15% Tax Rate for QDI) (2)	(E) U.S. Government Interest (3)	Interest Related Dividends (4)	Short-Term Capital Gain Dividends (5)
New Covenant Growth Fund	76.37%	23.63%	100.00%	97.71%	100.00%	0.00%	0.19%	100.00%
New Covenant Income Fund	0.00%	100.00%	100.00%	0.00%	0.00%	4.65%	44.29%	0.00%
New Covenant Balanced Growth Fund	57.29%	42.71%	100.00%	6.11%	5.93%	0.00%	0.00%	100.00%
New Covenant Balanced Income Fund	43.11%	56.89%	100.00%	19.63%	20.60%	0.00%	0.00%	100.00%


		Fiscal Year 2020			Fiscal Year 2019
		All fees and services to the Registrant that were pre-approved	All fees and services to service affiliates that were pre-approved	All other fees and services to service affiliates that did not require pre-approval	All fees and services to the Registrant that were pre-approved	All fees and services to service affiliates that were pre-approved	All other fees and services to service affiliates that did not require pre-approval
(a)	Audit Fees(1)	$69,330	N/A	$0	$68,640	N/A	$0
(b)	Audit-Related Fees	$0	$0	$0	$0	$0	$0
(c)	Tax Fees	$0	$0	$0	$0	$0	$0
(d)	All Other Fees(2)	$0	$417,252	$0	$0	$273,762	$0


	Fiscal Year 2020	Fiscal Year 2019
Audit-Related Fees	0%	0%
Tax Fees	0%	0%
All Other Fees	0%	0%